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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 19 Oct 2017)

$8.83, -0.06

YTD

-10.36%

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
BenchmarkBofA ML 3M US TBill

Performance

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%
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 Sep 2017

Cash48,413,721
Market Value Long72,633,975
Market Value Short-74,386,494
Net Positional Value-1,752,519
NAV46,661,201
Net Exposure-3.76%
Leverage3.15
Long Positions 49
Short Positions 127
Total176

Characteristics as of 30 Sep 2017

Long Portfolio Short Portfolio BofA ML 3M US TBill
No. of Exposures 49 127
Wtd Avg Mkt Cap (Mn $US)$79,208$39,798$0
FY2 Price/Earnings13.216.50.0
Price/Book Value1.71.60.0
Return on Equity (%)13.98.40.0

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 30 Sep 2017

Long Exposure (%)Short Exposure (%)Net Exposure (%)
Energy21.34-12.358.99
Telecommunication Services13.44-7.216.23
Health Care23.25-17.635.62
Information Technology30.21-25.135.08
Industrials22.94-20.542.40
Real Estate1.77-4.52-2.75
Consumer Discretionary13.67-18.16-4.49
Materials3.45-7.95-4.50
Utilities0.00-4.74-4.74
Financials21.81-27.47-5.66
Consumer Staples3.93-13.70-9.77

Country Exposure as of 30 Sep 2017

Long Exposure (%)Short Exposure (%)Net Exposure (%)
United Kingdom30.91-20.7610.15
Switzerland9.93-5.024.91
Netherlands3.450.003.45
Hong Kong8.32-5.143.18
Japan15.50-12.892.61
Italy2.510.002.51
Spain1.770.001.77
China3.76-3.050.71
South Korea6.28-6.39-0.11
Denmark0.00-0.59-0.59
Canada5.02-6.04-1.02
Ireland0.00-1.48-1.48
Sweden0.00-1.64-1.64
Norway0.00-1.89-1.89
Germany4.89-7.03-2.14
France3.74-6.22-2.48
Finland0.00-2.58-2.58
Belgium0.00-3.06-3.06
Singapore0.00-3.69-3.69
Australia0.00-3.90-3.90
United States59.74-68.00-8.26

TOP 10 Positions as of 30 Sep 2017

Top Ten Long PositionsTop Ten Short Positions
CompanyEnding Weight (%)CompanyEnding Weight (%)
Royal Dutch Shell Plc5.39%Deutsche Bank AG-3.15%
Volkswagen AG4.89%AIR Liquide-3.07%
Citigroup, Inc.4.83%Anheuser-Busch InBev SA/NV-3.06%
PDC Energy, Inc.4.56%China Oilfield Services Ltd.-3.05%
East Japan Railway Co.4.51%Hyundai Motor Co., Ltd.-3.04%
Barclays Plc4.49%Shire Pharmaceuticals-3.03%
Microsoft Corp.4.39%Just Energy Group-3.01%
Halliburton Co.4.27%Ford Motor Co.-3.00%
China Mobile Ltd.4.25%Loews Corp.-2.99%
KDDI Corp.4.12%The Royal Bank of Scotland Plc-2.97%

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 Sep 2017


Causeway Global Absolute Return Fund (“Fund”) outperformed the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index in the month of September. The Fund’s outperformance was driven by both the long and short portfolios: The Fund’s global long portfolio outperformed the MSCI World Index (“World Index”), and the Fund’s global short portfolio underperformed the World Index, also contributing positively to overall portfolio return.

Developed equity markets rose during the month as rising employment and improving consumer confidence data indicated a healthy global economy. The top performing markets in our investable universe included Ireland, Germany, France, Israel, and Norway. The worst performing markets included Singapore, Australia, Denmark, Hong Kong, and New Zealand. The best performing sectors in the World Index were energy, financials, and industrials. The worst performing sectors were utilities, real estate, 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 outperformed the World Index during the period, due primarily to stock selection. Exposures to the energy, technology hardware & equipment, pharmaceuticals & biotechnology, and banks industry groups, as well as an overweight exposure to the automobiles & components industry group, contributed the most to relative outperformance. Exposures to the telecommunication services, semiconductors & semiconductor equipment, and materials industry groups, along with an overweight exposure to the software & services industry group and an underweight exposure to the diversified financials industry group, offset a portion of the outperformance. The top contributor to performance was oil exploration & production company, PDC Energy, Inc. (United States). Additional contributors included energy exploration & production company, SM Energy Co. (United States), energy exploration & production company, Halliburton Co. (United States), energy supermajor, Royal Dutch Shell Plc (United Kingdom), and automobile manufacturer, Volkswagen AG (Germany). The largest detractor was mobile telecommunications operator, China Mobile Ltd. (Hong Kong). Additional detractors included enterprise management software provider, Oracle Corp. (United States), metallurgical and thermal coal producer, Arch Coal, Inc. (United States), travel and tourism technology solutions provider, Sabre Corp. (United States), and telecommunication services provider, Vodafone Group (United Kingdom).

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

From an industry group perspective, short-side attribution effects were strongest in the health care equipment & service, semiconductors & semiconductor equipment, and food beverage & tobacco industry groups. Short-side attribution effects were weakest in the automobiles & components, materials, and energy industry groups. At the stock exposure level, successful short exposures included medical device manufacturer, DexCom, Inc. (United States), brewer, Molson Coors Brewing Co. (United States), biopharmaceutical company, Intercept Pharmaceuticals, Inc. (United States), property developer, China Overseas Land & Investment Ltd. (Hong Kong), and telecommunications services provider, China Unicom Ltd. (Hong Kong). Short exposures that detracted from the Fund’s performance included international banking and financial services company, The Royal Bank of Scotland Plc (United Kingdom), oil & gas exploration company, EOG Resources, Inc. (United States), specialty chemical company, Air Liquide SA (France), construction and industrial products distributor, HD Supply Holdings, Inc. (United States), and automobile manufacturer, Ford Motor Co.(United States).

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
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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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