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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 29 Apr 2017)

$, 0.00

YTD

0.00%

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
BenchmarkMSCI World

Performance

Fund Quarter to Date Year to Date 1 Year3 Year5 Year Since Inception
CGAVX -6.4%-6.4%2.3%-0.9%0.8%2.6%
BofAML 90 T Bill 0.1%0.1%0.4%0.2%0.1%0.1%
Fund Quarter to Date Year to Date 1 Year3 Year5 Year Since Inception
CGAVX -6.4%-6.4%2.3%-0.9%0.8%2.6%
BofAML 90 T Bill 0.1%0.1%0.4%0.2%0.1%0.1%

Portfolio

Position Details as of 31 Mar 2017

Cash73,010,947
Market Value Long106,478,514
Market Value Short-110,640,197
Net Positional Value-4,161,683
NAV68,849,264
Net Exposure-6.04%
Leverage3.15
Long Positions 51
Short Positions 128
Total179

Characteristics as of 31 Mar 2017

Long Portfolio Short Portfolio MSCI World
No. of Exposures 51 128 1630
Wtd Avg Mkt Cap (Mn $US)$72,318$35,110$102,613
FY2 Price/Earnings12.716.215.5
Price/Book Value1.72.02.3
Return on Equity (%)13.79.315.8

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 Mar 2017

Long Exposure (%)Short Exposure (%)Net Exposure (%)
Telecommunication Services14.63-7.926.71
Energy15.23-9.605.63
Health Care20.82-18.212.61
Industrials21.55-20.600.95
Information Technology26.53-25.710.82
Financials27.33-28.19-0.86
Utilities5.37-6.61-1.24
Materials4.64-7.40-2.76
Real Estate1.53-4.76-3.23
Consumer Discretionary13.60-16.92-3.32
Consumer Staples3.79-14.85-11.06

Country Exposure as of 31 Mar 2017

Long Exposure (%)Short Exposure (%)Net Exposure (%)
United Kingdom34.57-24.5010.07
Switzerland14.91-5.519.40
Netherlands4.640.004.64
Spain3.590.003.59
France6.51-3.722.79
Hong Kong8.09-6.261.83
China3.00-1.791.21
South Korea6.69-6.280.41
Denmark0.00-0.25-0.25
Norway0.00-0.72-0.72
Italy1.99-2.72-0.73
Japan13.87-15.17-1.30
Sweden0.00-1.63-1.63
Canada3.14-5.19-2.05
Belgium0.00-2.98-2.98
Finland0.00-3.02-3.02
Germany4.59-8.28-3.69
Australia0.00-4.22-4.22
Singapore0.00-5.23-5.23
United States49.44-63.32-13.88

TOP 10 Positions as of 31 Mar 2017

Top Ten Long PositionsTop Ten Short Positions
CompanyEnding Weight (%)CompanyEnding Weight (%)
Royal Dutch Shell Plc4.92%Acadia Healthcare Co., Inc.-3.32%
Citigroup, Inc.4.72%2U, Inc.-3.25%
Akzo Nobel NV4.64%Cerner Corp.-3.14%
Volkswagen AG4.59%The Royal Bank of Scotland Plc-3.12%
China Mobile Ltd.4.49%Markel Corp.-3.11%
Novartis AG4.41%Daimler AG-3.09%
Oracle Corp.4.38%Bayerische Motoren Werke AG-3.08%
KDDI Corp.4.22%Shire Pharmaceuticals-3.04%
Microsoft Corp.4.18%Nokia Oyj-3.02%
Roche Holding AG4.04%Avago Technologies-3.01%

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 Mar 2017


Causeway Global Absolute Return Fund (“Fund”) outperformed its benchmark, the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index, in the month of March. The Fund’s outperformance was driven by the long portfolio: the Fund’s long portfolio outperformed the MSCI World Index (“World Index”), while the Fund’s short portfolio contributed negatively to overall portfolio return.

Global equity markets extended their positive performance through the end of the first quarter of 2017, as hopes for regulatory and tax reform in the US drive continued improvement in business and consumer confidence globally. The top performing markets in our investable universe included Spain, Italy, Portugal, France, and the Netherlands. The worst performing markets included New Zealand, Norway, Japan, the United States, and Israel. The best performing sectors in the World Index were information technology, consumer discretionary, and utilities. The worst performing sectors were real estate, financials, and energy.

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 outperformed the World Index during the period, due primarily to stock selection. Exposures to the materials, insurance, pharmaceuticals & biotechnology, banks, and utilities industry groups contributed to relative performance. Exposures to the energy, technology hardware & equipment, transportation, automobiles & components, and semiconductors & semiconductor equipment industry groups offset some of the relative outperformance. The top contributor to long portfolio performance was paints & coatings producer, Akzo Nobel NV (Netherlands). Other notable contributors included multinational electric utility company, ENGIE SA (France), retail bank, CaixaBank SA (Spain), wireless communications operator, SK Telecom Co., Ltd. (South Korea), and banking & financial services company, UniCredit S.p.A. (Italy). The largest detractor was oil exploration & production company, PDC Energy, Inc.(United States). Additional detractors included electronic payment services provider, VeriFone Systems, Inc. (United States), automobile components retailer, Advance Auto Parts, Inc. (United States), major passenger railway operator, East Japan Railway Co. (Japan), and energy exploration & production company, Halliburton Co. (United States).

We use a quantitative approach to select securities for the short portfolio of the Fund. Our process seeks to take short positions in 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 March, our value and growth factor categories demonstrated only modest predictive power. Companies with expensive valuations and worsening earnings growth dynamics slightly underperformed the broader market, as anticipated. However, returns of our technical and quality factor categories were modestly negative – companies with weak technical indicators and those demonstrating potential insolvency and/or accounting chicanery slightly outperformed the broader market, contrary to expectations.

From an industry group perspective, short-side attribution effects were weakest in the telecommunication services, banks, and utilities sectors. Short-side attribution effects were strongest in the capital goods, diversified financials, and consumer durables & apparel sectors. At the stock exposure level, short exposures that detracted from the Fund’s performance included telecommunications services provider, Telefonica (Spain), software & services company, 2U (United States), food beverage & tobacco company, Monster Beverage Corp. (United States), auto manufacturer, Hyundai Motor Co., Ltd. (South Korea), and commercial & professional services provider, Intertek Group Plc (United Kingdom). Successful shorts included China National Building Material Co. Ltd. (China), aerospace engineering company, TransDigm Group Inc. (United States), diversified financial company, Element Financial (Canada), automaker, Ford Motor Co. (United States), and biopharmaceutical company, Shire Plc (United Kingdom).

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
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Short-term Capital Gains

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

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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