Royce Capital Fund - Micro-Cap Portfolio (RCMCX)
142

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 03/31/19

  • Micro-Cap
    Core Approach
    $446.6M
    Avg. Market Cap
  • Below Average
    Volatility
    90%
    Active Share
  • Fund
    Longevity
    22+
    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 (%)

Outperformed Russell Microcap for the 1-Year period as of 03/31/19. Outpaced Russell 2000 for the 20-Year and since inception (12/27/96) periods as of 03/31/19.
QTR YTD 1YR 3YR 5YR 10YR 15YR 20YR SINCE INCEPT. DATE
Capital Micro-Cap 9.55 9.55-0.727.761.1010.184.879.879.22 12/27/96
Russell Microcap 13.10 13.10-2.3612.295.0314.976.09N/AN/A N/A
Russell 2000 14.58 14.582.0512.927.0515.368.048.448.18 N/A

Annual Operating Expenses: Gross 1.64 Net 1.58

APR YTD 1YR 3YR 5YR 10YR 15YR 20YR SINCE INCEPT. DATE
Capital Micro-Cap 3.53 13.412.588.302.249.035.429.519.35 12/27/96
Russell Microcap 1.91 15.26-1.7311.816.7013.496.62N/AN/A N/A
Russell 2000 3.40 18.484.6113.608.6314.108.668.168.31 N/A

Annual Operating Expenses: Gross 1.64 Net 1.58

MAY YTD 1YR 3YR 5YR 10YR 15YR 20YR SINCE INCEPT. DATE
Capital Micro-Cap -3.81 9.09-7.648.441.837.955.288.929.14 12/27/96
Russell 2000 N/A N/AN/AN/AN/AN/AN/AN/AN/A N/A
Russell Microcap N/A N/AN/AN/AN/AN/AN/AN/AN/A N/A

Annual Operating Expenses: Gross 1.64 Net 1.58

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 performance may be higher or lower than performance quoted. The Fund's total returns do not reflect any deduction for charges or expenses of the variable contracts investing in the Fund. Current month-end performance information may be obtained at www.roycefunds.com. Gross operating expenses reflect the Fund's total gross operating expenses for the Service Class and include include management fees, 12b-1 distribution and service fees, and other expenses. Net operating expenses reflect contractual fee waivers and/or expense reimbursements. All expense information is reported as of the Fund’s most current prospectus. Royce & Associates has contractually agreed, without right of termination, to waive fees and/or reimburse expenses to the extent necessary to maintain the Service Class's net annual operating expenses (excluding brokerage commissions, taxes, interest, litigation expenses, acquired fund fees and expenses, and other expenses not borne in the ordinary course of business) at or below 1.58% through April 30, 2019. 

All performance and risk information presented in this material prior to the commencement date of Service Class shares on 5/2/06 reflects Investment Class results. Service Class shares bear an annual distribution expense that is not borne by Investment Class shares. If Service Class's annual distribution expense had been reflected, total returns prior to 5/2/06 would have been lower.

Rolling Returns

For 76% of the periods, 10-year average annual total returns were greater than 5%.

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% 56 38
> 5% and ≤ 10% 58 39
> 0% and ≤ 5% 35 23
≤ 0% 0 0

The Fund averaged a 8.6% return over all 148 10-year monthly rolling return periods.

Market Cycle Performance

The Fund outperformed the Russell Microcap from the 8/31/18 index peak through current (3/31/19).
Peak-Peak - 03/05/14 - 06/23/15
Capital Micro-Cap-3.8%
Russell Microcap6.4%

Peak-Peak - 06/23/15 - 08/31/18
Capital Micro-Cap25.5%
Russell Microcap36.1%

Peak-Current - 08/31/18 - 03/31/19
Capital Micro-Cap-14.3%
Russell Microcap-14.8%

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 03/31/19

Capital Micro-Cap$41,308.55
Russell Microcap$36,902.30

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.

Risk

Below Average Volatility vs. Peer Group as of 03/31/19

The Fund has a below average volatility within its peer group of 112 Insurance Fund Small-Cap Funds based on 5-year rolling standard deviation.

Down Market Performance Comparisonas of 03/31/19

The Fund outperformed the Russell Microcap during all eight downturns of 15% or more from the index’s prior historical high since the index’s inception.

Market Downturns (%)

DownMarketImg
Outperformed in 15 out of 22 down quarters.

Russell Microcap Down Quarters

QUARTER ENDRUSSELL MICROCAP (%)CAPITAL MICRO-CAP (%)SPREAD (%)
12/31/18-22.1-19.7+2.4
03/31/16-5.4-0.4+5.0
09/30/15-13.8-15.2-1.4
09/30/14-8.2-9.4-1.2
06/30/14-1.4+1.7+3.1
06/30/12-2.0-8.5-6.5
09/30/11-22.7-22.2+0.5
06/30/11-3.5-4.2-0.7
06/30/10-8.9-6.3+2.6
12/31/09-0.5+7.0+7.5
03/31/09-15.2-7.5+7.7
12/31/08-28.1-29.7-1.6
09/30/08-0.8-13.3-12.5
06/30/08-3.5+0.8+4.3
03/31/08-12.4-8.0+4.4
12/31/07-7.5-3.6+3.9
09/30/07-4.6-1.5+3.1
09/30/06-0.7-2.2-1.5
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

Capture Ratios From 06/30/00 ( Inception) to 03/31/19

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 03/31/19

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 03/31/19

The Fund produced lower volatility than the Russell Microcap and 50% of insurance fund small-cap objective funds, as shown by its standard deviation.
The Fund produced lower volatility than the Russell Microcap and 50% 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.
Sharpe RatioStandard Deviation
Capital Micro-Cap0.6217.48
Russell Microcap0.8218.81

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

Composition

Morningstar Style Map™as of 12/31/18

mstar-RCMSX

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 03/31/19

  RCMSX Russell Microcap
Average Market Cap
446.6M
485.9M
90%
-
2018 Portfolio Turnover
28%
-
Weighted Average P/E,
17.5x
-
Weighted Average P/B
1.8x
1.9x
U.S. Investments (% of Net Assets)
84.6%
-
Non-U.S. Investments (% of Net Assets)
12.0%
-

Portfolio Allocation

  • Total
    Holdings
    143


SECTORS
RCMSX (%) RUSSELL
MICROCAP (%)
Industrials
22.1
10.9
Information Technology
21.5
10.4
Financials
13.1
23.2
Consumer Discretionary
12.9
10.2
Health Care
11.8
26.7
Energy
4.7
4.3
Materials
3.8
2.6
Real Estate
2.6
4.7
Consumer Staples
2.5
2.2
Communication Services
1.6
3.4
Utilities
-
1.3
Cash and Cash Equivalents
3.4
-
POSITIONS% OF NET ASSETS
(SUBJECT TO CHANGE)
Stoneridge
1.3
NeoGenomics
1.2
Kornit Digital
1.2
Zealand Pharma
1.1
OrthoPediatrics Corporation
1.1
American Superconductor
1.1
Northwest Pipe
1.0
Rudolph Technologies
1.0
Photronics
1.0
Newpark Resources
1.0
Resources Connection
1.0
Harvard Bioscience
1.0
Agilysys
1.0
Haverty Furniture
1.0
QAD Cl. A
0.9
Quanterix Corporation
0.9
Vishay Precision Group
0.9
Community Healthcare Trust
0.9
Adesto Technologies
0.9
Marcus & Millichap
0.9
Top 20 as % of Net Assets
20.4

SECTORS
RCMSX (%) RUSSELL
MICROCAP (%)
Information Technology
21.8
-
Industrials
21.7
-
Financials
12.9
-
Health Care
12.3
-
Consumer Discretionary
12.2
-
Energy
4.3
-
Materials
3.8
-
Real Estate
2.7
-
Consumer Staples
2.2
-
Communication Services
1.7
-
Cash and Cash Equivalents
4.5
-
POSITIONS% OF NET ASSETS
(SUBJECT TO CHANGE)
Stoneridge
1.4
Kornit Digital
1.3
NeoGenomics
1.2
Zealand Pharma
1.1
Lovesac Company (The)
1.1
Rudolph Technologies
1.0
Vishay Precision Group
1.0
QAD Cl. A
1.0
Northwest Pipe
1.0
Nova Measuring Instruments
1.0
Adesto Technologies
1.0
Ultra Clean Holdings
1.0
Photronics
1.0
Marcus & Millichap
1.0
Haverty Furniture
1.0
Amber Road
0.9
Resources Connection
0.9
Community Healthcare Trust
0.9
OrthoPediatrics Corporation
0.9
Alimak Group
0.9
Top 20 as % of Net Assets
20.6

Portfolio Holdings

View the complete list of holdings for this fund as of 03/31/19. 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 ($) REINVEST
PRICE ($)
12/12/18 12/13/18 12/13/18 0.0000 0.0369 0.4455 - 0.4824 9.19
12/13/17 12/14/17 12/14/17 0.0613 - 1.1848 - 1.2461 10.03
12/14/16 12/15/16 12/15/16 0.0524 - - - 0.0524 10.94
12/16/15 12/17/15 12/17/15 0.0000 0.0314 0.5776 - 0.6090 9.13
12/16/14 12/17/14 12/17/14 0.0000 0.0313 0.9441 - 0.9754 10.94
12/11/13 12/12/13 12/12/13 0.0423 - 0.3354 - 0.3777 12.16
12/12/12 12/13/12 12/13/12 0.0000 - 0.2427 - 0.2427 10.49
12/14/11 12/15/11 12/15/11 0.2849 - - - 0.2849 10.05
12/15/10 12/16/10 12/16/10 0.1935 - - - 0.1935 11.88

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 0.25
Other expenses 0.14
Total annual Fund operating expenses 1.64
Fee waivers and/or expense reimbursements (0.06)
Total annual Fund operating expenses after fee waivers and/or expense reimbursements1.58
Royce & Associates has contractually agreed, without right of termination, to waive fees and/or reimburse expenses to the extent necessary to maintain the Service Class's net annual operating expenses (excluding brokerage commissions, taxes, interest, litigation expenses, acquired fund fees and expenses, and other expenses not borne in the ordinary course of business) at or below 1.58% through April 30, 2020.

Important Disclosure Information

This material is not authorized for distribution unless preceded or accompanied by a current prospectus. Please read the prospectus carefully before investing or sending money. The Fund invests primarily in 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.
Frank Russell Company (“Russell”) is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Frank Russell Company. Neither Russell nor its licensors accept any liability for any errors or omissions in the Russell Indexes and/or Russell ratings or underlying data and no party may rely on any Russell Indexes and/or Russell ratings and/or underlying data contained in this communication. No further distribution of Russell Data is permitted without Russell’s express written consent. Russell does not promote, sponsor or endorse the content of this communication.
Source: MSCI.  MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein.  The MSCI data may not be further redistributed or used as a basis for other indexes or any securities or financial products.  This report is not approved, endorsed, reviewed or produced by MSCI. None of the MSCI data is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. The Russell 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. 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.

Jim Stoeffel lead manager since 2015 (co-manager 2015), Brendan Hartman since 2016 (assistant portfolio manager 2013-2015)

5/2/2006 12:00:00 AM

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