Our full alpha-generating capabilities, seeking lower volatility and low or no equity market correlation

Causeway's Global Absolute Return (GAR) strategy is designed for clients who want returns while seeking lower volatility than the MSCI World Index and low equity market correlation with the MSCI World Index. 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.

ICE BoAML 3-Month US TBill
February 28, 2011

Strategy overview

The portfolio managers discuss our Global Absolute Return strategy.

Portfolio managers

Chief Executive Officer
Fundamental Portfolio Manager
Head of Fundamental Research
Fundamental Portfolio Manager
Fundamental Portfolio Manager
Fundamental Portfolio Manager
Fundamental Portfolio Manager
Fundamental Portfolio Manager
Fundamental Portfolio Manager
Fundamental Portfolio Manager
Head of Quantitative Research
Quantitative Portfolio Manager
Quantitative Portfolio Manager
Quantitative Portfolio Manager


QTD YTD 1 year3 years5 years Since inception
Strategy (gross) -6.8%-12.7%-3.0%-1.3%-0.2%2.9%
Strategy (net) -6.9%-13.2%-4.1%-2.6%-1.6%1.4%
ICE BoAML 3-Month US TBill 0.4%1.0%2.3%1.3%0.8%0.5%
QTD YTD 1 year3 years5 years Since inception
Strategy (gross) -6.8%-12.7%-3.0%-1.3%-0.2%2.9%
Strategy (net) -6.9%-13.2%-4.1%-2.6%-1.6%1.4%
ICE BoAML 3-Month US TBill 0.4%1.0%2.3%1.3%0.8%0.5%
QTD YTD 1 year3 years5 years Since inception
Strategy (gross) -6.4%-6.4%4.4%2.4%1.2%3.8%
Strategy (net) -6.7%-6.7%3.2%1.1%-0.2%2.3%
ICE BoAML 3-Month US TBill 0.6%0.6%2.1%1.2%0.7%0.5%
QTD YTD 1 year3 years5 years Since inception
Strategy (gross) -6.4%-6.4%4.4%2.4%1.2%3.8%
Strategy (net) -6.7%-6.7%3.2%1.1%-0.2%2.3%
ICE BoAML 3-Month US TBill 0.6%0.6%2.1%1.2%0.7%0.5%
Fund 2018201720162015201420132012
Strategy (gross) 10.8%-6.5%13.1%-3.6%1.9%14.5%-1.9%
Strategy (net) 10.8%-6.5%13.2%-3.6%1.7%14.3%-1.8%
ICE BoAML 3-Month US TBill 9.0%-8.2%11.2%-5.2%0.1%12.5%-3.7%
Strategy (gross)
Strategy (net)
ICE BoAML 3-Month US TBill

Portfolio (as of May 31, 2019)

Benchmark: MSCI World
Position Details
Cash 43,796,694
Market value (long) 66,029,861
Market value (short) -66,626,815
Net positional value -596,954
NAV 43,199,740
Net exposure -1.38%
Leverage 3.07
Long positions 99
Short positions 123
Total 222
Strategy Charcterisics
Long portfolio Short portfolio Benchmark
No. of exposures 99 123 1654
Weighted avg. market cap (US $MM) $48,759 $10,775 $136,607
FY2 price/earnings 9.0 15.5 14.0
Price/book value 1.3 1.6 2.3
Return on equity (%) 16.3 4.0 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.

Holdings are subject to change.

Top 10 Long Exposures
CompanyEnding weight
KDDI Corp. 3.25%
Coca-Cola Amatil Ltd. 3.08%
Viacom, Inc. 3.06%
FirstEnergy Corp. 2.99%
Microsoft Corp. 2.99%
Genworth Mi Canada 2.96%
Gildan Activewear 2.95%
H&R Block, Inc. 2.93%
Manulife Financial 2.91%
BHP Group Plc 2.89%
Top 10 Short Exposures
CompanyEnding weight
Cellnex Telecom SA -3.19%
Markel Corp. -3.18%
Électricité de France SA -3.08%
Aqua America, Inc. -3.08%
Premium Brands Holdings -2.99%
SiteOne Landscape Supply, Inc. -2.98%
Beazley Plc -2.97%
Kansai Paint Co., Ltd. -2.94%
The Howard Hughes Corp. -2.92%
Bayerische Motoren Werke AG -2.91%
Sector Exposure
Sector Long exposure Short exposure Net exposure
Health Care10.9%-5.5%5.40%
Information Technology14.6%-12.4%2.20%
Consumer Discretionary14.8%-13.1%1.70%
Communication Services13.2%-11.5%1.70%
Consumer Staples5.2%-9.9%-4.70%
Real Estate6.0%-10.8%-4.80%
Country Exposure
Country Long exposure Short exposure Net exposure
China 19.3% -9.4% 9.90%
Canada 13.8% -8.9% 4.90%
United Kingdom 13.9% -10.0% 3.90%
Netherlands 2.9% 0.0% 2.90%
Switzerland 7.1% -5.0% 2.10%
South Korea 7.7% -5.7% 2.00%
Germany 4.7% -3.4% 1.30%
New Zealand 1.2% -0.3% 0.90%
Sweden 0.8% 0.0% 0.80%
France 2.9% -2.3% 0.60%
Belgium 0.0% -0.3% -0.30%
Denmark 0.0% -0.7% -0.70%
Singapore 1.4% -2.5% -1.10%
Italy 0.0% -1.4% -1.40%
United States 64.2% -65.7% -1.50%
Portugal 0.0% -2.3% -2.30%
Japan 20.3% -23.1% -2.80%
Hong Kong 0.0% -4.3% -4.30%
Norway 0.0% -4.5% -4.50%
Spain 0.0% -4.7% -4.70%
Australia 4.2% -8.9% -4.70%
Regional Allocation
Long exposure Short exposure Net exposure
Europe - Other25.5%-14.1%7.5%
North America70.6%-70.7%3.0%

Commentary (As of April 30, 2019)


  • Increasingly dovish commentary from the US Federal Reserve and the European Central Bank, along with progress on US-China trade negotiations, supported equity markets in March.

Portfolio attribution

The Portfolio underperformed the ICE BofAML US 3-Month Treasury Bill Index in the month of March. The Portfolio's underperformance was driven by the long portfolio: the Portfolio's long portfolio underperformed the MSCI World Index (“World Index”). The Portfolio's short portfolio contributed positively to overall performance by underperforming the World Index, though by a smaller margin than the long portfolio.

The Portfolio 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 Portfolio, 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 March, our growth and technical factor categories demonstrated predictive power. Stocks with improving earnings growth dynamics outperformed those with worsening dynamics, and stocks with positive technical indicators outperformed those with negative technical indicators. However, returns to value were negative as stocks with cheap valuations underperformed those with expensive valuations, contrary to expectations. Stocks demonstrating higher earnings quality performed in line with those having lower earnings quality.

Investment outlook

With abundant liquidity underpinning the demand for investable assets, long duration equities responded favorably to the dovish policy indications from the Fed. Investors appear indifferent to valuation, focusing instead on growth and the promise of earnings and cash flow further into the future. Money remains cheap, facilitating more public and private sector financial leverage. As investors are willing to pay sizable valuation multiples for growth, companies that must restructure operationally to expand earnings are having a tough time attracting investor interest. From a fundamental perspective, we are most interested in undervalued stocks, often in cyclical industries, with managements committed to streamlining operations. We prefer companies that reward shareholders with generous dividend payments and/or share buybacks. We believe these efforts to boost profitability through cost savings and revenue enhancements should position these companies well in times of leaner global growth.

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 moutes@causewaycap.com.