Preheat your oven to 400°F (200°C).
Place the butternut squash, carrots, parsnips, and sweet potatoes on a baking sheet. Drizzle with olive oil, and season with salt and pepper. Toss to coat.
Roast in the preheated oven for 25-30 minutes, or until the vegetables are tender and lightly browned.
Transfer the roasted vegetables to a large pot. Add the vegetable broth and bring to a simmer over medium heat.
Using an immersion blender, blend the soup until smooth. Alternatively, you can transfer the soup in batches to a blender and blend until smooth.
Stir in the heavy cream and heat through, but do not boil. Adjust seasoning with additional salt and pepper, if needed.
Serve hot, garnished with fresh herbs if desired.