UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
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FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
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Investment Company Act file number | 811-08234 |
TIFF Investment Program, Inc.
(Exact name of registrant as specified in charter)
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Four Tower Bridge, 200 Barr Harbor Drive, Suite 100 West Conshohocken, PA | 19428 | |
(Address of chief executive offices) | (Zip code) |
Richard J. Flannery
President and Chief Executive Officer
TIFF Investment Program, Inc.
Four Tower Bridge, 200 Barr Harbor Drive, Suite 100,
West Conshohocken, PA 19428
with a copy to:
Bruce G. Leto
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
(Name and address of agent for service)
Registrant’s telephone number, including area code: | 610.684.8000 |
Date of fiscal year end: | 12/31/09 |
Date of reporting period: | 01/01/09 – 06/30/09 |
Item 1. Reports to Stockholders.
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SEMI-ANNUAL REPORT | ![]() | |||||
June 30, 2009 (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 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 four mutual funds at present: TIFF Multi-Asset Fund (MAF), TIFF International Equity Fund (IEF), TIFF US Equity Fund (USEF), and TIFF Short-Term Fund (STF). TIFF Advisory Services, Inc. (TAS) serves as the investment advisor to the funds.
MAF, IEF, and USEF operate primarily on a multi-manager basis. With respect to such 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. With respect to STF, TAS is responsible for the day-to-day management of the fund's assets.
Financial Statements |
TIP is pleased to provide this Semi-Annual Report for the period ended June 30, 2009. Discussion of the performance of the mutual funds described herein 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 610-684-8200 or visit www.tiff.org.
August 26, 2009
Contents |
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TIFF Multi-Asset Fund | ||||
■ Fund Expenses | 2 | |||
■ Financial Highlights . | 3 | |||
■ Schedule of Investments | 4 | |||
■ Statement of Assets and Liabilities | 26 | |||
■ Statement of Operations | 27 | |||
■ Statement of Changes in Net Assets | 28 | |||
■ Statement of Cash Flows | 29 | |||
TIFF International Equity Fund | ||||
■ Fund Expenses | 30 | |||
■ Financial Highlights . | 31 | |||
■ Schedule of Investments | 32 | |||
■ Statement of Assets and Liabilities | 40 | |||
■ Statement of Operations | 41 | |||
■ Statement of Changes in Net Assets | 42 | |||
■ Statement of Cash Flows | 43 | |||
TIFF US Equity Fund | ||||
■ Fund Expenses. | 44 | |||
■ Financial Highlights . | 45 | |||
■ Schedule of Investments | 46 | |||
■ Statement of Assets and Liabilities | 51 | |||
■ Statement of Operations | 52 | |||
■ Statement of Changes in Net Assets | 53 | |||
■ Statement of Cash Flows | 54 | |||
TIFF Short-Term Fund | ||||
■ Fund Expenses | 55 | |||
■ Financial Highlights | 56 | |||
■ Schedule of Investments | 57 | |||
■ Statement of Assets and Liabilities | 58 | |||
■ Statement of Operations | 59 | |||
■ Statement of Changes in Net Assets | 60 | |||
■ Statement of Cash Flows | 61 | |||
Notes to Financial Statements | 62 | |||
Additional Information | 76 | |||
Approval of the Advisory Agreements and Money Manager Agreements | 77 | |||
Directors and Principal Officers | 84 |
Copyright © 2009 ■ All rights reserved ■ This report may not be reproduced or distributed without written permission from TIFF.
Fund Expenses (unaudited) |
As a shareholder of a fund, you incur two types of costs: (1) transactions costs, including entry and exit fees; and (2) ongoing costs, including management fees and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2009 to June 30, 2009.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this 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 first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the 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 for the period. You may use this information to compare the ongoing costs of investing in the 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 table are meant to highlight your ongoing costs only and do not reflect any transactions costs, such as entry fees or exit fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactions costs were included, your costs would have been higher.
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Including Interest and Dividend Expense* | Excluding Interest and Dividend Expense** | |||||||||||||||||||||||
Beginning Account Value 1/1/09 | Ending Account Value 6/30/09 | Expenses Paid During the Period 1/1/09 – 6/30/09 | Beginning Account Value 1/1/09 | Ending Account Value 6/30/09 | Expenses Paid During the Period 1/1/09 – 6/30/09 | |||||||||||||||||||
1) Actual | $ | 1,000 | $ | 1,087.60 | $ | 2.85 | $ | 1,000 | $ | 1,087,60 | $ | 2.64 | ||||||||||||
2) Hypothetical | $ | 1,000 | $ | 1,022.07 | $ | 2.76 | $ | 1,000 | $ | 1,022.27 | $ | 2.56 |
* | Expenses are equal to the fund’s annualized expense ratio of 0.55% (calculated over a six-month period, which may differ from the fund’s actual expense ratio for the full year), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Excluding interest and dividend expense, expenses incurred by the fund were 0.51%. The expense ratio does not include the fees and expenses associated with investments made in commingled investment vehicles; such fees and expenses are reflected in the commingled investment vehicles’ total return. |
** | Interest expense is interest on reverse repurchase agreements (see Note 7); dividend expense is dividends paid on securities sold short. |
Pro Forma Expense Information
As described in the section of this report entitled Approval of the Advisory Agreements and Money Manager Agreements, the Board approved (a) a new money manager agreement for Multi-Asset Fund with new money manager Southeastern Asset Management, Inc. (“Southeastern”), effective June 18, 2009, and (b) an amendment to the money manager agreement with Wellington Management Company, LLP (“Wellington Management”), effective June 25, 2009. Had Southeastern and Wellington Management served as money managers for MAF during the full six-month period under the new arrangements (see Note 4 to the Financial Statements), the annualized expense ratio including interest and dividend expense would have been 0.63% and the expenses paid under the actual and hypothetical scenarios would have been $3.26 and $3.16, respectively. Excluding interest and dividend expense, pro forma expenses incurred by the fund would have been 0.59% and the expenses paid under the actual and hypothetical scenarios would have been $3.05 and $2.96, respectively. The expense ratio does not include the fees and expenses associated with investments made in commingled investment vehicles; such fees and expenses are reflected in the commingled investment vehicles’ total return.
2
Financial Highlights |
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Six Months Ended 6/30/09 (unaudited) | Year Ended 12/31/08 | Year Ended 12/31/07 | Year Ended 12/31/06 | Year Ended 12/31/05 | Year Ended 12/31/04 | |||||||||||||||||||
For a share outstanding throughout each period | ||||||||||||||||||||||||
Net asset value, beginning of year | $ | 11.70 | $ | 16.65 | $ | 16.29 | $ | 14.92 | $ | 14.24 | $ | 13.19 | ||||||||||||
Income (loss) from investment operations | ||||||||||||||||||||||||
Net investment income (a) | 0.06 | 0.40 | 0.44 | 0.36 | 0.26 | 0.20 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.93 | (4.68 | ) | 1.73 | 2.03 | 1.38 | 1.67 | |||||||||||||||||
Total from investment operations | 0.99 | (4.28 | ) | 2.17 | 2.39 | 1.64 | 1.87 | |||||||||||||||||
Less distributions from | ||||||||||||||||||||||||
Net investment income | (0.07 | ) | (0.37 | ) | (0.80 | ) | (0.49 | ) | (0.45 | ) | (0.28 | ) | ||||||||||||
Net realized gains | — | (0.05 | ) | (1.03 | ) | (0.56 | ) | (0.53 | ) | (0.57 | ) | |||||||||||||
Return of capital | (0.13 | ) | (0.28 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (0.20 | ) | (0.70 | ) | (1.83 | ) | (1.05 | ) | (0.98 | ) | (0.85 | ) | ||||||||||||
Entry/exit fee per share (a) | 0.01 | 0.03 | 0.02 | 0.03 | 0.02 | 0.03 | ||||||||||||||||||
Net asset value, end of year | $ | 12.50 | $ | 11.70 | $ | 16.65 | $ | 16.29 | $ | 14.92 | $ | 14.24 | ||||||||||||
Total return (b) | 8.76 | %(c) | (25.98 | )% | 13.53 | % | 16.53 | % | 11.73 | % | 14.57 | % | ||||||||||||
Ratios/supplemental data | ||||||||||||||||||||||||
Net assets, end of year (000s) | $ | 2,287,937 | $ | 2,079,472 | $ | 2,218,641 | $ | 1,599,583 | $ | 1,058,133 | $ | 705,800 | ||||||||||||
Ratio of expenses to average net assets (d) | 0.55 | %(e) | 0.53 | % | 0.70 | % | 0.67 | % | 0.86 | % | 0.77 | % | ||||||||||||
Ratio of expenses to average net assets, excluding interest and dividend expense (d) | 0.51 | %(e) | 0.44 | % | 0.60 | % | 0.53 | % | 0.71 | % | 0.72 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.12 | %(e) | 2.71 | % | 2.54 | % | 2.26 | % | 1.75 | % | 1.45 | % | ||||||||||||
Portfolio turnover | 77.45 | %(c) | 112.12 | % | 70.85 | % | 61.82 | % | 72.70 | % | 103.35 | % |
(a) | Calculation based on average shares outstanding. |
(b) | 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. |
(c) | Not annualized. |
(d) | The expense ratio does not include the fees and expenses associated with investments made in commingled investment vehicles; such fees and expenses are reflected in the commingled investment vehicles’ total return. |
(e) | Annualized. |
See accompanying Notes to Financial Statements.
3
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Number of Shares | Value | |||||||
Investments — 106.2% of net assets | ||||||||
Common Stocks — 40.6% | ||||||||
US Common Stocks — 19.0% | ||||||||
Aerospace & Defense — 0.2% | ||||||||
AAR Corp. (a) | 100,000 | $ | 1,605,000 | |||||
Goodrich Corp. | 5,400 | 269,838 | ||||||
L-3 Communications Holdings, Inc. | 5,300 | 367,714 | ||||||
Northrop Grumman Corp. | 16,757 | 765,460 | ||||||
Raytheon Co. | 32,738 | 1,454,549 | ||||||
4,462,561 | ||||||||
Air Freight & Logistics — 0.2% | ||||||||
FedEx Corp. | 100,000 | 5,562,000 | ||||||
Airlines — 0.1% | ||||||||
AMR Corp. (a) | 189,523 | 761,882 | ||||||
Delta Air Lines, Inc. (a) | 224,258 | 1,298,454 | ||||||
US Airways Group, Inc. (a) | 127,419 | 309,628 | ||||||
2,369,964 | ||||||||
Automobiles — 0.0% | ||||||||
Fleetwood Enterprises, Inc. (a) | 690,543 | 5,524 | ||||||
Beverages — 0.1% | ||||||||
Coca-Cola Enterprises, Inc. | 8,700 | 144,855 | ||||||
Constellation Brands, Inc., Class A (a) | 170,600 | 2,163,208 | ||||||
PepsiCo, Inc. | 5,800 | 318,768 | ||||||
2,626,831 | ||||||||
Biotechnology — 0.0% | ||||||||
Amgen, Inc. (a) | 11,400 | 603,516 | ||||||
Biogen Idec, Inc. (a) | 5,400 | 243,810 | ||||||
Gilead Sciences, Inc. (a) | 2,800 | 131,152 | ||||||
978,478 | ||||||||
Capital Markets — 0.2% | ||||||||
Ameriprise Financial, Inc. | 15,663 | 380,141 | ||||||
Franklin Resources, Inc. | 5,100 | 367,251 | ||||||
Goldman Sachs Group, Inc. (The) | 1,200 | 176,928 | ||||||
Legg Mason, Inc. | 107,700 | 2,625,726 | ||||||
Morgan Stanley | 9,000 | 256,590 | ||||||
T. Rowe Price Group, Inc. | 8,000 | 333,360 | ||||||
TD Ameritrade Holding Corp. (a) | 19,100 | 335,014 | ||||||
4,475,010 | ||||||||
Chemicals — 0.2% | ||||||||
Ecolab, Inc. | 9,500 | 370,405 | ||||||
International Flavors & Fragrances, Inc. | 29,500 | 965,240 | ||||||
Nalco Holding Co. | 130,000 | 2,189,200 | ||||||
Scotts Miracle-Gro Co. (The), Class A | 41,195 | 1,443,885 | ||||||
4,968,730 | ||||||||
Commercial Banks — 0.1% | ||||||||
Preferred Bank/Los Angeles CA | 91,765 | 348,707 |
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Number of Shares | Value | |||||||
South Financial Group, Inc. (The) | 132,000 | $ | 157,080 | |||||
Wells Fargo & Co. | 41,333 | 1,002,739 | ||||||
1,508,526 | ||||||||
Commercial Services & Supplies — 0.1% | ||||||||
Pitney Bowes, Inc. | 34,415 | 754,721 | ||||||
Viad Corp. | 93,964 | 1,618,060 | ||||||
2,372,781 | ||||||||
Communications Equipment — 0.1% | ||||||||
Cisco Systems, Inc. (a) | 29,000 | 540,560 | ||||||
EMS Technologies, Inc. (a) | 57,592 | 1,203,673 | ||||||
QUALCOMM, Inc. | 4,000 | 180,800 | ||||||
1,925,033 | ||||||||
Computers & Peripherals — 0.6% | ||||||||
Apple, Inc. (a) | 2,800 | 398,804 | ||||||
Dell, Inc. (a) | 580,090 | 7,964,636 | ||||||
Hewlett-Packard Co. | 105,879 | 4,092,223 | ||||||
International Business Machines Corp. (IBM) | 4,000 | 417,680 | ||||||
QLogic Corp. (a) | 100,000 | 1,268,000 | ||||||
Western Digital Corp. (a) | 6,800 | 180,200 | ||||||
14,321,543 | ||||||||
Construction & Engineering — 0.1% | ||||||||
KBR, Inc. | 70,000 | 1,290,800 | ||||||
Consumer Finance — 0.0% | ||||||||
American Express Co. | 32,190 | 748,096 | ||||||
Distributors — 0.1% | ||||||||
Genuine Parts Co. | 92,700 | 3,111,012 | ||||||
Diversified Consumer Services — 0.2% | ||||||||
Apollo Group, Inc., Class A (a) | 3,900 | 277,368 | ||||||
DeVry, Inc. | 30,400 | 1,521,216 | ||||||
H&R Block, Inc. | 8,800 | 151,624 | ||||||
ITT Educational Services, Inc. (a) | 20,000 | 2,013,200 | ||||||
Sotheby's | 80,282 | 1,132,779 | ||||||
5,096,187 | ||||||||
Diversified Financial Services — 0.3% | ||||||||
Bank of America Corp. | 388,048 | 5,122,234 | ||||||
Citigroup, Inc. | 80,618 | 239,435 | ||||||
J.G. Wentworth Inc. (b) (c) | 30,400 | — | ||||||
JPMorgan Chase & Co. | 2,897 | 98,817 | ||||||
Moody's Corp. | 54,280 | 1,430,278 | ||||||
NYSE Euronext | 13,600 | 370,600 | ||||||
7,261,364 | ||||||||
Diversified Telecommunication Services — 0.5% | ||||||||
AT&T, Inc. | 119,900 | 2,978,316 | ||||||
Cincinnati Bell, Inc. (a) | 445,868 | 1,266,265 | ||||||
FairPoint Communications, Inc. | 2,195 | 1,317 | ||||||
General Communications, Inc., Class A (a) | 292,615 | 2,027,822 |
4
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Number of Shares | Value | ||||||||
Level 3 Communications, Inc. (a) | 661,226 | $ | 998,451 | ||||||
Verizon Communications, Inc. | 104,900 | 3,223,577 | |||||||
10,495,748 | |||||||||
Electric Utilities — 0.1% | |||||||||
Edison International | 11,900 | 374,374 | |||||||
FirstEnergy Corp. | 8,200 | 317,750 | |||||||
NV Energy, Inc. | 219,000 | 2,363,010 | |||||||
3,055,134 | |||||||||
Electrical Equipment — 0.1% | |||||||||
Baldor Electric Co. | 60,800 | 1,446,432 | |||||||
Electronic Equipment, Instruments & Components — 0.2% | |||||||||
Checkpoint Systems, Inc. (a) | 228,129 | 3,579,344 | |||||||
Rogers Corp. (a) | 40,000 | 809,200 | |||||||
4,388,544 | |||||||||
Energy Equipment & Services — 0.4% | |||||||||
Baker Hughes, Inc. | 93,287 | 3,399,378 | |||||||
Cal Dive International, Inc. (a) | 252,000 | 2,174,760 | |||||||
Halliburton Co. | 110,700 | 2,291,490 | |||||||
Parker Drilling Co. (a) | 142,500 | 618,450 | |||||||
Smith International, Inc. | 9,277 | 238,883 | |||||||
Tidewater, Inc. | 25,500 | 1,093,185 | |||||||
9,816,146 | |||||||||
Food & Staples Retailing — 0.4% | |||||||||
Costco Wholesale Corp. | 152,531 | 6,970,666 | |||||||
CVS Caremark Corp. | 4,800 | 152,976 | |||||||
Kroger Co. (The) | 94,794 | 2,090,208 | |||||||
Safeway, Inc. | 17,500 | 356,475 | |||||||
Sysco Corp. | 16,000 | 359,680 | |||||||
Wal-Mart Stores, Inc. | 2,600 | 125,944 | |||||||
10,055,949 | |||||||||
Food Products — 0.5% | |||||||||
Archer-Daniels-Midland Co. | 16,200 | 433,674 | |||||||
Campbell Soup Co. | 7,800 | 229,476 | |||||||
ConAgra Foods, Inc. | 198,600 | 3,785,316 | |||||||
General Mills, Inc. | 37,800 | 2,117,556 | |||||||
H.J. Heinz Co. | 103,700 | 3,702,090 | |||||||
10,268,112 | |||||||||
Gas Utilities — 0.2% | |||||||||
EQT Corp. | 98,200 | 3,428,162 | |||||||
Health Care Equipment & Supplies — 0.2% | |||||||||
Accuray, Inc. (a) | 176,694 | 1,178,549 | |||||||
Cooper Companies, Inc. (The) | 62,400 | 1,543,152 | |||||||
Kinetic Concepts, Inc. (a) | 75,000 | 2,043,750 | |||||||
4,765,451 | |||||||||
Health Care Providers & Services — 0.3% | |||||||||
Aetna, Inc. | 7,500 | 187,875 | |||||||
AmerisourceBergen Corp. | 18,200 | 322,868 |
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Number of Shares | Value | ||||||||
Brookdale Senior Living, Inc. | 225,700 | $ | 2,198,318 | ||||||
Cardinal Health, Inc. | 10,800 | 329,940 | |||||||
Health Management Associates, Inc., Class A (a) | 64,283 | 317,558 | |||||||
Humana, Inc. (a) | 4,200 | 135,492 | |||||||
Lincare Holdings, Inc. (a) | 90,000 | 2,116,800 | |||||||
McKesson Corp. | 10,800 | 475,200 | |||||||
UnitedHealth Group, Inc. | 17,600 | 439,648 | |||||||
WellPoint, Inc. (a) | 11,100 | 564,879 | |||||||
7,088,578 | |||||||||
Hotels, Restaurants & Leisure — 0.4% | |||||||||
California Pizza Kitchen, Inc. (a) | 70,400 | 935,616 | |||||||
McDonald's Corp. | 3,900 | 224,211 | |||||||
Orient-Express Hotels Ltd., Class A | 157,700 | 1,338,873 | |||||||
Ruby Tuesday, Inc. (a) | 144,800 | 964,368 | |||||||
Starwood Hotels & Resorts Worldwide, Inc. | 86,800 | 1,926,960 | |||||||
Yum! Brands, Inc. | 127,300 | 4,244,182 | |||||||
9,634,210 | |||||||||
Household Durables — 0.3% | |||||||||
American Greetings Corp., Class A | 126,641 | 1,479,167 | |||||||
D.R. Horton, Inc. | 135,200 | 1,265,472 | |||||||
KB Home | 203,232 | 2,780,213 | |||||||
Mohawk Industries, Inc. (a) | 2,007 | 71,610 | |||||||
Pulte Homes, Inc. | 180,207 | 1,591,228 | |||||||
7,187,690 | |||||||||
Household Products — 0.0% | |||||||||
Kimberly-Clark Corp. | 3,200 | 167,776 | |||||||
Procter & Gamble Co. (The) | 15,400 | 786,940 | |||||||
954,716 | |||||||||
Independent Power Producers & Energy Traders — 0.0% | |||||||||
AES Corp. (The) (a) | 16,800 | 195,048 | |||||||
Industrial Conglomerates — 0.2% | |||||||||
3M Co. | 43,900 | 2,638,390 | |||||||
General Electric Co. | 194,900 | 2,284,228 | |||||||
4,922,618 | |||||||||
Insurance — 0.7% | |||||||||
Aflac, Inc. | 14,200 | 441,478 | |||||||
Allstate Corp. (The) | 12,000 | 292,800 | |||||||
Berkshire Hathaway, Inc., Class B (a) | 1,565 | 4,531,817 | |||||||
Brown & Brown, Inc. | 125,000 | 2,491,250 | |||||||
Chubb Corp. | 9,500 | 378,860 | |||||||
Everest Re Group Ltd. | 71,600 | 5,124,412 | |||||||
MBIA, Inc. (a) | 219,947 | 952,371 | |||||||
Mercury General Corp. | 26,816 | 896,459 | |||||||
Progressive Corp. (The) (a) | 19,000 | 287,090 | |||||||
Prudential Financial, Inc. | 4,000 | 148,880 | |||||||
Travelers Companies, Inc. (The) | 11,700 | 480,168 | |||||||
Unum Group | 9,200 | 145,912 | |||||||
16,171,497 |
5
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Number of Shares | Value | ||||||||
Internet & Catalog Retail — 0.4% | |||||||||
Amazon.com, Inc. (a) | 36,735 | $ | 3,073,250 | ||||||
Blue Nile, Inc. (a) | 56,305 | 2,420,552 | |||||||
Liberty Media Holding Corp., Interactive, Series A (Tracking Stock) (a) (d) | 69,440 | 347,895 | |||||||
Priceline.com, Inc. (a) | 35,957 | 4,011,003 | |||||||
9,852,700 | |||||||||
Internet Software & Services — 0.1% | |||||||||
eBay, Inc. (a) | 92,877 | 1,590,983 | |||||||
Google, Inc., Class A (a) | 1,200 | 505,908 | |||||||
2,096,891 | |||||||||
IT Services — 0.3% | |||||||||
CACI International, Inc., Class A (a) | 41,200 | 1,759,652 | |||||||
Computer Sciences Corp. (a) | 4,200 | 186,060 | |||||||
DST Systems, Inc. (a) | 18,037 | 666,467 | |||||||
Forrester Research, Inc. (a) | 13,343 | 327,571 | |||||||
Gartner Group, Inc., Class A (a) | 191,628 | 2,924,243 | |||||||
Visa, Inc., Class A | 2,200 | 136,972 | |||||||
Western Union Co. (The) | 9,100 | 149,240 | |||||||
6,150,205 | |||||||||
Machinery — 0.1% | |||||||||
Cummins, Inc. | 9,900 | 348,579 | |||||||
Dover Corp. | 9,800 | 324,282 | |||||||
John Bean Technologies Corp. | 98,800 | 1,236,976 | |||||||
Parker-Hannifin Corp. | 4,200 | 180,432 | |||||||
2,090,269 | |||||||||
Media — 1.6% | |||||||||
Ascent Media Corp., Series A (a) | 4,081 | 108,473 | |||||||
Cablevision Systems Corp. | 438,916 | 8,519,360 | |||||||
CBS Corp., Class A | 26,253 | 182,458 | |||||||
CBS Corp., Class B | 171,481 | 1,186,648 | |||||||
CC Media Holdings, Inc., Class A (a) (b) | 88,498 | 88,498 | |||||||
Comcast Corp., Class A | 9,900 | 143,451 | |||||||
DIRECTV Group, Inc. (The) (a) | 227,500 | 5,621,525 | |||||||
Discovery Communications, Inc., Series A (a) | 40,056 | 903,263 | |||||||
Discovery Communications, Inc., Series C (a) | 40,166 | 824,608 | |||||||
John Wiley & Sons, Inc., Class A | 10,000 | 332,500 | |||||||
Liberty Global, Inc., Class A (a) | 155,485 | 2,470,657 | |||||||
Liberty Global, Inc., Class C (a) | 128,192 | 2,026,715 | |||||||
Liberty Media Corp., Entertainment, Series A (Tracking Stock) (a) (d) | 248,952 | 6,659,466 | |||||||
Liberty Media Holding Corp., Capital, Series A (Tracking Stock) (a) (d) | 14,464 | 196,132 | |||||||
Live Nation, Inc. (a) | 313,500 | 1,523,610 | |||||||
Omnicom Group, Inc. | 4,800 | 151,584 | |||||||
Primedia, Inc. | 129,268 | 259,829 | |||||||
Sun-Times Media Group, Inc. (a) | 41,415 | 414 |
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Time Warner Cable, Inc. | 8,855 | $ | 280,438 | |||||
Time Warner, Inc. | 35,283 | 888,779 | ||||||
Walt Disney Co. (The) | 221,000 | 5,155,930 | ||||||
37,524,338 | ||||||||
Metals & Mining — 0.2% | ||||||||
Alcoa, Inc. | 165,600 | 1,710,648 | ||||||
Haynes International, Inc. (a) | 90,500 | 2,144,850 | ||||||
Southern Copper Corp. | 18,200 | 372,008 | ||||||
4,227,506 | ||||||||
Multi-Utilities — 0.1% | ||||||||
DTE Energy Co. | 5,500 | 176,000 | ||||||
OGE Energy Corp. | 37,000 | 1,047,840 | ||||||
Public Service Enterprise Group, Inc. | 5,400 | 176,202 | ||||||
Sempra Energy | 8,300 | 411,929 | ||||||
1,811,971 | ||||||||
Multiline Retail — 0.1% | ||||||||
Big Lots, Inc. (a) | 60,000 | 1,261,800 | ||||||
Saks, Inc. (a) | 163,600 | 724,748 | ||||||
1,986,548 | ||||||||
Office Electronics — 0.2% | ||||||||
Xerox Corp. | 358,756 | 2,324,739 | ||||||
Zebra Technologies Corp., Class A (a) | 81,500 | 1,928,290 | ||||||
4,253,029 | ||||||||
Oil, Gas & Consumable Fuels — 3.0% | ||||||||
Berry Petroleum Co., Class A | 20,000 | 371,800 | ||||||
Chesapeake Energy Corp. | 530,200 | 10,513,866 | ||||||
Chevron Corp. | 82,500 | 5,465,625 | ||||||
ConocoPhillips | 97,068 | 4,082,680 | ||||||
Consol Energy, Inc. | 131,900 | 4,479,324 | ||||||
Denbury Resources, Inc. (a) | 216,800 | 3,193,464 | ||||||
Devon Energy Corp. | 46,400 | 2,528,800 | ||||||
Encore Acquisition Co. (a) | 69,900 | 2,156,415 | ||||||
EOG Resources, Inc. | 100,400 | 6,819,168 | ||||||
Exxon Mobil Corp. | 84,660 | 5,918,581 | ||||||
Forest Oil Corp. (a) | 30,000 | 447,600 | ||||||
Marathon Oil Corp. | 130,713 | 3,938,383 | ||||||
Murphy Oil Corp. | 6,700 | 363,944 | ||||||
Newfield Exploration Co. (a) | 54,900 | 1,793,583 | ||||||
Noble Energy, Inc. | 46,800 | 2,759,796 | ||||||
Peabody Energy Corp. | 85,200 | 2,569,632 | ||||||
Stone Energy Corp. (a) | 32,506 | 241,194 | ||||||
Valero Energy Corp. | 223,600 | 3,776,604 | ||||||
Williams Cos., Inc. (The) | 117,800 | 1,838,858 | ||||||
XTO Energy, Inc. | 113,457 | 4,327,250 | ||||||
67,586,567 | ||||||||
Paper & Forest Products — 0.2% | ||||||||
International Paper Co. | 176,800 | 2,674,984 | ||||||
Weyerhaeuser Co. | 45,500 | 1,384,565 | ||||||
4,059,549 |
6
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Personal Products — 0.1% | ||||||||
Estee Lauder Companies, Inc. (The), Class A | 43,706 | $ | 1,427,875 | |||||
Pharmaceuticals — 0.6% | ||||||||
Bristol-Myers Squibb Co. | 26,397 | 536,123 | ||||||
Eli Lilly & Co. | 4,500 | 155,880 | ||||||
Forest Laboratories, Inc. (a) | 13,400 | 336,474 | ||||||
Johnson & Johnson | 42,700 | 2,425,360 | ||||||
Merck & Co., Inc. | 107,500 | 3,005,700 | ||||||
Pfizer, Inc. | 235,200 | 3,528,000 | ||||||
Salix Pharmaceuticals Ltd. (a) | 17,000 | 167,790 | ||||||
Schering-Plough Corp. | 13,460 | 338,115 | ||||||
Wyeth | 89,500 | 4,062,405 | ||||||
14,555,847 | ||||||||
Professional Services — 0.1% | ||||||||
Watson, Wyatt Worldwide, Inc., Class A | 59,915 | 2,248,610 | ||||||
Real Estate Investment Trusts (REITs) — 3.0% | ||||||||
Acadia Realty Trust | 1,750,000 | 1,496,250 | ||||||
Apartment Investment & Management Co., Class A | 229,700 | 2,032,845 | ||||||
Ashford Hospitality Trust, Inc. | 297,700 | 836,537 | ||||||
BioMed Realty, LP (e) | 4,000,000 | 3,380,000 | ||||||
Boston Properties, Inc. | 103,900 | 4,956,030 | ||||||
Brandywine Realty Trust | 145,800 | 1,086,210 | ||||||
Camden Property Trust | 136,400 | 3,764,640 | ||||||
CapitaCommerical Trust (Singapore) | 3,445,000 | 1,936,745 | ||||||
CBL & Associates Properties, Inc. | 127,400 | 686,686 | ||||||
Cominar Real Estate Investment Trust(Canada) | 122,600 | 1,631,645 | ||||||
Corporate Office Properties Trust | 35,100 | 1,029,483 | ||||||
DiamondRock Hospitality Co. | 322,426 | 2,018,387 | ||||||
Digital Realty Trust, Inc. | 22,600 | 810,210 | ||||||
Douglas Emmett, Inc. | 140,400 | 1,262,196 | ||||||
Duke Realty Corp., Series K | 14,400 | 192,960 | ||||||
Duke Realty Corp., Series N | 3,800 | 55,024 | ||||||
Duke Realty Corp., Series O | 2,800 | 49,168 | ||||||
EastGroup Properties, Inc. | 46,800 | 1,545,336 | ||||||
Entertainment Properties Trust | 43,900 | 904,340 | ||||||
Essex Property Trust, Inc., Series ESS | 50,200 | 762,413 | ||||||
First Industrial Realty Trust, Inc. | 145,412 | 632,542 | ||||||
Gramercy Capital Corp. (a) | 355,400 | 572,194 | ||||||
Gramercy Capital Corp., Series A (a) | 78,900 | 473,400 | ||||||
HCP, Inc. | 49,700 | 1,053,143 | ||||||
Health Care REIT, Inc. | 31,900 | 1,087,790 | ||||||
Host Hotels & Resorts, Inc. | 498,700 | 4,184,093 | ||||||
Inland Real Estate Corp. | 1,900,000 | 1,567,500 | ||||||
iStar Financial, Inc. | 255,700 | 726,188 | ||||||
iStar Financial, Inc., Series D (a) | 6,300 | 45,360 | ||||||
iStar Financial, Inc., Series E (a) | 43,300 | 309,595 | ||||||
iStar Financial, Inc., Series F (a) | 32,800 | 233,208 |
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
iStar Financial, Inc., Series G | 2,300 | $ | 16,330 | ||||||
iStar Financial, Inc., Series I (a) | 800 | 5,360 | |||||||
Macerich Co. (The) | 274,022 | 4,825,527 | |||||||
Mid-America Apartment Communities, Inc. | 57,500 | 2,110,825 | |||||||
ProLogis | 64,700 | 521,482 | |||||||
Public Storage | 28,800 | 1,885,824 | |||||||
Simon Property Group, Inc. | 133,591 | 6,870,585 | |||||||
SL Green Realty Corp. | 285,466 | 6,548,590 | |||||||
Sunstone Hotel Investors, Inc. | 279,600 | 1,495,860 | |||||||
Sunstone Hotel Investors, Inc., Series A (a) | 217,600 | 3,274,880 | |||||||
Taubman Centers, Inc., Series G (a) | 10,300 | 197,245 | |||||||
69,074,626 | |||||||||
Real Estate Management & Development — 0.3% | |||||||||
CB Richard Ellis Group Inc., Class A (a) | 246,583 | 2,308,017 | |||||||
Forest City Enterprises, Inc., Class A | 483,100 | 3,188,460 | |||||||
Guangzhou R&F Properties Co. Ltd., Class H | 325,100 | 723,648 | |||||||
6,220,125 | |||||||||
Road & Rail — 0.3% | |||||||||
Avis Budget Group, Inc. (a) | 267,700 | 1,512,505 | |||||||
CSX Corp. | 5,000 | 173,150 | |||||||
Kansas City Southern (a) | 221,537 | 3,568,961 | |||||||
Norfolk Southern Corp. | 5,600 | 210,952 | |||||||
Union Pacific Corp. | 8,700 | 452,922 | |||||||
5,918,490 | |||||||||
Semiconductors & Semiconductor Equipment — 0.2% | |||||||||
Cabot Microelectronics Corp. (a) | 67,229 | 1,901,908 | |||||||
Intel Corp. | 16,700 | 276,385 | |||||||
LSI Corp. (a) | 292,064 | 1,331,812 | |||||||
Texas Instruments, Inc. | 25,700 | 547,410 | |||||||
4,057,515 | |||||||||
Software — 0.5% | |||||||||
Jack Henry & Associates, Inc. | 100,000 | 2,075,000 | |||||||
Microsoft Corp. | 289,856 | 6,889,877 | |||||||
Oracle Corp. | 20,300 | 434,826 | |||||||
Parametric Technology Corp. (a) | 140,276 | 1,639,827 | |||||||
Symantec Corp. (a) | 24,800 | 385,888 | |||||||
11,425,418 | |||||||||
Specialty Retail — 0.2% | |||||||||
AutoZone, Inc. (a) | 800 | 120,888 | |||||||
Blockbuster, Inc., Class B (a) | 146,876 | 57,282 | |||||||
Gap, Inc. (The) | 24,200 | 396,880 | |||||||
Home Depot, Inc. (The) | 8,100 | 191,403 | |||||||
PetSmart, Inc. | 108,000 | 2,317,680 | |||||||
Ross Stores, Inc. | 3,600 | 138,960 | |||||||
Sally Beauty Holdings, Inc. (a) | 140,000 | 890,400 | |||||||
Sherwin-Williams Co. (The) | 4,972 | 267,245 |
7
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
TJX Companies, Inc. (The) | 14,600 | $ | 459,316 | ||||||
4,840,054 | |||||||||
Textiles, Apparel & Luxury Goods — 0.1% | |||||||||
Coach, Inc. | 16,100 | 432,768 | |||||||
Hanesbrands, Inc. (a) | 130,850 | 1,964,058 | |||||||
2,396,826 | |||||||||
Thrifts & Mortgage Finance — 0.0% | |||||||||
Hudson City Bancorp, Inc. | 29,700 | 394,713 | |||||||
MGIC Investment Corp. | 88,882 | 391,081 | |||||||
Washington Mutual, Inc. | 33,600 | 3,393 | |||||||
789,187 | |||||||||
Tobacco — 0.1% | |||||||||
Altria Group, Inc. | 39,858 | 653,273 | |||||||
Philip Morris International, Inc. | 29,791 | 1,299,483 | |||||||
Reynolds American, Inc. | 8,400 | 324,408 | |||||||
2,277,164 | |||||||||
Wireless Telecommunication Services — 0.1% | |||||||||
NII Holdings, Inc., Class B (a) | 64,930 | 1,238,215 | |||||||
Total US Common Stocks (Cost $507,757,471) | 435,068,000 | ||||||||
Foreign Common Stocks — 21.6% | |||||||||
Australia — 0.7% | |||||||||
Alumina Ltd. | 2,399,643 | 2,754,273 | |||||||
Amcor Ltd. | 407,141 | 1,634,685 | |||||||
Australia and New Zealand Banking Group Ltd. | 51,350 | 678,830 | |||||||
BHP Billiton Ltd. | 34,832 | 954,655 | |||||||
Caltex Australia Ltd. | 21,820 | 242,430 | |||||||
Foster's Group Ltd. | 384,486 | 1,593,597 | |||||||
Iluka Resources Ltd. (a) | 23,767 | 54,564 | |||||||
National Australia Bank Ltd. | 102,170 | 1,839,478 | |||||||
Santos Ltd. | 68,116 | 800,194 | |||||||
Telstra Corp. Ltd. | 975,854 | 2,662,682 | |||||||
Wesfarmers Ltd. | 107,530 | 1,957,441 | |||||||
15,172,829 | |||||||||
Austria — 0.0% | |||||||||
BWIN Interactive Entertainment AG (a) | 2,784 | 121,660 | |||||||
Oesterreichische Post AG | 6,043 | 173,506 | |||||||
295,166 | |||||||||
Bahamas — 0.0% | |||||||||
Ultrapetrol (Bahamas) Ltd. (a) | 16,829 | 74,553 | |||||||
Belgium — 0.0% | |||||||||
Fortis (a) | 131,425 | 448,082 | |||||||
Fortis, Strip VVPR (a) (b) | 39,332 | 55 | |||||||
InBev NV | 13,367 | 483,920 | |||||||
932,057 |
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Bermuda — 0.1% | ||||||||
Lazard Ltd., Class A | 55,555 | $ | 1,495,541 | |||||
Brazil — 0.7% | ||||||||
Companhia de Concessoes Rodoviarias | 76,100 | 1,220,629 | ||||||
LPS Brasil Consultoria de Imoveis SA (a) | 380,600 | 2,068,584 | ||||||
Petroleo Brasileiro SA – ADR | 132,600 | 5,433,948 | ||||||
Vale SA — ADR | 522,300 | 8,017,305 | ||||||
16,740,466 | ||||||||
Canada — 2.4% | ||||||||
AbitibiBowater, Inc. | 66,735 | 34,998 | ||||||
Ace Aviation Holdings, Inc., Class A (a) | 127,000 | 578,687 | ||||||
Barrick Gold Corp. | 73,216 | 2,456,397 | ||||||
BCE, Inc. | 42,695 | 880,953 | ||||||
Bell Aliant Regional Communications Income Fund (b) (c) (f) | 1,558 | 35,295 | ||||||
Bombardier, Inc., Class B | 1,278,300 | 3,791,544 | ||||||
Cameco Corp. | 139,600 | 3,573,760 | ||||||
Canadian Natural Resources Ltd. | 158,300 | 8,327,711 | ||||||
Catalyst Paper Corp. (a) | 352,814 | 51,565 | ||||||
EnCana Corp. | 117,400 | 5,820,795 | ||||||
Fairfax Financial Holdings Ltd. | 20,500 | 5,114,545 | ||||||
Fraser Papers, Inc. (a) | 101,580 | 5,677 | ||||||
Groupe Aeroplan, Inc. | 48,705 | 345,455 | ||||||
Imperial Oil Ltd. | 77,900 | 3,021,836 | ||||||
Jazz Air Income Fund (b) (c) (f) | 8,875 | 25,027 | ||||||
Nortel Networks Corp. (a) | 22,767 | 993 | ||||||
Onex Corp. | 25,500 | 438,464 | ||||||
Petro-Canada – TSE Shares | 71,142 | 2,747,452 | ||||||
Research In Motion Ltd. (a) | 2,200 | 156,310 | ||||||
Rogers Communications, Inc., Class B – TSE Shares | 230,600 | 5,927,817 | ||||||
Shaw Communications, Inc., Class B | 8,800 | 148,368 | ||||||
Suncor Energy, Inc. | 199,168 | 6,056,461 | ||||||
Talisman Energy, Inc. | 211,900 | 3,044,189 | ||||||
Ultra Petroleum Corp. (a) | 47,200 | 1,840,800 | ||||||
54,425,099 | ||||||||
China — 0.4% | ||||||||
China Construction Bank Corp., Class H | 2,418,000 | 1,866,276 | ||||||
E-House China Holdings Ltd. – ADS (a) | 257,100 | 3,969,624 | ||||||
Home Inns & Hotels Management, Inc. – ADR (a) | 135,200 | 2,148,328 | ||||||
Tsingtao Brewery Co. Ltd., Class H | 656,000 | 2,078,158 | ||||||
10,062,386 |
8
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Denmark — 0.2% | ||||||||
Bang & Olufsen A/S, Class B | 9,300 | $ | 63,483 | |||||
Carlsberg A/S, Class B | 4,651 | 298,957 | ||||||
Coloplast A/S, Class B | 10,036 | 691,481 | ||||||
Danske Bank A/S (a) | 6,767 | 116,807 | ||||||
GN Store Nord A/S (GN Great Nordic) (a) | 130,360 | 521,591 | ||||||
Novo Nordisk A/S, Class B | 8,998 | 489,060 | ||||||
Vestas Wind Systems A/S (a) | 20,330 | 1,461,479 | ||||||
William Demant Holding (a) | 17,299 | 895,369 | ||||||
4,538,227 | ||||||||
Finland — 0.2% | ||||||||
Metso Oyj | 45,762 | 857,177 | ||||||
Nokia Oyj | 17,044 | 248,734 | ||||||
Sampo Oyj, Class A | 73,892 | 1,394,374 | ||||||
Tieto Oyj | 19,387 | 258,331 | ||||||
UPM-Kymmene Oyj | 61,962 | 540,021 | ||||||
Wartsila Oyj Corp. | 3,774 | 121,910 | ||||||
3,420,547 | ||||||||
France — 1.4% | ||||||||
Accor SA | 131,000 | 5,209,274 | ||||||
Alcatel Lucent – SPADR (a) | 155,348 | 385,263 | ||||||
Atos Origin SA (a) | 7,054 | 239,495 | ||||||
AXA SA | 36,529 | 690,593 | ||||||
BNP Paribas | 15,011 | 974,121 | ||||||
Carrefour SA | 107,788 | 4,610,889 | ||||||
Compagnie de Saint-Gobain | 6,570 | 219,677 | ||||||
France Telecom SA | 92,670 | 2,105,482 | ||||||
GDF Suez, Strip VVPR (a) (b) | 9,765 | 14 | ||||||
Groupe Eurotunnel SA Registered (a) | 18,278 | 103,836 | ||||||
Lagardere S.C.A. | 3,142 | 104,579 | ||||||
Legrand SA | 40,500 | 884,806 | ||||||
Neopost SA | 9,737 | 875,591 | ||||||
SA des Ciments Vicat | 2,824 | 162,442 | ||||||
Sanofi-Aventis | 17,867 | 1,050,779 | ||||||
SCOR SE | 28,037 | 575,797 | ||||||
Societe BIC SA | 4,751 | 272,870 | ||||||
Societe Generale, Class A | 42,755 | 2,332,689 | ||||||
Thales SA | 18,428 | 824,662 | ||||||
Total SA | 98,235 | 5,320,619 | ||||||
Total SA – SPADR | 103,400 | 5,607,382 | ||||||
32,550,860 | ||||||||
Germany — 0.5% | ||||||||
BASF SE | 30,999 | 1,236,438 | ||||||
Bayer AG | 2,831 | 152,014 | ||||||
Bayerische Motoren Werke AG | 14,256 | 538,408 | ||||||
Daimler AG Registered | 37,151 | 1,344,195 | ||||||
Deutsche Bank AG Registered | 3,314 | 201,666 | ||||||
Deutsche Post AG | 21,806 | 285,010 | ||||||
Deutsche Telekom AG | 188,272 | 2,225,101 |
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Deutsche Wohnen AG (a) | 37,700 | $ | 526,273 | |||||
E.ON AG | 37,929 | 1,346,265 | ||||||
Fresenius Medical Care AG & Co. | 37,280 | 1,663,749 | ||||||
RWE AG | 29,561 | 2,333,677 | ||||||
Siemens AG Registered | 3,645 | 252,345 | ||||||
12,105,141 | ||||||||
Hong Kong — 1.7% | ||||||||
Asia Satellite Telecommunications Holdings Ltd. | 47,000 | 53,621 | ||||||
Cheung Kong Holdings Ltd. | 348,000 | 3,980,590 | ||||||
China Mobile Ltd. | 117,000 | 1,173,201 | ||||||
Esprit Holdings Ltd. | 24,900 | 139,282 | ||||||
First Pacific Co. | 3,088,000 | 1,784,019 | ||||||
Genting Singapore plc (a) | 265,430 | 124,607 | ||||||
Henderson Land Development Co. | 313,000 | 1,790,701 | ||||||
Hong Kong & Shanghai Hotels Ltd. (The) | 981,116 | 994,677 | ||||||
Hong Kong Aircraft Engineering Co. Ltd. | 57,200 | 669,220 | ||||||
Hongkong Electric Holdings Ltd. | 203,500 | 1,131,993 | ||||||
Hongkong Land Holdings Ltd. | 221,000 | 780,221 | ||||||
i-CABLE Communications Ltd. (a) | 2,031,000 | 188,729 | ||||||
Jardine Matheson Holdings Ltd. | 285,800 | 7,819,137 | ||||||
Jardine Strategic Holdings Ltd. | 390,000 | 5,738,770 | ||||||
Midland Holdings Ltd. | 1,464,000 | 884,847 | ||||||
New World Development Ltd. | 2,532,624 | 4,571,572 | ||||||
Next Media Ltd. | 1,444,000 | 197,579 | ||||||
Shangri-La Asia Ltd. | 899,600 | 1,333,572 | ||||||
Silver Grant International Ltd. | 562,000 | 83,728 | ||||||
SmarTone Telecommunications Holdings Ltd. | 936,000 | 577,556 | ||||||
Sun Hung Kai Properties Ltd. | 171,500 | 2,141,289 | ||||||
Television Broadcasts Ltd. | 356,000 | 1,436,358 | ||||||
Wheelock & Co. Ltd. | 490,000 | 1,260,853 | ||||||
38,856,122 | ||||||||
Indonesia — 0.2% | ||||||||
Bank Pan Indonesia Tbk PT (a) | 21,744,207 | 1,401,596 | ||||||
Citra Marga Nusaphala Persada Tbk PT | 326,000 | 29,942 | ||||||
Gudang Garam Tbk PT | 348,500 | 427,869 | ||||||
Indofood Sukses Makmur Tbk PT | 3,543,000 | 649,162 | ||||||
Matahari Putra Prima Tbk PT (a) | 6,110,300 | 430,194 | ||||||
Semen Gresik (Persero) Tbk PT (a) | 3,561,500 | 1,702,968 | ||||||
4,641,731 | ||||||||
Ireland — 0.0% | ||||||||
Anglo Irish Bank Corp Ltd. | 38,180 | — | ||||||
CRH plc | 8,857 | 203,057 | ||||||
DCC plc | 8,959 | 185,011 | ||||||
Fyffes plc | 454,644 | 210,924 | ||||||
Independent News & Media plc | 292,220 | 102,468 | ||||||
Paddy Power plc | 8,550 | 199,516 | ||||||
Total Produce plc | 121,671 | 52,941 | ||||||
953,917 |
9
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Italy — 0.5% | ||||||||
Banco Popolare Societa Cooperativa (a) | 29,783 | $ | 222,410 | |||||
Eni SpA – SPADR | 41,200 | 1,953,292 | ||||||
Fiat SpA (a) | 118,163 | 1,198,729 | ||||||
Finmeccanica SpA | 12,315 | 173,777 | ||||||
Intesa Sanpaolo (a) | 382,908 | 1,241,453 | ||||||
Luxottica Group SpA (a) | 37,070 | 770,966 | ||||||
Luxottica Group SpA – SPADR (a) | 32,900 | 683,662 | ||||||
Natuzzi SpA – SPADR (a) | 4,400 | 8,360 | ||||||
Saipem SpA | 56,462 | 1,378,265 | ||||||
UniCredit SpA (a) | 1,329,757 | 3,406,792 | ||||||
11,037,706 | ||||||||
Japan — 3.0% | ||||||||
Ajinomoto Co., Inc. | 53,000 | 418,812 | ||||||
Alfresa Holdings Corp. | 6,700 | 308,384 | ||||||
Astellas Pharma, Inc. | 72,900 | 2,575,122 | ||||||
Bank of Yokohama Ltd. (The) | 48,000 | 255,658 | ||||||
Benesse Corp. | 23,000 | 919,234 | ||||||
Canon, Inc. | 78,600 | 2,558,192 | ||||||
Dai Nippon Printing Co. Ltd. | 34,000 | 464,787 | ||||||
DAIICHIKOSHO Co. Ltd. | 117,000 | 1,273,221 | ||||||
Dainippon Sumitomo Pharma Co. Ltd. | 25,000 | 218,468 | ||||||
Daiwa Securities Group, Inc. | 821,000 | 4,852,476 | ||||||
Denso Corp. | 16,000 | 407,868 | ||||||
East Japan Railway Co. | 7,000 | 421,515 | ||||||
Fujitsu Frontech Ltd. | 7,100 | 71,420 | ||||||
Fukuoka Financial Group, Inc. | 110,000 | 490,503 | ||||||
Hitachi Chemical Co. Ltd. | 34,800 | 559,312 | ||||||
Hitachi Ltd. | 120,000 | 371,668 | ||||||
Hitachi Metals Ltd. | 15,000 | 126,601 | ||||||
Isetan Mitsukoshi Holdings Ltd. | 51,000 | 517,800 | ||||||
Japan Petroleum Exploration Co. | 28,000 | 1,544,917 | ||||||
JS Group Corp. | 38,900 | 599,003 | ||||||
Kao Corp. | 39,000 | 849,939 | ||||||
Kawasaki Heavy Industries Ltd. | 229,000 | 627,629 | ||||||
KDDI Corp. | 135 | 715,738 | ||||||
Kinden Corp. | 38,000 | 332,954 | ||||||
Kyowa Hakko Kirin Co. Ltd. | 49,000 | 552,636 | ||||||
Marui Group Co. Ltd. | 40,500 | 284,040 | ||||||
Matsushita Electric Works Ltd. | 71,114 | 671,293 | ||||||
Millea Holdings, Inc. | 87,900 | 2,414,145 | ||||||
Mitsubishi Corp. | 33,400 | 613,397 | ||||||
Mitsubishi Tanabe Pharma Corp. | 28,000 | 321,786 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 138,400 | 850,771 | ||||||
Mizuho Financial Group, Inc. | 184,000 | 427,946 | ||||||
Namco Bandai Holdings, Inc. | 33,550 | 367,998 | ||||||
NEC Corp. (a) | 8,000 | 31,234 | ||||||
Nintendo Co. Ltd. | 400 | 110,082 | ||||||
Nippon Meat Packers, Inc. | 17,000 | 214,399 | ||||||
Nippon Oil Corp. | 59,000 | 347,277 |
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Nippon Suisan Kaisha Ltd. | 77,500 | $ | 203,024 | |||||
Nippon Telegraph & Telephone Corp. | 24,200 | 984,648 | ||||||
NIPPONKOA Insurance Co. Ltd. | 219,000 | 1,270,244 | ||||||
NISSIN FOODS HOLDINGS Co. Ltd. | 31,000 | 939,153 | ||||||
Nitto Denko Corp. | 82,900 | 2,511,991 | ||||||
Noritake Co. Ltd. | 15,000 | 49,370 | ||||||
NSK Ltd. | 55,000 | 277,656 | ||||||
NTT Data Corp. | 68 | 219,280 | ||||||
NTT DoCoMo, Inc. | 336 | 490,740 | ||||||
Obayashi Corp. | 64,000 | 313,025 | ||||||
OLYMPUS Corp. | 300,000 | 7,049,560 | ||||||
OMRON Corp. | 10,500 | 150,983 | ||||||
Onward Holdings Co. Ltd. | 26,000 | 167,434 | ||||||
Ricoh Co. Ltd. | 17,000 | 217,765 | ||||||
Ryosan Co. Ltd. | 4,600 | 107,912 | ||||||
SAZABY LEAGUE Ltd. | 3,900 | 55,790 | ||||||
Secom Co. Ltd. | 15,800 | 640,884 | ||||||
Sekisui House Ltd. | 42,000 | 424,551 | ||||||
Seven & I Holdings Co. Ltd. | 119,280 | 2,798,446 | ||||||
Shimizu Corp. | 51,000 | 221,399 | ||||||
Shiseido Co. Ltd. | 18,000 | 294,515 | ||||||
Sompo Japan Insurance, Inc. | 968,000 | 6,426,666 | ||||||
Sony Corp. | 14,800 | 382,320 | ||||||
Sumitomo Electric Industries Ltd. | 69,900 | 783,592 | ||||||
Sumitomo Forestry Co. Ltd. | 40,200 | 338,620 | ||||||
Sumitomo Metal Industries Ltd. | 751,000 | 1,983,405 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 16,800 | 679,365 | ||||||
Taiyo Nippon Sanso Corp. | 48,000 | 456,627 | ||||||
Takeda Pharmaceutical Co. Ltd. | 68,100 | 2,646,136 | ||||||
TDK Corp. | 4,300 | 200,998 | ||||||
Tokyo Electric Power Co., Inc. (The) | 12,800 | 329,011 | ||||||
Tokyo Electron Ltd. | 3,700 | 177,712 | ||||||
Tokyo Gas Co. Ltd. | 181,000 | 647,081 | ||||||
Tokyo Ohka Kogyo Co. Ltd. | 8,000 | 154,164 | ||||||
Toppan Forms Co. Ltd. | 19,400 | 248,419 | ||||||
Toyo Seikan Kaisha Ltd. | 22,100 | 465,752 | ||||||
Toyota Motor Corp. | 14,200 | 536,821 | ||||||
West Japan Railway Co. | 665 | 2,197,268 | ||||||
Yamada Denki Co. Ltd. | 5,620 | 326,528 | ||||||
Yamatake Corp. | 9,900 | 196,675 | ||||||
Yamato Holdings Co. Ltd. | 71,000 | 943,307 | ||||||
YASKAWA Electric Corp. | 48,000 | 318,170 | ||||||
68,515,232 | ||||||||
Luxembourg — 0.2% | ||||||||
ArcelorMittal – NYSE Shares | 80,139 | 2,650,998 | ||||||
ArcelorMittal | 47,164 | 1,548,945 | ||||||
4,199,943 | ||||||||
Malaysia — 0.4% | ||||||||
AMMB Holdings Berhad | 1,194,575 | 1,145,123 | ||||||
British American Tobacco Malaysia Berhad | 55,600 | 707,197 |
10
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Bumiputra-Commerce Holdings Berhad | 983,169 | $ | 2,527,759 | |||||
Carlsberg Brewery Malaysia Berhad | 148,700 | 159,792 | ||||||
Genting Malaysia Berhad | 2,922,100 | 2,234,850 | ||||||
Malaysian Airline System Berhad (a) | 491,300 | 427,026 | ||||||
Multi-Purpose Holdings Berhad | 496,500 | 198,219 | ||||||
Sime Darby Berhad | 571,606 | 1,127,020 | ||||||
8,526,986 | ||||||||
Mexico — 0.2% | ||||||||
America Movil SA de CV, Series L – ADR | 6,300 | 243,936 | ||||||
Cemex SAB de CV – SPADR (a) | 559,000 | 5,221,060 | ||||||
Telefonos de Mexico SAB de CV, Series L – SPADR | 4,650 | 75,376 | ||||||
Telmex Internacional SAB de CV, Series L – ADR | 4,552 | 57,583 | ||||||
5,597,955 | ||||||||
Netherlands — 1.0% | ||||||||
Akzo Nobel NV | 4,575 | 201,323 | ||||||
Heineken NV | 27,822 | 1,033,700 | ||||||
ING Groep NV – CVA | 143,101 | 1,440,326 | ||||||
Koninklijke (Royal) KPN NV | 100,345 | 1,382,332 | ||||||
Koninklijke (Royal) Philips Electronics NV | 263,567 | 4,873,699 | ||||||
Koninklijke Boskalis Westminster NV – CVA | 30,805 | 698,533 | ||||||
Reed Elsevier NV | 106,842 | 1,178,286 | ||||||
Royal Dutch Shell plc – ADR | 111,700 | 5,606,223 | ||||||
Royal Dutch Shell plc, Class A | 169,901 | 4,242,550 | ||||||
Royal Dutch Shell plc, Class B | 60,575 | 1,529,298 | ||||||
Wolters Kluwer NV | 41,824 | 731,838 | ||||||
22,918,108 | ||||||||
New Zealand — 0.0% | ||||||||
Telecom Corp. of New Zealand Ltd. | 89,008 | 156,390 | ||||||
Norway — 0.1% | ||||||||
DNB NOR ASA (a) | 63,520 | 486,341 | ||||||
StatoilHydro ASA | 30,100 | 594,593 | ||||||
1,080,934 | ||||||||
Peru — 0.0% | ||||||||
Cia de Minas Buenaventura SA – ADR | 17,300 | 415,719 | ||||||
Philippines (The) — 0.4% | ||||||||
ABS-CBN Holdings Corp. | 3,080,400 | 1,385,111 | ||||||
Ayala Corp. | 663,789 | 3,633,303 | ||||||
Banco de Oro Unibank, Inc. | 303,400 | 198,112 | ||||||
Benpres Holdings Corp. (a) | 4,725,000 | 193,326 | ||||||
DMCI Holdings, Inc. | 1,526,000 | 205,695 | ||||||
Globe Telecom, Inc. | 134,000 | 2,632,834 | ||||||
Jollibee Foods Corp. | 635,900 | 647,201 | ||||||
8,895,582 |
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Poland — 0.1% | ||||||||
Bank Pekao SA (a) | 29,851 | $ | 1,079,008 | |||||
Russia — 0.4% | ||||||||
Gazprom OAO – SPADR | 4,400 | 89,100 | ||||||
Lukoil OAO – SPADR | 81,800 | 3,629,466 | ||||||
Oao Gazprom – SPADR | 291,210 | 5,933,982 | ||||||
9,652,548 | ||||||||
Singapore — 0.4% | ||||||||
CapitaLand Ltd. | 210,600 | 534,879 | ||||||
Great Eastern Holdings Ltd. | 222,000 | 1,610,774 | ||||||
GuocoLeisure Ltd. | 1,314,000 | 348,147 | ||||||
Mandarin Oriental International Ltd. | 233,000 | 309,494 | ||||||
Oversea-Chinese Banking Corp. | 529,721 | 2,435,924 | ||||||
Singapore Telecommunications Ltd. | 1,168,000 | 2,410,207 | ||||||
STATS ChipPAC Ltd. (a) | 2,646,000 | 1,144,309 | ||||||
United Industrial Corp. Ltd. | 113,000 | 139,881 | ||||||
Yellow Pages Singapore Ltd. | 146,000 | 33,662 | ||||||
8,967,277 | ||||||||
South Africa — 0.9% | �� | |||||||
Anglo Platinum Ltd. | 67,428 | 4,781,017 | ||||||
AngloGold Ashanti Ltd. | 6,085 | 223,148 | ||||||
AngloGold Ashanti Ltd. – SPADR | 91,958 | 3,368,422 | ||||||
City Lodge Hotels Ltd. | 16,093 | 144,217 | ||||||
Clicks Group Ltd. | 112,761 | 268,453 | ||||||
Discovery Holdings Ltd. | 18,458 | 61,950 | ||||||
FirstRand Ltd. | 415,960 | 759,958 | ||||||
Gold Fields Ltd. | 236,811 | 2,858,523 | ||||||
Hosken Consolidated Investments Ltd. | 450,576 | 2,657,201 | ||||||
JD Group Ltd. | 39,419 | 207,199 | ||||||
Mondi Ltd. | 3,715 | 16,400 | ||||||
Nedbank Group Ltd. | 71,189 | 907,502 | ||||||
Pretoria Portland Cement Co. Ltd. | 220,540 | 831,009 | ||||||
RMB Holdings Ltd. | 398,539 | 1,214,267 | ||||||
Sun International Ltd. | 113,934 | 1,128,416 | ||||||
19,427,682 | ||||||||
South Korea — 0.1% | ||||||||
KB Financial Group, Inc. (a) | 1,130 | 37,634 | ||||||
Korea Electric Power Corp. (a) | 710 | 16,424 | ||||||
POSCO | 155 | 51,333 | ||||||
POSCO – ADR | 31,200 | 2,579,304 | ||||||
Samsung Electronics Co. Ltd. | 124 | 57,427 | ||||||
SK Telecom Co. Ltd. | 914 | 124,785 | ||||||
2,866,907 | ||||||||
Spain — 0.7% | ||||||||
Acciona SA | 8,595 | 1,056,548 | ||||||
Acerinox SA | 67,987 | 1,258,267 | ||||||
ACS, Actividades de Construccion y Servicios SA | 103,000 | 5,222,507 | ||||||
Banco Santander SA – SPADR | 5,298 | 64,106 |
11
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Banco Santander SA | 95,188 | $ | 1,148,726 | |||||
Iberdrola SA | 381,201 | 3,100,188 | ||||||
Inditex SA | 10,715 | 514,935 | ||||||
Prosegur, Compania de Seguridad SA | 9,688 | 311,290 | ||||||
Telefonica SA | 95,878 | 2,174,032 | ||||||
Viscofan SA | 16,517 | 352,642 | ||||||
15,203,241 | ||||||||
Sweden — 0.2% | ||||||||
Assa Abloy AB, Class B | 59,313 | 826,752 | ||||||
Hoganas AB, Class B | 16,833 | 182,065 | ||||||
Modern Times Group AB, Class B | 4,879 | 136,139 | ||||||
Svenska Cellulosa AB (SCA), Class B | 56,517 | 594,749 | ||||||
Svenska Handelsbanken AB, Class A | 47,916 | 905,420 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 127,408 | 1,246,211 | ||||||
TeliaSonera AB | 20,135 | 105,914 | ||||||
3,997,250 | ||||||||
Switzerland — 0.7% | ||||||||
Adecco SA | 20,916 | 873,464 | ||||||
Clariant AG Registered (a) | 32,531 | 205,458 | ||||||
Compagnie Financiere Richemont SA | 21,638 | 450,844 | ||||||
Geberit AG | 6,788 | 836,595 | ||||||
Logitech International SA (a) | 28,087 | 391,161 | ||||||
Nestle SA Registered | 9,654 | 364,353 | ||||||
Novartis AG | 123,524 | 5,018,591 | ||||||
PubliGroupe SA | 1,228 | 92,417 | ||||||
Roche Holding AG | 13,984 | 1,902,506 | ||||||
Sonova Holding AG Registered | 1,795 | 146,080 | ||||||
Tyco Electronics Ltd. | 8,000 | 148,720 | ||||||
Tyco International Ltd. | 13,600 | 353,328 | ||||||
UBS AG Registered (a) | 116,242 | 1,422,190 | ||||||
Weatherford International Ltd. (a) | 92,800 | 1,815,168 | ||||||
Xstrata plc | 268,477 | 2,961,014 | ||||||
16,981,889 | ||||||||
Taiwan — 0.2% | ||||||||
Asustek Computer, Inc. – GDR Registered | 61,599 | 370,210 | ||||||
Chunghwa Telecom Co. Ltd. – ADR | 36,503 | 723,854 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 1,767,407 | 2,935,904 | ||||||
4,029,968 | ||||||||
Thailand — 0.3% | ||||||||
Advanced Info Service PCL (b) | 828,600 | 2,164,526 | ||||||
GMM Grammy PCL | 892,800 | 366,868 | ||||||
Kasikornbank PCL | 556,200 | 1,183,578 | ||||||
Land and Houses PCL | 1,873,200 | 296,897 | ||||||
Matichon PCL (b) | 115,200 | 23,331 | ||||||
MBK PCL | 224,200 | 352,061 | ||||||
Siam Cement Co. | 100,600 | 457,675 |
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Siam Cement PCL | 399,600 | $ | 1,888,336 | |||||
Thanachart Capital PCL (b) | 1,137,600 | 457,444 | ||||||
7,190,716 | ||||||||
Turkey — 0.1% | ||||||||
Turkcell Iletisim Hizmetleri A/S – ADR | 113,600 | 1,574,496 | ||||||
Turkiye Garanti Bankasi A/S – ADR (b) | 46,600 | 125,820 | ||||||
1,700,316 | ||||||||
United Kingdom — 3.3% | ||||||||
AMEC plc | 26,372 | 283,943 | ||||||
Anglo American plc – JSE Shares | 91,321 | 2,664,814 | ||||||
Anglo American plc – LSE Shares | 36,225 | 1,050,369 | ||||||
Arriva plc | 107,015 | 716,746 | ||||||
Aviva plc | 134,057 | 757,548 | ||||||
BAE Systems plc | 196,237 | 1,095,401 | ||||||
Barclays plc | 205,179 | 955,668 | ||||||
Berkeley Group Holdings plc (UNIT) (a) | 15,250 | 202,305 | ||||||
BHP Billiton plc | 50,362 | 1,137,578 | ||||||
BP plc | 695,869 | 5,506,519 | ||||||
BP plc – SPADR | 123,500 | 5,888,480 | ||||||
Bradford & Bingley plc | 101,619 | — | ||||||
British American Tobacco plc | 12,499 | 345,290 | ||||||
Bunzl plc | 35,953 | 297,817 | ||||||
Cable & Wireless plc | 503,957 | 1,106,033 | ||||||
Capita Group plc | 134,081 | 1,580,713 | ||||||
Carnival plc | 27,596 | 732,265 | ||||||
Carphone Warehouse Group plc | 63,309 | 165,763 | ||||||
Compass Group plc | 153,156 | 863,032 | ||||||
Daily Mail & General Trust NV, Class A | 17,468 | 81,783 | ||||||
Devro plc | 103,637 | 156,121 | ||||||
Diageo plc | 272,524 | 3,913,697 | ||||||
Enterprise Inns plc | 73,550 | 151,488 | ||||||
Eurocastle Investment Ltd. | 83,992 | 38,954 | ||||||
Galiform plc (a) | 386,659 | 224,981 | ||||||
GKN plc | 286,700 | 592,822 | ||||||
GlaxoSmithKline plc | 267,333 | 4,707,617 | ||||||
Hays plc | 189,536 | 267,968 | ||||||
HMV Group plc | 65,314 | 121,430 | ||||||
Homeserve plc | 8,084 | 199,987 | ||||||
ICAP plc | 120,085 | 894,144 | ||||||
Informa plc | 148,509 | 535,076 | ||||||
International Personal Finance | 104,778 | 126,385 | ||||||
Intertek Group plc | 67,912 | 1,170,946 | ||||||
Invensys plc | 197,053 | 726,368 | ||||||
ITV plc | 624,186 | 360,281 | ||||||
Ladbrokes plc | 110,455 | 336,444 | ||||||
Lloyds Banking Group plc | 1,284,000 | 1,477,689 | ||||||
Michael Page International plc | 123,282 | 486,283 | ||||||
Mondi plc | 9,195 | 32,487 |
12
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Next plc | 9,360 | $ | 226,827 | |||||
Northgate plc | 13,720 | 22,501 | ||||||
Provident Financial plc | 41,217 | 539,692 | ||||||
Reckitt Benckiser Group plc | 34,789 | 1,585,476 | ||||||
Reed Elsevier plc | 91,558 | 682,682 | ||||||
Rexam plc | 93,898 | 440,780 | ||||||
Rio Tinto plc | 15,651 | 544,860 | ||||||
Rolls-Royce Group plc (a) | 228,114 | 1,360,146 | ||||||
Rolls-Royce Group plc, Class C (a) | 19,572,181 | 32,200 | ||||||
Royal Bank of Scotland Group plc (a) | 319,497 | 203,176 | ||||||
RSA Insurance Group plc | 99,209 | 196,859 | ||||||
Sage Group plc | 300,677 | 883,043 | ||||||
Smiths Group plc | 26,967 | 312,086 | ||||||
Sportingbet plc (a) | 230,256 | 216,435 | ||||||
Stagecoach Group plc | 182,535 | 381,758 | ||||||
Tesco plc | 237,118 | 1,382,070 | ||||||
Thomas Cook Group plc | 244,907 | 830,562 | ||||||
Tui Travel plc | 213,251 | 815,351 | ||||||
Unilever plc | 157,177 | 3,688,289 | ||||||
Vedanta Resources plc | 246,499 | 5,246,829 | ||||||
Vodafone Group plc | 2,900,118 | 5,605,850 | ||||||
Willis Group Holdings Ltd. | 272,080 | 7,000,618 | ||||||
Wolseley plc (a) | 11,609 | 221,936 | ||||||
WPP plc | 60,716 | 403,828 | ||||||
74,777,089 | ||||||||
Total Foreign Common Stocks (Cost $516,862,147) | 493,483,088 | |||||||
Total Common Stocks (Cost $1,024,619,618) | 928,551,088 |
![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||
Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
Subordinated Convertible Notes — 0.0% | |||||||||||||||||
Consumer, Cyclical — 0.0% | |||||||||||||||||
US Airway Group, Inc. | 7.250% | 05/15/14 | $ | 56,000 | $ | 37,660 | |||||||||||
Total Consumer, Cyclical (Cost $56,000) | 37,660 | ||||||||||||||||
Consumer, Non-Cyclical — 0.0% | |||||||||||||||||
Cubist Pharmaceuticals, Inc. | 2.250 | % | 06/15/13 | 200,000 | 169,250 | ||||||||||||
LifePoint Hospitals, Inc. | 3.500 | % | 05/15/14 | 425,000 | 341,063 | ||||||||||||
Sotheby’s | 3.125 | % | 06/15/13 | 242,107 | 190,659 | ||||||||||||
Total Consumer, Non-Cyclical (Cost $682,915) | 700,972 | ||||||||||||||||
Financial — 0.0% | |||||||||||||||||
Eurocastle Investment Ltd. (b) (c) (f) | 20.000% | 09/30/19 | 168,000 | 259,246 | |||||||||||||
Total Financial (Cost $234,881) | 259,246 | ||||||||||||||||
Total Subordinated Convertible Notes (Cost $973,796) | 997,878 |
![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||
Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
Corporate Bonds — 1.9% | |||||||||||||||||
Basic Materials — 0.1% | |||||||||||||||||
Ashland, Inc. (e) | 9.125% | 06/01/17 | $ | 430,000 | $ | 447,200 | |||||||||||
Freeport-McMoRan Copper & Gold, Inc. | 8.375% | 04/01/17 | 1,350,000 | 1,360,125 | |||||||||||||
Novelis, Inc. | 7.250% | 02/15/15 | 450,000 | 342,000 | |||||||||||||
Total Basic Materials (Cost $2,153,846) | 2,149,325 | ||||||||||||||||
Communications — 0.4% | |||||||||||||||||
Cablevision Systems Corp. | 8.000% | 04/15/12 | 475,000 | 470,250 | |||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 8.750% | 11/15/13 | 750,000 | 712,500 | |||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital (e) | 8.000% | 04/30/12 | 750,000 | 721,875 | |||||||||||||
Cricket Communications, Inc. (e) | 10.000% | 07/15/15 | 750,000 | 744,375 | |||||||||||||
CSC Holdings, Inc. | 7.875% | 02/15/18 | 975,000 | 912,844 | |||||||||||||
DirecTV Holdings LLC/DirecTV Financing Co. | 6.375% | 06/15/15 | 575,000 | 531,875 | |||||||||||||
Frontier Communications Corp. | 8.250% | 05/01/14 | 375,000 | 354,375 | |||||||||||||
Intelsat Subsidiary Holding Co. Ltd. (e) | 8.875% | 01/15/15 | 1,350,000 | 1,296,000 | |||||||||||||
Mediacom Broadband LLC/Mediacom Broadband Corp. | 8.500% | 10/15/15 | 710,000 | 639,000 | |||||||||||||
Mediacom LLC/Mediacom Capital Corp. | 9.500% | 01/15/13 | 325,000 | 309,563 | |||||||||||||
MetroPCS Wireless, Inc. | 9.250% | 11/01/14 | 700,000 | 695,625 | |||||||||||||
Qwest Corp. | 7.500% | 10/01/14 | 975,000 | 929,906 | |||||||||||||
Sprint Capital Corp. | 8.375% | 03/15/12 | 300,000 | 295,500 | |||||||||||||
Sprint Nextel Corp. | 6.000% | 12/01/16 | 350,000 | 286,125 | |||||||||||||
Terremark Worldwide, Inc. (e) | 12.000% | 06/15/17 | 365,000 | 350,400 | |||||||||||||
Virgin Media Finance plc | 9.500% | 08/15/16 | 350,000 | 344,750 | |||||||||||||
West Corp. | 9.500% | 10/15/14 | 775,000 | 678,125 | |||||||||||||
Total Communications (Cost $10,332,461) | 10,273,088 |
13
![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||
Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
Consumer, Cyclical — 0.2% | |||||||||||||||||
AMC Entertainment, Inc. | 8.000% | 03/01/14 | $ | 800,000 | $ | 682,000 | |||||||||||
Continental Airlines, Inc. | 9.798% | 04/01/21 | 514,536 | 334,448 | |||||||||||||
Ford Motor Co. | 7.450% | 07/16/31 | 700,000 | 413,000 | |||||||||||||
Marquee Holdings, Inc. (STEP) | 12.000% | 08/15/14 | 850,000 | 654,500 | |||||||||||||
Rite Aid Corp. | 10.375% | 07/15/16 | 750,000 | 675,000 | |||||||||||||
Royal Caribbean Cruises | 11.875% | 07/15/15 | 135,000 | 131,489 | |||||||||||||
Sally Holdings LLC/Sally Capital, Inc. | 9.250% | 11/15/14 | 350,000 | 348,250 | |||||||||||||
Scientific Games International, Inc. (e) | 9.250% | 06/15/19 | 350,000 | 350,000 | |||||||||||||
Total Consumer, Cyclical (Cost $3,637,915) | 3,588,687 | ||||||||||||||||
Consumer, Non-cyclical — 0.5% | |||||||||||||||||
Alliance One International, Inc. (e) | 10.000% | 07/15/16 | 550,000 | 521,125 | |||||||||||||
ARAMARK Corp. | 8.500% | 02/01/15 | 935,000 | 906,950 | |||||||||||||
Biomet, Inc. | 10.000% | 10/15/17 | 340,000 | 345,950 | |||||||||||||
CHS/Community Health Systems, Inc. | 8.875% | 07/15/15 | 1,100,000 | 1,078,000 | |||||||||||||
Constellation Brands, Inc. | 7.250% | 09/01/16 | 380,000 | 351,500 | |||||||||||||
HCA, Inc. | 6.375% | 01/15/15 | 1,250,000 | 1,015,625 | |||||||||||||
HCA, Inc. | 9.625% | 11/15/16 | 1,100,000 | 1,089,000 | |||||||||||||
Hertz Corp. | 8.875% | 01/01/14 | 600,000 | 552,000 | |||||||||||||
Inverness Medical Innovations, Inc. | 9.000% | 05/15/16 | 575,000 | 556,312 | |||||||||||||
Lender Processing Services, Inc. | 8.125% | 07/01/16 | 515,000 | 504,700 | |||||||||||||
Omnicare, Inc. | 6.125% | 06/01/13 | 400,000 | 362,000 | |||||||||||||
Service Corp. International | 6.750% | 04/01/16 | 550,000 | 496,375 | |||||||||||||
Smithfield Foods, Inc. (e) | 10.000% | 07/15/14 | 435,000 | 429,562 | |||||||||||||
Tenet Healthcare Corp. (e) | 10.000% | 05/01/18 | 1,125,000 | 1,181,250 | |||||||||||||
Tyson Foods, Inc. (e) | 10.500% | 03/01/14 | 310,000 | 336,350 | |||||||||||||
United Rentals North America, Inc. (e) | 10.875% | 06/15/16 | 360,000 | 345,600 | |||||||||||||
Universal Hospital Services, Inc. | 8.500% | 06/01/15 | 375,000 | 353,438 | |||||||||||||
Total Consumer, Non-cyclical (Cost $10,480,615) | $ | 10,425,737 | |||||||||||||||
Energy — 0.2% | |||||||||||||||||
Arch Western Finance LLC | 6.750% | 07/01/13 | 815,000 | 743,687 | |||||||||||||
Chesapeake Energy Corp. | 6.500% | 08/15/17 | 1,215,000 | 1,020,600 | |||||||||||||
Dynegy Holdings, Inc. | 7.750% | 06/01/19 | 1,325,000 | 1,031,844 |
![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||
Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
Peabody Energy Corp. | 7.375% | 11/01/16 | $ | 585,000 | $ | 552,825 | |||||||||||
PetroHawk Energy Corp. (e) | 10.500% | 08/01/14 | 475,000 | 485,688 | |||||||||||||
Plains Exploration & Production Co. | 7.750% | 06/15/15 | 450,000 | 420,750 | |||||||||||||
Range Resources Corp. | 6.375% | 03/15/15 | 550,000 | 506,687 | |||||||||||||
SandRidge Energy, Inc. (e) | 8.000% | 06/01/18 | 410,000 | 350,550 | |||||||||||||
Southwestern Energy Co. (e) | 7.500% | 02/01/18 | 350,000 | 336,000 | |||||||||||||
Total Energy (Cost $5,481,270) | 5,448,631 | ||||||||||||||||
Financial — 0.3% | |||||||||||||||||
BAC Capital Trust XI | 6.625% | 05/23/36 | 1,110,000 | 837,055 | |||||||||||||
Barclays Bank plc | 8.550% | 09/29/49 | 485,000 | 324,950 | |||||||||||||
Citigroup, Inc. | 5.875% | 02/22/33 | 500,000 | 369,819 | |||||||||||||
Ford Motor Credit Co. LLC | 7.875% | 06/15/10 | 900,000 | 854,878 | |||||||||||||
Ford Motor Credit Co. LLC | 8.000% | 12/15/16 | 1,125,000 | 860,095 | |||||||||||||
GMAC, Inc. (e) | 8.000% | 11/01/31 | 1,200,000 | 840,000 | |||||||||||||
GMAC, Inc. (e) | 7.750% | 01/19/10 | 770,000 | 750,750 | |||||||||||||
Lloyds Banking Group plc (VRN) (e) | 5.920% | 12/31/49 | 910,000 | 318,500 | |||||||||||||
NB Capital Trust IV | 8.250% | 04/15/27 | 975,000 | 818,700 | |||||||||||||
Ventas Realty LP/Ventas Capital Corp. | 6.500% | 06/01/16 | 575,000 | 515,344 | |||||||||||||
Wells Fargo & Co. (VRN) | 7.980% | 02/28/49 | 625,000 | 518,750 | |||||||||||||
Total Financial (Cost $7,128,790) | 7,008,841 | ||||||||||||||||
Industrial — 0.1% | |||||||||||||||||
Blount, Inc. | 8.875% | 08/01/12 | 400,000 | 401,000 | |||||||||||||
Bombardier, Inc. (e) | 8.000% | 11/15/14 | 365,000 | 343,556 | |||||||||||||
Case New Holland, Inc. | 7.125% | 03/01/14 | 370,000 | 337,625 | |||||||||||||
Crown Americas | 7.750% | 11/15/15 | 350,000 | 342,125 | |||||||||||||
Owens Corning, Inc. | 9.000% | 06/15/19 | 360,000 | 349,191 | |||||||||||||
Owens- Brockway (e) | 7.375% | 05/15/16 | 360,000 | 349,200 | |||||||||||||
SPX Corp. | 7.625% | 12/15/14 | 465,000 | 448,725 | |||||||||||||
Vought Aircraft Industries, Inc. | 8.000% | 07/15/11 | 700,000 | 437,500 | |||||||||||||
Total Industrial (Cost $3,021,063) | 3,008,922 | ||||||||||||||||
Technology — 0.0% | |||||||||||||||||
Sungard Data Systems, Inc. | 9.125% | 08/15/13 | 530,000 | 500,850 | |||||||||||||
Utilities — 0.1% | |||||||||||||||||
AES Corp. (The) | 8.000% | 10/15/17 | 370,000 | 344,100 | |||||||||||||
Intergen NV (e) | 9.000% | 06/30/17 | 525,000 | 497,438 | |||||||||||||
Mirant North America LLC | 7.375% | 12/31/13 | 700,000 | 672,000 |
14
![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||
Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
NRG Energy, Inc. | 7.375% | 02/01/16 | $ | 800,000 | $ | 757,000 | |||||||||||
Total Utilities (Cost $2,286,863) | 2,270,538 | ||||||||||||||||
Total Corporate Bonds (Cost $45,023,673) | 44,674,619 | ||||||||||||||||
Asset-Backed Securities — 1.1% | |||||||||||||||||
Ace Securities Corp., Ser. 2005-HE7, Class A2D (FRN) (STEP) (b) | 0.644% | 11/25/35 | 400,000 | 190,830 | |||||||||||||
American Express Credit Account Master Trust, Ser. 2006-B, Class A (FRN) (e) | 0.359% | 08/15/13 | 1,600,000 | 1,575,025 | |||||||||||||
Asset Backed Funding Certificates, Ser. 2005-WMC1, Class A2D (FRN) | 0.674% | 08/25/35 | 1,585,203 | 1,488,602 | |||||||||||||
Bank of America Credit Card Trust, Ser. 2006-A12, Class A12 (FRN) | 0.339% | 03/15/14 | 200,000 | 193,748 | |||||||||||||
Bank of America Credit Card Trust, Ser. 2006-A15, Class A15 (FRN) | 0.319% | 04/15/14 | 1,671,000 | 1,615,302 | |||||||||||||
Bank of America Credit Card Trust, Ser. 2007-A6, Class A6 (FRN) | 0.379% | 09/15/16 | 2,000,000 | 1,849,146 | |||||||||||||
Bear Stearns Asset Backed Securities Trust, Ser. 2005-HE10, Class A2 (FRN) (STEP) | 0.604% | 11/25/35 | 171,897 | 164,219 | |||||||||||||
Bear Stearns Asset Backed Securities Trust, Ser. 2006-HE1, Class 1A2 (FRN) (STEP) | 0.534% | 12/25/35 | 617,305 | 526,807 | |||||||||||||
Bear Stearns Asset Backed Securities Trust, Ser. 2006-HE7, Class 2A2 (FRN) (STEP) (b) | 0.474% | 08/25/36 | 700,000 | 232,478 | |||||||||||||
BNC Mortgage Loan Trust, Ser. 2006-1, Class M1 (FRN) (STEP) (b) | 0.574% | 10/25/36 | 500,000 | 2,407 | |||||||||||||
Carrington Mortgage Loan Trust, Ser. 2005-NC5, Class A2 (FRN) (STEP) | 0.634% | 10/25/35 | 605,495 | 469,025 | |||||||||||||
Chase Issuance Trust, Ser. 2006-A1, Class A (FRN) | 0.359% | 04/15/13 | 1,600,000 | 1,570,537 | |||||||||||||
Chase Issuance Trust, Ser. 2006-A8, Class A8 (FRN) | 0.379% | 02/16/16 | 1,900,000 | 1,777,474 |
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||
Citibank Credit Card Issuance Trust, Ser. 2005-A3, Class A3 (FRN) | 0.385% | 04/24/14 | $ | 1,000,000 | $ | 963,560 | ||||||||||
Citigroup Mortgage Loan Trust, Inc., Ser. 2007-AMC2, Class A3A (FRN) (STEP) (b) | 0.394% | 01/25/37 | 552,941 | 400,026 | ||||||||||||
Countrywide Asset-Backed Certificates, Ser. 2004-1, Class 3A (FRN) (STEP) (b) | 0.594% | 04/25/34 | 293,688 | 188,442 | ||||||||||||
Credit-Based Asset Servicing and Securitization, Ser. 2005-CB2, Class M1 (FRN) (STEP) | 0.754% | 04/25/36 | 55,034 | 39,797 | ||||||||||||
Downey Savings & Loan Association Mortgage Loan Trust, Ser. 2004-AR3, Class B2 (FRN) (STEP) (b) | 1.413% | 07/19/44 | 112,556 | 7,879 | ||||||||||||
FBR Securitization Trust, Ser. 2005-2, Class AV31 (FRN) (STEP) | 0.584% | 09/25/35 | 295,318 | 276,441 | ||||||||||||
First Franklin Mortgage Loan Asset Backed Certificates, Ser. 2003-FF5, Class M2 (FRN) (STEP) (b) | 2.564% | 03/25/34 | 66,455 | 34,713 | ||||||||||||
First Franklin Mortgage Loan Asset Backed Certificates, Ser. 2005-FF10, Class A4 (FRN) (STEP) (b) | 0.634% | 11/25/35 | 521,766 | 318,434 | ||||||||||||
Home Equity Asset Trust, Ser. 2006-5, Class 2A3 (FRN) (STEP) (b) | 0.464% | 10/25/36 | 150,000 | 48,582 | ||||||||||||
HSI Asset Securitization Corp. Trust, Ser. 2006-OPT2, Class 2A3 (FRN) (STEP) | 0.504% | 01/25/36 | 934,660 | 706,952 | ||||||||||||
Indymac Residential Asset Backed Trust, Ser. 2005-D, Class AII3 (FRN) (STEP) (b) | 0.564% | 03/25/36 | 1,411,477 | 983,121 | ||||||||||||
Indymac Residential Asset Backed Trust, Ser. 2007-B, Class 2A3 (FRN) (STEP) (b) | 0.514% | 07/25/37 | 907,000 | 235,155 | ||||||||||||
Long Beach Mortgage Loan Trust, Ser. 2005-3, Class 2A2 (FRN) | 0.594% | 08/25/45 | 1,598,808 | 1,368,006 |
15
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||
Long Beach Mortgage Loan Trust, Ser. 2005-WL2, Class M1 (FRN) (STEP) (b) | 0.784% | 08/25/35 | $ | 400,000 | $ | 182,882 | ||||||||||
Long Beach Mortgage Loan Trust, Ser. 2006-2, Class 2A3 (FRN) (STEP) (b) | 0.504% | 03/25/36 | 2,835,921 | 961,777 | ||||||||||||
Long Beach Mortgage Loan Trust, Ser. 2006-4, Class 2A3 (FRN) (STEP) (b) | 0.474% | 05/25/36 | 1,050,000 | 290,993 | ||||||||||||
Master Asset Backed Securities Trust, Ser. 2004-HE1, Class A1 (FRN) (STEP) | 0.714% | 09/25/34 | 122,388 | 114,527 | ||||||||||||
Morgan Stanley ABS Capital I, Ser. 2002-HE3, Class A2 (FRN) (STEP) (b) | 1.394% | 03/25/33 | 303,687 | 186,112 | ||||||||||||
Morgan Stanley ABS Capital I, Ser. 2005-HE6, Class A2C (FRN) (STEP) (b) | 0.634% | 11/25/35 | 900,000 | 508,339 | ||||||||||||
New Century Home Equity Loan Trust, Ser. 2003-2, Class M2 (FRN) (STEP) (b) | 3.314% | 01/25/33 | 412,907 | 192,561 | ||||||||||||
Nomura Home Equity Loan, Inc., Ser. 2005-FM1, Class 2A3 (FRN) (STEP) | 0.694% | 05/25/35 | 95,470 | 94,139 | ||||||||||||
Residential Asset Mortgage Products, Inc., Ser. 2006-RS2, Class A2 (FRN) (STEP) (b) | 0.514% | 03/25/36 | 689,642 | 453,591 | ||||||||||||
Residential Asset Securities Corp., Ser. 2004-KS9, Class AII4 (FRN) (STEP) (b) | 0.614% | 10/25/34 | 146,635 | 57,659 | ||||||||||||
Residential Asset Securities Corp., Ser. 2006-EMX8, Class 1A3 (FRN) (STEP) (b) | 0.484% | 10/25/36 | 700,000 | 155,029 | ||||||||||||
Securitized Asset Backed Receivables LLC Trust, Ser. 2005-HE1, Class A3C (FRN) (STEP) | 0.644% | 10/25/35 | 166,728 | 141,573 | ||||||||||||
Soundview Home Equity Loan Trust, Ser. 2005-3, Class M1 (FRN) (STEP) | 0.794% | 06/25/35 | 397,457 | 382,799 |
![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||
Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
Soundview Home Equity Loan Trust, Ser. 2005-OPT3, Class A4 (FRN) | 0.614% | 11/25/35 | $ | 3,599,011 | $ | 2,862,607 | |||||||||||
Soundview Home Equity Loan Trust, Ser. 2005-OPT4, Class 2A3 (FRN) (STEP) | 0.574% | 12/25/35 | 184,475 | 133,612 | |||||||||||||
Specialty Underwriting & Residential Finance, Ser. 2005-BC4, Class A2B (FRN) (STEP) | 0.544% | 09/25/36 | 780,502 | 677,191 | |||||||||||||
Washington Mutual Asset-Backed Certificates, Ser. 2006-HE2, Class A3 (FRN) (STEP) (b) | 0.464% | 05/25/36 | 400,000 | 201,552 | |||||||||||||
Washington Mutual, Inc., Ser. 2005-AR1, Class A3 (FRN) (STEP) (b) | 0.674% | 01/25/45 | 301,581 | 61,070 | |||||||||||||
Wells Fargo Home Equity Trust, Ser. 2005-3, Class AI1A (FRN) (STEP) | 0.584% | 11/25/35 | 314,612 | 303,449 | |||||||||||||
Total Asset-Backed Securities (Cost $33,036,542) | 25,188,170 | ||||||||||||||||
Mortgage-Backed Securities – Private Issuers — 1.6% | |||||||||||||||||
American Home Mortgage Investment Trust, Ser. 2004-1, Class 4A (FRN) (b) | 3.170% | 04/25/44 | 80,055 | 57,219 | |||||||||||||
American Home Mortgage Investment Trust, Ser. 2004-4, Class 4A (FRN) (b) | 4.390% | 02/25/45 | 350,022 | 275,330 | |||||||||||||
American Home Mortgage Investment Trust, Ser. 2005-1, Class 6A (FRN) (b) | 5.294% | 06/25/45 | 541,195 | 295,152 | |||||||||||||
Banc of America Commercial Mortgage, Inc., Ser. 2005-3, Class A3A | 4.621% | 07/10/43 | 85,000 | 77,221 | |||||||||||||
Banc of America Commercial Mortgage, Inc., Ser. 2006-2, Class A1 | 5.611% | 05/10/45 | 2,555,076 | 2,594,115 | |||||||||||||
Banc of America Commercial Mortgage, Inc., Ser. 2007-4, Class A4 (VRN) | 5.744% | 02/10/51 | 2,705,000 | 2,182,047 |
16
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Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||
Bank of America Funding Corp., Ser. 2004-B, Class 1A2 (VRN) (b) | 5.076% | 12/20/34 | $ | 213,578 | $ | 135,243 | ||||||||||
Bear Stearns Commercial Mortgage Securities, Inc., Ser. 2002-TOP6, Class A2 | 6.460% | 10/15/36 | 2,000,000 | 2,030,549 | ||||||||||||
Citigroup Mortgage Loan Trust, Inc., Ser. 2007-AR5, Class 1A2A (VRN) (b) | 5.604% | 04/25/37 | 564,679 | 264,275 | ||||||||||||
GE Capital Commercial Mortgage Corp., Ser. 2001-3, Class A2 | 6.070% | 06/10/38 | 500,000 | 502,748 | ||||||||||||
GE Capital Commercial Mortgage Corp., Ser. 2002-1A, Class A3 | 6.269% | 12/10/35 | 480,000 | 489,341 | ||||||||||||
GMAC Commercial Mortgage Securities, Inc., Ser. 2000-C2, Class A2 (VRN) | 7.455% | 08/16/33 | 2,677,524 | 2,740,612 | ||||||||||||
Greenwich Capital Commercial Funding Corp., Ser. 2005-GG3, Class A2 | 4.305% | 08/10/42 | 3,762,384 | 3,673,212 | ||||||||||||
Harborview Mortgage Loan Trust, Ser. 2004-7, Class 2A2 (VRN) (b) | 4.788% | 11/19/34 | 96,230 | 59,552 | ||||||||||||
Harborview Mortgage Loan Trust, Ser. 2005-9, Class 2A1A (FRN) (STEP) (b) | 0.655% | 06/20/35 | 119,932 | 59,553 | ||||||||||||
Impac CMB Trust, Ser. 2004-9, Class M4 (FRN) (STEP) (b) | 1.889% | 01/25/35 | 90,922 | 15,120 | ||||||||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Ser. 2004-CB8, Class A3 | 4.007% | 01/12/39 | 5,000,000 | 4,501,926 | ||||||||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class A4 | 4.738% | 07/15/42 | 1,480,000 | 1,252,804 | ||||||||||||
LB-UBS Commercial Mortgage Trust, Ser. 2000-C5, Class A2 | 6.510% | 12/15/26 | 4,736,249 | 4,885,076 |
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||
LB-UBS Commercial Mortgage Trust, Ser. 2003-C3, Class A4 | 4.166% | 05/15/32 | $ | 500,000 | $ | 458,902 | ||||||||||
MLCC Mortgage Investors, Inc., Ser. 2004-D, Class A2 (FRN) (STEP) | 2.111% | 08/25/29 | 161,169 | 134,027 | ||||||||||||
Nomura Asset Securities Corp., Ser. 1998-D6, Class A3 (VRN) | 7.180% | 03/15/30 | 4,000,000 | 3,829,576 | ||||||||||||
SL Green Realty Corp. (e) | 3.000% | 03/30/27 | 318,000 | 262,350 | ||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2005-19XS, Class 1A1 (FRN) (STEP) (b) | 0.634% | 10/25/35 | 476,838 | 214,766 | ||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2007-7, Class 2AS2 (VRN) (b) | 5.618% | 08/25/47 | 483,396 | 244,219 | ||||||||||||
Structured Asset Securities Corp., Ser. 2005-RF1, Class A (FRN) (b) (e) | 0.664% | 03/25/35 | 425,468 | 350,556 | ||||||||||||
Structured Asset Securities Corp., Ser. 2005-RF3, Class 1A (FRN) (b) (e) | 0.664% | 06/25/35 | 855,049 | 471,010 | ||||||||||||
Structured Asset Securities Corp., Ser. 2006-BC2, Class A2 (FRN) (STEP) | 0.364% | 09/25/36 | 1,122,724 | 1,038,155 | ||||||||||||
Structured Asset Securities Corp., Ser. 2006-NC1, Class A4 (FRN) (STEP) (b) | 0.459% | 05/25/36 | 200,000 | 79,960 | ||||||||||||
Structured Asset Securities Corp., Ser. 2007-BC1, Class A4 (FRN) (STEP) (b) | 0.444% | 02/25/37 | 750,000 | 188,543 | ||||||||||||
Structured Asset Securities Corp., Ser. 2007-EQ1, Class A2 (FRN) (STEP) (b) | 0.404% | 03/25/37 | 471,609 | 302,788 | ||||||||||||
Structured Asset Securities Corp., Ser. 2007-OSI, Class A4 (FRN) (STEP) (b) | 0.514% | 06/25/37 | 1,000,000 | 167,276 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C29, Class A4 | 5.308% | 11/15/48 | 3,500,000 | 2,673,188 |
17
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Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
Total Mortgage-Backed Securities — Private Issuers (Cost $40,630,381) | $ | 36,506,411 | |||||||||||||||
Mortgage-Backed Securities – US Government Agency Obligations — 2.3% | |||||||||||||||||
FHLMC Pool #1M1044 (FRN) | 4.063% | 09/01/36 | $ | 806,410 | 825,194 | ||||||||||||
FHLMC Pool #781697 (FRN) | 2.935% | 07/01/34 | 243,250 | 246,746 | |||||||||||||
FHLMC, Ser. 2003-2591, Class WP | 3.500% | 02/15/30 | 434,873 | 438,051 | |||||||||||||
FHLMC, Ser. 2003-2640, Class DL | 3.500% | 11/15/16 | 184,663 | 186,932 | |||||||||||||
FHLMC, Ser. 2003-2705, Class LB | 4.500% | 09/15/26 | 652,893 | 665,612 | |||||||||||||
FHLMC, Ser. 2003-2725, Class PC | 4.500% | 05/15/28 | 723,202 | 738,934 | |||||||||||||
FHLMC, Ser. 2004-2882, Class HI (IO) | 5.000% | 05/15/18 | 39,318 | 2,502 | |||||||||||||
FHLMC, Ser. 2004-2891, Class LA | 5.000% | 06/15/24 | 173,282 | 174,560 | |||||||||||||
FHLMC, Ser. 2005-2934, Class HI (IO) | 5.000% | 02/15/20 | 98,285 | 10,071 | |||||||||||||
FHLMC, Ser. 2005-2934, Class KI (IO) | 5.000% | 02/15/20 | 48,297 | 4,759 | |||||||||||||
FHLMC, Ser. 2005-2964 | 5.500% | 02/15/26 | 667,683 | 681,736 | |||||||||||||
FHLMC, Ser. 2005-2967, Class JI (IO) | 5.000% | 04/15/20 | 53,001 | 5,459 | |||||||||||||
FHLMC Strip, Ser. 2004-227, Class IO (IO) | 5.000% | 12/01/34 | 422,007 | 68,737 | |||||||||||||
FHLMC Strip, Ser. 2005-232, Class IO (IO) | 5.000% | 08/01/35 | 197,336 | 31,049 | |||||||||||||
FHLMC Strip, Ser. 2005-233, Class 5 (IO) | 4.500% | 09/15/35 | 73,898 | 12,743 | |||||||||||||
FHLMC Structured Pass Through Securities, Ser. 2003-T57, Class 1A3 | 7.500% | 07/25/43 | 447,362 | 478,957 | |||||||||||||
FNMA Pool #21431 | 5.000% | 08/13/39 | 1,000,000 | 1,014,062 | |||||||||||||
FNMA Pool #43998 | 5.500% | 08/13/39 | 1,000,000 | 1,028,438 | |||||||||||||
FNMA Pool #54434 | 6.000% | 08/13/39 | 26,500,000 | 27,601,393 | |||||||||||||
FNMA Pool #685563 (FRN) | 4.880% | 01/01/33 | 589,728 | 610,489 | |||||||||||||
FNMA Pool #693348 (FRN) | 3.657% | 02/01/33 | 907,027 | 930,014 | |||||||||||||
FNMA Pool #815054 (FRN) | 4.404% | 04/01/35 | 565,940 | 586,406 | |||||||||||||
FNMA Pool #828480 (FRN) | 4.954% | 06/01/35 | 337,208 | 349,708 |
![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||
Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
FNMA Pool #834928 (FRN) | 5.065% | 07/01/35 | $ | 577,655 | $ | 599,747 | |||||||||||
FNMA Pool #879906 (FRN) | 4.942% | 10/01/33 | 1,513,140 | 1,554,458 | |||||||||||||
FNMA Pool #889487 (FRN) | 4.472% | 08/01/35 | 473,270 | 488,111 | |||||||||||||
FNMA Pool #739758 (FRN) | 3.961% | 08/01/33 | 276,697 | 281,859 | |||||||||||||
FNMA Pool #806765 (FRN) | 4.667% | 11/01/34 | 268,717 | 277,441 | |||||||||||||
FNMA Pool #995651 | 6.000% | 04/01/39 | 1,468,462 | 1,540,537 | |||||||||||||
FNMA Pool #14827 | 5.500% | 08/18/24 | 2,300,000 | 2,399,188 | |||||||||||||
FNMA Pool #985096 | 6.000% | 12/01/38 | 1,891,880 | 1,979,605 | |||||||||||||
FNMA Pool #991526 | 6.000% | 11/01/38 | 769,536 | 805,219 | |||||||||||||
FNMA, Ser. 2003-83, Class PC | 4.000% | 06/25/18 | 164,879 | 166,187 | |||||||||||||
FNMA, Ser. 2005-86, Class WH | 5.000% | 11/25/25 | 1,291,590 | 1,320,166 | |||||||||||||
FNMA, Ser. 2006-10, Class FD (FRN) | 0.664% | 03/25/36 | 109,878 | 108,197 | |||||||||||||
FNMA Pool #831360 | 5.500% | 03/01/21 | 437,540 | 458,842 | |||||||||||||
FNMA Pool #847637 | 4.695% | 01/01/34 | 305,847 | 316,751 | |||||||||||||
FNMA Pool #865792 | 5.500% | 03/01/21 | 443,793 | 465,400 | |||||||||||||
FNMA Pool #914758 | 5.000% | 04/01/22 | 760,260 | 788,247 | |||||||||||||
FNMA Pool #938469 | 5.000% | 07/01/22 | 625,219 | 648,235 | |||||||||||||
FNMA Strip, Ser. 2005-357, Class 2 (IO) | 5.000% | 03/01/35 | 185,581 | 30,745 | |||||||||||||
FNMA Strip, Ser. 2005-360, Class 2 (IO) | 5.000% | 08/01/35 | 1,208,420 | 192,146 | |||||||||||||
FNMA Strip, Ser. 2005-365, Class 4 (IO) | 5.000% | 04/01/36 | 70,087 | 9,738 | |||||||||||||
FNMA Whole Loan, Ser. 2002-W8, Class A3 | 7.500% | 06/25/42 | 478,869 | 517,478 | |||||||||||||
Total Mortgage-Backed Securities — US Government Agency Obligations (Cost $51,428,809) | 51,640,849 | ||||||||||||||||
US Treasury Securities — 13.8% | |||||||||||||||||
US Treasury Inflation Indexed Bond | 2.500% | 01/15/29 | 15,593,240 | 16,609,233 | |||||||||||||
US Treasury Inflation Indexed Bond | 3.375% | 04/15/32 | 9,250,395 | 11,651,159 | |||||||||||||
US Treasury Inflation Indexed Bond | 2.375% | 01/15/25 | 21,720,384 | 22,399,146 | |||||||||||||
US Treasury Inflation Indexed Note | 2.000% | 01/15/14 | 12,925,472 | 13,236,491 | |||||||||||||
US Treasury Inflation Indexed Note | 1.875% | 07/15/15 | 24,557,120 | 24,833,387 | |||||||||||||
US Treasury Inflation Indexed Note | 2.375% | 04/15/11 | 22,346,064 | 23,026,921 | |||||||||||||
US Treasury Inflation Indexed Note | 0.625% | 04/15/13 | 17,756,112 | 17,559,126 | |||||||||||||
US Treasury Inflation-Indexed Note | 1.375% | 07/15/18 | 74,159,250 | 71,888,123 |
18
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||
US Treasury Inflation-Indexed Note | 1.625% | 01/15/18 | $ | 85,493,520 | $ | 84,665,259 | ||||||||||
US Treasury Inflation-Indexed Note (g) (h) | 2.125% | 01/15/19 | 28,008,059 | 28,927,059 | ||||||||||||
Total US Treasury Securities (Cost $312,749,994) | 314,795,904 |
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Commingled Investment Vehicles — 17.4% | |||||||||
Exchange-Traded Funds — 0.2% | |||||||||
iShares iBoxx $ High Yield Corporate Bond Fund | 65,000 | 5,181,150 | |||||||
iShares MSCI EAFE Index Fund | 800 | 36,648 | |||||||
Total Exchange-Traded Funds (Cost $4,986,749) | 5,217,798 | ||||||||
Mutual Funds — 4.2% | |||||||||
PIMCO Commodity RealReturn Strategy Fund | 5,110,590 | 36,489,615 | |||||||
Vanguard High-Yield Corporate Fund | 12,233,408 | 59,943,702 | |||||||
Total Mutual Funds (Cost $87,074,165) | 96,433,317 | ||||||||
Private Investment Funds (i) — 13.0% | |||||||||
Canyon Value Realization Fund, LP (a) (b) (c) (f) | 37,682,456 | ||||||||
Convexity Capital Offshore, LP (a) (b) (c) (f) | 58,299,806 | ||||||||
Farallon Capital Institutional Partners, LP (a) (b) (c) (f) | 33,371,044 | ||||||||
Joho Partners, LP (a) (b) (c) (f) | 16,236,315 | ||||||||
Lansdowne UK Equity Fund Ltd. (a) (b) (c) (f) | 111,562 | 38,652,960 | |||||||
Lone Cascade, LP (a) (b) (c) (f) | 11,751,987 | ||||||||
Lone Picea, LP, Class E (a) (b) (c) (f) | 914,871 | ||||||||
Lone Picea, LP, Class F (a) (b) (c) (f) | 1,365,042 | ||||||||
Lone Picea, LP, Class H (a) (b) (c) (f) | 1,326,646 | ||||||||
Lone Redwood, LP (a) (b) (c) (f) | 9,819,389 | ||||||||
Maverick Fund USA Ltd. (a) (b) (c) (f) | 25,387,498 | ||||||||
Nomad Investment Co. Ltd., Class A (a) (b) (c) (f) | 5,894 | 11,287,936 | |||||||
Nomad Investment Co. Ltd., Class R (a) (b) (c) (f) | 2,784 | 5,541,440 | |||||||
OZ Domestic Partners, LP (a) (b) (c) (f) | 15,314,215 | ||||||||
Regiment Capital Ltd. (a) (b) (c) (f) | 45,152 | 9,085,863 | |||||||
Tosca (a) (b) (c) (f) | 64,980 | 3,775,544 | |||||||
Tosca Asia (a) (b) (c) (f) | 231,455 | 16,807,821 | |||||||
Total Private Investment Funds (Cost $227,015,759) | 296,620,833 |
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Total Commingled Investment Vehicles (Cost $319,076,673) | $ | 398,271,948 | |||||||
Preferred Stocks — 0.2% | |||||||||
Anglo Platinum Ltd., 6.38% (South Africa) | 5,456 | 109,668 | |||||||
Citigroup Capital IX, 6.0% (United States) | 25,000 | 339,000 | |||||||
Hyundai Motor Co. Ltd., 3.98% (South Korea) | 33,140 | 781,705 | |||||||
Malaysian Airline System Berhad, 30.0% (Malaysia) | 40,000 | 8,649 | |||||||
Simon Property Group, Inc., 6.0% (United States) (a) | 22,400 | 1,055,040 | |||||||
South Financial Group, Inc., 10.0% (United States) (b) (c) | 231 | 41,022 | |||||||
South Financial Group, Inc., 49.0% (United States) (b) (c) | 769 | 136,562 | |||||||
Vale SA, 1.46% (Brazil) | 86,736 | 1,321,291 | |||||||
Total Preferred Stocks (Cost $4,274,676) | 3,792,937 | ||||||||
Purchased Options — 0.3% | |||||||||
EUR Put vs. Currencies (GBP Strike 0.7992, CHF Strike 1.5216, JPY Strike 139.82), Expiring 09/16/10 (a) (b) (c) | 50,000,000 | 161,250 | |||||||
S&P 500 Index (Strike 600), Expiring 12/19/09 (a) (b) (c) | 150,000 | 825,000 | |||||||
S&P 500 Index (Strike 700), Expiring 12/19/09 (a) (b) (c) | 150,000 | 2,025,000 | |||||||
S&P 500 Index (Strike 800), Expiring 12/19/09 (a) (b) (c) | 150,000 | 4,425,000 | |||||||
Total Purchased Options (Cost $10,026,500) | 7,436,250 |
![]() | ![]() | ![]() | |||||||
Number of Contracts | Value | ||||||||
Rights — 0.0% | |||||||||
Fortis, Expiring 07/14/14 (Belgium) (a) (b) | 131,425 | — | |||||||
Rio Tinto plc, Expiring 07/01/09 (United Kingdom) (a) | 8,216 | 95,294 | |||||||
Total Rights (Cost $151,860) | 95,294 | ||||||||
Warrants — 0.0% | |||||||||
Bank Pan Indonesia Tbk Warrants Expiring 07/10/09 (Indonesia) (a) | 2,753,514 | 66,090 | |||||||
Groupe Eurotunnel SA Registered Warrants Expiring 12/30/11 (France) (a) | 2,590,333 | 410,625 | |||||||
Matahari Putra Prima Tbk Warrants Expiring 07/12/10 (Indonesia) (a) | 530,600 | 1,091 | |||||||
Total Warrants (Cost $740,724) | 477,806 |
19
![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||
Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
Short-Term Investments — 27.0% | |||||||||||||||||
Repurchase Agreement — 7.3% | |||||||||||||||||
State Street Bank & Trust Co. Repurchase Agreement issued on 06/30/09 (proceeds at maturity $166,562,704) (collateralized by US Treasury Bills, due 08/13/09 through 08/20/09 with a total principal value of $169,580,000 and a total market value of $169,546,084) | |||||||||||||||||
(Cost $166,562,658) | 0.010% | 07/01/09 | $ | 166,562,658 | $ | 166,562,658 | |||||||||||
US Treasury Securities — 19.7% | |||||||||||||||||
US Treasury Bill (j) | 08/06/09 | 20,000,000 | 19,997,100 | ||||||||||||||
US Treasury Bill (j) | 08/20/09 | 38,000,000 | 37,991,716 | ||||||||||||||
US Treasury Bill (j) | 09/03/09 | 19,000,000 | 18,995,098 | ||||||||||||||
US Treasury Bill (j) | 09/10/09 | 15,000,000 | 14,995,125 | ||||||||||||||
US Treasury Bill (j) | 09/17/09 | 20,000,000 | 19,992,120 | ||||||||||||||
US Treasury Bill (j) | 09/24/09 | 40,000,000 | 39,983,480 | ||||||||||||||
US Treasury Bill (j) | 10/08/09 | 63,000,000 | 62,967,933 | ||||||||||||||
US Treasury Bill (j) | 10/15/09 | 39,000,000 | 38,978,199 | ||||||||||||||
US Treasury Bill (j) | 10/22/09 | 20,000,000 | 19,987,440 | ||||||||||||||
US Treasury Bill (j) | 10/29/09 | 20,000,000 | 19,987,340 | ||||||||||||||
US Treasury Bill (j)(g) | 11/12/09 | 57,000,000 | 56,949,099 | ||||||||||||||
US Treasury Bill (j) | 11/19/09 | 40,000,000 | 39,960,040 | ||||||||||||||
US Treasury Bill (j) | 11/27/09 | 20,000,000 | 19,977,240 | ||||||||||||||
US Treasury Bill (j) | 12/03/09 | 40,000,000 | 39,953,160 | ||||||||||||||
Total US Treasury Securities (Cost $450,615,072) | 450,715,090 | ||||||||||||||||
Total Short-Term Investments (Cost $617,177,730) | 617,277,748 | ||||||||||||||||
Total Investments — 106.2% (Cost $2,459,910,976) | 2,429,706,902 | ||||||||||||||||
Liabilities in Excess of Other Assets — (6.2%) | (141,769,754 | ) | |||||||||||||||
Net Assets — 100.0% | $ | 2,287,937,148 |
![]() | ![]() | ![]() | |||||||||||||||
![]() | ![]() | ![]() | |||||||||||||||
Number of Shares | Value | ||||||||||||||||
Securities Sold Short — (0.7%) | |||||||||||||||||
Common Stocks — (0.7%) | |||||||||||||||||
Commercial Services & Supplies — 0.0% | |||||||||||||||||
Regus plc (United Kingdom) | (422,500 | ) | $ | (452,552 | ) | ||||||||||||
Real Estate Investment Trusts (REITs) — (0.6%) | |||||||||||||||||
AMB Property Corp. | (28,700 | ) | (539,847 | ) | |||||||||||||
Associated Estates Realty Corp. | (107,400 | ) | (640,104 | ) | |||||||||||||
AvalonBay Communities, Inc. | (29,000 | ) | (1,622,260 | ) | |||||||||||||
Cominar Real Estate Investment Trust (Canada) | (43,900 | ) | (584,252 | ) | |||||||||||||
Equity Residential | (29,100 | ) | (646,893 | ) | |||||||||||||
Essex Property Trust, Inc. | (23,600 | ) | (1,468,628 | ) | |||||||||||||
Extra Space Storage, Inc. | (22,400 | ) | (187,040 | ) | |||||||||||||
Franklin Street Properties Corp. | (81,800 | ) | (1,083,850 | ) | |||||||||||||
Hospitality Properties Trust | (41,800 | ) | (497,002 | ) | |||||||||||||
HRPT Properties Trust | (201,000 | ) | (816,060 | ) | |||||||||||||
Mack-Cali Realty Corp. | (58,700 | ) | (1,338,360 | ) | |||||||||||||
Morguard Real Estate Investment Trust (Canada) | (69,500 | ) | (576,602 | ) | |||||||||||||
PS Business Parks, Inc. | (41,300 | ) | (2,000,571 | ) | |||||||||||||
Realty Income Corp. | (38,600 | ) | (846,112 | ) | |||||||||||||
Senior Housing Properties Trust | (50,700 | ) | (827,424 | ) | |||||||||||||
Tanger Factory Outlet Centers, Inc. | (24,700 | ) | (801,021 | ) | |||||||||||||
Urstadt Biddle Properties, Class A | (10,500 | ) | (147,840 | ) | |||||||||||||
Total Real Estate Investment Trusts (REITs) | (14,623,866 | ) | |||||||||||||||
Real Estate Management & Development — (0.1%) | |||||||||||||||||
China Overseas Land & Investment Ltd. (Hong Kong) | (682,400 | ) | (1,569,436 | ) | |||||||||||||
Total Common Stocks (Proceeds $15,891,331) | (16,645,854 | ) | |||||||||||||||
Total Securities Sold Short (Proceeds $15,891,331) | $ | (16,645,854 | ) |
20
ADR | American Depositary Reciept |
ADS | American Depositary Share |
CHF | Swiss franc |
CVA | Certificaaten van aandelen (share certificates) |
EAFE | Europe, Australasia, and Far East |
EUR | Euro |
FHLMC | Freddie Mac |
FNMA | Fannie Mae |
FRN | Floating Rate Note. Rate disclosed represents rate as of June 30, 2009. |
GBP | British pound |
IO | Interest-Only Security |
JSE | Johannesburg Stock Exchange |
JPY | Japanese yen |
LSE | London Stock Exchange |
MSCI | Morgan Stanley Capital International |
NYSE | New York Stock Exchange |
REIT | Real Estate Investment Trust |
SPADR | Sponsored ADR |
STEP | A bond that pays an initial coupon rate for the first period, and a higher coupon rate for the following periods. |
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, 2009. |
VVPR | Verminderde Voorheffing Précompte Réduit (France dividend coupon) |
* | Approximately 36% of the fund's total investments are maintained to cover “senior securities transactions” which may include, but are not limited to forwards, TBAs, options, and futures. These securities are marked-to-market daily and reviewed against the value of the fund’s “senior securities” holdings to maintain proper coverage for the transactions. |
(a) | Non income-producing security. |
(b) | Illiquid security. |
(c) | Security is valued in good faith under procedures established by the board of directors. The aggregate amount of securities fair valued amounts to $308,915,996, which represents 13.50% of the fund's net assets. |
(d) | 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”. |
(e) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(f) | Restricted Securities. The following restricted securities were held by the fund as of June 30, 2009, 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. The fund will bear any costs incurred in connection with the disposition of such securities. The fund monitors the acquisition of restricted securities and, to the extent that a restricted security is illiquid, will limit the purchase of such a restricted security, together with other illiquid securities held by the fund, to no more than 15% of the fund's net assets. All of the below securities are illiquid, with the exception of Canyon Value Realization Fund, LP. TIP’s valuation committee has deemed 21% of Canyon Value Realization Fund, LP to be illiquid in accordance with procedures approved by the TIP board of directors. The below list does not include securities eligible for resale without registration pursuant to Rule 144A under the Securities Act of 1933 that may also be deemed restricted. |
![]() | ![]() | ![]() | ![]() | |||||||||
Investment | Date of Acquisition | Cost | Value | |||||||||
Bell Aliant Regional Communications Income Fund | 07/11/06 | $ | 46,436 | $ | 35,295 | |||||||
Canyon Value Realization Fund, LP | 12/31/97 – 04/03/06 | 23,797,935 | 37,682,456 | |||||||||
Convexity Capital Offshore, LP | 02/16/06 | 42,000,000 | 58,299,806 | |||||||||
Eurocastle Investment Ltd. | 06/19/09 | 234,881 | 259,246 | |||||||||
Farallon Capital Institutional Partners, LP | 04/01/95 – 11/01/05 | 17,746,139 | 33,371,044 | |||||||||
Jazz Air Income Fund | 03/12/07 – 05/22/07 | 66,081 | 25,027 | |||||||||
Joho Partners, LP | 01/03/07 | 15,000,000 | 16,236,315 | |||||||||
Lansdowne UK Equity Fund Ltd. | 06/01/06 – 09/01/07 | 26,000,000 | 38,652,960 | |||||||||
Lone Cascade, LP | 01/03/06 – 01/02/08 | 13,788,000 | 11,751,987 | |||||||||
Lone Picea, LP, Class E | 01/02/09 | 964,000 | 914,871 | |||||||||
Lone Picea, LP, Class F | 01/03/05 | 1,617,000 | 1,365,042 | |||||||||
Lone Picea, LP, Class H | 01/02/03 – 01/02/04 | 1,315,000 | 1,326,646 |
21
![]() | ![]() | ![]() | ![]() | |||||||||
Investment | Date of Acquisition | Cost | Value | |||||||||
Lone Redwood, LP | 12/29/98 | 3,154,356 | 9,819,389 | |||||||||
Maverick Fund USA Ltd. | 01/03/06 – 10/01/07 | 20,000,000 | 25,387,498 | |||||||||
Nomad Investment Co. Ltd., Class A | 10/02/06 | 14,000,000 | 11,287,936 | |||||||||
Nomad Investment Co. Ltd., Class R | 02/01/08 | 8,000,000 | 5,541,440 | |||||||||
OZ Domestic Partners, LP | 12/31/01 – 09/30/03 | 9,000,000 | 15,314,215 | |||||||||
Regiment Capital Ltd. | 06/30/03 | 6,000,000 | 9,085,863 | |||||||||
Tosca | 12/30/03 – 07/30/04 | 4,633,329 | 3,775,544 | |||||||||
Tosca Asia | 03/01/07 | 20,000,000 | 16,807,821 | |||||||||
Total | $ | 296,940,401 |
(g) | Security or a portion thereof is held as initial margin for financial futures. |
(h) | Security or a portion thereof is held as collateral by the counterparty for reverse repurchase agreements. See Note 7 to the Notes to Financial Statements. |
(i) | Portfolio holdings information of the Private Investment Funds is not available as of June 30, 2009. These positions are therefore grouped into their own industry classification. |
(j) | Treasury bills and discount notes do not pay interest, but rather are purchased at a discount and mature at the stated principal amount. |
Summary Schedule of Investments
![]() | ![]() | |||
Common Stocks | 40.6 | % | ||
Short-Term Investments | 27.0 | % | ||
US Treasury Securities | 13.8 | % | ||
Private Investment Funds | 13.0 | % | ||
Mutual Funds | 4.2 | % | ||
Mortgage-Backed Securities | 3.9 | % | ||
Corporate Bonds | 1.9 | % | ||
Asset-Backed Securities | 1.1 | % | ||
Purchased Options | 0.3 | % | ||
Exchange-Traded Funds | 0.2 | % | ||
Preferred Stocks | 0.2 | % | ||
Warrants | 0.0 | % | ||
Rights | 0.0 | % | ||
Subordinated Convertible Notes | 0.0 | % | ||
Total Investments | 106.2 | % | ||
Securities Sold Short | (0.7 | )% | ||
Liabilities in Excess of Other Assets | (5.5 | )% | ||
Net Assets | 100.0 | % |
22
Financial Futures Contracts
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Number of Contracts | Type | Initial Notional Value/(Proceeds) | Notional Value at June 30, 2009 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long Financial Futures Contracts | ||||||||||||||||
225 | September 2009 ASX S&P 200 Index | $ | 17,651,687 | $ | 17,681,766 | $ | 30,079 | |||||||||
391 | September 2009 Australian Dollar | 31,296,896 | 31,393,390 | 96,494 | ||||||||||||
944 | September 2009 British Pound | 96,945,170 | 97,131,700 | 186,530 | ||||||||||||
426 | September 2009 CAC 40 Index | 18,976,336 | 18,717,263 | (259,073 | ) | |||||||||||
514 | September 2009 Canadian Dollar | 46,449,470 | 44,255,400 | (2,194,070 | ) | |||||||||||
16 | September 2009 DAX Index | 2,755,522 | 2,704,413 | (51,109 | ) | |||||||||||
395 | September 2009 Dow Jones EURO STOXX 50 Index | 13,327,936 | 13,287,928 | (40,008 | ) | |||||||||||
495 | September 2009 FTSE 100 Index | 34,979,326 | 34,350,286 | (629,040 | ) | |||||||||||
546 | September 2009 Japanese Yen | 69,778,390 | 70,898,100 | 1,119,710 | ||||||||||||
661 | September 2009 S&P 500 Index | 149,599,140 | 151,286,375 | 1,687,235 | ||||||||||||
219 | September 2009 Swiss Franc | 25,438,816 | 25,239,750 | (199,066 | ) | |||||||||||
511 | September 2009 Topix Index | 48,811,679 | 49,039,238 | 227,559 | ||||||||||||
258 | September 2009 TSE 60 Index | 27,897,388 | 27,819,593 | (77,795 | ) | |||||||||||
(102,554 | ) | |||||||||||||||
Short Financial Futures Contracts | ||||||||||||||||
21 | September 2009 5-Year Interest Rate Swap | (2,347,377 | ) | (2,375,625 | ) | (28,248 | ) | |||||||||
23 | September 2009 90-Day Eurodollar | (5,615,192 | ) | (5,711,475 | ) | (96,283 | ) | |||||||||
46 | September 2009 5-Year US Treasury Note | (5,330,134 | ) | (5,277,062 | ) | 53,072 | ||||||||||
39 | September 2009 10-Year US Treasury Note | (4,546,996 | ) | (4,534,359 | ) | 12,637 | ||||||||||
23 | December 2009 90-Day Eurodollar | (5,482,507 | ) | (5,697,963 | ) | (215,456 | ) | |||||||||
23 | March 2010 90-Day Eurodollar | (5,474,443 | ) | (5,682,438 | ) | (207,995 | ) | |||||||||
23 | June 2010 90-Day Eurodollar | (5,472,693 | ) | (5,661,163 | ) | (188,470 | ) | |||||||||
6 | September 2010 90-Day Eurodollar | (1,426,560 | ) | (1,471,200 | ) | (44,640 | ) | |||||||||
6 | December 2010 90-Day Eurodollar | (1,425,585 | ) | (1,465,425 | ) | (39,840 | ) | |||||||||
6 | March 2011 90-Day Eurodollar | (1,424,910 | ) | (1,460,325 | ) | (35,415 | ) | |||||||||
6 | June 2011 90-Day Eurodollar | (1,424,010 | ) | (1,455,300 | ) | (31,290 | ) | |||||||||
6 | September 2011 90-Day Eurodollar | (1,423,110 | ) | (1,450,800 | ) | (27,690 | ) | |||||||||
6 | December 2011 90-Day Eurodollar | (1,422,135 | ) | (1,446,600 | ) | (24,465 | ) | |||||||||
6 | March 2012 90-Day Eurodollar | (1,421,385 | ) | (1,443,675 | ) | (22,290 | ) | |||||||||
6 | June 2012 90-Day Eurodollar | (1,420,560 | ) | (1,440,900 | ) | (20,340 | ) | |||||||||
6 | September 2012 90-Day Eurodollar | (1,419,885 | ) | (1,438,650 | ) | (18,765 | ) | |||||||||
(935,478 | ) | |||||||||||||||
$ | (1,038,032 | ) |
Forward Currency Contracts
![]() | ![]() | ![]() | ![]() | |||||||||
Contract Amount | Unrealized Appreciation/ (Depreciation) | |||||||||||
Contract Settlement Date | Receive | Deliver | ||||||||||
07/08/2009 | Canadian Dollar 1,863,520 | US Dollar 1,648,403 | $ | (46,226 | ) |
23
Swap Contracts
![]() | ![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||||||||
Expiration Date | Counterparty | Pay | Receive | Notional Amount | Net Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Total Return Swap Contracts | ||||||||||||||||||||||||
Long Total Return Swap Contracts | ||||||||||||||||||||||||
08/06/2009 | Goldman Sachs International | (c) | 3 Month LIBOR plus a specified spread | MSCI AC World Daily | $ | 29,032,361 | $ | 219,647 | ||||||||||||||||
01/29/2010 | Goldman Sachs International | (c) | 3 Month LIBOR plus a specified spread | MSCI AC World Daily | 32,105,872 | 3,649,860 | ||||||||||||||||||
03/31/2010 | Goldman Sachs International | (c) | 1 Month LIBOR plus a specified spread | MSCI Daily TR Net Emerging Markets | 54,330,040 | 492,254 | ||||||||||||||||||
$ | 4,361,761 |
Written Option Contract Reconciliation as of June 30, 2009
![]() | ![]() | ![]() | ||||||
Number of Contracts | Premiums | |||||||
Outstanding at beginning of period | — | $ | — | |||||
Options Written | (500 | ) | (3,118,500 | ) | ||||
Options terminated in closing purchase transactions | (500 | ) | (3,118,500 | ) | ||||
Outstanding at end of period | — | $ | — |
Derivative Disclosure
The following tables provide quantitative disclosure about fair value amounts of and gains and losses on the fund’s derivative instruments as of June 30, 2009. See Note 3, Derivatives and Other Financial Instruments, for qualitative disclosures. These derivatives are not accounted for as hedging instruments under FASB Statement No. 133. The period-end notional amounts disclosed in the Schedule of Investments are representative of the fund’s derivative activity throughout the reporting period.
The following table lists the fair values of the fund’s derivative holdings as of June 30, 2009, grouped by contract type and risk exposure category as defined in FASB Statement No. 161.
![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||||||||
Derivative Type | Balance Sheet Location | Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Total | |||||||||||||||||||
Asset Derivatives | |||||||||||||||||||||||||
Rights | Investments, at value | $ | — | $ | — | $ | — | $ | 95,294 | $ | 95,294 | ||||||||||||||
Warrants | Investments, at value | — | — | — | 477,806 | 477,806 | |||||||||||||||||||
Options Purchased | Investments, at value | — | 161,250 | — | 7,275,000 | 7,436,250 | |||||||||||||||||||
Swap Contracts | Swap contracts, at value | — | — | — | 4,361,761 | 4,361,761 | |||||||||||||||||||
Futures Contracts | Variation margin* | 65,709 | 1,402,733 | — | 1,944,873 | 3,413,315 | |||||||||||||||||||
Total Value – Assets | $65,709 | $1,563,983 | $— | $14,154,734 | $15,784,426 | ||||||||||||||||||||
Liability Derivatives | |||||||||||||||||||||||||
Futures Contracts | Variation margin* | $ | (1,001,187 | ) | $ | (2,393,136 | ) | $ | — | $ | (1,057,024 | ) | $ | (4,451,347 | ) | ||||||||||
Forward Contracts | Liabilities, Forward Contracts | — | (46,226 | ) | — | — | (46,226 | ) | |||||||||||||||||
Total Value – Liabilities | $(1,001,187) | $(2,439,362) | $— | $(1,057,024) | $(4,497,573) |
* | Cumulative appreciation (depreciation) of futures contracts is reported in the Schedule of Investments. Only current day's variation margin is reported within the Statement of Assets and Liabilities. |
24
The following table lists the amounts of gains or losses included in net increase in net assets resulting from operations for the six months ended June 30, 2009, grouped by contract type and risk exposure category as defined in FASB Statement No. 161.
![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||||||||
Derivative Type | Income Statement Location | Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Total | |||||||||||||||||||
Realized Gain (Loss) | |||||||||||||||||||||||||
Rights | Net realized gain (loss) from Investments | $ | — | $ | — | $ | — | $ | (1,702,148 | ) | $ | (1,702,148 | ) | ||||||||||||
Warrants | Net realized gain (loss) from Investments | — | — | — | — | — | |||||||||||||||||||
Options Purchased | Net realized gain (loss) from Investments | — | (1,015,500 | ) | — | — | (1,015,500 | ) | |||||||||||||||||
Options Written | Net realized gain (loss) from Options written | — | — | — | 2,508,733 | 2,508,733 | |||||||||||||||||||
Swap Contracts | Net realized gain (loss) from Swap agreements | — | — | 2,345,854 | 20,564,090 | 22,909,944 | |||||||||||||||||||
Futures Contracts | Net realized gain (loss) from Futures contracts | 526,746 | 15,005,504 | — | 26,787,531 | 42,319,781 | |||||||||||||||||||
Forward Contracts | Net realized gain (loss) from Forward contracts | — | 15,190 | — | — | 15,190 | |||||||||||||||||||
Total Realized Gain (Loss) | $526,746 | $14,005,194 | $2,355,364 | $48,612,203 | $65,036,000 |
The following table lists the change in unrealized appreciation (depreciation) included in net increase in net assets resulting from operations for the six months ended June 30, 2009, grouped by contract type and risk exposure category as defined in FASB Statement No. 161.
![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||||||||
Derivative Type | Income Statement Location | Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Total | |||||||||||||||||||
Change in Appreciation (Depreciation) | |||||||||||||||||||||||||
Rights | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | $ | — | $ | — | $ | — | $ | (56,566 | ) | $ | (56,566 | ) | ||||||||||||
Warrants | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | — | — | — | 282,551 | 282,551 | |||||||||||||||||||
Options Purchased | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | — | (389,230 | ) | — | (2,251,500 | ) | (2,640,730 | ) | ||||||||||||||||
Swap Contracts | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | — | — | (1,396,979 | ) | 1,721,961 | 324,982 | ||||||||||||||||||
Futures Contracts | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | 555,645 | (11,578,435 | ) | — | (4,695,984 | ) | (15,718,774 | ) | ||||||||||||||||
Forward Contracts | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | — | (46,226 | ) | — | — | (46,226 | ) | |||||||||||||||||
Total Change in Appreciation (Depreciation) | $555,645 | $(12,013,891) | $(1,396,979) | $(4,999,538) | $(17,854,763) |
See accompanying Notes to Financial Statements.
25
Statement of Assets and Liabilities (unaudited) |
![]() | ![]() | |||
June 30, 2009 | ||||
Assets | ||||
Investments in securities, at value (cost: $2,293,348,318) | $ | 2,263,144,244 | ||
Repurchase agreements (cost: $166,562,658) | 166,562,658 | |||
Deposits with brokers for securities sold short | 17,346,625 | |||
Cash denominated in foreign currencies (cost: $167,240) | 166,672 | |||
Receivables for: | ||||
Investment securities sold | 185,209,242 | |||
Interest | 3,683,743 | |||
Dividends and tax reclaims | 2,728,185 | |||
Capital stock sold | 962,630 | |||
Swap contracts, at value | 4,361,761 | |||
Other assets | 836,666 | |||
Total Assets | 2,645,002,426 | |||
Liabilities | ||||
Reverse repurchase agreements (Note 7) | 84,953,250 | |||
Securities sold short, at value (proceeds: $15,891,331) | 16,645,854 | |||
Due to broker for futures variation margin | 2,749,276 | |||
Payable for: | ||||
Capital stock redeemed | 39,800 | |||
Investment securities purchased | 245,803,638 | |||
Accrued expenses and other liabilities | 684,287 | |||
Money manager fees | 707,691 | |||
Dividends payable for short sales | 278,463 | |||
Distributions | 5,156,793 | |||
Unrealized depreciation on forward currency contracts | 46,226 | |||
Total Liabilities | 357,065,278 | |||
Net Assets | $ | 2,287,937,148 | ||
Shares Outstanding (1,000,000,000 authorized shares, par value $0.001 for each fund) | 183,040,068 | |||
Net Asset Value Per Share | $ | 12.50 | ||
Components of Net Assets: | ||||
Capital stock | $ | 2,671,602,351 | ||
Distributions in excess of net investment income | (81,215,790 | ) | ||
Accumulated net realized loss on investments | (275,618,119 | ) | ||
Net unrealized depreciation on investments and foreign currencies | (26,831,294 | ) | ||
$ | 2,287,937,148 |
See accompanying Notes to Financial Statements.
26
Statement of Operations (unaudited) |
![]() | ![]() | |||
For the Six Months Ended June 30, 2009 | ||||
Investment Income | ||||
Interest | $ | 1,199,522 | ||
Dividends (net of foreign withholding taxes of $720,808) | 15,883,018 | |||
Total Investment Income | 17,082,540 | |||
Operating Expenses | ||||
Investment advisory fees | 1,666,495 | |||
Money manager fees | 2,282,093 | |||
Fund administration fees | 804,258 | |||
Professional fees | 213,486 | |||
Consulting and tax services fees | 38,260 | |||
Chief compliance officer fees | 71,726 | |||
Insurance | 38,240 | |||
Registration and filing fees | 14,869 | |||
Director fees | 23,943 | |||
Interest (Note 7) | 52,763 | |||
Dividends on securities sold short | 372,664 | |||
Miscellaneous fees and other | 61,767 | |||
Total Operating Expenses | 5,640,564 | |||
Net Investment Income | 11,441,976 | |||
Net Realized Gain (Loss) from: | ||||
Investments (net of foreign withholding taxes on capital gains of $3,082,277) | (140,915,737 | ) | ||
Short sales | 3,082,277 | |||
Swap agreements | 22,909,944 | |||
Financial futures contracts | 42,319,781 | |||
Forward currency contracts and foreign currency-related transactions | 525,116 | |||
Options written | 2,508,733 | |||
Net Realized Loss | (69,569,886 | ) | ||
Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies | 234,625,148 | |||
Net Realized and Unrealized Gain on Investments and Foreign Currencies | 165,055,262 | |||
Net Increase in Net Assets Resulting from Operations | $ | 176,497,238 |
See accompanying Notes to Financial Statements.
27
Statement of Changes in Net Assets |
![]() | ![]() | ![]() | ||||||
Six Months Ended June 30, 2009 (Unaudited) | Year Ended December 31, 2008 | |||||||
Increase in Net Assets From Operations | ||||||||
Net investment income | $ | 11,441,976 | $ | 63,551,222 | ||||
Net realized gain (loss) on investments and foreign currencies | (69,569,886 | ) | (164,629,698 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 234,625,148 | (616,133,353 | ) | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 176,497,238 | (717,211,829 | ) | |||||
Distributions | ||||||||
From net investment income | (13,239,170 | ) | (60,242,773 | ) | ||||
From net realized gains | — | (8,553,225 | ) | |||||
Return of capital | (22,931,866 | ) | (49,722,294 | ) | ||||
Decrease in Net Assets Resulting from Distributions | (36,171,036 | ) | (118,518,292 | ) | ||||
Capital Share Transactions | ||||||||
Proceeds from shares sold | 122,829,271 | 745,817,759 | ||||||
Proceeds from distributions reinvested | 22,314,162 | 76,276,556 | ||||||
Entry/exit fees | 1,007,293 | 4,397,478 | ||||||
Cost of shares redeemed | (78,012,055 | ) | (129,930,140 | ) | ||||
Net Increase From Capital Shares Transactions | 68,138,671 | 696,561,653 | ||||||
Total Increase (Decrease) in Net Assets | 208,464,873 | (139,168,468 | ) | |||||
Net Assets | ||||||||
Beginning of period | 2,079,472,275 | 2,218,640,743 | ||||||
End of period | $ | 2,287,937,148 | $ | 2,079,472,275 | ||||
Including undistributed (distributions in excess of) net investment income | $ | (81,215,790 | ) | $ | (56,486,730 | ) | ||
Capital Share Transactions (in shares) | ||||||||
Shares sold | 10,622,752 | 48,615,387 | ||||||
Shares reinvested | 1,974,182 | 5,657,328 | ||||||
Shares redeemed | (7,322,796 | ) | (9,723,848 | ) | ||||
Net Increase | 5,274,138 | 44,548,867 |
See accompanying Notes to Financial Statements.
28
Statement of Cash Flows (unaudited) |
![]() | ![]() | |||
Six Months Ended June 30, 2009 | ||||
Cash flows from operating activities | ||||
Net increase (decrease) in net assets resulting from operations | $ | 176,497,238 | ||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||
Investments purchased | (1,131,940,293 | ) | ||
Investments sold | 1,053,682,959 | |||
Purchases to cover securities sold short | (21,623,820 | ) | ||
Securities sold short | 28,582,344 | |||
(Purchase)/Sale of short term investments, net | (58,308,578 | ) | ||
Amortization (accretion) of discount and premium, net | 5,085,121 | |||
Increase in foreign currency | (18,655 | ) | ||
Increase in interest receivable | (741,180 | ) | ||
Increase in dividends and tax reclaims receivable | (855,419 | ) | ||
Increase in deposit at brokers for securities sold short | (1,994,292 | ) | ||
(Decrease) in interest payable | (4,095 | ) | ||
Increase in dividends payable for securities sold short | 167,368 | |||
Decrease in variation margin on financial futures contracts | 5,140,699 | |||
Increase in accrued expenses and other liabilities | 839,769 | |||
Net realized (gain) loss | 135,324,727 | |||
Net change in unrealized (appreciation) depreciation on investments | (251,503,741 | ) | ||
Net cash from (used in) operating activities | (61,669,848 | ) | ||
Cash flows from (used in) financing activities | ||||
Proceeds from shares sold | 122,483,874 | |||
Payment on shares redeemed | (77,582,195 | ) | ||
Cash distributions paid | (8,700,081 | ) | ||
Increase (decrease) in payable for reverse repurchase agreements | 25,468,250 | |||
Net cash from (used in) financing activities | 61,669,848 | |||
Net increase (decrease) in cash | ||||
Cash at beginning of period | — | |||
Cash at end of period | $ | — | ||
Non cash financing activities not included herein consist of reinvestment of all distributions of: | $ | 22,314,162 | ||
Interest paid: | $ | 56,858 |
See accompanying Notes to Financial Statements.
29
Fund Expenses (Unaudited) |
As a shareholder of a fund, you incur two types of costs: (1) transactions costs, including entry and exit fees; and (2) ongoing costs, including management fees and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2009 to June 30, 2009.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this 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 first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the 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 for the period. You may use this information to compare the ongoing costs of investing in the 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 table are meant to highlight your ongoing costs only and do not reflect any transactions costs, such as entry fees or exit fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactions costs were included, your costs would have been higher.
![]() | ![]() | ![]() | ![]() | |||||||||
Beginning Account Value 1/1/09 | Ending Account Value 6/30/09 | Expenses Paid During the Period* 1/1/09 – 6/30/09 | ||||||||||
1) Actual | $1,000 | $1,103.10 | $7.14 | |||||||||
2) Hypothetical | $1,000 | $1,018.00 | $6.85 |
* | Expenses are equal to the fund’s annualized expense ratio of 1.37% (calculated over a six-month period, which may differ from the fund’s actual expense ratio for the full year), 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 in the commingled investment vehicles’ total return. |
30
Financial Highlights |
![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||||||||
Six Months Ended 6/30/09 (unaudited) | Year Ended 12/31/08 | Year Ended 12/31/07 | Year Ended 12/31/06 | Year Ended 12/31/05 | Year Ended 12/31/04 | |||||||||||||||||||
For a share outstanding throughout each period | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.31 | $ | 17.65 | $ | 17.18 | $ | 14.76 | $ | 13.30 | $ | 11.16 | ||||||||||||
Income from investment operations | ||||||||||||||||||||||||
Net investment income | 0.04 | 0.15 | 0.56 | 0.39 | 0.27 | 0.15 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.91 | (7.64 | ) | 2.37 | 3.77 | 1.67 | 2.31 | |||||||||||||||||
Total from investment operations | 0.95 | (7.49 | ) | 2.93 | 4.16 | 1.94 | 2.46 | |||||||||||||||||
Less distributions from | ||||||||||||||||||||||||
Net investment income | — | (0.02 | ) | (0.98 | ) | (0.70 | ) | (0.50 | ) | (0.34 | ) | |||||||||||||
Net realized gains | — | (0.86 | ) | (1.53 | ) | (1.06 | ) | — | — | |||||||||||||||
Total distributions | — | (0.88 | ) | (2.51 | ) | (1.76 | ) | (0.50 | ) | (0.34 | ) | |||||||||||||
Entry/exit fee per share (a) | 0.01 | 0.03 | 0.05 | 0.02 | 0.02 | 0.02 | ||||||||||||||||||
Net asset value, end of period | $ | 10.27 | $ | 9.31 | $ | 17.65 | $ | 17.18 | $ | 14.76 | $ | 13.30 | ||||||||||||
Total return (b) | 10.31 | %(c) | (42.92 | )% | 17.43 | % | 28.74 | % | 14.94 | % | 22.51 | % | ||||||||||||
Ratios/Supplemental data | ||||||||||||||||||||||||
Net assets, end of period (000s) | $ | 184,209 | $ | 180,348 | $ | 400,168 | $ | 295,808 | $ | 241,536 | $ | 195,207 | ||||||||||||
Ratio of expenses to average net assets (d) | 1.37 | %(e) | 0.80 | % | 0.77 | % | 0.67 | % | 0.90 | % | 1.19 | % | ||||||||||||
Ratio of expenses to average net assets before expense waivers (d) | 1.37 | %(e) | 0.80 | % | 0.77 | % | 0.67 | % | 0.92 | % | 1.21 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.92 | %(e) | 2.34 | % | 1.91 | % | 2.10 | % | 1.83 | % | 1.18 | % | ||||||||||||
Portfolio turnover | 5.86 | %(c) | 17.44 | % | 15.95 | % | 15.60 | % | 13.93 | % | 55.17 | % |
(a) | Calculation based on average shares outstanding. |
(b) | 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. For certain periods, total return would have been lower had certain expenses not been waived. |
(c) | Not annualized. |
(d) | The expense ratio does not include the fees and expenses associated with investments made in commingled investment vehicles; such fees and expenses are reflected in the commingled investment vehicles’ total return. |
(e) | Annualized. |
See accompanying Notes to Financial Statements.
31
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Investments — 98.9% of net assets | ||||||||
Common Stocks — 69.4% | ||||||||
Australia — 4.4% | ||||||||
Alumina Ltd. | 168,452 | $ | 193,347 | |||||
Amcor Ltd. | 192,744 | 773,874 | ||||||
Australia and New Zealand Banking Group Ltd. | 28,899 | 382,035 | ||||||
Bhp Billiton Ltd. | 16,976 | 465,268 | ||||||
Caltex Australia Ltd. | 21,151 | 234,997 | ||||||
Foster's Group Ltd. | 339,362 | 1,406,570 | ||||||
National Australia Bank Ltd. | 72,486 | 1,305,044 | ||||||
Santos Ltd. | 49,084 | 576,615 | ||||||
Telstra Corp. Ltd. | 638,750 | 1,742,872 | ||||||
Wesfarmers Ltd. | 57,503 | 1,046,766 | ||||||
8,127,388 | ||||||||
Austria — 0.1% | ||||||||
Bwin Interactive Entertainment AG (a) | 853 | 37,276 | ||||||
Oesterreichische Post AG | 2,035 | 58,428 | ||||||
95,704 | ||||||||
Belgium — 0.2% | ||||||||
Fortis — Xlon Shares (a) | 87,050 | 296,789 | ||||||
Fortis, Strip Vvpr (a) (b) | 39,122 | 55 | ||||||
296,844 | ||||||||
Brazil — 0.3% | ||||||||
Companhia De Concessoes Rodoviarias | 13,600 | 218,141 | ||||||
Redecard SA | 25,000 | 384,665 | ||||||
602,806 | ||||||||
Canada — 1.1% | ||||||||
AbitibiBowater, Inc. | 12,095 | 6,343 | ||||||
Ace Aviation Holdings, Inc., Class A (a) | 7,115 | 32,420 | ||||||
BCE, Inc. | 4,724 | 97,473 | ||||||
Bell Aliant Regional Communications Income Fund (b) (c) (d) | 565 | 12,800 | ||||||
Bombardier, Inc., Class B | 187,533 | 556,239 | ||||||
Catalyst Paper Corp. (a) | 91,463 | 13,368 | ||||||
Fraser Papers, Inc. (a) | 16,670 | 932 | ||||||
Groupe Aeroplan, Inc. | 5,895 | 41,812 | ||||||
Imperial Oil Ltd. | 13,506 | 523,914 | ||||||
Jazz Air Income Fund (b) (c) (d) | 3,206 | 9,041 | ||||||
Onex Corp. | 3,094 | 53,200 | ||||||
Rogers Communications, Inc., Class B | 28,950 | 744,190 | ||||||
2,091,732 | ||||||||
China — 0.7% | ||||||||
China Construction Bank Corp., Class H | 691,000 | 533,332 | ||||||
China Shenhua Energy Co. Ltd. | 166,000 | 604,897 | ||||||
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Tsingtao Brewery Co. Ltd. | 75,000 | $ | 237,594 | |||||
1,375,823 | ||||||||
Denmark — 0.9% | ||||||||
Carlsberg A/S, Class B | 1,325 | 85,168 | ||||||
Coloplast A/S, Class B | 4,544 | 313,082 | ||||||
Gn Store Nord A/S (GN Great Nordic) (a) | 60,259 | 241,106 | ||||||
Novo Nordisk A/S, Class B | 1,242 | 67,505 | ||||||
Vestas Wind Systems A/S (a) | 8,971 | 644,906 | ||||||
William Demant Holding (a) | 7,496 | 387,981 | ||||||
1,739,748 | ||||||||
Finland — 0.9% | ||||||||
Metso Oyj | 21,683 | 406,149 | ||||||
Sampo Oyj, Class A | 33,024 | 623,177 | ||||||
Tieto Oyj | 8,860 | 118,059 | ||||||
Upm-Kymmene Oyj | 46,282 | 403,364 | ||||||
Wartsila Oyj Corp. | 1,508 | 48,712 | ||||||
1,599,461 | ||||||||
France — 5.6% | ||||||||
Atos Origin SA (a) | 3,776 | 128,201 | ||||||
AXA SA | 16,733 | 316,343 | ||||||
BNP Paribas | 6,862 | 445,302 | ||||||
Carrefour SA | 52,804 | 2,258,817 | ||||||
Compagnie de Saint-Gobain | 33,431 | 1,117,812 | ||||||
France Telecom SA | 52,426 | 1,191,130 | ||||||
GDF Suez, Strip VVPR (a) (b) | 6,615 | 9 | ||||||
Groupe Eurotunnel SA Registered (a) | 9,547 | 54,236 | ||||||
Lagardere S.C.A. | 1,236 | 41,139 | ||||||
Legrand SA | 13,323 | 291,069 | ||||||
Neopost SA | 4,470 | 401,961 | ||||||
SA des Ciments Vicat | 911 | 52,402 | ||||||
Sanofi-Aventis | 8,156 | 479,664 | ||||||
SCOR SE | 13,210 | 271,294 | ||||||
Societe Generale, Class A | 16,451 | 897,557 | ||||||
Thales SA | 9,751 | 436,362 | ||||||
Total SA | 34,446 | 1,865,670 | ||||||
10,248,968 | ||||||||
Germany — 3.1% | ||||||||
BASF SE | 12,808 | 510,865 | ||||||
Bayerische Motoren Werke AG | 6,465 | 244,164 | ||||||
Daimler AG Registered | 13,580 | 491,351 | ||||||
Deutsche Post AG | 9,248 | 120,874 | ||||||
Deutsche Telekom AG | 102,913 | 1,216,281 | ||||||
E.ON AG | 13,287 | 471,613 | ||||||
Fresenius Medical Care AG & Co. | 10,269 | 458,290 | ||||||
Fresenius Medical Care AG & Co. — ADR | 7,467 | 336,015 | ||||||
RWE AG | 23,794 | 1,878,404 | ||||||
5,727,857 |
32
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Hong Kong — 4.1% | ||||||||
Asia Satellite Telecommunications Holdings Ltd. | 15,000 | $ | 17,113 | |||||
China Mobile Ltd. | 42,000 | 421,149 | ||||||
Cosco Pacific Ltd. | 370,000 | 415,237 | ||||||
First Pacific Co. | 456,000 | 263,443 | ||||||
Genting Singapore plc (a) | 65,020 | 30,524 | ||||||
Henderson Land Development Co. | 48,000 | 274,612 | ||||||
Hong Kong & Shanghai Hotels Ltd. (The) | 150,503 | 152,583 | ||||||
Hong Kong Aircraft Engineering Co. Ltd. | 13,000 | 152,095 | ||||||
Hongkong Electric Holdings Ltd. | 138,000 | 767,641 | ||||||
i-Cable Communications Ltd. (a) | 416,000 | 38,657 | ||||||
Jardine Matheson Holdings Ltd. | 59,920 | 1,639,338 | ||||||
Jardine Strategic Holdings Ltd. | 61,812 | 909,551 | ||||||
Midland Holdings Ltd. | 138,000 | 83,054 | ||||||
New World Development Ltd. | 380,851 | 687,464 | ||||||
Next Media Ltd. | 308,000 | 42,143 | ||||||
Silver Grant International Ltd. | 140,000 | 20,858 | ||||||
SmarTone Telecommunications Holdings Ltd. | 141,978 | 87,607 | ||||||
Television Broadcasts Ltd. | 53,000 | 213,840 | ||||||
Wharf (Holdings) Ltd. (The) | 256,392 | 1,083,908 | ||||||
Wheelock & Co. Ltd. | 80,000 | 205,854 | ||||||
7,506,671 | ||||||||
Indonesia — 0.4% | ||||||||
Bank Pan Indonesia Tbk PT (a) | 3,267,403 | 210,611 | ||||||
Bank Permata Tbk PT (a) | 5,572 | 328 | ||||||
Citra Marga Nusaphala Persada Tbk PT | 156,500 | 14,374 | ||||||
Gudang Garam Tbk PT | 74,500 | 91,467 | ||||||
Indofood Sukses Makmur Tbk PT | 524,500 | 96,101 | ||||||
Matahari Putra Prima Tbk PT (a) | 1,204,600 | 84,810 | ||||||
Mulia Industrindo Tbk PT (a) (b) | 221,500 | 6,401 | ||||||
Semen Gresik (Persero) Tbk PT (a) | 624,000 | 298,372 | ||||||
802,464 | ||||||||
Ireland — 0.2% | ||||||||
DCC plc | 3,261 | 67,342 | ||||||
Fyffes plc | 180,306 | 83,650 | ||||||
Independent News & Media plc | 148,180 | 51,960 | ||||||
Paddy Power plc | 2,404 | 56,098 | ||||||
Total Produce plc | 79,313 | 34,510 | ||||||
293,560 | ||||||||
Italy — 2.0% | ||||||||
Banco Popolare Societa Cooperativa (a) | 13,698 | 102,292 | ||||||
Fiat SpA (a) | 52,792 | 535,559 | ||||||
Finmeccanica SpA | 4,036 | 56,952 | ||||||
Intesa Sanpaolo (a) | 322,850 | 1,046,735 | ||||||
Luxottica Group SpA — SPADR (a) | 21,353 | 443,715 | ||||||
Natuzzi SpA — SPADR (a) | 6,600 | 12,540 |
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Saipem SpA | 24,992 | $ | 610,067 | |||||
Unicredit SpA (a) | 317,072 | 812,328 | ||||||
3,620,188 | ||||||||
Japan — 16.0% | ||||||||
Ajinomoto Co., Inc. | 36,000 | 284,476 | ||||||
Alfresa Holdings Corp. | 4,600 | 211,726 | ||||||
Astellas Pharma, Inc. | 38,900 | 1,374,105 | ||||||
Bank of Yokohama Ltd. (The) | 46,000 | 245,006 | ||||||
Canon, Inc. | 52,550 | 1,710,343 | ||||||
Dai Nippon Printing Co. Ltd. | 24,000 | 328,085 | ||||||
Dai-Dan Co. Ltd. | 19,000 | 93,653 | ||||||
Dainippon Sumitomo Pharma Co. Ltd. | 14,900 | 130,207 | ||||||
Denso Corp. | 11,100 | 282,958 | ||||||
East Japan Railway Co. | 4,900 | 295,061 | ||||||
Fukuoka Financial Group, Inc. | 75,000 | 334,434 | ||||||
Hitachi Chemical Co. Ltd. | 27,400 | 440,378 | ||||||
Hitachi Ltd. | 81,000 | 250,876 | ||||||
Hitachi Metals Ltd. | 10,000 | 84,401 | ||||||
Isetan Mitsukoshi Holdings Ltd. | 36,000 | 365,506 | ||||||
JS Group Corp. | 28,100 | 432,699 | ||||||
Kao Corp. | 89,000 | 1,939,604 | ||||||
Kawasaki Heavy Industries Ltd. | 135,000 | 370,000 | ||||||
KDDI Corp. | 292 | 1,548,114 | ||||||
Kinden Corp. | 16,000 | 140,191 | ||||||
Kyowa Hakko Kirin Co. Ltd. | 37,000 | 417,297 | ||||||
Marui Group Co. Ltd. | 24,900 | 174,632 | ||||||
Matsushita Electric Works Ltd. | 47,772 | 450,952 | ||||||
Millea Holdings, Inc. | 40,900 | 1,123,305 | ||||||
Mitsubishi Corp. | 22,500 | 413,217 | ||||||
Mitsubishi Tanabe Pharma Corp. | 19,000 | 218,355 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 95,900 | 589,516 | ||||||
Mizuho Financial Group, Inc. | 131,000 | 304,679 | ||||||
Namco Bandai Holdings, Inc. | 22,400 | 245,697 | ||||||
Nec Corp. (a) | 5,000 | 19,521 | ||||||
Nippon Meat Packers, Inc. | 9,000 | 113,506 | ||||||
Nippon Oil Corp. | 38,000 | 223,670 | ||||||
Nippon Suisan Kaisha Ltd. | 53,100 | 139,104 | ||||||
Nippon Telegraph & Telephone Corp. | 14,900 | 606,250 | ||||||
Nitto Denko Corp. | 20,800 | 630,270 | ||||||
NSK Ltd. | 38,000 | 191,835 | ||||||
NTT Data Corp. | 48 | 154,786 | ||||||
NTT DoCoMo, Inc. | 233 | 340,304 | ||||||
Obayashi Corp. | 44,000 | 215,205 | ||||||
OMRON Corp. | 13,000 | 186,931 | ||||||
Onward Holdings Co. Ltd. | 24,000 | 154,554 | ||||||
Secom Co. Ltd. | 10,900 | 442,129 | ||||||
Sekisui House Ltd. | 88,000 | 889,535 | ||||||
Seven & I Holdings Co. Ltd. | 59,860 | 1,404,384 | ||||||
Shimizu Corp. | 40,000 | 173,646 | ||||||
Shiseido Co. Ltd. | 13,000 | 212,706 | ||||||
Sompo Japan Insurance, Inc. | 44,000 | 292,121 | ||||||
Sony Corp. | 10,500 | 271,240 |
33
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Sumitomo Electric Industries Ltd. | 48,500 | $ | 543,694 | |||||
Sumitomo Forestry Co. Ltd. | 29,400 | 247,647 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 10,300 | 416,515 | ||||||
Taiyo Nippon Sanso Corp. | 33,000 | 313,931 | ||||||
Takeda Pharmaceutical Co. Ltd. | 47,500 | 1,845,690 | ||||||
TDK Corp. | 2,400 | 112,185 | ||||||
Tokyo Electric Power Co., Inc. (The) | 8,900 | 228,766 | ||||||
Tokyo Electron Ltd. | 2,600 | 124,879 | ||||||
Tokyo Gas Co. Ltd. | 124,000 | 443,304 | ||||||
Tokyo Ohka Kogyo Co. Ltd. | 5,900 | 113,696 | ||||||
Toyo Seikan Kaisha Ltd. | 15,300 | 322,443 | ||||||
Toyota Motor Corp. | 32,600 | 1,232,420 | ||||||
West Japan Railway Co. | 303 | 1,001,161 | ||||||
Yamada Denki Co. Ltd. | 3,920 | 227,756 | ||||||
Yamato Holdings Co. Ltd. | 48,000 | 637,729 | ||||||
YASKAWA Electric Corp. | 33,000 | 218,742 | ||||||
29,491,728 | ||||||||
Luxembourg — 0.4% | ||||||||
ArcelorMittal | 21,093 | 692,730 | ||||||
Malaysia — 0.7% | ||||||||
AMMB Holdings Berhad | 164,887 | 158,061 | ||||||
British American Tobacco Malaysia Berhad | 10,600 | 134,825 | ||||||
Bumiputra-Commerce Holdings Berhad | 139,499 | 358,656 | ||||||
Carlsberg Brewery Malaysia Berhad | 25,000 | 26,865 | ||||||
Genting Malaysia Berhad | 422,400 | 323,056 | ||||||
Malaysian Airline System Berhad (a) | 50,100 | 43,546 | ||||||
Multi-Purpose Holdings Berhad | 115,400 | 46,072 | ||||||
Sime Darby Berhad | 91,852 | 181,102 | ||||||
1,272,183 | ||||||||
Mexico — 0.3% | ||||||||
America Movil SA de CV, Series L — ADR | 1,625 | 62,920 | ||||||
Grupo Televisa SA — SPADR | 28,100 | 477,700 | ||||||
Telefonos de Mexico SAB de CV, Series L — SPADR | 1,300 | 21,073 | ||||||
Telmex Internacional SAB de CV, Series L — ADR | 1,600 | 20,240 | ||||||
581,933 | ||||||||
Netherlands — 3.1% | ||||||||
Heineken NV | 12,091 | 449,229 | ||||||
Ing Groep NV — CVA | 52,256 | 525,962 | ||||||
Koninklijke (Royal) KPN NV | 34,358 | 473,309 | ||||||
Koninklijke (Royal) Philips Electronics NV | 12,391 | 229,126 | ||||||
Koninklijke Boskalis Westminster NV — CVA | 13,850 | 314,062 | ||||||
Reed Elsevier NV | 77,114 | 850,436 | ||||||
Royal Dutch Shell plc, Class A | 82,952 | 2,071,371 | ||||||
Royal Dutch Shell plc, Class B | 19,813 | 500,206 |
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Wolters Kluwer NV | 13,972 | $ | 244,483 | |||||
5,658,184 | ||||||||
New Zealand — 0.3% | ||||||||
PGG Wrightson Ltd. | 138,690 | 101,102 | ||||||
Telecom Corp. of New Zealand Ltd. | 301,290 | 529,375 | ||||||
630,477 | ||||||||
Norway — 0.3% | ||||||||
DNB NOR ASA (a) | 28,888 | 221,181 | ||||||
StatoilHydro ASA | 13,000 | 256,801 | ||||||
477,982 | ||||||||
Philippines (The) — 1.0% | ||||||||
ABS-CBN Holdings Corp. | 376,400 | 169,249 | ||||||
Ayala Corp. | 101,539 | 555,782 | ||||||
Banco De Oro Unibank, Inc. | 68,000 | 44,402 | ||||||
Benpres Holdings Corp. (a) | 1,219,000 | 49,876 | ||||||
DMCI Holdings, Inc. | 394,000 | 53,109 | ||||||
Globe Telecom, Inc. | 20,650 | 405,731 | ||||||
Jollibee Foods Corp. | 102,500 | 104,322 | ||||||
Philippine Long Distance Telephone Co. — SPADR | 8,400 | 417,648 | ||||||
1,800,119 | ||||||||
Poland — 0.2% | ||||||||
Bank Pekao SA (a) | 12,191 | 440,661 | ||||||
Russia — 0.3% | ||||||||
Lukoil OAO — SPADR | 14,000 | 621,180 | ||||||
Singapore — 1.9% | ||||||||
Great Eastern Holdings Ltd. | 37,000 | 268,462 | ||||||
GuocoLeisure Ltd. | 233,000 | 61,734 | ||||||
Mandarin Oriental International Ltd. | 50,881 | 67,585 | ||||||
Oversea-Chinese Banking Corp. | 159,492 | 733,425 | ||||||
Singapore Telecommunications Ltd. | 679,000 | 1,401,139 | ||||||
STATS Chippac Ltd. (a) | 367,000 | 158,716 | ||||||
United Industrial Corp. Ltd. | 28,000 | 34,661 | ||||||
United Overseas Bank Ltd. | 67,000 | 676,802 | ||||||
Yellow Pages Singapore Ltd. | 74,000 | 17,062 | ||||||
3,419,586 | ||||||||
South Africa — 0.8% | ||||||||
Anglo Platinum Ltd. | 994 | 70,480 | ||||||
AngloGold Ashanti Ltd. | 987 | 36,195 | ||||||
City Lodge Hotels Ltd. | 3,166 | 28,372 | ||||||
Clicks Group Ltd. | 17,568 | 41,825 | ||||||
Discovery Holdings Ltd. | 2,892 | 9,706 | ||||||
FirstRand Ltd. | 60,999 | 111,445 | ||||||
Gold Fields Ltd. | 3,352 | 40,462 | ||||||
Hosken Consolidated Investments Ltd. | 12,202 | 71,959 | ||||||
JD Group Ltd. | 3,792 | 19,932 | ||||||
Nedbank Group Ltd. | 14,320 | 182,548 | ||||||
Pretoria Portland Cement Co. Ltd. | 125,885 | 474,343 | ||||||
RMB Holdings Ltd. | 70,729 | 215,497 |
34
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Sun International Ltd. | 21,134 | $ | 209,314 | |||||
1,512,078 | ||||||||
South Korea — 0.2% | ||||||||
KB Financial Group, Inc. (a) | 1,200 | 39,965 | ||||||
Korea Electric Power Corp. (a) | 950 | 21,976 | ||||||
POSCO | 200 | 66,236 | ||||||
Samsung Electronics Co. Ltd. | 170 | 78,731 | ||||||
SK Telecom Co. Ltd. | 565 | 77,137 | ||||||
284,045 | ||||||||
Spain — 3.5% | ||||||||
Acciona SA | 3,791 | 466,012 | ||||||
Acerinox SA | 33,679 | 623,313 | ||||||
Banco Santander SA | 144,331 | 1,741,783 | ||||||
Iberdrola SA | 190,028 | 1,545,438 | ||||||
Prosegur, Compania de Seguridad SA | 4,756 | 152,817 | ||||||
Telefonica SA | 80,155 | 1,817,514 | ||||||
Viscofan SA | 7,230 | 154,362 | ||||||
6,501,239 | ||||||||
Sweden — 0.9% | ||||||||
Assa Abloy AB, Class B | 25,204 | 351,314 | ||||||
Hoganas AB, Class B | 7,084 | 76,620 | ||||||
Modern Times Group AB, Class B | 1,960 | 54,690 | ||||||
Svenska Cellulosa AB (SCA), Class B | 25,706 | 270,514 | ||||||
Svenska Handelsbanken AB, Class A | 21,659 | 409,268 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 43,506 | 425,543 | ||||||
Teliasonera AB | 11,794 | 62,039 | ||||||
1,649,988 | ||||||||
Switzerland — 2.5% | ||||||||
Adecco SA | 7,902 | 329,992 | ||||||
Compagnie Financiere Richemont SA | 10,965 | 228,464 | ||||||
Geberit AG | 3,010 | 370,971 | ||||||
Logitech International SA (a) | 14,897 | 207,467 | ||||||
Novartis AG | 57,307 | 2,328,295 | ||||||
Publigroupe SA | 661 | 49,746 | ||||||
Roche Holding AG | 5,400 | 734,663 | ||||||
Sonova Holding AG Registered | 883 | 71,860 | ||||||
UBS AG Registered (a) | 17,584 | 215,136 | ||||||
4,536,594 | ||||||||
Taiwan — 0.7% | ||||||||
Asustek Computer, Inc. – GDR Registered | 47,713 | 286,755 | ||||||
Chunghwa Telecom Co. Ltd. – ADR | 19,928 | 395,173 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 363,771 | 604,273 | ||||||
1,286,201 | ||||||||
Thailand — 0.7% | ||||||||
Advanced Info Service Pcl (b) | 139,200 | 363,628 | ||||||
GMM Grammy PCL | 104,000 | 42,736 | ||||||
Kasikornbank PCL | 82,700 | 175,983 |
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Land and Houses PCL | 420,500 | $ | 66,648 | |||||
Matichon PCL (b) | 218,400 | 44,231 | ||||||
MBK PCL | 36,300 | 57,002 | ||||||
Post Publishing PCL (b) | 193,900 | 28,456 | ||||||
Siam Cement PCL | 82,100 | 387,969 | ||||||
Thanachart Capital PCL (b) | 141,900 | 57,060 | ||||||
1,223,713 | ||||||||
Turkey — 0.2% | ||||||||
Turkcell Iletisim Hizmetleri A/S – ADR | 32,200 | 446,293 | ||||||
United Kingdom — 11.3% | ||||||||
AMEC plc | 8,625 | 92,864 | ||||||
Anglo American plc – ADR | 14,490 | 212,134 | ||||||
Anglo American plc – Lse Shares | 1,653 | 47,930 | ||||||
Arriva plc | 45,508 | 304,795 | ||||||
Aviva plc | 78,193 | 441,864 | ||||||
BAE Systems plc | 95,053 | 530,589 | ||||||
Barclays plc | 88,850 | 413,839 | ||||||
BG Group plc | 70,618 | 1,186,520 | ||||||
BHP Billiton plc | 24,917 | 562,826 | ||||||
BP plc | 339,945 | 2,690,037 | ||||||
Bradford & Bingley plc | 97,457 | — | ||||||
British American Tobacco plc | 5,586 | 154,315 | ||||||
Bunzl plc | 15,240 | 126,241 | ||||||
Cable & Wireless plc | 227,929 | 500,235 | ||||||
Capita Group plc | 61,485 | 724,861 | ||||||
Carnival plc | 9,252 | 245,504 | ||||||
Compass Group plc | 179,761 | 1,012,950 | ||||||
Daily Mail & General Trust NV, Class A | 5,811 | 27,206 | ||||||
Devro plc | 42,853 | 64,555 | ||||||
Diageo plc | 34,452 | 494,763 | ||||||
Enterprise Inns plc | 45,603 | 93,926 | ||||||
GKN plc | 126,654 | 261,888 | ||||||
Glaxosmithkline plc | 107,835 | 1,898,927 | ||||||
Hays plc | 100,079 | 141,493 | ||||||
HMV Group plc | 22,914 | 42,601 | ||||||
Homeserve plc | 3,468 | 85,793 | ||||||
ICAP plc | 54,018 | 402,214 | ||||||
Informa plc | 67,366 | 242,719 | ||||||
International Personal Finance | 45,154 | 54,466 | ||||||
Intertek Group plc | 31,647 | 545,661 | ||||||
Invensys plc | 89,457 | 329,753 | ||||||
ITV plc | 260,811 | 150,541 | ||||||
Ladbrokes plc | 46,037 | 140,228 | ||||||
Lloyds Banking Group plc | 117,324 | 135,022 | ||||||
Northgate plc | 5,980 | 9,807 | ||||||
Provident Financial plc | 17,661 | 231,252 | ||||||
Reckitt Benckiser Group plc | 14,906 | 679,327 | ||||||
Reed Elsevier plc | 41,967 | 312,918 | ||||||
Rexam plc | 42,157 | 197,895 | ||||||
Rio Tinto plc | 11,808 | 411,073 |
35
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Rolls-Royce Group plc (a) | 10,664 | $ | 63,585 | |||||
Rolls-Royce Group plc, Class C (a) | 914,971 | 1,505 | ||||||
Royal Bank of Scotland Group plc (a) | 119,107 | 75,743 | ||||||
RSA Insurance Group plc | 31,684 | 62,870 | ||||||
Sage Group plc | 138,128 | 405,661 | ||||||
Smiths Group plc | 11,791 | 136,456 | ||||||
Sportingbet plc (a) | 84,946 | 79,847 | ||||||
Stagecoach Group plc | 83,662 | 174,973 | ||||||
Tesco plc | 80,951 | 471,832 | ||||||
Thomas Cook Group plc | 98,130 | 332,792 | ||||||
Tui Travel plc | 106,392 | 406,783 | ||||||
Unilever plc | 73,411 | 1,722,650 | ||||||
Vodafone Group plc | 398,510 | 770,309 | ||||||
WPP plc | 25,609 | 170,328 | ||||||
21,076,866 | ||||||||
United States — 0.0% | ||||||||
NII Holdings, Inc., Class B (a) | 3,635 | 69,319 | ||||||
Total Common Stocks (Cost $150,173,495) | 127,802,313 | |||||||
Commingled Investment Vehicles — 15.9% | ||||||||
Exchange-Traded Funds — 1.8% | ||||||||
iShares MSCI Emerging Markets Index Fund | 100,600 | 3,242,338 | ||||||
Private Investment Funds (e) — 14.1% | ||||||||
Convexity Capital Offshore, LP (a) (b) (c) (d) | 7,218,931 | |||||||
Lansdowne UK Equity Fund Ltd. (a) (b) (c) (d) | 40,375 | 13,988,868 | ||||||
Lone Dragon Pine, LP (a) (b) (c) (d) | 3,218,865 | |||||||
Tosca (a) (b) (c) (d) | 27,752 | 1,612,455 | ||||||
26,039,119 | ||||||||
Total Commingled Investment Vehicles (Cost $23,306,258) | 29,281,457 | |||||||
Preferred Stocks — 0.6% | ||||||||
Hyundai Motor Co. Ltd., 3.98% (South Korea) | 21,670 | 511,151 | ||||||
Malaysian Airline System Berhad, 30.0% (Malaysia) | 20,000 | 4,324 | ||||||
Vale SA, 1.46% (Brazil) | 42,940 | 654,126 | ||||||
Total Preferred Stocks (Cost $1,461,460) | 1,169,601 |
![]() | ![]() | ![]() | ||||||
Number of Contracts | Value | |||||||
Rights — 0.0% | ||||||||
Fortis, Expiring 07/04/14 (Belgium) (a) (b) | 87,050 | $ | — | |||||
Warrants — 0.1% | ||||||||
Bank Pan Indonesia Tbk Warrants Expiring 07/10/09 (Indonesia) (a) | 1,023,867 | 24,575 | ||||||
Groupe Eurotunnel SA Registered Warrants Expiring 12/30/11 (France) (a) | 1,262,450 | 200,126 | ||||||
Matahari Putra Prima Tbk Warrants Expiring 07/12/10 (Indonesia) (a) | 370,825 | 763 | ||||||
Total Warrants (Cost $443,620) | 225,464 |
![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||
![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||
Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
Short-Term Investments — 12.9% | |||||||||||||||||
Repurchase Agreements — 8.0% | |||||||||||||||||
State Street Bank & Trust Co. Repurchase Agreement issued on 6/30/09 (proceeds at maturity $14,676,345) (collateralized by US Treasury Bills, due 08/13/09 through 08/20/09 with a principal value of $14,980,000 and a market value of $14,977,004 | ) | ||||||||||||||||
(Cost $14,676,341) | 0.010% | 07/01/09 | $ | 14,676,341 | $ | 14,676,341 | |||||||||||
US Treasury Securities — 4.9% | |||||||||||||||||
US Treasury Bill (f) | 07/09/09 | 3,000,000 | 2,999,943 | ||||||||||||||
US Treasury Bill (f) | 07/30/09 | 1,000,000 | 999,874 | ||||||||||||||
US Treasury Bill (f) | 08/20/09 | 1,000,000 | 999,782 | ||||||||||||||
US Treasury Bill (f) | 09/03/09 | 1,000,000 | 999,742 | ||||||||||||||
US Treasury Bill (f) (g) | 10/08/09 | 2,000,000 | 1,998,982 | ||||||||||||||
US Treasury Bill (f) (g) | 11/12/09 | 1,000,000 | 999,107 | ||||||||||||||
Total US Treasury Securities (Cost $8,996,056) | 8,997,430 | ||||||||||||||||
Total Short-Term Investments (Cost $23,672,397) | 23,673,771 | ||||||||||||||||
Total Investments – 98.9% (Cost $199,057,230) | 182,152,606 | ||||||||||||||||
Other Assets in Excess of Liabilities – 1.1% | 2,056,552 | ||||||||||||||||
Net Assets – 100.0% | $ | 184,209,158 |
36
ADR | American Depositary Reciept |
CVA | Certificaaten van aandelen (share certificates) |
GDR | Global Depositary Reciept |
LSE | London Stock Exchange |
MSCI | Morgan Stanley Capital International |
SPADR | Sponsored ADR |
VVPR | Verminderde Voorheffing Precompte Réduit (France dividend coupon) |
XLON | London International Exchange |
* | Approximately 20% of the fund's total investments are maintained to cover “senior securities transactions” which may include, but are not limited to forwards, TBAs, options, and futures. These securities are marked-to-market daily and reviewed against the value of the fund’s “senior securities” holdings to maintain proper coverage for the transactions. |
(a) | Non income-producing security. |
(b) | Illiquid security. |
(c) | Security is valued in good faith under procedures established by the board of directors. The aggregate amount of securities fair valued amounts to $27,895,137, which represents 15.14% of the fund's net assets. |
(d) | Restricted Securities. The following restricted securities were held by the fund as of June 30, 2009, 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. The fund will bear any costs incurred in connection with the disposition of such securities. The fund monitors the acquisition of restricted securities and, to the extent that a restricted security is illiquid, will limit the purchase of such a restricted security, together with other illiquid securities held by the fund, to no more than 15% of the fund's net assets. All of the below securities are illiquid. The below list does not include securities eligible for resale without registration pursuant to Rule 144A under the Securities Act of 1933 that may also be deemed restricted. |
![]() | ![]() | ![]() | ![]() | |||||||||
Investment | Date of Acquisition | Cost | Value | |||||||||
Bell Aliant Regional Communications Income Fund | 07/11/06 | $ | 16,840 | $ | 12,800 | |||||||
Convexity Capital Offshore, LP | 02/16/06 | 7,333,333 | 7,218,931 | |||||||||
Jazz Air Income Fund | 03/12/07-05/22/07 | 23,682 | 9,041 | |||||||||
Lansdowne UK Equity Fund Ltd. | 05/31/03 | 6,434,533 | 13,988,868 | |||||||||
Lone Dragon Pine, LP | 03/31/08 | 5,000,000 | 3,218,865 | |||||||||
Tosca | 06/30/04 | 1,986,683 | 1,612,455 | |||||||||
Total | $ | 26,060,960 |
(e) | Portfolio holdings information of the Private Investment Funds is not available as of June 30, 2009. These positions are therefore grouped into their own industry classification. |
(f) | Treasury bills do not pay interest, but rather are purchased at a discount and mature at the stated principal amount. |
(g) | Security or a portion thereof is pledged as initial margin for financial futures contracts. |
Summary Schedule of Investments
![]() | ![]() | |||
Common Stocks | 69.4 | % | ||
Private Investment Funds | 14.1 | % | ||
Short-Term Investments | 12.9 | % | ||
Exchange-Traded Funds | 1.8 | % | ||
Preferred Stocks | 0.6 | % | ||
Warrants | 0.1 | % | ||
Rights | 0.0 | % | ||
Total Investments | 98.9 | % | ||
Other Assets In Excess of Liabilities | 1.1 | % | ||
Net Assets | 100.0 | % |
37
Financial Futures Contracts
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Number of Contracts | Type | Initial Notional Value/(Proceeds) | Notional Value at June 30, 2009 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long Financial Futures Contracts | ||||||||||||||||
15 | September 2009 ASX S&P 200 Index | $ | 1,178,814 | $ | 1,178,785 | $ | (29 | ) | ||||||||
12 | September 2009 British Pound | 1,231,643 | 1,234,725 | 3,082 | ||||||||||||
17 | September 2009 CAC 40 Index | 757,224 | 746,933 | (10,291 | ) | |||||||||||
118 | September 2009 Canadian Dollar | 10,579,476 | 10,159,800 | (419,676 | ) | |||||||||||
3 | September 2009 DAX Index | 516,660 | 507,077 | (9,583 | ) | |||||||||||
115 | September 2009 Dow Jones EURO STOXX 50 Index | 3,880,285 | 3,868,637 | (11,648 | ) | |||||||||||
15 | September 2009 EURO FX GLBX | 2,616,617 | 2,632,500 | 15,883 | ||||||||||||
38 | September 2009 Swiss Franc | 4,413,306 | 4,379,500 | (33,806 | ) | |||||||||||
35 | September 2009 Topix Index | 3,343,266 | 3,358,852 | 15,586 | ||||||||||||
67 | September 2009 TSE 60 Index | 7,244,670 | 7,224,468 | (20,202 | ) | |||||||||||
(470,684 | ) | |||||||||||||||
Short Financial Futures Contracts | ||||||||||||||||
13 | September 2009 Japanese Yen | (1,656,234 | ) | (1,688,050 | ) | (31,816 | ) | |||||||||
$ | (502,500 | ) |
Swap Contracts
![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||||||||
Expiration Date | Counterparty | Pay | Receive | Notional Amount | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Long Total Return Swap Contracts | |||||||||||||||||||||||||
07/16/2009 | Goldman Sachs International | (c) | 3 Month LIBOR plus a specified spread | MSCI AC World Index ex USA | $ | 12,558,325 | $ | 1,803,491 | |||||||||||||||||
06/30/2010 | Barclays Bank, PLC | 1 Month LIBOR plus a specified spread | iShares MSCI Emerging Markets Index | 6,175,906 | 14,973 | ||||||||||||||||||||
06/30/2010 | Goldman Sachs International | (c) | 1 Month LIBOR plus a specified spread | MSCI Daily TR Net Emerging Markets | 3,477,511 | 30,686 | |||||||||||||||||||
$ | 1,849,150 |
Derivative Disclosure
The following tables provide quantitative disclosure about fair value amounts of and gains and losses on the fund’s derivative instruments as of June 30, 2009. See Note 3, Derivatives and Other Financial Instruments, for qualitative disclosures. These derivatives are not accounted for as hedging instruments under FASB Statement No. 133. The period-end notional amounts disclosed in the Schedule of Investments are representative of the fund’s derivative activity throughout the reporting period.
The following table lists the fair values of the fund’s derivative holdings as of June 30, 2009, grouped by contract type and risk exposure category as defined in FASB Statement No. 161.
![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||
Derivative Type | Balance Sheet Location | Foreign Exchange Risk | Equity Risk | Total | |||||||||||||
Asset Derivatives | |||||||||||||||||
Rights | Investments, at value | $ | — | $ | — | $ | — | ||||||||||
Warrants | Investments, at value | — | 225,464 | 225,464 | |||||||||||||
Swap Contracts | Swap contracts, at value | — | 1,849,150 | 1,849,150 | |||||||||||||
Futures Contracts | Variation margin* | 18,965 | 15,586 | 34,551 | |||||||||||||
Total Value – Assets | $18,965 | $2,090,200 | $2,109,165 | ||||||||||||||
Liability Derivatives | |||||||||||||||||
Futures Contracts | Variation margin* | $ | (485,298 | ) | $ | (51,753 | ) | $ | (537,051 | ) | |||||||
Total Value – Liabilities | $(485,298) | $(51,753) | $(537,051) |
* | Cumulative appreciation (depreciation) of futures contracts is reported in the Schedule of Investments. Only current day's variation margin is reported within the Statement of Assets and Liabilities. |
38
The following table lists the amounts of gains or losses included in net increase in net assets resulting from operations for the six months ended June 30, 2009, grouped by contract type and risk exposure category as defined in FASB Statement No. 161.
![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||
Derivative Type | Income Statement Location | Foreign Exchange Risk | Equity Risk | Total | |||||||||||||
Realized Gain (Loss) | |||||||||||||||||
Rights | Net realized gain (loss) from Investments | $ | — | $ | — | $ | — | ||||||||||
Warrants | Net realized gain (loss) from Investments | — | (67,339 | ) | (67,339 | ) | |||||||||||
Swap Contracts | Net realized gain (loss) from Swap agreements | — | 3,657,282 | 3,657,282 | |||||||||||||
Futures Contracts | Net realized gain (loss) from Futures contracts | 1,793,509 | 2,075,450 | 3,868,959 | |||||||||||||
Forward Contracts | Net realized gain (loss) from Forward contracts | (15,652 | ) | — | (15,652 | ) | |||||||||||
Total Realized Gain (Loss) | $1,777,857 | $5,769,312 | $7,443,250 |
The following table lists the change in unrealized appreciation (depreciation) included in net increase in net assets resulting from operations for the six months ended June 30, 2009, grouped by contract type and risk exposure category as defined in FASB Statement No. 161.
![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||
Derivative Type | Income Statement Location | Foreign Exchange Risk | Equity Risk | Total | |||||||||||||
Change in Appreciation (Depreciation) | |||||||||||||||||
Rights | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | $ | — | $ | — | $ | — | ||||||||||
Warrants | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | — | 126,650 | 126,650 | |||||||||||||
Swap Contracts | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | — | 27,816 | 27,816 | |||||||||||||
Futures Contracts | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | (1,262,238 | ) | (169,925 | ) | (1,432,163 | ) | ||||||||||
Total Change in Appreciation (Depreciation) | $(1,262,238) | $(15,459) | $(1,277,697) |
See accompanying Notes to Financial Statements.
39
Statement of Assets and Liabilities (Unaudited) |
![]() | ![]() | |||
June 30, 2009 | ||||
Assets | ||||
Investments in securities, at value (cost: $184,380,889) | $ | 167,476,265 | ||
Repurchase agreements (cost: $14,676,341) | 14,676,341 | |||
Cash denominated in foreign currencies (cost: $146,695) | 146,199 | |||
Receivables for: | ||||
Closed swap contracts | 38,614 | |||
Interest | 4 | |||
Dividends and tax reclaims | 494,138 | |||
Swap contracts, at value | 1,849,150 | |||
Total Assets | 184,680,711 | |||
Liabilities | ||||
Due to broker for futures variation margin | 191,884 | |||
Payable for: | ||||
Investment securities purchased | 8 | |||
Accrued expenses and other liabilities | 169,772 | |||
Money manager fees | 109,889 | |||
Total Liabilities | 471,553 | |||
Net Assets | $ | 184,209,158 | ||
Shares Outstanding (500,000,000 authorized shares, par value $0.001 for each fund) | 17,930,543 | |||
Net Asset Value Per Share | $ | 10.27 | ||
Components of Net Assets: | ||||
Capital stock | $ | 215,825,216 | ||
Distributions in excess of net investment income | (10,526,305 | ) | ||
Accumulated net realized loss on investments | (5,733,976 | ) | ||
Net unrealized depreciation on investments and foreign currencies | (15,355,777 | ) | ||
$ | 184,209,158 |
See accompanying Notes to Financial Statements.
40
Statement of Operations (Unaudited) |
![]() | ![]() | |||
For the Six Months Ended June 30, 2009 | ||||
Investment Income | ||||
Interest | $ | 13,064 | ||
Dividends (net of foreign withholding taxes of $247,932) | 2,682,498 | |||
Total Investment Income | 2,695,562 | |||
Operating Expenses | ||||
Investment advisory fees | 124,895 | |||
Money manager fees | 796,139 | |||
Fund administration fees | 111,215 | |||
Professional fees | 42,942 | |||
Consulting and tax services fees | 10,742 | |||
Chief compliance officer fees | 5,751 | |||
Insurance | 5,159 | |||
Registration and filing fees | 11,666 | |||
Director fees | 1,922 | |||
Miscellaneous fees and other | 12,206 | |||
Total Operating Expenses | 1,122,637 | |||
Net Investment Income | 1,572,925 | |||
Net Realized Gain (Loss) from: | ||||
Investments (net of foreign withholding taxes on capital gains of $11) | (7,035,196 | ) | ||
Swap agreements | 3,657,282 | |||
Financial futures contracts | 3,868,959 | |||
Forward currency contracts and foreign currency-related transactions | (206,700 | ) | ||
Net Realized Gain | 284,345 | |||
Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies | 13,846,825 | |||
Net Realized and Unrealized Gain on Investments and Foreign Currencies | 14,131,170 | |||
Net Increase in Net Assets Resulting from Operations | $ | 15,704,095 |
See accompanying Notes to Financial Statements.
41
Statement of Changes in Net Assets |
![]() | ![]() | ![]() | ||||||
Six Months Ended June 30. 2009 (Unaudited) | Year Ended December 31, 2008 | |||||||
Increase in Net Assets From Operations: | ||||||||
Net investment income | $ | 1,572,925 | $ | 7,077,743 | ||||
Net realized gain (loss) on investments and foreign currencies | 284,345 | (4,609,351 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 13,846,825 | (151,183,633 | ) | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 15,704,095 | (148,715,241 | ) | |||||
Distributions | ||||||||
From net investment income | — | (400,022 | ) | |||||
From net realized gains | — | (16,523,737 | ) | |||||
Decrease in Net Assets Resulting from Distributions | — | (16,923,759 | ) | |||||
Capital Share Transactions | ||||||||
Proceeds from shares sold | 225,990 | 10,522,964 | ||||||
Proceeds from distributions reinvested | — | 14,801,779 | ||||||
Entry/exit fees | 92,920 | 680,919 | ||||||
Cost of shares redeemed | (12,161,695 | ) | (80,186,676 | ) | ||||
Net Decrease From Capital Shares Transactions | (11,842,785 | ) | (54,181,014 | ) | ||||
Total Increase (Decrease) in Net Assets | 3,861,310 | (219,820,014 | ) | |||||
Net Assets | ||||||||
Beginning of period | 180,347,848 | 400,167,862 | ||||||
End of period | $ | 184,209,158 | $ | 180,347,848 | ||||
Including undistributed (distributions in excess of) net investment income | $ | (10,526,305 | ) | $ | (12,099,230 | ) | ||
Capital Share Transactions (in shares) | ||||||||
Shares sold | 22,567 | 973,195 | ||||||
Shares reinvested | — | 1,333,445 | ||||||
Shares redeemed | (1,468,041 | ) | (5,597,825 | ) | ||||
Net Decrease | (1,445,474 | ) | (3,291,185 | ) |
See accompanying Notes to Financial Statements.
42
Statement of Cash Flows (Unaudited) |
![]() | ![]() | |||
Six Months Ended June 30, 2009 | ||||
Cash flows from operating activities | ||||
Net increase (decrease) in net assets resulting from operations | $ | 15,704,095 | ||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||
Investments purchased | (13,713,955 | ) | ||
Investments sold | 28,592,564 | |||
(Purchase)/Sale of short-term investments, net | (12,514,812 | ) | ||
Decrease in foreign currency | 26,296 | |||
Increase in interest receivable | (2 | ) | ||
Increase in dividends and tax reclaims receivable | (211,215 | ) | ||
Decrease in variation margin on financial futures contracts | 209,564 | |||
Increase in accrued expenses and other liabilities | 92,222 | |||
Net realized (gain) loss | 7,035,196 | |||
Net change in unrealized (appreciation) depreciation on investments | (15,337,093 | ) | ||
Net cash from (used in) operating activities | 9,882,860 | |||
Cash flows from (used in) financing activities | ||||
Proceeds from shares sold | 3,227,698 | |||
Payment on shares redeemed | (12,070,482 | ) | ||
Cash distributions paid | (1,040,076 | ) | ||
Net cash from (used in) financing activities | (9,882,860 | ) | ||
Net increase (decrease) in cash | ||||
Cash at beginning of period | — | |||
Cash at end of period | $ | — |
See accompanying Notes to Financial Statements.
43
Fund Expenses (unaudited) |
As a shareholder of a fund, you incur two types of costs: (1) transactions costs, including entry and exit fees; and (2) ongoing costs, including management fees and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2009 to June 30, 2009.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this 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 first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the 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 for the period. You may use this information to compare the ongoing costs of investing in the 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 table are meant to highlight your ongoing costs only and do not reflect any transactions costs, such as entry fees or exit fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactions costs were included, your costs would have been higher.
![]() | ![]() | ![]() | ![]() | |||||||||
Beginning Account Value 1/1/09 | Ending Account Value 6/30/09 | Expenses Paid During the Period* 1/1/09 – 6/30/09 | ||||||||||
1) Actual | $ | 1,000 | $ | 1,075.40 | $ | 7.51 | ||||||
2) Hypothetical | $ | 1,000 | $ | 1,017.55 | $ | 7.30 |
* | Expenses are equal to the fund’s annualized expense ratio of 1.46% (calculated over a six-month period, which may differ from the fund’s actual expense ratio for the full year), 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 in the commingled investment vehicles’ total return. |
44
Financial Highlights |
![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||||||||
Six Months Ended 6/30/09 (unaudited) | Year Ended 12/31/08 | Year Ended 12/31/07 | Year Ended 12/31/06 | Year Ended 12/31/05 | Year Ended 12/31/04 | |||||||||||||||||||
For a share outstanding throughout each period | ||||||||||||||||||||||||
Net asset value, beginning of year | $ | 8.35 | $ | 13.39 | $ | 14.90 | $ | 14.07 | $ | 14.49 | $ | 12.95 | ||||||||||||
Income (loss) from investment operations | ||||||||||||||||||||||||
Net investment income | (0.05 | ) | 0.01 | 0.11 | 0.10 | 0.07 | (a) | 0.07 | ||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.68 | (4.83 | ) | 0.33 | 2.35 | 0.88 | 1.57 | |||||||||||||||||
Total from investment operations | 0.63 | (4.82 | ) | 0.44 | 2.45 | 0.95 | 1.64 | |||||||||||||||||
Less distributions from | ||||||||||||||||||||||||
Net investment income | — | (0.11 | ) | (0.14 | ) | (0.10 | ) | (0.17 | ) | (0.11 | ) | |||||||||||||
Net realized gains | — | (0.11 | ) | (1.82 | ) | (1.53 | ) | (1.21 | ) | — | ||||||||||||||
Total distributions | — | (0.22 | ) | (1.96 | ) | (1.63 | ) | (1.38 | ) | (0.11 | ) | |||||||||||||
Entry/exit fee per share (b) | — | (c) | — | (c) | 0.01 | 0.01 | 0.01 | 0.01 | ||||||||||||||||
Net asset value, end of year | $ | 8.98 | $ | 8.35 | $ | 13.39 | $ | 14.90 | $ | 14.07 | $ | 14.49 | ||||||||||||
Total return (d) | 7.54 | %(e) | (36.39 | )% | 2.84 | % | 17.68 | % | 6.71 | % | 12.75 | % | ||||||||||||
Ratios/supplemental data | ||||||||||||||||||||||||
Net assets, end of year (000s) | $ | 121,936 | $ | 127,371 | $ | 227,588 | $ | 216,369 | $ | 199,339 | $ | 229,770 | ||||||||||||
Ratio of expenses to average net assets (f) | 1.46 | %(g) | 0.68 | % | 0.73 | % | 0.74 | % | 0.72 | % | 0.73 | % | ||||||||||||
Ratio of expenses to average net assets before expense waivers (f) | 1.46 | %(g) | 0.68 | % | 0.73 | % | 0.74 | % | 0.73 | % | 0.74 | % | ||||||||||||
Ratio of net investment income to average net assets | (0.43 | )%(g) | 0.31 | % | 0.56 | % | 0.63 | % | 0.48 | %(a) | 0.48 | % | ||||||||||||
Portfolio turnover | 13.46 | %(e) | 33.87 | % | 37.54 | % | 34.50 | % | 32.85 | % | 57.49 | % |
(a) | Investment income per share reflects a special dividend which amounted to $0.04 per share. Excluding the special dividend, the ratio of net investment income to average net assets would have been 0.21%. |
(b) | Calculation based on average shares outstanding. |
(c) | Rounds to less than $0.01. |
(d) | 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. For certain periods, total return would have been lower had certain expenses not been waived. |
(e) | Not annualized. |
(f) | The expense ratio does not include the fees and expenses associated with investments made in commingled investment vehicles; such fees and expenses are reflected in the commingled investment vehicles’ total return. |
(g) | Annualized. |
See accompanying Notes to Financial Statements.
45
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Investments — 99.7% of net assets | ||||||||
Common Stocks — 71.4% | ||||||||
Aerospace & Defense — 2.0% | ||||||||
AAR Corp. (a) | 69,815 | $ | 1,120,531 | |||||
General Dynamics Corp. | 2,300 | 127,397 | ||||||
Goodrich Corp. | 4,900 | 244,853 | ||||||
L-3 Communications Holdings, Inc. | 4,200 | 291,396 | ||||||
Northrop Grumman Corp. | 7,900 | 360,872 | ||||||
Raytheon Co. | 8,000 | 355,440 | ||||||
2,500,489 | ||||||||
Beverages — 1.9% | ||||||||
Coca-Cola Enterprises, Inc. | 7,600 | 126,540 | ||||||
Constellation Brands, Inc., Class A (a) | 139,400 | 1,767,592 | ||||||
PepsiCo, Inc. | 6,800 | 373,728 | ||||||
2,267,860 | ||||||||
Biotechnology — 0.7% | ||||||||
Amgen, Inc. (a) | 10,300 | 545,282 | ||||||
Biogen Idec, Inc. (a) | 5,500 | 248,325 | ||||||
Gilead Sciences, Inc. (a) | 2,400 | 112,416 | ||||||
906,023 | ||||||||
Capital Markets — 1.3% | ||||||||
Ameriprise Financial, Inc. | 12,700 | 308,229 | ||||||
Franklin Resources, Inc. | 5,500 | 396,055 | ||||||
Goldman Sachs Group, Inc. (The) | 1,000 | 147,440 | ||||||
Morgan Stanley | 7,600 | 216,676 | ||||||
T. Rowe Price Group, Inc. | 6,700 | 279,189 | ||||||
TD Ameritrade Holding Corp. (a) | 12,400 | 217,496 | ||||||
1,565,085 | ||||||||
Chemicals — 2.4% | ||||||||
Ecolab, Inc. | 7,300 | 284,627 | ||||||
International Flavors & Fragrances, Inc. | 24,500 | 801,640 | ||||||
Nalco Holding Co. | 106,468 | 1,792,921 | ||||||
2,879,188 | ||||||||
Commercial Banks — 1.6% | ||||||||
BB&T Corp. | 5,800 | 127,484 | ||||||
North Valley Bancorp | 69,300 | 344,421 | ||||||
Prosperity Bancshares, Inc. | 46,187 | 1,377,758 | ||||||
South Financial Group, Inc. (The) | 64,000 | 76,160 | ||||||
1,925,823 | ||||||||
Communications Equipment — 0.6% | ||||||||
Cisco Systems, Inc. (a) | 29,900 | 557,336 | ||||||
Research In Motion Ltd. (Canada) (a) | 2,500 | 177,625 | ||||||
734,961 | ||||||||
Computers & Peripherals — 2.4% | ||||||||
Apple, Inc. (a) | 2,400 | 341,832 | ||||||
Dell, Inc. (a) | 29,700 | 407,781 | ||||||
Hewlett-Packard Co. | 16,300 | 629,995 |
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
International Business Machines Corp. (IBM) | 3,200 | $ | 334,144 | ||||||
QLogic Corp. (a) | 80,000 | 1,014,400 | |||||||
Western Digital Corp. (a) | 6,600 | 174,900 | |||||||
2,903,052 | |||||||||
Diversified Consumer Services — 3.8% | |||||||||
Apollo Group, Inc., Class A (a) | 4,000 | 284,480 | |||||||
DeVry, Inc. | 43,200 | 2,161,728 | |||||||
ITT Educational Services, Inc. (a) | 22,100 | 2,224,586 | |||||||
4,670,794 | |||||||||
Diversified Financial Services — 0.5% | |||||||||
Moody’s Corp. | 12,400 | 326,740 | |||||||
NYSE Euronext | 11,800 | 321,550 | |||||||
648,290 | |||||||||
Diversified Telecommunication Services — 1.4% | |||||||||
AT&T, Inc. | 31,000 | 770,040 | |||||||
General Communications, Inc., Class A (a) | 94,100 | 652,113 | |||||||
Verizon Communications, Inc. | 10,100 | 310,373 | |||||||
1,732,526 | |||||||||
Electric Utilities — 2.2% | |||||||||
Edison International | 11,900 | 374,374 | |||||||
FirstEnergy Corp. | 6,100 | 236,375 | |||||||
NV Energy, Inc. | 188,000 | 2,028,520 | |||||||
2,639,269 | |||||||||
Electronic Equipment, Instruments & Components — 3.3% | |||||||||
Checkpoint Systems, Inc. (a) | 192,700 | 3,023,463 | |||||||
Rogers Corp. (a) | 45,000 | 910,350 | |||||||
Tyco Electronics Ltd. (Switzerland) | 6,800 | 126,412 | |||||||
4,060,225 | |||||||||
Energy Equipment & Services — 2.2% | |||||||||
Cal Dive International, Inc. (a) | 206,700 | 1,783,821 | |||||||
Tidewater, Inc. | 21,000 | 900,270 | |||||||
2,684,091 | |||||||||
Food & Staples Retailing — 0.8% | |||||||||
Geerlings & Wade, Inc. (a) | 66,300 | 6,630 | |||||||
Kroger Co. (The) | 14,100 | 310,905 | |||||||
Safeway, Inc. | 12,400 | 252,588 | |||||||
Sysco Corp. | 16,100 | 361,928 | |||||||
932,051 | |||||||||
Food Products — 0.7% | |||||||||
Archer-Daniels-Midland Co. | 14,500 | 388,165 | |||||||
Campbell Soup Co. | 4,300 | 126,506 | |||||||
ConAgra Foods, Inc. | 20,400 | 388,824 | |||||||
903,495 | |||||||||
Health Care Equipment & Supplies — 1.8% | |||||||||
Accuray, Inc. (a) | 144,294 | 962,441 | |||||||
Cooper Companies, Inc. (The) | 51,198 | 1,266,126 |
46
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
PharmChem, Inc. (a) (b) | 269,200 | $ | 350 | ||||||
2,228,917 | |||||||||
Health Care Providers & Services — 4.3% | |||||||||
Aetna, Inc. | 7,600 | 190,380 | |||||||
AmerisourceBergen Corp. | 15,800 | 280,292 | |||||||
Cardinal Health, Inc. | 10,200 | 311,610 | |||||||
Lincare Holdings, Inc. (a) | 20,000 | 470,400 | |||||||
McKesson Corp. | 7,600 | 334,400 | |||||||
Owens & Minor, Inc. | 20,800 | 911,456 | |||||||
UnitedHealth Group, Inc. | 16,300 | 407,174 | |||||||
Universal Health Services, Inc., Class B | 36,950 | 1,805,008 | |||||||
WellPoint, Inc. (a) | 9,700 | 493,633 | |||||||
5,204,353 | |||||||||
Hotels, Restaurants & Leisure — 0.9% | |||||||||
California Pizza Kitchen, Inc. (a) | 50,500 | 671,145 | |||||||
McDonald’s Corp. | 5,700 | 327,693 | |||||||
Yum! Brands, Inc. | 4,200 | 140,028 | |||||||
1,138,866 | |||||||||
Household Products — 0.8% | |||||||||
Kimberly-Clark Corp. | 3,700 | 193,991 | |||||||
Procter & Gamble Co. (The) | 14,600 | 746,060 | |||||||
940,051 | |||||||||
Independent Power Producers & Energy Traders — 0.1% | |||||||||
NRG Energy, Inc. (a) | 5,600 | 145,376 | |||||||
Industrial Conglomerates — 0.2% | |||||||||
Tyco International Ltd. (Switzerland) | 11,900 | 309,162 | |||||||
Insurance — 5.3% | |||||||||
Aflac, Inc. | 9,300 | 289,137 | |||||||
Allstate Corp. (The) | 12,200 | 297,680 | |||||||
Arthur J. Gallagher & Co. | 50,000 | 1,067,000 | |||||||
Brown & Brown, Inc. | 60,000 | 1,195,800 | |||||||
Chubb Corp. | 7,700 | 307,076 | |||||||
Progressive Corp. (The) (a) | 15,000 | 226,650 | |||||||
Prudential Financial, Inc. | 3,800 | 141,436 | |||||||
Travelers Companies, Inc. (The) | 9,900 | 406,296 | |||||||
Unum Group | 8,300 | 131,638 | |||||||
Willis Group Holdings Ltd. (United Kingdom) | 94,510 | 2,431,742 | |||||||
6,494,455 | |||||||||
Internet Software & Services — 0.4% | |||||||||
Google, Inc., Class A (a) | 1,100 | 463,749 | |||||||
IT Services — 0.4% | |||||||||
Computer Sciences Corp. (a) | 6,800 | 301,240 | |||||||
Visa, Inc., Class A | 2,800 | 174,328 | |||||||
475,568 | |||||||||
Life Sciences Tools & Services — 0.8% | |||||||||
Thermo Fisher Scientific, Inc. (a) | 23,400 | 954,018 |
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Machinery — 1.3% | ||||||||
Cummins, Inc. | 8,200 | $ | 288,722 | |||||
Dover Corp. | 6,300 | 208,467 | ||||||
John Bean Technologies Corp. | 79,300 | 992,836 | ||||||
Parker-Hannifin Corp. | 3,500 | 150,360 | ||||||
1,640,385 | ||||||||
Media — 2.0% | ||||||||
Comcast Corp., Class A | 12,400 | 179,676 | ||||||
DIRECTV Group, Inc. (The) (a) | 14,700 | 363,237 | ||||||
Live Nation, Inc. (a) | 256,669 | 1,247,411 | ||||||
Omnicom Group, Inc. | 4,500 | 142,110 | ||||||
Time Warner Cable, Inc. | 3,631 | 114,994 | ||||||
Time Warner, Inc. | 14,466 | 364,399 | ||||||
2,411,827 | ||||||||
Metals & Mining — 1.2% | ||||||||
Alcoa, Inc. | 13,400 | 138,422 | ||||||
Haynes International, Inc. (a) | 42,000 | 995,400 | ||||||
Pacific Rim Mining Corp. (Canada) (a) (c) (d) | 35,000 | 9,450 | ||||||
Southern Copper Corp. | 16,700 | 341,348 | ||||||
1,484,620 | ||||||||
Multi-Utilities — 1.2% | ||||||||
DTE Energy Co. | 4,600 | 147,200 | ||||||
OGE Energy Corp. | 30,000 | 849,600 | ||||||
Public Service Enterprise Group, Inc. | 5,800 | 189,254 | ||||||
Sempra Energy | 6,900 | 342,447 | ||||||
1,528,501 | ||||||||
Multiline Retail — 2.3% | ||||||||
Big Lots, Inc. (a) | 110,125 | 2,315,929 | ||||||
Saks, Inc. (a) | 100,000 | 443,000 | ||||||
2,758,929 | ||||||||
Office Electronics — 1.6% | ||||||||
Zebra Technologies Corp., Class A (a) | 80,600 | 1,906,996 | ||||||
Oil, Gas & Consumable Fuels — 5.3% | ||||||||
Chevron Corp. | 13,500 | 894,375 | ||||||
ConocoPhillips | 14,700 | 618,282 | ||||||
Encore Acquisition Co. (a) | 56,900 | 1,755,365 | ||||||
Exxon Mobil Corp. | 25,500 | 1,782,705 | ||||||
Marathon Oil Corp. | 11,500 | 346,495 | ||||||
Murphy Oil Corp. | 6,800 | 369,376 | ||||||
Stone Energy Corp. (a) | 53,700 | 398,454 | ||||||
Valero Energy Corp. | 14,500 | 244,905 | ||||||
6,409,957 | ||||||||
Pharmaceuticals — 2.2% | ||||||||
Eli Lilly & Co. | 3,900 | 135,096 | ||||||
Forest Laboratories, Inc. (a) | 12,100 | 303,831 | ||||||
Johnson & Johnson | 12,000 | 681,600 | ||||||
Pfizer, Inc. | 50,100 | 751,500 |
47
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Salix Pharmaceuticals Ltd. (a) | 78,635 | $ | 776,127 | ||||||
2,648,154 | |||||||||
Road & Rail — 2.8% | |||||||||
Avis Budget Group, Inc. (a) | 218,500 | 1,234,525 | |||||||
CSX Corp. | 4,400 | 152,372 | |||||||
Kansas City Southern (a) | 98,200 | 1,582,002 | |||||||
Norfolk Southern Corp. | 4,600 | 173,282 | |||||||
Union Pacific Corp. | 6,200 | 322,772 | |||||||
3,464,953 | |||||||||
Semiconductors & Semiconductor Equipment — 1.9% | |||||||||
Cabot Microelectronics Corp. (a) | 58,057 | 1,642,433 | |||||||
Intel Corp. | 13,600 | 225,080 | |||||||
Texas Instruments, Inc. | 22,400 | 477,120 | |||||||
2,344,633 | |||||||||
Software — 1.6% | |||||||||
Microsoft Corp. | 47,400 | 1,126,698 | |||||||
NexPrise, Inc. (a) (b) | 28,553 | 4,283 | |||||||
Oracle Corp. | 18,700 | 400,554 | |||||||
Preview Systems, Inc. (a) (b) | 66,800 | 334 | |||||||
Symantec Corp. (a) | 23,900 | 371,884 | |||||||
1,903,753 | |||||||||
Specialty Retail — 3.5% | |||||||||
Gap, Inc. (The) | 20,800 | 341,120 | |||||||
Home Depot, Inc. (The) | 8,400 | 198,492 | |||||||
PetSmart, Inc. | 99,200 | 2,128,832 | |||||||
Ross Stores, Inc. | 4,900 | 189,140 | |||||||
Sally Beauty Holdings, Inc. (a) | 114,641 | 729,117 | |||||||
Sherwin-Williams Co. (The) | 4,300 | 231,125 | |||||||
TJX Companies, Inc. (The) | 12,800 | 402,688 | |||||||
4,220,514 | |||||||||
Textiles, Apparel & Luxury Goods — 1.2% | |||||||||
Coach, Inc. | 14,100 | 379,008 | |||||||
Hanesbrands, Inc. (a) | 71,122 | 1,067,541 | |||||||
1,446,549 | |||||||||
Thrifts & Mortgage Finance — 0.3% | |||||||||
Hudson City Bancorp, Inc. | 25,900 | 344,211 | |||||||
Tobacco — 0.2% | |||||||||
Reynolds American, Inc. | 7,700 | 297,374 | |||||||
Total Common Stocks (Cost $94,479,909) | 87,119,093 | ||||||||
Commingled Investment Vehicles (e) — 17.9% | |||||||||
Long/Short Equity Fund — 17.8% | |||||||||
Adage Capital Partners, LP (a) (b) (c) (d) | 21,779,630 | ||||||||
Other — 0.1% | |||||||||
Gotham Partners, LP (a) (b) (c) (d) | 82,265 | ||||||||
Total Commingled Investment Vehicles (Cost $18,586,812) | 21,861,895 |
![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||
Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
Short-Term Investments — 10.4% | |||||||||||||||||
Repurchase Agreement — 3.0% | |||||||||||||||||
State Street Bank & Trust Co. Repurchase Agreement issued on 06/30/09 (proceeds at maturity $3,594,996) (collateralized by US Treasury Bills, due 08/13/09 through 08/20/09 with a principal value of $3,680,000 and a market value of $3,679,264) | |||||||||||||||||
(Cost $3,594,995) | 0.010% | 07/01/09 | $ | 3,594,995 | $ | 3,594,995 | |||||||||||
US Treasury Securities — 7.4% | |||||||||||||||||
US Treasury Bill (f) | 07/30/09 | 3,000,000 | 2,999,622 | ||||||||||||||
US Treasury Bill (f) | 08/20/09 | 1,000,000 | 999,782 | ||||||||||||||
US Treasury Bill (f) (g) | 09/10/09 | 2,000,000 | 1,999,350 | ||||||||||||||
US Treasury Bill (f) (g) | 10/15/09 | 1,000,000 | 999,441 | ||||||||||||||
US Treasury Bill (f) (g) | 11/12/09 | 2,000,000 | 1,998,214 | ||||||||||||||
Total US Treasury Securities (Cost $8,995,293) | 8,996,409 | ||||||||||||||||
Total Short-Term Investments (Cost $12,590,288) | 12,591,404 | ||||||||||||||||
Total Investments – 99.7% (Cost $125,657,009) | 121,572,392 | ||||||||||||||||
Other Assets in Excess of Liabilities – 0.3% | 363,771 | ||||||||||||||||
Net Assets – 100.0% | $ | 121,936,163 |
48
* | Approximately 40% of the fund’s total investments are maintained to cover “senior securities transactions” which may include, but are not limited to forwards, TBAs, options, and futures. These securities are marked-to-market daily and reviewed against the value of the fund’s “senior securities” holdings to maintain proper coverage for the transactions. |
(a) | Non income-producing security. |
(b) | Illiquid security. |
(c) | Security is valued in good faith under procedures established by the board of directors. The aggregate amount of securities fair valued amounts to $21,871,679, which represents 17.94% of the fund’s net assets. |
(d) | Restricted Securities. The following restricted securities were held by the fund as of June 30, 2009, 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. The fund will bear any costs incurred in connection with the disposition of such securities. The fund monitors the acquisition of restricted securities and, to the extent that a restricted security is illiquid, will limit the purchase of such a restricted security, together with other illiquid securities held by the fund, to no more than 15% of the fund’s net assets. All of the below securities are illiquid, with the exception of Pacific Rim Mining Corp. (Canada). TIP’s board of directors deemed Pacific Rim Mining Corp. (Canada) to be liquid. The below list does not include securities eligible for resale without registration under Rule 144A of the Securities Act of 1933. These securities may also be deemed to be restricted. |
![]() | ![]() | ![]() | ![]() | |||||||||
Investment | Date of Acquisition | Cost | Value | |||||||||
Adage Capital Partners, LP | 01/01/02 – 06/30/03 | $ | 17,936,090 | $ | 21,779,630 | |||||||
Gotham Partners, LP | 06/29/97 | 650,722 | 82,265 | |||||||||
Pacific Rim Mining Corp. (Canada) | 06/01/04 | 100,800 | 9,450 | |||||||||
Total | $ | 21,871,345 |
(e) | Portfolio holdings information of the Commingled Investment Vehicles is not available as of June 30, 2009. These positions are therefore grouped into their own industry classification. |
(f) | Treasury bills do not pay interest, but rather are purchased at a discount and mature at the stated principal amount. |
(g) | Security or a portion thereof is pledged as initial margin for financial futures contracts. |
Summary Schedule of Investments
![]() | ![]() | |||
Common Stocks | 71.4 | % | ||
Long/Short Equity Funds | 17.8 | % | ||
Short-Term Investments | 10.4 | % | ||
Other | 0.1 | % | ||
Total Investments | 99.7 | % | ||
Other Assets In Excess of Liabilities | 0.3 | % | ||
Net Assets | 100.0 | % |
Financial Futures Contracts
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Number of Contracts | Type | Initial Notional Value/(Proceeds) | Notional Value at June 30, 2009 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long Financial Futures Contracts | ||||||||||||||||
136 | September 2009 S&P 500 Index | $ | 30,779,853 | $ | 31,127,000 | $ | 347,147 | |||||||||
Short Financial Futures Contracts | ||||||||||||||||
225 | September 2009 Russell 2000 Index | (11,318,425 | ) | (11,412,000 | ) | (93,575 | ) | |||||||||
18 | September 2009 S&P Midcap 400 Index | (5,119,122 | ) | (5,190,300 | ) | (71,178 | ) | |||||||||
(164,753 | ) | |||||||||||||||
$ | 182,394 |
49
Derivative Disclosure
The following tables provide quantitative disclosure about fair value amounts of and gains and losses on the fund’s derivative instruments as of June 30, 2009. See Note 3, Derivatives and Other Financial Instruments, for qualitative disclosures. These derivatives are not accounted for as hedging instruments under FASB Statement No. 133. The period-end notional amounts disclosed in the Schedule of Investments are representative of the fund’s derivative activity throughout the reporting period.
The following table lists the fair values of the fund’s derivative holdings as of June 30, 2009, grouped by contract type and risk exposure category as defined in FASB Statement No. 161.
![]() | ![]() | ![]() | ![]() | ||||||||||
Derivative Type | Balance Sheet Location | Equity Risk | Total | ||||||||||
Asset Derivatives | |||||||||||||
Futures Contracts | Variation Margin* | $ | 347,147 | $ | 347,147 | ||||||||
Total Value – Assets | 347,147 | 347,147 | |||||||||||
Liability Derivatives | |||||||||||||
Futures Contracts | Variation Margin* | $ | (164,753 | ) | $ | (164,753 | ) | ||||||
Total Value – Liabilities | $(164,753) | $(164,753) |
* | Cumulative appreciation (depreciation) of futures contracts is reported in the Schedule of Investments. Only current day's variation margin is reported within the Statement of Assets and Liabilities. |
The following table lists the amounts of gains or losses included in net increase in net assets resulting from operations for the six months ended June 30, 2009, grouped by contract type and risk exposure category as defined in FASB Statement No. 161.
![]() | ![]() | ![]() | ![]() | ||||||||||
Derivative Type | Income Statement Location | Equity Risk | Total | ||||||||||
Realized Gain (Loss) | |||||||||||||
Futures Contracts | Net realized gain (loss) from Futures contracts | $ | (326,526 | ) | $ | (326,526 | ) | ||||||
Total Realized Gain (Loss) | $(326,526) | $(326,526) |
The following table lists the change in unrealized appreciation (depreciation) included in net increase in net assets resulting from operations for the six months ended June 30, 2009, grouped by contract type and risk exposure category as defined in FASB Statement No. 161.
![]() | ![]() | ![]() | ![]() | ||||||||||
Derivative Type | Income Statement Location | Equity Risk | Total | ||||||||||
Change in Appreciation (Depreciation) | |||||||||||||
Futures Contracts | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | $ | 334,800 | $ | 334,800 | ||||||||
Total Change in Appreciation (Depreciation) | $334,800 | $334,800 |
See accompanying Notes to Financial Statements.
50
Statement of Assets and Liabilities (Unaudited) |
![]() | ![]() | |||
June 30, 2009 | ||||
Assets | ||||
Investments in securities, at value (cost: $122,062,014) | $ | 117,977,397 | ||
Repurchase agreements (cost: $3,594,995) | 3,594,995 | |||
Receivables for: | ||||
Investment securities sold | 632,848 | |||
Interest | 1 | |||
Dividends and tax reclaims | 99,409 | |||
Capital stock sold | 6,883 | |||
Other assets | 334,758 | |||
Total Assets | 122,646,291 | |||
Liabilities | ||||
Due to broker for futures variation margin | 157,800 | |||
Payable for: | ||||
Investment securities purchased | 370,366 | |||
Accrued expenses | 75,290 | |||
Money manager fees | 106,672 | |||
Total Liabilities | 710,128 | |||
Net Assets | $ | 121,936,163 | ||
Shares Outstanding (500,000,000 authorized shares, par value $0.001 for each fund) | 13,573,449 | |||
Net Asset Value Per Share | $ | 8.98 | ||
Components of Net Assets: | ||||
Capital stock | $ | 174,674,980 | ||
Distributions in excess of net investment income | (3,857,734 | ) | ||
Accumulated net realized loss on investments | (44,978,863 | ) | ||
Net unrealized depreciation on investments and foreign currencies | (3,902,220 | ) | ||
$ | 121,936,163 |
See accompanying Notes to Financial Statements.
51
Statement of Operations (Unaudited) |
![]() | ![]() | |||
For the Six Months Ended June 30, 2009 | ||||
Investment Income | ||||
Interest | $ | 21,778 | ||
Dividends (net of foreign withholding taxes of $649) | 595,194 | |||
Total Investment Income | 616,972 | |||
Operating Expenses | ||||
Investment advisory fees | 89,862 | |||
Money manager fees | 644,128 | |||
Fund administration fees | 63,696 | |||
Professional fees | 36,677 | |||
Consulting and tax services fees | 10,120 | |||
Chief compliance officer fees | 4,199 | |||
Insurance | 2,826 | |||
Registration and filing fees | 11,306 | |||
Director fees | 1,403 | |||
Miscellaneous fees and other | 10,294 | |||
Total Operating Expenses | 874,511 | |||
Net Investment Loss | (257,539 | ) | ||
Net Realized Gain (Loss) from: | ||||
Investments | (11,130,299 | ) | ||
Financial futures contracts | (326,526 | ) | ||
Forward currency contracts and foreign currency-related transactions | 117 | |||
Net Realized Loss | (11,456,708 | ) | ||
Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies | 20,502,378 | |||
Net Realized and Unrealized Gain on Investments and Foreign Currencies | 9,045,670 | |||
Net Increase in Net Assets Resulting from Operations | $ | 8,788,131 |
See accompanying Notes to Financial Statements.
52
Statement of Changes in Net Assets |
![]() | ![]() | ![]() | ||||||
Six Months Ended June 30, 2009 (Unaudited) | Year Ended December 31, 2008 | |||||||
Increase in Net Assets From Operations | ||||||||
Net investment income (loss) | $ | (257,539 | ) | $ | 564,888 | |||
Net realized gain (loss) on investments and foreign currencies | (11,456,708 | ) | (23,208,219 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 20,502,378 | (59,073,829 | ) | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 8,788,131 | (81,717,160 | ) | |||||
Distributions | ||||||||
From net investment income | — | (1,787,346 | ) | |||||
From net realized gains | — | (1,810,016 | ) | |||||
Decrease in Net Assets Resulting from Distributions | — | (3,597,362 | ) | |||||
Capital Share Transactions | ||||||||
Proceeds from shares sold | 1,315,621 | 5,675,820 | ||||||
Proceeds from distributions reinvested | — | 3,161,387 | ||||||
Entry/exit fees | 42,390 | 73,759 | ||||||
Cost of shares redeemed | (15,580,644 | ) | (23,813,427 | ) | ||||
Net Decrease From Capital Shares Transactions | (14,222,633 | ) | (14,902,461 | ) | ||||
Total Decrease in Net Assets | (5,434,502 | ) | (100,216,983 | ) | ||||
Net Assets | ||||||||
Beginning of period | 127,370,665 | 227,587,648 | ||||||
End of period | $ | 121,936,163 | $ | 127,370,665 | ||||
Including undistributed (distributions in excess of) net investment income | $ | (3,857,734 | ) | $ | (3,600,195 | ) | ||
Capital Share Transactions (in shares) | ||||||||
Shares sold | 154,619 | 483,376 | ||||||
Shares reinvested | — | 291,714 | ||||||
Shares redeemed | (1,838,478 | ) | (2,516,157 | ) | ||||
Net Decrease | (1,683,859 | ) | (1,741,067 | ) |
See accompanying Notes to Financial Statements.
53
Statement of Cash Flows (Unaudited) |
![]() | ![]() | |||
Six Months Ended June 30, 2009 | ||||
Cash flows from operating activities | ||||
Net increase (decrease) in net assets resulting from operations | $ | 8,788,131 | ||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||
Investments purchased | (13,277,927 | ) | ||
Investments sold | 29,599,591 | |||
(Purchase)/Sale of short term investments, net | (1,936,973 | ) | ||
Decrease in dividends and tax reclaims receivable | 49,726 | |||
Increase in other assets | (334,758 | ) | ||
Decrease in variation margin on financial futures contracts | 277,350 | |||
Increase in accrued expenses and other liabilities | 101,704 | |||
Net realized (gain) loss | 11,130,299 | |||
Net change in unrealized (appreciation) depreciation on investments | (20,167,627 | ) | ||
Net cash from (used in) operating activities | 14,229,516 | |||
Cash flows from (used in) financing activities | ||||
Proceeds from shares sold | 1,312,176 | |||
Payment on shares redeemed | (15,541,692 | ) | ||
Net cash from (used in) financing activities | (14,229,516 | ) | ||
Net increase (decrease) in cash | ||||
Cash at beginning of period | — | |||
Cash at end of period | $ | — |
See accompanying Notes to Financial Statements.
54
Fund Expenses (unaudited) |
As a shareholder of a fund, you incur two types of costs: (1) transactions costs and (2) ongoing costs, including management fees and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2009 to June 30, 2009.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this 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 first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the 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 for the period. You may use this information to compare the ongoing costs of investing in the 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 table are meant to highlight your ongoing costs only and do not reflect any transactions costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
![]() | ![]() | ![]() | ![]() | |||||||||
Beginning Account Value 1/1/09 | Ending Account Value 6/30/09 | Expenses Paid During the Period* 1/1/09-6/30/09 | ||||||||||
1) Actual | $ | 1,000 | $ | 1,000.90 | $ | 0.84 | ||||||
2) Hypothetical | $ | 1,000 | $ | 1,023.95 | $ | 0.85 |
* | Expenses are equal to the fund’s annualized expense ratio of 0.17% (calculated over a six-month period, which may differ from the fund’s actual expense ratio for the full year), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
55
Financial Highlights |
![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||||||||
Six Months Ended 6/30/09 (unaudited) | Year Ended 12/31/08 | Year Ended 12/31/07 | Year Ended 12/31/06 | Year Ended 12/31/05 | Year Ended 12/31/04 | |||||||||||||||||||
For a share outstanding throughout each period | ||||||||||||||||||||||||
Net asset value, beginning of year | $ | 9.89 | $ | 9.78 | $ | 9.74 | $ | 9.76 | $ | 9.79 | $ | 9.83 | ||||||||||||
Income from investment operations | ||||||||||||||||||||||||
Net investment income | 0.01 | 0.18 | 0.44 | 0.47 | 0.31 | 0.12 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | — | (a) | 0.11 | 0.04 | (0.02 | ) | (0.03 | ) | (0.03 | ) | ||||||||||||||
Total from investment operations | 0.01 | 0.29 | 0.48 | 0.45 | 0.28 | 0.09 | ||||||||||||||||||
Less distributions from | ||||||||||||||||||||||||
Net investment income | (0.01 | ) | (0.18 | ) | (0.44 | ) | (0.47 | ) | (0.31 | ) | (0.13 | ) | ||||||||||||
Net asset value, end of year | $ | 9.89 | $ | 9.89 | $ | 9.78 | $ | 9.74 | $ | 9.76 | $ | 9.79 | ||||||||||||
Total return (b) | 0.09 | %(c) | 2.97 | % | 5.03 | % | 4.72 | % | 2.93 | % | 0.92 | % | ||||||||||||
Ratios/supplemental data | ||||||||||||||||||||||||
Net assets, end of year (000s) | $ | 239,674 | $ | 219,820 | $ | 159,546 | $ | 99,244 | $ | 116,943 | $ | 91,073 | ||||||||||||
Ratio of expenses to average net assets | 0.17 | %(d) | 0.20 | % | 0.21 | % | 0.19 | % | 0.21 | % | 0.31 | % | ||||||||||||
Ratio of expenses to average net assets before expense waivers | 0.17 | %(d) | 0.20 | % | 0.21 | % | 0.19 | % | 0.21 | % | 0.36 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.19 | %(d) | 1.75 | % | 4.53 | % | 4.64 | % | 3.12 | % | 1.19 | % |
(a) | Rounds to less than $0.01. |
(b) | Total return assumes dividend reinvestment. For certain periods, total return would have been lower had certain expenses not been waived. |
(c) | Not annualized. |
(d) | Annualized. |
See accompanying Notes to Financial Statements.
56
![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||
Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
Investments — 101.0% of net assets | |||||||||||||||||
Short-Term Investments — 101.0% | |||||||||||||||||
Repurchase Agreement — 1.4% | |||||||||||||||||
State Street Bank & Trust Co. Repurchase Agreement issued on 06/30/09 (proceeds at maturity $3,481,807) (collateralized by a US Treasury Bill, due 08/13/09 with a principal value of $3,555,000 and a market value of $3,554,289) | |||||||||||||||||
(Cost $3,481,806) | 0.010 | % | 07/01/09 | $ | 3,481,806 | $ | 3,481,806 | ||||||||||
US Treasury Securities — 99.6% | |||||||||||||||||
US Treasury Bill (a) | 09/10/09 | 2,000,000 | 1,999,350 | ||||||||||||||
US Treasury Bill (a) | 10/22/09 | 3,000,000 | 2,998,116 | ||||||||||||||
US Treasury Bill (a) | 11/05/09 | 2,000,000 | 1,998,504 | ||||||||||||||
US Treasury Bill (a) | 11/12/09 | 1,000,000 | 999,107 | ||||||||||||||
US Treasury Bill (a) | 11/27/09 | 102,000,000 | 101,883,924 | ||||||||||||||
US Treasury Bill (a) | 12/03/09 | 22,000,000 | 21,974,238 | ||||||||||||||
US Treasury Bill (a) | 12/17/09 | 3,000,000 | 2,995,353 | ||||||||||||||
US Treasury Bill (a) | 12/24/09 | 80,000,000 | 79,867,040 | ||||||||||||||
US Treasury Bill (a) | 12/31/09 | 24,000,000 | 23,958,747 | ||||||||||||||
Total US Treasury Securities (Cost $238,678,702) | 238,674,379 | ||||||||||||||||
Total Short-Term Investments (Cost $242,160,508) | 242,156,185 | ||||||||||||||||
Total Investments – 101.0% (Cost $242,160,508) | 242,156,185 | ||||||||||||||||
Liabilities in Excess of Other Assets – (1.0%) | (2,481,919 | ) | |||||||||||||||
Net Assets – 100.0% | $ | 239,674,266 |
(a) | Treasury bills do not pay interest, but rather are purchased at a discount and mature at the stated principal amount. |
Summary Schedule of Investments
![]() | ![]() | |||
Short-Term Investments | 101.0 | % | ||
Total Investments | 101.0 | % | ||
Liabilities in Excess of Other Assets | (1.0 | )% | ||
Net Assets | 100.0 | % |
See accompanying Notes to Financial Statements.
57
Statement of Assets and Liabilities (Unaudited) |
![]() | ![]() | |||
June 30, 2009 | ||||
Assets | ||||
Investments in securities, at value (cost: $238,678,702) | $ | 238,674,379 | ||
Repurchase agreements (cost: $3,481,806) | 3,481,806 | |||
Receivables for: | ||||
Investment securities sold | 19,987,800 | |||
Interest | 1 | |||
Capital stock sold | 1,724,166 | |||
Total Assets | 263,868,152 | |||
Liabilities | ||||
Payable for: | ||||
Capital stock repurchased | 144,000 | |||
Investment securities purchased | 23,959,313 | |||
Accrued expenses and other liabilities | 85,410 | |||
Distributions | 5,163 | |||
Total Liabilities | 24,193,886 | |||
Net Assets | $ | 239,674,266 | ||
Shares Outstanding (500,000,000 authorized shares, par value $0.001 for each fund) | 24,227,848 | |||
Net Asset Value Per Share | $ | 9.89 | ||
Components of Net Assets: | ||||
Capital stock | $ | 240,316,313 | ||
Undistributed net investment income | 12,802 | |||
Accumulated net realized loss on investments | (650,527 | ) | ||
Net unrealized depreciation on investments and foreign currencies | (4,322 | ) | ||
$ | 239,674,266 |
See accompanying Notes to Financial Statements.
58
Statement of Operations (Unaudited) |
![]() | ![]() | |||
For the Six Months Ended June 30, 2009 | ||||
Investment Income | ||||
Interest | $ | 411,627 | ||
Total Investment Income | 411,627 | |||
Operating Expenses | ||||
Investment advisory fees | 34,964 | |||
Fund administration fees | 87,509 | |||
Professional fees | 25,827 | |||
Consulting and tax services fees | 10,179 | |||
Chief compliance officer fees | 8,334 | |||
Insurance | 2,137 | |||
Registration and filing fees | 12,420 | |||
Director fees | 2,733 | |||
Miscellaneous fees and other | 8,247 | |||
Total Operating Expenses | 192,350 | |||
Net Investment Income | 219,277 | |||
Net Realized Gain (Loss) from: | ||||
Investments | 377,946 | |||
Net Realized Gain | 377,946 | |||
Net Change in Unrealized Appreciation (Depreciation) on Investments | �� | (329,377 | ) | |
Net Realized and Unrealized Gain on Investments | 48,569 | |||
Net Increase in Net Assets Resulting from Operations | $ | 267,846 |
See accompanying Notes to Financial Statements.
59
Statement of Changes in Net Assets |
![]() | ![]() | ![]() | ||||||
Six Months Ended June 30, 2009 (Unaudited) | Year Ended December 31, 2008 | |||||||
Increase in Net Assets From Operations | ||||||||
Net investment income | $ | 219,277 | $ | 3,090,273 | ||||
Net realized gain (loss) on investments | 377,946 | 2,020,312 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (329,377 | ) | 137,916 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 267,846 | 5,248,501 | ||||||
Distributions | ||||||||
From net investment income | (208,137 | ) | (3,091,082 | ) | ||||
Decrease in Net Assets Resulting from Distributions | (208,137 | ) | (3,091,082 | ) | ||||
Capital Share Transactions | ||||||||
Proceeds from shares sold | 113,421,628 | 266,053,761 | ||||||
Proceeds from distributions reinvested | 177,382 | 2,518,887 | ||||||
Cost of shares redeemed | (93,804,300 | ) | (210,456,393 | ) | ||||
Net Increase (Decrease) From Capital Shares Transactions | 19,794,710 | 58,116,255 | ||||||
Total Increase (Decrease) in Net Assets | 19,854,419 | 60,273,674 | ||||||
Net Assets | ||||||||
Beginning of year | 219,819,847 | 159,546,173 | ||||||
End of year | $ | 239,674,266 | $ | 219,819,847 | ||||
Including undistributed (distributions in excess of) net investment income | $ | 12,802 | $ | 1,662 | ||||
Capital Share Transactions (in shares) | ||||||||
Shares sold | 11,469,932 | 27,053,714 | ||||||
Shares reinvested | 17,940 | 256,544 | ||||||
Shares redeemed | (9,485,646 | ) | (21,396,173 | ) | ||||
Net Increase (Decrease) | 2,002,226 | 5,914,085 |
See accompanying Notes to Financial Statements.
60
Statement of Cash Flows (Unaudited) |
![]() | ![]() | |||
Six Months Ended June 30, 2009 | ||||
Cash flows from operating activities | ||||
Net increase (decrease) in net assets resulting from operations | $ | 267,846 | ||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||
(Purchase)/Sale of short term investments, net | (15,359,990 | ) | ||
Increase in interest receivable | (1 | ) | ||
Increase in accrued expenses and other liabilities | 13,129 | |||
Net realized (gain) loss | (377,946 | ) | ||
Net change in unrealized (appreciation) depreciation on investments | 329,377 | |||
Net cash from (used in) operating activities | (15,127,585 | ) | ||
Cash flows from (used in) financing activities | ||||
Proceeds from shares sold | 111,824,727 | |||
Payment on shares redeemed | (96,660,300 | ) | ||
Cash distributions paid | (36,842 | ) | ||
Increase (decrease) in payable for reverse repurchase agreements | ||||
Net cash from (used in) financing activities | 15,127,585 | |||
Net increase (decrease) in cash | ||||
Cash at beginning of period | — | |||
Cash at end of period | $ | — | ||
Non cash financing activities not included herein consist of reinvestment of all distributions of: | $ | 177,382 |
See accompanying Notes to Financial Statements.
61
1. Organization
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 (the “1940 Act”), as an open-end management investment company. TIP consists of four mutual funds at present: TIFF Multi-Asset Fund (Multi-Asset Fund), TIFF International Equity Fund (International Equity Fund), TIFF US Equity Fund (US Equity Fund), and TIFF Short-Term Fund (Short-Term Fund), 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 offset 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 offset inflation. | |
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 U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets 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
Generally, the following valuation policies are applied to securities for which market quotations are readily available. 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 of the market. 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, and short-term debt securities having a remaining maturity of greater than 60 days are valued at their market value. Exchange-traded and over-the-counter options and futures contracts are valued at the last posted 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.
Certain funds employ a fair value model to adjust prices to reflect 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 values of the funds are determined. If the funds’ valuation committee believes that a particular event would materially affect net asset value, further adjustment is considered.
Certain funds invest in private investment funds that pursue certain alternative investment strategies. Private investment fund 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 funds value their interests in private investment funds at “fair value.” If a private investment fund does not provide a value to a fund on a timely basis, the fund determines 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 including, for example, total returns of indices or exchange-traded funds that track markets to which the private investment fund may be exposed. 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. Fair value is intended to represent a good faith approximation of the amount that a fund could reasonably expect to receive from the private investment fund if the fund’s interest in the private investment fund was sold at the time of valuation, based on information reasonably available at the time valuation is made and that the fund believes is reliable.
62
Securities for which market quotations are not readily available or for which available prices are deemed unreliable 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 may 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.
Financial Accounting Standards No. 157
In accordance with Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”) fair value is defined as the price that a fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. FAS 157 established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
Level 1 — quoted prices in active markets for identical investments
Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
Level 3 — significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments)
The funds adopted FASB Staff Position No. 157-4, “Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Deceased and Identifying Transactions That Are Not Orderly” (“FSP 157-4”), effective April 1, 2009. FSP 157-4 provides additional guidance for estimating fair value in accordance with FAS 157 when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate a transaction is not orderly.
63
The following is a summary of the inputs used as of June 30, 2009 in valuing the funds’ investments carried at fair value:
Multi-Asset Fund
![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | |||||||||||||||||
Common Stocks* | $ | 571,057,838 | $ | 357,493,250 | $ | — | $ | 928,551,088 | |||||||||
Subordinated Convertible Notes | — | 997,878 | — | 997,878 | |||||||||||||
Corporate Bonds | — | 44,674,619 | — | 44,674,619 | |||||||||||||
Asset-Backed Securities | — | 25,188,170 | — | 25,188,170 | |||||||||||||
Mortgage-Backed Securities | — | 88,147,260 | — | 88,147,260 | |||||||||||||
US Treasury Securities | 314,795,904 | — | — | 314,795,904 | |||||||||||||
Exchange-Traded Funds and Mutual Funds | 101,651,115 | — | — | 101,651,115 | |||||||||||||
Private Investment Funds | — | — | 296,620,833 | 296,620,833 | |||||||||||||
Preferred Stocks | 1,394,040 | 2,398,897 | — | 3,792,937 | |||||||||||||
Purchased Options | 7,275,000 | 161,250 | — | 7,436,250 | |||||||||||||
Rights | — | 95,294 | — | 95,294 | |||||||||||||
Warrants | — | 477,806 | — | 477,806 | |||||||||||||
Short-Term Investments | 617,277,748 | — | — | 617,277,748 | |||||||||||||
Total Investments in Securities | $1,613,451,645 | $519,634,424 | $296,620,833 | $2,429,706,902 | |||||||||||||
Financial Futures Contracts | 3,413,316 | — | — | 3,413,316 | |||||||||||||
Swap Contracts | — | 4,361,761 | — | 4,361,761 | |||||||||||||
Total Other Financial Instruments | $3,413,316 | $ | 4,361,761 | $ — | $7,775,077 | ||||||||||||
Total Assets | $1,616,864,961 | $523,996,185 | $296,620,833 | $2,437,481,979 | |||||||||||||
Liabilities | |||||||||||||||||
Common Stocks* | $ | (13,463,012 | ) | $ | (3,182,842 | ) | $ | — | $ | (16,645,854 | ) | ||||||
Total Securities Sold Short | $(13,463,012) | $(3,182,842) | $ — | $(16,645,854) | |||||||||||||
Financial Futures Contracts | (4,451,348 | ) | — | — | (4,451,348 | ) | |||||||||||
Forward Currency Contracts | (46,226 | ) | — | — | (46,226 | ) | |||||||||||
Total Other Financial Instruments | $(4,497,574) | $ — | $ — | $(4,497,574) | |||||||||||||
Total Liabilities | $(17,960,586) | $(3,182,842) | $ — | $(21,143,428) |
* | Securities categorized as Level 2 include listed foreign equities whose values have been adjusted with factors to reflect changes to foreign markets after market close. |
International Equity Fund
![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | |||||||||||||||||
Common Stocks* | $ | 8,753,293 | $ | 119,049,020 | $ | — | $ | 127,802,313 | |||||||||
Exchange-Traded Funds | 3,242,338 | — | — | 3,242,338 | |||||||||||||
Private Investment Funds | — | — | 26,039,119 | 26,039,119 | |||||||||||||
Preferred Stocks | — | 1,169,601 | — | 1,169,601 | |||||||||||||
Rights | — | 0 | — | 0 | |||||||||||||
Warrants | — | 225,464 | — | 225,464 | |||||||||||||
Short-Term Investments | 23,673,771 | — | — | 23,673,771 | |||||||||||||
Total Investments in Securities | $35,669,402 | $120,444,085 | $26,039,119 | $182,152,606 | |||||||||||||
Financial Futures Contracts | 34,551 | — | — | 34,551 | |||||||||||||
Swap Contracts | — | 1,849,150 | — | 1,849,150 | |||||||||||||
Total Other Financial Instruments | $34,551 | $1,849,150 | $ — | $1,883,701 | |||||||||||||
Total Assets | $35,703,953 | $122,293,235 | $26,039,119 | $184,036,307 | |||||||||||||
Liabilities | |||||||||||||||||
Financial Futures Contracts | $ | (537,051 | ) | $ | — | $ | — | $ | (537,051 | ) | |||||||
Total Other Financial Instruments | $(537,051) | $ — | $ — | $(537,051) | |||||||||||||
Total Liabilities | $(537,051) | $ — | $ — | $(537,051) |
* | Securities categorized as Level 2 include listed foreign equities whose values have been adjusted with factors to reflect changes to foreign markets after market close. |
64
US Equity Fund
![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | |||||||||||||||||
Common Stocks | $ | 87,118,759 | $ | 334 | $ | — | $ | 87,119,093 | |||||||||
Commingled Investment Vehicles | — | — | 21,861,895 | 21,861,895 | |||||||||||||
Short-Term Investments | 12,591,404 | — | — | 12,591,404 | |||||||||||||
Total Investments in Securities | $99,710,163 | $334 | $21,861,895 | $121,572,392 | |||||||||||||
Financial Futures Contracts | 347,147 | — | — | 347,147 | |||||||||||||
Total Other Financial Instruments | $347,147 | $ — | $ — | $347,147 | |||||||||||||
Total Assets | $100,057,310 | $334 | $21,861,895 | $121,919,539 | |||||||||||||
Liabilities | |||||||||||||||||
Financial Futures Contracts | $ | (164,753 | ) | $ | — | $ | — | $ | (164,753 | ) | |||||||
Total Other Financial Instruments | $(164,753) | $ — | $ — | $(164,753) | |||||||||||||
Total Liabilities | $(164,753) | $ — | $ — | $(164,753) |
Short-Term Fund
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
Short-Term Investments | $ | 242,156,185 | $ | — | $ | — | $ | 242,156,185 | ||||||||
Total Investments in Securities | $242,156,185 | $ — | $ — | $242,156,185 | ||||||||||||
Total Assets | $242,156,185 | $ — | $ — | $242,156,185 |
The following is a reconciliation of investments in securities for which significant unobservable inputs (Level 3) were used in determining value:
Multi-Asset Fund
![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||||||||||
Investments in Securities | Balance as of December 31, 2008 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Net purchases (sales) | Net Transfers in and / or out of Level 3 | Balance as of June 30, 2009 | Net Change in Unrealized Appreciation (Depreciation) from Investments still held as of 6/30/09 for the period ended 6/30/09 | |||||||||||||||||||||
Common Stocks | $ | 7,600 | $ | — | $ | (7,600 | ) | $ | — | $ | — | $ | — | $ | (7,600 | ) | ||||||||||||
Private Investment Funds | 317,364,856 | (9,545,788 | ) | 35,622,648 | (46,820,883 | ) | — | 296,620,833 | 26,076,860 | |||||||||||||||||||
Total | $317,372,456 | $(9,545,788) | $35,615,048 | $(46,820,883) | $ — | $296,620,833 | $26,069,260 |
International Equity Fund
![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||||||||||
Investments in Securities | Balance as of December 31, 2008 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Net purchases (sales) | Net Transfers in and/or out of Level 3 | Balance as of June 30, 2009 | Net Change in Unrealized Appreciation (Depreciation) from Investments still held as of 6/30/09 for the period ended 6/30/09 | |||||||||||||||||||||
Private Investment Funds | $ | 31,771,921 | $ | 1,762,157 | $ | 2,212,649 | $ | (9,707,608 | ) | $ | — | $ | 26,039,119 | $ | 3,974,806 |
65
US Equity Fund
![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||||||||||
Investments in Securities | Balance as of December 31, 2008 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Net purchases (sales) | Net Transfers in and/or out of Level 3 | Balance as of June 30, 2009 | Net Change in Unrealized Appreciation (Depreciation) from Investments still held as of 6/30/09 for the period ended 6/30/09 | |||||||||||||||||||||
Commingled Investment Vehicles | $ | 35,655,540 | $ | (2,736,427 | ) | $ | 4,206,355 | $ | (15,263,573 | ) | $ | — | $ | 21,861,895 | $ | 1,469,928 |
Financial Accounting Standards No. 161
The funds adopted FASB Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities, an amendment of FASB Statement No. 133” (“FAS 161”), effective January 1, 2009. FAS 161 requires enhanced disclosures about (a) how and why the funds use derivative instruments, (b) how derivative instruments and related hedged items are accounted for under Statement 133 and its related interpretations, and (c) how derivative instruments and related hedged items affect the funds’ financial position, financial performance, and cash flows.
Investment Transactions and Investment Income
Securities transactions are recorded on the trade date (the date on which the buy or sell order is executed) for financial reporting purposes. Interest income and expenses are recorded on an accrual basis. The funds accrete discounts or amortize premiums 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 substantially 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 of the related income and realized and unrealized gain as and when such income is earned and gains are recognized.
The funds are subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 (“FIN 48”), “Accounting for Uncertainty in Income Taxes — an interpretation of FASB Statement No. 109.” FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The funds did not have any unrecognized tax benefits at June 30, 2009, nor were there any increases or decreases in unrecognized tax benefits for the period then ended. The funds recognize interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statements of Operations. During the six months ended June 30, 2009, the funds did not incur any such interest or penalties. The funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years.
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.
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Dividends to Members
It is the policy of all funds to declare dividends according to the following schedule:
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Fund | Dividends from Net Investment Income | Capital Gains Distributions | ||
Multi-Asset | Quarterly | Annually | ||
International Equity | Semi-annually | Annually | ||
US Equity | Quarterly | 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.
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 into US dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. |
(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.
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. Derivatives and Other Financial Instruments (applicable to Multi-Asset, International Equity, and US Equity Funds)
The funds may employ derivatives strategies, such as futures, options on futures, buying and selling options, swaps (including interest rate, currency, total return, index and credit default swaps) and caps, floors and collars related to such swaps. Derivatives may be used for “hedging,” which means that they may be used when the manager seeks to protect a fund’s investments from a decline in value, which could result from changes in interest rates, market prices, currency fluctuations and other market factors. Derivative strategies also may be used when the manager seeks to increase liquidity, implement a tax or cash management strategy, invest in a particular stock, bond or segment of the market in a more efficient or less expensive way, modify the effective duration of a fund’s portfolio investments and/or for purposes of total return. However derivatives are used, their successful use is not assured and will depend upon the manager’s ability to predict and understand relevant market movements. See the Schedules of Investments for quantitative disclosures.
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Cover for Strategies Using Derivative Instruments
Transactions using derivative instruments, including but not limited to put and call options written (sold) by a fund, futures contracts, options on futures contracts, and swaps, expose a fund to an obligation to another party and may give rise to a form of leverage. It is each fund’s policy to segregate assets to cover derivative transactions that might be deemed to create leverage under Section 18 of the 1940 Act. In that regard, a fund will not enter into any such transactions unless it has covered such transactions by owning and segregating either (1) an offsetting (“covered”) position in securities, currencies, or other derivative instruments or (2) cash and/or liquid securities with a value sufficient at all times to cover its potential obligations to the extent not covered as provided in (1) above. When a fund is required to segregate cash or liquid securities, it will instruct its custodian as to which cash holdings or liquid assets are to be marked on the books of the fund or its custodian as segregated for purposes of Section 18 of the 1940 Act. The funds will monitor the amount of these segregated assets on a daily basis and no fund will enter into additional transactions that would require the segregation of cash or liquid securities unless the fund holds a sufficient amount of cash or liquid securities that can be segregated.
Forward Currency Contracts
The funds may enter into forward currency contracts in connection with managing the foreign currency exchange risk to which they may be subject in the normal course of pursuing their investment objectives. The primary objective of such transactions is to protect (hedge) against a decrease in the US dollar equivalent value of its foreign securities or the payments thereon that may result from an adverse change in foreign currency exchange rates. However, such transactions may also be used to generate income for a fund or otherwise increase its total return or reduce benchmark risk.
A forward currency contract is an agreement between two parties to buy or sell a specific currency for another at a set price on a future date, which is individually negotiated and privately traded by currency traders and their customers in the interbank market. 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. A fund may either exchange the currencies specified at the maturity of a forward contract or, prior to maturity, enter into a closing transaction involving the purchase or sale of an offsetting forward contract. Closing transactions with respect to forward contracts are usually performed with the counterparty to the original forward contract. The gain or loss arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing a contract is included in net realized gain/(loss) from forward currency contracts on the Statement of Operations. 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.
Forward currency contracts held by the funds are fully collateralized by other securities, as disclosed in the accompanying Schedules of Investments (if applicable). The collateral is evaluated daily to ensure its market value equals or exceeds the current market value of the corresponding forward currency contracts.
Financial Futures Contracts
The funds may be subject to equity price risk, interest rate risk, and foreign currency exchange risk in the normal course of pursuing their investment objectives. Each fund may use futures contracts to manage its market exposures and its exposure 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. Such risks include the imperfect correlation between the price of a derivative and that of the underlying security and the possibility of an illiquid secondary market for these securities. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instrument at a set price for delivery at a future date. At the time a futures contract is purchased or sold, the fund must allocate cash or securities as a deposit payment (“initial margin”). An outstanding futures contract is valued daily, and the payment in cash of “variation margin” will be required, a process known as “marking to the market.” Each day the fund will be required to provide (or will be entitled to receive) variation margin in an amount equal to any decline (in the case of a long futures position) or increase (in the case of a short futures position) in the contract’s value since the preceding day. The daily variation margin is recorded as a receivable or payable on the Statement of Assets and Liabilities. When the contracts are closed, a realized gain or loss is recorded as net realized gain (loss) from financial futures contracts in the Statement of Operations, equal to the difference between the opening and closing values of the contracts.
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US futures contracts have been designed by exchanges that have been designated as “contract markets” by the Commodity Futures Trading Commission (“CFTC”) and such contracts must be executed through a futures commission merchant or brokerage firm that is a member of the relevant contract market. Futures contracts trade on a number of exchange markets, and through their clearing corporations the exchanges guarantee performance of the contracts as between the clearing members of the exchange, thereby reducing the risk of counterparty default. Securities designated as collateral for market value on futures contracts are noted in the Schedules of Investments (as applicable).
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. A fund generally will borrow the security sold in order to make delivery to the buyer. Upon entering into a short position, a 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 on the security. Such payments are recorded as expenses to the fund. When a closing purchase is entered into by a 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
The funds may be subject to equity price risk, interest rate risk, and foreign currency exchange risk in the normal course of pursuing their investment objectives. The funds may use option contracts to manage market exposures and exposure to fluctuation 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.
Generally, an option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy a specified security, currency or other instrument (an “underlying instrument”) from the writer of the option (in the case of a call option), or to sell a specified security, currency, or other instrument to the writer of the option (in the case of put option) at a designated price during the term of the option or at the expiration date of the option. Put and call options that a fund may purchase or write may be traded on a national securities exchange or in the over-the-counter (OTC) market. All option positions entered into on a national securities exchange are cleared and guaranteed by the Options Clearing Corporation, thereby reducing the risk of counterparty default. There can be no assurance that a liquid secondary market will exist for any option purchased or sold.
As the buyer of a call option, the fund has a right to buy the underlying instrument (e.g., a security) at the exercise price at any time during the option period (for American style options) or at the expiration date (for European style options). The fund may enter into closing sale transactions with respect to call options, exercise them, or permit them to expire unexercised. As the buyer of a put option, a fund has the right to sell the underlying instrument at the exercise price at any time during the option period (for American style options) or at the expiration date (for European style options). Like a call option, a fund may enter into closing sale transactions with respect to put options, exercise them or permit them to expire unexercised. When buying options, a fund’s potential loss is limited to the cost (premium plus transaction costs) of the option.
As the writer of a put option, a fund retains the risk of loss should the underlying instrument decline in value. If the value of the underlying instrument declines below the exercise price of the put option and the put option is exercised, the fund, as the writer of the put option, will be required to buy the instrument at the exercise price. The fund will incur a loss to the extent that the current market value of the underlying instrument is less than the exercise price of the put option. However, the loss will be offset at least in part by the premium received from the sale of the put. If a put option written by the fund expires unexercised, the fund will realize a gain in the amount of the premium received.
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 unexercised, 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.
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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.
Swap Agreements
Depending on their structure, swap agreements may increase or decrease a fund’s exposure to equity markets, interest rates, foreign currency values, mortgage securities, corporate borrowing rates, or other factors such as security prices or inflation rates. 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.
Each fund will generally enter into swap agreements on a net basis, which means that the two payment streams that are to be made by the fund and its counterparty are netted out, with the fund receiving or paying, as the case may be, only the net difference in the two payments. The risk of loss to a fund for swap transactions on a net basis depends on which party is obligated to pay the net amount to the other party. If the counterparty is obligated to pay the net amount to the fund, the risk of loss to the fund is loss of the net amount that the fund is entitled to receive. If the fund is obligated to pay the net amount, the fund’s risk of loss is that net amount.
Upon entering into a swap agreement, the fund may be required to pledge to the swap counterparty an amount of cash and/or other assets equal to the total net amount (if any) that would be payable by the fund to the counterparty if the swap were terminated on the date in question, including any early termination payments. Likewise, the counterparty may be required to pledge cash or other assets to cover its obligations to the fund. However, the amount pledged may not always be equal to or more than the amount due to the other party. Therefore, if a counterparty defaults in its obligations to the fund, the amount pledged by the counterparty and available to the fund may not be sufficient to cover all the amounts due to the fund and the fund may sustain a loss.
The fund records a net receivable or payable for the amount expected to be received or paid in the period. Fluctuations in the value of 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 valuation models developed and approved in accordance with the fund’s valuation procedures.
Equity or Total Return Swaps. An equity swap or total return swap is an agreement between two parties under which the parties agree to make payments to each other so as to replicate the economic consequences that would apply had a purchase or short sale of the underlying security taken place. For example, one party agrees to pay the other party the total return earned or realized on the notional amount of an underlying equity security and any dividends declared with respect to that equity security. In return the other party makes payments, typically at a spread to a floating rate, calculated based on the notional amount.
Credit default swaps. A fund may be a buyer or seller of credit default swaps. The “buyer” in a credit default swap agreement is obligated to pay the “seller” a periodic stream of payments over the term of the agreement in return for a payment by the “seller” that is contingent upon the occurrence of a credit event with respect to an underlying reference debt obligation. Generally, a credit event means bankruptcy, failure to timely pay interest or principal, obligation acceleration, or modified restructuring of the reference debt obligation. The contingent payment by the seller generally is the face amount of the debt obligation in exchange for the physical delivery of the reference debt obligation or a cash payment equal to the then current market value of that debt obligation. If no credit event occurs, the seller would receive a fixed rate of income throughout the term of the contract, while the buyer would lose the amount of its payments and recover nothing. Each party is subject to the risk that the other party to the agreement will not meet its obligations, if and when due.
A fund may buy credit default swaps in order to try to hedge against a decline in the value of its portfolio debt securities due to a credit event. A fund may sell credit default swaps, to receive periodic payments but in doing so is exposed to the risk that the value of the reference debt obligation may decline due to a credit event and that it will have to pay the face amount of the reference obligation to the buyer. A fund may also sell credit default swaps in order to gain exposure that is similar to owning the reference debt obligation. As the seller, the fund would effectively add leverage to its portfolio because, in addition to its total assets, the fund would be subject to the risk that there would be a credit event and the fund would have to make a substantial payment.
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4. 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 monthly fee calculated by applying the annual rates set forth below to such fund’s average daily net assets for the month:
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Assets | Multi-Asset Fund | International Equity Fund | US Equity Fund | Short-Term Fund | ||||||||||||
On the first $500 million | 0.20 | % | 0.15 | % | 0.15 | % | 0.03 | % | ||||||||
On the next $500 million | 0.18 | % | 0.13 | % | 0.13 | % | 0.03 | % | ||||||||
On the next $500 million | 0.15 | % | 0.11 | % | 0.11 | % | 0.02 | % | ||||||||
On the next $500 million | 0.13 | % | 0.09 | % | 0.09 | % | 0.02 | % | ||||||||
On the next $500 million | 0.11 | % | 0.07 | % | 0.07 | % | 0.01 | % | ||||||||
On the remainder (> $2.5 billion) | 0.09 | % | 0.05 | % | 0.05 | % | 0.01 | % |
TIP’s board of directors has approved money manager agreements with each of the money managers. Certain 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, usually proportionately, to reflect actual investment performance over the applicable time period relative to a chosen benchmark rate of return. Other money managers will receive management fees equal to a specified percentage per annum of the assets under management with a single rate or on a descending scale. Money managers who provide services to the funds and their fees as a percent of assets managed during the six months ended June 30, 2009 were as follows:
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Minimum | Maximum | Effective Fee Rate | ||||||||||
Multi-Asset Fund | ||||||||||||
Aronson + Johnson + Ortiz LP (a) | 0.10 | % | 0.80 | % | 0.73 | % | ||||||
Brookfield Redding, LLC (a) | 0.50 | % | 2.50 | % | 2.30 | % | ||||||
Marathon Asset Management, LLP (a) | 0.15 | % | (b) | 0.30 | % | |||||||
Mondrian Investment Partners Limited | 0.30 | % | 0.43 | % | 0.35 | % | ||||||
Shapiro Capital Management LLC (a) | 0.50 | % | 0.95 | % | 0.99 | % | ||||||
Smith Breeden Associates, Inc. (a) | 0.10 | % | 0.85 | % | 0.10 | % | ||||||
Southeastern Asset Management, Inc.-Global (c) | 1.00 | % | 1.00 | % | 1.00 | % | ||||||
Southeastern Asset Management, Inc.-Japan (c) | 1.00 | % | 1.50 | % | 1.50 | % | ||||||
Wellington Management Company, LLP-HighYield (d) | 0.35 | % | 0.45 | % | 0.44 | % | ||||||
Wellington Management Company, LLP-Natural Resources | 0.35 | % | 0.45 | % | 0.40 | % | ||||||
Westport Asset Management, Inc. (a) | 0.15 | % | 2.00 | % | 1.67 | % | ||||||
International Equity Fund | ||||||||||||
Marathon Asset Management, LLP (a) | 0.15 | % | 1.60 | % | 1.99 | % | ||||||
Mondrian Investment Partners Limited | 0.33 | % | 0.55 | % | 0.53 | % | ||||||
US Equity Fund | ||||||||||||
Aronson + Johnson + Ortiz LP (a) | 0.10 | % | 0.80 | % | 0.80 | % | ||||||
Shapiro Capital Management LLC (a) | 0.50 | % | 0.95 | % | 0.96 | % | ||||||
Westport Asset Management, Inc. (a) | 0.15 | % | 2.00 | % | 3.42 | % |
(a) | Money manager receives a fee that includes a performance component. The effective fee may fall outside of the minimum and maximum range, because performance fees are based on either assets or performance from a period prior to when they are accrued. |
(b) | With respect to fund assets managed prior to October 31, 2008, Marathon’s fee is based on performance. Its fee formula with respect to such assets entails a floor of 15 basis points, a cap of 160 basis points, and a fulcrum fee of 88 basis points. With respect to assets allocated to Marathon on or after October 31, 2008, which represented approximately one-third of the fund assets allocated to Marathon as of that date, Marathon’s compensation entails an asset-backed fee of 0.35% per year and a performance fee, pursuant to which Marathon will receive 20% of the amount by which the annualized return generated by the portfolio exceeds that of the MSCI ACW Index, measured over a rolling sixty-month period, multiplied by the average daily net asset value of such assets over the same sixty-month period. |
(c) | Money manager portfolio inception was June 24, 2009. |
(d) | Money manager portfolio inception was June 29, 2009. |
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With respect to the 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.
TIP has designated Mr. Christian A. Szautner as its Chief Compliance Officer (“CCO”). Mr. Szautner is an employee of TAS and also serves as TAS’s CCO. For his services to TIP, which include the monitoring of TIP’s compliance program pursuant to Rule 38a-1 under the Investment Company Act of 1940, as amended (the “1940 Act”), TIP reimburses TAS for a portion of the costs related to Mr. Szautner. Each fund pays a pro rata portion of such costs based on its share of TIP’s net assets.
Pursuant to a series of agreements, State Street Bank and Trust Company (“State Street”) earns a fee for providing core fund administration, fund accounting, domestic custody, and transfer agent services of 0.07% per annum on the average daily net assets of TIP. Fees paid for non-core services rendered by State Street, which include but are not limited to foreign custody, transactional fees, and out-of-pocket expenses, are based upon assets of TIP and/or on transactions entered into by TIP during the period. Fees for such services paid to State Street by TIP are reflected as fund administration fees in the Statement of Operations.
Effective July 1, 2009, TAS provides certain administrative services, which previously had been provided in substantial part by a third party service provider, to TIP under a Services Agreement. For these services, each fund pays a monthly fee calculated by applying the following annual rates to such fund’s average daily net assets for the month: 0.02% for Multi-Asset, International Equity, and US Equity Funds, respectively, and 0.01% for Short-Term Fund.
5. Investment Transactions
Cost of investment securities purchased and proceeds from sales of investment securities, other than short-term investments, during the six months ended June 30, 2009, were as follows:
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Non-US Government Securities | ||||||||
Fund | Purchases | Sales | ||||||
Multi-Asset | $ | 505,789,145 | $ | 432,587,501 | ||||
International Equity | 8,874,677 | 25,802,691 | ||||||
US Equity | 13,614,801 | 30,191,756 |
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US Government Securities | ||||||||
Fund | Purchases | Sales | ||||||
Multi-Asset | $ | 792,932,666 | $ | 777,965,319 |
For federal income tax purposes, the cost of securities owned at June 30, 2009, has been estimated since the final tax characteristic cannot be determined until fiscal year end. The cost of securities, the aggregate gross unrealized appreciation (depreciation), and the net unrealized appreciation (depreciation) on securities owned June 30, 2009, for each fund are as follows:
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Fund | Gross Appreciation | Gross Depreciation | Net Unrealized Appreciation/ (Depreciation) | Cost | ||||||||||||
Multi-Asset | $ | 168,342,759 | $ | (319,614,315 | ) | $ | (151,271,556 | ) | $ | 2,580,978,458 | ||||||
International Equity | 19,527,010 | (48,366,137 | ) | (28,839,127 | ) | 210,991,733 | ||||||||||
US Equity | 16,919,702 | (27,545,292 | ) | (10,625,590 | ) | 132,197,982 | ||||||||||
Short-Term | 3,060 | (7,383 | ) | (4,323 | ) | 242,160,508 |
6. Federal Tax Information
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 U.S. generally accepted accounting principles. 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 amount and character of tax-basis distributions and composition of net assets are finalized at fiscal year-end; accordingly, tax-basis balances have not been determined as of June 30, 2009.
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7. Repurchase and Reverse Repurchase Agreements
Each fund may enter into repurchase agreements under which a member bank of the Federal Reserve System or a securities firm that is a primary or reporting dealer in US government 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 member bank of the Federal Reserve System or 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. Open reverse repurchase agreements at June 30, 2009 were as follows:
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Description | Face Value | |||
Multi-Asset Fund | ||||
JP Morgan Chase & Co., (1.90%), dated 06/09/09, to be repurchased on 12/31/50(a) | $ | 43,268,250 | ||
JP Morgan Chase & Co., 0.35%, dated 06/23/09, to be repurchased on 07/01/09 at $41,688,242 | 41,685,000 | |||
Total reverse repurchase agreements | $ | 84,953,250 | ||
Average balance outstanding | $ | 68,734,010 | ||
Average interest rate | 0.15 | % |
(a) | Reverse repurchase agreement interest rate resets every one to three days. The Fund may terminate the agreement at any time without penalty. Interest rate disclosed is as of June 30, 2009. |
Each fund will engage in repurchase and reverse repurchase transactions with parties approved by TAS or the relevant money manager 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 their 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 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.
8. Capital Share Transactions
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.
9. 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
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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. 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 its portfolio, the fund may dispose of a commitment prior to settlement if the respective money manager deems 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.
TBA commitments are valued at the current market value of the underlying securities, generally according to the procedures described under Valuation of Investments in Note 2. The contracts are 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.
10. 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 total return, credit default, 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 fluctuations. Although the fund generally maintains a diversified portfolio, the ability of the issuers of the respective fund’s 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.
The Multi-Asset Fund invests in asset-backed and mortgage-backed securities. These investments may involve credit risk, prepayment risk, possible illiquidity and default, as well as increased susceptibility to adverse economic conditions.
11. Fundamental Members
The schedule below shows the number of members each owning 25% or more of a fund and the total percentage of the fund held by such members as of June 30, 2009.
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Fund | Number | % of Fund Held | ||||||
International Equity | 1 | (a) | 53 |
(a) | A Director of the Fund serves as an officer of this member. |
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.
12. Indemnifications
In the normal course of business, the funds enter into contracts that provide general indemnifications. The funds’ maximum exposure under these arrangements is dependent on future claims that may be made against the funds and, therefore, cannot be established; however, based on experience, the risk of loss from such claims is considered remote.
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13. Subsequent Events
In accordance with the provisions set forth in FASB Statement of Financial Accounting Standards No. 165 “Subsequent Events,” adopted by the funds as of June 30, 2009, management has evaluated the possibility of subsequent events existing in the funds’ financial statements through August 26, 2009. Management has determined that there are no material events that would require recognition or disclosure in the fund’s financial statements.
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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 TIFF’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 and without charge, upon request, by calling 800-984-0084.
Quarterly Reporting
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 http://www.tiff.org.
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During an in-person meeting held on June 16-17, 2009, the directors, including all of the directors who are not “interested persons” of TIP (the “independent directors”), as that term is defined in the Investment Company Act of 1940 (the “1940 Act”), evaluated the renewal of the Advisory Agreements between each of the TIP funds and TIFF Advisory Services, Inc. (“TAS”) (as the advisor), as well as the Money Manager Agreements between each of TIFF Multi-Asset Fund, TIFF International Equity Fund, and TIFF US Equity Fund and the money managers (as sub-advisors). The Advisory Agreements and the Money Manager Agreements are collectively referred to herein as “advisory agreements.”
The Board requested and received information from TAS and the money managers in advance of the meeting, which the independent directors reviewed separately in executive sessions with their independent counsel. The materials provided included information regarding personnel and services, investment strategies, certain portfolio holdings, portfolio management, fees and expenses, and performance. Information about brokerage practices was also supplied, including allocation methodology, best execution, commission rates, and commission recapture or soft dollar programs. Extensive information with respect to compliance and administration was supplied such as information on the compliance program, including codes of ethics and business continuity procedures, as well as information concerning any material violations of such program, chief compliance officer background, disclosure about regulatory examinations or other inquiries, and litigation proceedings affecting TAS or the money managers.
In addition, the Board considered the following: (1) a memorandum from counsel for the independent directors 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; (2) responses by TAS and each money manager to questionnaires prepared by counsel for the independent directors requesting information necessary for the directors’ evaluation of the advisory agreements; (3) a Lipper Inc. (“Lipper”) report comparing the performance of each fund to the performance of its applicable benchmark(s) and peer groups, and comparing each fund’s advisory fees and expenses to those of its peer groups; (4) information from TAS regarding the fees charged by TAS to each fund; (5) Money Manager Profiles detailing the individual portfolio managers and fee schedule for each money manager; (6) the ten highest aggregate brokerage commissions report by manager for the year ended December 31, 2008; and (7) financial statements of TAS.
Nature, Extent, and Quality of Services
The Board considered a number of factors in evaluating TAS and the money managers. It noted that information is received at regular meetings throughout the year related to the services rendered by TAS and the money managers as well as the funds’ performance, expense and compliance information. It also noted information received between regular meetings as the need arises. 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, futures contracts, and derivatives), 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 by TAS and each of the money managers.
Profitability
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 paid to each money manager by TIP were negotiated on an arm’s-length basis in a competitive marketplace.
Results of Review of Advisory Agreements
After hearing responses from TAS to questions from the Board and further discussion, the Board voted on June 17, 2009 to re-approve the advisory agreements, except with respect to Smith Breeden Associates, Inc. (“Smith Breeden”). In the case of Smith Breeden, a new form of advisory agreement was approved in lieu of re-approving the existing advisory agreement, as described below. The Board based its evaluation on the material factors presented to it at the meeting and discussed below, including: (1) the terms of the agreements; (2) 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; (3) the nature, quality, and extent of the services performed by TAS and each of the money managers, as well as the cost to TAS of providing such services; (4) the contribution of each money manager towards the overall performance of the relevant fund; (5) the fees charged by TAS and each of the money managers; and (6) the overall
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organization and experience of TAS and each of the money managers. Prior to a vote being taken to re-approve the advisory agreements, the independent directors met separately in executive session to discuss the appropriateness of the agreements and other considerations. In their deliberations with respect to these matters, the independent directors were advised by their independent legal counsel. The independent directors weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. The independent directors concluded that the advisory agreements were reasonable, fair, and in the best interests of the funds and their members, and that the fees provided in such agreements were fair and reasonable. In reaching its conclusion to re-approve the advisory agreements, 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 with a view toward past and future long-term considerations.
While attention was given to all information furnished, the following discusses the primary factors relevant to the Board’s decisions. In each case, the Board concluded that the funds’ performance was acceptable and that the funds’ advisory fees and total expenses were reasonable in light of the quality and nature of services provided.
TIFF Multi-Asset Fund Performance, Fees, and Expenses (including Potential Economies of Scale)
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Money Managers and Benchmarks: | Aronson+Johnson+Ortiz LP S&P 500 Index | |
Brookfield Redding LLC MSCI US REIT Index | ||
Marathon Asset Management, LLP MSCI All Country World Index | ||
Mondrian Investment Partners Limited MSCI All Country World Index | ||
Shapiro Capital Management LLC Russell 2000 Index | ||
Smith Breeden Associates, Inc. Weighted average of the Citigroup 10-year Treasury Index (33%) and the 10-year US Treasury Inflation Protection Security (67%) * | ||
Wellington Management Company, LLP (“Wellington Management”) Resource-Related Sectors of the MSCI World Index | ||
Westport Asset Management, Inc. Russell 2000 Index |
* Note: effective July 1, 2009, the benchmark for Smith Breeden’s portfolio became the Barclays Capital US Government Inflation Linked Bonds Index.
The Board reviewed Multi-Asset Fund’s performance against its benchmarks (the Multi-Asset Fund (“MAF”) Constructed Benchmark, based on the normal allocation to each asset class, and CPI + 5% per annum), and two peer groups. The first peer group consisted of retail and institutional global flexible portfolio funds as classified by Lipper (the “Lipper MAF peer universe”), and the second peer group consisted of the fund and nine global flexible portfolio funds as classified by Lipper (the “Lipper MAF peer group”). The Board considered TAS’s implementation of the fund’s investment strategy across multiple asset classes and money managers. The fund’s returns exceeded the MAF Constructed Benchmark for the annualized trailing one-, three-, five-, ten-year and since-inception periods ending March 31, 2009. However, the fund was significantly behind the CPI + 5% benchmark for the one-, three-, five-, and ten-year periods ending March 31, 2009, and behind, but less so, for the since-inception period ending March 31, 2009. The fund’s returns exceeded the average of the Lipper MAF peer universe and the Lipper MAF peer group for all of the periods provided by Lipper (one-, three-, five- and ten-year periods ended March 31, 2009).
The Board also reviewed the fees and expenses of Multi-Asset Fund against selected funds within two peer groups (consisting only of institutional funds) provided by Lipper. The first expense group (“MAF expense group 1”), consisted of the fund and nine global flexible portfolio funds as classified by Lipper; the second expense group (“MAF expense group 2”) consisted of the fund and two other global flexible fund-of-funds. The Board noted that the actual advisory fee of the fund was well below both the expense group median and expense group average for both the MAF expense group 1 and the MAF expense group 2.
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The total expenses of the fund excluding the underlying fund expenses were also well below the MAF expense group median and expense group average for both the MAF expense group 1 and the MAF expense group 2. Total expenses including the underlying fund expenses of the fund exceeded slightly the median and the average of the MAF expense group 1, but were less than the average of MAF expense group 2 and were equal with the median of MAF expense group 2.
The Board noted that TAS’s fee schedule and the fee schedules of two money managers included breakpoints that could enable the fund 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. One money manager’s fee schedule included both breakpoint and performance-based fees.
With respect to one of the money managers, Smith Breeden, the Board considered and approved a new advisory agreement in lieu of re-approving the existing agreement, as discussed below. The primary purpose for approving a new agreement for Smith Breeden was to approve a change in Smith Breeden’s performance benchmark. In addition, certain updating changes were included in the new agreement. The Board also considered and approved an amendment to the existing advisory agreement with Wellington Management, as discussed below.
TIFF International Equity Fund Performance, Fees, and Expenses (including Potential Economies of Scale)
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Money Managers and Benchmarks: | Marathon Asset Management, LLP MSCI All Country World ex US Index | |
Mondrian Investment Partners Limited MSCI All Country World ex US Index |
The Board reviewed International Equity Fund’s performance against its benchmark (MSCI All Country World ex US Index), and two peer groups. The first peer group consisted of all retail and institutional international multi-cap value funds as classified by Lipper (the “Lipper IEF peer universe”), and the second peer group consisted of the fund and eight other international multi-cap value funds, as classified by Lipper (the “Lipper IEF peer group”). The Board considered TAS’s implementation of the fund’s investment strategy across multiple money managers. As of March 31, 2009, the fund was ahead of its benchmark for the one-, three-, five-, and ten-year and since-inception periods. The fund’s return exceeded the average of the Lipper IEF peer universe and the Lipper IEF peer group for all periods provided by Lipper (one-, three-, five-, and ten-year periods ended March 31, 2009).
The Board reviewed the fees and expenses of International Equity Fund against two peer groups (consisting only of institutional funds) provided by Lipper. The first expense group consisted of the fund and nine other international multi-cap value funds as classified by Lipper (“IEF expense group 1”), and the second expense group consisted of the fund, one other international multi-cap value fund and one international small/mid-cap core fund as classified by Lipper (“IEF expense group 2”). The Board noted that the actual advisory fee of the fund was well below the expense group average and median for IEF expense group 1 and was below the expense group average and at the median for IEF expense group 2. The total expenses of the fund excluding the underlying fund expenses were well below the IEF expense group median and expense group average for both the IEF expense group 1 and IEF expense group 2; however, the total expenses including the underlying fund expenses of the fund exceeded the median and the average of the IEF expense group for both the IEF expense group 1 and IEF expense group 2.
The Board noted that TAS’s fee schedule and the fee schedule of one money manager included breakpoints that could enable the fund to benefit from economies of scale should fund assets grow. The other money manager received performance-based fees, which the Board felt appropriately aligned the money manager’s interests with those of shareholders.
TIFF US Equity Fund Performance, Fees, and Expenses (including Potential Economies of Scale)
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Money Managers and Benchmarks: | Aronson+Johnson+Ortiz LP S&P 500 Index | |
Shapiro Capital Management LLC Russell 2000 Index | ||
Westport Asset Management, Inc. Russell 2000 Index |
The Board reviewed US Equity Fund’s performance against its benchmark (Dow Jones Wilshire 5000 Composite Index), and two peer groups. The first peer group consisted of all retail and institutional multi-cap core funds as classified by Lipper (the “Lipper USEF peer universe”), and the second peer group consisted of the fund and 12 other multi-cap core funds as classified
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by Lipper (the “Lipper USEF peer group”). The Board considered TAS’s implementation of the fund’s investment strategy across multiple money managers. As of March 31, 2009, the fund was ahead of its benchmark for the one-, three-, five-, and ten-year and since-inception periods. The fund’s return exceeded the average of the Lipper USEF peer universe and the Lipper USEF peer group for the one-, three-, and five-year periods ended March 31, 2009; however, for the ten-year period ended March 31, 2009, the fund was ahead of the average of the Lipper USEF peer universe, but lagged the average of the Lipper USEF peer group. The Board also considered information from TAS concerning its evaluation of the money managers’ investment processes and performance.
The Board reviewed the fees and expenses of US Equity Fund against two peer groups (consisting only of institutional funds) provided by Lipper. The first expense group (the “USEF expense group 1”) consisted of the fund and 12 other multi-cap core funds as classified by Lipper, and the second expense group (the “USEF expense group 2”) consisted of the fund, one real estate fund and one flexible portfolio fund as classified by Lipper. The Board noted that the actual advisory fee of the fund was well below both the expense group median and expense group average for both the USEF expense group 1 and USEF expense group 2. The total expenses of the fund excluding the underlying fund expenses were well below the expense group median and expense group average for both the USEF expense group 1 and USEF expense group 2; however, the total expenses including the underlying fund expenses of the fund exceeded slightly the median and the average of the USEF expense group 1 but were well below the average and median of USEF expense group 2.
The Board noted that TAS’s fee schedule included breakpoints that could enable the fund to benefit from economies of scale should fund assets grow. The money managers received performance-based fees, which the Board felt appropriately aligned the money managers’ interests with those of shareholders.
TIFF Short-Term Fund Performance, Fees, and Expenses
The Board reviewed Short-Term Fund’s performance against its benchmarks (Merrill Lynch US 6-Month Treasury Bill Index (the “Index”) and the same Index less 50 basis points per annum), and two peer groups. The first peer group consisted of all retail and institutional ultra-short obligation funds as classified by Lipper (the “Lipper STF peer universe”), and the second peer group consisted of the fund and six other ultra-short obligation funds as classified by Lipper (the “Lipper STF peer group”). The Board considered TAS’s internal management of the fund since 2004. The fund slightly underperformed the Index, which does not reflect any fees or expenses, for the one-, three-, five-, ten-year, and since-inception periods ended March 31, 2009, and slightly outperformed the same Index less 50 basis points per annum for the same periods. These results were consistent with the Board’s expectations of the fund’s performance relative to each benchmark. The fund’s returns exceeded the average of the Lipper STF peer universe and the Lipper STF peer group for all periods provided by Lipper (one-, three-, five-, and ten-year periods ended March 31, 2009).
The Board reviewed the fees and expenses of Short-Term Fund against the funds within the Lipper STF peer group (the “STF expense group”), noting that the actual advisory fee and total expenses of the fund were well below both the STF expense group median and STF expense group average. The Board noted that TAS’s fee schedule included breakpoints that could enable the fund to benefit from economies of scale should fund assets grow.
Approval of New Advisory Agreements and Amendment to Advisory Agreement
During the in-person meeting held on June 16-17, 2009, the Board also evaluated and approved new Money Manager Agreements for Multi-Asset Fund with new money manager Southeastern Asset Management, Inc. (“Southeastern”), effective June 18, 2009, and with existing money manager Smith Breeden, effective July 1, 2009. These Money Manager Agreements are referred to herein as “advisory agreement(s).” The independent directors also approved an amendment to the advisory agreement with Wellington Management, effective June 25, 2009.
Southeastern
TAS recommended to the Board that Southeastern be added as a money manager of Multi-Asset Fund. It was noted that TAS expected to allocate two investment mandates to Southeastern, a global equity mandate and a Japan equity mandate. In considering the advisory agreement with Southeastern for Multi-Asset Fund, the Board requested and considered a wide range of information from TAS and Southeastern in advance of the meeting. The Board considered information regarding Southeastern’s personnel and services, investment strategies and philosophies, portfolio management, fees and expenses, and performance. Information about brokerage practices was also provided, including allocation methodology, best execution, commission rates, and commission recapture or soft dollar programs. It was noted that Southeastern had no soft dollar arrangements in place. In addition, the Board considered extensive information with respect to compliance and administration at Southeastern, including code of ethics and business continuity procedures, as well as information concerning any material violations of the compliance program, the background of Southeastern’s chief compliance officer, and disclosure about regulatory
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examinations or other inquiries and litigation proceedings affecting Southeastern. The Board also considered a memorandum from counsel for the independent directors setting forth the Board’s fiduciary duties and responsibilities under the 1940 Act and the factors the Board should consider in its evaluation of advisory agreements; Southeastern’s responses to a questionnaire prepared by counsel to the independent directors requesting information necessary for the directors’ evaluation of the advisory agreement; and information detailing the individual portfolio managers at Southeastern and Southeastern’s fee schedules.
The Board considered a number of additional factors in evaluating the advisory agreement with Southeastern on behalf of Multi-Asset Fund. The Board considered information describing the addition of Southeastern to Multi-Asset Fund; the advisory services Southeastern will provide to Multi-Asset Fund; the potential benefits of including Southeastern as a money manager to Multi-Asset Fund; and other information deemed relevant. The potential benefits of adding Southeastern as a money manager of Multi-Asset Fund were identified as: (i) concentrated investment philosophy and disciplined security selection process; (ii) active management style; (iii) staff expertise in global investing; (iv) culture of ownership and upstanding ethics; and (v) attractive historical long term returns. The Board concluded that, overall, it was satisfied with the nature, extent, and quality of the services expected to be provided under the advisory agreement with Southeastern. The Board did not specifically consider the profitability of Southeastern expected to result from its relationship with Multi-Asset Fund because Southeastern is not affiliated with TAS or TIP except by virtue of serving as a money manager, and the fees to be paid to Southeastern were negotiated on an arm’s-length basis in a competitive marketplace.
The Board based its evaluation on the material factors presented to it at this meeting and discussed above, including: (i) the terms of the agreement; (ii) the reasonableness of the money manager’s fee in light of the nature and quality of the services to be provided and any additional benefits to be received by Southeastern in connection with providing services to Multi-Asset Fund; (iii) the nature, quality, and extent of the services expected to be performed by Southeastern; (iv) the overall organization and experience of Southeastern; and (v) the nature and expected effects of adding Southeastern as a money manager of Multi-Asset Fund. The Board noted in particular that Southeastern’s performance history was mixed, outperforming the S&P 500 Index over long-term and short-term periods while underperforming over medium-term periods, and concluded that, overall, the performance history was satisfactory. In addition, the Board noted the asset-based fee schedules for both the global equity and Japan equity mandates and the breakpoints included in the Japan equity mandate fee schedule. Although the fee schedule for the global equity mandate did not include breakpoints, it was consistent with Southeastern’s published standard fee schedule for similarly-sized global equity accounts. In arriving at its decision to approve the advisory agreement with Southeastern, 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 with a view toward future long-term considerations.
After carefully considering the information summarized above and all factors deemed to be relevant, the Board, including the independent directors, unanimously voted to approve the advisory agreement with Southeastern for Multi-Asset Fund. Prior to a vote being taken, the independent directors met separately in executive session to discuss the appropriateness of the agreement and other considerations. In their deliberations with respect to these matters, the independent directors were advised by their independent legal counsel. The independent directors weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of the investment advisory contracts. The Board, including the independent directors, concluded that the advisory agreement with Southeastern was reasonable, fair, and in the best interests of Multi-Asset Fund and its members, and that the fee provided in such agreement was fair and reasonable. In the Board’s view, approving the advisory agreement with Southeastern was desirable and in the best interests of Multi-Asset Fund and its members.
Smith Breeden
The new advisory agreement with Smith Breeden revises the performance benchmark for purposes of determining excess returns under the performance fee formula applicable to Smith Breeden and updates certain other contractual provisions in accordance with TIP’s standard form of money manager agreement. The new advisory agreement does not alter the fee formula applicable to Smith Breeden, other than the performance benchmark. In considering the new advisory agreement with Smith Breeden in connection with their annual review of TIP’s advisory agreements and fees (the “Annual Review”), the Board requested and considered a wide range of information of the type they regularly consider when determining whether to continue such advisory agreements as in effect from year to year. A discussion of the Board's consideration of the existing advisory agreements at the June 2009 meeting is included above.
In approving the new advisory agreement with Smith Breeden at the June 16-17, 2009 meeting, the Board considered the information provided and the factors to be considered in connection with the review of the advisory agreement at the Annual Review, as well as such other information as the Board considered appropriate. The Board noted that the proposed change to
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Smith Breeden’s performance benchmark had been recommended by TAS and coincided with changes to the MAF Constructed Benchmark scheduled to go into effect on July 1, 2009, increasing the MAF Constructed Benchmark’s normal weight to Treasury inflation protection bonds.
In evaluating the new advisory agreement with Smith Breeden at the June 16-17, 2009 meeting, the Board considered a number of additional factors. The Board based its evaluation on the material factors presented to it at this meeting and discussed above, including: (i) the terms of the new advisory agreement; (ii) the reasonableness of the money manager’s fees in light of the nature and quality of the money manager services provided by Smith Breeden and any additional benefits received by Smith Breeden in connection with providing services to Multi-Asset Fund; (iii) the nature, quality, and extent of the services performed by Smith Breeden; (iv) the overall organization and experience of Smith Breeden; and (v) the nature and expected effects of the new performance benchmark on Smith Breeden’s portfolio. The Board noted that the level of assets currently under management is not sufficient to take advantage of the breakpoints in the advisory fee schedule. 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 with a view toward past and future long-term considerations.
After carefully considering the information summarized above and all factors deemed to be relevant, the Board, including the independent directors, unanimously voted to approve the new advisory agreement with Smith Breeden for Multi-Asset Fund. The previous advisory agreement with Smith Breeden terminated in accordance with its terms on June 30, 2009. Prior to a vote being taken to approve the new advisory agreement, the independent directors met separately in executive session to discuss the appropriateness of the agreement and other considerations. In their deliberations with respect to these matters, the independent directors were advised by their independent legal counsel. The independent directors weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. The Board, including the independent directors, concluded that the new advisory agreement with Smith Breeden was reasonable, fair, and in the best interests of Multi-Asset Fund and its members, and that the fees provided in such agreement were fair and reasonable.
Wellington Management
At its meeting held on June 16-17, 2009, in connection with the Annual Review, the directors, including all of the independent directors, approved continuance of the existing advisory agreement with Wellington Management, as described above. In addition, TAS recommended, and the Board approved, Amendment No. 3 to the advisory agreement (“Amendment No. 3”) in connection with a planned allocation to Wellington Management of additional Multi-Asset Fund assets to be managed in accordance with a high yield bond mandate. An amendment to the advisory agreement was necessary prior to funding the new high yield bond mandate to add a fee schedule to the agreement with respect to such assets. The amendment also updates certain other contractual provisions in accordance with TIP’s standard form of money manager agreement.
In considering Amendment No. 3, the Board requested and considered a wide range of information of the type they regularly consider when determining whether to continue a fund's money manager agreement as in effect from year to year. In approving Amendment No. 3, the Board considered the information provided and the factors to be considered in connection with the review of the advisory agreement at the Annual Review, as well as such other information as the Board considered appropriate. The Board noted that Amendment No. 3 had been recommended by TAS and coincided with changes to the MAF Constructed Benchmark scheduled to go into effect on July 1, 2009, increasing the MAF Constructed Benchmark’s normal weight to high yield bonds.
In evaluating Amendment No. 3 at the June 16-17, 2009 meeting, the Board considered a number of additional factors, including information regarding Wellington Management’s (i) approach to high yield bond investing; (ii) staff expertise in high yield bond investing; and (iii) benchmark performance and core high yield composite investment returns. The Board concluded that, overall, it was satisfied with the nature, extent, and quality of the services currently being provided, and expected to be provided with respect to the high yield bond mandate, by Wellington Management.
The Board based its evaluation on the material factors presented to it at the meeting and discussed above, including: (i) the terms of the agreement, including Amendment No. 3; (ii) the reasonableness of the money manager’s fees in light of the nature and quality of the money manager services provided and to be provided by Wellington Management and any additional benefits received or to be received by Wellington Management in connection with providing services to Multi-Asset Fund; (iii) the nature, quality, and extent of the services performed and to be performed by Wellington Management; (iv) the overall organization and experience of Wellington Management; and (v) the nature and expected effects on Multi-Asset Fund of adding the high yield bond mandate. The Board noted that Wellington Management’s core high yield bond composite performance history was favorable versus a custom benchmark. It also noted the asset-based fee schedule with respect to the high yield bond mandate,
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as set forth in Amendment No. 3, included breakpoints. 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 with a view toward future long-term considerations.
After carefully considering the information summarized above and other factors deemed to be relevant, the Board, including the independent directors, unanimously voted to approve Amendment No. 3 for Multi-Asset Fund. Prior to a vote being taken to approve Amendment No.3 for Multi-Asset Fund, the independent directors met separately in executive session to discuss the appropriateness of the amendment and other considerations. In their deliberations with respect to these matters, the independent directors were advised by their independent legal counsel. The independent directors weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. The Board, including the independent directors, concluded that Amendment No. 3 was reasonable, fair, and in the best interests of Multi-Asset Fund and its members, and that the fees provided in such amended fee schedule were fair and reasonable.
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The board of directors of TIP comprises experienced institutional investors, including the chief investment officers of leading endowments and foundations. Among responsibilities of the board of directors are selecting investment advisors for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new directors; and electing TIP officers.
Each director services the fund until his or her termination; or until the director’s retirement, resignation, or death; or otherwise as specified in TIP’s Bylaws. The table on these two pages shows information for each director and executive officer of the fund. The mailing address of the directors and officers is Four Tower Bridge, 200 Barr Harbor Drive, Suite 100, West Conshohocken, PA, 19428.
The Statement of Additional Information has additional information regarding the board of directors. A copy is available by calling 800-984-0084. This information is also available upon request without charge on the website of the US Securities and Exchange Commission at http://www.sec.gov.
Independent Directors
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Suzanne Brenner | ||
Born 1958 Director since July 2003 4 funds overseen | Principal Occupation(s) During the Past Five Years: Chief Investment Officer, The Metropolitan Museum of Art (2007 – present) (Deputy CIO and Associate Treasurer prior thereto). Other Directorships: 100 Women in Hedge Funds. | |
Sheryl L. Johns | ||
Born 1956 Director since April 1996 4 funds overseen | Principal Occupation(s) During the Past Five Years: Executive Vice President, Houston Endowment Inc., a private foundation. Other Directorships: TIFF Education Foundation. | |
William McCalpin | ||
Born 1957 Director since February 2008 Board Chair since 2008 4 funds overseen | Principal Occupation(s) During the Past Five Years: Chair of The Janus Funds (2008 – present). Formerly Executive Vice President and Chief Operating Officer, Rockefeller Brothers Fund, a private foundation (1998 – 2006). Other Directorships: The Janus Funds, FB Heron Foundation, Association. |
Principal Officers
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Richard J. Flannery | ||
Born 1957 President and CEO since September 2003 | Principal Occupation(s) During the Past Five Years: CEO, TIFF Advisory Services, Inc. (2004 – present). President and CEO, TIFF Investment Program, Inc. (2003 – present). Directorships: TIFF Advisory Services, Inc. | |
Tina M. Leiter | ||
Born 1966 Secretary since June 2003 | Principal Occupation(s) During the Past Five Years: Deputy Compliance Officer (2008 – present), Secretary (2004 – present), Chief Compliance Officer (2004 – 2008), TIFF Advisory Services, Inc. | |
Dawn I. Lezon | ||
Born 1965 CFO and Treasurer since January 2009 (Vice President and Assistant Treasurer, September 2006 – December 2008) | Principal Occupation(s) During the Past Five Years: Vice President/Treasurer, TIFF Advisory Services, Inc. (2006 – present). Partner, Crane, Tonelli, Rosenberg & Co., LLP, public accounting firm (1998 – 2006). |
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Kelly A. Lundstrom | ||
Born 1964 Vice President since September 2006 | Principal Occupation(s) During the Past Five Years: Vice President, TIFF Advisory Services, Inc. (2006 – present). | |
Richelle S. Maestro | ||
Born 1957 Vice President and Chief Legal Officer since March 2006 | Principal Occupation(s) During the Past Five Years: Vice President/General Counsel, TIFF Advisory Services, Inc. (2005 – present). Executive Vice President/General Counsel, Delaware Investments (2003 – 2005). | |
David A. Salem | ||
Born 1956 Vice President and CIO since December 2002 (President prior thereto) | Principal Occupation(s) During the Past Five Years: President/Chief Investment Officer, TIFF Advisory Services, Inc. (1993 – present) (CEO 1993 – 2004). Directorships: TIFF Advisory Services, Inc., TIFF Education Foundation. | |
Christian A. Szautner | ||
Born 1972 CCO since July 2008 | Principal Occupation(s) During the Past Five Years: Vice President/Chief Compliance Officer, TIFF Advisory Services, Inc. (2008 – present). Partner, Ballard Spahr Andrews & Ingersoll, LLP (2005 – 2008). Associate, Ballard Spahr Andrews & Ingersoll, LLP (1997 – 2005). |
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TIFF Investment Program
ADVISOR
TIFF Advisory Services, Inc.
Four Tower Bridge
200 Barr Harbor Drive, Suite 100
West Conshohocken, PA 19428
phone 610-684-8000
fax 610-684-8080
CUSTODIAN
ACCOUNTING AGENT
TRANSFER AGENT
DIVIDEND DISBURSING AGENT
FUND ADMINISTRATOR
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
FUND DISTRIBUTOR
Quasar Distributors, LLC
615 East Michigan Street
Milwaukee, WI 53202
FUND COUNSEL
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
Ernst & Young LLP
Two Commerce Square
Suite 4000
2001 Market Street
Philadelphia, PA 19103
MONEY MANAGERS AND CIV MANAGERS
TIFF Multi-Asset Fund
Aronson + Johnson + Ortiz LP
Brookfield Redding, LLC
Canyon Capital Advisors LLC (CIV)
Convexity Capital Management LP (CIV)
Farallon Capital Management, LLC (CIV)
Joho Capital, LLC (CIV)
Lansdowne Partners Limited (CIV)
Lone Pine Capital LLC (CIV)
Marathon Asset Management, LLP
Maverick Capital, Ltd. (CIV)
Mondrian Investment Partners Limited
Och-Ziff Capital Management Group (CIV)
Regiment Capital Management, LLC (CIV)
Shapiro Capital Management LLC
Sleep, Zakaria & Company, Ltd. (CIV)
Smith Breeden Associates, Inc.
Southeastern Asset Management, Inc.
TIFF Advisory Services, Inc.
Toscafund Asset Management LLC (CIV)
Wellington Management Company, LLP
Westport Asset Management, Inc.
TIFF International Equity Fund
Convexity Capital Management LP (CIV)
Lansdowne Partners Limited (CIV)
Lone Pine Capital LLC (CIV)
Marathon Asset Management, LLP
Mondrian Investment Partners Limited
TIFF Advisory Services, Inc.
Toscafund Asset Management LLC (CIV)
TIFF US Equity Fund
Adage Capital Management, LP (CIV)
Aronson+Johnson+Ortiz LP
Shapiro Capital Management LLC
TIFF Advisory Services, Inc.
Westport Asset Management, Inc.
TIFF Short-Term Fund
TIFF Advisory Services, Inc.
Investors should consider the investment objectives, risks and charges and expenses of a fund carefully before investing. The prospectus contains this and other information about the funds. A prospectus may be obtained by contacting TIFF at 800-984-0084 or by visiting TIFF’s website at www.tiff.org. Please read the prospectus carefully before investing. The SEC does not approve or disapprove of the securities mentioned in this report. 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 Procedure for Closed-End Management Investment Companies.
Not Applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 9. Purchases 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.
During the reporting period, there were no material changes to the procedures by which members may recommend nominees to the registrant’s board of directors.
Item 11. Controls and Procedures.
(a) The Registrant's Chief Executive Officer and Chief 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 (17 CFR 270.30a-3(c))) (the “1940 Act”) 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 most recent 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 Chief Executive Officer and Chief 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 99.CERT.
(a)(3) Not Applicable to this filing.
(b) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule 30a-2(b), under the Investment Company Act of 1940 (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 99.906.CERT.
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![]() President and Chief Executive Officer |
Date | 8/26/2009![]() |
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) | Richard J. Flannery![]() President and Chief Executive Officer |
Date | 8/26/2009![]() |
By (Signature and Title) | Dawn I. Lezon![]() |
Date | 8/26/2009![]() |