Penn Series Funds, Inc.

Annual Report

As of December 31, 2020

Available through Penn Mutual Variable Products

Limited Maturity Bond Fund

The Penn Series Limited Maturity Bond Fund returned 3.65% for the twelve-month period ending December 31, 2020, compared to the 3.33% return for its benchmark, the Bloomberg Barclays Capital U.S. Government/Credit 1-3 Year Bond Index, for the same period.

The Federal Reserve (Fed) implemented two emergency meeting interest rate cuts in early March bringing short-term rates back to zero as the coronavirus pandemic forced a nationwide shutdown. The United States economy has gradually recovered during the second half of the year but risks remain in light of the recent increase in COVID-19 cases. Fed policymakers expect to keep short-term rates at the zero lower bound through the end of 2023 given remaining uncertainty on the path of the pandemic. The Treasury 2-year note yield fell nearly 150 basis points during 2020 to finish the year at 0.12%.

Currently, we are modestly underweight duration, or interest rate risk, in the Fund. Even though short-term rates are likely to stay range-bound in 2021, improving news on the economy and inflation as vaccines are more widely distributed may force the Fed to reconsider its commitment to the current zero-interest-rate policy.

Performance benefited from our disciplined approach to duration and credit management during this year’s extraordinary market volatility. We are currently maintaining our overweight to high-quality structured securities including collateralized loan obligations, student loan asset-backed securities and securitized aircraft debt, while opportunistically reducing exposure within the more fully valued corporate sector.

Penn Mutual Asset Management, LLC
Investment Adviser

Cumulative Performance Comparison

An investment of $10,000 in the Limited Maturity Bond Fund on December 31, 2010 would have grown to $11,934. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Bloomberg Barclays Capital U.S. Government Credit 1–3 Year Bond Index, during the same period. A $10,000 investment in the Bloomberg Barclays Capital U.S. Government Credit 1–3 Year Bond Index on December 31, 2010 would have grown to $11,715.

Average Annual Total Returns1 as of 12/31/20
	1 Year		5 Year		10 Year
Limited Maturity Bond Fund	3.65%		2.84%		1.78%
Bloomberg Barclays Capital U.S. Government/Credit 1-3 Year Bond Index	3.33%		2.21%		1.60%

1	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

	Percent of Total Investments1
Corporate Bonds	44.6 %
Asset Backed Securities	29.3 %
Commercial Mortgage Backed Securities	12.1 %
U.S. Treasury Obligations	9.3 %
Residential Mortgage Backed Securities	4.7 %
	100.0%

1	Portfolio holdings are presented as a percentage of total investments before short-term investments.

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Quality Bond Fund

The Penn Series Quality Bond Fund returned 8.43% for the twelve-month period ending December 31, 2020, compared to the 7.51% return for its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index.

2020 witnessed historic financial market volatility in March as economies across the globe shut down to contain the spread of the coronavirus. The Federal Reserve (Fed) implemented two emergency meeting rate cuts bringing short-term rates back to zero and Treasury yields moved to record low territory. Credit spreads widened dramatically to the highest levels since the Great Financial Crisis. The extreme economic and financial market stress spurred numerous fiscal and monetary policy responses including new Fed facilities to purchase corporate bonds.

The unprecedented measures of government stimulus helped to fuel a recovery in both the economy and capital markets. Markets closed the year strongly after positive vaccine news was announced in early November. Investment grade corporate credit spreads ended 2020 at 96 basis points (bps), almost exactly where they started, with corporate bonds outperforming duration-matched Treasuries by 49 bps.

Opportunistic management of corporate and securitized debt during the extreme credit market volatility benefited Fund performance versus benchmark. Yield curve steepening during the second half of 2020 was also a positive contributor to Fund results.

We expect additional yield curve steepening in 2021 with mounting inflation pressures and record new supply likely to keep upward pressure on interest rates at the long-end of the yield curve. Current overweight positioning in the Fund include multi-family commercial mortgage-backed securities, securitized aircraft debt and high-quality collateralized loan obligations (CLOs).

Penn Mutual Asset Management, LLC
Investment Adviser

Cumulative Performance Comparison

An investment of $10,000 in the Quality Bond Fund on December 31, 2010 would have grown to $15,017. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, during the same period. A $10,000 investment in the Bloomberg Barclays U.S. Aggregate Bond Index on December 31, 2010 would have grown to $14,576.

Average Annual Total Returns1 as of 12/31/20
	1 Year		5 Year		10 Year
Quality Bond Fund	8.43%		5.24%		4.15%
Bloomberg Barclays U.S. Aggregate Bond Index	7.51%		4.44%		3.84%

1	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

	Percent of Total Investments1
Corporate Bonds	44.9 %
Commercial Mortgage Backed Securities	18.8 %
Residential Mortgage Backed Securities	13.4 %
Asset Backed Securities	13.3 %
U.S. Treasury Obligations	6.2 %
Municipal Bonds	3.4 %
	100.0%

1	Portfolio holdings are presented as a percentage of total investments before short-term investments.

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High Yield Bond Fund

The Penn Series High Yield Bond Fund returned 7.52% for the twelve-month period ending December 31, 2020, compared to the 5.48% return for its benchmark, the Credit Suisse High Yield Bond Index for the same time period.

After an emotional and tumultuous 10 months, 2020 ended very strong as markets began to increasingly price in a return to a more normalized economic environment. In addition, the expectation of political gridlock and thus incremental policy changes boosted risk appetite as the year closed. The high yield market rebounded sharply from its March and April lows thanks to strong fiscal and monetary stimulus. In addition, record new issuance helped alleviate corporate liquidity and maturity concerns. Treasury rates, the main driver of total returns, rallied sharply throughout the year with the 10-year falling about 90 basis points. The Credit Suisse High Yield Bond Index returned 5.7% in November and December 2020 alone, post positive vaccine and election news, driven by material outperformance in CCC credit and lower- rated energy bonds. Still, higher quality BB-rated bonds were the strongest performing segment of the market for the full year. Current valuations reflect materially lower expected defaults and downgrade activity for 2021 and 2022.

The Fund entered 2020 underweight energy and lower quality risk, which aided performance during the first quarter sell off. During the second quarter and throughout the remainder of 2020, the Fund added risk opportunistically while still maintaining its overall up-in-quality orientation. A few of the Fund's overweight sectors included secured airline paper, healthcare, industrials, and food and retail.

Penn Mutual Asset Management, LLC
Investment Adviser

Cumulative Performance Comparison

An investment of $10,000 in the High Yield Bond Fund on December 31, 2010 would have grown to $18,936. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Credit Suisse High Yield Bond Index, during the same period. A $10,000 investment in the Credit Suisse High Yield Bond Index on December 31, 2010 would have grown to $18,720.

Average Annual Total Returns1 as of 12/31/20
	1 Year		5 Year		10 Year
High Yield Bond Fund	7.52%		8.59%		6.59%
Credit Suisse High Yield Bond Index	5.48%		8.24%		6.47%

1	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

	Percent of Total Investments1
BB/B Rated	35.5 %
BBB/BB Rated & Above	22.2 %
BB Rated	15.3 %
B/CCC Rated	10.8 %
B Rated	8.3 %
Not Rated	3.0%
CCC and Below	2.8 %
Equity Securities	1.2 %
Loan Agreements	0.9 %
	100.0%

1	Portfolio holdings are presented as a percentage of total investments before short-term investments.

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Flexibly Managed Fund

The Penn Series Flexibly Managed Fund returned 17.83% for the twelve-month period ending December 31, 2020, compared to the 18.40% return of its benchmark, the S&P 500 Index for the same time period.

The portfolio posted a positive return but underperformed the all-equity S&P 500 Index in the 2020 calendar year. The portfolio’s equity holdings posted a strongly positive return, outpacing its S&P 500 Index benchmark. The portfolio’s fixed income holdings posted a positive return during the one-year period, slightly outperforming its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index.

U.S. stocks rose for the one-year period, despite the coronavirus pandemic and related economic dislocations. Equities declined sharply at the beginning of the year as the coronavirus spread quickly in the U.S., prompting government officials to close schools, nonessential businesses, and public facilities. Stocks rebounded during the second quarter, driven by the Federal Reserve’s and federal government’s massive stimulus efforts, as well as slowing global coronavirus infection rates. The rebound continued during much of the third quarter, as a faster-than-expected rebound in the economy coupled with reports of progress in developing several possible coronavirus vaccines and treatments boosted stocks. During the final months of the year, stocks benefited from reduced political uncertainty as Vice President Joe Biden defeated incumbent President Donald Trump in the November 3 presidential election. Stocks also received a major boost following positive announcements in the development and eventual distribution of approved coronavirus vaccines.

As always, we remain committed to finding the best risk-adjusted opportunities across the asset class spectrum to help balance our goals of preserving invested capital and generating equity-like returns over the long term with less risk than the broader equity market.

Our overall fixed income weight declined from the prior year, as we trimmed our allocations in high yield bonds and investment-grade corporates. Our largest exposure in fixed income is in bank loans, where we have found select issues that at current levels offer compelling risk-adjusted return profiles. We like that bank loans are at the top of the capital structure and the only fixed income asset class that benefits from rising interest rates; so should rates rise over the next few years off of near-historic levels, there could be additional upside.

Within equities, the information technology sector drove relative underperformance due to stock selection. Fiserv lagged within the very strong-performing information technology sector on significant disruption to its merchant acceptance business due to the coronavirus pandemic. An unexpected announcement in early May that the company’s CEO would retire in mid-2020 also raised some investor concern amid a challenging market environment. An overweight position in utilities further held back relative returns. Utilities lagged the broader market’s strong one-year return as investors mostly favored areas of the market with exposure to such things as e-commerce and the broader digitalization of the economy due to the circumstances that were caused by the coronavirus pandemic.

Conversely, the financials sector contributed to relative returns due to stock selection, while an underweight allocation was also beneficial. Intercontinental Exchange, a data service provider and global operator of exchanges, benefited from solid growth in data revenue throughout the year as well as from its less cyclical business model relative to many banks and capital markets companies. Health care also contributed due to stock choices such as Danaher. Diversified medical equipment and supplies conglomerate Danaher benefited from growing demand for diagnostic tools needed to test for the coronavirus, as well as from strong organic growth and margins from recently acquired Cytiva, formerly GE Healthcare Life Sciences. An underweight exposure to the energy sector also aided relative returns.

After a year dominated by the devastating impacts of the coronavirus pandemic, optimism has risen that the successful development of vaccines and their subsequent distribution will bring an end to economic harm the virus has left in its wake. This optimism has, however, broadened a market rally that had been more narrowly concentrated in perceived “COVID winners” earlier in 2020, leaving valuations constrained and compelling opportunities harder to come by. After initial expectations for a divided government, Democrats ultimately won control of both chambers of Congress as well as the White House, giving rise to hopes for additional economic relief. We have a balanced view of the current market and have positioned the portfolio accordingly. We remain focused on identifying high-quality businesses with strong fundamentals that we believe can deliver solid earnings and the potential for growth over the long term.

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Penn Mutual Asset Management, LLC
Investment Adviser
T. Rowe Price Associates, Inc.
Investment Sub-Adviser

Cumulative Performance Comparison

An investment of $10,000 in the Flexibly Managed Fund on December 31, 2010 would have grown to $31,210. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the S&P 500 Index, during the same period. A $10,000 investment in the S&P 500 Index on December 31, 2010 would have grown to $36,700.

Average Annual Total Returns1 as of 12/31/20
	1 Year		5 Year		10 Year
Flexibly Managed Fund	17.83%		12.90%		12.05%
S&P 500 Index	18.40%		15.22%		13.88%

1	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

	Percent of Total Investments1
Financial	20.0%
Consumer, Non-cyclical	19.8 %
Technology	15.6 %
Communications	12.4 %
Industrial	10.9 %
Utilities	10.6 %
Consumer, Cyclical	10.3 %
Basic Materials	0.0% 2
Asset Backed Securities	0.4 %
	100.0%

1	Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.
2	Less than 0.05%.

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Balanced Fund

The Penn Series Balanced Fund returned 14.77% for the twelve-month period ending December 31, 2020, compared to its benchmarks, the S&P 500 Index’s return of 18.40% and the Bloomberg Barclays U.S. Aggregate Bond Index’s return of 7.51% for the same time period.

The Balanced Fund is comprised of a target allocation of 60% to an equity fund and 40% to a fixed income fund. The equity allocation of the Fund is comprised of the Penn Series Index 500 Fund which seeks a total return that corresponds to that of the S&P 500 Index. The fixed income allocation of the Fund consists of an allocation to the Penn Series Quality Bond Fund.

At the broad asset class level, the Balanced Fund’s equity allocation performed in-line with its broad equity benchmark, the S&P 500 Index, for the twelve-month period. The Fund’s fixed income allocation outperformed the Bloomberg Barclays U.S. Aggregate Bond Index for the same period.

Quality Bond Fund’s yield curve positioning, credit risk positioning and exposure in structured products contributed positively to the performance.

Penn Mutual Asset Management, LLC
Investment Adviser

Cumulative Performance Comparison

An investment of $10,000 in the Balanced Fund on December 31, 2010 would have grown to $25,250. For the purpose of comparison, the graph also shows the change in the Fund’s benchmarks, the S&P 500 Index and the Bloomberg Barclays U.S. Aggregate Bond Index, during the same period. A $10,000 investment in the S&P 500 Index on December 31, 2010 would have grown to $36,700. A

$10,000 investment in the Bloomberg Barclays U.S. Aggregate Bond Index on December 31, 2010 would have grown to $14,576.

Average Annual Total Returns1 as of 12/31/20
	1 Year		5 Year		10 Year
Balanced Fund	14.77%		10.92%		9.70%
S&P 500 Index	18.40%		15.22%		13.88%
Bloomberg Barclays U.S. Aggregate Bond Index	7.51%		4.44%		3.84%

1	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

Asset Allocation Target as of 12/31/20
Index 500	60.0%
Intermediate Bonds	40.0%
	100.0%

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Large Growth Stock Fund

The Penn Series Large Growth Stock Fund returned 37.01% for the twelve-month period ending December 31, 2020, compared to the 38.49% return for its benchmark, the Russell 1000 Growth Index for the same time period.

Stock selection was responsible for relative underperformance, although the negative impact was partially offset by beneficial sector allocation. Information technology was the largest relative underperformer, followed by consumer discretionary and industrials and business services. Communication services and consumer staples were major relative contributors.

U.S. stocks rose for the one-year period, despite the coronavirus pandemic and related economic dislocations. Equities declined sharply at the beginning of the year as the coronavirus spread quickly in the U.S., prompting government officials to close schools, nonessential businesses, and public facilities. Stocks rebounded during the second quarter, driven by the Federal Reserve’s and federal government’s massive stimulus efforts, as well as slowing global coronavirus infection rates. The rebound continued during much of the third quarter, as a faster-than-expected rebound in the economy coupled with reports of progress in developing several possible coronavirus vaccines and treatments boosted stocks. During the final months of the year, stocks benefited from reduced political uncertainty as Vice President Joe Biden defeated incumbent President Donald Trump in the November 3 presidential election. Stocks also received a major boost following positive announcements in the development and eventual distribution of approved coronavirus vaccines. Large-cap shares outperformed their smaller peers. As measured by various Russell indices, growth stocks soundly outperformed value across all market capitalizations.

In information technology, stock choices detracted from relative results. Our underweight position in Apple detracted from relative performance as shares outperformed over the past 12 months, driven by strength from Mac and iPad (which benefited from work and learn-at-home dynamics) and better-than-feared iPhone results. We maintain an underweight position relative to the benchmark due to concerns over saturation and elongation of replacement cycles for smartphones and Apple’s ability to grow services enough to sustain high levels of growth.

Security selection in consumer discretionary also weighed on relative performance, driven by holdings in Alibaba Group Holding. However, the negative impact was slightly offset by a favorable overweight. Shares of Alibaba came under pressure following the announcement of an antitrust investigation and the cancellation of the Ant IPO, a company in which Alibaba owns a 33% stake. Alibaba continues its dominance in China’s fast-growing e-commerce industry, taking share from offline that is highly fragmented and underdeveloped.

Unfavorable stock choices in industrials and business services hindered relative results. Within the sector, our position in Boeing held back relative performance.

In contrast, the communication services sector contributed to relative returns due to strong stock choices, such as Snap. Shares of the company gained over the past 12 months due to increased user growth and engagement in response to social distancing measures, as well as higher advertiser demand and a mix shift toward higher-priced advertising solutions.

An underweight to consumer staples further contributed to relative performance as the defensive sector lagged the market in a risk-on environment.

Rapid progress with a first wave of new vaccines based on messenger RNA technology is clearly the most positive sign for the year ahead. As the pandemic hopefully recedes and economies reopen, a broader economic recovery is likely to benefit many of the sectors that were most damaged by the virus, such as travel and leisure. While a rapid economic recovery could also bring an accelerated earnings recovery, this might not translate into strong equity returns, with much of the recovery already priced into the markets. Investors seeking value opportunities will need to be careful about stock selection—seeking out companies that appear well positioned to emerge from the pandemic with lasting competitive advantages, while avoiding firms that face longer-term secular challenges.

Penn Mutual Asset Management, LLC
Investment Adviser
T. Rowe Price Associates, Inc.
Investment Sub-Adviser

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Large Cap Growth Fund

The Penn Series Large Cap Growth Fund returned 22.14% for the twelve-month period ending December 31, 2020, compared to the 38.49% return for its benchmark, the Russell 1000 Growth Index for the same time period.

Markets experienced an extraordinarily sharp selloff early in the period and, in many cases, an unusually rapid recovery later. Central banks and fiscal authorities undertook astonishing levels of stimulus to offset the economic effects of government-imposed social-distancing measures implemented to slow the spread of the COVID-19 virus. At this point, the global economy looks to have experienced the deepest, steepest and possibly shortest recession in the postwar period. However, the recovery remains subject to more than the usual number of uncertainties due to questions about the evolution of the virus, what its continued impact will be and how quickly vaccines to guard against it can be manufactured and distributed at scale, as well as the public's willingness to be inoculated.

Around the world, central banks responded quickly and massively to the crisis with programs to improve liquidity and support markets. These programs proved largely successful in helping to restore market function, ease volatility and stimulate a continued market rebound. Late in the period, the U.S. Federal Reserve adopted a new, flexible average-inflation-targeting framework, which is expected to result in the federal funds rate remaining at low levels longer than under its previous model. In developed countries, monetary easing measures were complemented by unusually large fiscal stimulus initiatives. Due to relatively manageable external liabilities and balances of payments in many countries, along with persistently low inflation, even emerging market countries were able to implement countercyclical policies — a departure from the usual market-dictated response to risk-off crises.

Compounding market uncertainty earlier in the pandemic was a crash in the price of crude oil due to a sharp drop in global demand and a disagreement between Saudi Arabia and Russia over production cuts, which resulted in an oil price war. The subsequent decline in prices undercut oil exporters, many of which are in emerging markets, as well as a large segment of the high-yield credit market. The OPEC+ group later agreed on output cuts, with shale oil producers in the U.S. also decreasing production, which, along with the gradual reopening of

some major economies and the resultant boost in demand, helped stabilize the price of crude oil.

In the immediate aftermath of the market disruption that accompanied the initial phases of the pandemic, many companies that had added significant leverage to their balance sheets in recent years by borrowing to fund dividend payments and stock buybacks halted those activities and some companies were forced to recapitalize. As markets and the economy stabilized later in the period, in many cases dividend payments and buybacks resumed. Conversely, some companies found themselves flush with liquidity, having borrowed preemptively during the worst of the crisis, only to end up with excess cash on their balance sheets.

Security selection and, to a lesser extent, an underweight position in both the information technology and consumer discretionary sectors weakened performance relative to the Russell 1000 Growth Index. Within the information technology sector, underweighting shares of computer and personal electronics maker Apple, not holding shares of computer graphics processor maker NVIDIA and the portfolio's overweight positions in financial technology service providers Fidelity National Information Services and Fiserv weighed on relative returns. Within the consumer discretionary sector, not holding shares of electric vehicle manufacturer Tesla and internet retailer Amazon.com, as well as the timing of the portfolio's overweight position in hotel operator Marriott, hurt relative results.

An overweight allocation to the financials sector also detracted from relative performance. Here, the portfolio's overweight position in risk management and human capital consulting services provider Aon hindered relative results as the stock lagged the benchmark over the reporting period.

Elsewhere, overweighting shares of medical technology companies Becton, Dickinson & Co. and Boston Scientific held back relative returns as both stocks declined during the reporting period.

Stock selection in both the industrials and health care sectors was a primary factor that benefited relative performance over the reporting period. Within the industrials sector, not holding shares of aerospace company Boeing and defense contractor Lockheed Martin both supported relative returns. Within the health care sector, not holding pharmaceutical company Merck & Co., biotechnology firm Amgen and health insurance and Medicare/Medicaid provider UnitedHealth Group, as

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well as the timing of the portfolio's underweight position in pharmaceutical firm Eli Lilly, lifted relative performance.

Not holding any securities in the underperforming real estate sector also aided relative results. Here, not owning shares of broadcast and communication tower management firm American Tower and retail real estate property manager Simon Property were contributors to relative performance.

Stocks in other sectors that added positive relative value to performance included not holding poor-performing beverage manufacturer Coca-Cola and owning shares of strong-performing semiconductor firm Taiwan Semiconductor Manufacturing.

Penn Mutual Asset Management, LLC
Investment Adviser
MFS Investments
Investment Sub-Adviser

Cumulative Performance Comparison

An investment of $10,000 in the Large Cap Growth Fund on December 31, 2010 would have grown to $32,825. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Russell 1000 Growth Index, during the same period. A $10,000 investment in the Russell 1000 Growth Index on December 31, 2010 would have grown to $48,929.

Average Annual Total Returns1 as of 12/31/20
	1 Year		5 Year		10 Year
Large Cap Growth Fund	22.14%		18.48%		12.62%
Russell 1000 Growth Index	38.49%		21.00%		17.21%

1	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

	Percent of Total Investments1
Technology	30.6 %
Consumer, Non-cyclical	24.1 %
Communications	12.1 %
Financial	11.1 %
Consumer, Cyclical	11.0%
Industrial	9.7 %
Basic Materials	1.4 %
	100.0%

1	Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.

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Large Core Growth Fund

The Penn Series Large Core Growth Fund returned 75.49% for the twelve-month period ending December 31, 2020, compared to the 38.49% return for its benchmark, the Russell 1000 Growth Index for the same time period.

U.S. equities reversed a steep sell-off caused by the COVID-19 pandemic shock, aided by massive fiscal and monetary stimulus that kept liquidity flowing and supported a faster-than-expected rebound in economic activity. Promising vaccine news throughout the year, along with the start of vaccine distribution across the U.S. and Europe in December 2020, also helped investors look past resurgences of the virus and renewed curbs on social and business activity that have slowed the economic recovery in the short term. Political uncertainty eased after the U.S. election in November 2020, with markets taking a positive stance on a Biden administration and the prospect for additional fiscal stimulus in 2021.

Within the Russell 1000 Growth Index, consumer discretionary, information technology and communication services were the top-performing sectors for the year, while energy (the only sector with a negative return), real estate and industrials were the weakest performers.

Counterpoint Global seeks high quality companies, which we define primarily as those with sustainable competitive advantages. We manage concentrated portfolios that are highly differentiated from the benchmark, with securities weighted on our assessment of the quality of the company and our conviction. The value added or detracted in any period of time will result from stock selection, given our philosophy and process. For the year, the Fund outperformed the Index.

The long-term investment horizon and conviction-weighted investment approach embraced by the team since 1998 can result in periods of performance deviation from the benchmark and peers. The Fund outperformed the Index in this reporting period largely due to favorable stock selection. Sector allocation had a neutral impact on relative performance.

Stock selection was the strongest across the information technology sector. Eight of the Fund’s top 10 largest contributors to relative performance were from the information technology sector. In addition, stock selection in the health care, industrials, communication

services, materials, financials and consumer discretionary sectors moderately contributed to relative outperformance.

Given the magnitude of the Fund’s outperformance relative to the benchmark, there were no meaningful sector detractors from performance. An overweight to the materials sector was unfavorable on a relative basis but was more than offset by the outperformance of our stock selection in the sector. An underweight to the consumer discretionary sector marginally detracted as well but was countered by a small relative gain from stock selection there, resulting in an overall neutral impact on relative performance.

As a team, we believe having a market outlook can be an anchor. Our focus is on assessing company prospects over a five-year horizon, and owning a portfolio of unique companies whose market value we believe can increase significantly for underlying fundamental reasons.

Penn Mutual Asset Management, LLC
Investment Adviser
Morgan Stanley Investment Management
Investment Sub-Adviser

Cumulative Performance Comparison

An investment of $10,000 in the Large Core Growth Fund on December 31, 2010 would have grown to $51,176. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Russell 1000 Growth Index, during the same period. A $10,000 investment in the Russell 1000 Growth Index on December 31, 2010 would have grown to $48,929.

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Large Cap Value Fund

The Penn Series Large Cap Value Fund returned 2.32% for the twelve-month period ending December 31, 2020, compared to the 2.80% return for its benchmark, the Russell 1000 Value Index for the same time period.

U.S. markets recorded positive returns for the 12-month period ended December 31, 2020, erasing losses from lows reached in late March when the COVID-19 pandemic triggered a sharp decline. During the early stages of the recovery, global economies rebounded from record GDP contractions, supported by extensive monetary and fiscal stimulus, expedited vaccine development, and improving economic data. Favorable news about the efficacy of coronavirus vaccination candidates helped offset market volatility prompted by an inability to control the spread of the virus in many countries, a potentially contested U.S. presidential election and lack of additional U.S. fiscal stimulus. At the end of the period—despite surging infection rates and the emergence of a seemingly more transmissible strain of the virus—optimism over the start of vaccine distribution, clarity following the U.S. elections, and passage of both a U.S. relief package and a post-Brexit trade deal fueled a broad-based rally. For the 12-month period, large-cap stocks, led by U.S. technology companies, narrowly outperformed small-cap stocks, while growth stocks outperformed value stocks significantly in both the large- and small-cap categories.

For the year, the portfolio rose in absolute terms but, net of fees, underperformed its benchmark, the Russell 1000 Value Index, which was up 2.8%. Security selection detracted from relative performance, while sector selection contributed. Security selection within financials and industrials detracted, offsetting contributions from security selection within technology and an underweight to the energy.

Leading contributors to full-year relative returns included Alexion, after global pharmaceutical company, AstraZeneca, announced plans to acquire the rare disease drugmaker. Roche contributed as the market rewarded large-cap pharmaceutical companies as the coronavirus crisis persisted. Importantly, Roche has one of the highest returns on capital in the industry with a robust pipeline, free-cash-flow yield, and an attractive dividend yield. Walmart contributed as the discount retailer maintained sales momentum during the pandemic, continuing to serve customers both physically and digitally, with effective margin management.

Wells Fargo detracted from full-year relative returns due to investor uncertainty after the U.S. Federal Reserve (the Fed) committed to keeping interest rates low through 2022, introducing further doubt for the bank’s already precarious growth prospects. Midyear, Wells Fargo failed the Fed’s bank stress tests and, as a result, had to cut its dividend. Raytheon Technologies detracted as investors became worried about lower defense spending and aerospace weakness early in the year due to COVID-19. Toward the end of the year, vaccine news helped spur optimism that commercial air travel may begin to improve over the medium term. Phillips 66 detracted, due to a sharp decline in oil as prices and demand fell dramatically during the beginning stages of the pandemic. Weakness was further exacerbated by a Saudi-Russia oil price war during the first-quarter of the year.

Value has experienced historic underperformance versus growth this year, as COVID-19 has pressured many non-technology business models and investors have rewarded many work-from-home growth beneficiaries. This year’s challenges are providing an excellent opportunity to assess both business models and corporate cultures. We’re comforted by the fact that the portfolio continues to exhibit strong underlying fundamental integrity, while trading at attractive valuations versus the market. We remain optimistic about the recent broadening of the market and believe that vaccine deployment and extreme monetary and fiscal stimulus support a GDP recovery and possibly reflation in 2021. We seek to own attractively valued companies that are good businesses exhibiting signs of improving success. The portfolio’s holdings have attractive fundamentals that are consistent with our philosophy—high free-cash-flow yields, low earnings variability and low leverage. These well-managed companies deploy capital wisely, allowing them to grow dividends and enhance the long-term value of their shares.

Penn Mutual Asset Management, LLC
Investment Adviser
AllianceBernstein
Investment Sub-Adviser

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Large Core Value Fund

The Penn Series Large Core Value Fund returned 2.66% for the twelve-month period ending December 31, 2020, compared to the 2.80% return for its benchmark, the Russell 1000 Value Index for the same time period.

Following a relatively benign start to the year, the capital markets were upended in March with the emergence of a global pandemic as COVID-driven market volatility forced price declines across asset classes and market segments. As it became apparent that “social distancing” was one of the best ways to combat the virus, nations around the world ordered citizens to stay at home. Economic activity declined dramatically and weekly U.S. unemployment claims reached a record level of 6.6 million in the final full week of March.

Around the world, the U.S. Federal Reserve and other central banks rolled out stimulus programs to shore up their economies. The decline in asset classes quickly reversed across the capital markets with continued gains in both the second and third quarters of 2020. As October turned to November, Joe Biden’s decisive victory in the U.S. presidential election eased the political uncertainty in the market. That event, coupled with the announcement that two coronavirus vaccine candidates had proven more than 90% effective in late-stage trials, led investors to shift their focus from current mystery to the potential for a strong recovery in the second half of 2021.

Despite the multitude of challenges investors faced in 2020, most equity markets delivered double-digit gains over the period. The S&P 500 Index returned 18.40%, the Russell 2000 Index posted a 19.96% gain, while in international markets, the MSCI EAFE notched a more modest 7.82% return.

As has been the trend over the last several years, growth stocks continued their dominance over value stocks during the period. The Russell 1000 Growth Index outperformed the Russell 1000 Value Index by a whopping 35%, with the Indices delivering returns of 38.49% and 2.80% respectively.

The cumulative effect on relative performance for both security selection and sector allocation were roughly flat over the period. Eight of the 11 of the economic sectors within the Index registered positive returns, with materials, health care, and industrials delivering the strongest returns.

Stock selection results were additive across five of the 11 sectors, with the largest selection gains in financials, consumer discretionary, and real estate. The top relative contributor for the period was an overweight position in biopharmaceutical company Gilead Sciences. Within financials, the Fund’s position in insurance company Progressive and the avoidance of Wells Fargo, which underperformed the Index by a wide margin, contributed to relative performance. Within Consumer Discretionary, the Fund’s positions in Lowe’s and Tractor Supply aided relative performance. Elsewhere, the Fund’s position in Industrials company Parker-Hannifin and not owning AT& T benefited performance results.

Stock selection results were negative across six of the 11 sectors for the period, with the most challenged selection results within industrials and health care. The Fund’s three largest detractors over the period were positions in Industrials companies Hexcel, Boeing, and Huntington Ingalls Industries. Within health care, an overweight position in Johnson & Johnson and not owning Danaher hurt relative performance. Elsewhere, positions in Walmart, oilfield services company Schlumberger, and American International Group detracted.

Penn Mutual Asset Management, LLC
Investment Adviser
Eaton Vance Management
Investment Sub-Adviser

Cumulative Performance Comparison

An investment of $10,000 in the Large Core Value Fund on December 31, 2010 would have grown to $24,898. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Russell 1000 Value Index, during the same period. A $10,000 investment in the Russell 1000 Value Index on December 31, 2010 would have grown to $27,148.

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Index 500 Fund

The Penn Series Index 500 Fund returned 18.35% for the twelve-month period ending December 31, 2020, compared to the 18.40% return for its benchmark, the S&P 500 Index for the same time period.

The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The economic landscape was justifiably dominated by the COVID-19 pandemic throughout most of the developed world during 2020. The U.S. fell hard to the virus from both health and economic perspectives. The S&P 500 did not start the year off strong (-19.6% in Q1) as the virus emerged and uncertainty followed. Companies began altering the ways that they operate amid ever-changing social distancing orders. The Index recouped its value in Q2 (+20.5%) as both consumers and businesses learned to adapt to the new terrain. Many Technology and Materials stocks actually benefitted from the various regional lockdowns and easily offset laggards such as Consumer Staples. For the overall calendar year, the Index gained 18.4% buoyed by the increased demand of technology, the U.S. Presidential election build up, federal stimulus legislation, and the hope for FDA approval of multiple COVID vaccines, which came to fruition as the year was coming to a close. The big non-COVID related event within the Index this past year was the long-anticipated addition of Tesla that finally occurred in mid-December. At the time of the official announcement, Tesla was ranked as the 12th largest U.S. company. The stock continued to ascend and finished the year a short time later with the fifth highest weight in the Index at just under 2%.

On an individual security level, the top positive contributors to the Fund’s performance during the reporting period were Apple Inc., Amazon.com, Inc., and Microsoft Corporation. The top negative contributors to the Fund’s performance during the reporting period were AT&T Inc., Wells Fargo & Company, and Exxon Mobil Corporation.

Penn Mutual Asset Management, LLC
Investment Adviser

State Street Global Advisors
Investment Sub-Adviser

Cumulative Performance Comparison

An investment of $10,000 in the Index 500 Fund on December 31, 2020 would have grown to $35,545. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the S&P 500 Index, during the same period. A $10,000 investment in the S&P 500 Index on December 31, 2010 would have grown to $36,700.

Average Annual Total Returns1 as of 12/31/20
	1 Year		5 Year		10 Year
Index 500 Fund	18.35%		14.89%		13.52%
S&P 500 Index	18.40%		15.22%		13.88%

1	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

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Mid Cap Growth Fund

The Penn Series Mid Cap Growth Fund returned 49.48% for the twelve-month period ending December 31, 2020, compared to the 35.59% return for its benchmark, the Russell Midcap Growth Index for the same time period.

During the period, all sectors in the Index and Fund posted positive returns, except for energy, which suffered from global shelter-in-place mandates. Sector overweights and underweights were an overall detractor to the Fund’s relative performance; however, stock selection – the expected primary driver of returns for the strategy – more than made up for the negative performance.

The strongest sector contribution to relative outperformance came from information technology, followed by industrials, consumer discretionary, health care, financials, consumer staples and materials. We had no exposure to the real estate sector. Detractors to performance came from energy and communication services and utilities by way of no holdings in a very small allocation within the Index. Equity options detracted from performance by way of exposure throughout the calendar year to portfolio insurance in lieu of raising excess cash. While there was tremendous uncertainty throughout the period due to significant macroeconomic disruptions, the market largely shrugged off the uncertainty and thus, the portfolio insurance was not needed. Cash, as would be expected in a strong market environment, was also a drag on performance.

Information technology was the largest allocation and strongest relative contributor within the Fund for the measurement period. As the sector outperformed within the Index, our underweight position detracted to relative outperformance while our stock selection more than offset the underweight as the strongest returns to the Fund. The top three relative contributors to performance were Twilio, Inc., DocuSign, Inc. and Square, Inc.

Communication services was the largest relative detractor. We continue to gain exposure to this sector through two names, Twitter, Inc. and Electronic Arts, Inc., which is not held in the benchmark. While both posted solid positive absolute results and were relative contributors to performance, it was our lack of exposure to names like Roku, Spotify and Pinterest that created the drag on overall relative performance.

We witnessed a serious pandemic-wrought corporate profit recession in 2020, which was swiftly and steeply

discounted by gobsmacked investors. The recovery was also swift and even larger in magnitude, carried along by government stimulus, global interest rate maneuvering and a belief in the resilience of economies, particularly the domestic economy. While we believe world economies will recover and grow as vaccine distributions accelerate, we fear the underlying economic damage may be deeper than reflected in current equity levels. We wouldn’t be surprised to see the market pause while it digests the spectacular gains of the past six months, especially of companies that “over earned” during the pandemic. We believe inflation and interest rates could surprise to the upside as a result of persistent supply chain disruptions related to the lockdowns, as well as strong generational demand for housing in an under-inventoried market. Should this scenario occur, there is a risk the Federal Reserve could lag in its response, given its recent accommodative posture. While stock picking is always key to our process and performance, it will be paramount in this environment as we seek to manage valuation risk in the portfolio, while investing in durable growers, both secularly and cyclically.

Penn Mutual Asset Management, LLC
Investment Adviser
Ivy Investment Management
Investment Sub-Adviser

Cumulative Performance Comparison

An investment of $10,000 in the Mid Cap Growth Fund on December 31, 2010 would have grown to $38,593. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Russell Midcap Growth Index, during the same period. A $10,000 investment in the Russell Midcap Growth Index on December 31, 2010 would have grown to $40,613.

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Mid Cap Value Fund

The Penn Series Mid Cap Value Fund returned (12.29%) for the twelve-month period ending December 31, 2020 to the 4.96% return for its benchmark, the Russell Midcap Value Index for the same time period.

Small and mid-cap stocks staged a big bounce off their bear market bottoms, but have significantly lagged larger capitalization and growth stocks. During April, the Fund outperformed the Russell Mid Cap Value Index, which was up 13% for the month. Despite outperforming in April, the Fund lagged the index for the first four months of 2020.

The shelter in place rules were successful, at least temporarily, in reducing the spread of COVID-19. However, economic activity was severely impacted, with GDP and employment falling at a record pace, quickly inducing a severe global recession. Stock prices reacted adversely to the downside. In unprecedented fashion, monetary authorities and governments around the world were quick to flood the markets with record amounts of liquidity. This policy response, coupled with extraordinary medical efforts leading to positive advances in treating COVID-19 and developing a vaccine against it, led investors to quickly bid up stocks ending the bear market.

The commentary provided above was from the former sub-adviser of the Fund, Neuberger Berman Investment Advisers LLC, who was the manager of the Fund until April 30, 2020.

Equities ended 2020 with strong positive performance despite heightened volatility. In the first quarter, stocks declined sharply after the COVID-19 pandemic halted travel and disrupted supply chains. The Federal Reserve responded aggressively, cutting policy rates to zero, and Congress passed a $2 trillion economic stimulus package. Equities staged a dramatic comeback in the second quarter and continued to rally through year-end as lower-quality factors such as high-beta stocks and non-earners drove the Index. Growth outperformed value across all market-cap segments. During the fourth quarter, the magnitude of growth’s outperformance narrowed as cyclicals such as energy and financials led the market higher. The emergency approval of several COVID-19 vaccines also helped boost market performance, as it raised hopes for a return to normalcy in 2021.

The Portfolio delivered positive returns but underperformed its benchmark, the Russell Midcap Value Index, for the period spanning the Portfolio’s inception date of May 1, 2020, through December 31, 2020. Stock selection in technology, materials and communication services detracted from relative performance. Stock selection in consumer discretionary and underweight allocations to energy and utilities contributed to relative results.

Technology was the Portfolio’s biggest detractor on a relative basis due to stock selection, followed by real estate, where both selection and an overweight allocation dragged on results. Equity Commonwealth, a real estate investment trust specializing in commercial office properties, and Equity Lifestyle Properties, the leading operator of manufactured home communities, RV resorts and campgrounds, were the largest detractors at the individual stock level.

Owing to the Portfolio’s sector underweight, energy was the biggest contributor to relative results. Stock selection in consumer discretionary was a bright spot, with Levi Strauss & Co. outperforming as it continued to successfully sell products in the direct-to-consumer channel. The largest individual contributor to relative performance was Discover Financial Services, which benefited late in the period from positive sentiment that the COVID-19 vaccine will lead to a quick recovery and fewer credit losses.

2020 saw unprecedented stimulus by governments and central banks globally, and while the amount could slow meaningfully, it is our belief that stimulus will not go away. In the U.S., stimulus programs that showered the markets with liquidity allowed even consumers who were temporarily unemployed to have greater discretionary income than if they had been working. Undoubtedly, these coordinated efforts helped to boost the prices of risk assets around the world. Even though the U.S. will run a $3 trillion budget deficit this year, we believe the will to spend more at the fiscal level likely will continue, thus providing a further tailwind for markets.

At least for the coming year, we believe the value segment is well positioned. We remain convinced that over the long term, investing in companies with strong balance sheets, durable franchises and other quality attributes will again become important contributors to outperformance.

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The commentary provided above is from the current sub-adviser of the Fund, Janus Capital Management, LLC, who assumed day-to-day management of the Fund on May 1, 2020.

Penn Mutual Asset Management, LLC
Investment Adviser
Janus Capital Management, LLC
Investment Sub-Adviser

Cumulative Performance Comparison

An investment of $10,000 in the Mid Cap Value Fund on December 31, 2010 would have grown to $18,427. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Russell Midcap Value Index, during the same period. A $10,000 investment in the Russell Midcap Value Index on December 31, 2010 would have grown to $27,115.

Average Annual Total Returns1 as of 12/31/20
	1 Year		5 Year		10 Year
Mid Cap Value Fund	(12.29%)		3.69%		6.30%
Russell Midcap Value Index	4.96%		9.73%		10.49%

1	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

	Percent of Total Investments1
Financial	34.0%
Industrial	16.9 %
Consumer, Cyclical	11.7 %
Technology	11.1 %
Utilities	7.6 %
Consumer, Non-cyclical	7.1 %
Basic Materials	6.3 %
Communications	4.3 %
Energy	1.0%
	100.0%

1	Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.

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Mid Core Value Fund

The Penn Series Mid Core Value Fund returned 1.60% for the twelve-month period ending December 31, 2020, compared to the 4.96% return for its benchmark, the Russell Midcap Value Index for the same time period.

Broad U.S. equity markets ended the year higher despite volatility in the first quarter, when markets plunged dramatically on pandemic fears and heightened global economic uncertainty. Stocks rapidly entered bear market territory as coronavirus containment efforts disrupted economic activity and fueled massive unemployment. Stocks recovered ground in the second quarter after the Federal Reserve intervened with several aggressive stimulus measures and Congress passed a $2 trillion economic relief package. This market recovery extended through the second half of the year, supported by stronger-than-expected economic and earnings growth. The approval of several COVID-19 vaccines and the passage of additional fiscal stimulus measures supported robust fourth-quarter gains. Against this backdrop, large-cap stocks outperformed mid- and small-cap stocks. Growth stocks outperformed value.

The portfolio’s lack of exposure to the cyclical metals and mining and chemicals industries detracted from returns. Not owning outperforming stocks in the interactive media and services industry weighed on relative performance, as those stocks were strong performers during the pandemic. The portfolio continued its notable underweight in the real estate sector, which positively impacted performance. Stock selection in information technology also aided relative performance.

Lower interest rates and increased credit risk from worsening economic conditions in the first half of the year drove Comerica Bank to underperform. Lack of exposure to the gold mining stock Newmont, detracted from performance. Market speculation over lower U.S. interest rates, the dollar’s weakness and geopolitical tensions in the Middle East boosted the price of gold and gold mining stocks. Sodexo, a food service and facilities maintenance operator, weighed on returns as COVID-19 caused business interruptions for many of its corporate, leisure and higher education customers. We think Sodexo has an attractive valuation, flexible cost structure and financial strength.

Applied Materials, a semiconductor equipment company, benefited from strong trends in key end markets and demand for connectivity during the pandemic. Hologic, a medical device company, outperformed due to significant

sales for its COVID-19 test. The economics of the test are extremely favorable as Hologic is able to capture three times the revenue of its core diagnostics tests with better gross margins. Along with other utilities, Xcel Evergy, a Minnesota-based electric and gas company, held its value better during the first-quarter market decline. Xcel also outperformed many other utilities because it is a fully regulated, higher-quality utility with a low range of outcomes.

We do not rely on impending catalysts in our process. Investors wonder if there are impending catalysts that might bring about a long-awaited and lasting shift toward value stocks. We believe value catalysts are embedded in our security selection. Our process involves buying higher-quality companies trading at a discount to fair value. We believe our fundamental analysis leads us to companies that are undervalued for transitory reasons, and their shares will inherently revert at some point. Relying on catalysts can be precarious. When a catalyst becomes recognizable to the market, the corresponding securities may have already become less attractive on a relative risk/reward basis.

Positive long-term demographic trends support demand for companies in the health care sector. We prefer more stable companies such as pharmaceutical distributors and those offering discretionary products and services that are likely to rebound in a post-pandemic economy.

Companies in the consumer staples sector generally offer strong defensive characteristics. Furthermore, we believe many of our holdings have taken steps to improve operations and strengthen their balance sheets.

We believe the financials sector offers select higher-quality companies that fit our process. We prefer trust banks and other financials that risk minimal capital as part of their business model. Our exposure to banks focuses on those we think are more likely to manage credit successfully through the ups and downs of the business cycle.

The pandemic accelerated paradigm-shifting structural trends. For example, dedensification has reshaped the real estate market as millennials migrate from urban cores, boosted by low mortgage interest rates and the acceptance of work-from-home practices. Declining technology costs and growing environmental concerns have created opportunities for utilities to transition power generation from coal and natural gas to renewable sources such as solar and wind. In addition, we believe government entities will support renewables by enacting

24

policies intended to combat global warming. These and other significant themes may create investment opportunities while increasing the importance of fundamental analysis and security selection.

Penn Mutual Asset Management, LLC
Investment Adviser
American Century Investment Management
Investment Sub-Adviser

Cumulative Performance Comparison

An investment of $10,000 in the Mid Core Value Fund on December 31, 2010 would have grown to $25,460. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Russell Midcap Value Index, during the same period. A $10,000 investment in the Russell Midcap Value Index on December 31, 2010 would have grown to $27,115.

Average Annual Total Returns1 as of 12/31/20
	1 Year		5 Year		10 Year
Mid Core Value Fund	1.60%		9.27%		9.80%
Russell Midcap Value Index	4.96%		9.73%		10.49%

1	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

	Percent of Total Investments1
Financial	25.3 %
Consumer, Non-cyclical	21.5 %
Industrial	20.3 %
Consumer, Cyclical	12.5 %
Utilities	8.0%
Technology	5.1 %
Communications	3.8 %
Energy	2.2 %
Basic Materials	1.3 %
	100.0%

1	Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.

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SMID Cap Growth Fund

The Penn Series SMID Cap Growth Fund returned 52.31% for the twelve-month period ending December 31, 2020, compared to the 40.47% return for its benchmark, the Russell 2500 Growth Index for the same time period.

In the 12-month period, stock selection in the information technology and health care sectors contributed to relative returns, while stock selection in the consumer staples and materials sector detracted from relative performance.

Internet company, Cloudfare was a top contributor to relative returns during the year. Cloudflare introduced a new work-from-home service in January, named Cloudflare for Teams, which proved to be well-timed as the coronavirus pandemic has intensified. Furthermore, Cloudflare's online security services are in high demand given increased bandwidth usage around the world. In addition to these shorter term catalysts, we continue to like the company’s long-term business prospects. DocuSign was also a top contributor to relative returns during the year. DocuSign, Inc. provides cloud-based electronic signature solutions. Its cloud based electronic signature platform helps companies and individuals securely collect information, automate data workflows and sign anything. The company has benefitted from the shift to online business in the beginning of the year as revenues and billings growth have both increased. It also closed a deal with SEAL AI, which will further operationalize the system of record and contract approach inside organizations. The stock price continued to appreciate as demand for electronic signatures increased with more people working remotely as a result of the COVID-19 pandemic. We continue to like DocuSign as they are a beneficiary from the remote work environment and we believe there may be a more permanent shift in the way people deal with documents.

Commercial company Welbilt, Inc. was a top detractor from relative returns during the period. Shares fell in the first quarter after the company withdrew full year guidance and the company’s COO announced his departure from the company. The company experienced additional headwinds given some plant shutdowns. We continue to monitor the pace of capital spending for additional fabrication as the business continues to focus on liquidity management. We remain positive on the company’s management team and expect performance to pick up as macro conditions normalize. Amarin Corporation Plc Sponsored ADR was also a top detractor

from relative returns during the year. Amarin Corp. Plc is a biopharmaceutical company, which focuses on the commercialization and development of therapeutics for cardiovascular health. Shares declined significantly in the first quarter after a district court judge invalidated the patents behind Amarin’s only drug, Vascepa. This was a surprising result that now allows generic drugs to enter in the U.S. The company still has a surplus of cash and could rebound if the patent is reacquired. Management continues to feel strongly about its ability to win the Vascepa patent litigation upon an appeal, and we will monitor developments closely.

The U.S. equity market rebounded from pandemic-induced lows in the first quarter of 2020, rounding out the year with multiple tailwinds from pent-up demand to significant cash reserves. As the market anticipates a recovery alongside the rollout of the vaccine, we remain vigilant in navigating through optimistic market sentiment given the potential for volatility. While we see a path to an uptick in global economic activity to support further market upside, we caution that the economy remains in the infancy of its recovery and uneven progress suggests that full macro normalization will remain dependent on the trajectory of COVID-19 recovery, successful global vaccine distribution, and ongoing fiscal and monetary policy. As the economic expansion widens, we expect the equity market rally to continue, but with broader sector participation. Within this recovery period, we believe that it is crucial to stay true to our quality-first investment approach. As always, we seek to invest in businesses with healthy balance sheets, relatively stable free cash flow generation, and differentiated business models aligned to secular advantages. We continue to test our models and re-evaluate our assumptions with increasing information, and stay focused on the long-term investment horizon.

Penn Mutual Asset Management, LLC
Investment Adviser
Goldman Sachs Asset Management
Investment Sub-Adviser

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SMID Cap Value Fund

The Penn Series SMID Cap Value Fund returned 1.45% for the twelve-month period ending December 31, 2020, compared to the 4.88% return for its benchmark, the Russell 2500 Value Index for the same time period.

Global equities recorded positive returns for the 12-month period ended December 31, 2020, erasing losses from lows reached in late March when the COVID-19 pandemic triggered a sharp decline. Favorable news about the efficacy of coronavirus vaccination candidates helped offset market volatility prompted by an inability to control the spread of the virus in many countries, a potentially contested U.S. presidential election and lack of additional U.S. fiscal stimulus.

For the year, the portfolio rose in absolute terms but underperformed its benchmark, the Russell 2500 Value Index. Overall stock selection detracted for the period, primarily owing to holdings in the energy and materials and sectors, while selection in real estate contributed. Overweights to technology and consumer discretionary contributed, while an underweight the healthcare detracted.

HollyFrontier detracted as the petroleum refiner continued to deal with weak COVID-19-related end demand for fuel products and resulting low asset utilization. Carpenter Technology, a specialty alloy manufacturer, also detracted. Carpenter has underperformed amid soft earnings due to weakness in its key aerospace end market. Reinsurance Group of America detracted after the life reinsurer raised equity capital that was dilutive to its book value. Management indicated that the capital would be an additional buffer against higher mortality claims and credit losses that could potentially come from the current volatile climate.

Papa John’s International contributed as the pizza restaurant continued to show strong comparable-store sales growth. Papa John's, and the pizza market in general, is experiencing robust demand from consumers who face fewer restaurant options due to restaurant closures and state and local mandated occupancy limits and closures. Packaged-foods company Hain Celestial beat expectations throughout the year, as shares rebounded off March lows. Quanta Services contributed after the utility contractor reported a series of better-than-expected quarterly earnings and cash flow results.

Smaller-cap value stocks enjoyed a strong 4Q20. Looking forward, investors are asking themselves

whether this is the start of a new trend or just a short-term bounce. Over the past four years, value stocks have faced multiple headwinds. A fragile economy followed by a recession that led to investors paying ever higher multiples for growth stocks. Increasing skepticism by investors that value company profits would survive the twin shocks of a slower economy and technological disruption. The sum of heightened risk and historically low interest rates led to the valuation spread between growth and value stocks widening out to discounts of a magnitude not seen in 20 years. There are considerable reasons to believe that the tide is turning. The economy is showing signs of recovering from the sharpest and deepest recession in a generation. Value stock profit concerns appear overstated with profit growth in 2Q20 and 3Q20 being materially stronger than anticipated. With the election passed and progress on fighting the pandemic, there are reasons to believe 2021 will be a quieter, more normal year from a risk standpoint. Our bias is to increase exposures to value stocks but to be selective and careful in doing so. Risks are diminishing but have not yet passed. We want companies that, in our view, combine the business model strength to navigate the current volatile climate, the flexibility to adapt to lasting changes in consumer and business behavior, and cash flows and valuations that can drive performance as the climate improves. The sell-off in value has created a large pool of candidates. We have focused our research on identifying companies with these distinctive attributes.

Penn Mutual Asset Management, LLC
Investment Adviser
AllianceBernstein
Investment Sub-Adviser

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Small Cap Growth Fund

The Penn Series Small Cap Growth Fund returned 32.06% for the twelve-month period ending December 31, 2020, compared to the 34.63% return for its benchmark, the Russell 2000 Growth Index for the same time period.

U.S. small-cap stocks ended 2020 with strong positive performance despite heightened volatility. Stocks declined sharply in the first quarter after the COVID-19 pandemic halted travel and disrupted supply chains. Efforts to contain the pandemic also led to a sharp economic contraction. The Federal Reserve responded aggressively to this crisis by cutting policy rates to zero, and Congress passed a $2 trillion economic stimulus package. Stocks regained ground in the second quarter and extended this rally into the third and fourth quarters, aided by signs of resilient economic growth. The emergency approval of several COVID-19 vaccines also helped boost market performance in the fourth quarter, as it raised hopes for a return to normalcy in 2021.

For the 12 months ending December 31, 2020, the Portfolio delivered positive returns but underperformed its benchmark, the Russell 2000 Growth Index. Stock selection in health care and information technology detracted from relative performance. Stock selection in consumer discretionary and financials contributed to relative results.

The Portfolio’s relative performance throughout the period was hindered by our more cautious approach to a narrow group of high-growth, high-valuation stocks that have led the market over the past 12 months, and across different market conditions. Many of these companies were perceived to be immune to or beneficiaries of the COVID-19 crisis, often because of their virtual business models. Even so, this extended outperformance is unusual and has left many of these companies with lofty valuations that in our view are not justified by their long-term earnings potential. We are not willing to pay any price for growth, even when we like underlying business models, and we see heightened risk attached to these soaring valuations, especially in cases where companies are not yet profitable and where the path to profitability may be less clear. We remain committed to our disciplined approach, which is designed to provide long-term risk-adjusted returns and has proven successful in the past.

The Portfolio’s investment in amusement park company Cedar Fair detracted from relative performance.

Amusement parks depend on human proximity, and the coronavirus crisis forced the company to delay the opening of its parks while also reducing attendance even after gates were opened. Due to near-term uncertainty for its business, we exited the position.

Euronet Worldwide was another notable detractor for the Portfolio. Euronet owns the largest ATM network in Europe, a business that typically provides consistent revenue streams. But as the pandemic kept Europeans inside, ATM usage plummeted. Euronet’s ATMs tend to be focused around popular tourist destinations, and its business was also slower to recover as European travel remained depressed. On a positive note, Euronet's money transfer business proved more resilient than investors had expected, while its digital payments business has benefited from e-commerce growth.

QuantumScape Corp. was a top positive contributor. This newly public company is developing a next-generation, solid-state battery that will allow electric vehicles to charge faster and travel farther. While the battery may not reach the market for several years, the company is already receiving interest from vehicle manufacturers such as Volkswagen. The stock has benefited as investors have looked to capitalize on long-term growth potential in the electric vehicle market.

The Trade Desk, another contributor, provides a cloud-based platform that automates advertising placement across different mediums. The stock outperformed as the company’s business remained resilient despite the pandemic. Given its market leadership and existing relationships with ad agencies, we believe The Trade Desk is well positioned to benefit from this growth.

As we look ahead, we are optimistic that the distribution of multiple vaccines could set the stage for a return to normal. We also recognize it could take time for vaccines to be widely available, and for consumers and businesses to return to pre-pandemic behaviors. As a result, we believe we could see a continued push and pull for market leadership as investors await more clarity on the economic outlook. In this environment, we remain committed to a disciplined, fundamental investment approach. Our focus remains on companies with long-term drivers of earnings growth that we believe will play out over the next 10 years. These are companies with sustainable competitive advantages, strong market positions and pricing power that will allow them to adapt to the possibility of higher inflation as the economy recovers. We will also look for opportunities to capitalize

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on innovation and longer-term trends that may have accelerated during this unprecedented period.

Penn Mutual Asset Management, LLC
Investment Adviser
Janus Capital Management, LLC
Investment Sub-Adviser

Cumulative Performance Comparison

An investment of $10,000 in the Small Cap Growth Fund on December 31, 2010 would have grown to $30,671. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Russell 2000 Growth Index, during the same period. A $10,000 investment in the Russell 2000 Growth Index on December 31, 2010 would have grown to $35,424.

Average Annual Total Returns1 as of 12/31/20
	1 Year		5 Year		10 Year
Small Cap Growth Fund	32.06%		17.00%		11.86%
Russell 2000 Growth Index	34.63%		16.36%		13.48%

1	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

	Percent of Total Investments1
Consumer, Non-cyclical	35.1 %
Technology	21.6 %
Industrial	18.9 %
Financial	8.9 %
Communications	7.2 %
Consumer, Cyclical	5.2 %
Basic Materials	2.6 %
Utilities	0.5 %
	100.0%

1	Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.

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Small Cap Value Fund

The Penn Series Small Cap Value Fund returned 2.34% for the twelve-month period ending December 31, 2020, compared to the 4.63% return for its benchmark, the Russell 2000 Value Index for the same time period.

In 2020, the Fund underperformed the Russell 2000 Value Index. Stock selection in the financials and consumer discretionary sectors contributed to returns, while holdings in the health care and materials sectors detracted from performance.

Kinsale Capital Group, Inc., a property and casualty insurer, was a top contributor for the year. The company benefitted from improved operational efficiency in 2019 and early 2020, yielding strong earnings and premium growth despite 90% of its workforce working remotely. More earnings beats and a secondary share offering drove the stock higher in the latter half of the year. We believe Kinsale’s low cost, technology-enhanced underwriting model, combined with an improving pricing environment for its excess and surplus lines, will continue to support profitable growth over the long term. Saia, Inc., a less than truckload (LTL) logistics company, also contributed to relative returns in 2020. The stock struggled toward the beginning of the year, reporting softer than expected fourth quarter earnings and operating metrics for LTL shipments in the early months of 2020. However, better than expected quarterly earnings releases and improving shipping efficiency data for the remainder of the year contributed to the stock’s strong performance. We believe Saia is well positioned to benefit from the continued shift toward ecommerce and the digitization of consumption.

Redwood Trust, Inc., a mortgage Real Estate Investment Trust (REIT), was a top detractor from relative returns. Prior to the onset of the pandemic, we were overweight residential mortgage credit within the mortgage REIT universe given the health of the consumer and home prices. Over a few trading days in late March, investors fled to safety and sold out of companies holding non-government-backed securities. We sold out of this mortgage REIT position as we were wary of its ability to meet high volumes of margin calls.

The U.S. equity market rebounded from pandemic-induced lows in the first quarter of 2020, rounding out the year with multiple tailwinds from pent-up demand to significant cash reserves. As the market anticipates a recovery alongside the rollout of the vaccine, we remain vigilant in navigating through optimistic market

sentiment given the potential for volatility. While we see a path to an uptick in global economic activity to support further market upside, we caution that the economy remains in the infancy of its recovery and uneven progress suggests that full macro normalization will remain dependent on the trajectory of COVID-19 recovery, successful global vaccine distribution, and ongoing fiscal and monetary policy. As the economic expansion widens, we expect the equity market rally to continue, but with broader sector participation. Within this recovery period, we believe that it is crucial to stay true to our quality-first investment approach. As always, we seek to invest in businesses with healthy balance sheets, relatively stable free cash flow generation, and differentiated business models aligned to secular advantages. We continue to test our models and re-evaluate our assumptions with increasing information, and stay focused on the long-term investment horizon.

Penn Mutual Asset Management, LLC
Investment Adviser
Goldman Sachs Asset Management
Investment Sub-Adviser

Cumulative Performance Comparison

An investment of $10,000 in the Small Cap Value Fund on December 31, 2010 would have grown to $25,040. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Russell 2000 Value Index, during the same period. A $10,000 investment in the Russell 2000 Value Index on December 31, 2010 would have grown to $22,943.

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Small Cap Index Fund

The Penn Series Small Cap Index Fund returned 19.35% for the twelve-month period ending December 31, 2020, compared to the 19.96% return for its benchmark, the Russell 2000 Index for the same time period.

The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. The cumulative effect of small weighting differences between the securities and the currencies in the Fund and the Index contributed to the difference between the Portfolio’s performance and that of the Index.

The Fund had positive performance in 2020. The positive performance was driven mostly by fiscal and monetary policy and progress towards COVID-19 vaccines in response to the global pandemic, despite the negative impact from the onset of the pandemic at the beginning of the year. The first quarter of the reporting period started on a positive note due to the trade deal between the U.S. and China and earnings reports. Performance turned negative as the coronavirus spread across the globe and governments and economies implemented quarantines, travel bans and economic shutdowns. Performance in the second quarter of the reporting period rallied due to efforts to stem the spread of the virus as well as continued easing of monetary and fiscal policy. The positive performance continued in the third quarter of the reporting period as economies began to reopen amid progress in the fight against the pandemic. The Fund’s performance in the fourth quarter of the reporting period was positive as vaccines for COVID-19 began to roll out, strong macro data, further fiscal stimulus and increased M&A activity, in spite of the second wave of COVID-19 infections.

The Fund used Russell 2000 Index futures contracts in order to gain exposure to the Index during the reporting period. The Fund’s use of index futures helped the Fund track the Index.

On an individual security level, the top positive contributors to the Fund’s performance during the reporting period were Teladoc Health, Inc., MyoKardia, Inc., and Plug Power Inc. The top negative contributors to the Fund’s performance during the reporting period

were Blackstone Mortgage Trust, Inc. Class A, Invesco Mortgage Capital Inc., and NovoCure Ltd.

Penn Mutual Asset Management, LLC
Investment Adviser
State Street Global Advisors
Investment Sub-Adviser

Cumulative Performance Comparison

An investment of $10,000 in the Small Cap Index Fund on December 31, 2010 would have grown to $27,166. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Russell 2000 Index, during the same period. A $10,000 investment in the Russell 2000 Index on December 31, 2010 would have grown to $28,920.

Average Annual Total Returns1 as of 12/31/20
	1 Year		5 Year		10 Year
Small Cap Index Fund	19.35%		12.52%		10.51%
Russell 2000 Index	19.96%		13.26%		11.20%

1	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

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Developed International Index Fund

The Penn Series Developed International Index Fund returned 7.78% for the twelve-month period ending December 31, 2020, compared to the 7.82% return for its benchmark, the MSCI EAFE Index for the same time period.

The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. The cumulative effect of small weighting differences between the securities and the currencies in the Fund and the Index contributed to the difference between the Portfolio’s performance and that of the Index.

The Fund had positive performance in 2020. The Fund’s performance was driven by the reopening of the global economy, accommodative monetary policy, and progress on the battle against COVID-19 despite the onset of the global coronavirus pandemic. In the first calendar quarter of 2020, strong macro and earnings data was offset by the coronavirus outbreak and its worldwide spread resulting in travel bans, quarantines, lockdowns and shuttered economies. Performance in the second calendar quarter of the reporting period was positive on optimism that the spread of COVID-19 was slowing, ongoing monetary and fiscal policy intervention, the reopening of some economies and positive news regarding the development of vaccines for the virus. Positive performance continued in the third calendar quarter of the reporting period on optimism around progress on treatments and vaccines for COVID-19, declining new virus cases, and strong macro and earnings data. The Fund had positive performance in the fourth quarter of the reporting period on the back of the rollout of a number of vaccines for COVID-19, ongoing fiscal stimulus, and a post-Brexit deal between the UK and EU despite the beginning of a second wave of the pandemic.

The Fund used MSCI EAFE index futures contracts in order to gain exposure to the Index during the reporting period. The Fund’s use of index futures helped the Fund track the Index.

On an individual security level, the top positive contributors to the Fund’s performance during the reporting period were ASML Holding NV, LVMH Moet Hennessy Louis Vuitton SE, and SoftBank Group Corp. The top negative contributors to the Fund’s performance during the reporting period were HSBC Holdings Plc, Royal Dutch Shell Plc Class A, and BP p.l.c.

Penn Mutual Asset Management, LLC
Investment Adviser
State Street Global Advisors
Investment Sub-Adviser

Cumulative Performance Comparison

An investment of $10,000 in the Developed International Index Fund on December 31, 2010 would have grown to $16,216. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the MSCI EAFE Index, during the same period. A $10,000 investment in the MSCI EAFE Index on December 31, 2010 would have grown to $17,096.

Average Annual Total Returns1 as of 12/31/20
	1 Year		5 Year		10 Year
Developed International Index Fund	7.78%		6.97%		4.95%
MSCI EAFE Index	7.82%		7.45%		5.51%

1	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

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International Equity Fund

The Penn Series International Equity Fund returned 14.93% for the twelve-month period ending December 31, 2020, compared to the 10.65% return for its benchmark, the MSCI ACWI ex-U.S. Index for the same time period.

Stocks that helped absolute performance were Flutter Entertainment PLC and Adyen N.V. Flutter Entertainment PLC’s strong performance was predominantly driven by news of the December 3rd agreement to acquire the entire 37.2% interest in FanDuel held by Fastball. This enhanced Flutter’s exposure to the U.S. gambling market. We believe FanDuel’s strength and leadership continues to grow and become more apparent over time. Paddy Power Betfair announced a name change to Flutter Entertainment in March 2019 to reflect its portfolio of brands after shareholders overwhelmingly backed the name change. The company was formed in 2016 through the combination of two fast-growing online gaming and betting operators in the UK: Paddy Power and Betfair. The group runs a dual brand strategy targeting multiple audiences through various channels. With above 20% market share, we believe the company is well positioned to capitalize on the rapid change to online and mobile betting and gaming. Adyen N.V. was a beneficiary of accelerated e-commerce adoption post-COVID. Adyen is a differentiated payment acquirer that has leveraged its global, single-integrated platform to amass an attractive merchant portfolio that includes the world's fastest growing tech companies. The company has multiple growth drivers from expanding wallet share of existing clients and taking share from legacy players, and should be well positioned to sustain its profitable growth, solid returns, and strong balance sheet.

Stocks that hurt absolute performance were HDFC Bank Ltd and Anheuser-Busch INB NPV. HDFC Bank Ltd. came down in the broad market sell-off in India earlier this year. The market was also relieved that its CEO transition has progressed with no issues. HDFC Bank is one of the leading private sector banks in India and a core holding of ours. We feel HDFC Bank is a high-quality Indian private sector bank which has been a cornerstone investment in the portfolio for many years. The bank has delivered solid growth while maintaining high credit and underwriting standards. We believe HDFC Bank has a strong deposit franchise and powerful technology backbone that should allow it to grow at a slightly faster rate than the industry. Anheuser-Busch INB NPV (ABI)

was negatively affected by social distancing and weak currencies early in 2020. However, ABI's stock price rebounded on news of successful COVID vaccines later in the year. ABI is the world's largest brewer and dominates the beer market in most of the countries in which it operates. Globally, it has roughly one fourth of beer volumes and close to one half of global beer profits. We believe ABI is best in class on costs among consumer staples companies, not just brewers. Management has historically executed well on its acquisitions and generates high levels of free cash.

The fight to contain COVID-19 and its impact on the economy dominated market movements in the first quarter of 2020. As the quarter progressed, COVID-19 cases and resulting fatalities surged in EU countries. Emerging markets endured declines similar to developed markets as the virus spread around the globe. China, first into the crisis, imposed stringent lockdowns and activity indicators slumped as a result. India brought in lockdown measures at short notice in March to slow the spread of the virus, putting pressure on the already slowing economy. In Latin America, the Brazilian and Mexican administrations drew criticism for their relaxed response to the coronavirus crisis. In the second quarter of 2020 investors looked past the deepening economic crisis. While the pace varied, European countries began reopening in the second half of the quarter, as they sought to kick-start their economies before the summer season. Emerging market equities followed a similar path to developed markets, although EM countries showed a greater variation in policy response to the pandemic. The Chinese economy continued to reopen, while other emerging markets, such as India and Brazil, remained in the thick of the pandemic. International equity markets continued to advance in the third quarter as investors were encouraged by the global monetary and fiscal response to the pandemic, the reopening of some economies, and accelerated vaccine development. The relaxation of lockdown restrictions in Europe contributed to a spike in cases. As new COVID-19 cases in Europe soared into the thousands, China’s infection rate at the end of September remained lower, enabling the authorities to push ahead with reopening plans. Indian infection rates and fatalities rose sharply as the country wrestled to impose lockdown restrictions on large parts of its migrant worker population. Brazil also struggled with the practicality of fighting the virus, as well as the cost of minimizing its economic impact. Mexico, already in recession before the impact of COVID-19, bucked the stimulus trend by sticking to tough austerity measures, leading to expectations of a slower rebound.

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International equities gained strongly in the fourth quarter as positive news on vaccine development pushed most markets to new highs. After a rocky month in October when rising COVID-19 infection rates prompted renewed restrictions across many countries, successful trials of Pfizer/BioNTech and Moderna vaccines in early November fueled strong returns. European markets advanced over the quarter, in part due to the vaccine rollout, strong performance in more cyclical sectors and forecasts for a strong corporate earnings recovery. However, as the quarter wore on, heightened concerns about a no-deal Brexit weighed on sentiment. The rise in COVID-19 cases across Europe forced many countries to clamp down on business activity during the quarter. Emerging market equities also advanced during the quarter. Joe Biden’s win in the U.S. presidential election helped push Chinese shares higher as investors bet on a less confrontational stance between the two countries, while the economy benefited from the containment of the virus. The recovery story extended to other major emerging markets as India’s economy performed better than expected in the three months through September.

After a year heavily impacted by the effects of COVID-19, there will be more uncertainty to come. Changes in interest rates and political disruption could shake markets and companies. But as we enter 2021, we remain steadfast in our bottom-up research in pursuit of stable, quality growth companies at reasonable prices. There is also uncertainty about the trajectory of the economic recovery from COVID. Therefore, we seek to own companies that are resilient to macroeconomic dislocations. It is our goal to generate attractive returns while taking less risk, safely delivering our clients to their investment destinations.

Penn Mutual Asset Management, LLC
Investment Adviser
Vontobel Asset Management
Investment Sub-Adviser

Cumulative Performance Comparison

An investment of $10,000 in the International Equity Fund on December 31, 2010 would have grown to $22,234. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the MSCI ACWI ex-U.S. Index, during the same period. A $10,000 investment in the MSCI ACWI ex-U.S. Index on December 31, 2010 would have grown to $16,163.

Average Annual Total Returns1 as of 12/31/20
	1 Year		5 Year		10 Year
International Equity Fund	14.93%		10.00%		8.32%
MSCI ACWI ex-U.S. Index	10.65%		8.93%		4.92%

1	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

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Emerging Markets Equity Fund

The Penn Series Emerging Markets Equity Fund returned 10.43% for the twelve-month period ending December 31, 2020, compared to the 18.31% return for its benchmark, the MSCI Emerging Markets Index for the same time period.

In the extraordinary sell-off triggered by the COVID-19 crisis and oil price collapse, investors flooded back to those emerging markets countries, sectors and stocks that were already outperforming—and relatively expensive—before the pandemic broke out (North Asia, technology, semiconductors and mega-cap stocks). This resulted in extreme clustering at the country and industry level on relative performance and valuation metrics. The larger, more liquid countries with more mega-cap technology names—China, Korea and Taiwan—outperformed. In sharp contrast, the EM countries lacking as many large and liquid names, and where the pandemic had not yet spread as widely, underperformed.

Even before the volatility, the stocks in our portfolio were largely oriented toward resilient domestic demand in quality companies with low debt capable of delivering reasonable earnings. In the year-to-date period through April 30, 2020, our country allocation detracted from returns largely due to four country positions: our underweight to China and our overweights to Brazil, Indonesia and Russia.

From a stock perspective, the largest detractor was India, driven by financials, where the market appeared to price in a risk of financial contagion and investors turned very negative when the 21-day lockdown was announced. Our stock selection in and overweight allocations to Peru and South Africa also hampered performance. However, our thematic plays in Korea continued to contribute to returns.

The Fund sometimes uses derivative instruments to manage certain market or currency exposures. In this period, the use of currency forward contracts had a negative impact.

We believe the pandemic is rapidly accelerating a worldwide turn inward that has been underway since the Global Financial Crisis (GFC) of 2008. We had expected the world to deliver disappointing growth before the pandemic, and had focused the Fund on high quality companies in countries expected to be most resilient to what the Sub-Adviser has dubbed the four

Ds: deglobalization, declining productivity, debt growth and depopulation.

The coronavirus hit at a time when the world was already turning inward, largely in reaction to the GFC, with deglobalization manifesting in a broad slowdown in cross-border flows of goods, money and people. Global trade as a percentage of gross domestic product is expected to fall from 60% in 2008 to 53% after this year as more countries institute greater protectionist measures.

The trend toward localization—companies looking to produce more locally, and consumers looking to buy from local brands—was already getting underway and is likely to pick up speed. The world has also suffered from declining labor productivity as most countries had already reaped the competitive gains to be made by entering global markets when the 2008 crisis hit. Since then, slowing cross-border flows of people, goods and capital have halted or reversed those gains.

The commentary provided above was from the former sub-adviser of the Fund, Morgan Stanley Investment Management Inc., who was the manager of the Fund until April 30, 2020.

Taiwan Semiconductor helped absolute performance. It continues to see strong demand for chips as several end customers update their products with the latest generation chips. Taiwan Semiconductor Manufacturing Co. (TSMC) pioneered the dedicated foundry industry. A foundry is a facility dedicated solely to chip manufacturing - from PC semiconductors to memory chips to digital signal processors - as opposed to a fabless semiconductor company, which focuses on chip design and does no manufacturing. TSMC has more than a dozen facilities in which it can produce the equivalent of over 10 million 12-inch wafers. The company has consistently captured 100% of industry profits. This is mainly due to better execution of a highly complex manufacturing process. TSMC has been able to patent its manufacturing processes, limiting the ability of competitors to copy its success. Semiconductors have continued to proliferate well beyond the realm of PC to where most manufactured goods now contain some silicon. Volume growth has been in the 15% range and will likely continue on this path in the future. The cost of building a fabrication plant continues to increase as chip manufacturing scales down to smaller geometries. As a result of the rising capital intensity of the business, as well as the increasing execution risks associated with

41

manufacturing at the nanoscale level, barriers to entry continue to increase.

Another stock that helped absolute performance was SK Hynix Inc. We believe the recent rally in memory stocks is typically what happens after trough inflections. We feel tactical positioning and foreign money inflow, earnings revisions and Micron’s updated guidance contributed to the recent stock price rally of memory players. Pricing outlook for 2021 appears stronger moving into early December given improving order trends from server customers as well as DRAM spot price acceleration. Thus, we believe there is a consensus for the memory industry to enter an upturn cycle in 2021. SK Hynix is a pure-play memory semiconductor company, specializing in DRAM (the source of more than 70% of its sales) and NAND flash memory chips, which are the key components of computing devices (e.g., PCs, servers) as well as mobile devices (e.g., smartphones, media tablets).

Alibaba Group Holding Ltd hurt absolute performance. The stock underperformed as a result of concern surrounding the new guidelines that came out from the market regulator regarding anti-monopoly practices for online players. In addition, there was a specific announcement of an investigation into Alibaba by the competition authorities on anti-monopoly practices. The key issue that would affect Alibaba is the one pressuring merchants to go exclusive which has helped drive traffic to Tmall, particularly in the apparel segment, where Alibaba has some key exclusive arrangements. We think that most of these relationships are on commercial terms and that Alibaba provides additional marketing and traffic resources in return for that exclusivity. We also believe Alibaba has a significant advantage regarding reach, merchant advantage and targeting capabilities for merchants. We also think that any gross merchandise volume (GMV) that might shift to alternate platforms can be managed and that there are other material drivers that can offset this including improving monetization and lower losses in new businesses like Cloud and Logisitics. Alibaba is the leading e-commerce platform operator in China with a dominant market share in terms of GMV. It is multiples larger in GMV than the second biggest player in China, JD.com. Alibaba's key advantage versus competitors is that it has the largest number of vendors, which in turn attracts a massive pool of buyers. Other markets like Japan and the U.S. have shown that it is difficult to displace a player who has a significant supplier/merchant advantage. This allows buyers to have access to the widest base of vendors and available inventory at the most competitive prices in almost any

category. Further, by segmenting the market to lower-priced merchants (Taobao) and more established/ trustworthy merchants in Tmall, it can cater to a wider base of consumers. There is also the tailwind from e-commerce penetration in China still being in relatively early stages. Operating as a platform business, Alibaba has maintained a higher ROE than its global peers.

Another stock that hurt absolute performance was Beijing Sinnet Technology Co. We reallocated capital to better opportunities as a result of a change in the investment thesis. Beijing Sinnet Technology is one of the premier data center companies in China. We think the Chinese data center industry is poised for strong growth over an elongated period of time. Beijing Sinnet has choice locations in Beijing and Shanghai, which act as a strong barrier versus competitors. The firm is also financially disciplined with low leverage and chooses projects that have strong returns on capital.

Emerging market equities rebounded strongly in the second quarter of 2020, as investors watched for positive news on the COVID-19 pandemic and looked through deepening economic turmoil. Emerging markets equities followed a similar path to developed markets, although countries showed a greater variation in policy response to the pandemic. The Chinese government implemented stimulus equivalent to more than 6% of nominal GDP. The Chinese economy continued to reopen, while other emerging markets, such as India and Brazil, remained in the thick of the pandemic. India’s lockdown hit the poorest migrant workers hard and was impacted by difficulties with contact tracing and testing. Late in the second quarter, Latin America became the epicenter of the COVID-19 pandemic.

Brazil’s toll of infections and deaths became the world’s second highest, leading to protests against President Jair Bolsonaro who opposed lockdowns imposed by state governors. A similar spike in COVID cases hampered Mexico’s attempt to deal with reopening its economy as infection rates continued to climb. Emerging markets advanced in the third quarter of 2020 as investors were encouraged by the global monetary and fiscal response to the pandemic, the reopening of some economies, and accelerated vaccine development. First into lockdown, and first to begin loosening restrictions, China’s rebound accelerated. In contrast to China’s success in handling the virus, India’s infection rates and fatalities rose as it wrestled to impose lockdown restrictions on large parts of its migrant worker population. Latin America’s largest countries also struggled with the practicality of fighting the virus, as well as the cost of minimizing its economic

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impact. Emergency cash handouts to Brazil’s poorest contributed to an improved outlook, but also fueled investor concerns that the government might abandon its spending cap. Mexico, already in recession before the impact of COVID-19, bucked the stimulus trend by sticking to tough austerity measures, leading to expectations of a slower rebound. News in November of successful vaccine trials helped fuel emerging markets sentiment. In addition, the success of many countries (particularly China and others across Asia-Pacific) in containing the virus as cases spiked elsewhere underpinned confidence in economic growth in 2021. Emerging market outflows at the start of the pandemic reversed later in the year. China’s economic recovery continued. Joe Biden’s win in the U.S. presidential election helped push Chinese shares higher as investors bet on a less confrontational stance between the two countries. The recovery story extended to other major emerging markets as India’s economy performed better than expected in the three months through September. In Latin America, Brazil’s “coronavoucher” payments to almost a third of the population fueled GDP growth, but led to criticism from the country’s central bank and raised expectations of a rise in interest rates. Mexico’s economy grew, helped by an increase in demand for Mexican exports and remittances from Mexican workers in the U.S.

The International Monetary Fund is forecasting that large emerging market economies will recover faster than developed economies in 2021. However, we continue to believe investors should focus more closely on companies than on the macro environment. After a year heavily impacted by COVID-19, there will be more uncertainty to come. Changes in interest rates and political disruption could shake markets and companies. But as we enter 2021, we remain steadfast in our bottom-up research in pursuit of stable, quality growth companies at reasonable prices. There is also uncertainty about the trajectory of the economic recovery from COVID-19. Therefore, we seek to own companies that are resilient to macroeconomic dislocations. It is our goal to generate attractive returns while taking less risk, safely delivering our clients to their investment destinations.

The commentary provided above is from the current sub-adviser of the Fund, Vontobel Asset Management, Inc,. who assumed day-to-day management of the Fund on May 1, 2020.

Penn Mutual Asset Management, LLC
Investment Adviser
Vontobel Asset Management, Inc.
Investment Sub-Adviser

Cumulative Performance Comparison

An investment of $10,000 in the Emerging Markets Equity Fund on December 31, 2010 would have grown to $12,631. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the MSCI Emerging Markets Index, during the same period. A $10,000 investment in the MSCI Emerging Markets Index on December 31, 2010 would have grown to $14,282.

Average Annual Total Returns1 as of 12/31/20
	1 Year		5 Year		10 Year
Emerging Markets Equity Fund	10.43%		9.10%		2.36%
MSCI Emerging Markets Index	18.31%		12.81%		3.63%

1	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

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Real Estate Securities Fund

The Penn Series Real Estate Securities Fund returned (3.23%) for the twelve-month period ending December 31, 2020, compared to the (5.12%) return for its benchmark, the FTSE NAREIT All Equity REIT Index for the same time period.

U.S. real estate securities experienced their worst drawdown in more than a decade early in the year as the spread of COVID-19 led to widespread economic and social shutdowns. REITs recovered beginning in late March, with markets responding positively to massive and unprecedented fiscal and monetary relief and stimulus policies and as economies started to reopen. Investors were also generally heartened by news of advancements in therapeutics and vaccine development. The listed real estate market was further supported by mostly intact earnings and dividends, and encouraging rent collection data for most sectors. By year’s end, REITs as a whole had regained most of their early losses.

Returns in the year varied greatly by property type. Some areas of real estate saw increasing demand, benefiting from remote working and the acceleration of e-commerce. The growth of online shopping, video streaming and data networking drove demand for data centers, while cell towers worked with wireless carriers to roll out 5G networks. Industrial warehouses, which are at the center of online commerce (enabling fulfillment of home delivery), enjoyed strong demand. And an urban exodus that hurt apartments was positive for single-family rentals and self-storage REITs. The timber sector was another top performer, as homebuilding fundamentals improved and lumber prices rose. Health care REITs outperformed after declining materially earlier in the year, with skilled nursing benefiting from strong government financial support, medical offices aided by steady rental collections and a return to elective surgeries, and life sciences having no material negative impact from the virus.

Regional malls and shopping centers were severely impacted by a weakening economy and a threat to rental payments as malls and numerous stores temporarily closed around the country. These sectors were already contending with the secular trends of growing competition from e-commerce and tenants rationalizing their store counts. Hotels experienced sizable declines on economic uncertainty, compounded by a severe pullback in demand due to virus fears. The apartment sector underperformed on concerns about decelerating rents in key markets amid a migration of tenants from city

centers to suburbs. Offices underperformed (despite rents remaining strong), as many tenants showed success in transitioning from physical offices to work from home, which led to questions about the long-term future of office demand.

The portfolio had a negative total return for the year but outperformed its benchmark. Factors contributing to the portfolio’s relative performance included the timing of our allocations and security selection in the health care sector. An overweight and stock selection in data centers were also beneficial. Relative returns were additionally aided by an overweight allocation to the self-storage sector.

An underweight allocation in timber detracted from relative performance, as we viewed the sector’s valuations as being unattractive early in the year. An overweight in hotels also detracted, although this was partially offset by favorable security selection in the sector, including out-of-index positions in certain gaming companies that rose materially as markets reopened. Security selection in offices further hindered performance, although a favorable underweight in the sector partially offset this.

We believe REITs are well positioned for the year ahead. Just as COVID upended REITs in 2020, we think they could be a prime beneficiary of a widely available vaccine and continued economic expansion. Low interest rates, increasing fiscal spending and more aggressive vaccine distribution plans could help to accelerate the recovery. Today, valuations relative to the broad market and fixed income are at historic lows. In addition, we believe REITs’ attractive and growing dividends are likely to appeal to investors in an environment of very low interest rates.

Penn Mutual Asset Management, LLC
Investment Adviser
Cohen & Steers Capital Management
Investment Sub-Adviser

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Cumulative Performance Comparison

An investment of $10,000 in the Real Estate Securities Fund on December 31, 2010 would have grown to $24,417. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the FTSE NAREIT All Equity REIT Index, during the same period. A $10,000 investment in the FTSE NAREIT All Equity REIT Index on December 31, 2010 would have grown to $24,269.

Average Annual Total Returns1 as of 12/31/20
	1 Year		5 Year		10 Year
Real Estate Securities Fund	(3.23%)		6.83%		9.34%
FTSE NAREIT All Equity REIT Index	(5.12%)		6.70%		9.27%

1	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

	Percent of Total Investments1
Diversified	27.1 %
Healthcare	12.9 %
Industrial	10.3 %
Storage & Warehousing	9.7 %
Apartments	9.6 %
Regional Malls	5.4 %
Hotels & Resorts	5.3 %
Telecommunications	4.5 %
Office Property	4.2 %
Building & Real Estate	3.9 %
Manufactured Homes	2.2 %
Real Estate	1.6 %
Entertainment	1.5 %
Lodging	1.0%
Strip Centers	0.8 %
	100.0%

1	Portfolio holdings are presented as a percentage of total investments before short-term investments.

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Aggressive Allocation Fund

The Penn Series Aggressive Allocation Fund returned 9.25% for the twelve-month period ending December 31, 2020, compared to its benchmarks, the Russell 3000 Index’s return of 20.89% and the Bloomberg Barclays U.S. Aggregate Bond Index’s return of 7.51% for the same time period.

The Aggressive Allocation Fund is comprised of a target allocation of 90% equity funds and 10% fixed income funds. The equity allocation of the Fund is comprised of domestic equity funds ranging from large capitalization funds to small capitalization funds as well as developed international and emerging markets equity funds and the fixed income portion is primarily allocated to intermediate-term and short-term bond funds.

The asset allocation of the Aggressive Allocation Fund contributed negatively to its performance. During the period, the Fund’s allocation to value stocks, REITs, emerging markets and international equities underperformed the Russell 3000 Index. The allocation in growth stocks generated positive asset allocation performance. On the fixed income side, allocation to high yield bonds and short-term bonds contributed negatively to performance.

Fund selection of the Aggressive Allocation Fund contributed negatively to its performance. During the period, our managers for the Penn Series Mid Cap Growth, SMID Cap Growth, Flexibly Managed and International Equity Funds outperformed their respective benchmark by more than 2%, while the Penn Series Large Cap Growth, Mid Cap Value, Mid Core Value, SMID Cap Value, Small Cap Growth, Small Cap Value and Emerging Markets Equity Funds underperformed their respective benchmarks by more than 2%. On the fixed income side, all Funds outperformed their respective benchmarks.

In 2020, the COVID-19 pandemic had a profound impact on financial markets. The global economy dipped into a severe contraction due to the shutdown measures that were implemented to contain the spread of the virus. Equity markets sharply sold off in 1Q20 and subsequently recovered. In response, the Federal Reserve cut interest rates to zero and expanded the bond purchase program (quantitative easing). The U.S. government also provided fiscal stimulus packages to provide relief to individuals, families and businesses impacted by the economic slowdown due to the pandemic.

During the period, we reduced our mid cap value exposure due to its underperformance. We also moved allocation from value stocks to large cap index stocks to reduce both expense and exposure to companies vulnerable to the weak economy.

Looking ahead, U.S. economic growth is projected to be strong in 2021 predicated upon large government fiscal stimulus and successful vaccine distribution. Going forward, we will continually review the Fund to help ensure that it remains consistent with its investment objective by making adjustments, when necessary.

Penn Mutual Asset Management, LLC
Investment Adviser

Cumulative Performance Comparison

An investment of $10,000 in the Aggressive Allocation Fund on December 31, 2010 would have grown to $22,512. For the purpose of comparison, the graph also shows the change in the Fund’s benchmarks, the Russell 3000 Index and the Bloomberg Barclays U.S. Aggregate Bond Index, during the same period. A $10,000 investment in the Russell 3000 Index on December 31, 2010 would have grown to $36,407. A $10,000 investment in the Bloomberg Barclays U.S. Aggregate Bond Index on December 31, 2010 would have grown to $14,576.

47

Moderately Aggressive Allocation Fund

The Penn Series Moderately Aggressive Allocation Fund returned 9.43% for the twelve-month period ending December 31, 2020, compared to its benchmarks, the Russell 3000 Index’s return of 20.89% and the Bloomberg Barclays U.S. Aggregate Bond Index’s return of 7.51% for the same time period.

The Moderately Aggressive Allocation Fund is comprised of a target allocation of 80% equity funds and 20% fixed income funds. The equity allocation of the Fund is comprised of domestic equity funds ranging from large capitalization funds to small capitalization funds as well as developed international and emerging markets equity funds and the fixed income portion is primarily allocated to intermediate-term and short-term bond funds.

The asset allocation of the Moderately Aggressive Allocation Fund contributed negatively to its performance. During the period, the Fund’s allocation to value stocks, REITs, emerging markets and international equities underperformed the Russell 3000 Index. The allocation in growth stocks generated positive asset allocation performance. On the fixed income side, allocation to high yield bonds and short-term bonds contributed negatively to performance.

Fund selection of the Moderately Aggressive Allocation Fund contributed negatively to its performance. During the period, our managers for the Penn Series Mid Cap Growth, SMID Cap Growth, Flexibly Managed and International Equity Funds outperformed their respective benchmark by more than 2%, while the Penn Series Large Cap Growth, Mid Cap Value, Mid Core Value, SMID Cap Value, Small Cap Growth, Small Cap Value and Emerging Markets Equity Funds underperformed their respective benchmarks by more than 2%. On the fixed income side, all Funds outperformed their respective benchmarks.

In 2020, the COVID-19 pandemic had a profound impact on the financial markets. The global economy dipped into a severe contraction due to the shutdown measures that were implemented to contain the virus. Equity markets sharply sold off in 1Q20 and subsequently recovered. In response, the Federal Reserve cut interest rates to zero and expanded the bond purchase program (quantitative easing). The U.S. government also provided fiscal stimulus packages to provide relief to individuals,

families and businesses impacted by the economic slowdown due to the pandemic.

During the period, we reduced our mid cap value exposure due to its underperformance. We also moved allocation from value stocks to large cap index stocks to reduce both expense and exposure to companies vulnerable to the weak economy.

Looking ahead, U.S. economic growth is projected to be strong in 2021 predicated upon large government fiscal stimulus and successful vaccine distribution. Going forward, we will continually review the Fund to help ensure that it remains consistent with its investment objective by making adjustments, when necessary.

Penn Mutual Asset Management, LLC
Investment Adviser

Cumulative Performance Comparison

An investment of $10,000 in the Moderately Aggressive Allocation Fund on December 31, 2010 would have grown to $21,689. For the purpose of comparison, the graph also shows the change in the Fund’s benchmarks, the Russell 3000 Index and the Bloomberg Barclays U.S. Aggregate Bond Index, during the same period. A $10,000 investment in the Russell 3000 Index on December 31, 2010 would have grown to $36,407. A $10,000 investment in the Bloomberg Barclays U.S. Aggregate Bond Index on December 31, 2010 would have grown to $14,576.

49

Moderate Allocation Fund

The Penn Series Moderate Allocation Fund returned 9.77% for the twelve-month period ending December 31, 2020, compared to its benchmarks, the Russell 3000 Index’s return of 20.89% and the Bloomberg Barclays U.S. Aggregate Bond Index’s return of 7.51% for the same time period.

The Moderate Allocation Fund is comprised of a target allocation of 60% equity funds and 40% fixed income funds. The equity allocation of the Fund is comprised of domestic equity funds ranging from large capitalization funds to small capitalization funds as well as developed international and emerging markets equity funds and the fixed income portion is primarily allocated to intermediate-term and short-term bond funds.

The asset allocation of the Moderate Allocation Fund contributed negatively to its performance. During the period, the Fund’s allocation to value stocks, REITs, emerging markets and international equities underperformed the Russell 3000 Index. The allocation in growth stocks generated positive asset allocation performance. On the fixed income side, allocation to high yield bonds and short-term bonds contributed negatively to performance.

Fund selection of the Moderate Allocation Fund contributed negatively to its performance. During the period, our managers for the Penn Series Mid Cap Growth, SMID Cap Growth, Flexibly Managed and International Equity Funds outperformed their respective benchmark by more than 2%, while the Penn Series Large Cap Growth, Mid Core Value, SMID Cap Value, Small Cap Growth, Small Cap Value and Emerging Markets Equity Funds underperformed their respective benchmarks by more than 2%. On the fixed income side, all Funds outperformed their respective benchmarks.

In 2020, the COVID-19 pandemic had a profound impact on financial markets. The global economy dipped into a severe contraction due to the shutdown measures that were implemented to contain the spread of the virus. Equity markets sharply sold off in 1Q20 and subsequently recovered. In response, the Federal Reserve cut interest rates to zero and expanded the bond purchase program (quantitative easing). The U.S. government also provided fiscal stimulus packages to provide relief to individuals, families and businesses impacted by the economic slowdown due to the pandemic.

During the period, we reduced our mid cap value exposure due to its underperformance. We also moved allocation from value stocks to large cap index stocks to reduce both expense and exposure to companies vulnerable to the weak economy.

Looking ahead, U.S. economic growth is projected to be strong in 2021 predicated upon large government fiscal stimulus and successful vaccine distribution. Going forward, we will continually review the Fund to help ensure that it remains consistent with its investment objective by making adjustments, when necessary.

Penn Mutual Asset Management, LLC
Investment Adviser

Cumulative Performance Comparison

An investment of $10,000 in the Moderate Allocation Fund on December 31, 2010 would have grown to $20,000. For the purpose of comparison, the graph also shows the change in the Fund’s benchmarks, the Russell 3000 Index and the Bloomberg Barclays U.S. Aggregate Bond Index, during the same period. A $10,000 investment in the Russell 3000 Index on December 31, 2010 would have grown to $36,407. A $10,000 investment in the Bloomberg Barclays U.S. Aggregate Bond Index on December 31, 2010 would have grown to $14,576.

51

Moderately Conservative Allocation Fund

The Penn Series Moderately Conservative Allocation Fund returned 8.02% for the twelve-month period ending December 31, 2020, compared to its benchmarks, the Russell 3000 Index’s return of 20.89% and the Bloomberg Barclays U.S. Aggregate Bond Index’s return of 7.51% for the same time period.

The Moderately Conservative Allocation Fund is comprised of a target allocation of 40% equity funds and 60% fixed income funds. The equity allocation of the Fund is comprised of domestic equity funds ranging from large capitalization funds to small capitalization funds as well as developed international and emerging markets equity funds and the fixed income portion is primarily allocated to intermediate-term and short-term bond funds.

The asset allocation of the Moderately Conservative Allocation Fund contributed negatively to its performance. During the period, the Fund’s allocation to value stocks, REITs, emerging markets and international equities underperformed the Russell 3000 Index. The allocation in large cap growth stocks generated positive asset allocation performance. On the fixed income side, allocation to high yield bonds and short-term bonds contributed negatively to performance.

Fund selection of the Moderately Conservative Allocation Fund contributed negatively to its performance. During the period, our managers for the Penn Series Flexibly Managed and International Equity Funds outperformed their respective benchmark by more than 2%, while the Penn Series Large Cap Growth, Mid Core Value, SMID Cap Value, Small Cap Value and Emerging Markets Equity Funds underperformed their respective benchmarks by more than 2%. On the fixed income side, all Funds outperformed their respective benchmarks.

In 2020, the COVID-19 pandemic had a profound impact on financial markets. The global economy dipped into a severe contraction due to the shutdown measures that were implemented to contain the spread of the virus. Equity markets sharply sold off in 1Q20 and subsequently recovered. In response, the Federal Reserve cut interest rates to zero and expanded the bond purchase program (quantitative easing). The U.S. government also provided fiscal stimulus packages to provide relief to individuals, families and businesses impacted by the economic slowdown due to the pandemic.

During the period, we reduced our mid cap value exposure due to its underperformance. We also moved allocation from value stocks to large cap index stocks to reduce both expense and exposure to companies vulnerable to the weak economy.

Looking ahead, U.S. economic growth is projected to be strong in 2021 predicated upon large government fiscal stimulus and successful vaccine distribution. Going forward, we will continually review the Fund to help ensure that it remains consistent with its investment objective by making adjustments, when necessary.

Penn Mutual Asset Management, LLC
Investment Adviser

Cumulative Performance Comparison

An investment of $10,000 in the Moderately Conservative Allocation Fund on December 31, 2010 would have grown to $17,798. For the purpose of comparison, the graph also shows the change in the Fund’s benchmarks, the Russell 3000 Index and the Bloomberg Barclays U.S. Aggregate Bond Index, during the same period. A $10,000 investment in the Russell 3000 Index on December 31, 2010 would have grown to $36,407. A $10,000 investment in the Bloomberg Barclays U.S. Aggregate Bond Index on December 31, 2010 would have grown to $14,576.

53

Conservative Allocation Fund

The Penn Series Conservative Allocation Fund returned 7.03% for the twelve-month period ending December 31, 2020, compared to its benchmarks, the Russell 3000 Index’s return of 20.89% and the Bloomberg Barclays U.S. Aggregate Bond Index’s return of 7.51% for the same time period.

The Conservative Allocation Fund is comprised of a target allocation of 20% equity funds and 80% fixed income funds. The equity allocation of the Fund is comprised of domestic equity funds ranging from large capitalization funds to small capitalization funds as well as developed international and emerging markets equity funds and the fixed income portion is primarily allocated to intermediate-term and short-term bond funds.

The asset allocation of the Conservative Allocation Fund contributed negatively to its performance. During the period, the Fund’s allocation to value stocks, REITs and international equities underperformed the Russell 3000 Index. The allocation in large cap growth stocks generated positive asset allocation performance. On the fixed income side, allocation to high yield bonds and short-term bonds contributed negatively to performance.

Fund selection of the Conservative Allocation Fund contributed negatively to its performance. During the period, our managers for the Penn Series Flexibly Managed and International Equity Funds outperformed their respective benchmark by more than 2%, while the Penn Series Mid Core Value and SMID Cap Value Funds underperformed their respective benchmarks by more than 2%. On the fixed income side, all Funds outperformed their respective benchmarks.

In 2020, the COVID-19 pandemic had a profound impact on financial markets. The global economy dipped into a severe contraction due to the shutdown measures that were implemented to contain the spread of the virus. Equity markets sharply sold off in 1Q20 and subsequently recovered. In response, the Federal Reserve cut interest rates to zero and expanded the bond purchase program (quantitative easing). The U.S. government also provided fiscal stimulus packages to provide relief to individuals, families and businesses impacted by the economic slowdown due to the pandemic.

During the period, we reduced our mid cap value exposure due to its underperformance. We also moved allocation from value stocks to large cap index stocks to

reduce both expense and exposure to companies vulnerable to the weak economy.

Looking ahead, U.S. economic growth is projected to be strong in 2021 predicated upon large government fiscal stimulus and successful vaccine distribution. Going forward, we will continually review the Fund to help ensure that it remains consistent with its investment objective by making adjustments, when necessary.

Penn Mutual Asset Management, LLC
Investment Adviser

Cumulative Performance Comparison

An investment of $10,000 in the Conservative Allocation Fund on December 31, 2010 would have grown to $15,500. For the purpose of comparison, the graph also shows the change in the Fund’s benchmarks, the Russell 3000 Index and the Bloomberg Barclays U.S. Aggregate Bond Index, during the same period. A $10,000 investment in the Russell 3000 Index on December 31, 2010 would have grown to $36,407. A $10,000 investment in the Bloomberg Barclays U.S. Aggregate Bond Index on December 31, 2010 would have grown to $14,576.

Average Annual Total Returns1 as of 12/31/20
	1 Year		5 Year		10 Year
Conservative Allocation Fund	7.03%		5.45%		4.48%
Russell 3000 Index	20.89%		15.43%		13.79%
Bloomberg Barclays U.S. Aggregate Bond Index	7.51%		4.44%		3.84%

1	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

    

55

	Par (000)	Value†
AGENCY OBLIGATION — 67.7%
Federal Farm Credit Banks
2.070%, 01/04/21	$ 5,000	$ 5,000,797
0.070%, 01/12/21	5,000	4,999,893
0.080%, 01/14/21	5,001	5,000,856
0.120%, 03/26/21	5,000	4,998,600
0.120%, 03/29/21	10,000	9,997,100
Federal Home Loan Banks
(3 M ICE LIBOR + (0.170%)), 0.060%, 01/08/21•	10,000	9,999,971
0.080%, 01/13/21	5,000	4,999,867
0.065%, 01/20/21	5,134	5,133,824
0.090%, 01/27/21	2,000	1,999,870
0.071%, 02/05/21	10,000	9,999,310
0.030%, 03/02/21	8,000	7,999,600
Federal Home Loan Mortgage Corp.
2.375%, 02/16/21	1,500	1,504,273
0.091%, 05/10/21	10,000	10,000,000
1.550%, 05/27/21	3,000	3,017,393
Federal National Mortgage Association
0.075%, 01/27/21	10,000	9,999,458
1.375%, 02/26/21	8,974	8,991,357
0.070%, 05/13/21	5,000	4,998,717
TOTAL AGENCY OBLIGATION (Cost $108,640,886)		108,640,886
U.S. TREASURY OBLIGATIONS — 25.5%
U.S. Treasury Bills
0.103%, 01/07/21	6,000	5,999,897
0.076%, 01/14/21	10,000	9,999,726
0.085%, 01/19/21	5,000	4,999,787
0.070%, 01/21/21	10,000	9,999,611
0.071%, 02/02/21	10,000	9,999,373
TOTAL U.S. TREASURY OBLIGATIONS (Cost $40,998,394)		40,998,394

	Number of Shares
SHORT-TERM INVESTMENTS — 6.7%
Goldman Sachs Financial Square Funds - Government Fund Institutional Shares (seven-day effective yield 0.020%) (Cost $10,713,151)	10,713,151	10,713,151
TOTAL INVESTMENTS — 99.9% (Cost $160,352,431)		$ 160,352,431
Other Assets & Liabilities — 0.1%		114,735
TOTAL NET ASSETS — 100.0%		$ 160,467,166

†

See Security Valuation Note.

•

Variable rate security. The rate disclosed is the rate in effect on the report date. The information in parenthesis represents the benchmark and reference rate for each relevant security and the rate floats based upon the reference rate and spread. The security may be further subject to interest rate floors and caps. For loan agreements, the rate shown may represent a weighted average interest rate. Certain variable rate securities are not based on a published reference rate and spread, but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions.

ICE— Intercontinental Exchange.

LIBOR— London Interbank Offered Rate.

M— Month.

Summary of inputs used to value the Fund’s investments as of 12/31/2020 are as follows (See Security Valuation Note):

ASSETS TABLE
Description	Total Market Value at 12/31/2020	Level 1 Quoted Price	Level 2 Significant Observable Input	Level 3 Significant Unobservable Input
Agency Obligation	$108,640,886	$ —	$108,640,886	$—
U.S. Treasury Obligations	40,998,394	—	40,998,394	—
Short-Term Investments	10,713,151	10,713,151	—	—
Total Investments	$ 160,352,431	$ 10,713,151	$ 149,639,280	$ —

It is the Fund's practice to recognize transfers into and transfers out of Level 3 at the fair value hierarchy as of the beginning of period. The Fund did not have any transfers into and transfers out of Level 3 fair value hierarchy during the reporting period.

The accompanying notes are an integral part of these financial statements.

60

	Par (000)	Value†
ASSET BACKED SECURITIES — 28.6%
522 Funding CLO Ltd., Series 2018-2A Class A (3 M ICE LIBOR + 1.040%, Floor 1.040%), 144A 1.258%, 04/20/31@,•	$ 2,400	$ 2,382,247
ACIS CLO Ltd., Series 2014-4A Class B (3 M ICE LIBOR + 1.770%), 144A 1.984%, 05/01/26@,•	2,000	1,995,056
Adams Mill CLO Ltd., Series 2014-1A Class B2R, 144A 3.350%, 07/15/26@	2,750	2,751,235
Babson CLO Ltd.,
Series 2014-IA Class BR (3 M ICE LIBOR + 2.200%), 144A, 2.418%, 07/20/25@,•	2,500	2,500,360
Series 2014-IA Class C (3 M ICE LIBOR + 3.450%), 144A, 3.668%, 07/20/25@,•	1,500	1,500,429
Barings CLO Ltd., Series 2017-1A Class B1 (3 M ICE LIBOR + 1.700%), 144A 1.918%, 07/18/29@,•	1,500	1,500,105
Benefit Street Partners CLO VIII Ltd., Series 2015-8A Class A1AR (3 M ICE LIBOR + 1.100%, Floor 1.100%), 144A 1.318%, 01/20/31@,•	2,500	2,488,890
BlueMountain CLO Ltd., Series 2015-1A Class A1R (3 M ICE LIBOR + 1.330%), 144A 1.554%, 04/13/27@,•	345	345,628
CIFC Funding Ltd., Series 2014-2RA Class A1 (3 M ICE LIBOR + 1.050%, Floor 1.050%), 144A 1.265%, 04/24/30@,•	2,000	1,994,878
Crestline Denali CLO XVI Ltd., Series 2018-1A Class A (3 M ICE LIBOR + 1.120%, Floor 1.120%), 144A 1.338%, 01/20/30@,•	3,000	2,987,583
ECMC Group Student Loan Trust, Series 2019-1A Class A1A, 144A 2.720%, 07/25/69@	1,838	1,916,422
Edsouth Indenture No 4 LLC, Series 2013-1 Class A (1 M ICE LIBOR + 0.570%), 144A 0.718%, 02/26/29@,•	3,797	3,783,319
Elm CLO Ltd., Series 2014-1A Class BRR (3 M ICE LIBOR + 1.750%), 144A 1.968%, 01/17/29@,•	2,000	1,995,480
First Eagle BSL CLO Ltd., Series 2019-1A Class B (3 M ICE LIBOR + 3.250%, Floor 3.250%), 144A 3.468%, 01/20/33@,•	1,500	1,502,493

	Par (000)	Value†
Ford Credit Auto Owner Trust, Series 2020-B Class A2, 0.500%, 02/15/23	$ 5,410	$ 5,415,831
GM Financial Consumer Automobile Receivables Trust, Series 2020-2 Class A2A, 1.500%, 03/16/23	1,043	1,048,205
Halcyon Loan Advisors Funding Ltd., Series 2015-2A Class AR (3 M ICE LIBOR + 1.080%, Floor 1.080%), 144A 1.295%, 07/25/27@,•	1,680	1,673,759
Limerock CLO III LLC, Series 2014-3A Class A1R (3 M ICE LIBOR + 1.200%), 144A 1.418%, 10/20/26@,•	410	410,212
Mariner CLO LLC, Series 2018-6A Class B (3 M ICE LIBOR + 1.680%), 144A 1.902%, 07/28/31@,•	2,000	2,000,066
Navient Private Education Loan Trust,
Series 2015-AA Class A3 (1 M ICE LIBOR + 1.700%), 144A, 1.859%, 11/15/30@,•	1,500	1,533,136
Series 2014-AA Class A3 (1 M ICE LIBOR + 1.600%), 144A, 1.759%, 10/15/31@,•	1,499	1,518,069
Series 2015-BA Class A3 (1 M ICE LIBOR + 1.450%), 144A, 1.609%, 07/16/40@,•	2,790	2,826,178
Navient Private Education Refi Loan Trust, Series 2020-EA Class A, 144A 1.690%, 05/15/69@	3,257	3,324,151
NZCG Funding Ltd., Series 2015-1A Class A2R (3 M ICE LIBOR + 1.550%, Floor 1.550%), 144A 1.783%, 02/26/31@,•	3,350	3,329,873
Ocean Trails CLO V, Series 2014-5A Class ARR (3 M ICE LIBOR + 1.280%, Floor 1.280%), 144A 1.504%, 10/13/31@,•	1,966	1,959,470
Recette CLO Ltd., Series 2015-1A Class DR (3 M ICE LIBOR + 2.750%), 144A 2.968%, 10/20/27@,•	2,300	2,289,659
SLM Student Loan Trust, Series 2014-2 Class A3 (1 M ICE LIBOR + 0.590%), 0.738%, 03/25/55•	3,337	3,280,962
SMB Private Education Loan Trust, Series 2015-C Class A3 (1 M ICE LIBOR + 1.950%), 144A 2.109%, 08/16/32@,•	2,405	2,463,313

61

	Par (000)	Value†
ASSET BACKED SECURITIES — (continued)
Sound Point CLO V-R Ltd., Series 2014-1RA Class B (3 M ICE LIBOR + 1.750%, Floor 1.750%), 144A 1.968%, 07/18/31@,•	$ 2,000	$ 1,945,338
Towd Point Mortgage Trust,
Series 2015-1 Class A2, 144A, 3.250%, 10/25/53@,•	2,526	2,557,620
Series 2015-4 Class A1B, 144A, 2.750%, 04/25/55@,•	2,322	2,329,168
TRESTLES CLO Ltd., Series 2017-1A Class A1A (3 M ICE LIBOR + 1.290%), 144A 1.505%, 07/25/29@,•	1,250	1,250,065
Trinitas CLO XII Ltd., Series 2020-12A Class C (3 M ICE LIBOR + 3.000%, Floor 3.000%), 144A 3.215%, 04/25/33@,•	1,500	1,500,566
Verizon Owner Trust, Series 2017-3A Class B, 144A 2.380%, 04/20/22@	641	642,104
TOTAL ASSET BACKED SECURITIES (Cost $72,809,602)		72,941,870
COMMERCIAL MORTGAGE BACKED SECURITIES — 11.8%
BX Commercial Mortgage Trust, Series 2019-XL Class B (1 M ICE LIBOR + 1.080%, Floor 1.080%), 144A 1.239%, 10/15/36@,•	1,424	1,423,946
Citigroup Commercial Mortgage Trust, Series 2018-TBR Class D (1 M ICE LIBOR + 1.800%, Floor 1.800%), 144A 1.959%, 12/15/36@,•	1,000	916,957
COMM Mortgage Trust, Series 2014-CR20 Class A3 3.326%, 11/10/47	3,000	3,200,077
FHLMC Multifamily Structured Pass-Through Certificates,
Series K019 Class X1, 1.585%, 03/25/22•	24,761	312,589
Series K021 Class A2, 2.396%, 06/25/22	3,000	3,079,252
Series KC02 Class X3, 3.065%, 08/25/25•	14,500	1,636,254
FREMF Mortgage Trust,
Series 2013-K25 Class C, 144A, 3.619%, 11/25/45@,•	2,110	2,190,799
Series 2013-K27 Class C, 144A, 3.496%, 01/25/46@,•	2,000	2,082,406
Series 2013-K35 Class B, 144A, 3.935%, 12/25/46@,•	2,260	2,436,590
Series 2011-K14 Class B, 144A, 5.209%, 02/25/47@,•	1,050	1,060,684

	Par (000)	Value†
Series 2014-K716 Class B, 144A, 3.929%, 08/25/47@,•	$ 2,550	$ 2,576,986
Series 2014-K717 Class C, 144A, 3.630%, 11/25/47@,•	1,500	1,516,994
GS Mortgage Securities Corp. Trust, Series 2018-HULA Class B (1 M ICE LIBOR + 1.250%, Floor 1.250%), 144A 1.409%, 07/15/25@,•	1,947	1,900,639
GS Mortgage Securities Trust,
Series 2010-C1 Class A2, 144A, 4.592%, 08/10/43@	199	199,036
Series 2010-C1 Class B, 144A, 5.148%, 08/10/43@	2,000	1,930,822
Hawaii Hotel Trust, Series 2019-MAUI Class C (1 M ICE LIBOR + 1.650%, Floor 1.650%), 144A 1.809%, 05/15/38@,•	1,500	1,438,062
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2018-PHH Class C (1 M ICE LIBOR + 1.360%, Floor 2.860%), 144A 2.860%, 06/15/35@,•	2,000	1,704,857
WFRBS Commercial Mortgage Trust, Series 2012-C7 Class XA, 144A 1.306%, 06/15/45@,•	45,762	524,810
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $32,523,264)		30,131,760
CORPORATE BONDS — 43.5%
Aerospace & Defense — 1.1%
The Boeing Co. 4.508%, 05/01/23	2,500	2,702,081
Agriculture — 1.0%
Altria Group, Inc. 3.490%, 02/14/22	1,500	1,551,537
Cargill, Inc., 144A 3.050%, 04/19/21@	1,000	1,008,245
		2,559,782
Airlines — 1.6%
Air Canada Pass Through Trust, Series 2013-1 Class B, 144A 5.375%, 11/15/22@	731	732,933
Continental Airlines Pass Through Trust, Series 2000-2 Class A-1 7.707%, 10/02/22	63	63,023
Delta Air Lines Pass Through Trust, Series 2007-1 Class B 8.021%, 02/10/24	594	580,487
U.S. Airways Pass Through Trust, Series 2012-2 Class B 6.750%, 12/03/22	2,029	1,972,634

62

	Par (000)	Value†
CORPORATE BONDS — (continued)
Airlines — (continued)
UAL Pass Through Trust, Series 2007-1 Class A 6.636%, 01/02/24	$ 793	$ 808,614
		4,157,691
Apparel — 0.9%
VF Corp. 2.050%, 04/23/22	2,250	2,298,330
Auto Manufacturers — 2.9%
BMW US Capital LLC, 144A 3.800%, 04/06/23@	2,250	2,416,494
Ford Motor Credit Co., LLC 3.470%, 04/05/21	2,250	2,250,000
General Motors Financial Co., Inc. (3 M ICE LIBOR + 0.850%) 1.080%, 04/09/21•	1,000	1,000,609
Volkswagen Group of America Finance LLC, 144A 3.125%, 05/12/23@	1,500	1,584,284
		7,251,387
Banks — 3.2%
Central Fidelity Capital Trust I (3 M ICE LIBOR + 1.000%) 1.237%, 04/15/27•	1,750	1,647,773
CIT Group, Inc. 4.125%, 03/09/21	1,000	1,003,000
Citibank NA 3.400%, 07/23/21	1,500	1,522,094
JPMorgan Chase & Co. (3 M ICE LIBOR + 3.470%) 3.684%µ,•	1,022	1,019,909
Mitsubishi UFJ Financial Group, Inc. 3.535%, 07/26/21	1,500	1,527,201
The Bank of Nova Scotia 3.125%, 04/20/21	1,500	1,512,866
		8,232,843
Beverages — 0.6%
Keurig Dr Pepper, Inc. 3.551%, 05/25/21	1,500	1,518,708
Biotechnology — 0.6%
Gilead Sciences, Inc. 0.750%, 09/29/23	1,500	1,504,559
Building Materials — 1.2%
Builders FirstSource, Inc., 144A 6.750%, 06/01/27@	1,500	1,627,065
Vulcan Materials Co. (3 M ICE LIBOR + 0.650%) 0.875%, 03/01/21•	1,500	1,500,635
		3,127,700
Commercial Services — 0.9%
Service Corp International 8.000%, 11/15/21	2,100	2,220,750

	Par (000)	Value†
Computers — 0.6%
Hewlett Packard Enterprise Co. 1.450%, 04/01/24	$ 1,500	$ 1,541,278
Diversified Financial Services — 2.6%
AerCap Ireland Capital DAC 4.450%, 12/16/21	1,000	1,029,880
BOC Aviation Ltd. (3 M ICE LIBOR + 1.050%), 144A 1.264%, 05/02/21@,•	2,000	1,996,200
Intercontinental Exchange, Inc. 0.700%, 06/15/23	1,500	1,510,389
OneMain Finance Corp. 8.250%, 10/01/23	1,000	1,147,500
Park Aerospace Holdings Ltd., 144A 3.625%, 03/15/21@	1,000	1,002,698
		6,686,667
Electric — 7.4%
American Electric Power Co., Inc. 0.750%, 11/01/23	2,500	2,505,609
CenterPoint Energy, Inc. 3.600%, 11/01/21	1,000	1,026,661
DTE Electric Co. 3.900%, 06/01/21	2,000	2,011,370
Edison International 3.125%, 11/15/22	1,000	1,038,243
Georgia Power Co. 2.100%, 07/30/23	1,900	1,984,544
NextEra Energy Capital Holdings, Inc. 2.900%, 04/01/22	1,500	1,547,836
Niagara Mohawk Power Corp., 144A 3.508%, 10/01/24@	2,000	2,196,191
NRG Energy, Inc. 7.250%, 05/15/26	1,600	1,688,000
Pacific Gas and Electric Co. 1.750%, 06/16/22	1,500	1,504,233
San Diego Gas & Electric Co. 1.914%, 02/01/22	344	345,762
Southern California Edison Co. 3.700%, 08/01/25	2,750	3,085,104
		18,933,553
Electronics — 0.6%
Honeywell International, Inc. (3 M ICE LIBOR + 0.370%) 0.583%, 08/08/22•	1,500	1,506,600
Food — 0.9%
Albertsons Cos., Inc., 144A 3.500%, 02/15/23@	1,300	1,332,500
General Mills, Inc. 3.200%, 04/16/21	1,000	1,007,674
		2,340,174
Healthcare Products — 0.9%
Stryker Corp. 0.600%, 12/01/23	1,500	1,502,370

63

	Par (000)	Value†
CORPORATE BONDS — (continued)
Healthcare Products — (continued)
Zimmer Biomet Holdings, Inc. (3 M ICE LIBOR + 0.750%) 0.989%, 03/19/21•	$ 888	$ 888,000
		2,390,370
Healthcare Services — 0.8%
UnitedHealth Group, Inc. 3.150%, 06/15/21	2,000	2,025,101
Home Builders — 0.6%
Lennar Corp. 4.125%, 01/15/22	1,500	1,535,625
Lodging — 0.6%
Marriott International, Inc. (3 M ICE LIBOR + 0.650%) 0.876%, 03/08/21•	1,500	1,500,569
Machinery — Construction & Mining — 0.6%
Caterpillar Financial Services Corp. 3.150%, 09/07/21	1,500	1,528,991
Machinery — Diversified — 1.7%
CNH Industrial Capital LLC 1.950%, 07/02/23	2,250	2,316,253
John Deere Capital Corp. (3 M ICE LIBOR + 0.240%) 0.460%, 03/12/21•	2,000	2,000,662
		4,316,915
Media — 1.2%
Charter Communications Operating LLC 4.464%, 07/23/22	1,500	1,581,365
Fox Corp. 3.666%, 01/25/22	1,500	1,552,405
		3,133,770
Miscellaneous Manufacturing — 0.6%
Trane Technologies Global Holding Co., Ltd. 2.900%, 02/21/21	1,500	1,504,747
Oil & Gas — 3.1%
HollyFrontier Corp. 2.625%, 10/01/23	1,500	1,533,009
Occidental Petroleum Corp. (3 M ICE LIBOR + 1.450%) 1.671%, 08/15/22•	2,250	2,205,000
Phillips 66
(3 M ICE LIBOR + 0.600%), 0.833%, 02/26/21•	2,000	2,000,230
0.900%, 02/15/24	2,000	2,004,844
		7,743,083
Packaging and Containers — 1.0%
Ball Corp. 4.000%, 11/15/23	2,250	2,396,250

	Par (000)	Value†
Pharmaceuticals — 4.1%
AbbVie, Inc. 2.300%, 11/21/22	$ 1,500	$ 1,554,600
Bayer US Finance II LLC, 144A 3.500%, 06/25/21@	2,000	2,024,315
Bristol-Myers Squibb Co.
2.875%, 02/19/21	1,500	1,504,861
2.600%, 05/16/22	1,000	1,031,832
Elanco Animal Health, Inc. 5.272%, 08/28/23	1,645	1,797,163
Viatris, Inc., 144A 1.125%, 06/22/22@	1,000	1,009,451
Zoetis, Inc. 3.250%, 08/20/21	1,500	1,527,664
		10,449,886
Real Estate Investment Trusts — 0.4%
Simon Property Group LP 3.500%, 09/01/25	1,000	1,110,512
Retail — 0.6%
Family Dollar Stores, Inc. 5.000%, 02/01/21	1,500	1,504,506
Semiconductors — 0.4%
Micron Technology, Inc. 2.497%, 04/24/23	1,000	1,042,018
Telecommunications — 0.8%
Sprint Spectrum Co., LLC, 144A 3.360%, 03/20/23@	375	378,525
T-Mobile USA, Inc., 144A 3.500%, 04/15/25@	1,500	1,657,470
		2,035,995
TOTAL CORPORATE BONDS (Cost $109,067,968)		110,800,441
RESIDENTIAL MORTGAGE BACKED SECURITIES — 4.5%
Collateralized Mortgage Obligations — 3.4%
Citigroup Mortgage Loan Trust, Series 2014-J1 Class A1, 144A 3.500%, 06/25/44@,•	1,524	1,559,477
CSMC Trust, Series 2018-J1 Class A26, 144A 3.500%, 02/25/48@,•	2,952	2,962,595
Flagstar Mortgage Trust, Series 2017-1 Class 1A5, 144A 3.500%, 03/25/47@,•	693	694,883
OBX Trust, Series 2019-INV2 Class A5, 144A 4.000%, 05/27/49@,•	1,160	1,192,901
Visio Trust, Series 2019-1 Class A1, 144A 3.572%, 06/25/54@,•	2,258	2,286,790
		8,696,646

64

	Par (000)	Value†
RESIDENTIAL MORTGAGE BACKED SECURITIES — (continued)
Freddie Mac REMICS — 1.1%
Series 4413 Class HP, 3.500%, 03/15/40	$ 1,901	$ 1,922,381
Series 4895 Class C, 4.500%, 02/15/49	929	948,378
		2,870,759
TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $11,607,332)		11,567,405
U.S. TREASURY OBLIGATIONS — 9.1%
U.S. Treasury Bill 0.173%, 05/20/21¤	8,000	7,997,545
U.S. Treasury Note 1.125%, 08/31/21	15,000	15,101,953
TOTAL U.S. TREASURY OBLIGATIONS (Cost $23,094,533)		23,099,498

	Number of Shares
SHORT-TERM INVESTMENTS — 2.4%
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.000%) (Cost $5,990,829)	5,990,829	5,990,829
TOTAL INVESTMENTS — 99.9% (Cost $255,093,528)		$ 254,531,803
Other Assets & Liabilities — 0.1%		346,070
TOTAL NET ASSETS — 100.0%		$ 254,877,873

†	See Security Valuation Note.
@	Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At December 31, 2020, the aggregate value of Rule 144A securities was $112,763,477, which represents 44.2% of the Fund’s net assets.
•	Variable rate security. The rate disclosed is the rate in effect on the report date. The information in parenthesis represents the benchmark and reference rate for each relevant security and the rate floats based upon the reference rate and spread. The security may be further subject to interest rate floors and caps. For loan agreements, the rate shown may represent a weighted average interest rate. Certain variable rate securities are not based on a published reference rate and spread, but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions.
µ	Perpetual security with no stated maturity date.
¤	Zero Coupon Bond. The interest rate disclosed represents the effective yield from the date of acquisition to maturity.

CLO— Collateralized Loan Obligation.

FHLMC— Federal Home Loan Mortgage Corporation.

ICE— Intercontinental Exchange.

LIBOR— London Interbank Offered Rate.

LLC— Limited Liability Company.

LP— Limited Partnership.

M— Month.

NA— National Association.

REMICS— Real Estate Mortgage Investment Conduits.

Country Weightings as of 12/31/2020††
United States	81%
Cayman Islands	16
Canada	1
Ireland	1
Singapore	1
Total	100%

††	% of total investments as of December 31, 2020.

Summary of inputs used to value the Fund’s investments as of 12/31/2020 are as follows (See Security Valuation Note):

ASSETS TABLE
Description	Total Market Value at 12/31/2020	Level 1 Quoted Price	Level 2 Significant Observable Input	Level 3 Significant Unobservable Input
Asset Backed Securities	$ 72,941,870	$ —	$ 72,941,870	$—
Commercial Mortgage Backed Securities	30,131,760	—	30,131,760	—
Corporate Bonds	110,800,441	—	110,800,441	—
Residential Mortgage Backed Securities	11,567,405	—	11,567,405	—
U.S. Treasury Obligations	23,099,498	—	23,099,498	—
Short-Term Investments	5,990,829	5,990,829	—	—
Total Investments	$ 254,531,803	$ 5,990,829	$ 248,540,974	$ —
Other Financial Instruments(1)
Futures Contracts	$ 96,946	$ 96,946	$ —	$—
Total Assets—Other Financial Instruments	$ 96,946	$ 96,946	$ —	$ —

LIABILITIES TABLE
Description	Total Market Value at 12/31/2020	Level 1 Quoted Price	Level 2 Significant Observable Input	Level 3 Significant Unobservable Input
Other Financial Instruments(1)
Futures Contracts	$(29,876)	$(29,876)	$—	$—
Total Liabilities—Other Financial Instruments	$ (29,876)	$ (29,876)	$ —	$ —

(1)	Other financial instruments are derivative instruments not reflected in the value of total investments in securities in the Schedule of Investments such as future contracts which are valued at the unrealized appreciation (depreciation) on the instrument.

65

	Par (000)	Value†
ASSET BACKED SECURITIES — 12.8%
Crown Point CLO III Ltd., Series 2015-3A Class A1AR (3 M ICE LIBOR + 0.910%), 144A 1.147%, 12/31/27@,•	$ 3,373	$ 3,369,668
First Eagle BSL CLO Ltd., Series 2019-1A Class B (3 M ICE LIBOR + 3.250%, Floor 3.250%), 144A 3.468%, 01/20/33@,•	5,000	5,008,310
Fortress Credit BSL III Ltd., Series 2015-1A Class B1R (3 M ICE LIBOR + 1.730%, Floor 1.730%), 144A 1.948%, 04/18/31@,•	3,000	2,973,567
Highbridge Loan Management Ltd., Series 7A-2015 Class A2R (3 M ICE LIBOR + 0.900%), 144A 1.121%, 03/15/27@,•	2,000	1,993,168
Mountain View CLO LLC, Series 2017-2A Class A (3 M ICE LIBOR + 1.210%), 144A 1.440%, 01/16/31@,•	3,500	3,486,003
Nelnet Student Loan Trust, Series 2019-5 Class A, 144A 2.530%, 10/25/67@	3,210	3,358,259
PHEAA Student Loan Trust, Series 2013-1A Class A (1 M ICE LIBOR + 0.500%), 144A 0.648%, 11/25/36@,•	3,057	2,972,007
Recette CLO Ltd., Series 2015-1A Class DR (3 M ICE LIBOR + 2.750%), 144A 2.968%, 10/20/27@,•	1,500	1,493,256
SLM Student Loan Trust,
Series 2012-6 Class B (1 M ICE LIBOR + 1.000%), 1.148%, 04/27/43•	4,860	4,496,095
Series 2014-2 Class A3 (1 M ICE LIBOR + 0.590%), 0.738%, 03/25/55•	4,672	4,593,347
SMB Private Education Loan Trust,
Series 2015-C Class A3 (1 M ICE LIBOR + 1.950%), 144A, 2.109%, 08/16/32@,•	5,000	5,121,233
Series 2014-A Class B, 144A, 4.000%, 09/15/42@	1,930	2,024,786
Series 2015-C Class B, 144A, 3.500%, 09/15/43@	5,000	5,237,120
Steele Creek CLO Ltd., Series 2016-1A Class BR (3 M ICE LIBOR + 1.650%, Floor 1.650%), 144A 1.867%, 06/15/31@,•	3,250	3,144,447
Toyota Auto Receivables Owner Trust, Series 2018-D Class A3, 3.180%, 03/15/23	1,610	1,636,353

	Par (000)	Value†
Trinitas CLO III Ltd., Series 2015-3A Class BR (3 M ICE LIBOR + 1.400%), 144A 1.637%, 07/15/27@,•	$ 4,000	$ 3,979,700
Trinitas CLO XII Ltd., Series 2020-12A Class C (3 M ICE LIBOR + 3.000%, Floor 3.000%), 144A 3.215%, 04/25/33@,•	2,000	2,000,754
Venture 37 CLO Ltd., Series 2019-37A Class A1F, 144A 3.657%, 07/15/32@	5,000	5,059,175
TOTAL ASSET BACKED SECURITIES (Cost $61,457,942)		61,947,248
COMMERCIAL MORTGAGE BACKED SECURITIES — 18.0%
Benchmark Mortgage Trust, Series 2019-B9 Class A5 4.016%, 03/15/52	5,000	5,938,170
CFCRE Commercial Mortgage Trust, Series 2011-C1 Class A4, 144A 4.961%, 04/15/44@,•	72	72,246
COMM Mortgage Trust, Series 2014-CR20 Class A3 3.326%, 11/10/47	5,000	5,333,462
FHLMC Multifamily Structured Pass-Through Certificates,
Series K019 Class X1, 1.585%, 03/25/22•	44,672	563,936
Series K043 Class A2, 3.062%, 12/25/24	3,000	3,298,631
Series K058 Class A2, 2.653%, 08/25/26	5,000	5,520,355
Series K061 Class A2, 3.347%, 11/25/26•	4,750	5,422,123
Series K094 Class A2, 2.903%, 06/25/29	2,000	2,277,326
Series K107 Class A1, 1.228%, 10/25/29	7,443	7,613,209
Fontainebleau Miami Beach Trust, Series 2019-FBLU Class B, 144A 3.447%, 12/10/36@	2,500	2,581,188
FREMF Mortgage Trust,
Series 2018-K731 Class B, 144A, 3.933%, 02/25/25@,•	6,610	7,217,021
Series 2019-K735 Class B, 144A, 4.018%, 05/25/26@,•	6,000	6,647,157
Series 2012-K17 Class B, 144A, 4.319%, 12/25/44@,•	4,000	4,122,873
Series 2012-K19 Class C, 144A, 4.017%, 05/25/45@,•	4,500	4,631,996
Series 2012-K23 Class C, 144A, 3.656%, 10/25/45@,•	5,000	5,176,194
Series 2013-K27 Class C, 144A, 3.496%, 01/25/46@,•	3,647	3,797,267

67

	Par (000)	Value†
COMMERCIAL MORTGAGE BACKED SECURITIES — (continued)
Series 2015-K48 Class B, 144A, 3.640%, 08/25/48@,•	$ 5,000	$ 5,425,129
Series 2016-K52 Class B, 144A, 3.925%, 01/25/49@,•	5,065	5,592,993
Series 2019-K102 Class B, 144A, 3.530%, 12/25/51@,•	5,000	5,491,520
Government National Mortgage Association, Series 2011-77 Class D 4.149%, 10/16/45•	359	371,408
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $81,826,174)		87,094,204
CORPORATE BONDS — 43.0%
Aerospace & Defense — 1.5%
General Dynamics Corp. 3.500%, 05/15/25	3,000	3,353,407
The Boeing Co.
1.950%, 02/01/24	2,000	2,059,757
3.250%, 02/01/35	1,950	1,999,734
		7,412,898
Agriculture — 0.7%
Cargill, Inc., 144A 3.250%, 03/01/23@	3,000	3,181,469
Airlines — 4.1%
Air Canada Pass Through Trust, Series 2013-1 Class B, 144A 5.375%, 11/15/22@	2,672	2,678,310
Delta Air Lines Pass Through Trust,
Series 2007-1 Class A, 6.821%, 02/10/24	2,672	2,736,987
Series 2007-1 Class B, 8.021%, 02/10/24	2,732	2,668,887
Series 2015-1 Class B, 4.250%, 01/30/25	2,012	2,056,847
JetBlue Pass Through Trust, Series 2019-1 Class A 2.950%, 11/15/29	2,890	2,666,386
UAL Pass Through Trust, Series 2007-1 Class A 6.636%, 01/02/24	2,844	2,900,856
United Airlines Pass Through Trust,
Series 2014-1 Class B, 4.750%, 10/11/23	1,456	1,461,933
Series 2016-1 Class AA, 3.100%, 01/07/30	2,525	2,555,714
		19,725,920
Apparel — 0.7%
VF Corp. 2.800%, 04/23/27	3,000	3,281,443
Auto Manufacturers — 1.3%
BMW US Capital LLC, 144A 3.450%, 04/12/23@	4,000	4,262,615

	Par (000)	Value†
Auto Manufacturers — (continued)
Ford Motor Credit Co., LLC 3.470%, 04/05/21	$ 2,100	$ 2,100,000
		6,362,615
Banks — 3.1%
JPMorgan Chase & Co.
(3 M ICE LIBOR + 0.500%), 0.714%, 02/01/27•	3,200	3,033,030
(3 M ICE LIBOR + 3.470%), 3.684%µ,•	2,000	1,995,909
KeyCorp. Capital I (3 M ICE LIBOR + 0.740%) 0.978%, 07/01/28•	2,640	2,453,525
NTC Capital I (3 M ICE LIBOR + 0.520%) 0.757%, 01/15/27•	4,595	4,371,250
State Street Corp. (3 M ICE LIBOR + 0.560%) 0.781%, 05/15/28•	1,665	1,572,672
Wachovia Capital Trust III (3 M ICE LIBOR + 0.930%) 5.570%µ,•	1,510	1,529,071
		14,955,457
Biotechnology — 1.7%
Amgen, Inc.
2.700%, 05/01/22	3,000	3,086,812
2.650%, 05/11/22	2,000	2,061,874
Gilead Sciences, Inc. 1.650%, 10/01/30	3,000	3,010,309
		8,158,995
Building Materials — 1.5%
Martin Marietta Materials, Inc. 4.250%, 07/02/24	3,000	3,345,285
Vulcan Materials Co. 4.500%, 04/01/25	3,565	4,077,894
		7,423,179
Commercial Services — 2.4%
Drawbridge Special Opportunities Fund LP, 144A 5.000%, 08/01/21@	2,000	2,019,247
IHS Markit Ltd., 144A 5.000%, 11/01/22@	2,500	2,673,150
Northwestern University 4.643%, 12/01/44	645	853,168
The Georgetown University 4.315%, 04/01/49	2,485	3,175,879
University of Southern California 3.028%, 10/01/39	2,820	3,067,874
		11,789,318
Computers — 0.7%
Dell International LLC, 144A 5.450%, 06/15/23@	3,000	3,318,062

68

	Par (000)	Value†
CORPORATE BONDS — (continued)
Diversified Financial Services — 0.4%
Air Lease Corp. 3.750%, 02/01/22	$ 2,000	$ 2,053,312
Electric — 3.5%
ComEd Financing III 6.350%, 03/15/33	3,355	4,038,317
Edison International 3.550%, 11/15/24	2,000	2,153,424
Louisville Gas and Electric Co. 4.250%, 04/01/49	3,000	3,875,765
Northern States Power Co. 3.600%, 09/15/47	4,000	4,928,691
Pacific Gas and Electric Co. 1.750%, 06/16/22	2,000	2,005,644
		17,001,841
Electronics — 0.3%
Roper Technologies, Inc. 1.400%, 09/15/27	1,500	1,519,034
Food — 3.5%
Kellogg Co. 2.650%, 12/01/23	2,501	2,668,755
Land O' Lakes, Inc., 144A 6.000%, 11/15/22@	3,500	3,756,582
Mars, Inc., 144A 1.625%, 07/16/32@	3,000	2,975,634
Smithfield Foods, Inc., 144A 3.350%, 02/01/22@	3,000	3,041,237
The Hershey Co. 1.700%, 06/01/30	2,000	2,057,687
The J.M. Smucker Co. 3.375%, 12/15/27	2,000	2,222,917
		16,722,812
Forest Products & Paper — 0.5%
Georgia-Pacific LLC, 144A 3.163%, 11/15/21@	2,500	2,546,852
Gas — 0.6%
The Brooklyn Union Gas Co., 144A 3.407%, 03/10/26@	2,500	2,791,721
Healthcare Products — 1.2%
Boston Scientific Corp. 3.750%, 03/01/26	3,000	3,404,520
DENTSPLY SIRONA, Inc. 3.250%, 06/01/30	1,500	1,670,597
Zimmer Biomet Holdings, Inc. (3 M ICE LIBOR + 0.750%) 0.989%, 03/19/21•	666	666,000
		5,741,117
Healthcare Services — 0.4%
Health Care Service Corp. A Mutual Legal Reserve Co., 144A 2.200%, 06/01/30@	2,000	2,092,258

	Par (000)	Value†
Household Products & Wares — 0.5%
Kimberly-Clark Corp. 3.100%, 03/26/30	$ 2,000	$ 2,303,161
Internet — 0.2%
Alibaba Group Holding Ltd. 3.400%, 12/06/27	1,000	1,119,501
Media — 2.6%
Charter Communications Operating LLC 4.464%, 07/23/22	3,000	3,162,730
Comcast Cable Holdings LLC 9.875%, 06/15/22	1,000	1,123,228
Comcast Corp. 3.950%, 10/15/25	4,000	4,595,520
The Walt Disney Co. 2.200%, 01/13/28	3,600	3,853,319
		12,734,797
Mining — 0.2%
Newmont Corp. 3.625%, 06/09/21	1,000	1,008,974
Oil & Gas — 0.8%
BG Energy Capital PLC, 144A 4.000%, 10/15/21@	1,000	1,026,664
BP Capital Markets PLC 2.500%, 11/06/22	2,500	2,597,875
		3,624,539
Pharmaceuticals — 3.8%
AbbVie, Inc. 2.300%, 05/14/21	3,000	3,016,600
Becton Dickinson and Co. 3.700%, 06/06/27	1,956	2,244,728
CVS Health Corp. 1.300%, 08/21/27	3,000	3,013,932
GlaxoSmithKline Capital, Inc. 5.375%, 04/15/34	1,000	1,427,311
Johnson & Johnson 3.550%, 03/01/36	2,337	2,886,095
Mead Johnson Nutrition Co. 4.125%, 11/15/25	2,000	2,307,619
Zoetis, Inc. 4.500%, 11/13/25	3,000	3,501,834
		18,398,119
Pipelines — 1.7%
Energy Transfer Partners LP 5.875%, 03/01/22	2,000	2,091,052
MPLX LP (3 M ICE LIBOR + 1.100%) 1.330%, 09/09/22•	3,000	3,000,509
Transcanada Trust (3 M ICE LIBOR + 4.640%) 5.875%, 08/15/76•	3,000	3,345,000
		8,436,561

69

	Par (000)	Value†
CORPORATE BONDS — (continued)
Real Estate Investment Trusts — 1.5%
American Tower Corp. 4.700%, 03/15/22	$ 2,500	$ 2,623,412
Kimco Realty Corp. 2.800%, 10/01/26	3,000	3,271,517
SBA Tower Trust, 144A 1.884%, 01/15/26@	1,500	1,543,835
		7,438,764
Semiconductors — 0.5%
NXP, 144A 3.150%, 05/01/27@	2,000	2,205,104
Software — 0.6%
VMware, Inc. 2.950%, 08/21/22	3,000	3,112,059
Telecommunications — 1.0%
Crown Castle Towers LLC, 144A 3.663%, 05/15/45@	4,000	4,308,371
Sprint Spectrum Co., LLC, 144A 3.360%, 03/20/23@	563	567,787
		4,876,158
Transportation — 1.5%
BNSF Railway Co. Pass Through Trust, Series 2015-1, 144A 3.442%, 06/16/28@	2,379	2,687,709
Federal Express Corp. Pass Through Trust, Series 1999 7.650%, 07/15/24	408	422,854
Union Pacific Corp. 3.375%, 02/01/35	3,336	3,904,099
		7,014,662
TOTAL CORPORATE BONDS (Cost $197,344,288)		208,350,702
MUNICIPAL BONDS — 3.3%
State of Texas, Public Finance Authority 3.952%, 10/01/37	3,725	4,356,276
University of Massachusetts Building Authority, Series 3 2.417%, 11/01/28	4,690	5,059,291
University of Michigan, Series B 2.562%, 04/01/50	3,725	3,956,136
West Virginia University, Series A 4.000%, 10/01/47	2,125	2,487,610
TOTAL MUNICIPAL BONDS (Cost $14,834,832)		15,859,313
RESIDENTIAL MORTGAGE BACKED SECURITIES — 12.8%
Collateralized Mortgage Obligations — 4.1%
Agate Bay Mortgage Trust, Series 2016-3 Class A5, 144A 3.500%, 08/25/46@,•	486	486,950