UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number | 811-08234 | ||||||||
| |||||||||
TIFF Investment Program, Inc. | |||||||||
(Exact name of registrant as specified in charter) | |||||||||
| |||||||||
590 Peter Jefferson Parkway, Suite 250, Charlottesville, VA |
| 22911 | |||||||
(Address of principal executive offices) |
| (Zip code) | |||||||
| |||||||||
Richard J. Flannery | |||||||||
(Name and address of agent for service) | |||||||||
| |||||||||
with a copy to: | |||||||||
| |||||||||
Registrant’s telephone number, including area code: | 434-817-8200 |
| |||||||
| |||||||||
Date of fiscal year end: | 12/31/2006 |
| |||||||
| |||||||||
Date of reporting period: | 1/1/2006 - 6/30/2006 |
| |||||||
Item 1. Reports to Stockholders.
SEMI-ANNUAL REPORT | ||
JUNE 30, 2006 (UNAUDITED) | A Report of the TIFF INVESTMENT PROGRAM | |
ABOUT TIFF |
The Investment Fund for Foundations (TIFF) was founded in 1991 by a nationwide network of foundations. Its mission is to seek to improve the investment returns of eligible organizations by making available to them a series of multi-manager investment vehicles plus resources aimed at enhancing fiduciaries’ knowledge of investing.
TIFF MUTUAL FUNDS |
TIFF Investment Program, Inc. (TIP) comprises a family of multi-manager, no-load mutual funds available primarily to foundations, endowments, other 501(c)(3) organizations and certain other non-profit organizations meeting specified accreditation requirements. TIP consists of five mutual funds at present: TIFF Multi-Asset Fund (MAF), TIFF International Equity Fund (IEF), TIFF US Equity Fund (USEF), TIFF Government Bond Fund (GBF), and TIFF Short-Term Fund (STF). TIFF Advisory Services, Inc. (TAS) serves as the investment advisor to the funds.
As investment advisor to the funds, TAS has responsibility for the time-intensive task of selecting money managers and other vendors. And, for MAF, TAS has responsibility for the all-important task of asset allocation within the marketable investments’ sector.
FINANCIAL STATEMENTS |
TIP is pleased to provide this Semi-Annual Report for the period ended June 30, 2006. Discussion of the performance of the mutual funds has been provided to members via the TIFF Marketable Investments quarterly reports.
FOR FURTHER INFORMATION |
As always, we would welcome the opportunity to discuss any aspect of TIFF’s services as well as answer any questions about these financial reports. For further information about TIFF, please call us at 434-817-8200 or visit our Website at www.tiff.org.
August 29, 2006
CONTENTS |
|
|
|
TIFF Multi-Asset Fund |
|
|
|
| 3 |
| |
TIFF International Equity Fund |
|
|
|
| 14 |
| |
TIFF US Equity Fund |
|
|
|
| 19 |
| |
TIFF Government Bond Fund |
|
|
|
| 23 |
| |
TIFF Short-Term Fund |
|
|
|
| 24 |
| |
| 25 |
| |
| 27 |
| |
| 29 |
| |
| 32 |
| |
| 33 |
| |
| 38 |
| |
| 55 |
| |
Additional Information |
| 57 |
|
Approval of the Investment Advisory and Money Manager Agreements |
| 58 |
|
| 61 |
|
Copyright © 2006 n All rights reserved n This report may not be reproduced or distributed without written permission from TIFF.
June 30, 2006 |
Number |
|
|
|
|
|
of Shares |
|
|
| Value + |
|
|
| Common Stocks — 37.5% |
|
|
|
|
| US Common Stocks — 16.8% |
|
|
|
|
| Aerospace and Defense — 0.2% |
|
|
|
8,700 |
| Lockheed Martin Corp. |
| $624,138 |
|
8,200 |
| Northrop Grumman Corp. |
| 525,292 |
|
21,500 |
| Raytheon Co. |
| 958,255 |
|
|
|
|
| 2,107,685 |
|
|
| Airlines — 0.2% |
|
|
|
55,300 |
| AMR Corp.* |
| 1,405,726 |
|
44,400 |
| Northwest Airlines Corp.* |
| 24,864 |
|
13,400 |
| US Airways Group, Inc.* |
| 677,236 |
|
|
|
|
| 2,107,826 |
|
|
| Apparel — 0.0%(h) |
|
|
|
2,900 |
| Nike, Inc., Class B |
| 234,900 |
|
|
|
|
|
|
|
|
| Auto Manufacturers and Parts — 0.1% |
|
|
|
48,600 |
| Ford Motor Co. |
| 336,798 |
|
6,400 |
| Paccar, Inc. |
| 527,232 |
|
|
|
|
| 864,030 |
|
|
| Banking — 0.8% |
|
|
|
102,500 |
| Bank of America Corp. |
| 4,930,157 |
|
13,300 |
| Keycorp |
| 474,544 |
|
114,600 |
| Mellon Financial Corp. |
| 3,945,678 |
|
5,300 |
| National City Corp. |
| 191,754 |
|
5,400 |
| UnionBanCal Corp. |
| 348,786 |
|
8,000 |
| Wachovia Corp. |
| 432,640 |
|
8,200 |
| Wells Fargo & Co. |
| 550,056 |
|
|
|
|
| 10,873,615 |
|
|
| Beverages, Food and Tobacco — 0.7% |
|
|
|
23,800 |
| Altria Group, Inc. |
| 1,747,634 |
|
6,100 |
| Campbell Soup Co. |
| 226,371 |
|
4,400 |
| Coca-Cola Co. (The) |
| 189,288 |
|
89,600 |
| ConAgra Foods, Inc. |
| 1,981,056 |
|
10,800 |
| General Mills, Inc. |
| 557,928 |
|
65,000 |
| H.J. Heinz Co. |
| 2,679,300 |
|
24,500 |
| Kroger Co. (The) |
| 535,570 |
|
9,700 |
| PepsiCo, Inc. |
| 582,388 |
|
4,600 |
| Reynolds American, Inc. |
| 530,380 |
|
5,100 |
| Safeway, Inc. |
| 132,600 |
|
|
|
|
| 9,162,515 |
|
|
| Biotechnology — 0.0%(h) |
|
|
|
10,900 |
| Amgen, Inc.* |
| 711,007 |
|
|
|
|
|
|
|
|
| Building Materials — 0.0%(h) |
|
|
|
6,900 |
| MASCO Corp. |
| 204,516 |
|
|
|
|
|
|
|
|
| Chemicals — 0.0%(h) |
|
|
|
2,900 |
| PPG Industries, Inc. |
| 191,400 |
|
4,000 |
| Rohm & Haas Co. |
| 200,480 |
|
|
|
|
| 391,880 |
|
|
| Coal — 0.2% |
|
|
|
33,800 |
| Consol Energy, Inc. |
| $1,579,136 |
|
24,700 |
| Massey Energy Co. |
| 889,200 |
|
|
|
|
| 2,468,336 |
|
|
| Commercial Services — 0.3% |
|
|
|
100 |
| Cendant Corp. |
| 1,629 |
|
7,400 |
| Forrester Research, Inc.* |
| 207,052 |
|
4,000 |
| Learning Tree International, Inc.* |
| 35,080 |
|
3,350 |
| Live Nation, Inc.* |
| 68,206 |
|
10,100 |
| McKesson Corp. |
| 477,528 |
|
32,000 |
| Moody’s Corp. |
| 1,742,720 |
|
32,000 |
| Viad Corp. |
| 1,001,600 |
|
18,600 |
| Watson Wyatt Worldwide, Inc. |
| 649,512 |
|
|
|
|
| 4,183,327 |
|
|
| Computers — 0.5% |
|
|
|
4,700 |
| Computer Sciences Corp.* |
| 227,668 |
|
33,700 |
| Dell, Inc.* |
| 822,617 |
|
10,600 |
| DST Systems, Inc.* |
| 630,700 |
|
8,200 |
| Electronic Data Systems Corp. |
| 197,292 |
|
14,800 |
| EMC Corp.* |
| 162,356 |
|
58,300 |
| Gartner Group, Inc., Class A* |
| 827,860 |
|
74,100 |
| Hewlett-Packard Co. |
| 2,347,488 |
|
5,700 |
| IBM |
| 437,874 |
|
262,400 |
| Sun Microsystems, Inc.* |
| 1,088,960 |
|
|
|
|
| 6,742,815 |
|
|
| Cosmetics and Personal Care — 0.0%(h) |
|
|
|
9,100 |
| Estee Lauder Companies, Inc. (The), Class A |
| 351,897 |
|
2,900 |
| Procter & Gamble Co. |
| 161,240 |
|
|
|
|
| 513,137 |
|
|
| Electric Utilities — 0.1% |
|
|
|
4,600 |
| American Electric Power Co., Inc. |
| 157,550 |
|
3,800 |
| Constellation Energy Group, Inc. |
| 207,176 |
|
9,600 |
| Edison International |
| 374,400 |
|
4,400 |
| FirstEnergy Corp. |
| 238,524 |
|
6,300 |
| PG&E Corp. |
| 247,464 |
|
6,600 |
| PPL Corp. |
| 213,180 |
|
|
|
|
| 1,438,294 |
|
|
| Electrical Components and Equipment — 0.1% |
| ||
4,800 |
| Emerson Electric Co. |
| 402,288 |
|
43,500 |
| Superior Essex, Inc.* |
| 1,301,955 |
|
|
|
|
| 1,704,243 |
|
|
| Entertainment and Leisure — 0.0%(h) |
|
|
|
5,300 |
| International Game Technology |
| 201,082 |
|
5,200 |
| International Speedway Corp., Class A |
| 241,124 |
|
|
|
|
| 442,206 |
|
|
| Environmental Control — 0.0%(h) |
|
|
|
5,800 |
| Waste Management, Inc. |
| 208,104 |
|
|
|
|
|
|
|
|
| Financial Services — 1.3% |
|
|
|
59,300 |
| American Express Co. |
| 3,155,946 |
|
39,040 |
| Ameriprise Financial, Inc. |
| 1,742,746 |
|
1,500 |
| Bear Stearns Companies, Inc. (The) |
| 210,120 |
|
8,000 |
| CIT Group, Inc. |
| 418,320 |
|
|
|
|
|
|
|
3
TIFF MULTI-ASSET FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) | June 30, 2006 |
96,500 |
| Citigroup, Inc. |
| $4,655,160 |
|
14,500 |
| Countrywide Financial Corp. |
| 552,160 |
|
7,300 |
| Goldman Sachs Group, Inc. |
| 1,098,139 |
|
16,800 |
| JPMorgan Chase & Co. |
| 705,600 |
|
9,600 |
| Lehman Brothers Holdings, Inc. |
| 625,440 |
|
10,700 |
| Merrill Lynch & Co., Inc. |
| 744,292 |
|
52,900 |
| Morgan Stanley |
| 3,343,809 |
|
|
|
|
| 17,251,732 |
|
|
| Forest Products and Paper — 0.3% |
|
|
|
132,900 |
| International Paper Co. |
| 4,292,670 |
|
|
|
|
|
|
|
|
| Healthcare Products — 0.1% |
|
|
|
16,000 |
| Johnson & Johnson |
| 958,720 |
|
|
|
|
|
|
|
|
| Healthcare Services — 0.1% |
|
|
|
11,500 |
| Aetna, Inc. |
| 459,195 |
|
5,400 |
| Caremark Rx, Inc. |
| 269,298 |
|
|
|
|
| 728,493 |
|
|
| Heavy Machinery — 0.0%(h) |
|
|
|
7,200 |
| Caterpillar, Inc. |
| 536,256 |
|
|
|
|
|
|
|
|
| Home Builders — 0.0%(h) |
|
|
|
57,500 |
| Fleetwood Enterprises, Inc.* |
| 433,550 |
|
|
|
|
|
|
|
|
| Household Products and Wares — 0.2% |
|
|
|
43,200 |
| American Greetings Corp., Class A |
| 907,632 |
|
2,400 |
| Clorox Co. (The) |
| 146,328 |
|
7,900 |
| Kimberly-Clark Corp. |
| 487,430 |
|
29,400 |
| Scotts Miracle-Gro Co. (The) |
| 1,244,208 |
|
|
|
|
| 2,785,598 |
|
|
| Insurance — 0.4% |
|
|
|
11,500 |
| Allstate Corp. (The) |
| 629,395 |
|
669 |
| Berkshire Hathaway, Inc., Class B* |
| 2,035,767 |
|
12,300 |
| Loews Corp. |
| 436,035 |
|
13,000 |
| MBIA, Inc. |
| 761,150 |
|
15,500 |
| Mercury General Corp. |
| 873,735 |
|
7,900 |
| MGIC Investment Corp. |
| 513,500 |
|
8,700 |
| Principal Financial Group |
| 484,155 |
|
|
|
|
| 5,733,737 |
|
|
| Internet — 0.2% |
|
|
|
14,900 |
| Amazon.com, Inc.* |
| 576,183 |
|
18,900 |
| Blue Nile, Inc.* |
| 607,824 |
|
30,250 |
| Liberty Media Holding Corp., Interactive Series A (Tracking Stock)*@ |
| 522,115 |
|
26,500 |
| Priceline.com, Inc.* |
| 791,290 |
|
|
|
|
| 2,497,412 |
|
|
| Lodging — 0.2% |
|
|
|
32,700 |
| Hilton Hotels Corp. |
| 924,756 |
|
30,300 |
| Starwood Hotels & Resorts Worldwide, Inc. |
| 1,828,302 |
|
|
|
|
| 2,753,058 |
|
|
|
|
|
|
|
|
| Media — 1.0% |
|
|
|
36,361 |
| Cablevision Systems Corp. |
| 779,943 |
|
6,800 |
| CBS Corp., Class A |
| 184,008 |
|
126,200 |
| CBS Corp., Class B |
| $3,413,710 |
|
40,600 |
| Clear Channel Communications, Inc. |
| 1,256,570 |
|
37,400 |
| Comcast Corp., Class A* |
| 1,225,972 |
|
23,900 |
| DIRECTV Group, Inc. (The)* |
| 394,350 |
|
39,100 |
| Discovery Holding Co., Class A* |
| 572,033 |
|
15,700 |
| Dow Jones & Co., Inc. |
| 549,657 |
|
51,815 |
| Hollinger International, Inc.* |
| 416,074 |
|
58,867 |
| Liberty Global, Inc., Class A* |
| 1,265,641 |
|
58,867 |
| Liberty Global, Inc., Class C* |
| 1,210,894 |
|
6,050 |
| Liberty Media Holding Corp., Capital Series A (Tracking Stock)*@ |
| 506,809 |
|
6,400 |
| McGraw-Hill Companies, Inc. (The) |
| 321,472 |
|
10,300 |
| News Corp., Class A |
| 197,554 |
|
284,900 |
| Primedia, Inc.* |
| 521,367 |
|
47,900 |
| Time Warner, Inc. |
| 828,670 |
|
5,800 |
| Univision Communications, Inc., Class A* |
| 194,300 |
|
6,800 |
| Viacom, Inc., Class A* |
| 244,460 |
|
|
|
|
| 14,083,484 |
|
|
| Metals and Mining — 0.8% |
|
|
|
191,900 |
| Alcoa, Inc. |
| 6,209,884 |
|
37,200 |
| Freeport-McMoRan Copper & Gold, Inc., Class B |
| 2,061,252 |
|
35,300 |
| Newmont Mining Corp. |
| 1,868,429 |
|
9,800 |
| Nucor Corp. |
| 531,650 |
|
|
|
|
| 10,671,215 |
|
|
| Miscellaneous Manufacturing — 0.4% |
|
|
|
3,800 |
| Eaton Corp. |
| 286,520 |
|
103,900 |
| General Electric Co. |
| 3,424,544 |
|
4,600 |
| Honeywell International, Inc. |
| 185,380 |
|
8,600 |
| Illinois Tool Works, Inc. |
| 408,500 |
|
11,000 |
| Ingersoll-Rand Co. Ltd. |
| 470,580 |
|
|
|
|
| 4,775,524 |
|
|
| Office and Business Equipment — 0.2% |
|
|
|
14,900 |
| Pitney Bowes, Inc. |
| 615,370 |
|
110,500 |
| Xerox Corp.* |
| 1,537,055 |
|
|
|
|
| 2,152,425 |
|
|
| Oil and Gas — 2.4% |
|
|
|
6,600 |
| Anadarko Petroleum Corp. |
| 314,754 |
|
51,000 |
| Chevron Corp. |
| 3,165,060 |
|
48,824 |
| ConocoPhillips |
| 3,199,437 |
|
8,900 |
| Devon Energy Corp. |
| 537,649 |
|
49,400 |
| EOG Resources, Inc. |
| 3,425,396 |
|
98,260 |
| Exxon Mobil Corp. |
| 6,028,251 |
|
19,475 |
| GlobalSantaFe Corp. |
| 1,124,681 |
|
7,200 |
| Hess Corp. |
| 380,520 |
|
4,600 |
| Marathon Oil Corp. |
| 383,180 |
|
7,100 |
| Nabors Industries Ltd. |
| 239,909 |
|
26,400 |
| Newfield Exploration Co.* |
| 1,292,016 |
|
27,000 |
| Noble Energy, Inc. |
| 1,265,220 |
|
3,100 |
| Sunoco, Inc. |
| 214,799 |
|
16,300 |
| Transocean, Inc.* |
| 1,309,216 |
|
93,600 |
| Valero Energy Corp. |
| 6,226,272 |
|
69,366 |
| XTO Energy, Inc. |
| 3,070,833 |
|
|
|
|
| 32,177,193 |
|
|
| Oil and Gas Services — 0.2% |
|
|
|
16,900 |
| Baker Hughes, Inc. |
| 1,383,265 |
|
23,400 |
| Halliburton Co. |
| 1,736,514 |
|
|
|
|
| 3,119,779 |
|
|
|
|
|
|
|
4
TIFF MULTI-ASSET FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) | June 30, 2006 |
|
| Pharmaceuticals — 1.1% |
|
|
|
9,900 |
| Abbott Laboratories |
| $431,739 |
|
9,100 |
| AmerisourceBergen Corp. |
| 381,472 |
|
28,300 |
| Bristol-Myers Squibb Co. |
| 731,838 |
|
9,100 |
| Cardinal Health, Inc. |
| 585,403 |
|
4,700 |
| Forest Laboratories, Inc.* |
| 181,843 |
|
112,500 |
| Merck & Co., Inc. |
| 4,098,375 |
|
191,700 |
| Pfizer, Inc. |
| 4,499,199 |
|
89,700 |
| Schering-Plough Corp. |
| 1,706,991 |
|
61,700 |
| Wyeth |
| 2,740,097 |
|
|
|
|
| 15,356,957 |
|
|
| Pipelines — 0.2% |
|
|
|
25,800 |
| Equitable Resources, Inc. |
| 864,300 |
|
25,200 |
| Western Gas Resources, Inc. |
| 1,508,220 |
|
|
|
|
| 2,372,520 |
|
|
| Real Estate — 1.6% |
|
|
|
32,800 |
| Acadia Realty Trust - REIT |
| 775,720 |
|
19,400 |
| BRE Properties, Inc. - REIT |
| 1,067,000 |
|
18,800 |
| Camden Property Trust - REIT |
| 1,382,740 |
|
66,000 |
| Digital Realty Trust, Inc. - REIT |
| 1,624,260 |
|
9,700 |
| Essex Property Trust Inc. - REIT |
| 1,083,102 |
|
33,100 |
| Forest City Enterprises, Inc., |
| 1,652,021 |
|
19,400 |
| Highwood Properties, Inc. - REIT |
| 701,892 |
|
29,900 |
| Maguire Properties, Inc. - REIT |
| 1,051,583 |
|
18,900 |
| Mid-America Apartment Communities, Inc. - REIT |
| 1,053,675 |
|
32,100 |
| Prologis REIT |
| 1,673,052 |
|
29,700 |
| Reckson Associates Realty Corp. - REIT |
| 1,228,986 |
|
21,900 |
| Simon Property Group, Inc. - REIT |
| 1,816,386 |
|
9,300 |
| SL Green Realty Corp. - REIT |
| 1,018,071 |
|
28,900 |
| Strategic Hotels & Resorts, Inc. - REIT |
| 599,386 |
|
6,300 |
| Taubman Centers, Inc. - REIT |
| 257,670 |
|
48,800 |
| Trizec Properties, Inc. - REIT |
| 1,397,632 |
|
54,394 |
| Ventas, Inc. - REIT |
| 1,842,869 |
|
9,300 |
| Vornado Realty Trust - REIT |
| 907,215 |
|
|
|
|
| 21,133,260 |
|
|
| Retail — 0.6% |
|
|
|
54,000 |
| 99 Cents Only Stores* |
| 564,840 |
|
105,700 |
| Blockbuster, Inc., Class B* |
| 464,023 |
|
76,000 |
| Costco Wholesale Corp. |
| 4,341,880 |
|
12,700 |
| Home Depot, Inc. |
| 454,533 |
|
8,200 |
| JC Penney Co., Inc. |
| 553,582 |
|
3,300 |
| Kohl’s Corp.* |
| 195,096 |
|
16,700 |
| Limited Brands, Inc. |
| 427,353 |
|
13,200 |
| Office Depot, Inc.* |
| 501,600 |
|
8,400 |
| Starbucks Corp.* |
| 317,184 |
|
8,600 |
| Yum! Brands, Inc. |
| 432,322 |
|
|
|
|
| 8,252,413 |
|
|
| Semiconductors — 0.1% |
|
|
|
38,180 |
| Agere Systems, Inc.* |
| 559,337 |
|
8,000 |
| Freescale Semiconductor, Inc., Class B* |
| 235,200 |
|
18,800 |
| Intel Corp. |
| 356,260 |
|
22,500 |
| Texas Instruments, Inc. |
| 681,525 |
|
|
|
|
| 1,832,322 |
|
|
| Software — 0.7% |
|
|
|
8,800 |
| Fiserv, Inc.* |
| 399,168 |
|
48,600 |
| IMS Health, Inc. |
| 1,304,910 |
|
8,200 |
| Intuit, Inc.* |
| 495,198 |
|
214,900 |
| Microsoft Corp. |
| $5,007,170 |
|
147,800 |
| Oracle Corp.* |
| 2,141,622 |
|
|
|
|
| 9,348,068 |
|
|
| Telecommunications — 1.3% |
|
|
|
35,000 |
| Alltel Corp. |
| 2,234,050 |
|
54,000 |
| American Tower Corp., Class A* |
| 1,680,480 |
|
15,900 |
| BellSouth Corp. |
| 575,580 |
|
129,900 |
| Cincinnati Bell, Inc.* |
| 532,590 |
|
51,700 |
| Cisco Systems, Inc.* |
| 1,009,701 |
|
30,800 |
| Crown Castle International Corp.* |
| 1,063,832 |
|
3,479 |
| Embarq Corp. |
| 142,604 |
|
119,600 |
| Level 3 Communications, Inc.* |
| 492,752 |
|
403,000 |
| Lucent Technologies, Inc.* |
| 975,260 |
|
13,700 |
| NII Holdings, Inc., Class B* |
| 772,406 |
|
8,200 |
| Qualcomm, Inc. |
| 328,574 |
|
78,400 |
| SBA Communications Corp.* |
| 2,049,376 |
|
69,585 |
| Sprint Nextel Corp. |
| 1,391,004 |
|
134,100 |
| Verizon Communications, Inc. |
| 4,491,009 |
|
|
|
|
| 17,739,218 |
|
|
| Transportation — 0.2% |
|
|
|
4,100 |
| CSX Corp. |
| 288,804 |
|
3,900 |
| FedEx Corp. |
| 455,754 |
|
50,500 |
| Kansas City Southern* |
| 1,398,850 |
|
|
|
|
| 2,143,408 |
|
|
| Total US Common Stocks |
| 227,487,448 |
|
|
| Foreign Common Stocks — 20.7% |
|
|
|
|
| Australia — 1.0% |
|
|
|
375,615 |
| Alumina Ltd. |
| 1,883,467 |
|
323,256 |
| Amcor Ltd. |
| 1,602,682 |
|
22,857 |
| Australia and New Zealand Banking Group Ltd. |
| 452,647 |
|
12,000 |
| Caltex Australia Ltd. |
| 210,598 |
|
169,811 |
| Coles Myer Ltd. |
| 1,432,094 |
|
415,273 |
| Foster’s Group Ltd. |
| 1,688,244 |
|
20,000 |
| Iluka Resources Ltd. |
| 97,563 |
|
131,961 |
| National Australia Bank Ltd. |
| 3,438,594 |
|
22,000 |
| Rinker Group Ltd. |
| 268,573 |
|
73,442 |
| Santos Ltd. |
| 660,467 |
|
643,536 |
| Telstra Corp. Ltd. |
| 1,760,947 |
|
|
|
|
| 13,495,876 |
|
|
| Belgium — 0.1% |
|
|
|
59,000 |
| Fortis |
| 2,009,282 |
|
|
| Brazil — 0.9% |
|
|
|
38,400 |
| Cia Siderurgica Nacional SA - ADR† |
| 1,236,480 |
|
245,000 |
| Cia Vale do Rio Doce - ADR† |
| 5,042,100 |
|
77,086 |
| Cia Vale do Rio Doce - ADR† |
| 1,853,147 |
|
32,700 |
| Petroleo Brasileiro SA - ADR† |
| 2,920,437 |
|
47,100 |
| Votorantim Celulose e Papel SA - ADR† |
| 733,818 |
|
|
|
|
| 11,785,982 |
|
|
| Canada — 3.7% |
|
|
|
48,500 |
| Abitibi-Consolidated, Inc. - NYSE Shares |
| 132,890 |
|
90,300 |
| Abitibi-Consolidated, Inc. - TSE Shares |
| 244,405 |
|
24,000 |
| ACE Aviation Holdings, Inc., Class A* |
| 672,242 |
|
22,000 |
| Alcan, Inc. |
| 1,034,421 |
|
32,316 |
| Barrick Gold Corp. |
| 956,554 |
|
5
TIFF MULTI-ASSET FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) | June 30, 2006 |
7,000 |
| BCE, Inc. - NYSE Shares* |
| $165,550 |
| |
21,500 |
| BCE, Inc. - TSE Shares* |
| 509,999 |
| |
87,700 |
| Boardwalk - REIT |
| 1,930,102 |
| |
584,700 |
| Bombardier, Inc., Class B* |
| 1,635,120 |
| |
3,300 |
| BPO Properties Ltd. |
| 128,601 |
| |
9,900 |
| Brookfield Asset Management, Inc., Class A |
| 402,138 |
| |
38,300 |
| Brookfield Properties Corp. |
| 1,232,111 |
| |
121,200 |
| Cameco Corp. |
| 4,844,364 |
| |
125,000 |
| Canadian Natural Resources Ltd. |
| 6,937,326 |
| |
10,300 |
| EnCana Corp. - NYSE Shares |
| 542,192 |
| |
111,000 |
| EnCana Corp. - TSE Shares |
| 5,866,900 |
| |
27,300 |
| Fraser Papers, Inc.* |
| 186,566 |
| |
130,800 |
| Huntingdon Real Estate Investment |
| 246,992 |
| |
49,700 |
| Imperial Oil Ltd. |
| 1,822,467 |
| |
29,300 |
| Inco Ltd.* |
| 1,930,870 |
| |
409,900 |
| Nortel Networks Corp.* |
| 914,083 |
| |
3,800 |
| Novelis, Inc. |
| 81,529 |
| |
9,200 |
| Onex Corp. |
| 184,149 |
| |
9,600 |
| Petro-Canada - NYSE Shares |
| 455,136 |
| |
40,142 |
| Petro-Canada - TSE Shares |
| 1,911,627 |
| |
103,300 |
| Retirement Residences - REIT |
| 707,605 |
| |
16,100 |
| RioCan - REIT |
| 312,179 |
| |
49,900 |
| Rogers Communications, Inc., Class B |
| 2,015,115 |
| |
46,484 |
| Suncor Energy, Inc. |
| 3,776,067 |
| |
21,000 |
| Talisman Energy, Inc. - NYSE Shares |
| 367,080 |
| |
290,100 |
| Talisman Energy, Inc. - TSE Shares |
| 5,081,511 |
| |
89,487 |
| Western Oil Sands, Inc., Class A* |
| 2,489,639 |
| |
|
|
|
| 49,717,530 |
| |
|
| China — 0.3% |
|
|
| |
18,800 |
| Aluminum Corp. of China Ltd. - ADR† |
| 1,404,360 |
| |
20,800 |
| China Petroleum & Chemical |
| 1,191,709 |
| |
1,800,000 |
| China Telecom Corp. Ltd. |
| 581,167 |
| |
212,000 |
| Tsingtao Brewery Co. Ltd. |
| 236,353 |
| |
|
|
|
| 3,413,589 |
| |
|
| Denmark — 0.1% |
|
|
| |
5,800 |
| Coloplast A/S, Class B |
| 429,754 |
| |
13,833 |
| Vestas Wind Systems A/S* |
| 376,713 |
| |
8,300 |
| William Demant Holding* |
| 619,261 |
| |
|
|
|
| 1,425,728 |
| |
|
| Finland — 0.3% |
|
|
| |
23,400 |
| Metso Oyj |
| 848,807 |
| |
40,300 |
| Sampo Oyj, Class A |
| 767,821 |
| |
10,300 |
| Tietoenator Oyj |
| 296,801 |
| |
69,968 |
| UPM-Kymmene Oyj |
| 1,502,570 |
| |
|
|
|
| 3,415,999 |
| |
|
| France — 1.1% |
|
|
|
|
29,200 |
| Alcatel SA |
| 368,246 |
|
|
1,285 |
| Arkema - ADR†* |
| 50,130 |
|
|
3,700 |
| Atos Origin SA* |
| 241,646 |
|
|
19,100 |
| AXA SA |
| 625,264 |
|
|
7,370 |
| BNP Paribas |
| 704,152 |
|
|
35,394 |
| Carrefour SA |
| 2,071,670 |
|
|
5,100 |
| Cie de Saint-Gobain |
| 363,859 |
|
|
4,200 |
| Groupe Danone |
| 532,682 |
|
|
6,901 |
| Renault SA |
| 741,213 |
|
|
4,504 |
| Sanofi-Aventis |
| 439,404 |
|
|
163,400 |
| SCOR |
| 357,262 |
|
|
11,903 |
| Societe Generale, Class A |
| 1,746,630 |
|
|
7,900 |
| Thales SA |
| $308,490 |
|
|
44,016 |
| Total SA |
| 2,886,035 |
|
|
51,400 |
| Total SA - ADR† |
| 3,367,728 |
|
|
|
|
|
| 14,804,411 |
|
|
|
| Germany — 0.6% |
|
|
|
|
7,800 |
| BASF AG |
| 625,391 |
|
|
66,363 |
| Bayer AG |
| 3,045,543 |
|
|
8,400 |
| Bayerische Motoren Werke AG |
| 418,872 |
|
|
10,500 |
| DaimlerChrysler AG |
| 517,728 |
|
|
11,200 |
| Deutsche Post AG |
| 299,743 |
|
|
5,100 |
| E.ON AG |
| 586,097 |
|
|
8,200 |
| Fresenius Medical Care AG & Co. |
| 941,562 |
|
|
26,928 |
| RWE AG |
| 2,235,513 |
|
|
|
|
|
| 8,670,449 |
|
|
|
| Hong Kong — 0.6% |
|
|
|
|
28,500 |
| Asia Satellite Telecommunications Holdings Ltd. |
| 48,350 |
|
|
958,000 |
| First Pacific Co. |
| 372,993 |
|
|
154,000 |
| Henderson Land Development Co. |
| 799,779 |
|
|
360,510 |
| Hong Kong & Shanghai Hotels Ltd. (The) |
| 400,314 |
|
|
80,000 |
| Hong Kong Aircraft Engineering Co. Ltd. |
| 938,380 |
|
|
276,700 |
| Hong Kong Electric Holdings Ltd. |
| 1,252,055 |
|
|
1,058,449 |
| New World Development Ltd. |
| 1,749,759 |
|
|
370,000 |
| Next Media Ltd. |
| 206,367 |
|
|
240,000 |
| Silver Grant International Ltd. |
| 64,304 |
|
|
298,000 |
| SmarTone Telecommunications Holdings Ltd. |
| 296,188 |
|
|
150,000 |
| Television Broadcasts Ltd. |
| 928,248 |
|
|
256,000 |
| Wheelock & Co. Ltd. |
| 430,016 |
|
|
|
|
|
| 7,486,753 |
|
|
|
| Indonesia — 0.1% |
|
|
|
|
7,293,367 |
| Bank Pan Indonesia Tbk PT* |
| 302,743 |
|
|
164,000 |
| Gudang Garam Tbk PT |
| 168,383 |
|
|
1,487,000 |
| Indofood Sukses Makmur Tbk PT |
| 141,019 |
|
|
1,516,000 |
| Matahari Putra Prima Tbk PT |
| 122,851 |
|
|
157,000 |
| Semen Gresik Persero Tbk PT |
| 402,886 |
|
|
|
|
|
| 1,137,882 |
|
|
|
| Ireland — 0.1% |
|
|
|
|
62,500 |
| Blackrock International Land plc* |
| 29,569 |
|
|
143,791 |
| Eircom Group plc |
| 400,810 |
|
|
62,500 |
| Fyffes plc |
| 110,146 |
|
|
123,900 |
| Independent News & Media plc |
| 361,997 |
|
|
|
|
|
| 902,522 |
|
|
|
| Italy — 0.5% |
|
|
|
|
265,612 |
| Banca Intesa SpA |
| 1,553,445 |
|
|
28,500 |
| Banca Monte dei Paschi di Siena |
| 171,013 |
|
|
13,200 |
| Banca Popolare Italiana* |
| 125,341 |
|
|
72,000 |
| Fiat SpA* |
| 956,233 |
|
|
23,200 |
| Luxottica Group SpA - ADR† |
| 629,416 |
|
|
4,400 |
| Natuzzi SpA - ADR† * |
| 31,460 |
|
|
44,500 |
| Saipem SpA |
| 1,011,449 |
|
|
359,433 |
| UniCredito Italiano SpA - MSE Shares |
| 2,807,391 |
|
|
|
|
|
| 7,285,748 |
|
|
|
| Japan — 2.0% |
|
|
|
|
9,000 |
| Ajinomoto Co., Inc. |
| 99,887 |
|
|
11,000 |
| Alfresa Holdings Corp. |
| 684,928 |
|
|
4,300 |
| Astellas Pharma, Inc. |
| 158,385 |
|
|
38,000 |
| Bank of Fukuoka Ltd. (The) |
| 290,772 |
|
|
6
TIFF MULTI-ASSET FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) | June 30, 2006 |
37,000 |
| Bank of Yokohama Ltd. (The) |
| $287,939 |
|
8,000 |
| Bridgestone Corp. |
| 155,041 |
|
42,000 |
| Canon, Inc. |
| 2,056,468 |
|
26,000 |
| Chiba Bank Ltd. (The) |
| 244,316 |
|
14,000 |
| Dai Nippon Printing Co. Ltd. |
| 217,289 |
|
6,500 |
| Daifuku Co. Ltd. |
| 107,101 |
|
99 |
| East Japan Railway Co. |
| 738,401 |
|
42,000 |
| Ebara Corp. |
| 179,919 |
|
11,600 |
| FamilyMart Co. Ltd. |
| 334,445 |
|
13,000 |
| Fuji Photo Film Co. Ltd. |
| 437,460 |
|
4,600 |
| Fujitsu Frontech Ltd. |
| 40,638 |
|
44,000 |
| Hitachi Ltd. |
| 291,359 |
|
6,400 |
| Isetan Co. Ltd. |
| 108,939 |
|
30 |
| Japan Tobacco, Inc. |
| 109,287 |
|
14,000 |
| JS Group Corp. |
| 293,923 |
|
20,000 |
| Kao Corp. |
| 525,288 |
|
102,000 |
| Kawasaki Heavy Industries Ltd. |
| 345,478 |
|
52 |
| KDDI Corp. |
| 321,224 |
|
20,000 |
| Kinden Corp. |
| 171,466 |
|
43,000 |
| Kirin Brewery Co. Ltd. |
| 676,157 |
|
9,000 |
| Matsushita Electric Industrial |
| 190,653 |
|
40,114 |
| Matsushita Electric Works Ltd. |
| 447,397 |
|
13,000 |
| Mitsubishi Corp. |
| 261,458 |
|
3,000 |
| Mitsubishi Gas Chemical Co., Inc. |
| 34,627 |
|
19 |
| Mitsubishi UFJ Financial Group, Inc. |
| 265,383 |
|
67 |
| Mizuho Financial Group, Inc. |
| 570,367 |
|
19,050 |
| Namco Bandai Holdings, Inc. |
| 290,302 |
|
32,000 |
| NEC Corp. |
| 171,639 |
|
6,000 |
| NGK Insulators Ltd. |
| 70,545 |
|
2,600 |
| Nintendo Co. Ltd. |
| 438,195 |
|
20,000 |
| Nippon Meat Packers, Inc. |
| 232,608 |
|
5,000 |
| Nippon Mining Holdings, Inc. |
| 42,340 |
|
33,000 |
| Nippon Oil Corp. |
| 242,221 |
|
32,000 |
| Nippon Suisan Kaisha Ltd. |
| 162,134 |
|
10,000 |
| Nisshinbo Industries, Inc. |
| 109,899 |
|
10,000 |
| Noritake Co. Ltd. |
| 55,818 |
|
109 |
| NTT Corp. |
| 534,462 |
|
260 |
| NTT DoCoMo, Inc. |
| 381,770 |
|
14,000 |
| Onward Kashiyama Co. Ltd. |
| 215,715 |
|
3,450 |
| Promise Co. Ltd. |
| 200,733 |
|
16,000 |
| Ricoh Co. Ltd. |
| 315,689 |
|
3,000 |
| Ryosan Co. Ltd. |
| 78,987 |
|
5,000 |
| Sankyo Co. Ltd. |
| 319,015 |
|
8,000 |
| Secom Co. Ltd. |
| 379,973 |
|
27,000 |
| Sekisui House Ltd. |
| 372,414 |
|
10,080 |
| Seven & I Holdings Co. Ltd. |
| 333,750 |
|
40,000 |
| Shimizu Corp. |
| 225,227 |
|
16,000 |
| Shiseido Co. Ltd. |
| 315,303 |
|
25,000 |
| Sompo Japan Insurance, Inc. |
| 351,547 |
|
8,000 |
| Sony Corp. |
| 353,029 |
|
20,000 |
| Sumitomo Electric Industries Ltd. |
| 294,655 |
|
19,000 |
| Sumitomo Forestry Co. Ltd. |
| 198,851 |
|
21,000 |
| Sumitomo Metal Mining Co. Ltd. |
| 276,142 |
|
69 |
| Sumitomo Mitsui Financial Group, Inc. |
| 733,191 |
|
49,000 |
| Sumitomo Trust & Banking Co. Ltd. |
| 539,143 |
|
25,000 |
| Taiyo Nippon Sanso Corp. |
| 198,225 |
|
42,700 |
| Takeda Pharmaceutical Co. Ltd. |
| 2,665,292 |
|
32,000 |
| Tanabe Seiyaku Co. Ltd. |
| 394,681 |
|
1,400 |
| TDK Corp. |
| 106,114 |
|
14,700 |
| Tokyo Electric Power Co., Inc. (The) |
| 405,845 |
|
124,000 |
| Tokyo Gas Co. Ltd. |
| 586,897 |
|
3,000 |
| Tokyo Ohka Kogyo Co. Ltd. |
| 77,016 |
|
14,200 |
| Toppan Forms Co. Ltd. |
| 180,779 |
|
3,000 |
| Toyo Seikan Kaisha Ltd. |
| 54,568 |
|
40,700 |
| Toyota Motor Corp. |
| 2,131,702 |
|
128 |
| West Japan Railway Co. |
| $532,679 |
|
6,000 |
| Yamaha Motor Co. Ltd. |
| 156,901 |
|
6,000 |
| Yamatake Corp. |
| 145,685 |
|
11,000 |
| Yamato Holdings Co. Ltd. |
| 195,819 |
|
|
|
|
| 26,713,495 |
|
|
| Luxembourg — 0.1% |
|
|
|
31,800 |
| Arcelor |
| 1,534,524 |
|
|
|
|
|
|
|
|
| Malaysia — 0.2% |
|
|
|
22,800 |
| British American Tobacco Malaysia Berhad |
| 245,154 |
|
427,169 |
| Bumiputra-Commerce Holdings Berhad |
| 690,176 |
|
106,000 |
| Carlsberg Brewery Malaysia Berhad |
| 144,237 |
|
145,000 |
| Kumpulan Guthrie Berhad |
| 102,391 |
|
78,000 |
| Malaysian Airlines System Berhad |
| 56,827 |
|
362,900 |
| Maxis Communications Berhad |
| 844,431 |
|
252,000 |
| Multi-Purpose Holdings Berhad* |
| 58,529 |
|
239,000 |
| Resorts World Berhad |
| 761,586 |
|
121,000 |
| Telekom Malaysia Berhad |
| 298,316 |
|
|
|
|
| 3,201,647 |
|
|
| Mexico — 0.0%(h) |
|
|
|
2,100 |
| America Movil SA de CV, Series L - ADR† |
| 69,846 |
|
1,600 |
| Telefonos de Mexico SA de CV, |
| 33,328 |
|
|
|
|
| 103,174 |
|
|
| Netherlands — 1.3% |
|
|
|
4,792 |
| Boskalis Westminster NV |
| 324,643 |
|
15,175 |
| Heineken NV |
| 642,718 |
|
60,132 |
| ING Groep NV |
| 2,358,681 |
|
65,139 |
| Mittal Steel Co. NV, Class A |
| 1,987,391 |
|
149,978 |
| Reed Elsevier NV |
| 2,253,070 |
|
138,354 |
| Royal Dutch Shell plc, Class A |
| 4,652,358 |
|
25,100 |
| Royal Dutch Shell plc, Class A - ADR† |
| 1,688,161 |
|
29,422 |
| Royal Dutch Shell plc, Class B |
| 1,028,757 |
|
19,222 |
| Royal Dutch Shell plc, Class B - ADR† |
| 1,344,583 |
|
40,800 |
| Royal KPN NV |
| 458,057 |
|
19,600 |
| Royal Philips |
| 612,592 |
|
10,108 |
| Wolters Kluwer NV |
| 238,469 |
|
|
|
|
| 17,589,480 |
|
|
| New Zealand — 0.1% |
|
|
|
586,968 |
| Telecom Corp. of New Zealand Ltd. |
| 1,448,904 |
|
|
| Norway — 0.0%(h) |
|
|
|
30,600 |
| DNB NOR ASA |
| 379,499 |
|
|
| Panama — 0.0%(h) |
|
|
|
34,600 |
| Bladex |
| 540,798 |
|
|
| Philippines (The) — 0.2% |
|
|
|
670,800 |
| ABS-CBN Broadcasting Corp. - PDR* |
| 186,663 |
|
184,976 |
| Ayala Corp. |
| 1,286,587 |
|
277,600 |
| Banco de Oro Universal Bank* |
| 161,629 |
|
57,900 |
| Globe Telecom, Inc. |
| 1,012,880 |
|
353,600 |
| Jollibee Foods Corp. |
| 206,071 |
|
|
| �� |
| 2,853,830 |
|
|
| Poland — 0.0%(h) |
|
|
|
11,086 |
| Bank Pekao SA |
| 659,418 |
|
7
TIFF MULTI-ASSET FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) | June 30, 2006 |
Number |
|
|
| Value + |
|
|
| Russia — 0.3% |
|
|
|
32,800 |
| LUKOIL - ADR† |
| $2,742,080 |
|
17,800 |
| Surgutneftegaz OJSC - ADR† |
| 1,317,200 |
|
|
|
|
| 4,059,280 |
|
|
| Singapore — 0.6% |
|
|
|
627,000 |
| BIL International Ltd. |
| 554,910 |
|
76,000 |
| Great Eastern Holdings Ltd. |
| 765,379 |
|
731,000 |
| i-CABLE Communications Ltd. |
| 162,532 |
|
132,200 |
| Jardine Matheson Holdings Ltd. |
| 2,326,720 |
|
169,500 |
| Jardine Strategic Holdings Ltd. - SSE Shares |
| 1,830,600 |
|
124,000 |
| Mandarin Oriental International Ltd. |
| 142,600 |
|
316,800 |
| Oversea-Chinese Banking Corp. |
| 1,318,797 |
|
349,000 |
| United Industrial Corp. Ltd. |
| 326,533 |
|
64,000 |
| Yellow Pages Singapore Ltd. |
| 42,124 |
|
|
|
|
| 7,470,195 |
|
|
| South Africa — 0.8% |
|
|
|
40,339 |
| Anglo Platinum Ltd. |
| 4,263,422 |
|
10,929 |
| City Lodge Hotels Ltd. |
| 75,014 |
|
178,517 |
| FirstRand Ltd. |
| 421,737 |
|
66,333 |
| Gold Fields Ltd. |
| 1,519,883 |
|
6,202 |
| Impala Platinum Holdings Ltd. |
| 1,146,081 |
|
12,140 |
| JD Group Ltd. |
| 113,002 |
|
37,399 |
| Nedbank Group Ltd. |
| 591,127 |
|
42,000 |
| New Clicks Holdings Ltd. |
| 51,778 |
|
210,300 |
| RMB Holdings Ltd. |
| 726,370 |
|
91,977 |
| Standard Bank Group Ltd. |
| 990,639 |
|
72,336 |
| Sun International Ltd. |
| 847,995 |
|
|
|
|
| 10,747,048 |
|
|
| South Korea — 0.1% |
|
|
|
430 |
| Hyundai Motor Co. |
| 36,675 |
|
730 |
| Kookmin Bank |
| 60,425 |
|
460 |
| Korea Electric Power Corp. |
| 17,106 |
|
23,500 |
| Korea Gas Corp. |
| 805,689 |
|
100 |
| POSCO |
| 26,779 |
|
80 |
| Samsung Electronics Co. Ltd. |
| 51,057 |
|
|
|
|
| 997,731 |
|
|
| Spain — 0.8% |
|
|
|
6,700 |
| Acciona SA |
| 1,038,393 |
|
38,200 |
| Acerinox SA |
| 661,521 |
|
43,500 |
| Banco Popular Espanol SA |
| 647,326 |
|
143,834 |
| BSCH SA |
| 2,103,632 |
|
66,197 |
| Iberdrola SA |
| 2,276,786 |
|
3,900 |
| Prosegur Cia de Seguridad SA |
| 97,240 |
|
30,600 |
| Repsol YPF SA - ADR† |
| 858,636 |
|
6,137 |
| Sogecable SA* |
| 176,145 |
|
168,130 |
| Telefonica SA |
| 2,795,259 |
|
6,800 |
| Viscofan SA |
| 100,684 |
|
|
|
|
| 10,755,622 |
|
|
| Sweden — 0.2% |
|
|
|
25,300 |
| Assa Abloy AB |
| 424,961 |
|
187,700 |
| Ericsson, Class B |
| 619,718 |
|
7,000 |
| Hoganas AB, Class B |
| 173,708 |
|
10,800 |
| Svenska Cellulosa AB |
| 445,434 |
|
25,200 |
| Svenska Handelsbanken, Class A |
| 647,912 |
|
|
|
|
| 2,311,733 |
|
|
|
|
|
|
|
|
| Switzerland — 0.2% |
|
|
|
8,300 |
| Adecco SA |
| $489,410 |
|
16,200 |
| Compagnie Financiere Richemonte AG (UNIT) |
| 738,852 |
|
290 |
| Geberit AG |
| 334,394 |
|
300 |
| Kudelski SA |
| 7,223 |
|
6,080 |
| Logitech International SA* |
| 233,932 |
|
12,400 |
| Novartis AG |
| 669,346 |
|
1,700 |
| Phonak Holding AG |
| 105,870 |
|
400 |
| PubliGroupe SA |
| 133,482 |
|
3,000 |
| Roche Holding AG |
| 494,465 |
|
|
|
|
| 3,206,974 |
|
|
| Taiwan — 0.0%(h) |
|
|
|
194,920 |
| Asustek Computer, Inc. - GDR* |
| 432,722 |
|
|
|
|
|
|
|
|
| Thailand — 0.3% |
|
|
|
589,700 |
| Advanced Info Service PCL |
| 1,386,137 |
|
224,000 |
| GMM Grammy PCL |
| 38,024 |
|
234,000 |
| Kasikornbank PCL |
| 372,073 |
|
76,000 |
| Matichon PCL |
| 24,898 |
|
108,000 |
| MBK PCL |
| 151,435 |
|
92,700 |
| Siam Cement PCL |
| 561,137 |
|
136,100 |
| Siam Cement PCL - NVDR |
| 760,219 |
|
385,053 |
| Thai Union Frozen Products PCL - NVDR |
| 244,429 |
|
255,000 |
| Thanachart Capital PCL |
| 96,239 |
|
|
|
|
| 3,634,591 |
|
|
| United Kingdom — 4.1% |
|
|
|
60,400 |
| Amvescap plc |
| 552,232 |
|
29,418 |
| Anglo American plc - LSE Shares |
| 1,204,059 |
|
20,856 |
| Anglo American plc - JSE Shares |
| 856,331 |
|
52,900 |
| Arriva plc |
| 583,600 |
|
53,500 |
| Associated British Ports Holdings plc |
| 893,521 |
|
89,176 |
| Aviva plc |
| 1,260,726 |
|
144,300 |
| BAE Systems plc |
| 985,420 |
|
64,400 |
| Barclays plc |
| 730,785 |
|
218,650 |
| BG Group plc |
| 2,925,247 |
|
14,720 |
| BOC Group plc |
| 430,431 |
|
133,486 |
| Boots Group plc |
| 1,898,377 |
|
340,823 |
| BP plc |
| 3,958,194 |
|
57,100 |
| BP plc - ADR† |
| 3,974,731 |
|
99,835 |
| Brambles Industries plc |
| 793,973 |
|
57,800 |
| BT Group plc |
| 255,949 |
|
10,889 |
| Bunzl plc |
| 124,358 |
|
205,300 |
| Cable & Wireless plc |
| 436,135 |
|
72,200 |
| Capita Group plc |
| 615,442 |
|
11,100 |
| Carnival plc |
| 451,788 |
|
79,500 |
| Compass Group plc |
| 385,602 |
|
40,200 |
| Devro plc |
| 86,991 |
|
44,800 |
| Diageo plc |
| 752,862 |
|
114,000 |
| Enodis plc |
| 455,425 |
|
23,100 |
| Enterprise Inns plc |
| 404,582 |
|
229,200 |
| GKN plc |
| 1,154,786 |
|
131,873 |
| GlaxoSmithKline plc |
| 3,682,655 |
|
54,500 |
| Hanson plc |
| 662,253 |
|
111,800 |
| Hays plc |
| 279,144 |
|
184,573 |
| HBOS plc |
| 3,205,468 |
|
1,700 |
| Homeserve plc |
| 48,735 |
|
75,600 |
| ICAP plc |
| 694,510 |
|
43,600 |
| Informa plc |
| 347,250 |
|
33,100 |
| Intertek Group plc |
| 428,530 |
|
610,500 |
| Invensys plc* |
| 216,872 |
|
165,400 |
| ITV plc |
| 329,987 |
|
8
TIFF MULTI-ASSET FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) | June 30, 2006 |
25,711 |
| Ladbrokes plc |
| $193,524 |
|
308,969 |
| Lloyds TSB Group plc |
| 3,042,612 |
|
66,033 |
| MyTravel Group plc, Class A* |
| 288,063 |
|
83,600 |
| PartyGaming plc |
| 178,339 |
|
32,800 |
| Provident Financial plc |
| 372,053 |
|
18,100 |
| Reckitt Benckiser plc |
| 675,098 |
|
60,400 |
| Reed Elsevier plc |
| 609,212 |
|
25,600 |
| Rexam plc |
| 249,698 |
|
24,200 |
| Rio Tinto plc |
| 1,269,831 |
|
134,300 |
| Sage Group plc |
| 572,265 |
|
21,400 |
| Smiths Group plc |
| 352,319 |
|
172,200 |
| Stagecoach Group plc |
| 367,048 |
|
103,400 |
| Tesco plc |
| 638,126 |
|
107,083 |
| Unilever plc |
| 2,405,639 |
|
141,663 |
| Vedanta Resources plc |
| 3,556,696 |
|
194,100 |
| Vodafone Group plc |
| 412,980 |
|
32,400 |
| WPP Group plc |
| 391,739 |
|
94,457 |
| Xstrata plc |
| 3,571,755 |
|
|
|
|
| 55,213,948 |
|
|
| Total Foreign Common Stocks |
| 279,406,364 |
|
|
| Total Common Stocks |
| 506,893,812 |
|
Principal |
|
|
| Interest Rate |
| Maturity Date |
|
|
|
|
| Asset-Backed Securities — 1.0% |
|
|
|
|
| ||
$350,000 |
| ACE Securities Corp., Ser. 2003-NC1, Class M2 (FRN) |
| 7.220% |
| 07/25/33 |
| 354,441 |
|
300,000 |
| ACE Securities Corp., Ser. 2003-OP1, Class M2 (FRN) |
| 6.820% |
| 12/25/33 |
| 303,035 |
|
30,862 |
| Asset Backed Funding Certificates, Ser. 2005-WF1, |
| 5.400% |
| 01/25/35 |
| 30,859 |
|
254,000 |
| Asset Backed Securities Corp., Home Equity Loan Trust, Ser. 2004-HE1, Class M2 (FRN) |
| 6.850% |
| 01/15/34 |
| 259,448 |
|
275,000 |
| Centex Home Equity, Ser. 2003-B, |
| 7.020% |
| 06/25/33 |
| 277,131 |
|
250,000 |
| Chase Funding Loan Acquisition Trust, Ser. 2003-C1, Class 2M2 (FRN) |
| 6.770% |
| 10/25/32 |
| 250,684 |
|
800,000 |
| Citigroup Mortgage Loan Trust, Inc., Ser. 2005-HE4, Class A2C (FRN) |
| 5.590% |
| 10/25/35 |
| 801,540 |
|
49,889 |
| Countrywide Asset-Backed Certificates, Ser. 2004-1, Class 3A (FRN) |
| 5.600% |
| 04/25/34 |
| 49,921 |
|
663,452 |
| Countrywide Asset-Backed Certificates, Ser. 2004-14, Class A2 (FRN) |
| 5.590% |
| 06/25/35 |
| 663,586 |
|
163,469 |
| Countrywide Asset-Backed Certificates, Ser. 2005-1, Class 3AV1 (FRN) |
| 5.410% |
| 07/25/35 |
| 163,481 |
|
Principal |
|
|
| Interest Rate |
| Maturity Date |
| Value + |
|
$1,027,071 |
| Credit-Based Asset Servicing and Securitization, Ser. 2005-CB8, Class AF1B (STEP) |
| 5.451% |
| 12/25/35 |
| $1,020,240 |
|
500,000 |
| First Franklin Mortgage Loan Asset Backed Certificates, Ser. 2003-FF2, Class M2 (FRN) |
| 6.970% |
| 07/25/33 |
| 500,395 |
|
265,000 |
| First Franklin Mortgage Loan Asset Backed Certificates, Ser. 2003-FF5, Class M2 (FRN) |
| 6.820% |
| 03/25/34 |
| 267,508 |
|
32,060 |
| First Franklin Mortgage Loan Asset Backed Certificates, |
| 5.550% |
| 06/25/35 |
| 32,062 |
|
600,000 |
| First Franklin Mortgage Loan Asset Backed Certificates, Ser. 2005-FF10, Class A4 (FRN) |
| 5.640% |
| 11/25/35 |
| 601,414 |
|
402,749 |
| First Franklin Mortgage Loan Asset Backed Certificates, Ser. 2005-FF3, Class A1 (FRN) |
| 5.400% |
| 04/25/35 |
| 402,776 |
|
500,000 |
| First Franklin Mortgage Loan Asset Backed Certificates, Ser. 2005-FFH2, Class A2 (FRN) |
| 5.570% |
| 04/25/35 |
| 500,840 |
|
27,306 |
| FNMA Whole Loan, Ser. 2001-W1, Class AF5 (STEP) |
| 7.516% |
| 08/25/31 |
| 27,306 |
|
458,552 |
| JP Morgan Mortgage Acquisition Corp., Ser. 2005-FLD1, Class A1 (FRN) |
| 5.440% |
| 07/25/35 |
| 458,652 |
|
500,000 |
| JP Morgan Mortgage Acquisition Corp., Ser. 2005-FLD1, Class A2 (FRN) |
| 5.580% |
| 07/25/35 |
| 501,852 |
|
113,542 |
| Merrill Lynch Mortgage Investors, Inc., Ser. 2004-HE1, Class A2 (FRN) |
| 5.710% |
| 04/25/35 |
| 113,753 |
|
363,327 |
| Merrill Lynch Mortgage Investors, Inc., Ser. 2005-NCB, Class A1A (VRN) |
| 5.451% |
| 07/25/36 |
| 361,101 |
|
303,687 |
| Morgan Stanley ABS Capital I, Ser. 2002-HE3, Class A2 (FRN) |
| 5.860% |
| 12/27/32 |
| 304,732 |
|
606,000 |
| Morgan Stanley ABS Capital, Inc., Ser. 2004-NC1, Class M2 (FRN) |
| 6.870% |
| 12/27/33 |
| 617,114 |
|
500,000 |
| New Century Home Equity Loan Trust, Ser. 2003-2, Class M2 (FRN) |
| 7.320% |
| 01/25/33 |
| 502,566 |
|
9
TIFF MULTI-ASSET FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) | June 30, 2006 |
Principal |
|
|
| Interest Rate |
| Maturity Date |
| Value + |
|
$300,000 |
| New Century Home Equity Loan Trust, Ser. 2003-6, Class M2 (FRN) |
| 6.920% |
| 01/25/34 |
| $306,392 |
|
1,750,000 |
| New Century Home Equity Loan Trust, Ser. 2005-4, Class A2B (FRN) |
| 5.590% |
| 09/25/35 |
| 1,752,735 |
|
250,000 |
| Residential Asset Securities Corp., Ser. 2003-KS10, Class MII2 (FRN) |
| 6.670% |
| 12/25/33 |
| 253,788 |
|
841,818 |
| Residential Asset Securities Corp., Ser. 2004-KS9, Class AII4 (FRN) |
| 5.620% |
| 10/25/34 |
| 843,924 |
|
1,000,000 |
| Residential Asset Securities Corp., Ser. 2005-KS8, Class A3 (FRN) |
| 5.580% |
| 08/25/35 |
| 1,002,730 |
|
294,269 |
| SACO I Trust, Ser. 2005-WM3, Class A1 (FRN) |
| 5.580% |
| 09/25/35 |
| 294,335 |
|
150,000 |
| Structured Asset Investment Loan Trust, Ser. 2003-BC6, Class M3 (FRN) |
| 7.470% |
| 07/25/33 |
| 151,444 |
|
|
| Total Asset-Backed Securities |
|
|
| 13,971,785 |
| ||
|
| Mortgage-Backed Securities - Private Issuers — 0.8% |
| ||||||
183,710 |
| American Home Mortgage Investment Trust, Ser. 2004-1, Class 4A (FRN) |
| 3.280% |
| 04/25/44 |
| 176,999 |
|
701,793 |
| American Home Mortgage Investment Trust, Ser. 2004-4, Class 4A (FRN) |
| 4.390% |
| 02/25/45 |
| 676,910 |
|
837,768 |
| American Home Mortgage Investment Trust, Ser. 2005-1, Class 6A (FRN) |
| 5.294% |
| 06/25/45 |
| 821,947 |
|
596,680 |
| American Home Mortgage Investment Trust, Ser. 2005-2, Class 5A2 (FRN) |
| 5.470% |
| 09/25/35 |
| 596,668 |
|
682,714 |
| Bank of America Funding Corp., Ser. 2004-B, Class 1A2 (VRN) |
| 3.965% |
| 12/20/34 |
| 679,017 |
|
226,807 |
| Downey Savings & Loan Association Mortgage Loan Trust, Ser. 2004-AR3, Class B2 (FRN) |
| 6.352% |
| 07/19/44 |
| 226,807 |
|
525,644 |
| Harborview Mortgage Loan Trust, Ser. 2004-7, Class 2A2 (VRN) |
| 3.758% |
| 11/19/34 |
| 517,724 |
|
489,057 |
| Harborview Mortgage Loan Trust, Ser. 2004-8, Class 2A3 (FRN) |
| 5.660% |
| 11/19/34 |
| 491,504 |
|
Principal |
|
|
| Interest Rate |
| Maturity Date |
| Value + |
|
$318,151 |
| Harborview Mortgage Loan Trust, |
| 5.610% |
| 06/20/35 |
| $319,202 |
|
40,245 |
| Impac CMB Trust, Ser. 2003-5, Class M2 (FRN) |
| 7.690% |
| 08/25/33 |
| 40,304 |
|
66,848 |
| Impac CMB Trust, Ser. 2003-6, Class M (FRN) |
| 7.020% |
| 07/25/33 |
| 66,941 |
|
33,419 |
| Impac CMB Trust, Ser. 2003-7, Class M (FRN) |
| 7.800% |
| 08/25/33 |
| 33,462 |
|
99,873 |
| Impac CMB Trust, Ser. 2004-4, Class 1M5 (FRN) |
| 6.620% |
| 09/25/34 |
| 100,135 |
|
93,616 |
| Impac CMB Trust, Ser. 2004-7, Class M5 (FRN) |
| 6.720% |
| 11/25/34 |
| 93,822 |
|
361,357 |
| Impac CMB Trust, Ser. 2004-9, Class M4 (FRN) |
| 6.373% |
| 01/25/35 |
| 362,333 |
|
536,170 |
| MLCC Mortgage Investors, Inc., Ser. 2004-D, Class A2 (FRN) |
| 5.324% |
| 08/25/29 |
| 535,892 |
|
1,320,795 |
| Structured Adjustable Rate Mortgage Loan Trust, Ser. 2005-19XS, |
| 5.640% |
| 10/25/35 |
| 1,327,659 |
|
718,240 |
| Structured Asset Securities Corp., Ser. 2005-RF1, Class A (FRN) |
| 5.670% |
| 03/25/35 |
| 717,789 |
|
1,440,229 |
| Structured Asset Securities Corp., Ser. 2005-RF3, Class A1 (FRN) |
| 5.670% |
| 06/25/35 |
| 1,442,080 |
|
48,168 |
| Wachovia Asset Securitization, Inc., Ser. 2002-1, Class 1A1 |
| 6.250% |
| 10/25/33 |
| 47,781 |
|
894,758 |
| Washington Mutual, Inc., Ser. 2005-AR1, Class A3 (FRN) |
| 5.680% |
| 01/25/45 |
| 896,413 |
|
|
| Total Mortgage-Backed Securities - |
| 10,171,389 |
| ||||
|
| Mortgage-Backed Securities - US Government Agency Obligations — 0.8% |
| ||||||
86,572 |
| FHLMC Pool #1J1225 (FRN) |
| 5.572% |
| 10/01/35 |
| 85,928 |
|
671,330 |
| FHLMC Pool #781697 (FRN) |
| 2.809% |
| 07/01/34 |
| 653,144 |
|
592,663 |
| FHLMC Strip, Ser. 2004-227, Class IO(a)(b) |
| 5.000% |
| 12/01/34 |
| 154,481 |
|
467,404 |
| FHLMC Strip, Ser. 2005-232, Class IO(a)(b) |
| 5.000% |
| 08/01/35 |
| 123,892 |
|
95,877 |
| FHLMC Strip, Ser. 2005-233, Class 5(a)(b) |
| 4.500% |
| 09/15/35 |
| 25,046 |
|
10
TIFF MULTI-ASSET FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) | June 30, 2006 |
Principal |
|
|
| Interest Rate |
| Maturity Date |
| Value + |
|
$776,230 |
| FHLMC Structured Pass Through Securities, Ser. 2003-57, Class 1A3 |
| 7.500% |
| 07/25/43 |
| $799,110 |
|
75,949 |
| FHLMC, Ser. 2004-2882, Class HI(a)(b) |
| 5.000% |
| 05/15/18 |
| 10,733 |
|
164,337 |
| FHLMC, Ser. 2005-2934, Class HI(a)(b) |
| 5.000% |
| 02/15/20 |
| 35,593 |
|
81,190 |
| FHLMC, Ser. 2005-2934, Class KI(a)(b) |
| 5.000% |
| 02/15/20 |
| 16,296 |
|
85,771 |
| FHLMC, Ser. 2005-2967, Class JI(a)(b) |
| 5.000% |
| 04/15/20 |
| 18,004 |
|
4,200,000 |
| FNMA (TBA) |
| 5.500% |
| 07/01/21 |
| 4,121,250 |
|
1,800,000 |
| FNMA (TBA) |
| 5.500% |
| 07/01/36 |
| 1,728,562 |
|
1,000,000 |
| FNMA (TBA) |
| 6.500% |
| 07/01/36 |
| 1,005,000 |
|
92,725 |
| FNMA Pool #849173 (FRN) |
| 5.523% |
| 01/01/36 |
| 92,287 |
|
300,773 |
| FNMA Pool #891228 |
| 5.580% |
| 05/01/36 |
| 299,997 |
|
261,575 |
| FNMA Strip, Ser. 2005-357, Class 2(a)(b) |
| 5.000% |
| 02/01/35 |
| 67,877 |
|
1,309,774 |
| FNMA Strip, Ser. 2005-360, Class 2(a)(b) |
| 5.000% |
| 08/01/35 |
| 346,084 |
|
96,693 |
| FNMA Strip, Ser. 2005-365, Class 4(a)(b) |
| 5.000% |
| 12/01/35 |
| 25,739 |
|
867,221 |
| FNMA Whole Loan, Ser. 2002-W8, Class A3 |
| 7.500% |
| 06/25/42 |
| 884,762 |
|
361,537 |
| FNMA, Ser. 2006-10, Class FD (FRN) |
| 5.670% |
| 03/25/36 |
| 361,346 |
|
146,480 |
| GNMA, Ser. 2001-65, Class PG |
| 6.000% |
| 07/20/28 |
| 146,247 |
|
|
| Total Mortgage-Backed Securities - US Government Agency Obligations |
| 11,001,378 |
| ||||
|
| US Treasury Securities — 11.7% |
|
|
| ||||
134,245,099 |
| US Treasury Inflation-Indexed Note†† |
| 2.000% |
| 01/15/16 |
| 128,198,834 |
|
2,450,740 |
| US Treasury Inflation-Indexed Bond |
| 3.880% |
| 04/15/29 |
| 3,032,408 |
|
26,731,000 |
| US Treasury Note |
| 5.125% |
| 05/15/16 |
| 26,699,671 |
|
|
| Total US Treasury Securities |
| 157,930,913 |
|
Number of |
|
|
|
|
|
|
| Commingled Investment Vehicles — 21.9% |
|
|
|
|
| Exchange Traded Funds — 2.0% |
|
|
|
202,800 |
| iShares MSCI EAFE Index Fund |
| 13,224,588 |
|
134,900 |
| iShares MSCI Emerging Markets Index Fund |
| 12,667,110 |
|
40,000 |
| iShares MSCI South Korea Index Fund |
| 1,802,800 |
|
|
|
|
| 27,694,498 |
|
Number of |
|
|
| Value + |
|
|
| Private Investment Funds — 19.9% |
|
|
|
|
| Convexity Capital Offshore, LP*(a)(c)(d)(e) |
| $46,097,462 |
|
|
| Farallon Capital Institutional Partners, LP*(a)(c)(d)(e) |
| 34,269,356 |
|
|
| Freeman Fair Value Fund I, LP*(c)(d)(e)(g) |
| 55,368,321 |
|
73,389 |
| Lansdowne UK Equity Fund Ltd.*(a)(c)(d)(e) |
| 15,646,635 |
|
|
| Lone Cascade, LP*(a)(c)(d)(e) |
| 4,563,662 |
|
|
| Lone Picea, LP, Class B*(a)(c)(d)(e) |
| 1,611,873 |
|
|
| Lone Picea, LP, Class D*(a)(c)(d)(e) |
| 2,657,002 |
|
|
| Lone Redwood, LP* (a)(c)(d)(e) |
| 12,167,161 |
|
184,771 |
| Maverick Fund USA, Ltd.*(a)(c)(d)(e) |
| 18,955,085 |
|
36,437 |
| Maverick Fund USA, Ltd., Class C*(a)(c)(d)(e) |
| 3,707,724 |
|
|
| OZ Domestic Partners, LP*(a)(c)(d)(e) |
| 13,203,360 |
|
45,152 |
| Regiment Capital Ltd.*(a)(c)(d)(e) |
| 7,314,069 |
|
153,727 |
| Tosca*(a)(c)(d)(e) |
| 15,389,633 |
|
|
| Value Realization Fund, LP (The)*(c)(d)(e)(f) |
| 37,424,867 |
|
|
|
|
| 268,376,210 |
|
|
| Total Commingled Investment Vehicles |
| 296,070,708 |
|
|
| Preferred Stocks — 0.1% |
|
|
|
5,456 |
| Anglo Platinum Ltd. (South Africa) |
| 208,853 |
|
33,868 |
| Cia Vale do Rio Doce (Brazil) |
| 689,801 |
|
|
| Total Preferred Stocks |
| 898,654 |
|
Number of |
|
|
|
|
|
|
| Purchased Options — 0.0%(h) |
|
|
|
28 |
| IMM Eurodollar 1 Year Mid-Curve Option December 2006 Calls, Strike 95.00, Expiring 12/15/06 (Malaysia)* |
| 4,375 |
|
Number of |
|
|
|
|
|
|
| Miscellaneous — 0.0%(h) |
|
|
|
10,248 |
| Suez SA, Strip VVPR - PSE Shares (France)*(a) |
| 131 |
|
|
| Rights — 0.0%(h) |
|
|
|
244,200 |
| Invensys plc Rights, Expiring 7/7/2006 (United Kingdom)* |
| 18,292 |
|
|
| Warrants — 0.0%(h) |
|
|
|
18,100 |
| Multi-Purpose Holdings Berhad Warrants, Expiring 2/26/2009 (Malaysia)* |
| 1,035 |
|
11
TIFF MULTI-ASSET FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) | June 30, 2006 |
Principal |
|
|
| Interest |
| Maturity |
|
|
| |||||
Amount |
|
|
| Rate |
| Date |
| Value + |
| |||||
|
| Short-Term Investments — 29.5% |
|
|
| |||||||||
|
| Agency Discount Note — 0.0%(h) |
|
|
| |||||||||
$25,000 |
| FHLMC - Discount Note††† (Cost $24,606) |
| 4.980 | %# | 10/23/06 |
| $24,405 |
| |||||
|
| Repurchase Agreement — 2.6% |
|
|
| |||||||||
34,823,384 |
| Investors Bank & Trust Company Repurchase Agreement issued 06/30/06 (proceeds at maturity $34,834,266) (Collateralized by a $4,060,673 SBA Pool #505388, 8.125%, due 4/25/26, a $10,100,130 FNMA 2003-2, 5.823%, due 02/25/33, a $10,737,958 FNMA Pool #759019, 4.389%, due 01/01/34 and a $11,423,803 FHLMC Pool #2906, 5.549%, due 12/15/34, with market value, including accrued interest, of $4,400,773, $10,269,396, $10,512,326, and $11,382,058, respectively) |
| |||||||||||
|
| (Cost $34,823,384) |
| 3.750 | % | 07/03/06 |
| 34,823,384 |
| |||||
|
| US Treasury Securities — 26.9%# |
|
|
| ||||
74,950,000 |
| US Treasury Bill |
| 4.77%-4.80% |
| 09/07/06 |
| 74,294,712 |
|
55,000,000 |
| US Treasury Bill |
| 4.78% |
| 09/14/06 |
| 54,471,450 |
|
47,600,000 |
| US Treasury Bill |
| 4.77%-4.84% |
| 09/21/06 |
| 47,094,012 |
|
37,700,000 |
| US Treasury Bill |
| 4.92%-5.03% |
| 10/26/06 |
| 37,112,257 |
|
56,350,000 |
| US Treasury Bill |
| 4.99%-5.00% |
| 11/02/06 |
| 55,416,731 |
|
37,800,000 |
| US Treasury Bill |
| 4.95%-4.98% |
| 11/09/06 |
| 37,135,363 |
|
8,200,000 |
| US Treasury Bill |
| 5.02% |
| 11/24/06 |
| 8,037,435 |
|
40,000,000 |
| US Treasury Bill††† |
| 5.05% |
| 12/07/06 |
| 39,137,160 |
|
11,000,000 |
| US Treasury Bill |
| 5.24% |
| 12/28/06 |
| 10,724,098 |
|
|
| Total US Treasury Securities |
|
| �� | 363,423,218 |
| ||
|
| Total Short-Term Investments |
|
|
| 398,271,007 |
| ||
|
| Total Investments — 103.3% |
|
|
|
|
| ||
|
| (Cost $1,208,888,626) |
|
|
| 1,395,233,479 |
| ||
|
| Liabilities in Excess of Other Assets — (3.3%) |
| (44,226,313 | ) | ||||
|
| Net Assets — 100.0% |
|
|
| $1,351,007,166 |
|
Number of Shares |
|
|
| Value + |
|
|
| Short Portfolio — (1.2%) |
|
|
|
|
| Common Stock — (0.0%) (h) |
|
|
|
100 |
| NVR, Inc. |
| $(49,125 | ) |
|
| Exchange Traded Funds — (1.0%) |
|
|
|
184,800 |
| Energy Select Sector SPDR Fund |
| (10,481,856 | ) |
46,600 |
| iShares Dow Jones US Real Estate Index Fund |
| (3,322,580 | ) |
|
|
|
| (13,804,436 | ) |
|
| Real Estate Investment Trusts — (0.2%) |
|
|
|
5,500 |
| Affordable Residential Community - REIT |
| (59,125 | ) |
7,700 |
| Ashford Hospitality Trust - REIT |
| (97,174 | ) |
5,000 |
| Brandywine Realty Trust - REIT |
| (160,850 | ) |
4,700 |
| Canadian Apartment Properties - REIT |
| (67,976 | ) |
5,200 |
| Capital Lease Funding, Inc. - REIT |
| (59,332 | ) |
4,100 |
| Cedar Shopping Centers, Inc. - REIT |
| (60,352 | ) |
4,000 |
| Columbia Equity Trust, Inc. - REIT |
| (61,440 | ) |
4,500 |
| Commercial Net Lease Realty - REIT |
| (89,775 | ) |
3,500 |
| Developers Divers Realty Corp. - REIT |
| (182,630 | ) |
4,200 |
| Duke Realty Corp. - REIT |
| (147,630 | ) |
3,100 |
| Eagle Hospitality Properties Trust, Inc. - REIT |
| (29,853 | ) |
3,900 |
| Education Realty Trust, Inc. - REIT |
| (64,935 | ) |
3,800 |
| Equity Inns, Inc. - REIT |
| (62,928 | ) |
4,000 |
| Equity One, Inc. - REIT |
| (83,600 | ) |
3,900 |
| Extra Space Storage, Inc. - REIT |
| (63,336 | ) |
3,200 |
| Feldman Mall Properties, Inc. - REIT |
| (35,072 | ) |
3,600 |
| General Growth Properties, Inc. - REIT |
| (162,216 | ) |
2,200 |
| Getty Realty Corp. - REIT |
| (62,568 | ) |
6,700 |
| Health Care Property Investors, Inc. - REIT |
| (179,158 | ) |
1,400 |
| Hospitalities Properties Trust - REIT |
| (61,488 | ) |
13,400 |
| HRPT Properties Trust - REIT |
| (154,904 | ) |
2,200 |
| Liberty Property Trust - REIT |
| (97,240 | ) |
5,000 |
| New Plan Excel Realty Trust - REIT |
| (123,450 | ) |
3,800 |
| Pennsylvania Real Estate - REIT |
| (153,406 | ) |
3,900 |
| Post Properties, Inc. - REIT |
| (176,826 | ) |
3,200 |
| Ramco-Gershenson Properties - REIT |
| (86,176 | ) |
5,100 |
| Senior Housing Properties Trust - REIT |
| (91,341 | ) |
5,400 |
| United Dominion Realty Trust - REIT |
| (151,254 | ) |
1,500 |
| Weingarten Realty Investors - REIT |
| (57,420 | ) |
|
|
|
| (2,883,455 | ) |
|
| Total Short Portfolio |
| $(16,737,016 | ) |
Number of |
|
|
|
|
|
|
| Written Options — (0.0%)(h) |
|
|
|
28 |
| IMM Eurodollar Option December 2006 |
| $(3,150 | ) |
12
TIFF MULTI-ASSET FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) | June 30, 2006 |
Summary of Industry Classifications (as a % of total net assets):
Agency Note |
| 0.0 | %(h) |
Asset Backed Securities |
| 1.0 |
|
Basic Materials |
| 4.9 |
|
Communications |
| 4.4 |
|
Consumer, Cyclical |
| 2.5 |
|
Consumer, Non-cyclical |
| 4.7 |
|
Diversified |
| 0.5 |
|
Energy |
| 7.9 |
|
Financial |
| 7.6 |
|
Exchange Traded Funds |
| 1.0 |
|
Industrial |
| 2.4 |
|
Mortgage Securities |
| 1.6 |
|
Private Investment Funds |
| 19.9 |
|
Repurchase Agreements |
| 2.6 |
|
Reverse Repurchase Agreements |
| (2.3 | ) |
Technology |
| 1.7 |
|
US Treasury Securities |
| 38.6 |
|
Utilities |
| 0.7 |
|
Forward Currency Contracts |
| (0.0 | )(h) |
Financial Futures Contracts |
| 0.7 |
|
Options |
| 0.0 | (h) |
Other Liabilities in Excess of Other Assets |
| (0.4 | ) |
Total |
| 100.0 | % |
ADR American Depositary Receipt
EAFE Europe, Australia, and Far East
FHLMC Freddie Mac
FNMA Fannie Mae
FRN Floating Rate Note. Rate disclosed represents rate as of June 30, 2006.
GDR Global Depositary Receipt
GNMA Ginnie Mae
JSE Johannesburg Stock Exchange
IMM International Money Market
LSE London Stock Exchange
MSCI Morgan Stanley Capital International
MSE Milan Stock Exchange
NVDR Non-Voting Depositary Receipt
NYSE New York Stock Exchange
PDR Philippine Depositary Receipt
PSE Paris Stock Exchange
REIT Real Estate Investment Trust
SBA Small Business Administration
SSE Singapore Stock Exchange
STEP A bond that pays an initial coupon rate for the first period, and a higher coupon rate for the following periods.
TBA To be announced
TSE Toronto Stock Exchange
UNIT A security with an attachment to buy shares, bonds, or other types of securities at a specific price before a predetermined date.
VRN Variable Rate Note. Rate disclosed represents rate as of June 30, 2006.
VVPR Verminderde Voorheffing Précompte Réduit (France dividend coupon)
# Interest rate represents the yield to maturity at the time of purchase.
* Non-income producing security.
@ A Tracking stock is a common stock issued by a parent company that tracks the performance of a particular division without having claim on the assets of the division or the parent company. Also known as a “designer stock”.
† A Sponsored ADR is an American Depositary Receipt that is issued through the cooperation of the company whose stock will be the underlying asset.
†† Security or a portion thereof is held as collateral by the counterparty for reverse repurchase agreements. See Appendix F of Notes to Financial Statements.
††† Security or a portion thereof is held as initial margin for financial futures and held as collateral for short sales. See Appendix C of Notes to Financial Statements for further information on financial futures contracts.
+ See Note 2 to the Financial Statements.
(a) Illiquid security.
(b) Interest Only security.
(c) Security is valued in good faith under procedures established by the board of directors.
(d) Restricted security. See Appendix E of Notes to Financial Statements.
(e) Portfolio holdings information of the Private Investment Funds is not available as of June 30, 2006. These positions are therefore grouped into their own industry classification.
(f) The TIP board of directors has deemed 10% of The Value Realization Fund, LP as illiquid.
(g) The valuation committee has determined the partnership interest in Freeman Fair Value Fund I, LP to be liquid based on the ability to redeem the private investment fund interest upon seven days’ notice and payment of a 0.25% redemption fee. The TIP board of directors duly ratified the liquidity determination and agreed to fair value the private investment fund at 99.75% of its stated market value to take into account this potential redemption fee.
(h) Rounds to less than 0.1% or (0.1%).
See accompanying Notes to Financial Statements.
13
|
|
TIFF INTERNATIONAL EQUITY FUND / SCHEDULE OF INVESTMENTS (uNAUDITED) | June 30, 2006 |
Number |
|
|
|
|
|
of Shares |
|
|
| Value + |
|
|
| Common Stocks — 74.7% |
|
|
|
|
| Australia — 4.1% |
|
|
|
94,000 |
| Alumina Ltd. |
| $471,350 |
|
196,567 |
| Amcor Ltd. |
| 974,566 |
|
36,568 |
| Australia and New Zealand Banking Group Ltd. |
| 724,172 |
|
43,300 |
| Caltex Australia Ltd. |
| 759,907 |
|
123,114 |
| Coles Myer Ltd. |
| 1,038,276 |
|
381,152 |
| Foster’s Group Ltd. |
| 1,549,529 |
|
77,044 |
| National Australia Bank Ltd. |
| 2,007,586 |
|
112,965 |
| Santos Ltd. |
| 1,015,900 |
|
475,967 |
| Telstra Corp. Ltd. |
| 1,302,417 |
|
29,460 |
| Wesfarmers Ltd. |
| 772,829 |
|
|
|
|
| 10,616,532 |
|
|
| Belgium — 0.6% |
|
|
|
44,680 |
| Fortis |
| 1,521,605 |
|
|
| Brazil — 0.2% |
|
|
|
29,050 |
| Votorantim Celulose e Papel SA - ADR† |
| 452,599 |
|
|
| Canada — 1.5% |
|
|
|
49,000 |
| Abitibi-Consolidated, Inc. - TSE Shares |
| 132,623 |
|
9,900 |
| ACE Aviation Holdings, Inc., Class A* |
| 277,300 |
|
7,500 |
| Alcan, Inc. |
| 352,644 |
|
7,800 |
| BCE, Inc. - TSE Shares* |
| 185,023 |
|
335,900 |
| Bombardier, Inc., Class B* |
| 939,348 |
|
10,800 |
| Fraser Papers, Inc.* |
| 73,806 |
|
23,916 |
| Imperial Oil Ltd. |
| 876,984 |
|
69,620 |
| Nortel Networks Corp.* |
| 155,254 |
|
1,500 |
| Novelis, Inc. |
| 32,182 |
|
5,300 |
| Onex Corp. |
| 106,086 |
|
20,800 |
| Rogers Communications, Inc., Class B |
| 839,968 |
|
|
|
|
| 3,971,218 |
|
|
| Chile — 0.2% |
|
|
|
10,100 |
| Banco Santander Chile SA - ADR† |
| 407,434 |
|
|
| China — 0.3% |
|
|
|
1,586,000 |
| China Telecom Corp. Ltd. |
| 512,073 |
|
145,000 |
| Tsingtao Brewery Co. Ltd. |
| 161,656 |
|
|
|
|
| 673,729 |
|
|
| Denmark — 0.6% |
|
|
|
5,200 |
| Coloplast A/S, Class B |
| 385,296 |
|
16,866 |
| Vestas Wind Systems A/S* |
| 459,310 |
|
10,500 |
| William Demant Holding* |
| 783,403 |
|
|
|
|
| 1,628,009 |
|
|
| Finland — 1.3% |
|
|
|
28,400 |
| Metso Oyj |
| 1,030,176 |
|
42,800 |
| Sampo Oyj, Class A |
| 815,453 |
|
12,220 |
| Tietoenator Oyj |
| 352,127 |
|
51,568 |
| UPM-Kymmene Oyj |
| 1,107,428 |
|
|
|
|
| 3,305,184 |
|
|
| France — 5.2% |
|
|
|
36,000 |
| Alcatel SA |
| 454,002 |
|
992 |
| Arkema* |
| 38,700 |
|
4,400 |
| Atos Origin SA* |
| 287,363 |
|
23,900 |
| AXA SA |
| 782,398 |
|
8,698 |
| BNP Paribas |
| 831,033 |
|
30,495 |
| Carrefour SA |
| $1,784,923 |
|
29,481 |
| Cie de Saint-Gobain |
| 2,103,316 |
|
4,800 |
| Groupe Danone |
| 608,780 |
|
7,375 |
| Renault SA |
| 789,728 |
|
5,176 |
| Sanofi-Aventis |
| 504,963 |
|
201,820 |
| SCOR |
| 441,265 |
|
13,471 |
| Societe Generale, Class A |
| 1,976,716 |
|
10,000 |
| Thales SA |
| 390,493 |
|
34,681 |
| Total SA |
| 2,273,959 |
|
|
|
|
| 13,267,639 |
|
|
| Germany — 3.0% |
|
|
|
9,100 |
| BASF AG |
| 729,622 |
|
40,153 |
| Bayer AG |
| 1,842,709 |
|
10,200 |
| Bayerische Motoren Werke AG |
| 508,630 |
|
13,200 |
| DaimlerChrysler AG |
| 650,858 |
|
13,600 |
| Deutsche Post AG |
| 363,974 |
|
6,100 |
| E.ON AG |
| 701,018 |
|
3,400 |
| Fresenius Medical Care AG & Co. |
| 390,404 |
|
15,780 |
| Fresenius Medical Care AG & Co. - ADR† |
| 603,111 |
|
24,613 |
| RWE AG |
| 2,043,326 |
|
|
|
|
| 7,833,652 |
|
|
| Hong Kong — 2.5% |
|
|
|
20,500 |
| Asia Satellite Telecommunications Holdings Ltd. |
| 34,778 |
|
684,000 |
| First Pacific Co. |
| 266,312 |
|
108,000 |
| Henderson Land Development Co. |
| 560,884 |
|
220,824 |
| Hong Kong & Shanghai Hotels Ltd. (The) |
| 245,205 |
|
59,000 |
| Hong Kong Aircraft Engineering Co. Ltd. |
| 692,055 |
|
241,000 |
| Hong Kong Electric Holdings Ltd. |
| 1,090,514 |
|
491,000 |
| i-CABLE Communications Ltd. |
| 109,170 |
|
735,907 |
| New World Development Ltd. |
| 1,216,553 |
|
300,000 |
| Next Media Ltd. |
| 167,325 |
|
164,000 |
| Silver Grant International Ltd. |
| 43,941 |
|
202,478 |
| SmarTone Telecommunications Holdings Ltd. |
| 201,247 |
|
89,000 |
| Television Broadcasts Ltd. |
| 550,760 |
|
286,571 |
| Wharf Holdings Ltd. |
| 1,020,857 |
|
155,000 |
| Wheelock & Co. Ltd. |
| 260,362 |
|
|
|
|
| 6,459,963 |
|
|
| Indonesia — 0.3% |
|
|
|
5,067,923 |
| Bank Pan Indonesia Tbk PT* |
| 210,366 |
|
5,572 |
| Bank Permata Tbk PT*(a) |
| 404 |
|
343,000 |
| Citra Marga Nusaphala Persada Tbk PT |
| 22,281 |
|
114,000 |
| Gudang Garam Tbk PT |
| 117,047 |
|
1,067,000 |
| Indofood Sukses Makmur Tbk PT |
| 101,189 |
|
1,059,500 |
| Matahari Putra Prima Tbk PT |
| 85,858 |
|
415,000 |
| Mulia Industrindo Tbk PT* |
| 7,800 |
|
109,000 |
| Semen Gresik Persero Tbk PT |
| 279,710 |
|
|
|
|
| 824,655 |
|
|
| Ireland — 0.4% |
|
|
|
72,300 |
| Blackrock International Land plc* |
| 34,205 |
|
171,416 |
| Eircom Group plc |
| 477,814 |
|
72,300 |
| Fyffes plc |
| 127,417 |
|
151,340 |
| Independent News & Media plc |
| 442,168 |
|
|
|
|
| 1,081,604 |
|
|
| Italy — 3.1% |
|
|
|
389,191 |
| Banca Intesa SpA |
| 2,276,203 |
|
35,200 |
| Banca Monte dei Paschi di Siena |
| 211,216 |
|
16,300 |
| Banca Popolare Italiana* |
| 154,777 |
|
14
TIFF INTERNATIONAL EQUITY FUND / SCHEDULE OF INVESTMENTS (uNAUDITED) | June 30, 2006 |
90,600 |
| Fiat SpA* |
| $1,203,260 |
|
28,400 |
| Luxottica Group SpA - ADR† |
| 770,492 |
|
6,600 |
| Natuzzi SpA - ADR*† |
| 47,190 |
|
45,600 |
| Saipem SpA |
| 1,036,451 |
|
296,390 |
| UniCredito Italiano SpA - MSE Shares |
| 2,314,987 |
|
|
|
|
| 8,014,576 |
|
|
| Japan — 15.4% |
|
|
|
8,000 |
| Ajinomoto Co., Inc. |
| 88,789 |
|
4,400 |
| Alfresa Holdings Corp. |
| 273,971 |
|
5,800 |
| Astellas Pharma, Inc. |
| 213,636 |
|
47,000 |
| Bank of Fukuoka Ltd. (The) |
| 359,640 |
|
43,000 |
| Bank of Yokohama Ltd. (The) |
| 334,632 |
|
6,000 |
| Bridgestone Corp. |
| 116,280 |
|
48,750 |
| Canon, Inc. |
| 2,386,972 |
|
35,000 |
| Chiba Bank Ltd. (The) |
| 328,887 |
|
25,000 |
| Dai Nippon Printing Co. Ltd. |
| 388,017 |
|
27,000 |
| Dai-Dan Co. Ltd. |
| 166,894 |
|
7,000 |
| Daifuku Co. Ltd. |
| 115,340 |
|
122 |
| East Japan Railway Co. |
| 909,949 |
|
56,000 |
| Ebara Corp. |
| 239,892 |
|
18,000 |
| FamilyMart Co. Ltd. |
| 518,966 |
|
17,000 |
| Fuji Photo Film Co. Ltd. |
| 572,063 |
|
8,500 |
| Fujitsu Frontech Ltd. |
| 75,092 |
|
183,000 |
| Hitachi Ltd. |
| 1,211,790 |
|
10,000 |
| Inabata & Co. Ltd. |
| 78,774 |
|
9,000 |
| Isetan Co. Ltd. |
| 153,196 |
|
40 |
| Japan Tobacco, Inc. |
| 145,716 |
|
19,000 |
| JS Group Corp. |
| 398,895 |
|
55,000 |
| Kao Corp. |
| 1,444,541 |
|
136,000 |
| Kawasaki Heavy Industries Ltd. |
| 460,637 |
|
352 |
| KDDI Corp. |
| 2,174,442 |
|
18,000 |
| Kinden Corp. |
| 154,319 |
|
56,000 |
| Kirin Brewery Co. Ltd. |
| 880,576 |
|
12,000 |
| Matsushita Electric Industrial |
| 254,205 |
|
42,772 |
| Matsushita Electric Works Ltd. |
| 477,042 |
|
37 |
| Millea Holdings, Inc. |
| 692,968 |
|
17,000 |
| Mitsubishi Corp. |
| 341,907 |
|
26 |
| Mitsubishi UFJ Financial Group, Inc. |
| 363,156 |
|
90 |
| Mizuho Financial Group, Inc. |
| 766,165 |
|
30,000 |
| Namco Bandai Holdings, Inc. |
| 457,168 |
|
42,000 |
| NEC Corp. |
| 225,276 |
|
5,000 |
| NGK Insulators Ltd. |
| 58,787 |
|
3,500 |
| Nintendo Co. Ltd. |
| 589,878 |
|
27,000 |
| Nippon Meat Packers, Inc. |
| 314,021 |
|
12,000 |
| Nippon Mining Holdings, Inc. |
| 101,615 |
|
43,000 |
| Nippon Oil Corp. |
| 315,622 |
|
58,000 |
| Nippon Suisan Kaisha Ltd. |
| 293,868 |
|
18,000 |
| Nisshinbo Industries, Inc. |
| 197,818 |
|
14,000 |
| Noritake Co. Ltd. |
| 78,144 |
|
132 |
| NTT Corp. |
| 647,238 |
|
350 |
| NTT DoCoMo, Inc. |
| 513,921 |
|
20,000 |
| Onward Kashiyama Co. Ltd. |
| 308,164 |
|
4,650 |
| Promise Co. Ltd. |
| 270,553 |
|
21,000 |
| Ricoh Co. Ltd. |
| 414,342 |
|
8,000 |
| Ryosan Co. Ltd. |
| 210,631 |
|
6,400 |
| Sankyo Co. Ltd. |
| 408,339 |
|
9,000 |
| Sankyo Seiko Co. Ltd. |
| 52,899 |
|
11,500 |
| Secom Co. Ltd. |
| 546,211 |
|
34,000 |
| Sekisui House Ltd. |
| 468,966 |
|
12,360 |
| Seven & I Holdings Co. Ltd. |
| 409,241 |
|
32,000 |
| Shimizu Corp. |
| 180,182 |
|
19,000 |
| Shiseido Co. Ltd. |
| 374,423 |
|
31,000 |
| Sompo Japan Insurance, Inc. |
| 435,918 |
|
11,400 |
| Sony Corp. |
| 503,067 |
|
27,000 |
| Sumitomo Electric Industries Ltd. |
| 397,784 |
|
38,000 |
| Sumitomo Forestry Co. Ltd. |
| $397,702 |
|
28,000 |
| Sumitomo Metal Mining Co. Ltd. |
| 368,189 |
|
92 |
| Sumitomo Mitsui Financial Group, Inc. |
| 977,589 |
|
66,000 |
| Sumitomo Trust & Banking Co. Ltd. |
| 726,192 |
|
10,000 |
| Sumitomo Wiring Systems Ltd. |
| 252,595 |
|
74,000 |
| Taiyo Nippon Sanso Corp. |
| 586,747 |
|
49,100 |
| Takeda Pharmaceutical Co. Ltd. |
| 3,064,773 |
|
30,000 |
| Tanabe Seiyaku Co. Ltd. |
| 370,014 |
|
1,800 |
| TDK Corp. |
| 136,432 |
|
19,800 |
| Tokyo Electric Power Co., Inc. (The) |
| 546,648 |
|
154,000 |
| Tokyo Gas Co. Ltd. |
| 728,888 |
|
8,900 |
| Tokyo Ohka Kogyo Co. Ltd. |
| 228,481 |
|
18,700 |
| Toppan Forms Co. Ltd. |
| 238,068 |
|
11,000 |
| Toyo Seikan Kaisha Ltd. |
| 200,084 |
|
56,200 |
| Toyota Motor Corp. |
| 2,943,529 |
|
301 |
| West Japan Railway Co. |
| 1,252,627 |
|
6,000 |
| Yamaha Motor Co. Ltd. |
| 156,901 |
|
9,500 |
| Yamatake Corp. |
| 230,667 |
|
15,000 |
| Yamato Holdings Co. Ltd. |
| 267,026 |
|
|
|
|
| 39,534,577 |
|
|
| Luxembourg — 0.6% |
|
|
|
33,740 |
| Arcelor |
| 1,628,140 |
|
|
| Malaysia — 1.0% |
|
|
|
19,000 |
| British American Tobacco Malaysia Berhad |
| 204,295 |
|
270,599 |
| Bumiputra-Commerce Holdings Berhad |
| 437,206 |
|
78,000 |
| Carlsberg Brewery Malaysia Berhad |
| 106,137 |
|
101,000 |
| Kumpulan Guthrie Berhad |
| 71,321 |
|
54,000 |
| Malaysian Airlines System Berhad |
| 39,342 |
|
215,100 |
| Maxis Communications Berhad |
| 500,516 |
|
245,200 |
| MISC Berhad |
| 513,389 |
|
204,000 |
| Multi-Purpose Holdings Berhad* |
| 47,381 |
|
169,000 |
| Resorts World Berhad |
| 538,527 |
|
82,000 |
| Telekom Malaysia Berhad |
| 202,165 |
|
|
|
|
| 2,660,279 |
|
|
| Mexico — 0.2% |
|
|
|
2,400 |
| America Movil SA de CV, |
| 79,823 |
|
21,900 |
| Grupo Televisa SA - ADR† |
| 422,889 |
|
1,600 |
| Telefonos de Mexico SA de CV, Series L - ADR† |
| 33,328 |
|
|
|
|
| 536,040 |
|
|
| Netherlands — 4.2% |
|
|
|
6,080 |
| Boskalis Westminster NV |
| 411,901 |
|
18,450 |
| Heineken NV |
| 781,427 |
|
53,566 |
| ING Groep NV |
| 2,101,129 |
|
87,502 |
| Reed Elsevier NV |
| 1,314,514 |
|
99,784 |
| Royal Dutch Shell plc, Class A |
| 3,355,384 |
|
36,491 |
| Royal Dutch Shell plc, Class B |
| 1,275,929 |
|
49,450 |
| Royal KPN NV |
| 555,170 |
|
23,782 |
| Royal Philips |
| 743,299 |
|
11,219 |
| Wolters Kluwer NV |
| 264,680 |
|
|
|
|
| 10,803,433 |
|
|
| New Zealand — 0.4% |
|
|
|
164,038 |
| PGG Wrightson Ltd. |
| 222,320 |
|
342,482 |
| Telecom Corp. of New Zealand Ltd. |
| 845,401 |
|
|
|
|
| 1,067,721 |
|
|
| Norway — 0.2% |
|
|
|
37,100 |
| DNB NOR ASA |
| 460,112 |
|
15
TIFF INTERNATIONAL EQUITY FUND / SCHEDULE OF INVESTMENTS (uNAUDITED) | June 30, 2006 |
|
| Panama — 0.2% |
|
|
|
33,100 |
| Bladex |
| $517,353 |
|
|
| Philippines (The) — 0.8% |
|
|
|
485,700 |
| ABS-CBN Broadcasting Corp. - PDR* |
| 135,155 |
|
134,440 |
| Ayala Corp. |
| 935,088 |
|
201,000 |
| Banco de Oro Universal Bank* |
| 117,030 |
|
41,250 |
| Globe Telecom, Inc. |
| 721,611 |
|
252,000 |
| Jollibee Foods Corp. |
| 146,861 |
|
|
|
|
| 2,055,745 |
|
|
| Poland — 0.2% |
|
|
|
7,777 |
| Bank Pekao SA |
| 462,592 |
|
|
| Russia — 0.1% |
|
|
|
4,300 |
| LUKOIL - ADR† |
| 359,480 |
|
|
| Singapore — 2.2% |
|
|
|
433,000 |
| BIL International Ltd. |
| 383,215 |
|
51,000 |
| Great Eastern Holdings Ltd. |
| 513,610 |
|
115,020 |
| Jardine Matheson Holdings Ltd. |
| 2,024,352 |
|
124,812 |
| Jardine Strategic Holdings Ltd. - LSE Shares |
| 1,347,970 |
|
1,500 |
| Jardine Strategic Holdings Ltd. - SSE Shares |
| 16,200 |
|
88,881 |
| Mandarin Oriental International Ltd. |
| 102,213 |
|
196,000 |
| Oversea-Chinese Banking Corp. |
| 815,922 |
|
240,000 |
| United Industrial Corp. Ltd. |
| 224,550 |
|
46,000 |
| Yellow Pages Singapore Ltd. |
| 30,276 |
|
|
|
|
| 5,458,308 |
|
|
| South Africa — 1.3% |
|
|
|
4,800 |
| Anglo Platinum Ltd. |
| 507,311 |
|
7,408 |
| City Lodge Hotels Ltd. |
| 50,847 |
|
146,916 |
| FirstRand Ltd. |
| 347,081 |
|
6,886 |
| Gold Fields Ltd. |
| 157,778 |
|
9,926 |
| JD Group Ltd. |
| 92,393 |
|
30,044 |
| Nedbank Group Ltd. |
| 474,874 |
|
33,000 |
| New Clicks Holdings Ltd. |
| 40,683 |
|
165,000 |
| RMB Holdings Ltd. |
| 569,905 |
|
56,660 |
| Standard Bank Group Ltd. |
| 610,257 |
|
49,038 |
| Sun International Ltd. |
| 574,873 |
|
|
|
|
| 3,426,002 |
|
|
| South Korea — 0.4% |
|
|
|
950 |
| Hyundai Motor Co. |
| 81,026 |
|
1,200 |
| Kookmin Bank |
| 99,329 |
|
950 |
| Korea Electric Power Corp. |
| 35,328 |
|
15,250 |
| Korea Gas Corp. |
| 522,841 |
|
200 |
| POSCO |
| 53,558 |
|
170 |
| Samsung Electronics Co. Ltd. |
| 108,496 |
|
|
|
|
| 900,578 |
|
|
| Spain — 4.2% |
|
|
|
8,200 |
| Acciona SA |
| 1,270,870 |
|
46,300 |
| Acerinox SA |
| 801,791 |
|
52,500 |
| Banco Popular Espanol SA |
| 781,256 |
|
153,205 |
| BSCH SA |
| 2,240,687 |
|
59,024 |
| Iberdrola SA |
| 2,030,077 |
|
4,900 |
| Prosegur Cia de Seguridad SA |
| 122,174 |
|
7,441 |
| Sogecable SA* |
| 213,572 |
|
186,709 |
| Telefonica SA |
| 3,104,146 |
|
9,950 |
| Viscofan SA |
| 147,324 |
|
|
|
|
| 10,711,897 |
|
|
| Sweden — 1.1% |
|
|
|
30,700 |
| Assa Abloy AB |
| $515,664 |
|
227,820 |
| Ericsson, Class B |
| 752,180 |
|
8,900 |
| Hoganas AB, Class B |
| 220,857 |
|
13,300 |
| Svenska Cellulosa AB |
| 548,543 |
|
30,600 |
| Svenska Handelsbanken, Class A |
| 786,750 |
|
|
|
|
| 2,823,994 |
|
|
| Switzerland — 1.5% |
|
|
|
10,300 |
| Adecco SA |
| 607,340 |
|
19,700 |
| Compagnie Financiere Richemonte AG (UNIT) |
| 898,480 |
|
400 |
| Geberit AG |
| 461,234 |
|
400 |
| Kudelski SA |
| 9,631 |
|
8,000 |
| Logitech International SA* |
| 307,806 |
|
15,180 |
| Novartis AG |
| 819,409 |
|
2,100 |
| Phonak Holding AG |
| 130,781 |
|
510 |
| PubliGroupe SA |
| 170,189 |
|
3,500 |
| Roche Holding AG |
| 576,875 |
|
|
|
|
| 3,981,745 |
|
|
| Taiwan — 0.4% |
|
|
|
226,847 |
| Asustek Computer, Inc. - GDR* |
| 503,600 |
|
27,700 |
| Chunghwa Telecom Co., Ltd. - ADR† |
| 511,619 |
|
|
|
|
| 1,015,219 |
|
|
| Thailand — 1.2% |
|
|
|
492,200 |
| Advanced Info Service PCL |
| 1,156,955 |
|
132,000 |
| GMM Grammy PCL |
| 22,487 |
|
163,000 |
| Kasikornbank PCL |
| 259,179 |
|
330,000 |
| Matichon PCL |
| 108,112 |
|
89,000 |
| MBK PCL |
| 124,794 |
|
240,000 |
| Post Publishing PCL |
| 53,152 |
|
64,000 |
| Siam Cement PCL |
| 387,408 |
|
94,800 |
| Siam Cement PCL - NVDR |
| 529,528 |
|
388,339 |
| Thai Union Frozen Products PCL - NVDR |
| 246,515 |
|
178,000 |
| Thanachart Capital PCL |
| 67,179 |
|
|
|
|
| 2,955,309 |
|
|
| United Kingdom — 15.7% |
|
|
|
70,100 |
| Amvescap plc |
| 640,918 |
|
27,462 |
| Anglo American plc - ADR |
| 561,323 |
|
66,782 |
| Arriva plc |
| 736,748 |
|
65,000 |
| Associated British Ports Holdings plc |
| 1,085,587 |
|
55,611 |
| Aviva plc |
| 786,201 |
|
170,000 |
| BAE Systems plc |
| 1,160,924 |
|
78,200 |
| Barclays plc |
| 887,382 |
|
166,521 |
| BG Group plc |
| 2,227,830 |
|
10,433 |
| BOC Group plc |
| 305,074 |
|
103,069 |
| Boots Group plc |
| 1,465,800 |
|
244,199 |
| BP plc |
| 2,836,038 |
|
61,577 |
| Brambles Industries plc |
| 489,713 |
|
60,000 |
| BT Group plc |
| 265,691 |
|
13,767 |
| Bunzl plc |
| 157,227 |
|
239,200 |
| Cable & Wireless plc |
| 508,152 |
|
90,450 |
| Capita Group plc |
| 771,007 |
|
13,856 |
| Carnival plc |
| 563,962 |
|
140,352 |
| Compass Group plc |
| 680,754 |
|
53,300 |
| Devro plc |
| 115,339 |
|
52,404 |
| Diageo plc |
| 880,647 |
|
143,900 |
| Enodis plc |
| 574,874 |
|
27,300 |
| Enterprise Inns plc |
| 478,142 |
|
139,199 |
| GKN plc |
| 701,331 |
|
105,663 |
| GlaxoSmithKline plc |
| 2,950,721 |
|
16
TIFF INTERNATIONAL EQUITY FUND / SCHEDULE OF INVESTMENTS (uNAUDITED) | June 30, 2006 |
67,850 |
| Hanson plc |
| $824,475 |
|
137,800 |
| Hays plc |
| 344,062 |
|
122,519 |
| HBOS plc |
| 2,127,780 |
|
2,100 |
| Homeserve plc |
| 60,202 |
|
91,700 |
| ICAP plc |
| 842,415 |
|
54,100 |
| Informa plc |
| 430,876 |
|
41,800 |
| Intertek Group plc |
| 541,164 |
|
778,400 |
| Invensys plc* |
| 276,516 |
|
196,000 |
| ITV plc |
| 391,037 |
|
30,470 |
| Ladbrokes plc |
| 229,344 |
|
177,204 |
| Lloyds TSB Group plc |
| 1,745,040 |
|
53,633 |
| MyTravel Group plc, Class A* |
| 233,969 |
|
104,500 |
| PartyGaming plc |
| 222,924 |
|
41,102 |
| Provident Financial plc |
| 466,223 |
|
22,660 |
| Reckitt Benckiser plc |
| 845,178 |
|
75,700 |
| Reed Elsevier plc |
| 763,532 |
|
30,600 |
| Rexam plc |
| 298,468 |
|
28,500 |
| Rio Tinto plc |
| 1,495,463 |
|
56,578 |
| Royal Bank of Scotland Group plc |
| 1,857,903 |
|
161,300 |
| Sage Group plc |
| 687,315 |
|
25,950 |
| Smiths Group plc |
| 427,228 |
|
209,015 |
| Stagecoach Group plc |
| 445,519 |
|
118,100 |
| Tesco plc |
| 728,846 |
|
37,500 |
| TI Automotive Ltd., Class A*(a)(b) |
| 1 |
|
64,828 |
| Unilever plc |
| 1,456,373 |
|
215,300 |
| Vodafone Group plc |
| 458,086 |
|
38,400 |
| WPP Group plc |
| 464,284 |
|
|
|
|
| 40,495,608 |
|
|
| United States — 0.1% |
|
|
|
5,800 |
| NII Holdings, Inc., Class B* |
| 327,004 |
|
|
| Total Common Stocks |
| 192,239,535 |
|
|
| Commingled Investment Vehicles — 15.5% |
|
|
|
|
| Exchange Traded Funds — 4.0% |
|
|
|
38,700 |
| iShares MSCI EAFE Index Fund |
| 2,523,627 |
|
64,800 |
| iShares MSCI Emerging Markets Index Fund |
| 6,084,720 |
|
40,000 |
| iShares MSCI South Korea Index Fund |
| 1,802,800 |
|
|
|
|
| 10,411,147 |
|
|
| Private Investment Funds — 11.5% |
|
|
|
|
| Convexity Capital Offshore, LP*(a)(b)(c)(d) |
| 11,654,375 |
|
54,038 |
| Lansdowne UK Equity Fund Ltd.*(a)(b)(c)(d) |
| 11,379,586 |
|
65,654 |
| Tosca*(a)(b)(c)(d) |
| 6,572,587 |
|
|
|
|
| 29,606,548 |
|
|
| Total Commingled Investment Vehicles |
| 40,017,695 |
|
|
| Preferred Stocks — 0.3% |
|
|
|
32,420 |
| Cia Vale do Rio Doce (Brazil) |
| 660,309 |
|
|
|
|
|
|
|
|
| Miscellaneous — 0.0%(e) |
|
|
|
6,948 |
| Suez SA, Strip VVPR - PSE Shares (France)*(a) |
| 89 |
|
|
|
|
|
|
|
|
| Rights — 0.0%(e) |
|
|
|
311,360 |
| Invensys plc Rights, Expiring 7/7/2006 (United Kingdom)* |
| $23,323 |
|
|
| Warrants — 0.0% (e) |
|
|
|
20,400 |
| Multi-Purpose Holdings Berhad Warrants, Expiring 2/26/2009 (Malaysia)* |
| 1,166 |
|
Principal |
|
|
| Interest |
| Maturity |
|
|
|
Amount |
|
|
| Rate |
| Date |
|
|
|
|
| Short-Term Investments — 9.2% |
|
|
| ||||
|
| Repurchase Agreement — 4.5% |
|
|
| ||||
11,620,742 |
| Investors Bank & Trust Company Repurchase Agreement issued 6/30/06 (proceeds at maturity $11,624,373) (Collateralized by a $5,018,856 SBA Pool #505861, 7.875%, due 4/25/27, and a $6,309,984 SBA Pool #505982, 8.375%, due 5/25/16, with a market value, including accrued interest, of $5,438,336, and $6,763,443, respectively) |
| ||||||
|
| (Cost $11,620,742) |
| 3.750 | % | 07/03/06 |
| 11,620,742 |
|
|
| US Treasury Securities — 4.7%# |
|
|
| ||||
4,200,000 |
| US Treasury Bill |
| 4.990 | % | 11/02/06 |
| 4,130,440 |
|
2,000,000 |
| US Treasury Bill |
| 4.984 | % | 11/09/06 |
| 1,964,834 |
|
4,000,000 |
| US Treasury Bill |
| 5.019 | % | 11/24/06 |
| 3,920,700 |
|
2,000,000 |
| US Treasury Bill |
| 5.052 | % | 12/07/06 |
| 1,956,858 |
|
|
| Total US Treasury Securities |
|
|
| 11,972,832 |
| ||
|
| Total Short-Term Investments |
|
|
| 23,593,574 |
| ||
|
| Total Investments — 99.7% |
|
|
| 256,535,691 |
| ||
|
| Other Assets in Excess of Liabilities — 0.3% |
| 768,397 |
| ||||
|
| Net Assets — 100.0% |
|
|
|
|
| $257,304,088 |
|
17
TIFF INTERNATIONAL EQUITY FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) | June 30, 2006 |
Summary of Industry Classifications (as a % of total net assets):
Basic Materials |
| 5.3 | % |
Communications |
| 9.2 |
|
Consumer, Cyclical |
| 7.8 |
|
Consumer, Non-cyclical |
| 11.6 |
|
Diversified |
| 2.5 |
|
Energy |
| 6.4 |
|
Exchange Traded Funds |
| 4.0 |
|
Financial |
| 17.0 |
|
Industrial |
| 10.4 |
|
Private Investment Funds |
| 11.5 |
|
Repurchase Agreement |
| 4.5 |
|
Technology |
| 1.8 |
|
US Treasury Securities |
| 4.7 |
|
Utilities |
| 3.0 |
|
Financial Futures Contracts |
| 0.6 |
|
Forward Currency Contracts |
| (0.0 | )(e) |
Other Liabilities in Excess of Other Assets |
| (0.3 | ) |
Total |
| 100.0 | % |
ADR American Depositary Receipt
EAFE Europe, Australia and Far East
GDR Global Depositary Receipt
LSE London Stock Exchange
MSCI Morgan Stanley Capital International
MSE Milan Stock Exchange
NVDR Non-Voting Depositary Receipt
PDR Philippine Depositary Receipt
PSE Paris Stock Exchange
SBA Small Business Administration
SSE Singapore Stock Exchange
TSE Toronto Stock Exchange
UNIT A security with an attachment to buy shares, bonds, or other types of securities at a specific price before a predetermined date.
VVPR Verminderde Voorheffing Précompte Réduit (France dividend coupon)
# Interest rate represents the yield to maturity at the time of purchase.
* Non-income producing security.
† A Sponsored ADR is an American Depositary Receipt that is issued through the cooperation of the company whose stock will be the underlying asset.
+ See Note 2 to the Financial Statements.
(a) Illiquid security.
(b) Security is valued in good faith under procedures established by the board of directors.
(c) Restricted security. See Appendix E of Notes to Financial Statements.
(d) Portfolio holdings information of the Private Investment Funds is not available as of June 30, 2006. These positions are therefore grouped into their own industry classification.
(e) Rounds to less than 0.1% or (0.1%).
See accompanying Notes to Financial Statements.
|
|
June 30, 2006 |
Number of |
|
|
|
|
|
Shares |
|
|
| Value + |
|
|
| Common Stocks — 69.2% |
|
|
|
|
| Aerospace and Defense — 1.7% |
|
|
|
61,500 |
| AAR Corp.* |
| $1,367,146 |
|
9,000 |
| Lockheed Martin Corp. |
| 645,660 |
|
9,300 |
| Northrop Grumman Corp. |
| 595,758 |
|
13,600 |
| Raytheon Co. |
| 606,152 |
|
3,200 |
| United Technologies Corp. |
| 202,944 |
|
|
|
|
| 3,417,660 |
|
|
| Apparel — 0.1% |
|
|
|
2,600 |
| Nike, Inc., Class B |
| 210,600 |
|
|
| Auto Manufacturers and Parts — 1.4% |
|
|
|
177,015 |
| Cooper Tire & Rubber Co. |
| 1,971,947 |
|
33,000 |
| Ford Motor Co. |
| 228,690 |
|
6,400 |
| Paccar, Inc. |
| 527,232 |
|
|
|
|
| 2,727,869 |
|
|
| Banking — 6.6% |
|
|
|
62,000 |
| Bankunited Financial Corp., Class A |
| 1,892,240 |
|
3,700 |
| Comerica, Inc. |
| 192,363 |
|
31,395 |
| Downey Financial Corp. |
| 2,130,151 |
|
13,900 |
| Keycorp |
| 495,952 |
|
5,500 |
| National City Corp. |
| 198,990 |
|
69,300 |
| North Valley Bancorp |
| 1,205,127 |
|
72,000 |
| People’s Bank Co. |
| 2,365,200 |
|
46,187 |
| Prosperity Bancshares, Inc. |
| 1,519,090 |
|
64,000 |
| South Financial Group, Inc. (The) |
| 1,690,240 |
|
6,200 |
| UnionBanCal Corp. |
| 400,458 |
|
7,900 |
| Wachovia Corp. |
| 427,232 |
|
9,500 |
| Wells Fargo & Co. |
| 637,260 |
|
|
|
|
| 13,154,303 |
|
|
| Beverages, Food and Tobacco — 4.4% |
|
|
|
2,800 |
| Altria Group, Inc. |
| 205,604 |
|
10,500 |
| Campbell Soup Co. |
| 389,655 |
|
6,100 |
| Coca-Cola Co. (The) |
| 262,422 |
|
10,900 |
| General Mills, Inc. |
| 563,094 |
|
24,900 |
| Kroger Co. (The) |
| 544,314 |
|
38,300 |
| Molson Coors Brewing Co., Class B |
| 2,599,804 |
|
11,900 |
| PepsiCo, Inc. |
| 714,476 |
|
68,200 |
| Ralcorp Holdings, Inc.* |
| 2,900,546 |
|
4,700 |
| Reynolds American, Inc. |
| 541,910 |
|
|
|
|
| 8,721,825 |
|
|
| Biotechnology — 0.4% |
|
|
|
11,300 |
| Amgen, Inc.* |
| 737,099 |
|
|
| Building Materials — 0.1% |
|
|
|
6,400 |
| MASCO Corp. |
| 189,696 |
|
|
| Chemicals — 1.8% |
|
|
|
33,400 |
| FMC Corp. |
| 2,150,626 |
|
65,868 |
| Mosaic Co. (The)* |
| 1,030,834 |
|
2,700 |
| PPG Industries, Inc. |
| 178,200 |
|
4,400 |
| Rohm & Haas Co. |
| 220,528 |
|
|
|
|
| 3,580,188 |
|
|
| Commercial Services — 5.3% |
|
|
|
100 |
| Cendant Corp. |
| 1,629 |
|
96,000 |
| DeVry, Inc.* |
| 2,109,120 |
|
47,100 |
| ITT Educational Services, Inc.* |
| 3,099,651 |
|
52,500 |
| Live Nation, Inc.* |
| $1,068,900 |
|
11,300 |
| McKesson Corp. |
| 534,264 |
|
66,800 |
| Preview Systems* (a) |
| 200 |
|
81,881 |
| Rent-A-Center, Inc.* |
| 2,035,562 |
|
50,200 |
| United Rentals, Inc.* |
| 1,605,396 |
|
|
|
|
| 10,454,722 |
|
|
| Computers — 1.0% |
|
|
|
4,200 |
| Computer Sciences Corp.* |
| 203,448 |
|
8,400 |
| Electronic Data Systems Corp. |
| 202,104 |
|
15,200 |
| EMC Corp.* |
| 166,744 |
|
28,500 |
| Hewlett-Packard Co. |
| 902,880 |
|
5,500 |
| IBM |
| 422,510 |
|
|
|
|
| 1,897,686 |
|
|
| Cosmetics and Personal Care — 0.2% |
|
|
|
7,300 |
| Estee Lauder Companies, Inc. (The), Class A |
| 282,291 |
|
3,200 |
| Procter & Gamble Co. |
| 177,920 |
|
|
|
|
| 460,211 |
|
|
| Distribution and Wholesale — 0.7% |
|
|
|
50,800 |
| Owens & Minor, Inc. |
| 1,452,880 |
|
|
| Electric Utilities — 3.2% |
|
|
|
5,000 |
| American Electric Power Co., Inc. |
| 171,250 |
|
6,500 |
| Constellation Energy Group, Inc. |
| 354,380 |
|
9,500 |
| Edison International |
| 370,500 |
|
9,900 |
| PG&E Corp. |
| 388,872 |
|
80,500 |
| PNM Resources, Inc. |
| 2,009,280 |
|
6,800 |
| PPL Corp. |
| 219,640 |
|
197,618 |
| Sierra Pacific Resources* |
| 2,766,652 |
|
|
|
|
| 6,280,574 |
|
|
| Electrical Components and Equipment — 0.2% |
| ||
5,000 |
| Emerson Electric Co. |
| 419,050 |
|
|
| Electronics — 3.5% |
|
|
|
125,100 |
| Checkpoint Systems, Inc.* |
| 2,778,471 |
|
19,200 |
| Fisher Scientific International, Inc.* |
| 1,402,560 |
|
49,000 |
| Rogers Corp.* |
| 2,760,660 |
|
|
|
|
| 6,941,691 |
|
|
| Entertainment and Leisure — 0.1% |
|
|
|
5,400 |
| International Game Technology |
| 204,876 |
|
|
| Environmental Control — 1.7% |
|
|
|
14,300 |
| Mine Safety Appliances Co. |
| 574,860 |
|
153,981 |
| Nalco Holding Co.* |
| 2,714,685 |
|
|
|
|
| 3,289,545 |
|
|
| Financial Services — 3.2% |
|
|
|
1,500 |
| Bear Stearns Companies, Inc. (The) |
| 210,120 |
|
9,200 |
| CIT Group, Inc. |
| 481,068 |
|
32,600 |
| Citigroup, Inc. |
| 1,572,624 |
|
9,400 |
| Countrywide Financial Corp. |
| 357,952 |
|
5,700 |
| Goldman Sachs Group, Inc. |
| 857,451 |
|
15,900 |
| JPMorgan Chase & Co. |
| 667,800 |
|
9,800 |
| Lehman Brothers Holdings, Inc. |
| 638,470 |
|
11,100 |
| Merrill Lynch & Co., Inc. |
| 772,116 |
|
12,500 |
| Morgan Stanley |
| 790,125 |
|
|
|
|
| 6,347,726 |
|
‘ |
|
|
|
|
|
19
TIFF US EQUITY FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) | June 30, 2006 |
| Healthcare Products — 2.9% |
|
|
| |
48,500 |
| Cooper Companies, Inc. (The) |
| $2,148,065 |
|
17,900 |
| Johnson & Johnson |
| 1,072,568 |
|
269,200 |
| PharmChem, Inc.* (a) |
| 808 |
|
113,100 |
| STERIS Corp. |
| 2,585,466 |
|
|
|
|
| 5,806,907 |
|
|
| Healthcare Services — 3.8% |
|
|
|
13,000 |
| Aetna, Inc. |
| $519,090 |
|
60,447 |
| LifePoint Hospitals, Inc.* |
| 1,942,162 |
|
40,000 |
| Lincare Holdings, Inc.* |
| 1,513,600 |
|
98,600 |
| Odyssey HealthCare, Inc.* |
| 1,732,402 |
|
37,000 |
| Universal Health Services, Inc., Class B |
| 1,859,620 |
|
|
|
|
| 7,566,874 |
|
|
| Heavy Machinery — 0.3% |
|
|
|
7,900 |
| Caterpillar, Inc. |
| 588,392 |
|
|
| Household Products and Wares — 0.3% |
|
|
|
2,400 |
| Clorox Co. (The) |
| 146,328 |
|
6,500 |
| Kimberly-Clark Corp. |
| 401,050 |
|
|
|
|
| 547,378 |
|
|
| Insurance — 3.3% |
|
|
|
11,700 |
| Allstate Corp. (The) |
| 640,341 |
|
50,000 |
| Arthur J Gallagher & Co. |
| 1,267,000 |
|
60,000 |
| Brown & Brown, Inc. |
| 1,753,200 |
|
42,200 |
| Hilb, Rogal & Hobbs Co. |
| 1,572,794 |
|
10,000 |
| Loews Corp. |
| 354,500 |
|
16,000 |
| Platinum Underwriters Holdings Ltd. (Bermuda) |
| 447,680 |
|
9,500 |
| Principal Financial Group |
| 528,675 |
|
|
|
|
| 6,564,190 |
|
|
| Internet — 1.1% |
|
|
|
120,147 |
| Internet Security Systems* |
| 2,264,771 |
|
|
| Media — 2.3% |
|
|
|
176,036 |
| Cox Radio, Inc., Class A* |
| 2,538,439 |
|
24,500 |
| DIRECTV Group, Inc. (The)* |
| 404,250 |
|
3,800 |
| McGraw-Hill Companies, Inc. (The) |
| 190,874 |
|
10,400 |
| News Corp., Class A |
| 199,472 |
|
49,200 |
| Time Warner, Inc. |
| 851,160 |
|
6,400 |
| Univision Communications, Inc., Class A* |
| 214,400 |
|
6,500 |
| Walt Disney Co. |
| 195,000 |
|
|
|
|
| 4,593,595 |
|
|
| Metals and Mining — 0.6% |
|
|
|
8,200 |
| Alcoa, Inc. |
| 265,352 |
|
5,400 |
| Freeport-McMoRan Copper & Gold, Inc., Class B |
| 299,214 |
|
10,000 |
| Nucor Corp. |
| 542,500 |
|
35,000 |
| Pacific Rim Mining Corp. - ASE Shares (Canada)* (c) |
| 27,300 |
|
|
|
|
| 1,134,366 |
|
|
| Miscellaneous Manufacturing — 0.6% |
|
|
|
2,900 |
| Eaton Corp. |
| 218,660 |
|
10,000 |
| Illinois Tool Works, Inc. |
| 475,000 |
|
11,400 |
| Ingersoll-Rand Co. Ltd. |
| 487,692 |
|
|
|
|
| 1,181,352 |
|
|
|
|
|
|
|
|
| Oil and Gas — 3.3% |
|
|
|
7,000 |
| Anadarko Petroleum Corp. |
| $333,830 |
|
8,392 |
| ConocoPhillips |
| 549,928 |
|
9,100 |
| Devon Energy Corp. |
| 549,731 |
|
9,600 |
| Encana Corp. - NYSE Shares (Canada) |
| 505,344 |
|
21,900 |
| Exxon Mobil Corp. |
| 1,343,565 |
|
7,800 |
| Hess Corp. |
| 412,230 |
|
4,900 |
| Marathon Oil Corp. |
| 408,170 |
|
5,900 |
| Nabors Industries Ltd. |
| 199,361 |
|
10,000 |
| Petro-Canada - NYSE Shares (Canada) |
| 474,100 |
|
24,000 |
| Stone Energy Corp.* |
| 1,117,200 |
|
3,300 |
| Sunoco, Inc. |
| 228,657 |
|
25,800 |
| Talisman Energy, Inc. - NYSE Shares (Canada) |
| 450,984 |
|
|
|
|
| 6,573,100 |
|
|
| Pharmaceuticals — 1.5% |
|
|
|
9,500 |
| Abbott Laboratories |
| 414,295 |
|
9,500 |
| AmerisourceBergen Corp. |
| 398,240 |
|
8,700 |
| Cardinal Health, Inc. |
| 559,671 |
|
7,300 |
| Caremark Rx, Inc. |
| 364,051 |
|
50,400 |
| Pfizer, Inc. |
| 1,182,888 |
|
|
|
|
| 2,919,145 |
|
|
| Real Estate — 0.2% |
|
|
|
8,800 |
| Brookfield Asset Managment, Inc., Class A (Canada) |
| 357,456 |
|
|
| Retail — 4.5% |
|
|
|
50,000 |
| Applebee’s International, Inc. |
| 961,000 |
|
110,125 |
| Big Lots, Inc.* |
| 1,880,935 |
|
66,300 |
| Geerlings & Wade, Inc.* |
| 76,245 |
|
12,400 |
| Home Depot, Inc. |
| 443,796 |
|
8,400 |
| JC Penney Co., Inc. |
| 567,084 |
|
3,300 |
| Kohl’s Corp.* |
| 195,096 |
|
14,800 |
| Limited Brands, Inc. |
| 378,732 |
|
13,600 |
| Office Depot, Inc.* |
| 516,800 |
|
65,000 |
| Ruby Tuesday, Inc. |
| 1,586,650 |
|
100,000 |
| Saks, Inc. |
| 1,617,000 |
|
7,400 |
| Starbucks Corp.* |
| 279,424 |
|
10,500 |
| Yum! Brands, Inc. |
| 527,835 |
|
|
|
|
| 9,030,597 |
|
|
| Semiconductors — 0.7% |
|
|
|
11,700 |
| Applied Materials, Inc. |
| 190,476 |
|
7,800 |
| Freescale Semiconductor, Inc., Class B* |
| 229,320 |
|
19,700 |
| Intel Corp. |
| 373,315 |
|
21,100 |
| Texas Instruments, Inc. |
| 639,119 |
|
|
|
|
| 1,432,230 |
|
|
| Software — 2.4% |
|
|
|
9,800 |
| Fiserv, Inc.* |
| 444,528 |
|
8,100 |
| Intuit, Inc.* |
| 489,159 |
|
49,900 |
| Microsoft Corp. |
| 1,162,670 |
|
69,400 |
| MoneyGram International, Inc. |
| 2,356,130 |
|
28,553 |
| NexPrise, Inc.*(a) |
| 8,566 |
|
28,200 |
| Oracle Corp.* |
| 408,618 |
|
|
|
|
| 4,869,671 |
|
|
|
|
|
|
|
|
| Telecommunications — 3.8% |
|
|
|
246,100 |
| Andrew Corp.* |
| 2,180,446 |
|
8,000 |
| BCE, Inc. - NYSE Shares (Canada)* |
| 189,200 |
|
16,100 |
| BellSouth Corp. |
| 582,820 |
|
20
TIFF US EQUITY FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) | June 30, 2006 |
51,300 |
| Cisco Systems, Inc.* |
| $1,001,889 |
|
| |||
94,100 |
| General Communications, Inc., Class A* |
| 1,159,312 |
|
| |||
7,700 |
| Qualcomm, Inc. |
| 308,539 |
|
| |||
24,100 |
| U.S. Cellular Corp.* |
| 1,460,460 |
|
| |||
22,000 |
| Verizon Communications, Inc. |
| 736,780 |
|
| |||
|
|
|
| 7,619,446 |
|
| |||
|
| Transportation — 2.0% |
|
|
|
| |||
20,000 |
| Con-way, Inc. |
| 1,158,600 |
|
| |||
4,900 |
| CSX Corp. |
| 345,156 |
|
| |||
41,800 |
| EGL, Inc.* |
| 2,098,360 |
|
| |||
4,100 |
| FedEx Corp. |
| 479,126 |
|
| |||
|
|
|
| 4,081,242 |
|
| |||
|
| Total Common Stocks |
| 137,618,913 |
|
| |||
|
| Private Investment Funds — 25.7% |
|
|
| ||||
|
| Adage Capital Partners, LP*(a)(b)(c)(d) |
| 30,766,298 |
| ||||
|
| Freeman Fair Value |
| 19,958,999 |
| ||||
|
| Gotham Partners, LP*(a)(b)(c)(d) |
| 271,894 |
| ||||
|
| Total Private Investment Funds |
| 50,997,191 |
| ||||
Principal |
|
|
| Interest |
| Maturity |
|
|
|
Amount |
|
|
| Rate |
| Date |
| Value + |
|
| Short-Term Investments — 5.3% |
|
|
|
|
| |||
|
| Repurchase Agreement — 1.8% |
|
|
|
|
| ||
$3,658,560 |
| Investors Bank & Trust Company Repurchase Agreement issued 06/30/06 (proceeds at maturity $3,659,703) (Collaterized by a $3,565,075 SBA Pool #506467, 7.625%, due 07/25/28, with a market value, including accrued interest, of $3,841,488). |
|
|
| ||||
| (Cost $3,658,560) |
| 3.750 | % | 07/03/06 |
| $3,658,560 |
| |
|
| US Treasury Securities — 3.5%# |
|
|
|
|
| ||
500,000 |
| US Treasury Bill |
| 4.652 | % | 08/10/06 |
| 497,558 |
|
1,500,000 |
| US Treasury Bill |
| 4.676 | % | 08/17/06 |
| 1,491,183 |
|
3,000,000 |
| US Treasury Bill |
| 4.990 | % | 11/02/06 |
| 2,950,314 |
|
2,000,000 |
| US Treasury Bill |
| 5.052 | % | 12/07/06 |
| 1,956,858 |
|
| Total US Treasury Securities |
|
|
| 6,895,913 |
| |||
|
| Total Short-Term Investments |
|
|
| 10,554,473 |
| ||
| Total Investments — 100.2% (Cost $162,418,199) |
|
|
| 199,170,577 |
| |||
|
| Liabilities in Excess of Other Assets — (0.2%) |
| (378,575 | ) | ||||
| Net Assets — 100.0% |
|
|
| $198,792,002 |
|
21
TIFF US EQUITY FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) | June 30, 2006 |
Summary of Industry Classifications (as a % of total net assets): |
| ||
Basic Materials |
| 2.4 | % |
Communications |
| 7.3 |
|
Consumer, Cyclical |
| 6.9 |
|
Consumer, Non-cyclical |
| 18.7 |
|
Energy |
| 3.3 |
|
Financial |
| 13.3 |
|
Industrial |
| 10.1 |
|
Private Investment Funds |
| 25.7 |
|
Repurchase Agreements |
| 1.8 |
|
Technology |
| 4.1 |
|
US Treasury Securities |
| 3.5 |
|
Utilities |
| 3.2 |
|
Financial Futures Contracts |
| 0.2 |
|
Liabilities in Excess of Other Assets |
| (0.5 | ) |
Total |
| 100.0 | % |
ASE American Stock Exchange
NYSE New York Stock Exchange
SBA Small Business Administration
# Interest rate represents the yield to maturity at the time of purchase.
* Non-income producing security.
+ See Note 2 to the Financial Statements.
(a) Illiquid security.
(b) Security is valued in good faith under procedures established by the board of directors.
(c) Restricted security. See Appendix E of Notes to Financial Statements.
(d) Portfolio holdings information of the Private Investment Funds is not available as of June 30, 2006. These positions are therefore grouped into their own industry classification.
(e) The valuation committee has determined the partnership interest in Freeman Fair Value Fund I, LP to be liquid based on the ability to redeem the private investment fund interest upon seven days’ notice and payment of a 0.25% redemption fee. The TIP board of directors duly ratified the liquidity determination and agreed to fair value the private investment fund at 99.75% of its stated market value to take into account this potential redemption fee.
See accompanying Notes to Financial Statements.
22
TIFF GOVERNMENT BOND FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) | June 30, 2006 |
Principal |
|
|
| Interest |
| Maturity |
| Value + |
|
|
| US Treasury Security — 99.0% |
|
|
|
|
| ||
$36,028,000 |
| US Treasury Note |
| 5.125% |
| 05/15/16 |
| $35,985,776 |
|
|
| Repurchase Agreements — 99.3% |
|
|
|
|
| ||
186,724 |
| Investors Bank & Trust Company Repurchase Agreement issued 06/30/06 (proceeds at maturity $186,783) (Collateralized by a $190,138 SBA Pool #503745, 8.625%, due 02/25/10, with a market value, including |
|
|
| ||||
|
| accrued interest, of $196,061) |
| 3.750% |
| 07/03/06 |
| 186,724 |
|
18,600,000 |
| Morgan Stanley Repurchase Agreement issued 6/30/06 (proceeds at maturity $18,606,944) (Collateralized by a $15,815,000 US Treasury Note, 3.375%, due 1/15/12, with a market value, including accrued interest, |
|
|
| ||||
|
| of $18,972,006) |
| 4.480% |
| 07/03/06 |
| 18,600,000 |
|
17,300,000 |
| Nomura Securities Co. Ltd. Repurchase Agreement issued 6/27/06 (proceeds at maturity $17,313,840) (Collateralized by a $13,005,000 US Treasury Note, 8.75%, due 8/15/20 with a market value, including accrued |
|
|
| ||||
|
| interest, of $17,654,287) |
| 4.800% |
| 07/03/06 |
| 17,300,000 |
|
|
| Total Repurchase Agreements |
|
|
| 36,086,724 |
| ||
|
| Total Investments — 198.3% |
|
|
| 72,072,500 |
| ||
|
| Liabilities in Excess of Other Assets — (98.3%) |
| (35,727,626 | ) | ||||
|
| Net Assets — 100.0% |
|
|
|
|
| $36,344,874 |
|
Summary of Industry Classifications (as a % of total net assets):
Repurchase Agreements |
| 99.3 | % |
Reverse Repurchase Agreements |
| (98.7 | ) |
US Treasury Security |
| 99.0 |
|
Other Assets in Excess of Other Liabilities |
| 0.4 |
|
Total |
| 100.0 | % |
SBA Small Business Administration
+ See Note 2 to the Financial Statements.
See accompanying Notes to Financial Statements.
23
June 30, 2006 |
Principal |
|
|
| Interest |
| Maturity |
| Value + |
| ||
|
| Time Deposit — 0.5% |
|
|
|
|
|
|
| ||
$498,000 |
| Investors Bank & Trust Company (Cost $498,000) |
| 5.000% |
| 07/03/06 |
| $498,000 |
| ||
|
| US Treasury Securities — 97.8%# |
|
|
| ||||||
50,000 |
| US Treasury Bill |
| 4.604% |
| 08/03/06 |
| 49,804 |
| ||
50,000 |
| US Treasury Bill |
| 4.796% |
| 09/07/06 |
| 49,563 |
| ||
6,950,000 |
| US Treasury Bill |
| 4.990% |
| 11/02/06 |
| 6,834,894 |
| ||
6,200,000 |
| US Treasury Bill |
| 4.984% |
| 11/09/06 |
| 6,090,985 |
| ||
15,000,000 |
| US Treasury Bill |
| 4.990% |
| 11/16/06 |
| 14,719,995 |
| ||
64,800,000 |
| US Treasury Bill |
| 4.820%-5.050% |
| 11/24/06 |
| 63,515,340 |
| ||
|
| Total US Treasury Securities |
| 91,260,581 |
| ||||||
|
| Total Investments — 98.3% |
| 91,758,581 |
| ||||||
|
| Other Assets in Excess of Liabilities — 1.7% |
| 1,589,444 |
| ||||||
|
| Net Assets — 100.0% |
|
|
|
|
| $93,348,025 |
| ||
Summary of Industry Classifications (as a % of total net assets): |
| ||
Time Deposits |
| 0.5 | % |
US Treasury Securities |
| 97.8 |
|
Other Assets in Excess of Liabilities |
| 1.7 |
|
Total |
| 100.0 | % |
# Interest rate represents the yield to maturity at the time of purchase.
+ See Note 2 to the Financial Statements.
See accompanying Notes to Financial Statements.
24
June 30, 2006 |
|
|
|
| TIFF |
| TIFF |
| TIFF |
| |||||
|
|
|
| Multi-Asset |
| International |
| US Equity |
| |||||
|
|
|
| Fund |
| Equity Fund |
| Fund |
| |||||
Assets |
|
|
|
|
|
|
|
|
|
|
| |||
Investments in securities, at value (a) (b) |
|
|
| $ | 1,395,233,479 |
|
| $ | 256,535,691 |
|
| $ | 199,170,577 |
|
Cash |
|
|
| 9,104,847 |
|
| 39,153 |
|
| 30,372 |
| |||
Foreign currency (c) |
|
|
| 981,450 |
|
| 1,284,518 |
|
| — |
| |||
Receivables for: |
|
|
|
|
|
|
|
|
|
|
| |||
Capital stock sold |
|
|
| 3,608 |
|
| — |
|
| 225,065 |
| |||
Securities sold |
|
|
| 10,009,185 |
|
| 1,297,601 |
|
| 561,115 |
| |||
Dividends and tax reclaims |
|
|
| 1,005,527 |
|
| 441,683 |
|
| 133,340 |
| |||
Interest |
|
|
| 1,515,014 |
|
| 1,215 |
|
| 383 |
| |||
Variation margin on financial futures contracts (g) |
|
|
| 3,518,867 |
|
| 1,018,589 |
|
| — |
| |||
Deposit with broker for short sales |
|
|
| 21,237,936 |
|
| — |
|
| — |
| |||
State tax withholding reclaim |
|
|
| — |
|
| — |
|
| 29,487 |
| |||
Total Assets |
|
|
| 1,442,609,913 |
|
| 260,618,450 |
|
| 200,150,339 |
| |||
Liabilities |
|
|
|
|
|
|
|
|
|
|
| |||
Market value of securities sold short (d) |
|
|
| 16,737,016 |
|
| — |
|
| — |
| |||
Options written, at value (e) |
|
|
| 3,150 |
|
| — |
|
| — |
| |||
Reverse repurchase agreements (Note 5) (f) |
|
|
| 31,588,464 |
|
| — |
|
| — |
| |||
Payable for: |
|
|
|
|
|
|
|
|
|
|
| |||
Capital stock repurchased |
|
|
| — |
|
| 320,000 |
|
| — |
| |||
Securities purchased |
|
|
| 31,187,022 |
|
| 1,742,838 |
|
| 247,750 |
| |||
Securities purchased to close short positions |
|
|
| 6,296,622 |
|
| — |
|
| — |
| |||
Variation margin on financial futures contracts (g) |
|
|
| — |
|
| — |
|
| 830,500 |
| |||
Open swap agreement (h) |
|
|
| 99,435 |
|
| — |
|
| — |
| |||
Dividends from securities sold short |
|
|
| 134,374 |
|
| — |
|
| — |
| |||
Dividends from net investment income |
|
|
| 4,546,307 |
|
| 776,043 |
|
| 191,600 |
| |||
Unrealized depreciation on forward currency contracts (i) |
|
|
| 254,687 |
|
| 110,467 |
|
| — |
| |||
Accrued expenses and other liabilities |
|
|
| 755,670 |
|
| 365,014 |
|
| 88,487 |
| |||
Total Liabilities |
|
|
| 91,602,747 |
|
| 3,314,362 |
|
| 1,358,337 |
| |||
Net Assets |
|
|
| $ | 1,351,007,166 |
|
| $ | 257,304,088 |
|
| $ | 198,792,002 |
|
Shares Outstanding (j) |
|
|
| 87,038,251 |
|
| 16,040,419 |
|
| 13,676,779 |
| |||
Net Asset Value Per Share |
|
|
| $ | 15.52 |
|
| $ | 16.04 |
|
| $ | 14.54 |
|
Components of Net Assets: |
|
|
|
|
|
|
|
|
|
|
| |||
Capital stock (k) |
|
|
| $ | 1,182,419,484 |
|
| $ | 180,048,968 |
|
| $ | 156,357,334 |
|
Distribution in excess of net investment income |
|
|
| (13,539,306 | ) |
| (4,671,074 | ) |
| (1,665,266 | ) | |||
Accumulated net realized gain (loss) on investments |
|
|
| (11,552,390 | ) |
| 9,188,801 |
|
| 6,958,718 |
| |||
Net unrealized appreciation on investments, short sales, financial futures contracts, options contracts, forward currency contracts, and translation of assets and liabilities denominated in foreign currency |
|
|
| 193,679,378 |
|
| 72,737,393 |
|
| 37,141,216 |
| |||
|
|
|
| $ | 1,351,007,166 |
|
| $ | 257,304,088 |
|
| $ | 198,792,002 |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
(a) Cost of investments |
|
|
| $ | 1,208,888,626 |
|
| $ | 185,333,824 |
|
| $ | 162,418,199 |
|
(b) Includes repurchase agreements of (cost same as value) |
|
|
| $ | 34,823,384 |
|
| $ | 11,620,742 |
|
| $ | 3,658,560 |
|
(c) Cost of foreign currency |
|
|
| $ | 979,187 |
|
| $ | 1,280,098 |
|
| $ | — |
|
(d) Proceeds |
|
|
| $ | 14,246,346 |
|
| $ | — |
|
| $ | — |
|
(e) Appendix G of the Notes to Financial Statements details Multi-Asset Fund’s open written option contracts at June 30, 2006 |
|
|
|
| ||||||||||
(f) Appendix F of the Notes to Financial Statements details Multi-Asset Fund’s open reverse repurchase agreements at June 30, 2006. |
|
|
|
| ||||||||||
(g) Appendix C of the Notes to Financial Statements details each funds’ financial futures contracts at June 30, 2006. |
|
|
|
| ||||||||||
(h) Appendix H of the Notes to Financial Statements details Multi-Asset Fund’s open swap agreement at June 30, 2006. |
|
|
|
| ||||||||||
(i) Appendix B of the Notes to Financial Statements details each funds’ open forward currency contracts at June 30, 2006. |
|
|
|
| ||||||||||
(j) Authorized 500,000,000 shares, par value $0.001 for each fund. |
|
|
|
|
|
|
|
|
|
|
| |||
(k) Includes accumulated entry/exit fees of |
|
|
| $ | 9,905,275 |
|
| $ | 3,840,396 |
|
| $ | 1,745,001 |
|
See accompanying Notes to Financial Statements.
25
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED) | June 30, 2006 |
|
| TIFF |
| TIFF |
| ||||||
|
| Government |
| Short-Term |
| ||||||
|
| Bond Fund |
| Term |
| ||||||
Assets |
|
|
|
|
|
|
|
|
| ||
Investments in securities, at value (a) (b) |
|
| $ | 72,072,500 |
|
|
| $ | 91,758,581 |
|
|
Cash |
|
| 1,703 |
|
|
| 289,865 |
|
| ||
Receivables for: |
|
|
|
|
|
|
|
|
| ||
Capital stock sold |
|
| — |
|
|
| 1,415,167 |
|
| ||
Securities sold |
|
| 105,589 |
|
|
| — |
|
| ||
Interest |
|
| 247,614 |
|
|
| 2,920 |
|
| ||
Total Assets |
|
| 72,427,406 |
|
|
| 93,466,533 |
|
| ||
Liabilities |
|
|
|
|
|
|
|
|
| ||
Reverse repurchase agreements (Note 5) (c) |
|
| 35,934,070 |
|
|
| — |
|
| ||
Payable for: |
|
|
|
|
|
|
|
|
| ||
Capital stock repurchased |
|
| 100,000 |
|
|
| — |
|
| ||
Dividends from net investment income |
|
| 16,061 |
|
|
| 79,944 |
|
| ||
Accrued expenses and other liabilities |
|
| 32,401 |
|
|
| 38,564 |
|
| ||
Total Liabilities |
|
| 36,082,532 |
|
|
| 118,508 |
|
| ||
Net Assets |
|
| $ | 36,344,874 |
|
|
| $ | 93,348,025 |
|
|
Shares Outstanding (d) |
|
| 4,058,339 |
|
|
| 9,598,025 |
|
| ||
Net Asset Value Per Share |
|
| $ | 8.96 |
|
|
| $ | 9.73 |
|
|
Components of Net Assets: |
|
|
|
|
|
|
|
|
| ||
Capital stock |
|
| $ | 40,075,784 |
|
|
| $ | 96,810,069 |
|
|
Distribution in excess of net investment income |
|
| (22,628 | ) |
|
| (11,240 | ) |
| ||
Accumulated net realized loss on investments |
|
| (3,632,509 | ) |
|
| (3,433,900 | ) |
| ||
Net unrealized depreciation on investments |
|
| (75,773 | ) |
|
| (16,904 | ) |
| ||
|
|
| $ | 36,344,874 |
|
|
| $ | 93,348,025 |
|
|
|
|
|
|
|
|
|
|
|
| ||
(a) Cost of investments |
|
| $ | 72,148,273 |
|
|
| $ | 91,775,485 |
|
|
(b) Includes repurchase agreements of (cost same as value) |
|
| $ | 36,086,724 |
|
|
| $ | — |
|
|
(c) Appendix F of the Notes to Financial Statements details each funds’ open reverse repurchase agreements at June 30, 2006. |
|
|
|
|
|
| |||||
(d) Authorized 500,000,000 shares, per value $0.001 for each fund. |
|
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
26
For the Six Months Ended June 30, 2006 |
|
| TIFF |
| TIFF |
| TIFF |
| |||||||
|
| Multi-Asset |
| International |
| US Equity |
| |||||||
|
| Fund |
| Equity Fund |
| Fund |
| |||||||
Investment Income |
|
|
|
|
|
|
|
|
|
|
| |||
Interest |
|
| $ | 11,483,981 |
|
|
| $ | 529,067 |
|
| $ | 264,020 |
|
Dividends (a) |
|
| 16,033,045 |
|
|
| 4,224,667 |
|
| 1,080,767 |
| |||
Total Investment Income |
|
| 27,517,026 |
|
|
| 4,753,734 |
|
| 1,344,787 |
| |||
Operating Expenses |
|
|
|
|
|
|
|
|
|
|
| |||
Investment advisory fees |
|
| 1,120,993 |
|
|
| 195,735 |
|
| 153,008 |
| |||
Money manager fees |
|
| 1,116,487 |
|
|
| 290,510 |
|
| 422,087 |
| |||
Custodian and accounting fees |
|
| 475,384 |
|
|
| 214,757 |
|
| 78,971 |
| |||
Administration fees |
|
| 207,090 |
|
|
| 45,865 |
|
| 36,404 |
| |||
Professional fees |
|
| 115,423 |
|
|
| 50,078 |
|
| 37,088 |
| |||
Operations monitoring agent fees |
|
| 109,884 |
|
|
| 23,295 |
|
| 18,208 |
| |||
Chief compliance officer fees |
|
| 43,793 |
|
|
| 9,518 |
|
| 7,420 |
| |||
Registration and filing fees |
|
| 32,976 |
|
|
| 19,010 |
|
| 17,772 |
| |||
Insurance expense |
|
| 17,034 |
|
|
| 4,024 |
|
| 4,512 |
| |||
Member recordkeeping fees |
|
| 3,636 |
|
|
| 2,316 |
|
| 2,569 |
| |||
Miscellaneous fees and expenses |
|
| 49,209 |
|
|
| 15,883 |
|
| 11,146 |
| |||
Total Operating Expenses |
|
| 3,291,909 |
|
|
| 870,991 |
|
| 789,185 |
| |||
Interest expense (Note 5) |
|
| 604,785 |
|
|
| — |
|
| — |
| |||
Dividends on securities sold short |
|
| 173,329 |
|
|
| — |
|
| — |
| |||
Net Operating Expenses |
|
| 4,070,023 |
|
|
| 870,991 |
|
| 789,185 |
| |||
Net Investment Income |
|
| 23,447,003 |
|
|
| 3,882,743 |
|
| 555,602 |
| |||
Net realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
| |||
Investments (b) |
|
| 11,773,669 |
|
|
| 10,759,870 |
|
| 10,452,442 |
| |||
Short sales |
|
| (2,101,741 | ) |
|
| — |
|
| — |
| |||
Swap agreements |
|
| (917,613 | ) |
|
| — |
|
| — |
| |||
Written options |
|
| 74,647 |
|
|
| — |
|
| — |
| |||
Financial futures contracts |
|
| (7,246,626 | ) |
|
| 896,337 |
|
| (3,512,541 | ) | |||
Forward currency contracts and foreign currency-related transactions |
|
| 491,808 |
|
|
| 133,202 |
|
| (45 | ) | |||
Net realized gain |
|
| 2,074,144 |
|
|
| 11,789,409 |
|
| 6,939,856 |
| |||
Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
| |||
Investments |
|
| 27,086,107 |
|
|
| 6,818,063 |
|
| (1,724,788 | ) | |||
Short sales |
|
| (462,512 | ) |
|
| — |
|
| — |
| |||
Swap agreements |
|
| (988,860 | ) |
|
| — |
|
| — |
| |||
Written options |
|
| 11,258 |
|
|
| — |
|
| — |
| |||
Financial futures contracts |
|
| 12,473,566 |
|
|
| 1,727,556 |
|
| 1,258,676 |
| |||
Forward currency contracts and translation of other assets and liabilities denominated in foreign currencies |
|
| (540,265 | ) |
|
| (266,713 | ) |
| (1 | ) | |||
Net change in unrealized appreciation (depreciation) |
|
| 37,579,294 |
|
|
| 8,278,906 |
|
| (466,113 | ) | |||
Net realized and unrealized gain |
|
| 39,653,438 |
|
|
| 20,068,315 |
|
| 6,473,743 |
| |||
Net increase in net assets resulting from operations |
|
| $ | 63,100,441 |
|
|
| $ | 23,951,058 |
|
| $ | 7,029,345 |
|
|
|
|
|
|
|
|
|
|
|
|
| |||
(a) Net of foreign withholding taxes of |
|
| $ | 333,535 |
|
|
| $ | 290,330 |
|
| $ | 1,702 |
|
(b) Net of foreign withholding taxes on capital gains of |
|
| $ | 45,768 |
|
|
| $ | 31,734 |
|
| $ | — |
|
See accompanying Notes to Financial Statements.
27
STATEMENT OF OPERATIONS (UNAUDITED) | For the Six Months Ended June 30, 2006 |
|
| TIFF |
| TIFF |
| ||||||
|
| Government |
| Short-Term |
| ||||||
|
| Bond Fund |
| Fund |
| ||||||
Investment Income |
|
|
|
|
|
|
|
|
| ||
Interest |
|
| $ | 1,660,044 |
|
|
| $ | 2,548,109 |
|
|
Operating Expenses |
|
|
|
|
|
|
|
|
| ||
Investment advisory fees |
|
| 9,079 |
|
|
| 16,472 |
|
| ||
Money manager fees |
|
| 41,130 |
|
|
| — |
|
| ||
Professional fees |
|
| 26,753 |
|
|
| 23,340 |
|
| ||
Custodian and accounting fees |
|
| 18,295 |
|
|
| 13,153 |
|
| ||
Registration and filing fees |
|
| 10,004 |
|
|
| 19,122 |
|
| ||
Administration fees |
|
| 8,539 |
|
|
| 20,753 |
|
| ||
Operations monitoring agent fees |
|
| 3,242 |
|
|
| 9,806 |
|
| ||
Chief compliance officer fees |
|
| 1,323 |
|
|
| 3,913 |
|
| ||
Member recordkeeping fees |
|
| 920 |
|
|
| 2,745 |
|
| ||
Insurance expense |
|
| 822 |
|
|
| 2,145 |
|
| ||
Miscellaneous fees and expenses |
|
| 1,341 |
|
|
| 3,562 |
|
| ||
Total Operating Expenses |
|
| 121,448 |
|
|
| 115,011 |
|
| ||
Fee waivers (Note 3) |
|
| (9,079 | ) |
|
| — |
|
| ||
Interest expense (Note 5) |
|
| 642,901 |
|
|
| — |
|
| ||
Net Operating Expenses |
|
| 755,270 |
|
|
| 115,011 |
|
| ||
Net Investment Income |
|
| 904,774 |
|
|
| 2,433,098 |
|
| ||
Net realized loss on: |
|
|
|
|
|
|
|
|
| ||
Investments |
|
| (1,934,663 | ) |
|
| (173,017 | ) |
| ||
Net change in unrealized depreciation on: |
|
|
|
|
|
|
|
|
| ||
Investments |
|
| (358,327 | ) |
|
| (65,447 | ) |
| ||
Net realized and unrealized loss |
|
| (2,292,990 | ) |
|
| (238,464 | ) |
| ||
Net increase (decrease) in net assets resulting from operations |
|
| $ | (1,388,216 | ) |
|
| $ | 2,194,634 |
|
|
See accompanying Notes to Financial Statements.
28
|
|
| TIFF |
| TIFF International |
| ||||||||||
|
| Six Months |
|
|
| Six Months |
|
|
| ||||||
|
| Ended |
| Year |
| Ended |
| Year |
| ||||||
|
| 6/30/06 |
| Ended |
| 6/30/06 |
| Ended |
| ||||||
|
| (unaudited) |
| 12/31/2005 |
| (unaudited) |
| 12/31/2005 |
| ||||||
Increase in net assets from operations |
|
|
|
|
|
|
|
|
|
|
| ||||
Net investment income |
| $ | 23,447,003 |
| $ | 15,122,757 |
|
| $ | 3,882,743 |
|
| $ | 3,885,528 |
|
Net realized gain on investments, short sales, financial futures and option contracts, swap agreements, forward currency contracts and foreign currency-related transactions |
| 2,074,144 |
| 43,737,386 |
|
| 11,789,409 |
|
| 12,930,100 |
| ||||
Net change in unrealized appreciation on investments, short sales, financial futures and option contracts, swap agreements, forward currency contracts, and translation of other assets and liabilities denominated in foreign currencies |
| 37,579,294 |
| 40,257,234 |
|
| 8,278,906 |
|
| 13,864,625 |
| ||||
Net increase in net assets resulting from operations |
| 63,100,441 |
| 99,117,377 |
|
| 23,951,058 |
|
| 30,680,253 |
| ||||
Distributions |
|
|
|
|
|
|
|
|
|
|
| ||||
From net investment income |
| (23,101,091 | ) | (28,385,826 | ) |
| (3,911,510 | ) |
| (7,870,667 | ) | ||||
From net realized gains |
| — |
| (35,734,406 | ) |
| — |
|
| — |
| ||||
Decrease in net assets resulting from distributions |
| (23,101,091 | ) | (64,120,232 | ) |
| (3,911,510 | ) |
| (7,870,667 | ) | ||||
Capital share transactions, net (see Appendix D) |
| 252,874,442 |
| 317,335,939 |
|
| (4,271,370 | ) |
| 23,518,842 |
| ||||
Total increase in net assets |
| 292,873,792 |
| 352,333,084 |
|
| 15,768,178 |
|
| 46,328,428 |
| ||||
Net assets |
|
|
|
|
|
|
|
|
|
|
| ||||
Beginning of period |
| 1,058,133,374 |
| 705,800,290 |
|
| 241,535,910 |
|
| 195,207,482 |
| ||||
End of period (a) |
| $ | 1,351,007,166 |
| $ | 1,058,133,374 |
|
| $ | 257,304,088 |
|
| $ | 241,535,910 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
(a) Including distributions in excess of net investment income |
| $ | (13,539,306 | ) | $ | (13,885,218 | ) |
| $ | (4,671,074 | ) |
| $ | (4,642,307 | ) |
See accompanying Notes to Financial Statements.
29
STATEMENT OF CHANGES IN NET ASSETS |
|
| TIFF US |
| TIFF Government |
| ||||||||||
|
| Six Months |
|
|
| Six Months |
|
|
| ||||||
|
| Ended |
| Year |
| Ended |
| Year |
| ||||||
|
| 6/30/06 |
| Ended |
| 6/30/06 |
| Ended |
| ||||||
|
| (unaudited) |
| 12/31/2005 |
| (unaudited) |
| 12/31/2005 |
| ||||||
Increase (decrease) in net assets from operations |
|
|
|
|
|
|
|
|
|
|
| ||||
Net investment income |
| $ | 555,602 |
| $ | 1,036,638 |
|
| $ | 904,774 |
|
| $ | 1,825,380 |
|
Net realized gain on investments and financial futures contracts |
| 6,939,856 |
| 17,740,023 |
|
| (1,934,663 | ) |
| (756,977 | ) | ||||
Net change in unrealized depreciation on investments and financial futures contracts |
| (466,113 | ) | (4,610,027 | ) |
| (358,327 | ) |
| (7,795 | ) | ||||
Net increase (decrease) in net assets resulting from operations |
| 7,029,345 |
| 14,166,634 |
|
| (1,388,216 | ) |
| 1,060,608 |
| ||||
Distributions |
|
|
|
|
|
|
|
|
|
|
| ||||
From net investment income |
| (555,078 | ) | (2,461,739 | ) |
| (905,780 | ) |
| (1,834,453 | ) | ||||
From net realized gains |
| — |
| (15,989,984 | ) |
| — |
|
| — |
| ||||
Decrease in net assets resulting from distributions |
| (555,078 | ) | (18,451,723 | ) |
| (905,780 | ) |
| (1,834,453 | ) | ||||
Capital share transactions, net (see Appendix D) |
| (7,020,872 | ) | (26,145,906 | ) |
| 3,251,651 |
|
| (5,051,373 | ) | ||||
Total increase (decrease) in net assets |
| (546,605 | ) | (30,430,995 | ) |
| 957,655 |
|
| (5,825,218 | ) | ||||
Net assets |
|
|
|
|
|
|
|
|
|
|
| ||||
Beginning of period |
| 199,338,607 |
| 229,769,602 |
|
| 35,387,219 |
|
| 41,212,437 |
| ||||
End of period (a) |
| $ | 198,792,002 |
| $ | 199,338,607 |
|
| $ | 36,344,874 |
|
| $ | 35,387,219 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
(a) Including distributions in excess of net investment income |
| $ | (1,665,266 | ) | $ | (1,665,790 | ) |
| $ | (22,628 | ) |
| $ | (21,622 | ) |
See accompanying Notes to Financial Statements.
30
STATEMENT OF CHANGES IN NET ASSETS |
|
|
| TIFF |
| ||||
|
| Short-Term Fund |
| ||||
|
| Six Months |
|
|
| ||
|
| Ended |
| Year |
| ||
|
| 6/30/06 |
| Ended |
| ||
|
| (unaudited) |
| 12/31/2005 |
| ||
Increase in net assets from operations |
|
|
|
|
| ||
Net investment income |
| $ | 2,433,098 |
| $ | 3,407,447 |
|
Net realized loss on investments |
| (173,017 | ) | (253,146 | ) | ||
Net change in unrealized appreciation (depreciation) on investments |
| (65,447 | ) | 73,126 |
| ||
Net increase in net assets resulting from operations |
| 2,194,634 |
| 3,227,427 |
| ||
Distributions |
|
|
|
|
| ||
From net investment income |
| (2,435,581 | ) | (3,402,072 | ) | ||
Capital share transactions, net (see Appendix D) |
| (23,353,718 | ) | 26,044,752 |
| ||
Total increase (decrease) in net assets |
| (23,594,665 | ) | 25,870,107 |
| ||
Net assets |
|
|
|
|
| ||
Beginning of period |
| 116,942,690 |
| 91,072,583 |
| ||
End of period (a) |
| $ | 93,348,025 |
| $ | 116,942,690 |
|
|
|
|
|
|
| ||
(a) Including distributions in excess of net investment income |
| $ | (11,240 | ) | $ | (8,757 | ) |
See accompanying Notes to Financial Statements.
31
STATEMENT OF CASH FLOWS (UNAUDITED) |
|
| TIFF |
| |
Cash flows from operating activities |
|
|
| |
Net decrease in net assets resulting from operations |
| $ | (1,388,216 | ) |
Adjustments to reconcile net decrease in net assets resulting from operations to net cash used for operating activities: |
|
|
| |
Investments purchased |
| (76,749,775 | ) | |
Investments sold |
| 73,573,827 |
| |
Purchase of short term investments, net |
| (16,134,873 | ) | |
Accretion of discount and premium, net |
| (2,230 | ) | |
Increase in receivable for securities sold |
| (105,589 | ) | |
Increase in interest receivable |
| (39,241 | ) | |
Decrease in prepaid expenses |
| 826 |
| |
Increase in payable for capital stock repurchased |
| 100,000 |
| |
Decrease in accrued expenses and other liabilities |
| (26,670 | ) | |
Decrease in interest expense |
| 29,504 |
| |
Net change in unrealized depreciation on investments |
| 358,327 |
| |
Net realized loss from investments |
| 1,934,663 |
| |
Net cash used in operating activities |
| (18,449,447 | ) | |
Cash flows from financing activities |
|
|
| |
Proceeds from shares sold |
| 3,215,174 |
| |
Shares redeemed |
| (767,500 | ) | |
Cash distributions paid |
| (107,364 | ) | |
Increase in payable for reverse repurchase agreements |
| 16,110,340 |
| |
Net cash provided by financing activities |
| 18,450,650 |
| |
Net increase in cash |
| 1,203 |
| |
Cash at beginning of period |
| 500 |
| |
Cash at end of period |
| $ | 1,703 |
|
|
|
|
|
Note: Non-cash financing activities not included herein consist of reinvestment of all distributions of $803,977.
This Statement of Cash Flows has been included as required by Financial Accounting Standard (FAS) 95. The TIFF Multi-Asset, International Equity, US Equity, and Short-Term Fund are not required to present a Statement of Cash Flows pursuant to an exemption provided by FAS 102.
See accompanying Notes to Financial Statements.
32
|
|
| Six Months |
|
|
|
|
|
|
|
|
|
|
| ||||||||
|
| Ended |
| Year |
| Year |
| Year |
| Year |
| Year |
| ||||||||
|
| 6/30/06 |
| Ended |
| Ended |
| Ended |
| Ended |
| Ended |
| ||||||||
|
| (unaudited) |
| 12/31/05 |
| 12/31/04 |
| 12/31/03 |
| 12/31/02 |
| 12/31/01 |
| ||||||||
For a share outstanding throughout each period |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Net asset value, beginning of period |
|
| $ | 14.92 |
|
| $ | 14.24 |
| $ | 13.19 |
| $ | 10.61 |
| $ | 11.59 |
| $ | 12.18 |
|
Income from investment operations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Net investment income |
|
| 0.29 | † |
| 0.26 | † | 0.20 | † | 0.21 |
| 0.20 |
| 0.17 |
| ||||||
Net realized and unrealized gain (loss) on investments* |
|
| 0.58 |
|
| 1.38 |
| 1.67 |
| 2.57 |
| (0.96 | ) | (0.59 | ) | ||||||
Total from investment operations |
|
| 0.87 |
|
| 1.64 |
| 1.87 |
| 2.78 |
| (0.76 | ) | (0.42 | ) | ||||||
Less distributions from |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Net investment income |
|
| (0.29 | ) |
| (0.45 | ) | (0.28 | ) | (0.22 | ) | (0.24 | ) | (0.17 | ) | ||||||
Net realized gains |
|
| — |
|
| (0.53 | ) | (0.57 | ) | — |
| — |
| (0.01 | ) | ||||||
Total distributions |
|
| (0.29 | ) |
| (0.98 | ) | (0.85 | ) | (0.22 | ) | (0.24 | ) | (0.18 | ) | ||||||
Entry/exit fee per share (Note 6) |
|
| 0.02 |
|
| 0.02 |
| 0.03 |
| 0.02 |
| 0.02 |
| 0.01 |
| ||||||
Net asset value, end of period |
|
| $ | 15.52 |
|
| $ | 14.92 |
| $ | 14.24 |
| $ | 13.19 |
| $ | 10.61 |
| $ | 11.59 |
|
Total return (a) |
|
| 5.94% | (d) |
| 11.73% |
| 14.57% |
| 26.65% |
| (6.33% | ) | (3.34% | ) | ||||||
Ratios/supplemental data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Net assets, end of period (000s) |
|
| $ | 1,351,007 |
|
| $ | 1,058,133 |
| $ | 705,800 |
| $ | 422,094 | (b) | $ | 250,536 |
| $ | 208,441 |
|
Ratio of expenses to average net assets |
|
| 0.53% | (c) |
| 0.71% |
| 0.72% |
| 0.72% | (b) | 0.76% |
| 0.97% |
| ||||||
Ratio of expenses to average net assets, inclusive of interest expense |
|
| 0.66% | (c) |
| 0.86% |
| 0.77% |
| 0.75% | (b) | — |
| — |
| ||||||
Ratio of net investment income to average net assets |
|
| 3.81% | (c) |
| 1.75% |
| 1.45% |
| 1.57% | (b) | 1.44% |
| 1.42% |
| ||||||
Portfolio turnover |
|
| 34.82% | (d) |
| 72.70% |
| 103.35% |
| 116.53% |
| 128.81% |
| 139.64% |
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) Total return assumes dividend reinvestment and includes the effects of entry and exit fees received by the fund; however, a member’s total return for the period, assuming a purchase at the beginning of the period and a redemption at the end of the period, would be lower by the amount of entry and exit fees paid by the member.
(b) As a result of a revision to money manager fees accrued, certain amounts for the year ended December 31, 2003 have been changed from what was previously reported. The impact of this revision was a decrease to the ratio of net investment income to average net assets of 0.02% and a corresponding increase to the ratio of expenses to average net assets of 0.02%.
(c) Annualized.
(d) Not annualized.
* Includes foreign currency-related transactions.
† Calculation based on average shares outstanding.
See accompanying Notes to Financial Statements.
33
TIFF INTERNATIONAL EQUITY FUND — FINANCIAL HIGHLIGHTS |
|
|
| Six Months |
| Year |
| Year |
| Year |
| Year |
| Year |
| ||||||||||||||
For a share outstanding throughout each period |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Net asset value, beginning of period |
|
| $ | 14.76 |
|
|
| $ | 13.30 |
|
|
| $ | 11.16 |
|
|
| $ | 8.02 |
|
| $ | 9.09 |
| $ | 11.25 |
|
Income from investment operations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Net investment income |
|
| 0.24 |
|
|
| 0.27 |
|
|
| 0.15 |
|
|
| 0.16 |
|
| 0.06 |
| 0.07 |
| ||||||
Net realized and unrealized gain (loss) on investments* |
|
| 1.28 |
|
|
| 1.67 |
|
|
| 2.31 |
|
|
| 3.13 |
|
| (1.08 | ) | (2.05 | ) | ||||||
Total from investment operations |
|
| 1.52 |
|
|
| 1.94 |
|
|
| 2.46 |
|
|
| 3.29 |
|
| (1.02 | ) | (1.98 | ) | ||||||
Less distributions from |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Net investment income |
|
| (0.25 | ) |
|
| (0.50 | ) |
|
| (0.34 | ) |
|
| (0.15 | ) |
| (0.05 | ) | (0.03 | ) | ||||||
Net realized gains |
|
| — |
|
|
| — |
|
|
| — |
|
|
| — |
|
| — |
| (0.12 | ) | ||||||
Return of capital |
|
| — |
|
|
| — |
|
|
| — |
|
|
| — |
|
| — |
| (0.04 | ) | ||||||
Total distributions |
|
| (0.25 | ) |
|
| (0.50 | ) |
|
| (0.34 | ) |
|
| (0.15 | ) |
| (0.05 | ) | (0.19 | ) | ||||||
Entry/exit fee per share (Note 6) |
|
| 0.01 |
|
|
| 0.02 |
|
|
| 0.02 |
|
|
| — | # |
| — | # | 0.01 |
| ||||||
Net asset value, end of period |
|
| $ | 16.04 |
|
|
| $ | 14.76 |
|
|
| $ | 13.30 |
|
|
| $ | 11.16 |
|
| $ | 8.02 |
| $ | 9.09 |
|
Total return (a) |
|
| 10.34% | (c) |
|
| 14.94% |
|
|
| 22.51% |
|
|
| 41.33% |
|
| (11.24% | ) | (17.49% | ) | ||||||
Ratios/supplemental data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Net assets, end of period (000s) |
|
| $ | 257,304 |
|
|
| $ | 241,536 |
|
|
| $ | 195,207 |
|
|
| $ | 168,607 |
|
| $ | 123,219 |
| $ | 142,396 |
|
Ratio of expenses to average net assets |
|
| 0.67% | (b) |
|
| 0.90% |
|
|
| 1.19% |
|
|
| 1.17% |
|
| 1.38% |
| 1.40% |
| ||||||
Ratio of expenses to average net assets before expense waivers |
|
| 0.67% | (b) |
|
| 0.92% |
|
|
| 1.21% |
|
|
| 1.17% |
|
| 1.38% |
| 1.40% |
| ||||||
Ratio of net investment income to average net assets |
|
| 2.98% | (b) |
|
| 1.83% |
|
|
| 1.18% |
|
|
| 1.41% |
|
| 0.67% |
| 0.68% |
| ||||||
Portfolio turnover |
|
| 10.73% | (c) |
|
| 13.93% |
|
|
| 55.17% |
|
|
| 48.98% |
|
| 48.07% |
| 54.96% |
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) Total return assumes dividend reinvestment and includes the effects of entry and exit fees received by the fund; however, a member’s total return for the period, assuming a purchase at the beginning of the period and a redemption at the end of the period, would be lower by the amount of entry and exit fees paid by the member.
(b) Annualized.
(c) Not annualized.
* Includes foreign currency-related transactions.
# Rounds to less than $0.01.
See accompanying Notes to Financial Statements.
34
TIFF Us EQUITY FUND — FINANCIAL HIGHLIGHTS |
|
|
| Six Months |
|
|
|
|
|
|
|
|
|
|
| ||||||||
|
| Ended |
| Year |
| Year |
| Year |
| Year |
| Year |
| ||||||||
|
| 6/30/06 |
| Ended |
| Ended |
| Ended |
| Ended |
| Ended |
| ||||||||
|
| (unaudited) |
| 12/31/05 |
| 12/31/04 |
| 12/31/03 |
| 12/31/02 |
| 12/31/01 |
| ||||||||
For a share outstanding throughout each period |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Net asset value, beginning of period |
|
| $ | 14.07 |
|
| $ | 14.49 |
| $ | 12.95 |
| $ | 9.59 |
| $ | 12.08 |
| $ | 12.96 |
|
Income from investment operations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Net investment income |
|
| 0.04 |
|
| 0.07 | (b) | 0.07 |
| 0.02 |
| — | # | 0.01 |
| ||||||
Net realized and unrealized gain (loss) on investments |
|
| 0.46 |
|
| 0.88 |
| 1.57 |
| 3.36 |
| (2.49 | ) | (0.85 | ) | ||||||
Total from investment operations |
|
| 0.50 |
|
| 0.95 |
| 1.64 |
| 3.38 |
| (2.49 | ) | (0.84 | ) | ||||||
Less distributions from |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Net investment income |
|
| (0.04 | ) |
| (0.17 | ) | (0.11 | ) | (0.02 | ) | — |
| (0.03 | ) | ||||||
Net realized gains |
|
| — |
|
| (1.21 | ) | — |
| — |
| — |
| — |
| ||||||
Return of capital |
|
| — |
|
| — |
| — |
| — |
| — |
| (0.01 | ) | ||||||
Total distributions |
|
| (0.04 | ) |
| (1.38 | ) | (0.11 | ) | (0.02 | ) | — |
| (0.04 | ) | ||||||
Entry/exit fee per share (Note 6) |
|
| 0.01 |
|
| 0.01 |
| 0.01 |
| — | # | — | # | — | # | ||||||
Net asset value, end of period |
|
| $ | 14.54 |
|
| $ | 14.07 |
| $ | 14.49 |
| $ | 12.95 |
| $ | 9.59 |
| $ | 12.08 |
|
Total return (a) |
|
| 3.56% | (d) |
| 6.71% |
| 12.75% |
| 35.24% |
| (20.61% | ) | (6.51% | ) | ||||||
Ratios/supplemental data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Net assets, end of period (000s) |
|
| $ | 198,792 |
|
| $ | 199,339 |
| $ | 229,770 |
| $ | 232,498 |
| $ | 174,477 |
| $ | 217,578 |
|
Ratio of expenses to average net assets |
|
| 0.77% | (c) |
| 0.72% |
| 0.73% |
| 0.85% |
| 1.22% |
| 1.28% |
| ||||||
Ratio of expenses to average net assets before expense waivers |
|
| 0.77% | (c) |
| 0.73% |
| 0.74% |
| 0.85% |
| 1.22% |
| 1.28% |
| ||||||
Ratio of net investment income to average net assets |
|
| 0.54% | (c) |
| 0.48% | (b) | 0.48% |
| 0.19% |
| — | # | 0.07% |
| ||||||
Portfolio turnover |
|
| 19.74% | (d) |
| 32.85% |
| 57.49% |
| 60.32% |
| 60.45% |
| 103.40% |
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
60;
(a) Total return assumes dividend reinvestment and includes the effects of entry and exit fees received by the fund; however, a member’s total return for the period, assuming a purchase at the beginning of the period and a redemption at the end of the period, would be lower by the amount of entry and exit fees paid by the member.
(b) Investment income per share reflects a special dividend which amounted to 0.04 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.21%.
(c) Annualized.
(d) Not annualized.
# Rounds to less than 0.01% or $0.01 as applicable.
See accompanying Notes to Financial Statements.
35
| |
TIFF GOVERNMENT BOND FUND — FINANCIAL HIGHLIGHTS |
|
|
| Six Months |
| Year |
| Year |
| Period |
| ||||||||
For a share outstanding throughout each period |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
Net asset value, beginning of period |
|
| $ | 9.53 |
|
| $ | 9.76 |
| $ | 9.72 |
|
| $ | 10.00 |
|
|
Income from investment operations |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
Net investment income |
|
| 0.23 |
|
| 0.46 |
| 0.39 |
|
| 0.29 |
|
| ||||
Net realized and unrealized gain (loss) on investments |
|
| (0.57 | ) |
| (0.23 | ) | 0.04 |
|
| (0.27 | ) |
| ||||
Total from investment operations |
|
| (0.34 | ) |
| 0.23 |
| 0.43 |
|
| 0.02 |
|
| ||||
Less distributions from |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
Net investment income |
|
| (0.23 | ) |
| (0.46 | ) | (0.39 | ) |
| (0.30 | ) |
| ||||
Net asset value, end of period |
|
| $ | 8.96 |
|
| $ | 9.53 |
| $ | 9.76 |
|
| $ | 9.72 |
|
|
Total return (a) |
|
| (3.63% | )(c) |
| 2.38% |
| 4.48% |
|
| 0.20% | (c) |
| ||||
Ratios/supplemental data |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
Net assets, end of period (000s) |
|
| $ | 36,345 |
|
| $ | 35,387 |
| $ | 41,212 |
|
| $ | 37,911 |
|
|
Ratio of expenses to average net assets |
|
| 0.62% | (b) |
| 0.46% |
| 0.69% |
|
| 0.46% | (b) |
| ||||
Ratio of expenses to average net assets, inclusive of interest expense |
|
| 4.16% | (b) |
| 2.57% |
| 1.55% |
|
| 0.99% | (b) |
| ||||
Ratio of expenses to average net assets before expense waivers |
|
| 4.21% | (b) |
| 2.62% |
| 1.60% |
|
| 1.05% | (b) |
| ||||
Ratio of net investment income to average net assets |
|
| 4.98% | (b) |
| 4.63% |
| 3.93% |
|
| 3.93% | (b) |
| ||||
Portfolio turnover |
|
| 204.22% | (c) |
| 444.72% |
| 419.77% |
|
| 322.22% | (c) |
| ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) Total return assumes dividend reinvestment and would have been lower had certain expenses not been waived.
(b) Annualized.
(c) Not annualized.
* Commencement of Operations.
See accompanying Notes to Financial Statements.
36
| |
TIFF SHORT-TERM FUND — FINANCIAL HIGHLIGHTS |
|
|
| Six Months |
|
|
|
|
|
|
|
|
|
|
| ||||||||||
|
| Ended |
| Year |
| Year |
| Year |
| Year |
| Year |
| ||||||||||
|
| 6/30/06 |
| Ended |
| Ended |
| Ended |
| Ended |
| Ended |
| ||||||||||
|
| (unaudited) |
| 12/31/05 |
| 12/31/04 |
| 12/31/03 |
| 12/31/02 |
| 12/31/01 |
| ||||||||||
For a share outstanding throughout each period |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Net asset value, beginning of period |
|
| $ | 9.76 |
|
| $ | 9.79 |
|
| $ | 9.83 |
|
| $ | 9.97 |
| $ | 10.02 |
| $ | 10.00 |
|
Income from investment operations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Net investment income |
|
| 0.23 |
|
| 0.31 |
|
| 0.12 |
|
| 0.16 |
| 0.24 |
| 0.47 |
| ||||||
Net realized and unrealized gain (loss) on investments |
|
| (0.03 | ) |
| (0.03 | ) |
| (0.03 | ) |
| (0.07 | ) | (0.03 | ) | 0.04 |
| ||||||
Total from investment operations |
|
| 0.20 |
|
| 0.28 |
|
| 0.09 |
|
| 0.09 |
| 0.21 |
| 0.51 |
| ||||||
Less distributions from |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Net investment income |
|
| (0.23 | ) |
| (0.31 | ) |
| (0.13 | ) |
| (0.23 | ) | (0.24 | ) | (0.47 | ) | ||||||
Net realized gains |
|
| — |
|
| — |
|
| — |
|
| — |
| — |
| (0.02 | ) | ||||||
Return of capital |
|
| — |
|
| — |
|
| — |
|
| — |
| (0.02 | ) | — | # | ||||||
Total distributions |
|
| (0.23 | ) |
| (0.31 | ) |
| (0.13 | ) |
| (0.23 | ) | (0.26 | ) | (0.49 | ) | ||||||
Net asset value, end of period |
|
| $ | 9.73 |
|
| $ | 9.76 |
|
| $ | 9.79 |
|
| $ | 9.83 |
| $ | 9.97 |
| $ | 10.02 |
|
Total return (a) |
|
| 2.10% | (d) |
| 2.93% |
|
| 0.92% |
|
| 0.88% |
| 2.11% |
| 5.29% |
| ||||||
Ratios/supplemental data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Net assets, end of period (000s) |
|
| $ | 93,348 |
|
| $ | 116,943 |
|
| $ | 91,073 |
|
| $ | 128,660 |
| $ | 171,209 |
| $ | 93,882 |
|
Ratio of expenses to average net assets |
|
| 0.21% | (c) |
| 0.21% |
|
| 0.31% |
|
| 0.35% |
| 0.35% |
| 0.35% |
| ||||||
Ratio of expenses to average net assets before expense waivers |
|
| 0.21% | (c) |
| 0.21% |
|
| 0.36% |
|
| 0.39% |
| 0.38% |
| 0.40% |
| ||||||
Ratio of net investment income to average net assets |
|
| 4.43% | (c) |
| 3.12% |
|
| 1.19% |
|
| 1.76% |
| 2.30% |
| 4.75% |
| ||||||
Portfolio turnover |
|
| 0.00% | (b)(d) |
| 0.00% | (b) |
| 0.00% | (b) |
| 288.22% |
| 87.15% |
| 145.69% |
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) Total return assumes dividend reinvestment and would have been lower had certain expenses not been waived.
(b) Due to change in investment policies the fund no longer purchases or sells securities with greater than one year to maturity; therefore under SEC rules for the calculation of portfolio turnover, the transactions entered into by the fund do not count as portfolio turnover.
(c) Annualized.
(d) Not annualized.
# Rounds to less than $0.01.
See accompanying Notes to Financial Statements.
37
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) | June 30, 2006 |
TIFF Investment Program, Inc. (“TIP”) was organized as a Maryland corporation on December 23, 1993, and is registered under the Investment Company Act of 1940, as amended, as an open-end, management investment company. TIP currently has five active funds: TIFF Multi-Asset Fund (“Multi-Asset”), TIFF International Equity Fund (“International Equity”), TIFF US Equity Fund (“US Equity”), TIFF Government Bond Fund (“Government Bond”), and TIFF Short-Term Fund (“Short-Term”), collectively referred to as the “funds.”
Investment Objectives
Fund |
| Investment Objectives |
Multi-Asset |
| Attain a growing stream of current income and appreciation of principal that at least offsets inflation. |
International Equity |
| Attain appreciation of principal that at least offsets inflation. |
US Equity |
| Attain a growing stream of current income and appreciation of principal that at least offsets inflation. |
Government Bond |
| Attain as high a rate of current income as is consistent with maintaining liquidity and to provide a hedge against deflation-induced declines in common stock prices and dividend streams. |
Short-Term |
| Attain as high a rate of current income as is consistent with ensuring that the fund’s risk of principal loss does not exceed that of a portfolio invested in six-month US Treasury bills. |
2. Summary of Significant Accounting Policies
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of asset and liabilities, the reported amounts of increases and decreases in net assets from operations during the reported period, and disclosure of contingent assets and liabilities at the date of the financial statements. Actual results could differ from these estimates.
Valuation of Investments
Securities listed on a securities exchange for which market quotations are readily available are valued at their last quoted sales price on the principal exchange on which they are traded on the valuation date or, if there is no such reported sale on the valuation date, at the most recently quoted bid price, or asked price in the case of securities sold short. Debt securities are valued at prices that reflect broker/dealer-supplied valuations or are obtained from independent pricing services and are deemed representative of market values at the close. Unlisted securities or securities for which over-the-counter market quotations are readily available are valued at the latest bid price. Short-term debt securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates fair value, or by amortizing their value on the 61st day prior to maturity if their term to maturity at the date of purchase was greater than 60 days. Exchange-traded and over-the-counter options and futures contracts are valued at the closing settlement price or, if there were no sales that day for a particular position, at the closing bid price (closing ask price in the case of open short future and written option sales contracts). Forward foreign currency exchange contracts are valued at their respective fair market values. Investments in other open-end funds or trusts are valued at their closing net asset value per share on valuation date, which represents their redeemable value net of any applicable sales loads.
Events affecting the values of certain portfolio securities that occur between the close of trading on the principal market for such securities (foreign exchanges and over-the-counter markets) and the time at which net asset value of the funds is determined may be reflected in the funds’ calculation of the net asset value if the funds’ valuation committee believes that the particular event would materially affect net asset value. The funds also employ a fair value model to adjust prices of foreign securities.
Certain funds invest in private investment funds formed for the purpose of earning returns from alternative investment strategies. Private investment interests held by the funds are generally not securities for which market quotations are readily available. Rather, such interests generally can be sold back to the private investment fund only at specified intervals or on specified dates. The TIP board of directors has approved valuation procedures pursuant to which the fund values its interests in private investment funds at ‘‘fair value.’’ In accordance with these procedures, fair value of private investment interests ordinarily is based on the ‘‘estimated’’ value of the private investment fund, as provided to the fund by the management of the private investment fund. Fair value is intended to represent a good faith approximation of the amount that the fund could reasonably expect to receive from the private investment fund if the fund’s interest in the private investment were sold at the time of valuation, based on information reasonably available at the time valuation is made and that the fund believes is reliable. In the unlikely event that the private investment fund does not provide a value to the fund on a timely basis, the fund would determine the fair value of that private investment fund based on the most recent estimated value provided by the management of the private investment fund, as well as any other relevant information reasonably available at the time the fund values its portfolio. The fair values of the private investment funds are based on available information and do not necessarily represent the amounts that might ultimately be realized, which depend on future circumstances and cannot be reasonably determined until the investment is actually liquidated.
38
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) | June 30, 2006 |
Securities for which market quotations are not readily available are valued at their fair value as determined in good faith under procedures established by TIP’s board of directors. Such procedures use fundamental valuation methods which include, but are not limited to, the analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security. Determination of fair value involves subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant. At June 30, 2006, the aggregate amount of securities fair valued, including the private investment funds referenced above, were as follows:
Fund |
| Amount |
| % of Net Assets |
| |||
Multi-Asset |
| $ | 268,376,210 |
|
| 19.86 | % |
|
International Equity |
| 29,606,548 |
|
| 11.51 | % |
| |
US Equity |
| 50,997,191 |
|
| 25.65 | % |
| |
Investment Transactions and Investment Income
Securities transactions are recorded on the trade date (the date on which the buy or sell order is executed). Interest income and expenses are recorded on an accrual basis. The funds accrete discount or amortize premium using the yield-to-maturity method on a daily basis, except for mortgage-backed securities that record paydowns. The funds recognize paydown gains and losses for such securities and reflect them in investment income. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities that are recorded as soon after the ex-dividend date as the funds, using reasonable diligence, become aware of such dividends. Non-cash dividends, if any, are recorded at the fair market value of the securities received. The funds use the specific identification method for determining realized gain or loss on sales of securities and foreign currency transactions.
Income Taxes
There is no provision for federal income or excise tax since each fund has elected to be taxed as a regulated investment company (“RIC”) and intends to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to RICs and to distribute all of its taxable income. The funds may be subject to foreign taxes on income, gains on investments, or currency repatriation. The funds accrue such taxes, as applicable, as a reduction from the related income and realized and unrealized gain as and when such income is earned and gains are recognized.
Expenses
Expenses directly attributable to a fund are charged to that fund’s operations; expenses that are applicable to all funds are allocated among them based on their relative average daily net assets.
Dividends to Members
It is the policy of all funds to declare dividends according to the following schedule:
Fund |
| Dividends from Net |
| Capital Gains Distributions |
| ||||
Multi-Asset |
|
| Quarterly |
|
|
| Annually |
|
|
International Equity |
|
| Semi-annually |
|
|
| Annually |
|
|
US Equity |
|
| Quarterly |
|
|
| Annually |
|
|
Government Bond |
|
| Monthly |
|
|
| Annually |
|
|
Short-Term |
|
| Monthly |
|
|
| Annually |
|
|
The Multi-Asset Fund has adopted a managed distribution policy that aims, on a best efforts basis, to distribute approximately 5% of its net assets in the form of dividends and distributions each year. Pursuant to this policy, the fund may make distributions that are ultimately characterized as return of capital.
Dividends from net short-term capital gains and net long-term capital gains of each fund, if any, are normally declared and paid in December, but each fund may make distributions on a more frequent basis to comply with the distribution requirements of the Code. To the extent that a net realized capital gain could be reduced by a capital loss carryover, such gain will not be distributed. Dividends and distributions are recorded on the ex-dividend date.
Dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These “book/tax” differences are considered either temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences do not require reclassification.
The components of distributable earnings and tax character of distributions paid on a tax basis will be reported at fiscal year end.
39
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) | June 30, 2006 |
The amount of capital loss carryovers and post October losses during the year ended December 31, 2005 are detailed below.
|
| Capital Loss |
| Post October |
| ||||
|
| Carryover |
| Losses Deferred |
| ||||
Multi-Asset |
|
| — |
|
|
| — |
|
|
International Equity |
|
| (3,392,237 | )(a) |
|
| — |
|
|
US Equity |
|
| — |
|
|
| — |
|
|
Government Bond |
|
| (248,844 | )(b) |
|
| (1,448,361 | ) |
|
Short-Term |
|
| (3,187,186 | )(c) |
|
| (73,697 | ) |
|
(a) Capital loss carryovers of $1,000,399 and $2,391,838 will expire December 31, 2010 and December 31, 2011, respectively.
(b) Capital loss carryovers of $248,844 will expire December 31, 2011.
(c) Capital loss carryovers of $1,516,883, $1,358,170 and $312,133 will expire December 31, 2011, December 31, 2012 and December 31, 2013, respectively.
Foreign Currency Translation
The books and records of the funds are maintained in US dollars. Foreign currency amounts are translated into US dollars on the following basis:
(i) the foreign currency value of investments and other assets and liabilities denominated in foreign currency are translated at the closing rate of exchange on the valuation date and
(ii) purchases and sales of investments, income, and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions.
The resulting net unrealized foreign currency gain or loss is included in the Statement of Operations.
The funds do not generally isolate that portion of the results of operations arising as a result of changes in the foreign currency exchange rates from the fluctuations arising from changes in the market prices of securities. Accordingly, such foreign currency gain (loss) is included in net realized and unrealized gain (loss) on investments. However, the funds do isolate the effect of fluctuations in foreign exchange rates when determining the gain or loss upon the sale or maturity of foreign currency-denominated debt obligations pursuant to US federal income tax regulations; such amount is categorized as foreign currency gain or loss for income tax reporting purposes.
Net realized gains and losses from foreign currency-related transactions represent net gains and losses from sales and maturities of forward currency contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions, and the difference between the amount of net investment income accrued and the US dollar amount actually received.
Forward Currency Contracts
The funds may enter into forward currency contracts in connection with settling planned purchases or sales of securities or to hedge the currency exposure associated with some or all of the fund’s portfolio securities. A forward currency contract is an agreement between two parties to buy or sell a currency at a set price on a future date. The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. Forward currency contracts are marked to market daily, and the change in value is recorded by the funds as an unrealized gain or loss. When a forward currency contract is extinguished through delivery or by entry into a closing contract, the funds record a realized gain or loss on foreign currency-related transactions equal to the difference between the value of the contract at the time of purchase and the value of the contract at the time it was extinguished. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the fund’s Statement of Assets and Liabilities. In addition, the funds could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the US dollar.
Appendix B of the Notes to Financial Statements details each fund’s outstanding forward currency contracts at June 30, 2006.
Financial Futures Contracts
The funds may enter into financial futures contracts. A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery at a future date. The funds are exposed to market risk as a result of changes in the value of the underlying financial instruments. Investments in financial futures require a fund to “mark to market” on a daily basis, which reflects the change in the market value of the contract at the close of each day’s trading. Accordingly, variation margin payments are made to or received from the broker in the amount of daily unrealized gains or losses. When the contracts are closed, the fund recognizes a realized gain or loss in the Statement of Operations. These investments require initial margin deposits which consist of cash or cash equivalents, equal to approximately 5%-10% of the contract amount.
Each fund may use futures contracts to manage its exposure to the stock and bond markets and to fluctuations in currency values. Futures contracts are primarily used to increase or decrease the funds’ exposure to the underlying instrument or hedge other fund investments. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin included in the Statement of Assets and Liabilities. Losses may arise from
40
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) | June 30, 2006 |
changes in the value of the underlying instrument, an illiquid secondary market for the contracts, or counterparties not performing under the contract terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Appendix C of the Notes to Financial Statements details each fund’s open futures contracts at June 30, 2006.
Short Selling
The funds may sell securities they do not own in anticipation of a decline in the market price of such securities or in order to hedge portfolio positions. The fund will generally borrow the security sold in order to make delivery to the buyer. Upon entering into a short position, the fund records the proceeds as a deposit with broker in its Statement of Assets and Liabilities and establishes an offsetting liability for the securities sold under the short sale agreement. The cash is retained by the fund’s broker as collateral for the short position. The liability is marked to market while it remains open to reflect the current settlement obligation. Until the security is replaced, the fund is required to pay the lender any dividend or interest earned. Such payments are recorded as expenses to the fund. When a closing purchase is entered into by the fund, a gain or loss equal to the difference between the proceeds originally received and the purchase cost is realized.
In “short selling,” a fund sells borrowed securities which must at some date be repurchased and returned to the lender. If the market value of securities sold short increases, the fund may realize losses upon repurchase in amounts which may exceed the liability on the Statement of Assets and Liabilities. Further, in unusual circumstances, the fund may be unable to repurchase securities to close its short position except at prices significantly above those previously quoted in the market.
Options
When a fund purchases an option, an amount equal to the premium paid by the fund is included in the fund’s Statement of Assets and Liabilities as an investment and subsequently marked to market to reflect the current market value of the option purchased. The current market value of a purchased option is the last sale price on the market on which it is principally traded. If the purchased option expires, the fund realizes a loss in the amount of the premium originally paid. If the fund enters into a closing sale transaction, it realizes a gain or loss, depending on whether the proceeds from the sale are greater or less than the cost of the option.
If the fund exercises a call option, the cost of the securities acquired by exercising the call option is increased by the premium paid to buy the call option. If the fund exercises a put option, it realizes a gain or loss from the sale of the underlying security, and the proceeds from such sale are decreased by the premium originally paid. The risk associated with purchasing options is limited to the premium originally paid.
When a fund writes an option, an amount equal to the premium received by the fund is included in the fund’s Statement of Assets and Liabilities as a liability and subsequently marked to market to reflect the current value of the option written. The current market value of a written option is the last sale price on the market on which it is principally traded. If the written option expires, the fund realizes a gain in the amount of the premium received. If the fund enters into a closing transaction, it recognizes a gain or loss, depending on whether the cost of the purchase is less than or greater than the premium received.
If a written call option is exercised, the proceeds from the security sold are increased by the premium received. If a put option is exercised, the cost basis of the security purchased by the fund is reduced by the premium received. The fund as a writer of an option has no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option. Written options present risk of loss in excess of related amounts shown on the Statement of Assets and Liabilities.
Each fund may use option contracts to manage its exposure to the stock and bond markets and to fluctuations in interest rates and currency values. Option contracts are primarily used to increase or decrease the fund’s exposure to the underlying instrument and may serve as hedges for other fund investments.
See Schedule of Investments and Appendix G of the notes to Financial Statements for details of each fund’s open written options contracts at June 30, 2006.
Interest Only Securities
Interest only securities (IOs) entitle the holder to the interest payments in a pool of mortgages, Treasury bonds, or other bonds. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a portfolio may fail to recoup fully its initial investment in an IO. The fair market value of these securities is volatile in response to changes in interest rates.
Dollar Roll Transactions
The funds may enter into dollar roll transactions with financial institutions to take advantage of opportunities in the mortgage backed securities market. A dollar ro1l transaction involves a simultaneous sale by the fund of securities that it holds with an agreement to repurchase substantially similar securities at an agreed upon price and date, but generally will be collateralized at time of delivery by different pools of mortgages with different prepayment histories than those securities sold. During the period between the sale and repurchase, the fund will not be entitled to receive interest and principal payments on the securities sold. Dollar roll transactions involve risk that the market value of the security to be repurchased by the fund may decline below the repurchase price of the security.
41
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) | June 30, 2006 |
Swap Agreements
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. Risks may arise as a result of the failure of another party to the swap contract to comply with the terms of the swap contract. The loss incurred by the failure of a counterparty generally is limited to the net payment to be received by the fund, and/or the termination value at the end of the contract. Therefore, the fund considers the creditworthiness of each counterparty to a swap contract evaluating potential credit risk. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities or indices.
During the six months ended June 30, 2006, the Multi-Asset Fund held a total return swap agreement pursuant to which the fund agrees to exchange the return on an index for an offsetting interest rate obligation.
The fund records a net receivable or payable and interest for the amount expected to be received or paid in the period. Fluctuations in the value of interest rate swap contracts are recorded for financial statement purposes as unrealized appreciation (depreciation) on investments. The swap is valued at fair market value as determined by changes in the relationship between the stated rate of interest and the return on the index. The valuation of the swap is provided by the counterparty.
Appendix H of the Notes to Financial Statements details Multi-Asset Fund’s open swap contracts at June 30, 2006.
Net Asset Value
The net asset value per share is calculated on a daily basis by dividing the assets of each fund, less its liabilities, by the number of outstanding shares of the fund.
3. Investment Advisory Agreement, Money Manager Agreements, and Other Transactions with Affiliates
TIP’s board of directors has approved investment advisory agreements with TIFF Advisory Services, Inc. (“TAS”). Each fund pays TAS a maximum monthly fee calculated by applying the following annual rates to such fund’s average daily net assets for the month:
|
| Multi- |
| International |
| US |
| Government |
| Short- |
| ||||||||||
Assets |
| Asset |
| Equity |
| Equity |
| Bond |
| Term |
| ||||||||||
On the first $500 million |
|
| 0.20% |
|
|
| 0.15% |
|
|
| 0.15% |
|
|
| 0.05% |
|
|
| 0.03% |
|
|
On the next $500 million |
|
| 0.18% |
|
|
| 0.13% |
|
|
| 0.13% |
|
|
| 0.05% |
|
|
| 0.03% |
|
|
On the next $500 million |
|
| 0.15% |
|
|
| 0.11% |
|
|
| 0.11% |
|
|
| 0.04% |
|
|
| 0.02% |
|
|
On the next $500 million |
|
| 0.13% |
|
|
| 0.09% |
|
|
| 0.09% |
|
|
| 0.04% |
|
|
| 0.02% |
|
|
On the next $500 million |
|
| 0.11% |
|
|
| 0.07% |
|
|
| 0.07% |
|
|
| 0.03% |
|
|
| 0.01% |
|
|
On the remainder (> $2.5 billion) |
|
| 0.09% |
|
|
| 0.05% |
|
|
| 0.05% |
|
|
| 0.03% |
|
|
| 0.01% |
|
|
TIP’s board of directors has approved money manager agreements with each of the money managers. Money managers will receive annual management fees equal to a stated percentage of the value of fund assets under management that is adjusted upward or downward, proportionately, to reflect actual investment performance over the applicable time period relative to a chosen benchmark rate of return. Certain money managers, however, will receive management fees equal to a flat percentage per annum of the assets under management with a single rate or on a descending scale.
Appendix A of the Notes to Financial Statements identifies money managers who provide services to the funds and the minimum, maximum, and effective fee rates applicable during the six months ended June 30, 2006. Where indicated, the management fee received by a money manager varies based on the money manager’s investment performance.
During the six months ended June 30, 2006, TAS voluntarily waived fees of $9,079 in the Government Bond Fund. There are no recapture agreements in place for fees that have been waived.
With respect to funds’ investments in other registered investment companies, private investment funds, investment partnerships, and other commingled investment vehicles, the funds bear their ratable share of each such entity’s expenses and would also be subject to their share of the management and performance fees, if any, charged by such entity. The funds’ share of management and performance fees charged by such entities is in addition to fees paid by the respective fund to TAS and money managers.
Pursuant to an Operations Monitoring Agent Agreement, effective August 15, 2003, Vastardis Fund Services LLC, formerly, EOS Fund Services LLC, an employee of which serves as an officer of TIP, earns a fee for providing operations monitoring services to TIP as well as to other investment vehicles organized by TAS according to the following schedule: 0.02% of the first $3.5 billion of the aggregated average daily net assets of TIP and the other vehicles, 0.015% thereafter up to $5 billion, 0.01% thereafter up to $7.5 billion, 0.0075% thereafter up to $10 billion, and 0.005% on assets over $10 billion. Pursuant to an Administration Agreement, effective August 15, 2003, Investors Bank & Trust Company (“IBT”) earns a fee for providing fund administration services to TIP according to the following schedule: 0.05% of the first $300 million of the average daily net assets of TIP, 0.03% thereafter up to $3 billion, and 0.025% on assets over $3 billion. IBT also serves as TIP’s custodian and accounting and
42
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) | June 30, 2006 |
transfer agent. Fees paid for services rendered by IBT are based upon assets of TIP and on transactions entered into by TIP during the period. Fees for such services paid to IBT by TIP are reflected as administration fees, custodian and accounting fees, and member recordkeeping fees in the Statement of Operations. Two employees of IBT serve as officers of TIP.
Pursuant to TIP’s exemptive order obtained from the Securities and Exchange Commission, shareholder approval of money manager agreements and material changes to such agreements is not required.
TIP has contracted with Vastardis Compliance Services LLC (“VCS”) to provide services with respect to the monitoring of TIP’s compliance program pursuant to Rule 38a-1 of the 1940 Act. TIP’s board has appointed William E. Vastardis, with the agreement of VCS and Mr. Vastardis, as TIP’s chief compliance officer. For these services, TIP pays VCS a monthly fee, plus any out-of-pocket expenses. Each fund pays a pro rata portion of the fees based on its share of TIP’s average monthly net assets. TIP’s board of directors last approved these arrangements at a meeting on November 17, 2005.
4. Investment Transactions
Cost of investment securities purchased and proceeds from sales of investment securities, other than short-term investments and securities sold short, during the six months ended June 30, 2006, were as follows:
Fund |
| Purchases |
| Sales |
| ||
Multi-Asset |
| $ | 184,222,171 |
| $ | 111,736,404 |
|
International Equity |
| 33,169,099 |
| 24,836,718 |
| ||
US Equity |
| 37,724,665 |
| 42,033,119 |
| ||
Fund |
| Purchases |
| Sales |
| ||
Multi-Asset |
| $ | 246,241,819 |
| $ | 218,084,578 |
|
Government Bond |
| 76,749,775 |
| 73,573,827 |
| ||
For federal income tax purposes, the cost of securities owned at June 30, 2006, the aggregate gross unrealized appreciation (depreciation) and the net unrealized appreciation (depreciation) on securities owned and securities sold short at June 30, 2006, for each fund are as follows:
|
|
|
|
|
| Net Unrealized |
|
|
| ||||||||||
|
|
|
|
|
| Appreciation/ |
|
|
| ||||||||||
Fund |
| Gross Appreciation |
| Gross Depreciation |
| (Depreciation) |
| Cost |
| ||||||||||
Multi-Asset |
|
| $ | 158,676,265 |
|
|
| $ | (18,834,688 | ) |
|
| $ | 139,841,577 |
|
| $ | 1,238,654,886 |
|
International Equity |
|
| 67,022,490 |
|
|
| (3,476,811 | ) |
|
| 63,545,679 |
|
| 192,990,012 |
| ||||
US Equity |
|
| 37,485,639 |
|
|
| (6,546,763 | ) |
|
| 30,938,876 |
|
| 168,231,701 |
| ||||
Government Bond |
|
| — |
|
|
| (94,374 | ) |
|
| (94,374 | ) |
| 72,166,874 |
| ||||
Short-Term |
|
| 9 |
|
|
| (16,913 | ) |
|
| (16,904 | ) |
| 91,775,485 |
| ||||
The difference between the cost of investment securities and financial statement cost for the funds is due to certain timing differences in the recognition of capital losses under income tax regulations and generally accepted accounting principles.
5. Repurchase and Reverse Repurchase Agreements
Each fund may enter into repurchase agreements under which a bank or securities firm that is a primary or reporting dealer in US government securities and asset-backed securities agrees, upon entering into a contract, to sell US government securities to a fund and repurchase such securities from such fund at a mutually agreed upon price and date.
Each fund is also permitted to enter into reverse repurchase agreements under which a primary or reporting dealer in US government securities purchases US government securities from a fund and such fund agrees to repurchase the securities at an agreed upon price and date. The difference between the amount the fund receives for the securities and the additional amount it pays on repurchase is deemed to be a payment of interest. Appendix F of the Notes to Financial Statements details each fund’s open reverse repurchase agreements at June 30, 2006.
Each fund will engage in repurchase and reverse repurchase transactions with parties approved by the fund’s investment adviser on the basis of such party’s creditworthiness. Securities pledged as collateral for repurchase agreements are held by the custodial bank until maturity of the repurchase agreements. In connection with reverse repurchase agreements, the funds establish segregated accounts with its custodian in which the funds maintain cash, US government securities, or other liquid high grade debt obligations in the name of the counterparty equal in value to its obligation. The funds may also invest in tri-party repurchase agreements for which securities held as collateral are maintained in a segregated account by the broker’s custodian bank until maturity of the repurchase agreement. Provisions of the repurchase agreements and the procedures adopted by the
43
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) | June 30, 2006 |
funds require that the market value of the collateral, including accrued interest thereon, be at least equal to the value of the securities sold or purchased in order to protect against loss in the event of default by the counterparty. If the counterparty defaults and the value of the collateral declines or if the counterparty enters an insolvency proceeding, realization of the collateral may be delayed or limited.
6. Capital Share Transactions
As of June 30, 2006, each fund had 500,000,000 shares of $0.001 par value capital stock authorized. The funds may charge entry or exit fees on subscriptions or redemptions, respectively. While there are no sales commissions (loads) or 12b-1 fees, the Multi-Asset Fund assesses entry and exit fees of 0.50% of capital invested or redeemed; the International Equity Fund assesses entry and exit fees of 0.75%; and the US Equity Fund assesses entry and exit fees of 0.25%. These fees, which are paid to the funds directly, not to TAS or other vendors supplying services to the funds, are designed to allocate transaction costs associated with purchases and redemptions of a fund’s shares. These fees are deducted from the amount invested or redeemed; they cannot be paid separately. Entry and exit fees may be waived at TAS’s discretion when the purchase or redemption will not result in significant transaction costs for the affected fund (e.g., for transactions involving in-kind purchases and redemptions). Such fees are retained by the funds and included in proceeds from shares sold or deducted from distributions for redemptions. Transactions in capital stock are listed in Appendix D of the Notes to Financial Statements.
7. Delayed Delivery Transactions
The funds may purchase or sell securities on a when-issued or forward commitment basis. Payment and delivery may take place a month or more after the date of the transaction. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The funds identify these securities in their records as segregated with a value at least equal to the amount of the purchase commitment.
The Multi-Asset Fund enters into “TBA” (to be announced) purchase commitments to purchase mortgage-backed securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However, the principal amount delivered will not differ more than 0.01% from the commitment. TBA purchase commitments may be considered securities in themselves and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the funds’ other assets. Unsettled TBA purchase commitments are valued at the current market value of the underlying securities, generally according to the procedures described under Valuation of Investments above. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts.
Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for their portfolio, the fund may dispose of a commitment prior to settlement if the funds’ money managers deem it appropriate to do so.
The Multi-Asset Fund enters into TBA sale commitments to hedge the portfolio or to sell mortgage-backed securities the fund owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment (deliverable on or before the sale commitment date), are held as “cover” for the transaction.
Unsettled TBA sale commitments are valued at the current market value of the underlying securities, generally according to the procedures described under Valuation of Investments above. The contract is marked to market daily, and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting purchase commitment, the fund realizes a gain or loss on the commitment without regard to any unrealized gain or loss on the underlying security. If the fund delivers securities under the commitment, the fund realizes a gain or loss from the sale of the securities upon the unit price established at the date the commitment was entered into.
8. Concentration of Risks
The funds may engage in transactions with counterparties, including but not limited to repurchase and reverse repurchase agreements, forward contracts, futures and options, and interest rate and currency swaps. A fund may be subject to various delays and risks of loss if the counterparty becomes insolvent or is otherwise unable to meet its obligations.
The Multi-Asset, International Equity, and US Equity Funds invest in private investment funds that entail liquidity risk to the extent they are difficult to sell or convert to cash quickly at favorable prices.
The Multi-Asset Fund invests in fixed income securities issued by banks and other financial companies, the market values of which may change in response to interest rate changes. Although these funds generally maintain diversified portfolios, the ability of the issuers of the respective funds’ portfolio securities to meet their obligations may be affected by changing business and economic conditions in a specific industry, state, or region.
The Multi-Asset, International Equity and US Equity Funds invest in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the United States, a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries. While the funds’ investment in emerging markets debt securities is limited, the yields of these obligations reflect perceived credit risk.
44
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) | June 30, 2006 |
9. Fundamental Members
The schedule below shows the number of members each owning 10% or more of a fund and the total percentage of the fund held by such members as of June 30, 2006.
Fund |
| Number |
| % of Fund Held |
| ||||
International Equity |
|
| 1 | (a) |
|
| 40 |
|
|
US Equity |
|
| 2 |
|
|
| 30 |
|
|
Government Bond |
|
| 2 |
|
|
| 69 |
|
|
Short-Term |
|
| 2 | (a) |
|
| 23 |
|
|
From time to time, a fund may have members that hold significant portions of the respective fund’s outstanding shares. Investment activities of such members could have a material impact on those funds. A member did not hold more than 10% of the Multi-Asset Fund as of June 30, 2006.
(a) A Director of the fund serves as an officer of one of these members.
10. Restricted Securities
Restricted securities that were held by the funds at June 30, 2006, were valued in accordance with the Valuation of Investments section as described in Note 2. Such securities generally may be sold only in a privately negotiated transaction with a limited number of purchasers. Each fund will bear any costs incurred in connection with the disposition of such securities.
Appendix E of the Notes to Financial Statements details each fund’s restricted securities at June 30, 2006.
11. Other Matters
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the fund's tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. At this time, management is evaluating the implications of FIN 48 and its impact in the financial statements has not yet been determined.
45
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) | June 30, 2006 |
Money Manager Fee as Percent of Assets Managed
for Six Months Ended June 30, 2006
|
|
|
|
|
| Effective |
| ||||||
|
| Minimum |
| Maximum |
| Fee Rate |
| ||||||
TIFF Multi-Asset Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
Aronson+Johnson+Ortiz, LP (a) |
|
| 0.10 |
|
|
| 0.80 |
|
|
| 0.69 |
|
|
Marathon Asset Management, LLP (a) |
|
| 0.15 |
|
|
| 1.60 |
|
|
| 0.32 |
|
|
Mondrian Investment Partners Limited * |
|
| 0.30 |
|
|
| 0.43 |
|
|
| 0.36 |
|
|
K.G. Redding & Associates, LLC (a) |
|
| 0.50 |
|
|
| 2.50 |
|
|
| 0.46 |
|
|
Smith Breeden Associates, Inc. (a) |
|
| 0.10 |
|
|
| 0.85 |
|
|
| 0.26 |
|
|
Wellington Management Company, LP |
|
| 0.35 |
|
|
| 0.45 |
|
|
| 0.41 |
|
|
TIFF International Equity Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
Marathon Asset Management, LLP (a) |
|
| 0.15 |
|
|
| 1.60 |
|
|
| 0.14 |
|
|
Mondrian Investment Partners Limited |
|
| 0.33 |
|
|
| 0.55 |
|
|
| 0.48 |
|
|
TIFF US Equity Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
Aronson+Johnson+Ortiz, LP (a) |
|
| 0.10 |
|
|
| 0.80 |
|
|
| 0.63 |
|
|
Shapiro Capital Management Company, Inc. (a) |
|
| 0.50 |
|
|
| 0.95 |
|
|
| 0.53 |
|
|
Westport Asset Management, Inc. (a) |
|
| 0.15 |
|
|
| 2.00 |
|
|
| 0.59 |
|
|
TIFF Government Bond Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
Smith Breeden Associates, Inc. (a) |
|
| 0.10 |
|
|
| 0.85 |
|
|
| 0.23 |
|
|
(a) Money manager receives a fee that includes a performance component. The effective fee may fall outside of the minimum/maximum range because performance fees are based on assets and performance from a period prior to when they are accrued, if applicable.
* Effective March 14, 2006 fee maximum changed from 0.50 to 0.43 per supplement to the prospectus.
46
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) | June 30, 2006 |
Open Forward Currency Contracts as of June 30, 2006
Contract |
|
|
| US Dollar |
| Foreign Currency |
| Unrealized |
| ||||||||||
Amount |
| Description |
| Receivable |
| Payable |
| Depreciation |
| ||||||||||
|
| Multi-Asset Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
|
| Sell Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
£ | 3,942,500 |
| Great British Pounds settling on 7/31/06 |
|
| $ | 7,041,108 |
|
|
| $ | (7,295,795 | ) |
|
| $ | (254,687 | ) |
|
|
| International Equity Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
|
| Sell Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
£ | 1,710,000 |
| Great British Pounds settling on 7/31/06 |
|
| $ | 3,053,974 |
|
|
| $ | (3,164,441 | ) |
|
| $ | (110,467 | ) |
|
47
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) | June 30, 2006 |
Open Financial Futures Contracts as of June 30, 2006
|
|
|
|
|
|
|
| Unrealized |
| |||||||||
Number of |
|
|
| Cost/ |
| Value at |
| Appreciation/ |
| |||||||||
Contracts |
| Type |
| (Proceeds) |
| June 30, 2006 |
| (Depreciation) |
| |||||||||
|
|
|
| Multi-Asset Fund |
|
|
|
|
|
|
|
|
|
|
| |||
|
|
|
| Long Financial Futures Contracts |
|
|
|
|
|
|
|
|
|
|
| |||
| 246 |
|
| July 2006 CAC40 |
| $ | 15,000,790 |
|
| $ | 15,644,040 |
|
|
| $ | 643,250 |
|
|
| 301 |
|
| September 2006 Topix Index |
| 39,759,437 |
|
| 41,852,731 |
|
|
| 2,093,294 |
|
| |||
| 246 |
|
| September 2006 Swiss Market Index |
| 14,942,743 |
|
| 15,394,580 |
|
|
| 451,837 |
|
| |||
| 512 |
|
| September 2006 S&P 500 Index |
| 159,596,800 |
|
| 163,763,200 |
|
|
| 4,166,400 |
|
| |||
| 101 |
|
| September 2006 TSE 60 Index |
| 11,715,674 |
|
| 11,933,640 |
|
|
| 217,966 |
|
| |||
| 514 |
|
| September 2006 MSCI Pan Euro |
| 13,782,032 |
|
| 14,219,744 |
|
|
| 437,712 |
|
| |||
| 30 |
|
| September 2006 MIB Index |
| 6,818,402 |
|
| 7,033,406 |
|
|
| 215,004 |
|
| |||
| 238 |
|
| September 2006 FTSE 100 Index |
| 24,949,154 |
|
| 25,641,237 |
|
|
| 692,083 |
|
| |||
| 86 |
|
| September 2006 DAX Index |
| 15,132,408 |
|
| 15,742,708 |
|
|
| 610,300 |
|
| |||
| 71 |
|
| September 2006 Australian Dollar |
| 5,235,435 |
|
| 5,273,880 |
|
|
| 38,445 |
|
| |||
| 96 |
|
| September 2006 Canadian Dollar |
| 8,576,160 |
|
| 8,612,160 |
|
|
| 36,000 |
|
| |||
| 377 |
|
| September 2006 Euro FX GLBX |
| 59,950,069 |
|
| 60,555,625 |
|
|
| 605,556 |
|
| |||
| 149 |
|
| September 2006 Swiss Franc |
| 15,265,031 |
|
| 15,348,862 |
|
|
| 83,831 |
|
| |||
| 274 |
|
| September 2006 British Pounds |
| 31,668,162 |
|
| 31,694,950 |
|
|
| 26,788 |
|
| |||
| 591 |
|
| September 2006 Japanese Yen |
| 65,563,525 |
|
| 65,246,400 |
|
|
| (317,125 | ) |
| |||
| 337 |
|
| September 2006 10-Year US Treasury Note |
| 35,501,120 |
|
| 35,337,618 |
|
|
| (163,502 | ) |
| |||
| 82 |
|
| June 2007 90-Day Eurodollar |
| 19,500,892 |
|
| 19,370,450 |
|
|
| (130,442 | ) |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
| 9,707,397 |
|
| |||
|
|
|
| Short Financial Futures Contracts |
|
|
|
|
|
|
|
|
|
|
| |||
| 3 |
|
| September 2006 90-Day Eurodollar |
| (717,165 | ) |
| (708,150 | ) |
|
| 9,015 |
|
| |||
| 22 |
|
| September 2006 US Long Bond |
| (2,364,242 | ) |
| (2,346,438 | ) |
|
| 17,804 |
|
| |||
| 12 |
|
| September 2006 2-Year US Treasury Note |
| (2,441,680 | ) |
| (2,433,375 | ) |
|
| 8,305 |
|
| |||
| 35 |
|
| September 2006 5-Year US Treasury Note |
| (3,638,433 | ) |
| (3,619,219 | ) |
|
| 19,214 |
|
| |||
| 3 |
|
| December 2006 90-Day Eurodollar |
| (715,965 | ) |
| (708,037 | ) |
|
| 7,928 |
|
| |||
| 3 |
|
| March 2007 90-Day Eurodollar |
| (714,952 | ) |
| (708,300 | ) |
|
| 6,652 |
|
| |||
| 3 |
|
| September 2007 90-Day Eurodollar |
| (713,040 | ) |
| (708,975 | ) |
|
| 4,065 |
|
| |||
| 1 |
|
| December 2007 90-Day Eurodollar |
| (239,509 | ) |
| (236,362 | ) |
|
| 3,147 |
|
| |||
| 1 |
|
| March 2008 90-Day Eurodollar |
| (239,422 | ) |
| (236,375 | ) |
|
| 3,047 |
|
| |||
| 86 |
|
| June 2008 90-Day Eurodollar |
| (20,453,094 | ) |
| (20,325,026 | ) |
|
| 128,068 |
|
| |||
| 1 |
|
| September 2008 90-Day Eurodollar |
| (239,184 | ) |
| (236,275 | ) |
|
| 2,909 |
|
| |||
| 1 |
|
| December 2008 90-Day Eurodollar |
| (239,034 | ) |
| (236,187 | ) |
|
| 2,847 |
|
| |||
| 1 |
|
| March 2009 90-Day Eurodollar |
| (238,947 | ) |
| (236,150 | ) |
|
| 2,797 |
|
| |||
| 1 |
|
| June 2009 90-Day Eurodollar |
| (238,822 | ) |
| (236,088 | ) |
|
| 2,734 |
|
| |||
| 18 |
|
| September 2009 90-Day Eurodollar |
| (4,287,191 | ) |
| (4,248,450 | ) |
|
| 38,741 |
|
| |||
| 18 |
|
| December 2009 90-Day Eurodollar |
| (4,285,341 | ) |
| (4,247,100 | ) |
|
| 38,241 |
|
| |||
| 17 |
|
| March 2010 90-Day Eurodollar |
| (4,046,157 | ) |
| (4,010,513 | ) |
|
| 35,644 |
|
| |||
| 17 |
|
| June 2010 90-Day Eurodollar |
| (4,045,307 | ) |
| (4,009,450 | ) |
|
| 35,857 |
|
| |||
|
|
|
|
|
|
|
|
|
|
|
|
| 367,015 |
|
| |||
|
|
|
|
|
|
|
|
|
|
|
|
| $ | 10,074,412 |
|
| ||
48
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) | June 30, 2006 |
Appendix C (continued)
|
|
|
|
|
|
|
| Unrealized |
| |||||||||
Number of |
|
|
| Cost/ |
| Value at |
| Appreciation/ |
| |||||||||
Contracts |
| Type |
| (Proceeds) |
| June 30, 2006 |
| (Depreciation) |
| |||||||||
|
|
|
| International Equity Fund |
|
|
|
|
|
|
|
|
|
|
| |||
|
|
|
| Long Financial Futures Contracts |
|
|
|
|
|
|
|
|
|
|
| |||
| 51 |
|
| July 2006 CAC40 |
| $ | 3,109,920 |
|
| $ | 3,243,277 |
|
|
| $ | 133,357 |
|
|
| 88 |
|
| September 2006 Topix Index |
| 11,624,022 |
|
| 12,236,020 |
|
|
| 611,998 |
|
| |||
| 160 |
|
| September 2006 Swiss Market Index |
| 9,718,858 |
|
| 10,012,735 |
|
|
| 293,877 |
|
| |||
| 68 |
|
| September 2006 TSE 60 Index |
| 7,887,780 |
|
| 8,034,529 |
|
|
| 146,749 |
|
| |||
| 126 |
|
| September 2006 MSCI Pan Euro |
| 3,378,475 |
|
| 3,485,774 |
|
|
| 107,299 |
|
| |||
| 5 |
|
| September 2006 MIB Index |
| 1,136,401 |
|
| 1,172,234 |
|
|
| 35,833 |
|
| |||
| 40 |
|
| September 2006 FTSE 100 Index |
| 4,192,930 |
|
| 4,309,451 |
|
|
| 116,521 |
|
| |||
| 10 |
|
| September 2006 DAX Index |
| 1,759,583 |
|
| 1,830,547 |
|
|
| 70,964 |
|
| |||
| 28 |
|
| September 2006 Australian Dollar |
| 2,064,280 |
|
| 2,079,840 |
|
|
| 15,560 |
|
| |||
| 32 |
|
| September 2006 Canadian Dollar |
| 2,858,720 |
|
| 2,870,720 |
|
|
| 12,000 |
|
| |||
| 89 |
|
| September 2006 Euro FX GLBX |
| 14,152,669 |
|
| 14,295,625 |
|
|
| 142,956 |
|
| |||
| 65 |
|
| September 2006 Swiss Franc |
| 6,659,244 |
|
| 6,695,812 |
|
|
| 36,568 |
|
| |||
| 24 |
|
| September 2006 British Pounds |
| 2,773,300 |
|
| 2,776,200 |
|
|
| 2,900 |
|
| |||
| 131 |
|
| September 2006 Japanese Yen |
| 14,532,719 |
|
| 14,462,400 |
|
|
| (70,319 | ) |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
| $ | 1,656,263 |
|
| ||
|
|
|
| US Equity Fund |
|
|
|
|
|
|
|
|
|
|
| |||
|
|
|
| Long Financial Futures Contracts |
|
|
|
|
|
|
|
|
|
|
| |||
| 286 |
|
| September 2006 S&P 500 Index |
| 89,044,962 |
|
| 91,477,100 |
|
|
| $ | 2,432,138 |
|
| ||
|
|
|
| Short Financial Futures Contracts |
|
|
|
|
|
|
|
|
|
|
| |||
| 21 |
|
| September 2006 Midcap 400 Index |
| (7,633,500 | ) |
| (8,101,800 | ) |
|
| (468,300 | ) |
| |||
| 110 |
|
| September 2006 Russell 2000 Index |
| (38,657,500 | ) |
| (40,232,500 | ) |
|
| (1,575,000 | ) |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
| (2,043,300 | ) |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
| $ | 388,838 |
|
| ||
49
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) | June 30, 2006 |
|
| Six Months Ended June 30, 2006* |
| Year Ended December 31, 2005 |
| ||||||
|
| Shares |
| Amount |
| Shares |
| Amount |
| ||
Multi-Asset Fund |
|
|
|
|
|
|
|
|
| ||
Shares Sold |
| 17,474,811 |
| $ | 272,807,104 |
| 19,346,391 |
| $ | 284,847,509 |
|
Shares Reinvested |
| 808,459 |
| 12,495,590 |
| 3,211,631 |
| 48,169,993 |
| ||
Entry Fee |
| — |
| 1,370,864 |
| — |
| 1,429,118 |
| ||
Exit Fee |
| — |
| 169,844 |
| — |
| 85,982 |
| ||
Subtotal |
| 18,283,270 |
| 286,843,402 |
| 22,558,022 |
| 334,532,602 |
| ||
Shares Redeemed |
| (2,181,748 | ) | (33,968,960 | ) | (1,180,802 | ) | (17,196,663 | ) | ||
Net Increase |
| 16,101,522 |
| $ | 252,874,442 |
| 21,377,220 |
| $ | 317,335,939 |
|
International Equity Fund |
|
|
|
|
|
|
|
|
| ||
Shares Sold |
| 636,416 |
| $ | 10,362,869 |
| 1,947,123 |
| $ | 26,704,265 |
|
Shares Reinvested |
| 195,478 |
| 3,135,467 |
| 462,254 |
| 6,537,824 |
| ||
Entry Fee |
| — |
| 78,309 |
| — |
| 201,795 |
| ||
Exit Fee |
| — |
| 134,871 |
| — |
| 75,000 |
| ||
Subtotal |
| 831,894 |
| 13,711,516 |
| 2,409,377 |
| 33,518,884 |
| ||
Shares Redeemed |
| (1,161,055 | ) | (17,982,886 | ) | (719,116 | ) | (10,000,042 | ) | ||
Net Increase (Decrease) |
| (329,161 | ) | $ | (4,271,370 | ) | 1,690,261 |
| $ | 23,518,842 |
|
US Equity Fund |
|
|
|
|
|
|
|
|
| ||
Shares Sold |
| 950,240 |
| $ | 13,984,069 |
| 774,939 |
| $ | 11,084,328 |
|
Shares Reinvested |
| 24,605 |
| 357,754 |
| 1,178,631 |
| 16,683,513 |
| ||
Entry Fee |
| — |
| 35,047 |
| — |
| 27,780 |
| ||
Exit Fee |
| — |
| 53,628 |
| — |
| 135,191 |
| ||
Subtotal |
| 974,845 |
| 14,430,498 |
| 1,953,570 |
| 27,930,812 |
| ||
Shares Redeemed |
| (1,467,107 | ) | (21,451,370 | ) | (3,636,829 | ) | (54,076,718 | ) | ||
Net Decrease |
| (492,262 | ) | $ | (7,020,872 | ) | (1,683,259 | ) | $ | (26,145,906 | ) |
Government Bond Fund |
|
|
|
|
|
|
|
|
| ||
Shares Sold |
| 342,403 |
| $ | 3,215,174 |
| 1,499,342 |
| $ | 14,525,584 |
|
Shares Reinvested |
| 87,930 |
| 803,977 |
| 164,896 |
| 1,596,426 |
| ||
Subtotal |
| 430,333 |
| 4,019,151 |
| 1,664,238 |
| 16,122,010 |
| ||
Shares Redeemed |
| (83,932 | ) | (767,500 | ) | (2,175,561 | ) | (21,173,383 | ) | ||
Net Increase (Decrease) |
| 346,401 |
| $ | 3,251,651 |
| (511,323 | ) | $ | (5,051,373 | ) |
Short-Term Fund |
|
|
|
|
|
|
|
|
| ||
Shares Sold |
| 11,424,667 |
| $ | 111,419,570 |
| 19,960,879 |
| $ | 195,375,342 |
|
Shares Reinvested |
| 211,661 |
| 2,061,921 |
| 313,972 |
| 3,069,017 |
| ||
Subtotal |
| 11,636,328 |
| 113,481,491 |
| 20,274,851 |
| 198,444,359 |
| ||
Shares Redeemed |
| (14,014,826 | ) | (136,835,209 | ) | (17,599,255 | ) | (172,399,607 | ) | ||
Net Increase (Decrease) |
| (2,378,498 | ) | $ | (23,353,718 | ) | 2,675,596 |
| $ | 26,044,752 |
|
* Unaudited
50
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) | June 30, 2006 |
Restricted Securities as of June 30, 2006
The following restricted securities were held by the funds as of June 30, 2006, and were valued in accordance with the Valuation of Investments as described in Note 2. Such securities generally may be sold only in a privately negotiated transaction with a limited number of purchasers. Each fund will bear any costs incurred in connection with the disposition of such securities.
|
| Investment |
| Date of Acquisition |
| Cost |
| |
Multi-Asset Fund |
| Convexity Capital Offshore, LP |
| 02/16/06 |
| $ | 42,000,000 |
|
|
| Farallon Capital Institutional Partners, LP |
| 04/01/95-11/01/05 |
| 17,746,138 |
| |
|
| Freeman Fair Value Fund I, LP |
| 09/30/04-07/01/05 |
| 50,000,000 |
| |
|
| Landsdowne UK Equity Fund Ltd. |
| 06/01/06 |
| 16,000,000 |
| |
|
| Lone Cascade, LP |
| 01/03/06 |
| 4,473,000 |
| |
|
| Lone Picea, LP, Class D |
| 01/02/03-01/02/04 |
| 2,279,000 |
| |
|
| Lone Picea, LP, Class B |
| 01/03/2005 |
| 1,617,000 |
| |
|
| Lone Redwood, LP |
| 12/29/98 |
| 3,154,356 |
| |
|
| Maverick Fund USA Ltd. |
| 12/31/02-09/01/04 |
| 20,000,000 |
| |
|
| Maverick Fund USA Ltd., Class C |
| 01/03/06 |
| 3,643,689 |
| |
|
| OZ Domestic Partners, LP |
| 12/31/01-09/30/03 |
| 9,000,000 |
| |
|
| Regiment Capital Ltd. |
| 6/30/2003 |
| 6,000,000 |
| |
|
| Tosca |
| 12/30/03-7/31/04 |
| 11,000,000 |
| |
|
| Value Realization Fund, LP (The) |
| 12/31/97-04/03/06 |
| 23,797,936 |
| |
International Equity Fund |
| Convexity Capital Offshore, LP |
| 02/16/06 |
| 11,000,000 |
| |
|
| Lansdowne UK Equity Fund Ltd. |
| 05/31/03 |
| 8,000,000 |
| |
|
| Tosca |
| 07/01/04 |
| 4,700,000 |
| |
US Equity Fund |
| Adage Capital Partners, LP |
| 12/31/01-06/30/03 |
| 23,212,672 |
| |
|
| Freeman Fair Value Fund I, LP |
| 09/30/04-12/31/04 |
| 18,000,000 |
| |
|
| Gotham Partners, LP |
| 12/31/96-06/26/97 |
| 660,814 |
| |
|
| Pacific Rim Mining Corp. - ASE Shares |
| 06/01/04 |
| 100,800 |
| |
At June 30, 2006, the aggregate market value of restricted securities was: Multi-Asset Fund: $268,376,210 (19.9% of net assets); International Equity Fund: $29,606,548 (11.5% of net assets); US Equity Fund: $51,024,492 (25.7% of net assets). All of the above listed securities are illiquid, with the exception of Freeman Fair Value Fund I, LP, which the board of directors deemed to be liquid and Multi-Asset Fund’s holding in The Value Realization Fund, LP, which the board of directors deemed to be 90% liquid. The above list does not include other securities eligible for resale pursuant to Rule 144A under the Securities Act of 1933. These securities may also be deemed to be restricted.
51
NOTES TO FINANCIAL STATEMENTS (uNAUDITED) | June 30, 2006 |
Reverse Repurchase Agreements as of June 30, 2006
Multi-Asset Fund
Description |
| Face |
| Market |
| ||
Morgan Stanley Dean Witter, Variable Rate, 4.50%, dated 06/01/06, to be repurchased on 07/20/06, at face value, plus accrued interest |
| $ | 6,613,208 |
| $ | 6,637,828 |
|
Bear, Stearns & Co., Inc., 4.75% , dated 06/15/06, to be repurchased on 07/17/06, at face value, plus accrued interest |
| 20,075,000 |
| 20,117,381 |
| ||
Bear, Stearns & Co., Inc., 4.98%, dated 06/28/06, to be repurchased on 07/05/06, at face value, plus accrued interest |
| 4,831,250 |
| 4,833,255 |
| ||
Total reverse repurchase agreements |
|
|
| $ | 31,588,464 |
| |
Average balance outstanding |
|
|
| $ | 34,329,184 |
| |
Average interest rate |
|
|
| 3.45% |
| ||
Maximum face value outstanding |
|
|
| $ | 43,228,826 |
| |
Average balance outstanding was calculated based on daily balances outstanding during the period that the fund had entered into reverse repurchase agreements. |
|
|
|
|
| ||
Government Bond Fund
Description |
| Face |
| Market |
| ||
Bear, Stearns & Co., Inc., 4.75%, dated 06/15/06, to be repurchased on 07/17/06, at face value, plus accrued interest |
| $ | 20,075,000 |
| $ | 20,117,381 |
|
Morgan Stanley Dean Witter, Variable Rate, 4.95%, dated 06/28/06, to be repurchased on 07/03/06, at face value, plus accrued interest |
| 6,010,340 |
| 6,012,769 |
| ||
Morgan Stanley Dean Witter, 4.80%, dated 06/28/06, to be repurchased on 07/03/06, at face value, plus accrued interest |
| 9,800,000 |
| 9,803,920 |
| ||
Total reverse repurchase agreements |
|
|
| $ | 35,934,070 |
| |
Average balance outstanding |
|
|
| $ | 39,297,514 |
| |
Average interest rate |
|
|
| 3.85% |
| ||
Maximum face value outstanding |
|
|
| $ | 66,175,023 |
| |
52
|
NOTES TO FINANCIAL STATEMENTS (uNAUDITED) June 30, 2006 |
Written Option Contracts as of June 30, 2006
Multi-Asset Fund |
| Number of Contracts |
| Premiums |
| |||||
Outstanding at beginning of period |
|
| 330 |
|
|
| $ | 43,778 |
|
|
Options Written |
|
| 785 |
|
|
| 145,980 |
|
| |
Options Canceled in Closing Transactions |
|
| (1,087 | ) |
|
| (170,099 | ) |
| |
Options Expired |
|
| 0 |
|
|
| 0 |
|
| |
Options Exercised |
|
| 0 |
|
|
| 0 |
|
| |
Outstanding at end of period |
|
| 28 |
|
|
| $ | 19,659 |
|
|
53
NOTES TO FINANCIAL STATEMENTS (uNAUDITED) ; June 30, 2006 |
Swap Agreements as of June 30, 2006
Total Return Swap
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net |
| |||||||
Notional |
|
|
| Expiration |
| Counterparty |
| Receive |
| Pay |
| Index |
| For the Six |
| |||||||
$5,000,000 |
| USD |
|
| 12/28/2006 |
|
|
| AIG |
|
| Return on Index |
| 3-Month |
| The Dow Jones — AIG |
|
| $ | (917,613 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| US Treasury |
| Commodity Index Total |
|
|
|
|
|
54
June 30, 2006 |
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, which in the case of the Multi-Asset Fund, International Equity Fund and US Equity Fund, include the entry and exit fees described in the Funds’ Prospectus; and (2) on-going costs, including management fees and other Fund expenses. The following examples are intended to help you understand your on-going costs (in dollars) of investing in a Fund and to compare these costs with the on-going costs of investing in other mutual funds.
The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2006 to June 30, 2006.
Actual Expenses
The line in each example identified as “Actual” provides information about actual account values and actual expenses. You may use the information in the “Actual” line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the “Actual” line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The line in each example identified as “Hypothetical” provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. You may use this information to compare the on-going costs of investing in a TIP Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the examples are meant to highlight your on-going costs only and do not reflect any transactional costs, such as entry and exit fees. Therefore, the “Hypothetical” line of each example is useful in comparing on-going costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
|
| Including Interest and |
| Excluding Interest and |
| ||||||||||||||||||||||
|
| Beginning |
| Ending |
| Expenses |
| Beginning |
| Ending |
| Expenses |
| ||||||||||||||
1) Actual |
|
| $ | 1,000 |
|
| $ | 1,059.43 |
|
| $ | 3.37 |
|
|
| $ | 1,000 |
|
| $ | 1,059.43 |
|
| $ | 2.71 |
|
|
2) Hypothetical |
|
| 1,000 |
|
| 1,021.52 |
|
| 3.31 |
|
|
| 1,000 |
|
| 1,022.17 |
|
| 2.66 |
|
| ||||||
* Expenses are calculated using the annualized expense ratio for the six months ended June 30, 2006, of 0.66%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Excluding interest expense, expenses incurred by the fund were 0.53%. The expense ratio does not include the fees and expenses associated with investments made in commingled investment vehicles; such fees and expenses are reflected as a reduction in the fund’s gross return.
** Interest Expense is interest deemed paid on reverse repurchase agreements (see Note 5); Dividend expense is dividends paid on securities sold short.
|
| Beginning |
| Ending |
| Expenses |
| |||||||
1) Actual |
|
| $ | 1,000 |
|
| $ | 1,103.42 |
|
| $ | 3.49 |
|
|
2) Hypothetical |
|
| 1,000 |
|
| 1,021.47 |
|
| 3.36 |
|
| |||
* Expenses are calculated using the annualized expense ratio for the six months ended June 30, 2006, of 0.67%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The expense ratio does not include the fees and expenses associated with investments made in commingled investment vehicles; such fees and expenses are reflected as a reduction in the fund’s gross return.
55
FUND EXPENSES (UNAUDITED) | June 30, 2006 |
|
| Beginning |
| Ending |
| Expenses |
| |||||||
1) Actual |
|
| $ | 1,000 |
|
| $ | 1,035.58 |
|
| $ | 3.91 |
|
|
2) Hypothetical |
|
| 1,000 |
|
| 1,020.96 |
|
| 3.88 |
|
| |||
* Expenses are calculated using the annualized expense ratio for the six months ended June 30, 2006, of 0.77%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The expense ratio does not include the fees and expenses associated with investments made in commingled investment vehicles; such fees and expenses are reflected as a reduction in the fund’s gross return.
|
| Including Interest Expense** |
| Excluding Interest Expense** |
| ||||||||||||||||||||||
|
| Beginning |
| Ending |
| Expenses |
| Beginning |
| Ending |
| Expenses |
| ||||||||||||||
1) Actual |
|
| $ | 1,000 |
|
| $ | 963.74 |
|
| $ | 20.26 |
|
|
| $ | 1,000 |
|
| $ | 963.74 |
|
| $ | 3.02 |
|
|
2) Hypothetical |
|
| 1,000 |
|
| 1,004.17 |
|
| 20.67 |
|
|
| 1,000 |
|
| 1,021.72 |
|
| 3.11 |
|
| ||||||
* Expenses are calculated using the annualized expense ratio for the six months ended June 30, 2006, of 4.16%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Excluding interest expense, expenses incurred by the fund were 0.62%. The expense ratio does not include the fees and expenses associated with investments made in commingled investment vehicles; such fees and expenses are reflected as a reduction in the fund’s gross return. Actual expenses reflect fee waivers in effect during the period.
** Interest Expense is interest deemed paid on reverse repurchase agreements (see Note 5).
|
| Beginning |
| Ending |
| Expenses |
| |||||||
1) Actual |
|
| $ | 1,000 |
|
| $ | 1,020.98 |
|
| $ | 1.05 |
|
|
2) Hypothetical |
|
| 1,000 |
|
| 1,023.75 |
|
| 1.05 |
|
| |||
* Expenses are calculated using the annualized expense ratio for the six months ended June 30, 2006, of 0.21%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The expense ratio does not include the fees and expenses associated with investments made in commingled investment vehicles; such fees and expenses are reflected as a reduction in the fund’s gross return.
56
ADDITIONAL INFORMATION (UNAUDITED) | June 30, 2006 |
Proxy Voting Policy and Voting Record
A description of the policies and procedures that TIP uses to determine how to vote proxies relating to portfolio securities is available on TIP’s website at http://www.tiff.org and without charge, upon request, by calling 800-984-0084. This information is also available on the website of the US Securities and Exchange Commission (“SEC”) at http://www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is also available on the websites noted above.
TIP files its complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. TIP’s Form N-Q is available without charge, upon request, by calling 800-984-0084. This information is also available on the website of the US Securities and Exchange Commission at http://www.sec.gov. TIP’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. In addition TIP’s portfolio holdings are available on a monthly basis on the TIFF Website at www.tiff.org.
57
|
|
APPROVAL OF THE INVESTMENT ADVISORY AND MONEY MANAGER AGREEMENTS (UNAUDITED) | June 30, 2006 |
At a meeting held on June 5, 2006, the board evaluated the investment advisory agreement between each of the TIP funds and TAS (as the advisor) and money managers (as sub-advisors). The board had requested and received information from TAS and the money managers in advance of the meeting, which the independent directors reviewed separately in executive session with their independent counsel prior to the meeting. The information obtained in advance from TAS and the money managers included:
Investment Strategies
Material Changes Relevant to Provision of Services
Portfolio Holdings Disclosure
Portfolio Management and Performance
Information Relied upon in Provision of Services
Performance Information (historical returns for each manager and its benchmark)
Brokerage Practices
Allocation Methodology
Best Execution
Consistency of Commission Rates
Commission Recapture Programs
Fees and Expenses
Benefits Derived from Advisory/Subadvisory Relationship
Expense Ratio Comparison
Economies of Scale
Compliance and Administration
Adoption of Compliance Program
Chief Compliance Officer
Compliance with Portfolio Investment Policies and Regulatory Requirements
Compliance Issues in the Past Year
Regulatory Examinations
Substantive Litigation
Governmental Inquiries
Financial Impairment
Codes of Ethics
Business Continuity Plan
In addition, the board considered the following: (i) memoranda from counsel setting forth the board’s fiduciary duties and responsibilities under the 1940 Act and the factors the board should consider in its evaluation of the advisory agreements (collectively, the “15(c) Memoranda”); (ii) a Lipper report describing the factors a mutual fund board should consider when evaluating management services rendered to a fund; (iii) a Lipper report comparing each fund’s advisory fees and expenses to those of its peer group; (iv) a report comparing the performance of each fund to the performance of its applicable benchmark; (v) additional information from TAS regarding the fees charged by TAS to each fund; (vi) additional information detailing the individual portfolio managers and fee schedule for each money manager; (vi) the most recent quarterly TIP Manager Monitor for TAS and each money manager; (vii) highest brokerage commissions paid by each fund; and (viii) TAS Financial Summary through April 30, 2006, unaudited TAS profit and loss summary, and draft 2005 audited financials.
Nature, Extent, and Quality of Services
The board considered a number of factors in evaluating TAS and the money managers. It noted that information received at regular meetings throughout the year related to the services rendered by the advisor and money managers concerning the management of the funds’ affairs. The board’s evaluation of the services provided by TAS and the money managers took into account the board’s knowledge and familiarity gained as board members, including the scope and quality of TAS’s investment management capabilities in selecting money managers, allocating fund assets across managers and asset classes, managing certain asset types in-house (e.g., TIPS, Treasuries, and futures), and its compliance responsibilities. The board also considered each money manager’s skills and experience in managing the underlying portfolios given the particular universe of asset types available to the manager, its trading acumen, and performance tendencies in various market cycles. The board concluded that, overall, it was satisfied with the nature, extent, and quality of the services provided under the advisory agreements with TAS and each of the money managers.
TIFF Multi-Asset Fund Performance, Fees, and Expenses (including Potential Economies of Scale)
The board reviewed the TIFF Multi-Asset Fund’s performance against its benchmarks (constructed index based on the normal allocation to each asset class; CPI plus 5% per annum) and considered TAS’s implementation of the fund’s investment strategy across multiple asset classes and money managers. The fund outperformed both benchmarks over the trailing one-, three-, and five-year periods (through March 31, 2006), and its 10-year and since inception returns were only slightly behind the constructed index but well ahead of CPI + 5%.
58
APPROVAL OF THE INVESTMENT ADVISORY AND MONEY MANAGER AGREEMENTS (UNAUDITED) | June 30, 2006 |
The board also reviewed fees and expenses for the Multi-Asset Fund, noting that the net advisory expense and reported total expenses of the fund were well below both the Lipper-reported peer group median and peer group average. The peer group for the Multi-Asset Fund is represented by Lipper’s Global Flexible Portfolio Funds. The board noted that TAS’s fee schedule and the fee schedule of at least one money manager included breakpoints enabling MAF to benefit from economies of scale. Certain other money managers received performance-based fees, which the board felt appropriately aligned the money managers’ interests with those of shareholders, whether benefits of economies of scale were realized by MAF or not.
TIFF International Equity Fund Performance, Fees, and Expenses (including Potential Economies of Scale)
The board reviewed the TIFF International Equity Fund’s performance against its benchmark of the MSCI All Country World ex US Index and considered TAS’s implementation of the fund’s investment strategy across multiple money managers. Through March 31, 2006, the fund had outperformed its benchmark over all periods except trailing one year, where it had underperformed by just over 2%.
The board reviewed fees and expenses for the International Equity Fund, noting that the net advisory expense and reported total expenses of the fund were well below both the Lipper-reported peer group median and peer group average. The peer group for the International Equity Fund is represented by Lipper’s International Multi-Cap Value Funds. The board noted that TAS’s fee schedule and the fee schedule of at least one money manager included breakpoints that would enable IEF to benefit from economies of scale should fund assets grow. Certain other money managers received performance-based fees, which the board felt appropriately aligned the money managers’ interests with those of shareholders, whether benefits of economies of scale were realized by IEF or not.
TIFF US Equity Fund Performance, Fees, and Expenses (including Potential Economies of Scale)
The board reviewed the TIFF US Equity Fund’s performance against its benchmark of the Dow Jones Wilshire 5000 and considered TAS’s implementation of the fund’s investment strategy across multiple money managers. Through March 31, 2006, the fund had outperformed its benchmark over all periods except trailing one year, where it had underperformed by approximately 1.7%.
The board reviewed fees and expenses for the US Equity Fund, noting that the net advisory expense and reported total expenses of the fund were well below both the Lipper-reported peer group median and peer group average. The peer group for the US Equity Fund is Lipper’s Multi-Cap Core Funds. The board noted that TAS’s fee schedule included breakpoints that would enable USEF to benefit from economies of scale should fund assets grow. Certain other money managers received performance-based fees, which the board felt appropriately aligned the money managers’ interests with those of shareholders, whether benefits of economies of scale were realized by USEF or not.
TIFF Government Bond Fund Performance, Fees, and Expenses (including Potential Economies of Scale)
The board reviewed the TIFF Government Bond Fund’s performance against its benchmark of the Citigroup 10-Year US Treasury Index and considered TAS’s implementation of its investment strategy. The fund outperformed its benchmark for all periods for which annualized returns were available through March 31, 2006 (trailing one- and three-year periods and since inception), recognizing the fund’s relatively recent inception date of March 31, 2003, and the challenges of managing a small pool of assets (less than $40 million).
The board reviewed fees and expenses for the Government Bond Fund, noting that, despite the fund’s small asset base, the net advisory expense and reported total expenses were well below both the Lipper-reported peer group median and peer group average. The peer group for the Government Bond Fund is represented by Lipper’s General U.S. Treasury Funds. The board inquired about the difference between the reported total expenses for the fund used by Lipper in the peer group comparisons and the total operating expenses for the fund reported in its annual report. Mr. Vastardis stated that, for financial reporting purposes, the total operating expenses included interest expense incurred by the fund and the reported total expenses used by Lipper excluded interest expense. The board noted that TAS’s fee schedule included breakpoints that would enable GBF to benefit from economies of scale should fund assets grow. Smith Breeden received performance-based fees, which the board felt appropriately aligned the money manager’s interests with those of shareholders, whether benefits of economies of scale were realized by GBF or not. The board also noted that TAS waived its fees on GBF in 2005.
TIFF Short-Term Fund Performance, Fees, and Expenses
The board reviewed the TIFF Short-Term Fund’s performance against its benchmarks (Merrill Lynch 6-Month Treasury Bill Index and the same Index less 50 basis points per annum) and considered TAS’s internal management of the fund since 2003. Not surprisingly, the fund slightly underperformed the Index itself over all time periods given that the Index does not reflect any fees or expenses. However, the fund outperformed the Index less 50 bp per annum over all time periods (through March 31, 2006). These results were consistent with the board’s expectations of the fund’s performance relative to each benchmark.
The board reviewed fees and expenses for the Short-Term Fund, noting that the net advisory expense and reported total expenses of the fund were well below both the Lipper-reported peer group median and peer group average. The peer group for the Short-Term Fund is represented by Lipper’s Ultra-Short Obligation Funds. The board noted that TAS’s fee schedule included breakpoints that would enable STF to benefit from economies of scale should fund assets grow.
59
APPROVAL OF THE INVESTMENT ADVISORY AND MONEY MANAGER AGREEMENTS (UNAUDITED) | June 30, 2006 |
Money Managers
The board then considered each money manager, reviewing absolute and relative performance, portfolio managers, fee schedule, expectations for the asset class in which the manager invested, benchmark, manager monitor, and responses to the questionnaire distributed in advance of the meeting. The following managers for each fund were reviewed in turn:
Multi-Asset Fund | Aronson+Johnson+Ortiz, LP | ||||
| S&P 500 Index | ||||
|
| ||||
| Marathon Asset Management Ltd. | ||||
| MSCI All Country World Index | ||||
|
| ||||
| Mondrian Investment Partners Limited | ||||
| MSCI All Country World Index | ||||
|
| ||||
| K.G. Redding & Associates, LLC |
| |||
| MS REIT Index |
| |||
|
|
| |||
| Smith Breeden Associates, Inc. |
| |||
| 33% Citigroup 10-year US Treasury Index / |
| |||
| 67% TIPS 10-year Index |
| |||
|
|
| |||
| Wellington Management Company, LP |
| |||
| Resource-Related Sectors of MSCI World Index |
| |||
|
| ||||
International Equity Fund | Marathon Asset Management |
| |||
| MSCI All Country World ex US Index |
| |||
|
| ||||
| Mondrian Investment Partners Limited |
| |||
| MSCI All Country World ex US Index |
| |||
|
| ||||
US Equity Fund | Aronson+Johnson+Ortiz |
| |||
| S&P 500 Index |
| |||
|
|
| |||
| Shapiro Capital Management Company, Inc. |
| |||
| Russell 2000 Index |
| |||
|
|
| |||
| Westport Asset Management, Inc. |
| |||
| Russell 2000 Index |
| |||
|
|
| |||
Government Bond Fund | Smith Breeden Associates, Inc. |
| |||
| Citigroup 10-year US Treasury Index |
| |||
Conclusion of Investment Advisor and Money Manager Agreement Reviews
After discussion, the board voted to re-approve each fund’s investment advisory agreement with TAS as well as the funds’ money manager agreements. The board based its evaluation on all material factors presented to it at this meeting, including: (i) the terms of the agreement; (ii) the reasonableness of the advisory and money manager fees in light of the nature and quality of the advisory services provided and any additional benefits received by TAS or the money managers in connection with providing services to the funds; (iii) the nature, quality, cost, and extent of the services performed by TAS and each of the money managers; (iv) the fees charged by TAS and each of the money managers; and (v) the overall organization and experience of TAS and each of the money managers. In arriving at its decision, the board did not single out any one factor or group of factors as being more important than the other factors, but considered all of these factors together. In addition, the board considered the profitability of TAS as the investment advisor and the likelihood that TAS would remain financially viable moving forward. The board did not specifically consider the profitability of each money manager resulting from its relationship with the fund because none of the money managers was affiliated with TAS or any TIP fund except by virtue of serving as a money manager, and the fees between each money manager and TIP were negotiated on an arms-length basis in a competitive marketplace.
60
|
Name (Year of Birth) |
| Position |
| Length of |
| Principal Occupation |
| Other |
Independent Directors |
|
|
|
|
|
|
|
|
Suzanne Brenner (1958) |
| Director |
| 3 years |
| senior investment officer |
| none |
Harry N. Hoffman III (1955) |
| Director |
| 5 years |
| chief investment officer |
| none |
Sheryl L. Johns (1956) |
| Director Chair |
| 10 years |
| chief financial officer |
| none |
Interested Directors |
|
|
|
|
|
|
|
|
William H. McLean (1955) (b) |
| Director |
| 6 years |
| chief investment officer |
| TIFF Advisory Services, Inc. |
Principal Officers |
|
|
|
|
|
|
|
|
Richard J. Flannery (1957) |
| President and CEO |
| 3 years |
| chief executive officer previously executive vice president of Delaware Investments |
| TIFF Advisory Services, Inc. |
David A. Salem (1956) |
| Vice President |
| 13 years |
| chief investment officer |
| TIFF Advisory Services, Inc. |
Tina M. Leiter (1966) |
| Secretary |
| 3 years |
| investment operations |
|
|
William E. Vastardis (1955) |
| Treasurer and CFO and CCO |
| 13 years |
| fund administration |
|
|
Richelle S. Maestro (1957) |
| Vice President Chief Legal Officer |
| < 1 year |
| general counsel |
|
|
Tamara C. Broad (1976) |
| Vice President |
| < 1 year |
| investment operations |
|
|
(a) Each director serves until the date that director resigns, retires, or is removed by the board of directors or shareholders in accordance with the Articles of Incorporation.
(b) Mr. McLean is deemed to be an “interested director” because he also serves as a director of TIFF Advisory Services, Inc., the mutual funds’ advisor.
(c) Considered a fundamental member of the Funds
61
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62
|
TIFF INVESTMENT PROGRAM |
ADVISOR
TIFF Advisory Services, Inc.
590 Peter Jefferson Parkway, Suite 250
Charlottesville, VA 22911
phone 434-817-8200
fax 434-817-8231
CUSTODIAN
ACCOUNTING AGENT
TRANSFER AGENT
DIVIDEND DISBURSING AGENT
FUND ADMINISTRATOR
Investors Bank & Trust Company
200 Clarendon Street
Boston, MA 02116
FUND DISTRIBUTOR
Quasar Distributors, LLC
615 East Michigan Street
Milwaukee, WI 53202
FUND COUNSEL
Dechert
1500 I Street, NW
Washington, DC 20005
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
125 High Street
Boston, MA 02110
OPERATIONS MONITORING AGENT
Vastardis Fund Services LLC
41 Madison Avenue, 30th Floor
New York, NY 10010
MONEY MANAGERS
TIFF Multi-Asset Fund
Aronson+Johnson+Ortiz, LP
Canyon Capital Advisors LLC
Convexity Capital Management, LP
Farallon Capital Management, LLC
Freeman Associates Investment Management LLC
Landsdowne Partners Limited
Lone Pine Capital LLC
Marathon Asset Management, LLP
Maverick Capital, Ltd.
Mondrian Investment Partners Limited
Och-Ziff Capital Management Group
K.G. Redding & Associates, LLC
Regiment Capital Management, LLC
Smith Breeden Associates, Inc.
Toscafund Limited
Wellington Management Company, LLP
TIFF International Equity Fund
Convexity Capital Management, LP
Lansdowne Partners Limited
Marathon Asset Management, LLP
Mondrian Investment Partners Limited
Toscafund Limited
TIFF US Equity Fund
Adage Capital Management, LP
Aronson+Johnson+Ortiz, LP
Freeman Associates Investment Management LLC
Shapiro Capital Management Company, Inc.
Westport Asset Management, Inc.
TIFF Government Bond Fund
Smith Breeden Associates, Inc.
TIFF Short-Term Fund
TIFF Advisory Services, Inc.
This report must be accompanied or preceded by a prospectus. Mutual fund investing involves risk. Principal loss is possible.
Item 2. Code of Ethics.
Not applicable to this filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Included in Item 1.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Registrant does not have procedures in place by which shareholders may recommend nominees to Registrant’s board.
Item 11. Controls and Procedures.
(a) The Registrant’s Principal Executive Officer and Principal Financial Officer concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”) (17 CFR 270.30(a)-3(c))) were effective as of a date within 90 days prior to the filing date of this report (the “Evaluation Date”), based on their evaluation of the effectiveness of the Registrant’s disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)) as of the Evaluation Date.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the Registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Code of Ethics is not applicable to this filing.
(a)(2) Certification of Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is attached hereto as Exhibit 99CERT.
(a)(3) Not applicable.
(b) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule 30a-2(b), under the 1940 Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a — 14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) is attached hereto as Exhibit 99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) |
| TIFF Investment Program, Inc. |
| |
|
|
|
| |
|
|
|
| |
By (Signature and Title) |
| /s/ Richard J. Flannery | ||
|
| Richard J. Flannery, President and Chief Executive Officer |
| |
|
|
|
| |
Date |
| 9/8/2006 |
|
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) |
| /s/ Richard J. Flannery | ||
|
| Richard J. Flannery, President and Chief Executive Officer |
| |
|
|
|
| |
Date |
| 9/8/2006 |
|
|
|
|
|
| |
By (Signature and Title) |
| /s/ William E. Vastardis | ||
|
| William E. Vastardis, Treasurer and Chief Financial Officer |
| |
|
|
|
| |
Date |
| 9/8/2006 |
|
|