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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 22 May 2017)

$8.96, -0.04

YTD

-9.04%

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 -1.3%-7.6%-0.3%-1.2%1.5%2.3%
BofAML 90 T Bill 0.1%0.2%0.4%0.2%0.2%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 30 Apr 2017

Cash68,777,018
Market Value Long106,663,154
Market Value Short-109,902,539
Net Positional Value-3,239,385
NAV65,537,634
Net Exposure-4.94%
Leverage3.30
Long Positions 51
Short Positions 125
Total176

Characteristics as of 30 Apr 2017

Long Portfolio Short Portfolio MSCI World
No. of Exposures 51 125 1628
Wtd Avg Mkt Cap (Mn $US)$74,619$35,391$103,592
FY2 Price/Earnings12.615.715.6
Price/Book Value1.71.92.3
Return on Equity (%)13.27.915.8

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 30 Apr 2017

Long Exposure (%)Short Exposure (%)Net Exposure (%)
Telecommunication Services14.82-6.498.33
Energy16.49-10.276.22
Health Care22.01-19.003.01
Information Technology28.04-25.082.96
Industrials23.51-21.731.78
Financials29.02-29.77-0.75
Utilities4.38-6.81-2.43
Real Estate1.73-4.91-3.18
Materials4.60-8.10-3.50
Consumer Discretionary13.95-19.63-5.68
Consumer Staples4.05-15.13-11.08

Country Exposure as of 30 Apr 2017

Long Exposure (%)Short Exposure (%)Net Exposure (%)
United Kingdom35.99-25.7110.28
Switzerland16.03-6.229.81
Netherlands4.600.004.60
China3.280.003.28
Spain3.150.003.15
France6.57-5.870.70
Japan14.74-14.450.29
Italy2.70-2.410.29
South Korea6.72-6.510.21
Hong Kong8.27-8.31-0.04
Denmark0.00-0.30-0.30
Canada3.42-3.76-0.34
Sweden0.00-1.63-1.63
Norway0.00-1.81-1.81
Germany4.92-7.91-2.99
Belgium0.00-3.03-3.03
Finland0.00-3.26-3.26
Australia0.00-4.13-4.13
Singapore0.00-5.26-5.26
United States52.19-66.35-14.16

TOP 10 Positions as of 30 Apr 2017

Top Ten Long PositionsTop Ten Short Positions
CompanyEnding Weight (%)CompanyEnding Weight (%)
Royal Dutch Shell Plc5.01%The Royal Bank of Scotland Plc-3.37%
Volkswagen AG4.92%Nokia Oyj-3.26%
Citigroup, Inc.4.89%Bayerische Motoren Werke AG-3.15%
Novartis AG4.79%AIR Liquide-3.15%
Oracle Corp.4.62%Hyundai Motor Co., Ltd.-3.12%
Akzo Nobel NV4.60%Daimler AG-3.11%
China Mobile Ltd.4.58%Avago Technologies-3.08%
Microsoft Corp.4.55%Ford Motor Co.-3.07%
KDDI Corp.4.46%Cerner Corp.-3.05%
Aviva Plc4.36%Shire Pharmaceuticals-3.05%

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 Apr 2017


Causeway Global Absolute Return Fund (“Fund”) underperformed its benchmark, the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index, in the month of April. 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.

Continued optimism in the global economy pushed equity markets higher in April, with a particularly favorable outlook for European economic recovery. The top performing markets in our investable universe included Austria, Denmark, Finland, France, and Sweden. The worst performing markets included Canada, Australia, Portugal, Norway, and Singapore. The best performing sectors in the World Index were industrials, consumer discretionary, and financials. The worst performing sectors were energy, telecommunication services, and utilities.

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 underperformed the World Index during the period, due primarily to stock selection. Exposures to the energy, retailing, telecommunications services, pharmaceuticals & biotechnology, and semiconductors & semi equipment industry groups contributed to relative underperformance. Exposures to the capital goods, banks, automobiles & components, insurance, and materials industry groups offset some of the relative underperformance. The largest detractor was oil exploration & production company, PDC Energy, Inc. (United States). Additional detractors included telecommunications company, SK Telecom Co. Ltd (South Korea), digital telecommunications product and service provider, Qualcomm, Inc. (United States), energy exploration and production services company, Halliburton Co. (United States), and oil and gas exploration and production company, SM Energy (United States). The top contributor to performance was automaker, Volkswagen (Germany). Other notable contributors included paints & coatings producer, Akzo Nobel NV (Netherlands), bank, Lloyds Banking Group (United Kingdom), industrial conglomerate, ABB Ltd (Switzerland), and capital goods manufacturer, Schneider Electric (France).

We use a quantitative approach to select 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 April, our technical and quality factor categories demonstrated predictive power. Companies with weak technical indicators and those demonstrating potential insolvency and/or accounting chicanery underperformed the broader market, as anticipated. However, returns to our value factors were flat – companies with expensive valuations performed in line with the broad market – and returns to our growth factors were negative – companies with worsening earnings growth dynamics outperformed the broader market, contrary to expectations.

From an industry group perspective, short-side attribution effects were weakest in the banks, materials, health care equipment & services, pharmaceuticals & biotechnology, and capital goods sectors. Short-side attribution effects were strongest in the automobiles & components, telecommunications services, diversified financials, retailing, and consumer durables & apparel. At the stock exposure level, short exposures that detracted from the Fund’s performance included bank, The Royal Bank of Scotland Plc (United Kingdom), educational software provider, 2U, Inc. (United States), healthcare technology provider, Cerner Corporation (United States), aerospace & defense manufacturer, Rolls-Royce Holdings Plc (United Kingdom), and equipment and service provider to the global rail industry, Westinghouse Air Brake Technologies Corporation (United States). Successful shorts included auto manufacturer, Hyundai Motor Co., Ltd. (South Korea), lighting and building management solution provider, Acuity Brands, Inc. (United States), telecommunication and information services provider, Telstra Corporation, Ltd. (Australia), oil and gas production company, EOG Resources, Inc. (United States), and construction materials manufacturer, LafargeHolcim Ltd. (Switzerland).

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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