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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 20 Feb 2019)

$8.71, +0.02

YTD

-2.90%

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 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$5,000
Sales ChargeNone
Net Expense Ratio1.77%
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
CGAVX 0.4%0.4%8.4%3.2%1.2%2.8%
ICE BofAML 90 T Bill 0.2%0.2%2.0%1.1%0.7%0.5%
Fund Quarter to Date Year to Date 1 Year3 Year5 Year Since Inception
CGAVX 1.5%8.9%8.9%3.5%0.9%2.8%
ICE BofAML 90 T Bill 0.6%1.9%1.9%1.0%0.6%0.4%

Portfolio

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

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 Jan 2019

Long Exposure (%)Short Exposure (%)Net Exposure (%)
Industrials27.70-22.345.36
Energy9.20-4.135.07
Health Care11.16-8.302.86
Materials14.96-12.842.12
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
Financials32.79-36.78-3.99
Utilities11.83-17.12-5.29
Real Estate4.39-9.74-5.35

Country Exposure as of 31 Jan 2019

Long Exposure (%)Short Exposure (%)Net Exposure (%)
China17.26-8.438.83
Canada13.60-8.335.27
United Kingdom13.25-9.773.48
Netherlands2.830.002.83
Japan21.20-18.432.77
Sweden1.340.001.34
New Zealand1.28-0.281.00
France2.64-1.680.96
Switzerland6.24-5.310.93
Germany4.12-3.530.59
South Korea6.37-6.62-0.25
Belgium0.00-0.26-0.26
Denmark0.00-0.62-0.62
Italy0.00-1.25-1.25
Singapore0.67-2.33-1.66
Portugal0.00-2.25-2.25
United States65.67-68.74-3.07
Norway0.00-3.56-3.56
Hong Kong0.00-4.06-4.06
Spain0.00-4.51-4.51
Australia3.94-8.96-5.02

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.

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 Jan 2019


Causeway Global Absolute Return Fund (“Fund”) outperformed the ICE BofAML US 3-Month Treasury Bill Index in the month of January. The Fund’s outperformance was driven by the long portfolio: the Fund’s global long portfolio outperformed the MSCI World Index (“World Index”). The Fund’s global short portfolio also outperformed the World Index, though by a smaller margin, contributing negatively to overall performance.

Equity markets rebounded in January, boosted by more dovish signals from the US Federal Reserve on future interest rate hikes and improving rhetoric on US-China trade tensions. The top performing markets in our investable universe were Canada, China, South Korea, Belgium, and Austria. The worst performing markets were Denmark, Portugal, Ireland, Singapore, and Israel. The best performing sectors in the World Index were real estate, energy, and industrials. The worst performing sectors were consumer staples, utilities, and health care.

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 January, value was the only quantitative alpha factor category to demonstrate predictive power. Stocks with cheap valuations outperformed those with expensive valuations. However, stocks with improving earnings growth dynamics underperformed those with worsening dynamics, stocks with positive technical indicators underperformed those with negative technical indicators, and stocks demonstrating higher earnings quality underperformed those with lower earnings quality, contrary to expectations.

Within the long portfolio, attribution effects were strongest in the pharmaceuticals & biotechnology, diversified financials, and banks industry groups. Long-side attribution effects were weakest in the retailing, transportation, and consumer services industry groups. Long exposures that contributed most to performance were student loan services company, Navient Corp. (United States), global financial services giant, Citigroup, Inc. (United States), for-profit educator, K12, Inc. (United States), heavy truck manufacturer, Sinotruk Hong Kong Ltd. (China), and Takeda Pharmaceutical Co., Ltd. (Japan). Long exposures that detracted most from the Fund’s performance were specialty retail jeweler, Signet Group (United States), tax preparation company, H&R Block, Inc. (United States), electric utility, Tokyo Electric Power Co. Holdings, Inc. (Japan), wireless communications operator, SK Telecom Co., Ltd. (South Korea), and airline, Air New Zealand Ltd. (New Zealand).

Within the short portfolio, attribution effects were weakest in the software & services, pharmaceuticals & biotechnology, and health care equipment & services industry groups. Short-side attribution effects were strongest in the materials, retailing, and banks industry groups. Short exposures that detracted most from the Fund’s performance included shipbuilder, Samsung Heavy Industries Co., Ltd. (South Korea), technology & camera company, Snap, Inc. (United States), water company, United Utilities Group Plc (United Kingdom), investment bank, Moelis & Co. (United States), and financial services provider, Pacific Premier Bancorp, Inc. (United States). Short exposures that contributed most to performance were chemicals producer, Kansai Paint Co., Ltd. (Japan), automobile retailer,China Zhengtong Auto Services Holdings (China), engineering & construction company, Snc-Lavalin Group (Canada), retail bank, Metro Bank Plc (United Kingdom), and telecommunication services provider, Iliad SA (France).

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$0.8637
2017$0.0000
2016$1.0639
2015$0.3553
2014$0.0000
2013 $0.4126
2012 $0.2586
2011 $0.0948
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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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