Royce Capital Fund - Small-Cap Portfolio (RCPFX)
58

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
  • Takes a contrarian value approach, looking for stocks with solid fundamentals in industries where pessimism runs high
  • Pursues opportunities when expectations are low and focuses on industries where Royce sees the greatest number of compelling bargains

As of 03/31/20

  • Small-Cap
    Value Approach
    $792.2M
    Avg. Market Cap
  • High
    Volatility
    97%
    Active Share
  • Lead Manager
    Tenure
    17+
    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 Value since inception (12/27/96) period as of 06/30/20. Outpaced Russell 2000 for the 20-Year and since inception (12/27/96) periods as of 06/30/20.
QTR YTD 1YR 3YR 5YR 10YR 15YR 20YR SINCE INCEPT. DATE
Capital Small-Cap 17.91 -28.45-21.75-5.06-2.584.804.197.368.35 12/27/96
Russell 2000 Value 18.91 -23.50-17.48-4.351.267.824.977.657.65 N/A
Russell 2000 25.42 -12.98-6.632.014.2910.507.016.697.51 N/A

Annual Operating Expenses: Gross 1.15 Net 1.08

JUN YTD 1YR 3YR 5YR 10YR 15YR 20YR SINCE INCEPT. DATE
Capital Small-Cap 2.81 -28.45-21.75-5.06-2.584.804.197.368.35 12/27/96
Russell 2000 Value 2.90 -23.50-17.48-4.351.267.824.977.657.65 N/A
Russell 2000 3.53 -12.98-6.632.014.2910.507.016.697.51 N/A

Annual Operating Expenses: Gross 1.15 Net 1.08

JUL YTD 1YR 3YR 5YR 10YR 15YR 20YR SINCE INCEPT. DATE
Capital Small-Cap -1.71 -29.67-22.45-5.61-2.914.764.037.268.27 12/27/96
Russell 2000 Value -1.82 -24.89-18.53-4.930.957.824.807.557.56 N/A
Russell 2000 -0.65 -13.54-6.881.794.2410.626.936.657.48 N/A

Annual Operating Expenses: Gross 1.15 Net 1.08

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.royceinvest.com. The Fund's total returns do not reflect any deduction for charges or expenses of the variable contracts investing in the Fund. Gross operating expenses reflect the Fund's total gross operating expenses for the Investment Class and include include management 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 has contractually agreed, without right of termination, to waive fees and/or reimburse expenses to the extent necessary to maintain the Investment 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 1.08% through April 30, 2021.

Rolling Returns

For 98% 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% 63 39
> 5% and ≤ 10% 94 58
> 0% and ≤ 5% 5 3
≤ 0% 0 0

The Fund averaged a 9.5% return over all 160 10-year monthly rolling return periods.

Market Cycle Performance

The Fund outperformed the Russell 2000 Value in one of the two previous full market cycle periods.
Peak-Peak - 06/04/07 - 06/23/15
Capital Small-Cap59.0%
Russell 2000 Value45.9%

Peak-Peak - 06/23/15 - 08/22/18
Capital Small-Cap24.2%
Russell 2000 Value39.0%

Peak-Current - 08/22/18 - 03/31/20
Capital Small-Cap-41.9%
Russell 2000 Value-37.6%

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 06/30/20

Capital Small-Cap$65,920.90
Russell 2000 Value$56,544.67

Risk

High Volatility vs. Peer Group as of 03/31/20

The Fund has a high volatility within its peer group of 121 Insurance Fund Small-Cap Funds based on 5-year rolling standard deviation.

Down Market Performance Comparisonas of 03/31/20

The Fund outperformed the Russell 2000 Value during three out of six downturns of 15% or more from the index’s prior historical high since the Fund’s inception.

Market Downturns (%)

DownMarketImg
Outperformed in 23 out of 37 down quarters.

Russell 2000 Value Down Quarters

QUARTER ENDRUSSELL 2000 VALUE (%)CAPITAL SMALL-CAP (%)SPREAD (%)
03/31/20-30.6-39.3-8.7
03/31/20-35.7-39.3-3.6
09/30/19-0.6+2.1+2.7
09/30/19-2.4+2.1+4.5
12/31/18-20.2-14.9+5.3
12/31/18-18.7-14.9+3.8
03/31/18-2.6-0.6+2.0
03/31/18-0.1-0.6-0.5
03/31/17-0.1-1.4-1.3
03/31/16-1.5+9.1+10.6
09/30/15-11.9-10.3+1.6
09/30/15-10.7-10.3+0.4
06/30/15-1.2-3.2-2.0
09/30/14-8.6-6.4+2.2
09/30/14-7.4-6.4+1.0
06/30/12-3.5-6.1-2.6
06/30/12-3.0-6.1-3.1
09/30/11-21.5-16.8+4.7
09/30/11-21.9-16.8+5.1
06/30/11-1.6-2.2-0.6
06/30/11-2.6-2.2+0.4
06/30/10-10.6-5.8+4.8
06/30/10-9.9-5.8+4.1
03/31/09-15.0-12.5+2.5
03/31/09-19.6-12.5+7.1
12/31/08-24.9-24.3+0.6
12/31/08-26.1-24.3+1.8
09/30/08-1.1-5.6-4.5
06/30/08-3.5+2.2+5.7
03/31/08-6.5-0.3+6.2
03/31/08-9.9-0.3+9.6
12/31/07-4.6-5.0-0.4
12/31/07-7.3-5.0+2.3
09/30/07-6.3-6.9-0.6
09/30/07-3.1-6.9-3.8
06/30/06-5.0-6.3-1.3
06/30/06-2.7-6.3-3.6

Capture Ratios Fund's First Full Quarter (12/31/96) to 03/31/20

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 03/31/20

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

Go to Relative Risk Spectrum Tool

Morningstar Statistical Measures as of 03/31/20

The Fund produced lower volatility than the Russell 2000 Value, as shown by its standard deviation.
Sharpe RatioStandard Deviation
Capital Small-Cap0.1918.69
Russell 2000 Value0.3118.79

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

Composition

Morningstar Style Map™as of 03/31/20

mstar-RCPFX

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 03/31/20

  RCPFX Russell 2000 Value
Average Market Cap
792.2M
1.18B
97%
-
2019 Portfolio Turnover
111%
-
Weighted Average P/E,
9.0x
10.2x
Weighted Average P/B,
1.4x
1.1x
U.S. Investments (% of Net Assets)
86.1%
-
Non-U.S. Investments (% of Net Assets)
6.9%
-

Portfolio Allocation

  • Total
    Holdings
    89


SECTORS
RCPFX (%) RUSSELL
2000 VALUE (%)
Financials
28.4
29.9
Industrials
27.1
12.5
Information Technology
14.4
11.4
Consumer Discretionary
12.0
7.8
Health Care
5.0
6.0
Energy
2.4
3.5
Real Estate
1.7
11.5
Communication Services
1.5
2.2
Consumer Staples
0.5
3.4
Utilities
-
7.6
Materials
-
4.3
Cash and Cash Equivalents
7.0
-
POSITIONS% OF NET ASSETS
(SUBJECT TO CHANGE)
Miller Industries
3.0
PC Connection
2.8
Sanmina Corporation
2.8
Heidrick & Struggles International
2.6
Insight Enterprises
2.4
Vectrus
2.2
Evercore Cl. A
2.2
Moelis & Company Cl. A
2.1
National Bankshares
1.9
Houlihan Lokey Cl. A
1.8
James River Group Holdings
1.7
Comfort Systems USA
1.7
Rent-A-Center
1.7
Korn Ferry
1.7
Marcus & Millichap
1.7
Kulicke & Soffa Industries
1.7
Ames National
1.7
BMC Stock Holdings
1.6
Kimball International Cl. B
1.6
Camden National
1.6
Top 20 as % of Net Assets
40.5

SECTORS
RCPFX (%) RUSSELL
2000 VALUE (%)
Industrials
30.7
-
Financials
23.1
-
Information Technology
16.0
-
Consumer Discretionary
14.0
-
Health Care
4.3
-
Communication Services
1.9
-
Real Estate
1.7
-
Energy
1.1
-
Consumer Staples
0.5
-
Cash and Cash Equivalents
6.9
-
POSITIONS% OF NET ASSETS
(SUBJECT TO CHANGE)
Vectrus
2.8
Rent-A-Center
2.7
PC Connection
2.4
Evercore Cl. A
2.4
Miller Industries
2.4
Moelis & Company Cl. A
2.3
Insight Enterprises
2.2
Sanmina Corporation
2.1
Heidrick & Struggles International
2.1
Korn Ferry
2.1
ArcBest
1.9
Kulicke & Soffa Industries
1.7
James River Group Holdings
1.7
Shoe Carnival
1.7
Marcus & Millichap
1.7
PulteGroup
1.7
Vishay Intertechnology
1.6
BMC Stock Holdings
1.5
Werner Enterprises
1.5
Comfort Systems USA
1.5
Top 20 as % of Net Assets
40.0

Portfolio Holdings

View the complete list of holdings for this fund as of 03/31/20. 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 ($) REINVEST
PRICE ($)
12/11/19 12/12/19 12/12/19 0.0602 0.2543 0.8261 - 1.1406 8.13
12/12/18 12/13/18 12/13/18 0.0693 0.0000 0.1138 - 0.1831 8.11
12/13/17 12/14/17 12/14/17 0.0802 - - - 0.0802 8.57
12/14/16 12/15/16 12/15/16 0.1659 - 1.6400 - 1.8059 8.50
12/16/15 12/17/15 12/17/15 0.0916 0.1628 2.4727 - 2.7271 8.43
12/16/14 12/17/14 12/17/14 0.0180 0.4810 1.1784 - 1.6774 12.33
12/11/13 12/12/13 12/12/13 0.1441 0.0618 0.6872 - 0.8931 13.18
12/12/12 12/13/12 12/13/12 0.0121 - 0.2785 - 0.2906 10.73
12/14/11 12/15/11 12/15/11 0.0359 - - - 0.0359 9.79
12/15/10 12/16/10 12/16/10 0.0113 - - - 0.0113 10.48

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 0.00
Other expenses 0.15
Total annual Fund operating expenses 1.15
Fee waivers and/or expense reimbursements (0.07)
Total annual Fund operating expenses after fee waivers and/or expense reimbursements1.08
Royce has contractually agreed, without right of termination, to waive fees and/or reimburse expenses to the extent necessary to maintain the Investment 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 1.08% through April 30, 2021.

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 03/31/20 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 Portfolio's P/E ratio calculation excludes cash holdings and 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 client account’s total returns have varied over time. The greater the standard deviation, the greater a portfolio’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 2000 Value and Growth indices consist of the respective value and growth stocks within the Russell 2000 as determined by Russell Investments. 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

12/27/1996 12:00:00 AM

Share:

Subscribe:

Sign Up

Follow: