Royce Capital Fund - Small-Cap Portfolio (RCPFX)
143

At a Glance

Why invest in Capital Small-Cap?

  • Small-cap value fund (generally market caps up to $3 billion) that focuses on companies with above-average profitability and low leverage that are selling at attractive valuations due to what Royce believes are temporary factors
  • Pursues opportunities when expectations are low and focuses on industries where Royce sees the greatest number of compelling bargains
  • Outperformed its benchmark, the Russell 2000 Index, in 67% of all monthly rolling 10-year periods for the 20 years ended 6/30/18

As of 06/30/18

  • Small-Cap
    Value Approach
    $1.29B
    Avg. Market Cap
  • Above Average
    Volatility
    96%
    Active Share
  • Lead Manager
    Tenure
    15+
    Years on Fund

Portfolio Management

"My goal is to find companies where expectations built into the current valuation are too low relative to what I believe is far more likely to happen."
Jay Kaplan

Performance

Average Annual Total Returns (%)

Outperformed Russell 2000 for the 20-Year and since inception (12/27/96) periods as of 06/30/18.
QTR YTD 1YR 3YR 5YR 10YR 15YR 20YR SINCE INCEPT. DATE
Capital Small-Cap 7.52 7.0217.346.218.027.549.789.9610.64 12/27/96
Russell 2000 7.75 7.6617.5710.9612.4610.6010.508.038.75 N/A

Annual Operating Expenses: Gross 1.34 Net 1.33

AUG YTD 1YR 3YR 5YR 10YR 15YR 20YR SINCE INCEPT. DATE
Capital Small-Cap 3.51 13.6828.9110.568.887.799.4311.1510.86 12/27/96
Russell 2000 4.31 14.2625.4516.1113.0010.4610.169.998.98 N/A

Annual Operating Expenses: Gross 1.34 Net 1.33

SEP YTD 1YR 3YR 5YR 10YR 15YR 20YR SINCE INCEPT. DATE
Capital Small-Cap -3.60 9.5920.0110.046.977.498.9410.7910.64 12/27/96
Russell 2000 -1.56 12.4820.0715.4211.3010.079.719.528.88 N/A

Annual Operating Expenses: Gross 1.34 Net 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. 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 may be higher or lower than performance quoted and 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 1.33% 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

On a monthly basis, the Fund outperformed the Russell 2000 in 67% of all 10-Year periods; and 64% of all 5-Year periods.

For 97% of the periods, 10-year average annual total returns were greater than 5%.

Relative Returns: Monthly Rolling Average Annual Return Periods 20 Years Through 06/30/18

periods beating
the index(%)
fund
avg(%)
index
avg(%)
10-year
81/121
67 8.7 6.9
5-year
116/181
64 10.3 8.7
1-year
109/229
48 11.9 10.4

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% 55 40
> 5% and ≤ 10% 80 58
> 0% and ≤ 5% 4 3
≤ 0% 0 0

The Fund averaged a 9.4% return over all 139 10-year monthly rolling return periods.

Market Cycle Performance

The Fund outperformed the Russell 2000 in one of the two previous full market cycle periods.
Peak-Peak - 07/13/07 - 04/29/11
Capital Small-Cap10.4%
Russell 20006.6%

Peak-Peak - 04/29/11 - 06/23/15
Capital Small-Cap42.0%
Russell 200058.5%

Peak-Current - 06/23/15 - 06/30/18
Capital Small-Cap16.2%
Russell 200032.3%

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 12/27/96 and 06/30/18

Capital Small-Cap$87,991.17
Russell 2000$60,792.54

Risk

Above Average Volatility vs. Peer Group as of 06/30/18

The Fund has a above average volatility within its peer group of 106 Insurance Fund Small-Cap Funds based on 5-year rolling standard deviation.

Down Market Performance Comparisonas of 06/30/18

The Fund outperformed the Russell 2000 during all five downturns of 15% or more from the index’s prior historical high since the Fund’s inception.

Market Downturns (%)

DownMarketImg

Russell 2000 Down Quarters

QUARTER ENDRUSSELL 2000 (%)CAPITAL SMALL-CAP (%)SPREAD (%)
03/31/18-0.1-0.5-0.4
03/31/16-1.5+9.1+10.6
09/30/15-11.9-10.3+1.6
09/30/14-7.4-6.4+1.0
06/30/12-3.5-6.2-2.7
09/30/11-21.9-16.9+5.0
06/30/11-1.6-2.2-0.6
06/30/10-9.9-5.9+4.0
03/31/09-15.0-12.5+2.5
12/31/08-26.1-24.5+1.6
09/30/08-1.1-5.6-4.5
03/31/08-9.9-0.5+9.4
12/31/07-4.6-5.0-0.4
09/30/07-3.1-7.0-3.9
06/30/06-5.0-6.3-1.3
03/31/05-5.3-0.2+5.1
09/30/04-2.9+1.7+4.6

Capture Ratios Fund's First Full Quarter (12/31/96) to 06/30/18

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 06/30/18

Over the past 10 years, the Fund produced lower volatility than the Russell 2000 Index.
From the Fund's inception, the Fund outperformed the Russell 2000 Index with lower volatility.

Go to Relative Risk Spectrum Tool

Morningstar Statistical Measures as of 06/30/18

The Fund produced lower volatility than the Russell 2000 and 75% of insurance fund small-cap objective funds, as shown by its standard deviation.
Sharpe RatioStandard Deviation
Capital Small-Cap0.4718.12
Russell 20000.6019.57

Sharpe Ratio Standard Deviation
Capital Small-Cap
Russell 2000
Category Median
Best Quartile Breakpoint

Composition

Morningstar Style Map™as of 03/31/18

mstar-RCSSX

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 06/30/18

  RCSSX Russell 2000
Average Market Cap
1.29B
1.82B
96%
-
2017 Portfolio Turnover
91%
-
Weighted Average P/E,
15.2x
19.6x
Weighted Average P/B
2.0x
2.3x
U.S. Investments (% of Net Assets)
79.5%
-
Non-U.S. Investments (% of Net Assets)
11.6%
-

Portfolio Allocation

  • Total
    Holdings
    79


SECTORS
RCSSX (%) RUSSELL
2000 (%)
Information Technology
25.6
14.9
Industrials
22.3
14.9
Financials
21.3
17.9
Consumer Discretionary
14.1
13.3
Consumer Staples
2.3
2.8
Energy
2.1
5.0
Real Estate
1.5
7.3
Health Care
1.4
15.6
Utilities
0.5
3.3
Materials
-
4.3
Telecommunication Services
-
0.7
Cash and Cash Equivalents
9.0
-
POSITIONS% OF NET ASSETS
(SUBJECT TO CHANGE)
PC Connection
2.5
Insight Enterprises
2.5
Kulicke & Soffa Industries
2.5
Genworth MI Canada
2.4
Village Super Market Cl. A
2.3
Spirit Airlines
2.3
Vishay Intertechnology
2.2
Celestica
2.2
Fabrinet
2.0
Hawaiian Holdings
2.0
Wabash National
2.0
Miller Industries
1.9
Apogee Enterprises
1.6
Saga Communications Cl. A
1.5
Advanced Energy Industries
1.5
Allegiant Travel
1.5
MidWestOne Financial Group
1.5
Methode Electronics
1.5
La-Z-Boy
1.5
Marcus & Millichap
1.5
Top 20 as % of Net Assets
38.9

SECTORS
RCSSX (%) RUSSELL
2000 (%)
Information Technology
25.3
-
Industrials
22.8
-
Financials
21.9
-
Consumer Discretionary
12.7
-
Consumer Staples
2.1
-
Energy
2.0
-
Real Estate
1.5
-
Health Care
1.4
-
Utilities
0.5
-
Cash and Cash Equivalents
9.8
-
POSITIONS% OF NET ASSETS
(SUBJECT TO CHANGE)
Insight Enterprises
2.4
Kulicke & Soffa Industries
2.4
PC Connection
2.3
Vishay Intertechnology
2.2
Celestica
2.2
Miller Industries
2.1
Village Super Market Cl. A
2.1
Genworth MI Canada
2.1
Hawaiian Holdings
2.0
Advanced Energy Industries
2.0
Wabash National
2.0
Electro Scientific Industries
2.0
MidWestOne Financial Group
1.5
Methode Electronics
1.5
DSW Cl. A
1.5
Kimball International Cl. B
1.5
Saga Communications Cl. A
1.5
Allegiant Travel
1.5
Herman Miller
1.5
La-Z-Boy
1.5
Top 20 as % of Net Assets
37.8

Portfolio Holdings

View the complete list of holdings for this fund as of 06/30/18. 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 ($) REINVEST
PRICE ($)
12/13/17 12/14/17 12/14/17 0.0666 - - - 0.0666 8.35
12/14/16 12/15/16 12/15/16 0.1498 - 1.6400 - 1.7898 8.30
12/16/15 12/17/15 12/17/15 0.0453 0.1628 2.4727 - 2.6808 8.27
12/16/14 12/17/14 12/17/14 0.0000 0.4810 1.1784 - 1.6594 12.13
12/11/13 12/12/13 12/12/13 0.1288 0.0618 0.6872 - 0.8778 13.01
12/12/12 12/13/12 12/13/12 0.0031 - 0.2785 - 0.2816 10.62
12/14/11 12/15/11 12/15/11 0.0304 - - - 0.0304 9.70
12/15/10 12/16/10 12/16/10 0.0107 - - - 0.0107 10.40

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 1.00
Distribution (12b-1) fees 0.25
Other expenses 0.09
Total annual Fund operating expenses 1.34
Fee waivers and/or expense reimbursements (0.01)
Total annual Fund operating expenses after fee waivers and/or expense reimbursements1.33
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 1.33% through April 30, 2019.

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 small-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.) As of 06/30/18 the Fund invested a significant portion of its assets in a limited number of stocks, which may involve considerably more risk than more broadly diversified portfolio because a decline in the value of any one of these stocks would cause the Fund's overall value to decline to a greater degree. (Please see "Primary Risks for Fund Investors" in the prospectus.) 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 the "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. 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.

Managed by Jay Kaplan since 2003

5/2/2006 12:00:00 AM

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