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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 Mar 2017)

$9.24, +0.04

YTD

-6.19%

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 -8.2%-8.2%-1.6%-1.3%0.3%2.3%
BofAML 90 T Bill 0.1%0.1%0.4%0.2%0.1%0.1%
Fund Quarter to Date Year to Date 1 Year3 Year5 Year Since Inception
CGAVX 5.8%11.0%11.0%1.5%2.4%3.8%
BofAML 90 T Bill 0.1%0.3%0.3%0.1%0.1%0.1%

Portfolio

Position Details as of 28 Feb 2017

Cash74,473,613
Market Value Long109,651,308
Market Value Short-115,516,352
Net Positional Value-5,865,044
NAV68,608,569
Net Exposure-8.55%
Leverage3.28
Long Positions 51
Short Positions 125
Total176

Characteristics as of 28 Feb 2017

Long Portfolio Short Portfolio MSCI World
No. of Exposures 51 125 1632
Wtd Avg Mkt Cap (Mn $US)$75,765$37,842$101,398
FY2 Price/Earnings12.816.415.5
Price/Book Value1.62.02.3
Return on Equity (%)13.411.616.1

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 28 Feb 2017

Long Exposure (%)Short Exposure (%)Net Exposure (%)
Telecommunication Services14.72-9.185.54
Health Care23.74-18.645.10
Energy14.13-9.604.53
Information Technology28.64-24.733.91
Industrials18.97-19.50-0.53
Utilities5.68-6.93-1.25
Financials29.09-31.42-2.33
Consumer Discretionary14.86-17.78-2.92
Materials4.84-8.56-3.72
Real Estate1.56-6.53-4.97
Consumer Staples3.71-15.25-11.54

Country Exposure as of 28 Feb 2017

Long Exposure (%)Short Exposure (%)Net Exposure (%)
United Kingdom35.90-25.8010.10
Switzerland15.20-6.268.94
Netherlands4.840.004.84
France6.46-3.672.79
Hong Kong8.07-5.372.70
Germany4.99-4.190.80
Spain3.82-3.160.66
South Korea6.63-6.590.04
Japan15.17-15.26-0.09
China2.88-3.01-0.13
Norway0.00-0.75-0.75
Denmark0.00-1.38-1.38
Sweden0.00-1.69-1.69
Canada1.54-4.47-2.93
Belgium0.00-3.17-3.17
Finland0.00-3.21-3.21
Italy1.54-4.85-3.31
Australia0.00-4.27-4.27
Singapore0.00-5.49-5.49
United States52.89-65.53-12.64

TOP 10 Positions as of 28 Feb 2017

Top Ten Long PositionsTop Ten Short Positions
CompanyEnding Weight (%)CompanyEnding Weight (%)
Citigroup, Inc.5.28%Acadia Healthcare Co., Inc.-3.45%
Volkswagen AG4.99%Hyundai Motor Co., Ltd.-3.41%
Royal Dutch Shell Plc4.97%Shire Pharmaceuticals-3.30%
Akzo Nobel NV4.84%Markel Corp.-3.27%
Oracle Corp.4.78%Nokia Oyj-3.21%
Novartis AG4.66%Berkshire Hathaway, Inc.-3.19%
China Mobile Ltd.4.53%Avago Technologies-3.19%
East Japan Railway Co.4.42%2U, Inc.-3.17%
Microsoft Corp.4.32%Anheuser-Busch InBev SA/NV-3.17%
Prudential Plc4.30%Telefonica-3.16%

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 is 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 has 85-180 long/short exposures. The dollar amount of the long exposures is generally equivalent to the dollar amount of the short exposures(+/- 10 percentage points), but the Fund may have sector or regional biases.

Commentary

PERFORMANCE REVIEW for the month ended 28 Feb 2017


Causeway Global Absolute Return Fund (“Fund”) underperformed the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index in the month of February. The Fund’s underperformance was driven by both the long and short portfolios: The Fund’s global long portfolio underperformed the MSCI World Index (“World Index”), and the Fund’s global short portfolio outperformed the World Index, also contributing negatively to overall performance.

Global equities continued to appreciate in February, as promising economic data emerged across regions which added strength to business and consumer confidence. The top performing markets in our investable universe included Israel, the United States, Australia, the Netherlands, and China. The worst performing markets included Norway, Canada, Denmark, Ireland, and Italy. The best performing sectors in the World Index were health care, information technology, and consumer staples. The worst performing sectors were energy, materials, and telecommunication services.

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 global long portfolio of the Fund. The global long portfolio underperformed the World Index this month. Fund exposures in the energy, retailing, capital goods, technology hardware & equipment, and software & services industry groups detracted from relative performance. Exposures to the pharmaceuticals & biotechnology, banks, and semiconductors & semi equipment industry groups, as well as underweight exposures in the materials and media industry groups, offset some of the relative underperformance. The largest detractor was specialty retail jeweler, Signet Group (United States). Additional detractors included energy exploration & production company, SM Energy Co. (United States), oil exploration & production company, PDC Energy, Inc. (United States), automobile manufacturer, Volkswagen AG (Germany), and energy company CNOOC Ltd. (Hong Kong). The top contributor to performance was pharmaceutical company, AstraZeneca Plc (United Kingdom). Other notable contributors included electronic payment services provider, VeriFone Systems, Inc. (United States), global financial services giant, Citigroup, Inc. (United States), pharmaceutical & consumer healthcare products producer, Novartis AG (Switzerland), and enterprise management software provider, Oracle Corp. (United States).

We use a quantitative approach to select securities exposures for the global short portfolio of the Fund. Our process seeks exposures to short positions in 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 February, our financial strength factors were the only category to demonstrate predictive power. Companies demonstrating potential insolvency and/or accounting chicanery underperformed, as anticipated. Stocks with expensive valuations performed in line with the broader market, while returns to technical and growth factor categories were negative. Companies with weak technical indicators and worsening earnings growth dynamics outperformed the broader market, contrary to expectations.

From an industry group perspective, short-side attribution effects were weakest in materials, capital goods, commercial services & supplies, consumer durables & apparel, and semiconductors & semiconductor equipment. Short-side attribution effects were strongest in the technology hardware & equipment, energy, pharmaceuticals & biotechnology, household & personal products, and banks sectors. At the stock exposure level, short exposures that detracted from the Fund’s performance included China National Building Material Co. Ltd. (China), healthcare equipment and services provider, Acadia healthcare Co., Inc. (United States), telecommunications infrastructure company, Nokia Oyj (Finland), auto manufacturer, Hyundai Motor Co., Ltd. (South Korea), and biopharmaceutical company, Shire Plc (United Kingdom). Successful shorts included energy company, Saipem SpA (Italy), international banking and financial services company, Standard Chartered PLC (United Kingdom), energy exploration and production company, EOG Resources, Inc. (United States), auto manufacturer, Daimler AG (Germany), and technology hardware & equipment manufacturer, Lenovo Group Ltd. (Hong Kong).

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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