<PAGE>
<PAGE>
SCHEDULES OF INVESTMENTS
DECEMBER 31, 1996
The Schedules of Investments are integral to and should be read in conjunction
with the accompanying Statements of Assets and Liabilities, Statements of
Operations, Statements of Changes in Net Assets, Financial Highlights and Notes
to Financial Statements.
- --------------------------------------------------------------------------------
PENNSYLVANIA MUTUAL FUND
- --------------------------------------------------------------------------------
COMMON STOCKS - 94.5%
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
CONSUMER PRODUCTS - 13.0%
Allen Organ Company Cl. B.............. 58,711 $ 2,333,762
Baldwin Piano & Organ Company.......... 18,900 212,625
Bassett Furniture Industries,
Incorporated......................... 73,675 1,805,037
Burnham Corporation Cl. A.............. 37,506 1,106,427
Ethan Allen Interiors Inc. ............ 79,200 3,049,200
Farmer Bros. Co. ...................... 25,350 3,853,200
Flexsteel Industries, Inc. ............ 36,600 475,800
Garan Incorporated..................... 77,300 1,497,687
Gibson Greetings, Inc.*................ 30,100 590,713
Haggar Corp. .......................... 61,200 971,550
J & J Snack Foods Corp.*............... 50,100 676,350
Johnson Worldwide Associates, Inc. Cl.
A*................................... 56,470 748,227
Juno Lighting, Inc. ................... 273,200 4,371,200
Justin Industries, Inc. ............... 9,900 113,850
K-Swiss Inc. Cl. A..................... 94,100 929,237
La-Z-Boy Inc. ......................... 70,900 2,091,550
`D'Lazare Kaplan International,
Inc.*................................ 124,600 2,133,775
Liberty Homes, Inc. Cl. A.............. 114,450 1,530,769
`D'Lifetime Hoan Corporation*.......... 273,929 3,218,666
Matthews International Corporation Cl.
A.................................... 16,100 454,825
Midwest Grain Products, Inc.*.......... 203,300 3,456,100
National Presto Industries, Inc. ...... 9,800 366,275
Oshkosh B'Gosh, Inc. Cl. A............. 84,000 1,281,000
The Rival Company...................... 38,200 950,225
`D'Semi-Tech Corp.*.................... 83,100 306,431
Skyline Corporation.................... 153,800 3,806,550
Sturm, Ruger & Company, Inc. .......... 156,200 3,026,375
Thomaston Mills, Inc. Cl. A............ 172,900 1,945,125
Thor Industries, Inc. ................. 152,600 3,853,150
The Topps Company, Inc.*............... 484,000 1,936,000
Velcro Industries N.V. ................ 65,000 4,062,500
WLR Foods, Inc. ....................... 37,900 469,013
Weyco Group, Inc. ..................... 38,500 1,549,625
------------
59,172,819
------------
CONSUMER SERVICES - 3.3%
Atlantic Southeast Airlines, Inc. ..... 82,700 1,809,063
Bowl America Incorporated Cl. A........ 102,300 677,737
`D'Jenny Craig, Inc*................... 143,900 1,277,113
Grey Advertising Inc................... 12,259 3,101,527
International Dairy Queen, Inc. Cl.
A*................................... 118,800 2,376,000
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
International Dairy Queen, Inc. Cl.
B*................................... 83,600 $ 1,609,300
The Marcus Corporation................. 45,250 961,562
PCA International, Inc. ............... 68,600 1,114,750
Shoney's, Inc.*........................ 301,882 2,113,174
------------
15,040,226
------------
FINANCIAL INTERMEDIARIES - 13.9%
Alleghany Corporation*................. 16,975 3,598,700
ALLIED Group, Inc. .................... 126,050 4,112,380
Baker Boyer Bancorp.................... 26,020 969,245
Baldwin & Lyons, Inc. Cl. B............ 83,978 1,543,096
`D'The Commerce Group, Inc. ........... 171,142 4,321,336
Community Banks, Inc. ................. 38,349 997,074
F & M Bancorporation................... 13,800 607,200
Farmers & Merchants Bank of Long
Beach................................ 1,042 1,927,700
The First National Bank of Anchorage... 715 1,147,575
Fremont General Corporation............ 74,850 2,320,350
Gryphon Holdings Inc.*................. 189,800 2,680,925
Highlands Insurance Group, Inc.*....... 140,900 2,853,225
Intercargo Corporation................. 59,200 506,900
Keystone Heritage Group, Inc. ......... 37,249 856,727
Leucadia National Corporation.......... 167,672 4,485,226
MAIC Holdings, Inc.*................... 57,609 1,951,505
National Bancorp of Alaska, Inc. ...... 11,671 799,464
Nobel Insurance Limited................ 74,400 934,650
Orion Capital Corporation.............. 18,806 1,149,517
PXRE Corporation....................... 132,322 3,274,957
Pennsylvania Manufacturers Corporation
Cl. A................................ 297,150 4,680,113
Piper Jaffray Companies Inc. .......... 193,500 3,023,438
`D'RLI Corp. .......................... 27,825 928,659
Reliance Group Holdings, Inc.*......... 19,591 47,214
`D'Trenwick Group Inc. ................ 90,300 4,176,375
TriCo Bancshares....................... 16,757 364,465
Wesco Financial Corporation............ 19,400 3,627,800
Zenith National Insurance Corp. ....... 212,500 5,817,188
------------
63,703,004
------------
FINANCIAL SERVICES - 7.8%
E.W. Blanch Holdings, Inc. ............ 170,500 3,431,313
Comdisco, Inc. ........................ 45,307 1,438,497
Crawford & Company Cl. A............... 175,050 3,785,456
Crawford & Company Cl. B............... 56,400 1,290,150
</TABLE>
<PAGE>
<PAGE>
SCHEDULES OF INVESTMENTS
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
PENNSYLVANIA MUTUAL FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
FINANCIAL SERVICES - (continued)
Duff & Phelps Credit Rating Co. ....... 99,433 $ 2,398,821
Eaton Vance Corp. ..................... 55,700 2,652,713
Arthur J. Gallagher & Co. ............. 153,700 4,764,700
Hilb, Rogal & Hamilton Company......... 178,500 2,365,125
Investors Financial Services
Corporation.......................... 47,834 1,327,393
The John Nuveen Company Cl. A.......... 54,800 1,452,200
New England Investment Companies,
L.P.................................. 49,700 1,205,225
Phoenix Duff & Phelps Corporation...... 239,900 1,709,288
The Pioneer Group, Inc. ............... 176,100 4,182,375
`D'Willis Corroon Group plc`DD'........ 333,900 3,839,850
------------
35,843,106
------------
HEALTH - 1.3%
Haemonetics Corporation*............... 248,800 4,696,100
Life Technologies, Inc. ............... 50,100 1,252,500
------------
5,948,600
------------
INDUSTRIAL PRODUCTS - 23.8%
Ag-Chem Equipment Co., Inc.*........... 114,600 2,091,450
American Filtrona Corporation.......... 126,100 5,343,487
Ameron International Corporation....... 2,800 144,550
Ash Grove Cement Company............... 31,018 1,760,271
BHA Group, Inc. ....................... 105,887 1,707,428
Blessings Corporation.................. 94,000 875,375
Cascade Corp. ......................... 126,000 2,031,750
Central Steel & Wire Company........... 1,874 1,077,550
CLARCOR Inc. .......................... 60,250 1,333,031
ConBraCo Industries, Inc. ............. 5,330 2,318,550
Curtiss-Wright Corporation............. 78,800 3,969,550
Delta Woodside Industries, Inc. ....... 165,848 1,057,281
Fab Industries, Inc. .................. 147,332 4,051,630
P. H. Glatfelter Company............... 148,000 2,664,000
Gorman-Rupp Company.................... 61,912 843,551
C. H. Heist Corp.*..................... 59,400 460,350
International Aluminum Corporation..... 129,700 3,307,350
Kaydon Corporation..................... 97,900 4,613,538
Kimball International, Inc. Cl. B...... 68,600 2,838,325
Lancer Corporation*.................... 41,325 841,997
Lawter International, Inc. ............ 24,920 314,615
LeaRonal, Inc. ........................ 38,960 896,080
Lilly Industries, Inc. Cl. A........... 323,112 5,896,794
The Lincoln Electric Company Cl. A..... 98,190 2,970,248
Liqui-Box Corporation.................. 51,700 1,680,250
Minuteman International, Inc. ......... 62,000 558,000
Paul Mueller Company................... 32,900 1,233,750
Myers Industries, Inc. ................ 136,820 2,308,837
Nordson Corporation.................... 22,400 1,428,000
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
Oil-Dri Corporation of America......... 42,550 $ 638,250
Oregon Steel Mills, Inc. .............. 182,900 3,063,575
Oshkosh Truck Corporation Cl. B........ 198,500 2,109,062
Penn Engineering and Manufacturing
Inc. ................................ 177,350 3,635,675
Penn Engineering and Manufacturing
Corp. Cl. A.......................... 49,550 1,028,163
Preformed Line Products Company........ 73,693 2,892,450
Puerto Rican Cement Company, Inc. ..... 123,400 3,856,250
Quaker Chemical Corporation............ 107,064 1,753,173
Robroy Industries, Inc. Cl. A.......... 73,310 1,374,562
Simpson Manufacturing Co., Inc.*....... 160,700 3,696,100
The Standard Register Company.......... 212,510 6,906,575
Synalloy Corporation................... 70,100 1,104,075
Tecumseh Products Company Cl. A........ 63,700 3,654,788
Todd Shipyards Corporation*............ 96,500 627,250
Unifi, Inc. ........................... 76,500 2,457,562
Versa Technologies, Inc. .............. 95,132 1,236,716
Watts Industries, Inc. Cl. A........... 43,500 1,038,563
Woodward Governor Company.............. 36,418 4,807,176
Zero Corporation....................... 105,800 2,116,000
------------
108,613,553
------------
INDUSTRIAL SERVICES - 10.8%
ABM Industries Incorporated............ 56,500 1,045,250
Aceto Corporation...................... 64,094 893,310
Air Express International
Corporation.......................... 136,900 4,415,025
Arnold Industries, Inc. ............... 287,600 4,565,650
Guy F. Atkinson Company of
California*.......................... 131,200 1,377,600
Bowne & Co., Inc. ..................... 98,400 2,423,100
Devcon International Corp.*............ 31,600 193,550
Devon Group, Inc.*..................... 5,000 137,500
Ennis Business Forms, Inc.............. 213,800 2,405,250
FCA International Ltd.*................ 41,900 35,768
Frozen Food Express Industries, Inc. .. 321,521 2,893,689
The Harper Group....................... 190,737 4,530,004
Kenan Transport Company................ 70,800 1,398,300
Lufkin Industries, Inc. ............... 108,600 2,715,000
Merrill Corporation.................... 95,400 2,194,200
New England Business Service, Inc. .... 223,100 4,796,650
Plenum Publishing Corporation.......... 94,650 3,312,750
Rykoff-Sexton, Inc. ................... 201,656 3,201,289
Stone & Webster, Inc. ................. 29,300 922,950
TBC Corporation*....................... 264,377 1,982,828
Vallen Corporation*.................... 194,200 3,228,575
`D'Willbros Group Inc.*................ 91,900 896,025
------------
49,564,263
------------
</TABLE>
<PAGE>
<PAGE>
SCHEDULES OF INVESTMENTS
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
PENNSYLVANIA MUTUAL FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
NATURAL RESOURCES - 3.7%
CalMat Co. ............................ 237,100 $ 4,445,625
Consolidated-Tomoka Land Co. .......... 39,800 661,675
Devon Energy Corporation............... 32,700 1,136,325
FRP Properties, Inc. *................. 85,900 2,190,450
Florida Rock Industries, Inc. ......... 166,500 5,452,875
The Newhall Land and Farming Company... 172,600 2,912,625
------------
16,799,575
------------
RETAIL - 5.6%
Catherine Stores Corporation*.......... 91,900 505,450
Cato Corporation Cl. A................. 73,000 365,000
Charming Shoppes, Inc.*................ 229,400 1,161,337
Claire's Stores, Inc. ................. 35,800 465,400
The Dress Barn, Inc.*.................. 270,800 4,062,000
Family Dollar Stores, Inc. ............ 206,700 4,211,513
Mikasa, Inc.*.......................... 120,000 1,230,000
Pier 1 Imports, Inc. .................. 160,555 2,829,781
Sotheby's Holdings, Inc. Cl. A......... 183,300 3,413,963
Stanhome Inc. ......................... 172,000 4,558,000
The Talbots, Inc. ..................... 89,600 2,564,800
------------
25,367,244
------------
TECHNOLOGY - 6.4%
BGS Systems, Inc. ..................... 128,200 3,509,475
CEM Corporation*....................... 62,300 498,400
DH Technology, Inc.*................... 18,887 453,288
Dallas Semiconductor Corporation....... 108,500 2,495,500
Dionex Corporation*.................... 52,838 1,849,330
Electroglas, Inc.*..................... 171,200 2,760,600
Exar Corporation*...................... 77,200 1,196,600
Hach Company........................... 49,205 934,895
MacNeal-Schwendler Corporation......... 9,600 75,600
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
Marshall Industries*................... 174,100 $ 5,331,813
Modern Controls, Inc. ................. 46,400 487,200
National Computer Systems, Inc. ....... 164,703 4,199,926
`D'Newport Corporation................. 138,900 1,232,737
Richardson Electronics, Ltd. .......... 107,862 889,862
Scitex Corporation Limited............. 248,900 2,364,550
Woodhead Industries, Inc. ............. 53,150 730,812
------------
29,010,588
------------
UTILITIES - 0.5%
Southern Union Company*................ 83,830 1,844,258
Southwest Water Company................ 36,600 507,825
------------
2,352,083
------------
MISCELLANEOUS - 4.4% 20,203,616
------------
Total Common Stocks
(Cost $284,507,429).................. 431,618,677
------------
PREFERRED STOCK - 0.1%
Bird Corp. $1.85 Conv. (Cost
$437,457)............................ 28,600 450,450
------------
REPURCHASE AGREEMENT - 3.9%
State Street Bank and Trust Company, 4.90% dated
12/31/96, due 1/02/97, maturity value
$17,904,872 (collateralized by U.S. Treasury
Notes, 5.75% due 12/31/98, valued at
$18,260,002)
(Cost $17,900,000)............................. 17,900,000
------------
TOTAL INVESTMENTS - 98.5% (COST $302,844,886)....
449,969,127
CASH AND OTHER ASSETS LESS LIABILITIES - 1.5%....
6,898,823
------------
NET ASSETS - 100.0%.............................. $456,867,950
------------
------------
</TABLE>
* Non-income producing.
`D' A portion of these securities are on loan at December 31, 1996. Total market
value of all securities on loan is $7,642,774, for which the Fund received
$8,139,308 as collateral.
`DD' American Depository Receipt.
INCOME TAX INFORMATION - The cost of total investments for federal income tax
purposes was $304,321,453. At December 31, 1996, net unrealized appreciation for
all securities amounted to $145,647,674, consisting of aggregate gross
unrealized appreciation of $155,224,500 and aggregate gross unrealized
depreciation of $9,576,826. The Fund designates $97,858,831 as a capital gain
dividend for the purpose of the dividend paid deduction.
<PAGE>
<PAGE>
SCHEDULES OF INVESTMENTS
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
PMF II
- --------------------------------------------------------------------------------
COMMON STOCKS - 89.4%
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
CONSUMER PRODUCTS - 11.9%
Bassett Furniture Industries,
Incorporated........................... 16,000 $ 392,000
Garan Incorporated....................... 10,000 193,750
Gibson Greetings, Inc.*.................. 2,800 54,950
Johnson Worldwide Associates,
Inc. Cl. A*............................ 19,150 253,738
Juno Lighting, Inc. ..................... 22,000 352,000
La-Z-Boy Inc. ........................... 6,000 177,063
Mackie Designs, Inc. *................... 27,100 176,150
Skyline Corporation...................... 10,000 247,500
Thor Industries, Inc. ................... 10,900 275,225
------------
2,122,376
------------
CONSUMER SERVICES - 6.3%
Buffets, Inc.*........................... 48,900 446,213
Jenny Craig, Inc.*....................... 13,000 114,232
PCA International, Inc. ................. 18,200 295,750
Shoney's, Inc.*.......................... 37,500 262,662
------------
1,118,857
------------
FINANCIAL INTERMEDIARIES - 9.7%
The Commerce Group, Inc. ................ 13,400 338,350
Leucadia National Corporation............ 6,300 168,525
PXRE Corporation......................... 15,000 371,250
Trenwick Group Inc. ..................... 9,400 434,750
Zenith National Insurance Corp. ......... 15,100 413,363
------------
1,726,238
------------
FINANCIAL SERVICES - 9.8%
E.W. Blanch Holdings, Inc. .............. 9,700 195,213
Duff & Phelps Credit Rating Co. ......... 10,000 241,250
Arthur J. Gallagher & Co. ............... 12,100 375,100
Phoenix Duff & Phelps Corporation........ 35,000 251,475
The Pioneer Group, Inc. ................. 13,100 311,125
Willis Corroon Group plc`DD'............. 33,400 384,100
------------
1,758,263
------------
HEALTH - 1.6%
Haemonetics Corporation*................. 15,200 286,900
------------
INDUSTRIAL PRODUCTS - 12.8%
American Filtrona Corporation............ 3,500 148,313
Blessings Corporation.................... 19,000 176,937
Curtiss-Wright Corporation............... 6,200 312,325
Fab Industries, Inc. .................... 15,400 423,500
P. H. Glatfelter Company................. 10,000 180,322
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
Hawkins Chemical, Inc. .................. 11,000 $ 78,375
Kaydon Corporation....................... 5,900 278,037
Penn Engineering and Manufacturing
Inc. .................................. 8,800 180,400
Puerto Rican Cement Company, Inc. ....... 8,000 250,000
Unifi, Inc. ............................. 8,000 257,000
------------
2,285,209
------------
INDUSTRIAL SERVICES - 15.3%
Arnold Industries, Inc. ................. 30,000 476,250
Bowne & Co., Inc. ....................... 11,000 270,875
DIMON Incorporated....................... 10,000 231,250
Ennis Business Forms, Inc. .............. 7,000 78,750
Frozen Food Express Industries, Inc. .... 20,200 181,800
Rush Enterprises, Inc.*.................. 35,000 420,000
Rykoff-Sexton, Inc. ..................... 13,000 206,375
Sevenson Environmental Services Inc. .... 20,100 366,825
Standard Commercial Corporation*......... 25,010 506,452
------------
2,738,577
------------
NATURAL RESOURCES - 5.1%
CalMat Co. .............................. 18,300 343,125
Florida Rock Industries, Inc. ........... 12,000 393,000
The Newhall Land and Farming Company..... 10,000 168,668
------------
904,793
------------
RETAIL - 9.9%
Catherines Stores Corporation*........... 28,400 156,200
Charming Shoppes, Inc.*.................. 38,500 194,906
Chico's FAS, Inc.*....................... 62,500 265,625
Claire's Stores, Inc. ................... 25,000 325,000
Lechters, Inc.*.......................... 3,400 17,212
Stanhome Inc. ........................... 17,800 471,700
The Talbots, Inc. ....................... 12,000 343,500
------------
1,774,143
------------
TECHNOLOGY - 7.0%
BGS Systems, Inc. ....................... 10,700 292,912
Dallas Semiconductor Corporation......... 7,600 175,031
ILC Technology, Inc.*.................... 27,500 357,500
Marshall Industries*..................... 3,900 119,223
National Computer Systems, Inc. ......... 12,000 306,000
------------
1,250,666
------------
Total Common Stocks
(Cost $15,494,520)..................... 15,966,022
------------
</TABLE>
<PAGE>
<PAGE>
SCHEDULES OF INVESTMENTS
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
PMF II
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
-----
<S> <C>
REPURCHASE AGREEMENT - 22.4%
State Street Bank and Trust Company, 4.90% dated
12/31/96, due 1/02/97, maturity value $4,001,089
(collateralized by U.S. Treasury Notes, 6.00% due
5/31/98, valued at $ 4,080,835)
(Cost $4,000,000)................................ $ 4,000,000
------------
<CAPTION>
Value
-----
TOTAL INVESTMENTS - 111.8%
(COST $19,494,520)............................... $ 19,966,022
LIABILITIES LESS CASH AND OTHER ASSETS - (11.8)%...
(2,108,841)
------------
NET ASSETS - 100.0%................................ $ 17,857,181
------------
------------
</TABLE>
* Non-income producing.
`DD' American Depository Receipt.
INCOME TAX INFORMATION - The cost of total investments for federal income tax
purposes was $19,497,392. At December 31, 1996, net unrealized appreciation for
all securities amounted to $468,630, consisting of aggregate gross unrealized
appreciation of $605,334 and aggregate gross unrealized depreciation of
$136,704.
- --------------------------------------------------------------------------------
ROYCE VALUE FUND
- --------------------------------------------------------------------------------
COMMON STOCKS - 93.0%
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
CONSUMER PRODUCTS - 13.4%
Allen Organ Company Cl. B................ 16,500 $ 655,875
Baldwin Piano & Organ Company*........... 11,800 132,750
Bassett Furniture Industries,
Incorporated........................... 19,800 485,100
Burnham Corporation Cl. A................ 6,370 187,915
Burnham Corporation Cl. B................ 4,040 119,180
Ethan Allen Interiors Inc. .............. 25,100 966,350
Farmer Bros. Co. ........................ 6,325 961,400
Garan Incorporated....................... 26,700 517,312
Genesee Corporation Cl. B................ 5,300 223,925
Gibson Greetings, Inc.*.................. 9,500 186,437
Guilford Mills, Inc. .................... 15,350 408,694
Haggar Corp. ............................ 18,600 295,275
J & J Snack Foods Corp.*................. 3,000 40,500
Johnson Worldwide Associates, Inc. Cl.
A*..................................... 26,900 356,425
Juno Lighting, Inc. ..................... 66,300 1,060,800
K-Swiss Inc. Cl. A....................... 12,600 124,425
La-Z-Boy Inc. ........................... 23,600 696,200
Lady Baltimore Foods, Inc. .............. 1,700 83,725
Lazare Kaplan International, Inc. *...... 38,300 655,887
Liberty Homes, Inc. Cl. A................ 25,900 346,412
Liberty Homes, Inc. Cl. B................ 21,950 289,466
Lifetime Hoan Corporation*............... 41,162 483,653
Matthews International Corporation Cl.
A...................................... 2,800 79,100
Midwest Grain Products, Inc.*............ 71,822 1,220,974
National Presto Industries, Inc. ........ 24,700 923,162
Oshkosh B'Gosh, Inc. Cl. A............... 15,200 231,800
The Rival Company........................ 40,800 1,014,900
Russ Berrie and Company, Inc. ........... 11,500 207,000
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
Seaboard Corporation..................... 1,850 $ 492,100
Skyline Corporation...................... 29,000 717,750
The L. S. Starrett Company Cl. A......... 8,400 238,350
The Stride Rite Corporation.............. 32,700 327,000
Sturm, Ruger & Company, Inc. ............ 51,000 988,125
Thomaston Mills, Inc. Cl. A.............. 22,500 253,125
Thor Industries, Inc. ................... 48,800 1,232,200
Thorn Apple Valley, Inc.*................ 25,900 343,175
The Topps Company, Inc.*................. 94,900 379,600
Velcro Industries N.V. .................. 16,400 1,025,000
WLR Foods, Inc. ......................... 26,450 327,319
Weyco Group, Inc. ....................... 7,200 289,800
------------
19,568,186
------------
CONSUMER SERVICES - 2.9%
Atlantic Southeast Airlines, Inc. ....... 38,600 844,375
Bob Evans Farms, Inc. ................... 3,200 43,200
Bowl America Incorporated Cl. A.......... 19,200 127,200
Jenny Craig, Inc. *...................... 41,200 365,650
Grey Advertising Inc. ................... 4,272 1,080,816
IHOP Corp. *............................. 5,200 122,850
International Dairy Queen, Inc. Cl. A*... 37,600 752,000
PCA International, Inc. ................. 22,000 357,500
Earl Scheib, Inc. *...................... 12,000 84,000
Shoney's, Inc. *......................... 34,700 242,900
True North Communications Inc. .......... 8,300 181,562
------------
4,202,053
------------
FINANCIAL INTERMEDIARIES - 12.7%
Alleghany Corporation*................... 7,931 1,681,372
ALLIED Group, Inc. ...................... 39,925 1,302,553
Argonaut Group, Inc. .................... 18,100 556,575
</TABLE>
<PAGE>
<PAGE>
SCHEDULES OF INVESTMENTS
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
ROYCE VALUE FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
FINANCIAL INTERMEDIARIES - (continued)
Baker Boyer Bancorp...................... 5,280 $ 196,680
Baldwin & Lyons, Inc. Cl. A.............. 16,800 298,200
Baldwin & Lyons, Inc. Cl. B.............. 41,700 766,237
Bar Harbor Bankshares.................... 5,700 206,625
W. R. Berkley Corp. ..................... 12,750 647,062
CU Bancorp............................... 10,172 118,250
The Commerce Group, Inc. ................ 29,900 754,975
Community Banks, Inc. ................... 10,890 283,140
Dauphin Deposit Corp. ................... 5,670 187,110
Equitable of Iowa Companies.............. 5,700 261,487
Exchange Bank............................ 1,580 102,305
Farmers & Merchants Bank of Long Beach... 264 488,400
The First National Bank of Anchorage..... 120 192,600
Fremont General Corporation.............. 31,920 989,520
Gryphon Holdings Inc. *.................. 30,000 423,750
Hanmi Bank............................... 20,737 243,660
Intercargo Corporation................... 9,500 81,344
Leucadia National Corporation............ 40,356 1,079,523
MAIC Holdings, Inc. *.................... 15,704 531,973
NYMAGIC, INC. ........................... 19,400 349,200
National Bancorp of Alaska, Inc. ........ 7,594 520,189
ONBANCorp, Inc. ......................... 6,311 234,296
Orion Capital Corporation................ 16,587 1,013,880
Pennsylvania Manufacturers Corporation
Cl. A.................................. 15,700 247,275
Piper Jaffray Companies Inc. ............ 33,600 525,000
Reliance Group Holdings, Inc. ........... 8,251 19,885
Student Loan Corporation................. 12,600 469,350
Transatlantic Holdings, Inc. ............ 4,200 338,100
Trenwick Group Inc. ..................... 23,200 1,073,000
Webster Financial Corporation............ 9,460 347,655
Wesco Financial Corporation.............. 5,900 1,103,300
Zenith National Insurance Corp. ......... 29,200 799,350
------------
18,433,821
------------
FINANCIAL SERVICES - 6.1%
E.W. Blanch Holdings, Inc. .............. 34,000 684,250
Comdisco, Inc. .......................... 26,732 848,741
Crawford & Company Cl. A................. 43,700 945,012
Crawford & Company Cl. B................. 21,050 481,519
Duff & Phelps Credit Rating Co. ......... 10,866 262,142
Eaton Vance Corp. ....................... 16,300 776,288
Arthur J. Gallagher & Co. ............... 38,800 1,202,800
Hilb, Rogal & Hamilton Company........... 2,000 26,500
Investors Financial Services
Corporation............................ 10,570 293,318
The John Nuveen Company Cl. A............ 13,000 344,500
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
New England Investment Companies,
L.P. .................................. 6,300 $ 152,775
Phoenix Duff & Phelps Corporation........ 27,800 198,075
The Pioneer Group, Inc. ................. 51,800 1,230,250
Poe & Brown, Inc. ....................... 4,800 127,200
T. Rowe Price Associates, Inc. .......... 5,000 217,500
SEI Corporation.......................... 6,200 137,950
Willis Corroon Group plc`DD'............. 89,300 1,026,950
------------
8,955,770
------------
HEALTH - 1.7%
Diagnostic Products Corporation.......... 5,400 139,725
Haemonetics Corporation*................. 72,800 1,374,100
Life Technologies, Inc. ................. 37,860 946,500
------------
2,460,325
------------
INDUSTRIAL PRODUCTS - 23.0%
Ag-Chem Equipment Co., Inc. *............ 35,400 646,050
American Filtrona Corporation............ 23,400 991,575
Ameron International Corporation......... 9,500 490,437
Ash Grove Cement Company................. 17,000 964,750
BHA Group, Inc. ......................... 14,905 240,343
BW/IP, Inc. Cl. A........................ 16,500 272,250
Blessings Corporation.................... 42,000 391,125
W. H. Brady Co. Cl. A.................... 36,500 898,812
Cascade Corp. ........................... 25,000 403,125
Central Steel & Wire Company............. 78 44,850
CLARCOR Inc. ............................ 15,200 336,300
ConBraCo Industries, Inc. ............... 1,500 652,500
Core Industries Inc. .................... 10,800 178,200
Curtiss-Wright Corporation............... 22,800 1,148,550
Delta Woodside Industries, Inc. ......... 47,388 302,099
DeVlieg-Bullard, Inc. *.................. 38,000 105,688
Donaldson Company, Inc. ................. 15,800 529,300
Eastern Co. ............................. 3,000 39,375
Fansteel Inc. *.......................... 47,800 298,750
Federal Signal Corporation............... 3,433 88,829
Giddings & Lewis, Inc. .................. 7,600 97,850
P. H. Glatfelter Company................. 46,200 831,600
Gorman-Rupp Company...................... 19,087 260,060
Greif Bros. Corporation Cl. A............ 20,400 576,300
C. H. Heist Corp. *...................... 14,512 112,468
Holophane Corporation*................... 3,600 68,400
International Aluminum Corporation....... 23,800 606,900
Kaman Corporation Cl. A.................. 16,800 218,400
Kaydon Corporation....................... 27,800 1,310,075
Kimball International, Inc. Cl. B........ 36,700 1,518,462
Knape & Vogt Manufacturing Company....... 12,370 204,105
</TABLE>
<PAGE>
<PAGE>
SCHEDULES OF INVESTMENTS
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
ROYCE VALUE FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
INDUSTRIAL PRODUCTS - (continued)
Lancer Corporation*...................... 8,325 $ 169,622
Lawter International, Inc. .............. 23,221 293,165
LeaRonal, Inc. .......................... 23,412 538,476
Lilly Industries, Inc. Cl. A............. 81,149 1,480,969
The Lincoln Electric Company Cl. A....... 22,500 680,625
Liqui-Box Corporation.................... 7,900 256,750
Lydall, Inc.*............................ 3,500 78,750
MacDermid, Incorporated.................. 20,400 561,000
Mine Safety Appliances Company........... 14,200 756,150
Minuteman International, Inc. ........... 18,100 162,900
The Monarch Cement Company............... 14,405 212,474
The Monarch Cement Company Cl. B......... 14,405 212,474
The Monarch Machine Tool Company......... 10,000 82,500
Moore Products Co. *..................... 14,300 257,400
Paul Mueller Company..................... 5,200 195,000
Myers Industries, Inc. .................. 34,755 586,491
Nordson Corporation...................... 9,900 631,125
Oil-Dri Corporation of America........... 12,366 185,490
The Oilgear Company...................... 13,400 201,000
Oregon Steel Mills, Inc. ................ 38,800 649,900
Oshkosh Truck Corporation Cl. B.......... 58,500 621,562
Penn Engineering and Manufacturing
Inc. .................................. 44,400 910,200
Pioneer Metals, Inc. *................... 1,000 215,000
Preformed Line Products Company.......... 21,200 832,100
Puerto Rican Cement Company, Inc. ....... 6,700 209,375
Regal-Beloit Corporation................. 12,600 247,275
Robroy Industries, Inc. Cl. A............ 21,225 397,969
Sealed Air Corporation*.................. 9,600 399,600
Simpson Manufacturing Co., Inc. *........ 20,200 464,600
The Standard Register Company............ 66,400 2,158,000
Steel of West Virginia, Inc. *........... 37,000 277,500
Tab Products Co. ........................ 59,500 528,063
Tecumseh Products Company Cl. A.......... 18,300 1,049,963
Tennant Company.......................... 3,800 104,500
Todd Shipyards Corporation*.............. 32,750 212,875
UNC, Inc. *.............................. 36,500 438,000
Versa Technologies, Inc. ................ 15,800 205,400
Watts Industries, Inc. Cl. A............. 17,800 424,975
Zero Corporation......................... 34,600 692,000
------------
33,408,746
------------
INDUSTRIAL SERVICES - 13.8%
ABM Industries Incorporated.............. 53,100 982,350
Aceto Corporation........................ 15,270 212,826
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
Air Express International Corporation.... 45,987 $ 1,483,081
Angelica Corporation..................... 8,500 162,562
Arnold Industries, Inc. ................. 83,948 1,332,674
Guy F. Atkinson Company of California*... 46,000 483,000
Banta Corporation........................ 16,425 375,722
Bowne & Co., Inc. ....................... 27,500 677,187
Camco International Inc. ................ 13,500 622,687
Dames & Moore............................ 32,800 479,700
Devcon International Corp. *............. 32,900 201,513
Ennis Business Forms, Inc. .............. 42,700 480,375
FCA International Ltd. *................. 54,300 85,185
Fisher Companies Inc. ................... 280 27,440
Frozen Food Express Industries, Inc. .... 62,846 565,614
G & K Services, Inc. Cl. A............... 13,250 500,188
Global Industries, Ltd. *................ 4,400 81,950
Gulfmark International Inc. *............ 4,100 237,800
The Harper Group......................... 57,337 1,361,754
Lawson Products, Inc. ................... 24,400 533,750
Lufkin Industries, Inc. ................. 29,500 737,500
Merrill Corporation...................... 30,900 710,700
New England Business Service, Inc. ...... 70,000 1,505,000
Nichols Research Corporation*............ 2,100 53,550
Offshore Logistics, Inc. *............... 15,600 302,250
Perini Corporation*...................... 42,600 332,813
Pittston Brinks Group.................... 6,000 162,000
Plenum Publishing Corporation............ 20,800 728,000
Rykoff-Sexton, Inc. ..................... 54,200 860,425
Standard Commercial Corporation*......... 42,400 858,600
Stone & Webster, Inc. ................... 25,000 787,500
TBC Corporation*......................... 67,500 506,250
Treadco, Inc. ........................... 7,500 78,750
The Turner Corporation*.................. 32,800 336,200
The Union Corporation*................... 11,300 258,488
Vallen Corporation*...................... 53,800 894,425
Werner Enterprises, Inc. ................ 2,700 48,937
------------
20,048,746
------------
NATURAL RESOURCES - 5.1%
Alamco, Inc. *........................... 20,000 225,000
Alico, Inc. ............................. 30,676 575,175
Avatar Holdings Inc.*.................... 15,952 510,464
Belden & Blake Corporation*.............. 5,000 127,500
CalMat Co. .............................. 71,100 1,333,125
Consolidated-Tomoka Land Co. ............ 12,000 199,500
Cousins Properties Incorporated.......... 11,300 317,812
Devon Energy Corporation................. 13,000 451,750
Equity Oil Company*...................... 16,200 49,613
</TABLE>
<PAGE>
<PAGE>
SCHEDULES OF INVESTMENTS
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
ROYCE VALUE FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
NATURAL RESOURCES - (continued)
Florida Rock Industries, Inc. ........... 50,300 $ 1,647,325
McFarland Energy, Inc.*.................. 10,600 128,525
The Newhall Land and Farming Company..... 57,600 972,000
Penn Virginia Corporation................ 9,950 465,162
Vornado Realty Trust..................... 5,250 275,625
Western Investment Real Estate Trust..... 7,200 93,600
------------
7,372,176
------------
RETAIL - 5.8%
J. Baker, Inc. .......................... 5,000 26,563
Blair Corporation........................ 20,500 394,625
Charming Shoppes, Inc.*.................. 57,200 289,575
Claire's Stores, Inc. ................... 11,500 149,500
Crown Books Corporation*................. 5,700 66,975
Dart Group Corporation Cl. A............. 4,900 455,700
Deb Shops Inc. .......................... 50,800 215,900
The Dress Barn, Inc.*.................... 86,700 1,300,500
Family Dollar Stores, Inc. .............. 82,000 1,670,750
Mikasa, Inc.*............................ 37,300 382,325
Pier 1 Imports, Inc. .................... 58,905 1,038,201
Sotheby's Holdings, Inc. Cl. A........... 66,200 1,232,975
Stanhome Inc. ........................... 47,500 1,258,750
------------
8,482,339
------------
TECHNOLOGY - 5.1%
American Power Conversion Corporation*... 5,900 160,775
Astrosystems, Inc.*...................... 18,900 89,775
Bell Industries, Inc.*................... 12,064 257,868
CEM Corporation*......................... 7,700 61,600
Cohu, Inc. .............................. 2,100 48,825
DH Technology, Inc.*..................... 7,775 186,600
Dallas Semiconductor Corporation......... 5,500 126,500
Dionex Corporation*...................... 12,800 448,000
Exar Corporation*........................ 73,900 1,145,450
Hach Company............................. 5,156 97,964
MacNeal-Schwendler Corporation........... 3,200 25,200
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
Marshall Industries*..................... 53,500 $ 1,638,438
Milgray Electronics, Inc.*............... 15,600 230,100
Modern Controls, Inc. ................... 9,200 96,600
National Computer Systems, Inc. ......... 47,200 1,203,600
Pioneer-Standard Electronics, Inc. ...... 16,925 222,141
Richardson Electronics, Ltd. ............ 18,200 150,150
Scitex Corporation Limited............... 102,100 969,950
Sunair Electronics, Inc.*................ 12,600 26,775
Woodhead Industries, Inc. ............... 11,100 152,625
XATA Corporation*........................ 10,000 71,250
------------
7,410,186
------------
UTILITIES - 0.4%
Southern Union Company*.................. 17,889 393,558
Southwest Water Company.................. 9,638 133,733
------------
527,291
------------
MISCELLANEOUS - 3.0%............................... 4,427,479
------------
Total Common Stocks
(Cost $96,269,252)............................... 135,297,118
------------
PREFERRED STOCKS - 0.3%
Bird Corp. $1.85 Conv. .................. 4,100 64,575
Sterling Financial Corporation $1.8125
Conv. Cum. ............................ 12,500 384,375
------------
Total Preferred Stocks
(Cost $352,557).................................. 448,950
------------
REPURCHASE AGREEMENT - 6.1%
State Street Bank and Trust Company, 4.90% dated
12/31/96, due 1/02/97, maturity value $8,802,396
(collateralized by U.S. Treasury Notes, 5.75% due
12/31/98, valued at $8,980,165)
(Cost $8,800,000)................................ 8,800,000
------------
TOTAL INVESTMENTS - 99.4%
(COST $105,421,809).............................. 144,546,068
CASH AND OTHER ASSETS LESS LIABILITIES - 0.6%......
864,612
------------
NET ASSETS - 100.0%................................ $145,410,680
------------
------------
</TABLE>
* Non-income producing.
`DD' American Depository Receipt.
INCOME TAX INFORMATION - The cost of total investments for federal income tax
purposes was $105,653,915. At December 31, 1996, net unrealized appreciation for
all securities amounted to $38,892,153, consisting of aggregate gross unrealized
appreciation of $44,156,718 and aggregate gross unrealized depreciation of
$5,264,565. The Fund designates $23,920,738 as a capital gain dividend for the
purpose of the dividend paid deduction.
<PAGE>
<PAGE>
SCHEDULES OF INVESTMENTS
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
ROYCE GIFTSHARES FUND
- --------------------------------------------------------------------------------
COMMON STOCKS - 61.3%
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
CONSUMER PRODUCTS - 6.5%
Aldila, Inc. *............................. 3,000 $ 14,531
Justin Industries, Inc. ................... 900 10,350
Lifetime Hoan Corporation*................. 1,500 17,625
Mackie Designs, Inc. *..................... 1,500 9,750
Midwest Grain Products, Inc. *............. 1,000 17,000
----------
69,256
----------
CONSUMER SERVICES - 2.6%
Buffets, Inc. *............................ 3,000 27,375
----------
FINANCIAL INTERMEDIARIES - 6.7%
Leucadia National Corporation.............. 500 13,375
Pennsylvania Manufacturers Corporation Cl.
A........................................ 1,300 20,475
Piper Jaffray Companies Inc. .............. 1,000 15,625
Zenith National Insurance Corp. ........... 800 21,900
----------
71,375
----------
FINANCIAL SERVICES - 6.7%
E.W. Blanch Holdings, Inc. ................ 1,200 24,150
Arthur J. Gallagher & Co. ................. 500 15,500
Phoenix Duff & Phelps Corporation.......... 2,000 14,250
Willis Corroon Group plc`DD'............... 1,500 17,250
----------
71,150
----------
HEALTH - 1.8%
Haemonetics Corporation*................... 1,000 18,875
----------
INDUSTRIAL PRODUCTS - 11.0%
Kaydon Corporation......................... 500 23,563
Lilly Industries, Inc. Cl. A............... 800 14,600
The Lincoln Electric Company Cl. A......... 400 12,100
Oregon Steel Mills, Inc. .................. 1,000 16,750
Penn Engineering and Manufacturing Inc. ... 1,000 20,500
Simpson Manufacturing Co., Inc. *.......... 600 13,800
Unifi, Inc. ............................... 500 16,063
----------
117,376
----------
INDUSTRIAL SERVICES - 13.0%
Arnold Industries, Inc. ................... 700 11,113
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
Bowne & Co., Inc. ......................... 400 $ 9,850
DIMON Incorporated......................... 1,200 27,750
Ennis Business Forms, Inc. ................ 1,500 16,875
New England Business Service, Inc. ........ 1,000 21,500
Rush Enterprises, Inc. *................... 1,500 18,000
Sevenson Environmental Services Inc. ...... 1,800 32,850
----------
137,938
----------
RETAIL - 8.6%
Catherines Stores Corporation*............. 3,900 21,450
The Dress Barn, Inc. *..................... 1,000 15,000
Family Dollar Stores, Inc. ................ 700 14,262
Sotheby's Holdings, Inc. Cl. A............. 600 11,175
Stanhome Inc. ............................. 800 21,200
The Talbots, Inc. ......................... 300 8,587
----------
91,674
----------
TECHNOLOGY - 4.4%
BGS Systems, Inc. ......................... 800 21,900
Marshall Industries*....................... 600 18,375
Scitex Corporation Limited................. 700 6,650
----------
46,925
----------
Total Common Stocks
(Cost $574,988).................................... 651,944
----------
REPURCHASE AGREEMENT - 28.2%
State Street Bank and Trust Company, 4.90%, dated
12/31/96, due 1/02/97, maturity value $300,082
(collateralized by U.S. Treasury Notes, 6.00% due
5/31/98, valued at $307,702) (Cost $300,000)....... 300,000
----------
TOTAL INVESTMENTS - 89.5% (COST $874,988)............
951,944
CASH AND OTHER ASSETS LESS LIABILITIES - 10.5%.......
111,645
----------
NET ASSETS - 100.0%.................................. $1,063,589
----------
----------
</TABLE>
* Non-income producing.
`DD' American Depository Receipt.
INCOME TAX INFORMATION - The cost for federal income tax purposes was $874,988.
At December 31, 1996, net unrealized appreciation for all securities amounted to
$76,956, consisting of aggregate gross unrealized appreciation of $87,769 and
aggregate gross unrealized depreciation of $10,813.
<PAGE>
<PAGE>
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<PAGE>
<PAGE>
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STATEMENT OF DIFFERENCES
The dagger symbol shall be expressed as.............. 'D'
The double dagger symbol shall be expressed as....... 'DD'
