PENNX vs. SPY

Last updated Jun 24, 2026

PENNX (Royce Pennsylvania Mutual Fund) and SPY (State Street SPDR S&P 500 ETF) are both funds - PENNX is a Small Cap Blend Equities fund managed by Royce Investment Partners, while SPY is a S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, PENNX returned 12.63%/yr vs 15.53%/yr for SPY. A 0.78 correlation means they provide meaningful diversification when combined. PENNX charges 0.92%/yr vs 0.09%/yr for SPY.

Performance

PENNX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Royce Pennsylvania Mutual Fund (PENNX) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PENNX achieves a 21.75% return, which is significantly higher than SPY's 8.15% return. Over the past 10 years, PENNX has underperformed SPY with an annualized return of 12.63%, while SPY has yielded a comparatively higher 15.53% annualized return.

PENNX

• 1D: 0.27%
• 1M: 5.53%
• YTD: 21.75%
• 6M: 19.17%
• 1Y: 36.82%
• 3Y*: 17.64%
• 5Y*: 9.45%
• 10Y*: 12.63%

SPY

• 1D: -1.45%
• 1M: -1.36%
• YTD: 8.15%
• 6M: 7.20%
• 1Y: 23.59%
• 3Y*: 20.68%
• 5Y*: 13.05%
• 10Y*: 15.53%

*Multi-year figures are annualized to reflect compound growth (CAGR)

PENNX vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
PENNX Royce Pennsylvania Mutual Fund	21.75%	9.02%	7.02%	26.82%	-17.18%	21.49%	14.11%	26.61%	-9.94%	16.00%
SPY State Street SPDR S&P 500 ETF	8.15%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between PENNX and SPY is 0.74, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.74
Correlation (3Y) Calculated over the trailing 3-year period	0.78
Correlation (5Y) Calculated over the trailing 5-year period	0.83
Correlation (10Y) Calculated over the trailing 10-year period	0.82
Correlation (All Time) Calculated using the full available price history since Jan 29, 1993	0.78

The correlation between PENNX and SPY has been stable across timeframes, ranging from 0.74 to 0.83 - a consistent structural relationship.

Return for Risk

PENNX vs. SPY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

PENNX

PENNX Risk / Return Rank: 67
PENNX Sharpe Ratio Rank: 62
PENNX Sortino Ratio Rank: 64
PENNX Omega Ratio Rank: 51
PENNX Calmar Ratio Rank: 85
PENNX Martin Ratio Rank: 75

SPY

SPY Risk / Return Rank: 59
SPY Sharpe Ratio Rank: 58
SPY Sortino Ratio Rank: 56
SPY Omega Ratio Rank: 57
SPY Calmar Ratio Rank: 56
SPY Martin Ratio Rank: 67

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

PENNX vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Royce Pennsylvania Mutual Fund (PENNX) and State Street SPDR S&P 500 ETF (SPY). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	PENNX	SPY	Difference
Sharpe ratio: Return per unit of total volatility	2.13	1.90	+0.23
Sortino ratio: Return per unit of downside risk	3.05	2.58	+0.47
Omega ratio: Gain probability vs. loss probability	1.36	1.34	+0.02
Calmar ratio: Return relative to maximum drawdown	3.81	2.67	+1.14
Martin ratio: Return relative to average drawdown	13.29	11.92	+1.37

PENNX vs. SPY - Sharpe Ratio Comparison

The current PENNX Sharpe Ratio is 2.13, which is comparable to the SPY Sharpe Ratio of 1.90. The chart below compares the historical Sharpe Ratios of PENNX and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

PENNX vs. SPY - Drawdown Comparison

The maximum PENNX drawdown since its inception was -57.00%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for PENNX and SPY.

Drawdown Indicators

	PENNX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-57.00%	-55.19%	-1.81%
Max Drawdown (1Y) Largest decline over 1 year	-10.21%	-8.88%	-1.33%
Max Drawdown (3Y) Largest decline over 3 years	-26.42%	-18.76%	-7.66%
Max Drawdown (5Y) Largest decline over 5 years	-27.58%	-24.50%	-3.08%
Max Drawdown (10Y) Largest decline over 10 years	-41.10%	-33.72%	-7.38%
Current Drawdown Current decline from peak	0.00%	-3.17%	+3.17%
Average Drawdown Average peak-to-trough decline	-9.39%	-9.04%	-0.35%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.92%	1.98%	+0.94%

Volatility

PENNX vs. SPY - Volatility Comparison

Royce Pennsylvania Mutual Fund (PENNX) has a higher volatility of 5.25% compared to State Street SPDR S&P 500 ETF (SPY) at 4.87%. This indicates that PENNX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PENNX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.25%	4.87%	+0.38%
Volatility (6M) Calculated over the trailing 6-month period	13.50%	9.85%	+3.65%
Volatility (1Y) Calculated over the trailing 1-year period	18.33%	12.50%	+5.83%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.78%	17.15%	+3.63%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.60%	17.95%	+3.65%

PENNX vs. SPY - Expense Ratio Comparison

PENNX has a 0.92% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

PENNX vs. SPY - Dividend Comparison

PENNX's dividend yield for the trailing twelve months is around 5.50%, more than SPY's 1.03% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PENNX Royce Pennsylvania Mutual Fund	5.50%	6.70%	9.35%	4.91%	5.19%	28.20%	5.05%	3.85%	23.68%	21.27%	7.15%	23.31%
SPY State Street SPDR S&P 500 ETF	1.03%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both PENNX and SPY in my portfolio?

PENNX and SPY have a correlation of 0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PENNX or SPY?

PENNX has higher volatility (5.25%) compared to SPY (4.87%). In terms of maximum drawdown, PENNX dropped -57.00% vs SPY's -55.19%.

Which has better risk-adjusted returns?

PENNX currently has the higher Sharpe Ratio (2.13 vs 1.90), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.