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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 17 Jan 2018)

$9.16, 0.00

YTD

+0.55%

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 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$1,000,000
Sales ChargeNone
Net Expense Ratio1.95%
Gross Expense Ratio2.00%
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 0.9%-8.2%-8.2%-1.1%1.7%2.2%
BofAML 90 T Bill 0.3%0.9%0.9%0.4%0.3%0.2%
Fund Quarter to Date Year to Date 1 Year3 Year5 Year Since Inception
CGAIX 0.9%-8.2%-8.2%-1.1%1.7%2.2%
BofAML 90 T Bill 0.3%0.9%0.9%0.4%0.3%0.2%

Portfolio

Position Details as of 31 Dec 2017

Cash45,635,281
Market Value Long66,702,239
Market Value Short-69,014,595
Net Positional Value-2,312,356
NAV43,322,925
Net Exposure-5.34%
Leverage3.13
Long Positions 52
Short Positions 126
Total178

Characteristics as of 31 Dec 2017

Long Portfolio Short Portfolio MSCI World
No. of Exposures 52 126 1635
Wtd Avg Mkt Cap (Mn $US)$85,516$34,898$119,178
FY2 Price/Earnings13.515.816.7
Price/Book Value1.81.72.4
Return on Equity (%)15.03.816.4

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 31 Dec 2017

Long Exposure (%)Short Exposure (%)Net Exposure (%)
Telecommunication Services14.08-5.178.91
Health Care25.86-19.346.52
Energy14.36-9.614.75
Information Technology27.93-25.102.83
Industrials23.02-20.852.17
Real Estate2.32-5.16-2.84
Utilities1.47-5.09-3.62
Materials5.75-9.38-3.63
Consumer Discretionary12.71-16.48-3.77
Financials22.06-29.57-7.51
Consumer Staples4.63-13.70-9.07

Country Exposure as of 31 Dec 2017

Long Exposure (%)Short Exposure (%)Net Exposure (%)
United Kingdom30.94-20.3810.56
Switzerland10.69-6.943.75
Netherlands3.450.003.45
Japan15.66-13.142.52
Italy2.380.002.38
Spain2.320.002.32
China3.04-1.151.89
Hong Kong6.21-4.671.54
Germany7.42-7.090.33
South Korea6.49-6.54-0.05
Denmark0.00-0.25-0.25
Canada3.87-4.62-0.75
Ireland0.00-0.97-0.97
Sweden0.00-1.40-1.40
Norway0.00-1.94-1.94
Singapore0.00-2.01-2.01
Finland0.00-2.86-2.86
Belgium0.00-3.08-3.08
France3.20-6.63-3.43
Australia0.00-3.95-3.95
United States58.51-71.82-13.31

TOP 10 Positions as of 31 Dec 2017

Top Ten Long PositionsTop Ten Short Positions
CompanyEnding Weight (%)CompanyEnding Weight (%)
Barclays Plc5.46%Old Mutual Plc-3.23%
Volkswagen AG5.12%Hyundai Motor Co., Ltd.-3.22%
British American Tobacco plc4.63%LafargeHolcim Ltd.-3.14%
China Mobile Ltd.4.58%Westinghouse Air Brake Technologies Corp.-3.14%
Citigroup, Inc.4.54%Molson Coors Brewing Co.-3.10%
Microsoft Corp.4.40%Anheuser-Busch InBev SA/NV-3.08%
East Japan Railway Co.4.23%China Unicom (Hong Kong) Ltd.-3.08%
Novartis AG4.12%American International Group, Inc.-3.08%
Halliburton Co.4.01%MS&AD Insurance Group Holdings, Inc.-3.08%
Oracle Corp.3.95%AIR Liquide-3.06%

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 31 Dec 2017


Causeway Global Absolute Return Fund (“Fund”) outperformed the ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index in the month of December. The Fund’s long portfolio outperformed the MSCI World Index (“World Index”), and the Fund’s short portfolio underperformed the World Index, also contributing positively to overall portfolio return.

The global bull market of 2017 carried almost every country’s equity index to (or near) record highs. The rise was amplified in most markets outside the US due to currency strength versus the US dollar. Investors reacted positively to signs of improved global growth, US tax reform, and possibly a race to add to stock portfolios by year-end. As a result, demand for equities drove markets higher in December. The top performing markets in our investable universe included Israel, New Zealand, the United Kingdom, Australia, and Ireland. The worst performing markets included Portugal, Italy, Spain, Belgium, and Finland. The best performing sectors in the World Index were energy, materials, and consumer discretionary. The worst performing sectors were utilities, information technology, and health care.

The Fund takes long and short notional exposures to securities under swap agreements. We use our fundamental value approach to select exposures for the long portfolio of the Fund. The long portfolio outperformed the World Index during the period, due primarily to country allocation (a byproduct of our bottom-up stock selection process). Exposures to the energy, technology hardware & equipment, and pharmaceuticals & biotechnology industry groups contributed the most to relative outperformance. Exposures to the telecommunication services, automobiles & components, and capital goods industry groups offset a portion of the outperformance. The top contributor to performance was energy services company, Halliburton Co. (United States). Additional contributors included oil exploration & production company, PDC Energy, Inc. (United States), oil exploration & production company, SM Energy, Co. (United States), British American Tobacco plc (United Kingdom), and pharmaceutical company, AstraZeneca Plc (United Kingdom). The largest detractor was telecommunication services provider, KDDI Corp. (Japan). Additional detractors included automobile manufacturer, Volkswagen AG (Germany), banking & financial services company, UniCredit S.p.A. (Italy), enterprise management software provider, Oracle Corp. (United States), and integrated utility, FirstEnergy Corp. (United States).

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

From an industry group perspective, short-side attribution effects were strongest in the capital goods, materials, and food beverage & tobacco industry groups. Short-side attribution effects were weakest in the energy, health care equipment & services, and household & personal products industry groups. Successful short exposures included capital goods producer, Samsung Heavy Industries Co., Ltd. (South Korea), senior living community operator, Brookdate Senior Living, Inc. (United States), network infrastructure and technology company, Nokia Oyj (Finland), telecommunications company, China Unicom Ltd. (Hong Kong), and food and beverage producer, The Kraft Heinz Co. (United States). Short exposures that detracted from the Fund’s performance included oilfield services company, Weatherford International (Switzerland), beauty and skincare product maker, Coty, Inc (United States), biopharmaceutical company, Shire Pharmaceuticals (United States), rail industry equipment provider, Westinghouse Air Brake Technologies Corp. (United States), and wholesale distributor, HD Supply Holdings, 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 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

2017$0.0000
2016$1.0925
2015$0.3858
2014$0.0000
2013 $0.4332
2012 $0.2807
2011 $0.1015
Load More

Short-term Capital Gains

2017$0.0000
2016$0.0000
2015$0.0000
2014$0.0000
2013 $0.0000
2012 $0.0000
2011 $0.3053
Load More

Long-term Capital Gains

2017$0.0000
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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