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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 % 1.3%1.3%2.7%1.4%4.2%4.1%
Net % 1.1%1.1%1.4%0.0%2.6%2.5%
BofAML 90 T Bill 0.2%0.2%1.0%0.5%0.3%0.3%


Position Details as of 28 Feb 2018

Market Value Long61,184,503
Market Value Short-59,413,090
Net Positional Value1,771,413
Net Exposure4.48%
Long Positions 52
Short Positions 125

Characteristics as of 28 Feb 2018

Long Portfolio Short Portfolio MSCI World
No. of Exposures 52 125 1630
Wtd Avg Mkt Cap (Mn $US)$83,111$34,861$126,160
FY2 Price/Earnings12.415.115.0
Price/Book Value1.81.72.4
Return on Equity (%)16.32.816.4

Sector Exposure as of 28 Feb 2018

Long Exposure (%)Short Exposure (%)Net Exposure (%)
Telecommunication Services13.25-4.808.45
Health Care24.76-17.846.92
Information Technology29.34-27.222.12
Real Estate2.59-4.13-1.54
Consumer Discretionary12.46-15.72-3.26
Consumer Staples5.64-12.34-6.70

Country Exposure as of 28 Feb 2018

Long Exposure (%)Short Exposure (%)Net Exposure (%)
United Kingdom27.75-16.6511.10
Hong Kong6.05-4.401.65
South Korea6.08-6.38-0.30
United States62.72-68.45-5.73

TOP 10 Positions as of 28 Feb 2018

Top Ten Long PositionsTop Ten Short Positions
CompanyEnding Weight (%)CompanyEnding Weight (%)
Barclays Plc5.58%Twilio, Inc.-4.06%
Halliburton Co.4.55%Old Mutual Plc-3.49%
Takeda Pharmaceutical Co., Ltd.4.49%Nokia Oyj-3.45%
Microsoft Corp.4.49%Cardinal Health, Inc.-3.27%
China Mobile Ltd.4.40%Hyundai Motor Co., Ltd.-3.17%
CSRA, Inc.4.40%LafargeHolcim Ltd.-3.15%
Eli Lilly & Co.4.32%Berkshire Hathaway, Inc.-3.08%
British American Tobacco plc4.14%Westinghouse Air Brake Technologies Corp.-3.02%
East Japan Railway Co.4.04%Murata Manufacturing Co. Ltd.-3.01%
Citigroup, Inc.3.94%Novocure-2.99%

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 uses its fundamental global value equity strategy 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 strategy seeks 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, mitigating idiosyncratic risk in the short portfolio.

The GAR portfolio 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 portfolio may have sector or regional biases.


PERFORMANCE REVIEW for the month ended 28 Feb 2018

Causeway Global Absolute Return Portfolio (“Portfolio”) modestly outperformed the ICE BofAML U.S. 3-Month Treasury Bill Index in the month of February. The Portfolio’s outperformance was driven by the short portfolio: The long portfolio modestly underperformed the MSCI World Index (“World Index”), detracting from overall portfolio return, but the short portfolio underperformed the World Index by a larger margin, contributing positively to overall portfolio return.

Global equity markets drifted downward in February, a reversal of the steady march upward after the November 2016 US presidential election. The top performing markets in our investable universe included Finland, Japan, Norway, Singapore, and Denmark. The worst performing markets included Spain, Canada, Germany, New Zealand, and Ireland. The best performing sectors in the World Index were information technology, consumer discretionary, and financials. The worst performing sectors were energy, consumer staples, and real estate.

The Portfolio takes long and short notional exposures to securities under swap agreements. We use our fundamental value approach to select exposures for the long portfolio. The long portfolio underperformed the World Index during the period, due primarily to currency allocation (a byproduct of our bottom-up stock exposure selection process). Exposures to the technology hardware & equipment, telecommunication services, and capital goods industry groups detracted the most from relative performance. Exposures to the software & services, banks, and materials industry groups offset a portion of the underperformance. The largest detractor was British American Tobacco plc (United Kingdom). Additional detractors included energy exploration & production company, SM Energy Co. (United States), mobile telecommunications operator, China Mobile Ltd. (Hong Kong), energy exploration & production company, Halliburton Co. (United States), and automobile manufacturer, Volkswagen AG (Germany). The top contributor to performance was public sector software & services company, CSRA, Inc. (United States). Additional contributors included travel & tourism technology company, Sabre Corp. (United States), banking & financial services company, Barclays Plc (United Kingdom), paints & coatings producer, Akzo Nobel NV (Netherlands), and software & services company, Baidu (China).

We use a quantitative approach to select securities exposures for the short portfolio. 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 February, our technical and quality factor categories demonstrated predictive power. Companies with weak technical indicators and those demonstrating potential insolvency and/or accounting chicanery underperformed the broader market, as anticipated. However, returns to our value and growth factors were negative. Companies with expensive valuations and those with worsening earnings growth dynamics outperformed the broader market, contrary to expectations.

From an industry group perspective, short-side attribution effects were strongest in the healthcare equipment & services, telecommunication services, and energy industry groups. Short-side attribution effects were weakest in the software & services, materials, and technology hardware & equipment industry groups. Successful short exposures included healthcare services company, Brookdale Senior Living, Inc. (United States), energy company, Weatherford International (Switzerland), telecommunications company, China Unicom (Hong Kong) Ltd., food manufacturer, The Kraft Heinz Co. (United States), and insurance company, American International Group, Inc. (United States). Short exposures that detracted from the Portfolio's performance included communications software platform company, Twilio, Inc. (United States), technology hardware & equipment company, Nokia Oyj (Finland), insurance company, Old Mutual Plc (United Kingdom), financial services company, DBS Group Holdings Ltd. (Singapore), and cloud computing company, ServiceNow, 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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