59

At a Glance

Why invest in Capital Micro-Cap?

  • One of the only variable annuity products dedicated to investing in micro-cap stocks (generally market caps up to $1 billion)
  • Core approach that combines multiple investment themes and offers wide exposure to micro-cap stocks by investing in companies with strong fundamentals and/or prospects selling at prices that Royce believes do not fully reflect these attributes
  • Approach emphasizes the intersection of valuation with fundamental strength and/or excellent growth or turnaround potential

As of 06/30/16

  • Micro-Cap
    Core Approach
    $385.3M
    Avg. Market Cap
  • Above Average
    Volatility
    90%
    Active Share
  • Fund
    Longevity
    19+
    Years of History

Portfolio Management

"The micro-cap universe offers plenty of opportunities for us to find companies that are lightly researched or mispriced. Using multiple approaches gives us exposure to the entire asset class while our discipline keeps us focused on the fundamental business strengths that we think can create strong long-term performance."
Jim Stoeffel

Manager Tenure

Manager Tenure

Performance

Average Annual Total Returns (%)

QTR YTD 1YR 3YR 5YR 10YR 15YR SINCE INCEPT. DATE
Capital Micro-Cap 8.13 8.2412.94-0.835.493.477.849.77 12/27/96

Annual Operating Expenses: 1.33

SEP YTD 1YR 3YR 5YR 10YR 15YR SINCE INCEPT. DATE
Capital Micro-Cap 1.30 8.2412.94-0.835.493.477.849.77 12/27/96

Annual Operating Expenses: 1.33

SEP YTD 1YR 3YR 5YR 10YR 15YR SINCE INCEPT. DATE
Capital Micro-Cap 1.30 8.2412.94-0.835.493.477.849.77 12/27/96
Russell 2000 N/A N/AN/AN/AN/AN/AN/AN/A N/A
Russell Microcap N/A N/AN/AN/AN/AN/AN/AN/A N/A

Annual Operating Expenses: 1.33

Important Performance and Expense Information

All performance information reflects past performance, is presented on a total return basis, reflects the reinvestment of distributions, and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate, so that shares may be worth more or less than their original cost when redeemed. Current month-end performance may be higher or lower than performance quoted and may be obtained at www.roycefunds.com. The Fund's total returns do not reflect any deduction for charges or expenses of the variable contracts investing in the Fund. Operating expenses reflect the Fund's total annual operating expenses for the Investment Class as of the Fund's most current prospectus and include management fees, other expenses, and acquired fund fees and expenses. Acquired fund fees and expenses reflect the estimated amount of the fees and expenses incurred indirectly by the Fund through its investments in mutual funds, hedge funds, private equity funds, and other investment companies.

Rolling Returns

On a monthly basis, the Fund outperformed the Russell Microcap in 75% of all 10-Year periods; 68% of all 5-Year periods; and 52% of all 1-Year periods.

For 90% of the periods, 10-year average annual total returns were greater than 5%.

Relative Returns: Monthly Rolling Average Annual Return Periods Since Russell Microcap's Inception Through 06/30/16

periods beating
the index(%)
fund
avg(%)
index
avg(%)
10-year
55/73
75 7.9 6.3
5-year
91/133
68 8.2 7.4
1-year
95/181
52 10.1 9.9

Absolute Returns: 10-Year Monthly Rolling Return PeriodsNumber of 10-Year Average Annual Return Periods Since the Fund’s Inception

Return Range Periods % in Range
> 10% 54 47
> 5% and ≤ 10% 50 43
> 0% and ≤ 5% 11 10
≤ 0% 0 0

The Fund averaged a 9.9% return over all 115 10-year monthly rolling return periods.

Market Cycle Performance

The Fund outperformed the Russell Microcap from the 6/23/15 index peak through current (6/30/16).
Peak-Peak - 07/12/07 - 03/05/14
Capital Micro-Cap25.4%
Russell Microcap44.7%

Peak-Peak - 03/05/14 - 06/23/15
Capital Micro-Cap-3.4%
Russell Microcap6.4%

Peak-Current - 06/23/15 - 06/30/16
Capital Micro-Cap-13.6%
Russell Microcap-14.9%

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

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

Calendar Year Total Returns (%)

 

Growth of Investment

Value of $10,000 invested between 06/30/00 and 09/30/16

Capital Micro-Cap$0.00
Russell Microcap$0.00

The since inception performance above dates to the inception of the Russell Microcap on 6/30/2000. The Fund's inception date (12/27/1996) preceded the inception of the index.

Portfolio Impactas of 06/30/16

SECTOR NAMEAVERAGE WEIGHT (%)TOTAL RETURN (%)CONTRIBUTION TO RETURN (%)
Materials
4.46
16.52
0.65
Industrials
19.48
2.76
0.55
Utilities
0.24
70.02
0.20
Health Care
11.46
-0.08
0.12
Financials
12.80
0.46
0.06
Consumer Staples
0.45
16.25
0.06
Telecommunication Services
0.48
-1.78
-0.01
Energy
4.24
-3.31
-0.15
Consumer Discretionary
15.95
-1.24
-0.26
Information Technology
22.07
-2.26
-0.48
Cash
8.39
0.06
0.01

Top Contributors

INDUSTRYSECTORGAIN (%)
Metals & MiningMaterials0.72
Auto ComponentsConsumer Discretionary0.49
MachineryIndustrials0.39
InsuranceFinancials0.23
Electric UtilitiesUtilities0.20

Top Detractors

INDUSTRYSECTORGAIN (%)
Specialty RetailConsumer Discretionary-0.79
SoftwareInformation Technology-0.39
Professional ServicesIndustrials-0.27
Technology Hardware, Storage & PeripheralsInformation Technology-0.22
Communications EquipmentInformation Technology-0.15

Top Contributors

COMPANYINDUSTRYSECTORGAIN (%)
Pretium ResourcesMetals & MiningMaterials0.35
eHealthInsuranceFinancials0.24
XenoPortPharmaceuticalsHealth Care0.22
McEwen MiningMetals & MiningMaterials0.22
Olympic SteelMetals & MiningMaterials0.21

Top Detractors

COMPANYINDUSTRYSECTORGAIN (%)
SeaChange InternationalSoftwareInformation Technology-0.30
LipocinePharmaceuticalsHealth Care-0.27
Malibu Boats Cl. ALeisure ProductsConsumer Discretionary-0.21
Heidrick & Struggles InternationalProfessional ServicesIndustrials-0.19
Vera BradleyTextiles, Apparel & Luxury GoodsConsumer Discretionary-0.19
SECTOR NAMEAVERAGE WEIGHT (%)TOTAL RETURN (%)CONTRIBUTION TO RETURN (%)
Information Technology
22.55
2.70
0.94
Consumer Discretionary
16.05
4.05
0.91
Materials
4.22
14.64
0.70
Utilities
0.12
71.83
0.20
Telecommunication Services
0.55
37.43
0.20
Industrials
19.33
0.85
0.17
Consumer Staples
0.41
18.66
0.07
Financials
12.24
-2.61
-0.21
Energy
4.07
-13.55
-0.63
Health Care
11.51
-12.48
-1.56
Cash
8.95
0.13
0.01

Top Contributors

INDUSTRYSECTORGAIN (%)
Electronic Equipment, Instruments & ComponentsInformation Technology1.08
Metals & MiningMaterials1.08
Semiconductors & Semiconductor EquipmentInformation Technology1.06
Auto ComponentsConsumer Discretionary0.71
MachineryIndustrials0.36

Top Detractors

INDUSTRYSECTORGAIN (%)
PharmaceuticalsHealth Care-0.67
BiotechnologyHealth Care-0.64
Professional ServicesIndustrials-0.57
SoftwareInformation Technology-0.51
Specialty RetailConsumer Discretionary-0.38

Top Contributors

COMPANYINDUSTRYSECTORGAIN (%)
Olympic SteelMetals & MiningMaterials0.45
Silicon Motion Technology ADRSemiconductors & Semiconductor EquipmentInformation Technology0.40
Pretium ResourcesMetals & MiningMaterials0.39
McEwen MiningMetals & MiningMaterials0.34
FabrinetElectronic Equipment, Instruments & ComponentsInformation Technology0.34

Top Detractors

COMPANYINDUSTRYSECTORGAIN (%)
SeaChange InternationalSoftwareInformation Technology-0.45
Ardmore ShippingOil, Gas & Consumable FuelsEnergy-0.41
LipocinePharmaceuticalsHealth Care-0.36
BioAmberChemicalsMaterials-0.31
Heidrick & Struggles InternationalProfessional ServicesIndustrials-0.29
SECTOR NAMEAVERAGE WEIGHT (%)TOTAL RETURN (%)CONTRIBUTION TO RETURN (%)
Telecommunication Services
0.78
48.54
0.29
Utilities
0.06
71.83
0.20
Information Technology
21.80
-4.14
-0.19
Consumer Staples
0.60
-16.01
-0.23
Financials
11.36
-9.46
-0.89
Materials
4.43
-19.63
-1.02
Energy
4.62
-30.81
-1.68
Consumer Discretionary
15.46
-13.76
-1.76
Health Care
12.14
-14.01
-1.88
Industrials
20.17
-13.93
-3.07
Cash
8.56
0.17
0.02
Unclassified
0.00
0.00
0.00

Top Contributors

INDUSTRYSECTORGAIN (%)
Electronic Equipment, Instruments & ComponentsInformation Technology1.18
Semiconductors & Semiconductor EquipmentInformation Technology0.94
Auto ComponentsConsumer Discretionary0.83
Diversified Telecommunication ServicesTelecommunication Services0.31
Internet & Catalog RetailConsumer Discretionary0.25

Top Detractors

INDUSTRYSECTORGAIN (%)
Specialty RetailConsumer Discretionary-2.48
Energy Equipment & ServicesEnergy-1.22
Capital MarketsFinancials-0.77
Commercial Services & SuppliesIndustrials-0.75
SoftwareInformation Technology-0.74

Top Contributors

COMPANYINDUSTRYSECTORGAIN (%)
FabrinetElectronic Equipment, Instruments & ComponentsInformation Technology0.57
Silicon Motion Technology ADRSemiconductors & Semiconductor EquipmentInformation Technology0.45
Theravance BiopharmaPharmaceuticalsHealth Care0.41
Smith & Wesson Holding CorporationLeisure ProductsConsumer Discretionary0.40
Pretium ResourcesMetals & MiningMaterials0.39

Top Detractors

COMPANYINDUSTRYSECTORGAIN (%)
Container Store Group (The)Specialty RetailConsumer Discretionary-0.50
Horsehead Holding CorporationMetals & MiningMaterials-0.49
BioDelivery Sciences InternationalPharmaceuticalsHealth Care-0.48
SeaChange InternationalSoftwareInformation Technology-0.47
BioAmberChemicalsMaterials-0.45
SECTOR NAMEAVERAGE WEIGHT (%)TOTAL RETURN (%)CONTRIBUTION TO RETURN (%)
Information Technology
17.90
26.10
3.82
Health Care
10.93
39.62
2.77
Financials
10.16
16.90
1.17
Industrials
21.59
4.83
0.98
Consumer Discretionary
15.35
-1.86
0.79
Telecommunication Services
0.55
88.35
0.39
Utilities
0.06
68.78
0.20
Consumer Staples
0.96
-23.61
-0.33
Materials
7.00
-35.13
-2.39
Energy
6.57
-54.48
-4.27
Cash
8.90
0.22
0.02
Unclassified
0.03
176.56
0.05

Top Contributors

INDUSTRYSECTORGAIN (%)
Semiconductors & Semiconductor EquipmentInformation Technology3.08
Electronic Equipment, Instruments & ComponentsInformation Technology1.63
Health Care Equipment & SuppliesHealth Care1.47
Auto ComponentsConsumer Discretionary1.18
Professional ServicesIndustrials0.84

Top Detractors

INDUSTRYSECTORGAIN (%)
Energy Equipment & ServicesEnergy-3.24
Metals & MiningMaterials-2.08
Oil, Gas & Consumable FuelsEnergy-1.03
Specialty RetailConsumer Discretionary-0.94
Internet Software & ServicesInformation Technology-0.78

Top Contributors

COMPANYINDUSTRYSECTORGAIN (%)
Smith & Wesson Holding CorporationLeisure ProductsConsumer Discretionary0.78
FabrinetElectronic Equipment, Instruments & ComponentsInformation Technology0.75
VASCO Data Security InternationalSoftwareInformation Technology0.74
Silicon Motion Technology ADRSemiconductors & Semiconductor EquipmentInformation Technology0.68
Drew IndustriesAuto ComponentsConsumer Discretionary0.67

Top Detractors

COMPANYINDUSTRYSECTORGAIN (%)
Dawson GeophysicalEnergy Equipment & ServicesEnergy-0.89
Gulf Island FabricationEnergy Equipment & ServicesEnergy-0.76
Lincoln Educational ServicesDiversified Consumer ServicesConsumer Discretionary-0.74
Sprott ResourceOil, Gas & Consumable FuelsEnergy-0.64
Universal Stainless & Alloy ProductsMetals & MiningMaterials-0.63
SECTOR NAMEAVERAGE WEIGHT (%)TOTAL RETURN (%)CONTRIBUTION TO RETURN (%)
Health Care
10.50
72.93
4.63
Consumer Discretionary
14.91
12.39
3.70
Information Technology
16.39
16.39
3.48
Financials
9.01
35.56
2.48
Industrials
20.56
8.00
2.34
Telecommunication Services
0.75
60.28
0.17
Utilities
0.09
-31.50
0.05
Consumer Staples
1.53
-35.33
-0.54
Energy
7.41
-57.50
-5.25
Materials
10.09
-60.07
-9.45
Cash
8.72
0.34
0.03
Unclassified
0.03
160.62
0.05

Top Contributors

INDUSTRYSECTORGAIN (%)
Health Care Equipment & SuppliesHealth Care2.83
Semiconductors & Semiconductor EquipmentInformation Technology2.50
Specialty RetailConsumer Discretionary2.16
MachineryIndustrials1.72
Professional ServicesIndustrials1.65

Top Detractors

INDUSTRYSECTORGAIN (%)
Metals & MiningMaterials-9.56
Energy Equipment & ServicesEnergy-3.87
Diversified Consumer ServicesConsumer Discretionary-1.87
Oil, Gas & Consumable FuelsEnergy-1.38
Electrical EquipmentIndustrials-1.07

Top Contributors

COMPANYINDUSTRYSECTORGAIN (%)
Drew IndustriesAuto ComponentsConsumer Discretionary1.38
Quaker ChemicalChemicalsMaterials1.00
GP StrategiesProfessional ServicesIndustrials0.97
FRP HoldingsReal Estate Management & DevelopmentFinancials0.96
VASCO Data Security InternationalSoftwareInformation Technology0.88

Top Detractors

COMPANYINDUSTRYSECTORGAIN (%)
Lincoln Educational ServicesDiversified Consumer ServicesConsumer Discretionary-1.73
Gulf Island FabricationEnergy Equipment & ServicesEnergy-1.01
Global Power Equipment GroupElectrical EquipmentIndustrials-0.97
Universal Stainless & Alloy ProductsMetals & MiningMaterials-0.96
AXTSemiconductors & Semiconductor EquipmentInformation Technology-0.94

Risk

Above Average Volatility vs. Peer Group as of 06/30/16

The Fund has a above average volatility within its peer group of 111 Insurance Fund Small-Cap Funds based on 5-year rolling standard deviation.

Down Market Performance Comparisonas of 06/30/16

The Fund outperformed the Russell Microcap during all nine downturns of 10% or more from the index’s prior historical high since the index’s inception.

Market Downturns (%)

DownMarketImg
Outperformed in 15 out of 24 down quarters.

Russell Microcap Down Quarters

QUARTER ENDRUSSELL MICROCAP (%)CAPITAL MICRO-CAP (%)SPREAD (%)
03/31/16-5.4-0.3+5.1
09/30/15-13.8-15.2-1.4
09/30/14-8.2-9.3-1.1
06/30/14-1.4+1.8+3.2
06/30/12-2.0-8.5-6.5
09/30/11-22.7-22.1+0.6
06/30/11-3.5-4.2-0.7
06/30/10-8.9-6.4+2.5
12/31/09-0.5+7.0+7.5
03/31/09-15.2-7.5+7.7
12/31/08-28.1-29.6-1.5
09/30/08-0.8-13.3-12.5
06/30/08-3.5+0.9+4.4
03/31/08-12.4-7.9+4.5
12/31/07-7.5-3.6+3.9
09/30/07-4.6-1.3+3.3
09/30/06-0.7-2.1-1.4
06/30/06-6.8-3.4+3.4
03/31/05-7.4-3.9+3.5
09/30/04-5.6-2.8+2.8
06/30/04-1.8-1.7+0.1
03/31/03-2.5-7.4-4.9
09/30/02-22.4-22.1+0.3
06/30/02-3.5-4.1-0.6

Capture Ratios From 06/30/00 (Russell Microcap Inception) to 06/30/16

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

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

Long Term Risk Measurementas of 06/30/16

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

Go to Relative Risk Spectrum Tool

Morningstar Statistical Measures as of 06/30/16

The Fund produced lower volatility than the Russell Microcap and 75% of insurance fund small-cap objective funds, as shown by its standard deviation.
The Fund produced lower volatility than the Russell Microcap, as shown by its standard deviation.
The Fund produced lower volatility than the Russell Microcap, as shown by its standard deviation.
Sharpe RatioStandard Deviation
Capital Micro-Cap0.1819.56
Russell Microcap0.2620.78

Sharpe Ratio Standard Deviation
Capital Micro-Cap
Russell Microcap
Category Median
Best Quartile Breakpoint

Composition

Morningstar Style Map™as of 06/30/16

mstar-RCMCX

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

Portfolio Diagnosticsas of 06/30/16

  RCMCX Russell Microcap
Average Market Cap
385.3M
335.4M
90%
-
2015 Portfolio Turnover
51%
-
Weighted Average P/E,
17.8x
-
Weighted Average P/B
1.7x
1.6x
U.S. Investments (% of Net Assets)
77.5%
-
Non-U.S. Investments (% of Net Assets)
10.8%
-

Portfolio Allocation

  • Total
    Holdings
    172


SECTORS
RCMCX (%) RUSSELL
MICROCAP (%)
Information Technology
21.7
14.8
Industrials
19.2
11.1
Consumer Discretionary
15.0
13.3
Financials
12.2
28.6
Health Care
10.6
20.3
Energy
4.3
4.0
Materials
4.1
2.8
Consumer Staples
0.6
2.1
Telecommunication Services
0.5
1.4
Utilities
-
1.6
Cash and Cash Equivalents
11.7
-
POSITIONS% OF NET ASSETS
(SUBJECT TO CHANGE)
ePlus
1.1
Resources Connection
1.0
Standard Motor Products
1.0
Kadant
1.0
DTS
0.9
Stein Mart
0.9
PC Connection
0.9
PDF Solutions
0.9
Navigant Consulting
0.9
Citi Trends
0.8
Shoe Carnival
0.8
Landauer
0.8
AV Homes
0.8
CIRCOR International
0.8
QuinStreet
0.8
Capella Education
0.8
LSI Industries
0.8
Novanta
0.8
Kirkland's
0.8
CryoLife
0.8
Top 20 as % of Net Assets
17.4

SECTORS
RCMCX (%) RUSSELL
MICROCAP (%)
Information Technology
18.7
-
Industrials
16.8
-
Financials
16.1
-
Consumer Discretionary
13.4
-
Health Care
9.7
-
Energy
4.3
-
Materials
3.7
-
Consumer Staples
0.8
-
Telecommunication Services
0.6
-
Utilities
0.2
-
Cash and Cash Equivalents
15.7
-
POSITIONS% OF NET ASSETS
(SUBJECT TO CHANGE)
Direxion Daily Small Cap Bull 3X Shares
2.7
iShares Russell 2000 ETF
2.4
Stein Mart
0.8
DTS
0.8
PC Connection
0.7
Resources Connection
0.7
ePlus
0.7
CryoLife
0.7
Citi Trends
0.7
PDF Solutions
0.7
Shoe Carnival
0.7
Landauer
0.7
Zealand Pharma
0.7
Kirkland's
0.7
Vishay Precision Group
0.7
Novanta
0.7
Standard Motor Products
0.7
Gulf Island Fabrication
0.7
Fox Factory Holding
0.7
NeoPhotonics Corporation
0.7
Top 20 as % of Net Assets
17.9

Portfolio Holdings

View the complete list of holdings for this fund as of 06/30/16. Unaudited schedule of portfolio holdings is presented for informational purposes only.

Least Portfolio Overlap - U.S. Equity Funds

Greatest Portfolio Overlap - U.S. Equity Funds

Geographical Breakdown

Distributions

NAV & Distributions


Start DateEnd Date
to

Learn more about distributions

Distributions

RECORD
DATE
EX-DATE PAYABLE
DATE
INCOME ($) SHORT
TERM
GAINS ($)
LONG
TERM
GAINS ($)
RETURN OF
CAPITAL ($)
TOTAL ($) REINVEST
PRICE ($)
12/16/15 12/17/15 12/17/15 0.0000 0.0314 0.5776 - 0.6090 9.27
12/16/14 12/17/14 12/17/14 0.0000 0.0313 0.9441 - 0.9754 11.08
12/11/13 12/12/13 12/12/13 0.0640 - 0.3354 - 0.3994 12.26
12/12/12 12/13/12 12/13/12 0.0000 - 0.2427 - 0.2427 10.56
12/14/11 12/15/11 12/15/11 0.2873 - - - 0.2873 10.10
12/15/10 12/16/10 12/16/10 0.2010 - - - 0.2010 11.93

NAV History for

Fees & Expenses

Shareholder Fees (%)

(fees paid directly from your investment)

Maximum sales charge (load) imposed on purchases 0.00
Maximum deferred sales charge 0.00
Maximum sales charge (load) imposed on reinvested dividends 0.00
Redemption fee (as a percentage of amount redeemed on shares held for less than 180 days) 0.00

Annual Fund Operating Expenses (%)

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

Management fees 1.25
Distribution (12b-1) fees 0.00
Other expenses 0.07
Acquired fund fees and expenses 0.01
Total annual Fund operating expenses 1.33
Total annual Fund operating expenses may differ from the expense ratio in the Fund's Financial Highlights because they include only the Fund's direct operating expenses and do not include acquired fund fees and expenses, which reflect the estimated amount of the fees and expenses incurred indirectly by the Fund through its investments in mutual funds, hedge funds, private equity funds, and other investment companies.

Important Disclosure Information

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

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

The Price-Earnings, or P/E, Ratio is calculated by dividing a company's share price by its trailing 12-month earnings-per-share (EPS). The Fund's P/E ratio calculation excludes companies with zero or negative earnings. The Price-to-Book, or P/B, Ratio is calculated by dividing a company's share price by its book value per share. Standard deviation is a statistical measure within which a fund's total returns have varied over time. The greater the standard deviation, the greater a fund's volatility. Russell Investment Group is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. Russell® is a trademark of Russell Investment Group. The Russell Microcap Index includes 1,000 of the smallest securities in the small-cap Russell 2000 Index, along with the next smallest eligible securities as determined by Russell. Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell© is a trademark of Russell Investment Group. The Russell 2000 is an unmanaged, capitalization-weighted index of domestic small-cap stocks. It measures the performance of the 2,000 smallest publicly traded U.S. companies in the Russell 3000 index. The performance of an index does not represent exactly any particular investment, as you cannot invest directly in an index. The performance of an index does not represent exactly any particular investment, as you cannot invest directly in an index.

Jim Stoeffel lead manager since 2015 (co-manager 2015), Jenifer Taylor (co-manager or manager 2009-2015), Chris Flynn, Jim Harvey, and Brendan Hartman since 2015 (assistant portfolio manager 2013-2015)

12/27/1996 12:00:00 AM

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