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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 22 Nov 2017)

$8.95, +0.06

YTD

-9.78%

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 Ratio1.95%
Gross Expense Ratio2.00%
Dividend FrequencyAnnual
Capital Gain FrequencyAnnual
BenchmarkBofA ML 3M US TBill

Performance

Fund Quarter to Date Year to Date 1 Year3 Year5 Year Since Inception
CGAIX -0.2%-9.2%-6.1%-1.1%1.1%2.1%
BofAML 90 T Bill 0.1%0.7%0.7%0.4%0.2%0.2%
Fund Quarter to Date Year to Date 1 Year3 Year5 Year Since Inception
CGAIX 3.0%-9.0%-3.7%-1.5%0.3%2.2%
BofAML 90 T Bill 0.3%0.6%0.7%0.3%0.2%0.2%

Portfolio

Position Details as of 31 Oct 2017

Cash49,702,272
Market Value Long71,132,985
Market Value Short-74,529,613
Net Positional Value-3,396,628
NAV46,305,644
Net Exposure-7.34%
Leverage3.15
Long Positions 50
Short Positions 127
Total177

Characteristics as of 31 Oct 2017

Long Portfolio Short Portfolio BofA ML 3M US TBill
No. of Exposures 50 127
Wtd Avg Mkt Cap (Mn $US)$80,692$40,803$0
FY2 Price/Earnings13.217.00.0
Price/Book Value1.71.70.0
Return on Equity (%)14.58.30.0

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 Oct 2017

Long Exposure (%)Short Exposure (%)Net Exposure (%)
Telecommunication Services13.77-7.196.58
Health Care23.40-17.236.17
Energy17.03-12.054.98
Information Technology30.79-26.174.62
Industrials23.81-21.242.57
Real Estate2.11-4.42-2.31
Utilities1.21-4.69-3.48
Financials21.28-26.52-5.24
Consumer Discretionary13.57-19.10-5.53
Materials2.63-8.24-5.61
Consumer Staples4.08-13.96-9.88

Country Exposure as of 31 Oct 2017

Long Exposure (%)Short Exposure (%)Net Exposure (%)
United Kingdom28.02-21.366.66
Switzerland9.64-4.894.75
Japan17.75-13.474.28
Netherlands2.630.002.63
Italy2.280.002.28
Spain2.110.002.11
China3.73-2.980.75
Hong Kong5.68-5.210.47
Germany5.49-5.400.09
South Korea6.82-7.11-0.29
Denmark0.00-0.58-0.58
Canada5.16-6.06-0.90
Ireland0.00-1.43-1.43
Sweden0.00-1.72-1.72
Norway0.00-1.93-1.93
Finland0.00-2.12-2.12
France3.81-6.40-2.59
Belgium0.00-3.15-3.15
Australia0.00-3.96-3.96
Singapore0.00-3.99-3.99
United States60.57-69.05-8.48

TOP 10 Positions as of 31 Oct 2017

Top Ten Long PositionsTop Ten Short Positions
CompanyEnding Weight (%)CompanyEnding Weight (%)
Volkswagen AG5.49%Hyundai Motor Co., Ltd.-3.35%
Citigroup, Inc.4.92%Autodesk, Inc.-3.31%
East Japan Railway Co.4.75%Just Energy Group-3.30%
Barclays Plc4.58%AIR Liquide-3.25%
China Mobile Ltd.4.24%Rolls-Royce Holdings Plc-3.22%
SM Energy Co.4.19%Anheuser-Busch InBev SA/NV-3.15%
KDDI Corp.4.19%Ford Motor Co.-3.13%
British American Tobacco plc4.08%The Royal Bank of Scotland Plc-3.12%
Microsoft Corp.4.00%Loews Corp.-3.12%
Halliburton Co.3.98%Visa, Inc.-3.08%

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 Oct 2017


Causeway Global Absolute Return Fund (“Fund”) underperformed the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index in the month of October. The Fund’s underperformance was driven by the long portfolio: The Fund’s global long portfolio underperformed the MSCI World Index (“World Index”). The Fund’s global short portfolio underperformed the World Index, contributing positively to overall portfolio return, but not by enough to offset the long portfolio’s underperformance.

The synchronized global economic recovery continued in October, boosting equity market performance. The top performing markets in our investable universe included South Korea, Singapore, Japan, China, and the United States. The worst performing markets included New Zealand, Israel, Finland, Portugal, and Switzerland. The best performing sectors in the World Index were information technology, materials, and utilities. The worst performing sectors were telecommunication services, health care, and consumer staples.

The Fund takes long and short notional exposures to securities under swap agreements. We use our fundamental value approach to select securities exposures for the long portfolio of the Fund. The long portfolio underperformed the World Index during the period, due primarily to stock selection. Exposures to the retailing, banks, semiconductors & semi equipment, and materials industry groups, along with an overweight position in the pharmaceuticals & biotechnology industry group, contributed the most to relative underperformance. Exposures to the energy, automobiles & components, transportation, telecommunication services, and capital goods industry groups offset a portion of the underperformance. The top detractor from performance was automobile components retailer, Advance Auto Parts, Inc.(United States). Additional detractors included pharmaceuticals & biotechnology company, Roche Holding AG (Switzerland), pharmaceutical & consumer healthcare company, GlaxoSmithKline Plc (United Kingdom), regional bank, UniCredit S.p.A.(Italy), and global entertainment content company, Viacom, Inc. (United States). The largest contributor was energy exploration & production company, SM Energy Co. (United States). Additional contributors included automobile manufacturer, Volkswagen AG (Germany), software giant, Microsoft Corp. (United States), electronic equipment manufacturer, Samsung Electronics Co., Ltd. (South Korea), and electrical & electronic equipment manufacturer, Hitachi Ltd. (Japan).

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 October, our growth and technical factor categories demonstrated predictive power. Consistent with expectations, companies with worsening earnings growth dynamics and weak technical indicators underperformed the broader market. However, companies with expensive valuations and those demonstrating potential insolvency and/or accounting chicanery outperformed, contrary to expectations.

From an industry group perspective, short-side attribution effects were weakest in the media, automobiles & components, food & staples retailing, banks, and pharmaceuticals & biotechnology industry groups. Short-side attribution effects were strongest in the technology hardware & equipment, health care equipment & services, energy, semiconductors & semi equipment, and utilities industry groups. Short exposures that detracted from the Fund’s performance included multimedia software developer, Autodesk, Inc. (United States), automobile manufacturer, Hyundai Motor Co.Ltd. (South Korea),aerospace and defense company, Rolls-Royce Holdings Plc (United Kingdom), semiconductor developer, Broadcom Ltd. (Singapore), and international media and education company, Pearson Plc (United Kingdom). Successful short exposures included telecommunications services provider, Nokia Oyj (Finland), healthcare services company, Cardinal Health, Inc. (United States), fast-casual restaurant operator, Chipotle Mexican Grill, Inc. (United States), international banking and financial services company, Deutsche Bank AG (Germany), and energy services company, Weatherford International (Switzerland).

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

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

Short-term Capital Gains

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

Long-term Capital Gains

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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