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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 17 Aug 2018)

$9.53, +0.01

YTD

+4.61%

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 3.1%1.0%5.3%0.3%0.1%2.2%
ICE BofAML 90 T Bill 0.2%1.0%1.4%0.7%0.5%0.3%
Fund Quarter to Date Year to Date 1 Year3 Year5 Year Since Inception
CGAIX -1.0%-2.1%1.7%-0.1%0.2%1.8%
ICE BofAML 90 T Bill 0.5%0.8%1.4%0.7%0.4%0.3%

Portfolio

Position Details as of 31 Jul 2018

Cash 39,059,438
Market Value Long 60,376,395
Market Value Short -60,622,138
Net Positional Value -245,743
NAV 38,813,694
Net Exposure -0.63%
Leverage 3.12
Long Positions 90
Short Positions 107
Total 197

Characteristics as of 31 Jul 2018

Long Portfolio Short Portfolio MSCI World
No. of Exposures 90 107 1643
Wtd Avg Mkt Cap (Mn $US) $57,413 $20,492 $136,147
FY2 Price/Earnings 10.7 15.5 15.0
Price/Book Value 1.6 1.7 2.5
Return on Equity (%) 15.9 4.8 17.8

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 Jul 2018

Long Exposure (%)Short Exposure (%)Net Exposure (%)
Health Care15.12-9.915.21
Energy6.64-1.485.16
Industrials26.73-22.444.29
Telecommunication Services10.52-6.923.60
Materials15.15-12.043.11
Consumer Discretionary18.40-17.450.95
Financials30.16-32.38-2.22
Information Technology17.68-22.50-4.82
Real Estate4.77-10.02-5.25
Consumer Staples1.59-6.89-5.30
Utilities9.12-14.52-5.40

Country Exposure as of 31 Jul 2018

Long Exposure (%)Short Exposure (%)Net Exposure (%)
China14.36-2.2812.08
Switzerland8.34-0.497.85
Canada11.52-6.584.94
Germany7.49-3.384.11
United Kingdom15.61-12.603.01
Sweden1.860.001.86
New Zealand1.720.001.72
South Korea8.82-7.771.05
Finland0.000.000.00
Belgium0.00-0.50-0.50
Denmark0.00-0.86-0.86
Portugal0.00-0.99-0.99
Singapore1.36-2.44-1.08
Ireland0.00-1.21-1.21
Netherlands1.35-2.79-1.44
Italy0.00-1.50-1.50
France1.88-3.46-1.58
United States62.73-64.45-1.72
Austria0.00-2.61-2.61
Spain0.00-2.93-2.93
Norway0.00-3.22-3.22
Australia0.00-5.08-5.08
Japan16.31-21.84-5.53
Hong Kong2.54-9.60-7.06

TOP 10 Positions as of 31 Jul 2018

Top Ten Long PositionsTop Ten Short Positions
CompanyEnding Weight (%)CompanyEnding Weight (%)
Viacom, Inc.3.20%Samsung Heavy Industries Co., Ltd.-3.22%
Eli Lilly & Co.3.20%Digital Realty Trust, Inc.-3.19%
SK Telecom Co., Ltd.3.19%Intact Financial-3.18%
FirstEnergy Corp.3.10%United Utilities Group Plc-3.16%
The AES Corp.3.07%American International Group, Inc.-3.11%
Novartis AG3.07%DENTSPLY SIRONA, Inc.-3.10%
Linde AG3.07%Keikyu Corp.-3.09%
Manulife Financial3.06%Kansai Paint Co., Ltd.-3.08%
China Mobile Ltd.3.06%AusNet Services Ltd.-3.08%
Citigroup, Inc.3.05%Equinix, Inc.-3.06%

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 July 2018


Causeway Global Absolute Return Fund (“Fund”) outperformed the ICE BoAML 3-Month U.S. Treasury Bill Index in the month of July. 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 performance.

Despite increasing trade tensions, global equity markets appreciated in July, with a tailwind of positive earnings surprises and benign economic conditions. The top performing markets in our investable universe included Switzerland, Denmark, Sweden, the Netherlands, and Austria. The worst performing markets included China, South Korea, New Zealand, Ireland, and Japan. The best performing sectors in the World Index were health care, industrials, and financials. The worst performing sectors were real estate, consumer discretionary, and energy.

The Fund takes long and short notional exposures to securities under swap agreements. For most of the period, we used our fundamental value approach to select exposures for the long portfolio of the Fund. The long portfolio outperformed the World Index during the period. Exposures to the pharmaceuticals & biotechnology, semiconductors & semi equipment, and materials industry groups contributed the most to relative performance. Exposures to the energy, utilities, and transportation industry groups detracted the most from relative performance. The top contributor to performance was pharmaceutical giant, Eli Lilly & Co. (United States). Additional contributors included pharmaceutical & consumer healthcare products producer, Novartis AG (Switzerland), British American Tobacco Plc (United Kingdom), enterprise management software provider, Oracle Corp. (United States), and pharmaceuticals & biotechnology company, Roche Holding AG (Switzerland). The largest detractor from performance was energy exploration & production company, Halliburton Co. (United States). Additional detractors included mobile & online game developer, Com2uS Corp. (South Korea), construction company, Hazama Ando Corp. (Japan), Boston Beer Co., Inc. (United States), and heavy truck manufacturer, Sinotruk Hong Kong Ltd. (Hong Kong).

We use a quantitative approach to select exposures 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 July, all of our alpha factor categories demonstrated predictive power with the exception of our technical factors. Stocks with expensive valuations, worsening earnings growth dynamics, and those demonstrating potential insolvency and/or accounting chicanery underperformed the broader market, as expected. However, stocks with weak technical indicators outperformed the broader market, contrary to expectations.

From an industry group perspective, short-side attribution effects were strongest in the pharmaceuticals & biotechnology, banks, and food beverage & tobacco industry groups. Short-side attribution effects were weakest in the materials, real estate, and household & personal products industry groups. Short exposures that contributed to the Fund’s performance included high-frequency trading firm, Virtu Financial, Inc. (United States), electric vehicle manufacturer, Tesla, Inc. (United States), stock exchange operator, Cboe Global Markets, Inc. (United States), water company, United Utilities Group Plc (United Kingdom), and cloud content management company, Box, Inc. (United States). Unsuccessful short exposures included dental equipment maker, DENTSPLY SIRONA, Inc. (United States), financial services company, Deutsche Bank AG (Germany), cloud computing company, ServiceNow, Inc. (United States), financial services firm, Berkshire Hathaway, Inc. (United States), and Singapore Telecommunications Ltd. (Singapore).

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
Load More

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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