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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 2019)

$9.15, -0.04

YTD

+0.99%

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 integrates fundamental and quantitative research to manage the Fund’s long exposures (the “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 “short portfolio” of the Fund).

Minimum Investment$1,000,000
Sales ChargeNone
Net Expense Ratio1.52%
Gross Expense Ratio1.55%
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 1.7%9.0%9.0%3.7%1.1%3.1%
ICE BofAML 90 T Bill 0.6%1.9%1.9%1.0%0.6%0.4%
Fund Quarter to Date Year to Date 1 Year3 Year5 Year Since Inception
CGAIX 1.7%9.0%9.0%3.7%1.1%3.1%
ICE BofAML 90 T Bill 0.6%1.9%1.9%1.0%0.6%0.4%

Portfolio

Position Details as of 31 Dec 2018

Cash 40,458,244
Market Value Long 61,748,839
Market Value Short -60,630,042
Net Positional Value 1,118,797
NAV 41,577,042
Net Exposure 2.69%
Leverage 2.94
Long Positions 101
Short Positions 118
Total 218

Characteristics as of 31 Dec 2018

Long Portfolio Short Portfolio MSCI World
No. of Exposures 101 118 1633
Wtd Avg Mkt Cap (Mn $US) $46,493 $12,436 $121,184
FY2 Price/Earnings 8.7 14.3 13.3
Price/Book Value 1.3 1.6 2.2
Return on Equity (%) 16.1 7.4 19.4

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 2018

Long Exposure (%)Short Exposure (%)Net Exposure (%)
Industrials30.27-23.886.39
Energy6.08-1.454.63
Telecommunication Services14.01-10.613.40
Consumer Discretionary16.96-14.522.44
Financials29.18-28.310.87
Information Technology13.54-13.310.23
Health Care10.14-10.010.13
Materials13.85-14.98-1.13
Real Estate3.44-8.03-4.59
Consumer Staples2.02-6.65-4.63
Utilities9.79-14.61-4.82

Country Exposure as of 31 Dec 2018

Long Exposure (%)Short Exposure (%)Net Exposure (%)
China15.30-7.807.50
Switzerland7.45-0.377.08
Canada11.69-7.124.57
United Kingdom15.57-11.653.92
Germany6.69-3.243.45
Netherlands2.570.002.57
New Zealand1.51-0.321.19
Sweden0.820.000.82
Ireland0.53-0.260.27
South Korea7.00-7.17-0.17
Belgium0.00-0.32-0.32
France2.63-2.99-0.36
Singapore1.67-2.33-0.66
Denmark0.00-0.76-0.76
Portugal0.00-0.99-0.99
Italy0.00-1.42-1.42
Norway0.00-1.64-1.64
Austria0.00-2.49-2.49
Spain0.00-2.73-2.73
Japan16.32-20.26-3.94
Hong Kong0.61-4.79-4.18
United States58.14-62.46-4.32
Australia0.76-5.27-4.51

TOP 10 Positions as of 31 Dec 2018

Top Ten Long PositionsTop Ten Short Positions
CompanyEnding Weight (%)CompanyEnding Weight (%)
BHP Group Plc2.99%Kansai Paint Co., Ltd.-3.16%
Linde Plc2.98%Beazley Plc-2.94%
SK Telecom Co., Ltd.2.90%Samsung Heavy Industries Co., Ltd.-2.93%
Novartis AG2.90%United Utilities Group Plc-2.91%
International Speedway Corp.2.86%Maruichi Steel Tube Ltd.-2.87%
Japan Airlines Co., Ltd.2.85%Snap, Inc.-2.84%
China Mobile Ltd.2.84%Healthcare Services Group, Inc.-2.81%
Oracle Corp.2.83%DENTSPLY SIRONA, Inc.-2.78%
Alaska Air Group, Inc.2.80%Keikyu Corp.-2.76%
Advance Auto Parts, Inc.2.78%Avanos Medical, Inc.-2.76%

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 integrates fundamental and quantitative research 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'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 Fund typically has 60-120 long exposures and 60-140 short exposures.

Commentary

PERFORMANCE REVIEW for the month ended 31 Dec 2018


Causeway Global Absolute Return Fund (“Fund”) outperformed the ICE BofAML US 3-Month Treasury Bill Index in the month of December. The Fund’s outperformance was driven by the long portfolio: the Fund’s long portfolio outperformed the MSCI World Index (“World Index”). However, the Fund’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 Fund 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 Fund, 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 Fund'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 Fund’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 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

2018$0.8783
2017$0.0000
2016$1.0925
2015$0.3858
2014$0.0000
2013 $0.4332
2012 $0.2807
2011 $0.1015
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Short-term Capital Gains

2018$0.0000
2017$0.0000
2016$0.0000
2015$0.0000
2014$0.0000
2013 $0.0000
2012 $0.0000
2011 $0.3053
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Long-term Capital Gains

2018$0.0000
2017$0.0000
2016$0.0000
2015$0.0000
2014$0.0000
2013 $0.0000
2012 $0.0000
2011 $0.0000
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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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Duration of Election and Consent

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