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Global Absolute Return

Strategy Profile

Causeway's Global Absolute Return (GAR) strategy is designed for investors who want equity-like returns with lower volatility and low equity market correlation. 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.

Inception Date28 Feb 2011
Benchmark BofA ML 3M US TBill


Fund Quarter to Date Year to Date 1 Year3 Year5 Year Since Inception
Gross % 0.6%0.6%10.3%5.2%3.1%4.9%
Net % 0.4%0.4%9.0%3.8%1.7%3.3%
BofAML 90 T Bill 0.2%0.2%2.0%1.1%0.7%0.5%


Position Details as of 31 Jan 2019

Cash 50,721,154
Market Value Long 82,464,063
Market Value Short -81,770,809
Net Positional Value 693,254
NAV 51,414,408
Net Exposure 1.35%
Leverage 3.19
Long Positions 112
Short Positions 118
Total 230

Characteristics as of 31 Jan 2019

Long Portfolio Short Portfolio MSCI World
No. of Exposures 112 118 1632
Wtd Avg Mkt Cap (Mn $US) $42,219 $11,926 $128,771
FY2 Price/Earnings 9.2 16.1 14.1
Price/Book Value 1.3 1.7 2.3
Return on Equity (%) 16.3 7.1 19.2

Sector Exposure as of 31 Jan 2019

Long Exposure (%)Short Exposure (%)Net Exposure (%)
Health Care11.16-8.302.86
Communication Services13.13-11.921.21
Consumer Discretionary17.25-16.051.20
Information Technology13.80-13.040.76
Consumer Staples4.21-6.65-2.44
Real Estate4.39-9.74-5.35

Country Exposure as of 31 Jan 2019

Long Exposure (%)Short Exposure (%)Net Exposure (%)
United Kingdom13.25-9.773.48
New Zealand1.28-0.281.00
South Korea6.37-6.62-0.25
United States65.67-68.74-3.07
Hong Kong0.00-4.06-4.06

TOP 10 Positions as of 31 Jan 2019

Top Ten Long PositionsTop Ten Short Positions
CompanyEnding Weight (%)CompanyEnding Weight (%)
Showa Denko K.K.3.16%Northland Power-3.20%
Coca-Cola Amatil Ltd.3.14%China Unicom (Hong Kong) Ltd.-3.13%
Takeda Pharmaceutical Co., Ltd.3.12%Aqua America, Inc.-3.12%
Genworth Mi Canada3.11%Cellnex Telecom SA-3.11%
KDDI Corp.3.08%Premium Brands Holdings-3.11%
FirstEnergy Corp.3.06%Daimler AG-3.11%
Manulife Financial3.02%Kansai Paint Co., Ltd.-3.06%
Alaska Air Group, Inc.2.99%Carvana Co.-3.05%
Viacom, Inc.2.97%Bâloise Holding AG-3.05%
Gildan Activewear2.91%Insurance Australia Group Ltd.-2.98%

Holdings are subject to change. Weights are notional exposures over net assets.


Causeway's Global Absolute Return (GAR) strategy is designed for investors who want equity-like returns with lower volatility and low equity market correlation. 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.

Causeway integrates fundamental and quantitative research to manage the long exposures and its quantitative investment strategy to manage the short exposures. Both the long and short portfolios seek to add alpha (return in excess of index), which is amplified by leverage up to 4x, with a target of 3x.

The GAR Portfolio'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 portfolio typically has 60-120 long exposures and 60-140 short exposures.


PERFORMANCE REVIEW for the month ended 31 Dec 2018

The Portfolio outperformed the ICE BofAML US 3-Month Treasury Bill Index in the month of December. The Portfolio's outperformance was driven by the long portfolio: the Portfolio's long portfolio outperformed the MSCI World Index (“World Index”). However, the Portfolio's short portfolio marginally outperformed the World Index, contributing slightly negatively to overall performance.

Heightened geopolitical tensions and concerns of a broader slowdown in global economic growth pressured equity markets in December. The top performing markets in our investable universe were Hong Kong, Finland, Singapore, South Korea, and New Zealand. The worst performing markets were Austria, Belgium, the United States, Canada, and Israel. The best performing sectors in the World Index were utilities, materials, and real estate. The worst performing sectors were energy, financials, and industrials.

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 December, all quantitative alpha factor categories demonstrated predictive power with the exception of value. Stocks with improving earnings growth dynamics outperformed those with worsening dynamics, stocks with positive technical indicators outperformed those with negative technical indicators, and stocks demonstrating higher earnings quality outperformed those with lower earnings quality. However, stocks with cheap valuations underperformed those with expensive valuations, contrary to expectations.

Within the long portfolio, attribution effects were strongest in the capital goods, transportation, and consumer services industry groups. Long-side attribution effects were weakest in the retailing, media & entertainment, and insurance industry groups. Long exposures that contributed most to performance were diversified mining company, BHP Group Plc (United Kingdom), infrastructure & property developer, Hopewell Holdings Ltd. (Hong Kong), full service construction company, China Railway Construction Corp. Ltd. (China), motorsports entertainment provider, International Speedway Corp. (United States), and construction company, Hazama Ando Corp. (Japan). Long exposures that detracted most from the Portfolio's performance were specialty jeweler retailer, Signet Group (United States), global financial services giant, Citigroup, Inc. (United States), global entertainment content company, Viacom, Inc. (United States), student loan services company, Navient Corp. (United States), and travel & tourism technology company, Sabre Corp. (United States).

Within the short portfolio, attribution effects were weakest in the materials, utilities, and transportation industry groups. Short-side attribution effects were strongest in the software & services, commercial services & supplies, and consumer durables & apparel industry groups. Short exposures that detracted most from the Portfolio's performance included automaker, Hyundai Motor Co., Ltd. (South Korea), steel structure manufacturer, Maruichi Steel Tube Ltd. (Japan), athletic shoe manufacturer & retailer, Yue Yuen Industrial (Holdings) Ltd. (Hong Kong), chemicals producer, Kansai Paint Co., Ltd. (Japan), and rail operator, Keikyu Corp. (Japan). Short exposures that contributed most to performance were fashion retailer, L Brands, Inc. (United States), financial services provider, Pacific Premier Bancorp, Inc. (United States), healthcare housekeeping & food services provider, Healthcare Services Group, Inc. (United States), technology & camera company, Snap, Inc. (United States), and toy manufacturer, Mattel, Inc. (United States).*

*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

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