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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 Feb 2018)

$9.18, -0.01

YTD

+0.77%

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 uses its fundamental global value equity strategy to manage the Fund’s long exposures (the “global 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 “global 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 0.9%0.9%-4.6%-0.9%2.3%2.3%
ICE BofAML 90 T Bill 0.1%0.1%1.0%0.5%0.3%0.2%
Fund Quarter to Date Year to Date 1 Year3 Year5 Year Since Inception
CGAIX 0.9%-8.2%-8.2%-1.1%1.7%2.2%
ICE BofAML 90 T Bill 0.3%0.9%0.9%0.4%0.3%0.2%

Portfolio

Position Details as of 31 Jan 2018

Cash39,954,943
Market Value Long61,681,302
Market Value Short-62,158,658
Net Positional Value-477,355
NAV39,477,587
Net Exposure-1.21%
Leverage3.14
Long Positions 51
Short Positions 125
Total176

Characteristics as of 31 Jan 2018

Long Portfolio Short Portfolio MSCI World
No. of Exposures 51 125 1631
Wtd Avg Mkt Cap (Mn $US)$87,087$36,608$126,947
FY2 Price/Earnings13.415.716.4
Price/Book Value1.91.72.5
Return on Equity (%)15.93.216.4

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 Jan 2018

Long Exposure (%)Short Exposure (%)Net Exposure (%)
Telecommunication Services14.62-5.469.16
Health Care24.12-19.554.57
Energy12.65-9.712.94
Industrials21.17-18.302.87
Information Technology28.88-26.122.76
Utilities5.29-4.670.62
Real Estate2.62-4.52-1.90
Consumer Discretionary13.17-16.26-3.09
Materials6.46-9.56-3.10
Consumer Staples5.62-13.40-7.78
Financials21.80-29.92-8.12

Country Exposure as of 31 Jan 2018

Long Exposure (%)Short Exposure (%)Net Exposure (%)
United Kingdom29.70-17.5712.13
Netherlands3.810.003.81
Japan16.49-13.203.29
Italy3.150.003.15
Switzerland9.75-7.032.72
Spain2.620.002.62
Hong Kong6.78-4.831.95
China3.19-1.361.83
South Korea6.69-6.86-0.17
Denmark0.00-0.27-0.27
Canada4.09-4.38-0.29
Germany6.81-7.33-0.52
Ireland0.00-0.97-0.97
Sweden0.00-1.36-1.36
Norway0.00-2.05-2.05
Singapore0.00-2.08-2.08
Finland0.00-2.86-2.86
Belgium0.00-3.02-3.02
France3.36-6.79-3.43
Australia0.00-3.96-3.96
United States59.94-71.55-11.61

TOP 10 Positions as of 31 Jan 2018

Top Ten Long PositionsTop Ten Short Positions
CompanyEnding Weight (%)CompanyEnding Weight (%)
Barclays Plc5.41%Cardinal Health, Inc.-3.41%
China Mobile Ltd.4.97%Old Mutual Plc-3.31%
British American Tobacco plc4.85%LafargeHolcim Ltd.-3.30%
Microsoft Corp.4.55%China Unicom (Hong Kong) Ltd.-3.30%
East Japan Railway Co.4.27%Novocure-3.28%
Volkswagen AG4.17%Hyundai Motor Co., Ltd.-3.24%
Citigroup, Inc.4.11%Berkshire Hathaway, Inc.-3.20%
Halliburton Co.3.99%American International Group, Inc.-3.19%
Oracle Corp.3.92%Murata Manufacturing Co. Ltd.-3.17%
Advance Auto Parts, Inc.3.87%AIR Liquide-3.17%

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 uses its fundamental global value equity strategy 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 attempts to mitigate risk in a number of ways: on the short side, qualitative risk may be captured by a fundamental review of short positions, and short exposures are constrained. Unrealized gains or losses through swap agreements are also constrained, limiting counterparty risk. There are approximately twice as many short exposures as long, designed to mitigate idiosyncratic risk.

The GAR Fund typically has 85-180 long/short exposures. The dollar amount of the long exposures is generally within 10 percentage points of the dollar amount of the short exposures, but the Fund may have sector or regional biases.

Commentary

PERFORMANCE REVIEW for the month ended 31 Jan 2018


Causeway Global Absolute Return Fund (“Fund”) outperformed the ICE BofAML U.S. 3-Month Treasury Bill Index in the month of January. The Fund’s outperformance was driven entirely by the short portfolio: The Fund’s long portfolio underperformed the MSCI World Index (“World Index”), detracting from overall portfolio return, but the Fund’s short portfolio underperformed the World Index by a larger margin, contributing positively to overall portfolio return.

Global equity markets continued to ascend in January. A synchronized global expansion and falling prices for fixed income investors may have added to the demand for equities. The top performing markets in our investable universe included China, Italy, Austria, Spain, and France. The worst performing markets included Canada, Ireland, Australia, the United Kingdom, and Denmark. The best performing sectors in the World Index were consumer discretionary, information technology, and financials. The worst performing sectors were utilities, real estate, and telecommunication services.

The Fund takes long and short notional exposures to securities under swap agreements. We use our fundamental value approach to select exposures for the long portfolio of the Fund. The long portfolio underperformed the World Index during the period, due primarily to country allocation (a byproduct of our bottom-up stock selection process). Exposures to the pharmaceuticals & biotechnology, retailing, and transportation industry groups detracted the most from relative performance. Exposures to the utilities, real estate, and automobiles & components industry groups offset a portion of the underperformance. The largest detractor was specialty retail jeweler, Signet Group (United States). Additional detractors included pharmaceutical giant, Eli Lilly & Co. (United States), electronic equipment manufacturer, Samsung Electronics Co., Ltd. (South Korea), pharmaceuticals & biotechnology company, Roche Holding AG (Switzerland), and Japan Airlines Co., Ltd. (Japan). The top contributor to performance was automobile components retailer, Advance Auto Parts, Inc. (United States). Additional contributors included banking & financial services company, UniCredit S.p.A. (Italy), automobile manufacturer, Volkswagen AG (Germany), software giant, Microsoft Corp. (United States), and energy services company, Halliburton (United States).

We use a quantitative approach to select securities exposures for the short portfolio of the Fund. Our process seeks to obtain short exposures to stocks which we believe are overvalued and have deteriorating earnings growth dynamics, poor technical price movements, and insolvency risk and/or inferior quality of earnings. During the month of January, all factor categories demonstrated predictive power with the exception of value. Companies with worsening earnings growth dynamics, weak technical indicators, and those demonstrating potential insolvency and/or accounting chicanery underperformed, as anticipated. Companies with expensive valuations outperformed, contrary to expectations

From an industry group perspective, short-side attribution effects were strongest in the retailing, pharmaceuticals & biotechnology, and real estate industry groups. Short-side attribution effects were weakest in the telecommunication services, healthcare equipment & services, and energy industry groups. Successful short exposures included real estate investment trust, Colony NorthStar, Inc. (United States), automobile manufacturer, Ford Motor Co. (United States), biopharmaceutical company, TESARO, Inc. (United States), biopharmaceutical company, Shire Pharmaceuticals (United Kingdom), and real estate investment trust, Simon Property Group, Inc. (United States). Short exposures that detracted from the Fund’s performance included medical distributor, Cardinal Health, Inc. (United States), medical specialty company, Novocure, Ltd. (United States), communications software platform company, Twilio, Inc. (United States), telecommunications company, China Unicom Ltd. (Hong Kong), and electronic component and device manufacturer, Murata Manufacturing, Co., Ltd. (Japan).

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
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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
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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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