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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 20 Mar 2019)

$8.48, -0.03

YTD

-6.40%

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 integrates fundamental and quantitative research to manage the Fund’s long exposures (the “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 “short portfolio” of the Fund).

Minimum Investment$1,000,000
Sales ChargeNone
Net Expense Ratio1.52%
Gross Expense Ratio1.81%
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 -3.2%-3.2%4.5%1.4%0.5%2.6%
ICE BofAML 90 T Bill 0.4%0.4%2.1%1.1%0.7%0.5%
Fund Quarter to Date Year to Date 1 Year3 Year5 Year Since Inception
CGAIX 1.7%9.0%9.0%3.7%1.1%3.1%
ICE BofAML 90 T Bill 0.6%1.9%1.9%1.0%0.6%0.4%

Portfolio

Position Details as of 28 Feb 2019

Cash 49,617,747
Market Value Long 84,499,560
Market Value Short -84,980,404
Net Positional Value -480,845
NAV 49,136,903
Net Exposure -0.98%
Leverage 3.45
Long Positions 112
Short Positions 118
Total 230

Characteristics as of 28 Feb 2019

Long Portfolio Short Portfolio MSCI World
No. of Exposures 112 118 1632
Wtd Avg Mkt Cap (Mn $US) $44,355 $12,551 $132,187
FY2 Price/Earnings 9.4 15.7 14.2
Price/Book Value 1.4 1.8 2.4
Return on Equity (%) 16.2 5.3 19.3

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 28 Feb 2019

Long Exposure (%)Short Exposure (%)Net Exposure (%)
Energy9.76-4.485.28
Industrials29.57-24.405.17
Health Care12.33-8.913.42
Materials16.45-13.453.00
Communication Services13.54-12.331.21
Information Technology14.98-14.630.35
Consumer Discretionary18.54-18.57-0.03
Consumer Staples4.48-7.05-2.57
Financials35.29-40.05-4.76
Utilities12.79-18.48-5.69
Real Estate4.42-10.49-6.07

Country Exposure as of 28 Feb 2019

Long Exposure (%)Short Exposure (%)Net Exposure (%)
China18.67-9.499.18
Canada14.65-9.225.43
Netherlands3.580.003.58
United Kingdom14.11-10.633.48
Japan22.61-20.022.59
Sweden1.410.001.41
France3.02-1.771.25
New Zealand1.16-0.280.88
Germany4.47-3.750.72
Switzerland6.81-6.100.71
Belgium0.00-0.28-0.28
South Korea6.45-6.83-0.38
Denmark0.00-0.69-0.69
Italy0.00-1.32-1.32
Singapore0.71-2.42-1.71
Portugal0.00-2.33-2.33
Norway0.00-3.83-3.83
Hong Kong0.00-4.46-4.46
Spain0.00-4.47-4.47
United States70.47-75.65-5.18
Australia4.03-9.31-5.28

TOP 10 Positions as of 28 Feb 2019

Top Ten Long PositionsTop Ten Short Positions
CompanyEnding Weight (%)CompanyEnding Weight (%)
Showa Denko K.K.3.67%Carvana Co.-3.85%
Koninklijke VolkerWessels NV3.58%Northland Power-3.49%
FirstEnergy Corp.3.36%Beazley Plc-3.42%
Manulife Financial3.36%China Unicom (Hong Kong) Ltd.-3.40%
Takeda Pharmaceutical Co., Ltd.3.25%Aqua America, Inc.-3.37%
Genworth Mi Canada3.25%Bâloise Holding AG-3.36%
Gildan Activewear3.21%Kansai Paint Co., Ltd.-3.35%
Coca-Cola Amatil Ltd.3.15%Daimler AG-3.29%
Oracle Corp.3.14%Insurance Australia Group Ltd.-3.22%
KDDI Corp.3.11%American International Group, Inc.-3.11%

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 integrates fundamental and quantitative research 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's net long/short notional exposure will generally not exceed plus or minus 10% of net assets. However, the long portfolio and the short portfolio will each have different exposures under swap agreements that will not be fully hedged. Unrealized gains or losses through swap agreements are also constrained, limiting counterparty risk.

The GAR Fund typically has 60-120 long exposures and 60-140 short exposures.

Commentary

PERFORMANCE REVIEW for the month ended 28 Feb 2019


Causeway Global Absolute Return Fund (“Fund”) underperformed the ICE BofAML US 3-Month Treasury Bill Index in the month of February. The Fund’s underperformance was driven by both the long and short portfolios: the Fund’s long portfolio underperformed the MSCI World Index (“World Index”) and the Fund’s short portfolio outperformed the World Index, also contributing negatively to overall performance.

Equity markets continued to ascend in February – likely buoyed by anticipated accommodative monetary policy globally as well as constructive US-China trade negotiations. The top performing markets in our investable universe were Hong Kong, Denmark, Ireland, France, and Switzerland. The worst performing markets were South Korea, Japan, Singapore, Finland, and Sweden. The best performing sectors in the World Index were information technology, industrials, and financials. The worst performing sectors were real estate, communication services, and consumer discretionary.

The Fund takes long and short notional exposures to securities under swap agreements. We use a combination of fundamental and quantitative inputs to select exposures for the long portfolio of the Fund, while we use primarily quantitative inputs to select exposures for the short portfolio. Our fundamental inputs reflect the risk-adjusted total return potential of stocks favored by our fundamental research team. Our quantitative inputs include signals that seek long (short) positions in stocks which we believe are undervalued (overvalued) and have improving (deteriorating) earnings growth dynamics, positive (negative) technical price movements, and superior (inferior) quality of earnings. The month of February was the third month in the Fund’s history in which none of our quantitative alpha factor categories demonstrated predictive power. Contrary to expectations, stocks with cheap valuations underperformed those with expensive valuations, stocks with improving earnings growth dynamics underperformed those with worsening dynamics, stocks with positive technical indicators underperformed those with negative technical indicators, and stocks demonstrating higher earnings quality underperformed those with lower earnings quality.

Within the long portfolio, attribution effects were weakest in the transportation, software & services, and telecommunication services industry groups. Long-side attribution effects were strongest in the health care equipment & services, materials, and retailing industry groups. Long exposures that detracted most from the Fund’s performance were online trading platform, Plus500 Ltd. (United Kingdom), real estate investment trust, Uniti Group, Inc. (United States), airline, Air New Zealand Ltd. (New Zealand), beverage producer, Coca-Cola Amatil Ltd. (Australia), and telecommunication services provider, KDDI Corp. (Japan). Long exposures that contributed most to performance were construction services provider, KoninKlijke VolkerWessels NV (Netherlands), chemicals manufacturer, Showa Denko K.K. (Japan), medical device producer, Zimmer Biomet Holdings, Inc. (United States), banking & financial services company, BNP Paribas SA (France), and Yangtze Optical Fibre & Cable Joint Stock (China).

Within the short portfolio, attribution effects were weakest in the media & entertainment, retailing, and consumer durables & apparel industry groups. Short-side attribution effects were strongest in the commercial services & supplies, telecommunication services, and materials industry groups. Short exposures that detracted most from the Fund’s performance included technology & camera company, Snap, Inc. (United States), online car dealer, Carvana Co. (United States), aerospace & transportation company, Bombardier (Canada), digital media player manufacturer, Roku, Inc.(United States), and insurance provider, Beazley Plc (United Kingdom). Short exposures that contributed most to performance were agricultural chemical company, Nufarm Ltd. (Australia), healthcare housekeeping & food services provider, Healthcare Services Group, Inc. (United States), wireless telecommunications operator, Cellnex Telecom SA (Spain), specialty foods producer, Premium Brands Holdings (Canada), steel structure manufacturer, Maruichi Steel Tube 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

2018$0.8783
2017$0.0000
2016$1.0925
2015$0.3858
2014$0.0000
2013 $0.4332
2012 $0.2807
2011 $0.1015
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Short-term Capital Gains

2018$0.0000
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

2018$0.0000
2017$0.0000
2016$0.0000
2015$0.0000
2014$0.0000
2013 $0.0000
2012 $0.0000
2011 $0.0000
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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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