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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 15 Dec 2017)

$8.95, -0.09

YTD

-9.14%

INCEPTION

24 Jan 2011

TICKER/CUSIP

CGAVX/14949P505

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$5,000
Sales ChargeNone
Net Expense Ratio2.20%
Gross Expense Ratio2.25%
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
CGAVX 0.2%-8.9%-10.3%-1.4%1.0%1.9%
BofAML 90 T Bill 0.2%0.8%0.8%0.4%0.3%0.2%
Fund Quarter to Date Year to Date 1 Year3 Year5 Year Since Inception
CGAVX 2.9%-9.1%-3.9%-1.8%-0.0%1.9%
BofAML 90 T Bill 0.3%0.6%0.7%0.3%0.2%0.2%

Portfolio

Position Details as of 30 Nov 2017

Cash47,735,134
Market Value Long71,836,550
Market Value Short-73,915,612
Net Positional Value-2,079,062
NAV45,656,072
Net Exposure-4.55%
Leverage3.19
Long Positions 50
Short Positions 126
Total176

Characteristics as of 30 Nov 2017

Long Portfolio Short Portfolio MSCI World
No. of Exposures 50 126 1634
Wtd Avg Mkt Cap (Mn $US)$82,783$34,968$119,255
FY2 Price/Earnings13.316.816.6
Price/Book Value1.71.72.4
Return on Equity (%)14.65.416.6

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 30 Nov 2017

Long Exposure (%)Short Exposure (%)Net Exposure (%)
Telecommunication Services14.62-4.909.72
Energy16.35-10.735.62
Health Care24.39-18.825.57
Information Technology29.95-26.393.56
Industrials24.82-21.922.90
Real Estate2.14-5.07-2.93
Utilities1.28-5.07-3.79
Consumer Discretionary14.92-18.88-3.96
Materials2.64-6.61-3.97
Financials22.34-29.40-7.06
Consumer Staples4.07-14.12-10.05

Country Exposure as of 30 Nov 2017

Long Exposure (%)Short Exposure (%)Net Exposure (%)
United Kingdom28.40-18.439.97
Switzerland10.71-6.244.47
China3.71-1.042.67
Japan17.56-14.912.65
Netherlands2.640.002.64
Italy2.430.002.43
Spain2.140.002.14
Germany6.51-5.281.23
Hong Kong5.48-4.401.08
Canada5.34-5.230.11
South Korea6.83-6.96-0.13
Denmark0.00-0.28-0.28
Ireland0.00-1.28-1.28
Sweden0.00-1.44-1.44
Norway0.00-1.93-1.93
Finland0.00-2.92-2.92
Belgium0.00-3.07-3.07
Singapore0.00-3.28-3.28
Australia0.00-3.84-3.84
France3.79-8.21-4.42
United States61.98-73.18-11.20

TOP 10 Positions as of 30 Nov 2017

Top Ten Long PositionsTop Ten Short Positions
CompanyEnding Weight (%)CompanyEnding Weight (%)
Volkswagen AG6.51%Novocure-3.34%
Citigroup, Inc.5.12%Shire Pharmaceuticals-3.24%
Barclays Plc4.94%Ford Motor Co.-3.22%
East Japan Railway Co.4.82%Hyundai Motor Co., Ltd.-3.22%
KDDI Corp.4.58%Westinghouse Air Brake Technologies Corp.-3.20%
China Mobile Ltd.4.35%The Kraft Heinz Co.-3.17%
Microsoft Corp.4.13%Berkshire Hathaway, Inc.-3.17%
SM Energy Co.4.10%The Royal Bank of Scotland Plc-3.16%
Eli Lilly & Co.4.09%AIR Liquide-3.09%
British American Tobacco plc4.07%Loews Corp.-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 30 Nov 2017


Causeway Global Absolute Return Fund (“Fund”) outperformed the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index in the month of November. The Fund’s outperformance was driven 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.

Hopes for corporate tax reform boosted US equities in November, though other developed markets were little changed in local currency terms. The top performing markets in our investable universe included Singapore, Hong Kong, the United States, Japan, and Austria. The worst performing markets included Sweden, Belgium, Norway, Ireland, and Denmark. The best performing sectors in the World Index were consumer staples, telecommunication services, and consumer discretionary. The worst performing sectors were materials, information technology, and energy. Every major currency except the Australian dollar appreciated versus the US dollar during the period, thus amplifying overall returns on overseas assets for US dollar-based investors.

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 modestly underperformed the World Index during the period, due primarily to country allocation (a byproduct of our bottom-up stock selection process). Exposures to the technology hardware & equipment, energy and software & services industry groups contributed the most to relative underperformance. Exposures to the semiconductors & semiconductor equipment, automobiles & components, and banks industry groups offset a portion of the underperformance. The top detractor from performance was specialty retail jeweler, Signet Group (United States). Additional detractors included oil exploration & production company, PDC Energy, Inc. (United States), electronic payment services provider, VeriFone Systems, Inc. (United States), public sector software & services company, CSRA, Inc. (United States), and Asian ports operator, China Merchants Holdings Co., Ltd. (Hong Kong). The largest contributor was digital wireless communications equipment manufacturer, QUALCOMM, Inc. (United States). Additional contributors included automobile manufacturer, Volkswagen AG (Germany), automobile components retailer, Advance Auto Parts, Inc. (United States), telecommunication services provider, KDDI Corp. (Japan), and research healthcare company, Roche (Switzerland).

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 November, all factor categories demonstrated predictive power. Companies with expensive valuations, worsening earnings growth dynamics, weak technical indicators, and those demonstrating potential insolvency and/or accounting chicanery underperformed, as anticipated.

From an industry group perspective, short-side attribution effects were strongest in the software & services, capital goods and insurance industry groups. Short-side attribution effects were weakest in the consumer durables & apparel, transportation, and food & staples retailing industry groups. Successful short exposures included multimedia software developer, Autodesk, Inc. (United States), defense company, Rolls-Royce Holdings Plc (United Kingdom), healthcare services provider, Envision Healthcare Corporation (United States), insurer, American International Group, Inc. (United States), and packaging company, Ball Corporation (United States). Short exposures that detracted from the Fund’s performance included medical services provider, MEDNAX, Inc. (United States), convenience store operator,FamilyMart UNY Holdings Co. Ltd. (Japan), athletic apparel company, NIKE, Inc. (United States), international banking and financial services company, Deutsche Bank AG (Germany), and transportation company, Odakyu Electric Railway 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

2016$1.0639
2015$0.3553
2014$0.0000
2013 $0.4126
2012 $0.2586
2011 $0.0948
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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