Our full alpha-generating capabilities, seeking lower volatility and low or no equity market correlation

Causeway's Global Absolute Return (GAR) strategy is designed for clients who want returns while seeking lower volatility than the MSCI World Index and low equity market correlation with the MSCI World Index. The strategy invests in global developed markets equities and may invest in emerging markets, using swap agreements or direct investments to obtain long and short exposures to equity securities.

ICE BoAML 3-Month US TBill
February 28, 2011

Strategy overview

The portfolio managers discuss our Global Absolute Return strategy.

Portfolio managers

Chief Executive Officer
Fundamental Portfolio Manager
Head of Fundamental Research
Fundamental Portfolio Manager
Fundamental Portfolio Manager
Fundamental Portfolio Manager
Fundamental Portfolio Manager
Fundamental Portfolio Manager
Fundamental Portfolio Manager
Fundamental Portfolio Manager
Head of Quantitative Research
Quantitative Portfolio Manager
Quantitative Portfolio Manager
Quantitative Portfolio Manager


QTD YTD 1 year3 years5 years Since inception
Strategy (gross) -6.8%-12.7%-3.0%-1.3%-0.2%2.9%
Strategy (net) -6.9%-13.2%-4.1%-2.6%-1.6%1.4%
ICE BoAML 3-Month US TBill 0.4%1.0%2.3%1.3%0.8%0.5%
QTD YTD 1 year3 years5 years Since inception
Strategy (gross) -6.8%-12.7%-3.0%-1.3%-0.2%2.9%
Strategy (net) -6.9%-13.2%-4.1%-2.6%-1.6%1.4%
ICE BoAML 3-Month US TBill 0.4%1.0%2.3%1.3%0.8%0.5%
QTD YTD 1 year3 years5 years Since inception
Strategy (gross) -6.4%-6.4%4.4%2.4%1.2%3.8%
Strategy (net) -6.7%-6.7%3.2%1.1%-0.2%2.3%
ICE BoAML 3-Month US TBill 0.6%0.6%2.1%1.2%0.7%0.5%
QTD YTD 1 year3 years5 years Since inception
Strategy (gross) -6.4%-6.4%4.4%2.4%1.2%3.8%
Strategy (net) -6.7%-6.7%3.2%1.1%-0.2%2.3%
ICE BoAML 3-Month US TBill 0.6%0.6%2.1%1.2%0.7%0.5%
Fund 2018201720162015201420132012
Strategy (gross) 10.8%-6.5%13.1%-3.6%1.9%14.5%-1.9%
Strategy (net) 10.8%-6.5%13.2%-3.6%1.7%14.3%-1.8%
ICE BoAML 3-Month US TBill 9.0%-8.2%11.2%-5.2%0.1%12.5%-3.7%
Strategy (gross)
Strategy (net)
ICE BoAML 3-Month US TBill

Portfolio (as of May 31, 2019)

Benchmark: MSCI World
Position Details
Cash 43,796,694
Market value (long) 66,029,861
Market value (short) -66,626,815
Net positional value -596,954
NAV 43,199,740
Net exposure -1.38%
Leverage 3.07
Long positions 99
Short positions 123
Total 222
Strategy Charcterisics
Long portfolio Short portfolio Benchmark
No. of exposures 99 123
Weighted avg. market cap (US $MM) $48,759 $10,775 $0
FY2 price/earnings 9.0 15.5 0.0
Price/book value 1.3 1.6 0.0
Return on equity (%) 16.3 4.0 0.0

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.

Holdings are subject to change.

Top 10 Long Exposures
CompanyEnding weight
KDDI Corp. 3.25%
Coca-Cola Amatil Ltd. 3.08%
Viacom, Inc. 3.06%
FirstEnergy Corp. 2.99%
Microsoft Corp. 2.99%
Genworth Mi Canada 2.96%
Gildan Activewear 2.95%
H&R Block, Inc. 2.93%
Manulife Financial 2.91%
BHP Group Plc 2.89%
Top 10 Short Exposures
CompanyEnding weight
Cellnex Telecom SA -3.19%
Markel Corp. -3.18%
Électricité de France SA -3.08%
Aqua America, Inc. -3.08%
Premium Brands Holdings -2.99%
SiteOne Landscape Supply, Inc. -2.98%
Beazley Plc -2.97%
Kansai Paint Co., Ltd. -2.94%
The Howard Hughes Corp. -2.92%
Bayerische Motoren Werke AG -2.91%
Sector Exposure
Sector Long exposure Short exposure Net exposure
Health Care10.9%-5.5%5.40%
Information Technology14.6%-12.4%2.20%
Consumer Discretionary14.8%-13.1%1.70%
Communication Services13.2%-11.5%1.70%
Consumer Staples5.2%-9.9%-4.70%
Real Estate6.0%-10.8%-4.80%
Country Exposure
Country Long exposure Short exposure Net exposure
China 19.3% -9.4% 9.90%
Canada 13.8% -8.9% 4.90%
United Kingdom 13.9% -10.0% 3.90%
Netherlands 2.9% 0.0% 2.90%
Switzerland 7.1% -5.0% 2.10%
South Korea 7.7% -5.7% 2.00%
Germany 4.7% -3.4% 1.30%
New Zealand 1.2% -0.3% 0.90%
Sweden 0.8% 0.0% 0.80%
France 2.9% -2.3% 0.60%
Belgium 0.0% -0.3% -0.30%
Denmark 0.0% -0.7% -0.70%
Singapore 1.4% -2.5% -1.10%
Italy 0.0% -1.4% -1.40%
United States 64.2% -65.7% -1.50%
Portugal 0.0% -2.3% -2.30%
Japan 20.3% -23.1% -2.80%
Hong Kong 0.0% -4.3% -4.30%
Norway 0.0% -4.5% -4.50%
Spain 0.0% -4.7% -4.70%
Australia 4.2% -8.9% -4.70%
Regional Allocation
Long exposure Short exposure Net exposure
Europe - Other25.5%-14.1%7.5%
North America70.6%-70.7%3.0%

Commentary (As of May 31, 2019)


  • Equity markets declined during the month as trade negotiations between the US and China deteriorated and import tariff rates increased. Stocks in industries sensitive to economic growth (cyclicals) suffered greatly during the month versus those in defensive industries.

Portfolio attribution

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

The Portfolio 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 Portfolio, 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. During the month of May, our growth and technical factor categories demonstrated predictive power. Stocks with improving earnings growth dynamics outperformed those with worsening dynamics, and stocks with positive technical indicators outperformed those with negative technical indicators. However, returns to our value and financials strength factors were negative. Stocks with cheap valuations underperformed those with expensive valuations and stocks demonstrating higher earnings quality underperformed those with lower earnings quality, contrary to expectations.

Investment outlook

The anticipated “quality and safety” associated with economically defensive stocks attracted even more buying in May, stretching the valuation premium of defensive stocks compared to cyclical stocks to near historic highs. From a fundamental perspective, we believe the undervaluation in many of these cyclicals industries such as US and European banks, global oil and gas, global industrials, consumer discretionary, and materials seems extreme, as our analysis indicates the valuations already discount recessionary economic conditions. In May, in particular, trade tensions have amplified risk aversion. And trade relief should do just the opposite, which would likely drive up bond yields and attract investors back to undervalued stocks.

On an aggregate long/short portfolio basis, we are maintaining a near market-neutral posture, with -1.09% net exposure overall (long exposures minus absolute value of short exposures). Consistent with our goal of delivering low equity market sensitivity, we target a zero expected beta to the World Index.[1] On an aggregate basis, our largest net biases by sector are toward health care and energy, where we have significant positive net exposure, and against utilities and real estate, where we have meaningful negative net exposure. By geography, we are net biased toward China and Switzerland, and biased against Hong Kong and Australia. Gross exposure (leverage) for the Portfolio is 307% (3.07x) as of May 31, 2019.

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 portfolio holdings and characteristics are subject to change. There is no guarantee that any forecasts made will come to pass. The securities identified and described above 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. Past performance does not guarantee future results. For a description of our performance attribution methodology, or to obtain a list showing every holding's contribution to the overall account's performance during the quarter, please contact our product manager, Kevin Moutes, at 310-231-6116 or moutes@causewaycap.com.