Bake sweet potatoes in preheated oven until soft, about 1 1/2 hours (you can also use a microwave). Remove and let cool slightly.
Peel sweet potatoes, and puree with chicken broth in batches, using enough chicken broth so that it purees smoothly. Bring puree to a simmer in a large saucepan over medium-high heat, then reduce heat to medium-low. Stir in the sugar, salt, nutmeg, black pepper, and cayenne pepper; cover, and let simmer for 10 minutes. Remove from heat, and stir in cream.
