Preheat the oven to 400°F. Cover a baking sheet with foil sprayed with non-stick cooking oil. Chop the vegetables into 2 inch chunks and put them on the baking sheet.
Drizzle the vegetables with olive oil and sprinkle with salt, pepper, and cayenne pepper. Stir and sprinkle with additional salt, pepper, and cayenne pepper.
Bake for 30 minutes or until they start to soften, stirring 1 or 2 times. Put the vegetables in a blender or food processor, drizzling with just enough broth to blend.