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We believe the best way to exploit the investment opportunities in emerging markets equities is through a combination of value and growth, and bottom-up and top-down factors. Our quantitative stock selection process is focused on attractively valued companies with superior earnings prospects and positive market sentiment; these companies should produce consistent returns across investment cycles. We use the same approach to select sectors and countries, comparing valuation against earnings growth and market sentiment. At the country level, we also consider the health of the macro-economy. Our quantitative process seeks to combine these factors while attempting to avoid undue sources of risk, which for this strategy we define as tracking error (a measurement of dispersion from a benchmark index).
Inception Date | 29 Mar 2007 |
Benchmark | MSCI Emerging Markets |
Account returns for the Causeway Emerging Markets Composite (“Emerging Markets Composite”) are calculated daily. Monthly account returns are calculated by geometrically linking the daily returns. The return of the Emerging Markets Composite is calculated monthly by weighting monthly account returns by the beginning market values. Valuations and returns are computed and stated in U.S. dollars. Returns include the reinvestment of interest, dividends and any capital gains. Returns are calculated gross of withholding taxes on dividends, interest income, and capital gains. Past performance is no guarantee of future performance. Gross-of-fees returns are presented before management, performance and custody fees but after trading expenses. Net-of-fees returns are presented after the deduction of actual management fees, performance-based fees, and all trading expenses, but before custody fees. Causeway’s basic management fee schedules are described in its firm brochure pursuant to Part 2 of Form ADV. A complete list and description of firm composites is available upon request. This information supplements the composite presentation at the following link. MSCI has not approved, reviewed or produced this report, makes no express or implied warranties or representations and is not liable whatsoever for any data in the report. You may not redistribute the MSCI data or use it as a basis for other indices or investment products. Investing involves risk including loss of principal. In addition to the normal risks associated with investing, international investments may involve risk of capital loss from unfavorable fluctuation in currency values, from differences in generally accepted accounting principles or from economic or political instability in other nations. Emerging markets involve heightened risks related to the same factors as well as increased volatility and lower trading volume. Diversification does not prevent all investment losses.
Stocks | 97.3% |
Cash | 2.7% |
Causeway | MSCI Emerging Markets | |
---|---|---|
No. of Holdings | 143 | 1123 |
Wtd. Avg. Market Cap (Mn $US) | $57,259 | $51,403 |
NTM Price/Earnings | 8.9 | 11.6 |
Price/Book Value | 1.3 | 1.6 |
Dividend Yield (%) | 3.3 | 2.7 |
NTM EPS Revision (Wtd. Avg) | -21.9 | -21.5 |
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. “Earnings-per-Share” is the portion of a company’s profit allocated to each outstanding share of common stock. “Earnings-per-Share year-over-year estimate growth (Next 12 Months)” is the average next-twelve-month earnings-per-share estimate from one year ago for an individual company compared with that estimate today; note that this calculation is done on a company by company basis and is aggregated through a weighted average based on the individual company’s weight in the corresponding index. Also note that this characteristic is supplied directly by MSCI.
Financials | 25.18% |
Information Technology | 15.74% |
Communication Services | 12.71% |
Energy | 11.04% |
Materials | 7.78% |
Consumer Discretionary | 7.56% |
Industrials | 6.51% |
Consumer Staples | 4.52% |
Health Care | 2.12% |
Real Estate | 1.83% |
Utilities | 1.45% |
Equity Funds | 0.88% |
Financials | 24.84% |
Information Technology | 14.28% |
Communication Services | 14.16% |
Energy | 8.09% |
Materials | 7.34% |
Consumer Discretionary | 10.87% |
Industrials | 5.45% |
Consumer Staples | 6.54% |
Health Care | 2.73% |
Real Estate | 3.08% |
Utilities | 2.62% |
Equity Funds | 0.00% |
China | 30.93% |
South Korea | 17.33% |
India | 10.33% |
Brazil | 9.64% |
Taiwan | 8.15% |
Russia | 5.59% |
Thailand | 3.49% |
Mexico | 2.77% |
South Africa | 2.38% |
Turkey | 1.52% |
Malaysia | 1.38% |
Peru | 1.06% |
Poland | 0.94% |
Indonesia | 0.88% |
Saudi Arabia | 0.62% |
Czech Republic | 0.30% |
Multi-National Emerging (ETF) | 0.16% |
Multi-National Emerging (ETF) | 0.01% |
United Arab Emirates | 0.00% |
Pakistan | 0.00% |
Philippines | 0.00% |
Qatar | 0.00% |
Hungary | 0.00% |
Chile | 0.00% |
Colombia | 0.00% |
Egypt | 0.00% |
Greece | 0.00% |
China | 31.08% |
South Korea | 13.98% |
India | 8.47% |
Brazil | 8.04% |
Taiwan | 10.66% |
Russia | 3.87% |
Thailand | 2.45% |
Mexico | 2.81% |
South Africa | 6.44% |
Turkey | 0.69% |
Malaysia | 2.27% |
Peru | 0.42% |
Poland | 1.22% |
Indonesia | 2.31% |
Saudi Arabia | 0.00% |
Czech Republic | 0.17% |
Multi-National Emerging (ETF) | 0.00% |
Multi-National Emerging (ETF) | 0.00% |
United Arab Emirates | 0.72% |
Pakistan | 0.04% |
Philippines | 1.11% |
Qatar | 1.05% |
Hungary | 0.32% |
Chile | 1.12% |
Colombia | 0.42% |
Egypt | 0.13% |
Greece | 0.21% |
Security | Country | Industry | Active Weight* |
---|---|---|---|
Investimentos Itau | Brazil | Banks | 2.0 |
China Construction Bank Corp. | China | Banks | 1.9 |
Samsung Electronics Co., Ltd. | South Korea | Technology Hardware & Equipment | 1.5 |
Tencent Holdings Ltd. | China | Media & Entertainment | 1.5 |
China Petroleum & Chemical Corp. | China | Energy | 1.4 |
Banco do Brasil SA | Brazil | Banks | 1.3 |
Lukoil | Russia | Energy | 1.2 |
SK hynix, Inc. | South Korea | Semiconductors & Semi Equipment | 1.1 |
Anhui Conch Cement Co., Ltd. | China | Materials | 1.1 |
Gazprom PJSC | Russia | Energy | 1.0 |
*Active defined as Portfolio weight minus MSCI EM Index weight. Holdings are subject to change.
We believe the best way to exploit the investment opportunities in emerging markets equities is through a combination of value and growth, and bottom-up and top-down factors. Our quantitative stock selection process is focused on attractively valued companies with superior earnings prospects and positive market sentiment; these companies should produce consistent returns across investment cycles. We use the same approach to select sectors and countries, comparing valuation against earnings growth and market sentiment. At the country level, we also consider the health of the macro-economy. Our quantitative process seeks to combine these factors while attempting to avoid undue sources of risk, which for this strategy we define as tracking error (a measurement of dispersion from a benchmark index).
The investment process begins with a liquidity screen on emerging markets equities. Our multi-factor alpha-model creates a return forecast for every stock in the investable universe. We optimize the portfolio weights to maximize alpha(return in excess of benchmark), targeting a 5% tracking error relative to the benchmark MSCI Emerging Markets Index, and subject to additional relative constraints (sector, country, stock and currency). The Emerging Markets Portfolio is a fully invested portfolio of typically 110-150 stocks, with an average 85% annual turnover. Typically, the portfolio is undervalued relative to the benchmark on a number of metrics, with greater earnings growth expectations.
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