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Global Absolute Return Fund

Our full alpha-generating capabilities, with lower volatility and low or no equity market correlation

NAV (as of 21 Sep 2018)

$9.54, +0.09

YTD

+4.72%

INCEPTION

24 Jan 2011

TICKER/CUSIP

CGAIX/14949P406

Fact Sheet Prospectus

Fund Profile

The Fund takes long and short exposures in common and preferred stocks of companies located primarily in developed countries outside the U.S. and of companies in the U.S. To obtain exposure to long and short positions in securities, the Fund enters into one or more total return equity swap agreements. Although the Fund is permitted to take direct long and short positions in securities, other than swap agreements, it does not currently intend directly to purchase or sell securities or directly to hold short positions in securities. The Investment Adviser integrates fundamental and quantitative research to manage the Fund’s long exposures (the “long portfolio” of the Fund). The Investment Adviser uses its quantitative investment strategy designed to identify short exposures that it expects to underperform the MSCI World Index to manage the Fund’s short exposures (the “short portfolio” of the Fund).

Minimum Investment$1,000,000
Sales ChargeNone
Net Expense Ratio1.52%
Gross Expense Ratio1.55%
Dividend FrequencyAnnual
Capital Gain FrequencyAnnual
Benchmark BofA ML 3M US TBill

Performance

Fund Quarter to Date Year to Date 1 Year3 Year5 Year Since Inception
CGAIX 5.5%3.3%8.7%0.3%0.4%2.5%
ICE BofAML 90 T Bill 0.4%1.2%1.5%0.8%0.5%0.4%
Fund Quarter to Date Year to Date 1 Year3 Year5 Year Since Inception
CGAIX -1.0%-2.1%1.7%-0.1%0.2%1.8%
ICE BofAML 90 T Bill 0.5%0.8%1.4%0.7%0.4%0.3%

Portfolio

Position Details as of 31 Aug 2018

Cash 39,545,209
Market Value Long 63,012,202
Market Value Short -62,786,658
Net Positional Value 225,544
NAV 39,770,753
Net Exposure 0.57%
Leverage 3.16
Long Positions 95
Short Positions 115
Total 210

Characteristics as of 31 Aug 2018

Long Portfolio Short Portfolio MSCI World
No. of Exposures 95 115 1642
Wtd Avg Mkt Cap (Mn $US) $57,837 $16,765 $151,175
FY2 Price/Earnings 10.6 14.8 15.1
Price/Book Value 1.5 1.7 2.5
Return on Equity (%) 16.4 5.3 18.9

A “Weighted Average” measures a characteristic by the market capitalization of each stock. Price/Book Ratio is the weighted average of the price/book ratios of all the stocks in a portfolio. The P/B ratio of a company is calculated by dividing the market price of its stock by the company’s per-share book value. The Price/Earnings Ratio is the weighted average of the price/earnings ratios of the stocks in a portfolio. The FY2 P/E ratio is a forward P/E ratio using a next-twenty four months EPS estimate in the denominator. Return on equity is calculated by taking a year's worth of earnings and dividing them by the average shareholder equity for that year.

Sector Exposure as of 31 Aug 2018

Long Exposure (%)Short Exposure (%)Net Exposure (%)
Energy7.76-2.105.66
Health Care14.79-10.054.74
Industrials27.66-23.324.34
Consumer Discretionary20.63-17.263.37
Telecommunication Services9.92-6.843.08
Materials14.70-12.452.25
Information Technology18.85-22.01-3.16
Utilities9.18-13.53-4.35
Consumer Staples1.66-6.59-4.93
Real Estate3.86-8.89-5.03
Financials29.65-34.91-5.26

Country Exposure as of 31 Aug 2018

Long Exposure (%)Short Exposure (%)Net Exposure (%)
China17.55-9.707.85
Switzerland8.20-0.457.75
Canada9.63-4.385.25
Germany7.75-4.133.62
United Kingdom15.51-11.993.52
Sweden1.740.001.74
New Zealand1.660.001.66
Netherlands1.310.001.31
South Korea8.37-8.120.25
France2.74-2.75-0.01
Belgium0.00-0.46-0.46
Denmark0.00-0.77-0.77
Portugal0.00-0.89-0.89
Singapore1.49-2.58-1.09
Italy0.00-1.38-1.38
United States65.33-66.96-1.63
Spain0.00-2.55-2.55
Hong Kong0.78-3.67-2.89
Austria0.00-3.00-3.00
Norway0.00-3.27-3.27
Ireland0.00-4.07-4.07
Australia0.00-4.58-4.58
Japan16.59-22.20-5.61

TOP 10 Positions as of 31 Aug 2018

Top Ten Long PositionsTop Ten Short Positions
CompanyEnding Weight (%)CompanyEnding Weight (%)
SSE Plc3.19%Hitachi Chemical Co., Ltd.-3.16%
Aviva Plc3.12%DENTSPLY SIRONA, Inc.-3.11%
Park Hotels & Resorts, Inc.3.12%Daimler AG-3.10%
Linde AG3.11%Samsung Heavy Industries Co., Ltd.-3.09%
FirstEnergy Corp.3.08%Equinix, Inc.-3.08%
Advance Auto Parts, Inc.3.07%Marsh & McLennan Cos., Inc.-3.08%
Microsoft Corp.3.06%United Utilities Group Plc-3.07%
Sompo Holdings, Inc.3.06%Keikyu Corp.-3.06%
China Mobile Ltd.3.06%China Unicom (Hong Kong) Ltd.-3.05%
SK Telecom Co., Ltd.3.06%Kansai Paint Co., Ltd.-3.04%

Holdings are subject to change.

Approach

Causeway Global Absolute Return (GAR) Fund is designed for investors who want equity-like returns with lower volatility and lower market correlation. The Fund invests in global developed markets equities, using swap agreements to obtain exposures to long and short positions.

Causeway integrates fundamental and quantitative research to manage the Fund’s long exposures and its quantitative investment strategy to manage the short exposures. Both the long and short portfolios seek to add alpha (performance exceeding the long or short MSCI World Index), which is amplified by leverage up to 4x, with a target of 3x.

The GAR Fund's net long/short notional exposure will generally not exceed plus or minus 10% of net assets. However, the long portfolio and the short portfolio will each have different exposures under swap agreements that will not be fully hedged. Unrealized gains or losses through swap agreements are also constrained, limiting counterparty risk.

The GAR Fund typically has 60-120 long exposures and 60-140 short exposures.

Commentary

PERFORMANCE REVIEW for the month ended 31 Aug 2018


Causeway Global Absolute Return Fund (“Fund”) outperformed the ICE BoAML 3-Month U.S. Treasury Bill Index in the month of August. The Fund’s outperformance was driven by the short portfolio: The Fund’s global short portfolio underperformed the MSCI World Index (“World Index”), contributing positively to overall portfolio return, while the Fund’s global long portfolio performed in line with the World Index.

Most developed equity markets sold off in August amid geopolitical turmoil, with the notable exception of the US. The top performing markets in our investable universe included Israel, New Zealand, the United States, Finland, and South Korea. The worst performing markets included Italy, Austria, Spain, Belgium, and the United Kingdom. The best performing sectors in the World Index were information technology, health care, and consumer discretionary. The worst performing sectors were energy, materials, and financials.

The Fund takes long and short notional exposures to securities under swap agreements. We use a combination of fundamental and quantitative inputs to select exposures for the long portfolio of the Fund, while we use primarily quantitative inputs to select exposures for the short portfolio. Our fundamental inputs reflect the risk-adjusted total return potential of stocks favored by our fundamental research team. Our quantitative inputs include signals that seek long (short) positions in stocks which we believe are undervalued (overvalued) and have improving (deteriorating) earnings growth dynamics, positive (negative) technical price movements, and superior (inferior) quality of earnings. During the month of August, our growth and technical quantitative alpha factor categories demonstrated predictive power. Stocks with improving earnings dynamics outperformed those with worsening dynamics and stocks with positive technical indicators outperformed those with negative technical indicators. However, stocks with cheap valuations underperformed those with expensive valuations and those demonstrating higher earnings quality underperformed those with lower earnings quality, contrary to expectations.

Within the long portfolio, attribution effects were strongest in the energy, insurance, and food beverage & tobacco industry groups. Long-side attribution effects were weakest in the materials, technology hardware & equipment, and software & services industry groups. Long exposures that contributed most to the Fund’s performance included automotive equipment retailer, Advance Auto Parts (United States), jewelry retailer, Signet Jewelers Limited (United States), insurer, Progressive Corporation (United States), pharmaceuticals & biotechnology company, Eli Lilly and Company (United States), and mobile telecommunications operator, China Mobile Ltd. (China). Long exposures that detracted most from performance were specialty chemicals company, Linde (Germany), financial services provider, BNP Paribas (France), steel manufacturer, SSAB (Sweden), minerals producer, BHP Billiton (United Kingdom), and diesel engine manufacturer, Weichai Power (China).

Within the short portfolio, attribution effects were strongest in the technology hardware & equipment, health care equipment & services, and retailing industry groups. Short-side attribution effects were weakest in the insurance, energy, and software & services industry groups. Short exposures that contributed most to the Fund’s performance included dental equipment maker, DENTSPLY SIRONA, Inc. (United States), apparel retailer, L Brands (United States), paints and coatings manufacturer, Kansai Paint Co. (Japan), solar wafer supplier, GCL-Poly Energy Holdings (China), and automobile manufacturer, Great Wall Motor (China). Short exposures that detracted most from performance included software developer, Autodesk (United States), shipbuilder, Samsung Heavy Industries (Korea), integrated circuits manufacturer, ams (Germany), as well as property and casualty insurers, ProAssurance Corporation (United States) and Intact Financial (Canada).

The market commentary expresses the portfolio managers’ views as of the date of this report and should not be relied on as research or investment advice regarding any stock. These views and the Fund holdings and characteristics are subject to change. There is no guarantee that any forecasts made will come to pass. Any securities identified and described in this report do not represent all of the securities purchased, sold or recommended for client accounts. The reader should not assume that an investment in the securities identified was or will be profitable. Diversification does not protect against market loss.

Dividends

2017$0.0000
2016$1.0925
2015$0.3858
2014$0.0000
2013 $0.4332
2012 $0.2807
2011 $0.1015
Load More

Short-term Capital Gains

2017$0.0000
2016$0.0000
2015$0.0000
2014$0.0000
2013 $0.0000
2012 $0.0000
2011 $0.3053
Load More

Long-term Capital Gains

2017$0.0000
2016$0.0000
2015$0.0000
2014$0.0000
2013 $0.0000
2012 $0.0000
2011 $0.0000
Load More

Distributions are per share. Distribution amounts are based on gains and losses realized and income earned by the Fund through October 31 (or earlier under certain circumstances).

Documents

Consent to Electronic Delivery

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