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: | 12/31/11 |
Date of reporting period: | 01/01/11 – 06/30/11 |
Item 1. Reports to Stockholders.
(Semi-Annual Report for the period 01/01/11 through 06/30/11 is filed herewith)
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SEMI-ANNUAL REPORT | ![]() | |||||
June 30, 2011 (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, 2011. 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 29, 2011
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 | |||
■ Statements of Changes in Net Assets | 28 | |||
■ Statement of Cash Flows | 29 | |||
TIFF International Equity Fund | ||||
■ Fund Expenses | 31 | |||
■ Financial Highlights | 32 | |||
■ Schedule of Investments | 33 | |||
■ Statement of Assets and Liabilities | 42 | |||
■ Statement of Operations | 43 | |||
■ Statements of Changes in Net Assets | 44 | |||
■ Statement of Cash Flows | 45 | |||
TIFF US Equity Fund | ||||
■ Fund Expenses. | 47 | |||
■ Financial Highlights | 48 | |||
■ Schedule of Investments | 49 | |||
■ Statement of Assets and Liabilities | 54 | |||
■ Statement of Operations | 55 | |||
■ Statements of Changes in Net Assets | 56 | |||
■ Statement of Cash Flows | 57 | |||
TIFF Short-Term Fund | ||||
■ Fund Expenses | 59 | |||
■ Financial Highlights | 60 | |||
■ Schedule of Investments | 61 | |||
■ Statement of Assets and Liabilities | 62 | |||
■ Statement of Operations | 63 | |||
■ Statements of Changes in Net Assets | 64 | |||
■ Statement of Cash Flows | 65 | |||
Notes to Financial Statements | 66 | |||
Additional Information | 80 | |||
Approval of the Amended and Restated Advisory Agreement | 81 | |||
Approval of the Advisory Agreements and Money Manager Agreements | 84 | |||
Directors and Principal Officers | 88 |
Copyright © 2011 ■ 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) transaction 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, 2011 to June 30, 2011.
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 transactional 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 transactional 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 1/1/11 | Ending Account Value 6/30/11 | Expense Paid During the Period* 1/1/11 – 6/30/11 | Beginning Account Value 1/1/11 | Ending Account Value 6/30/11 | Expense Paid During the Period* 1/1/11 – 6/30/11 | |||||||||||||||||||
1) Actual | $ | 1,000 | $ | 1,035.70 | $ | 3.68 | $ | 1,000 | $ | 1,035.70 | $ | 3.33 | ||||||||||||
2) Hypothetical | $ | 1,000 | $ | 1,021.17 | $ | 3.66 | $ | 1,000 | $ | 1,021.52 | $ | 3.31 |
* | Expenses are equal to the fund’s annualized expense ratio of 0.73% (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 0.66%. The expense ratio does not include the fees and expenses associated with investments made in acquired funds; such fees and expenses are reflected in the acquired funds' 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 Amended and Restated Advisory Agreement, a new investment advisory agreement between Multi-Asset Fund and TIFF Advisory Services, Inc. (“TAS”) became effective June 1, 2011. Had the new investment advisory agreement been in place during the full six-month period (see Note 4 to the Financial Statements), the annualized expense ratio including interest and dividend expense would have been 0.80% and the expenses paid under the actual and hypothetical scenarios would have been $4.04 and $4.01, respectively. Excluding interest and dividend expense, pro forma expenses incurred by the fund would have been 0.73% and the expenses paid under the actual and hypothetical scenarios would have been $3.68 and $3.66, 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 6/30/11 (Unaudited) | Year Ended 12/31/10 | Year Ended 12/31/09 | Year Ended 12/31/08 | Year Ended 12/31/07 | Year Ended 12/31/06 | |||||||||||||||||||
For a share outstanding throughout each period | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.55 | $ | 14.39 | $ | 11.70 | $ | 16.65 | $ | 16.29 | $ | 14.92 | ||||||||||||
Income (loss) from investment operations | ||||||||||||||||||||||||
Net investment income (a) | 0.15 | 0.19 | 0.18 | 0.40 | 0.44 | 0.36 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.40 | 1.67 | 3.10 | (4.68 | ) | 1.73 | 2.03 | |||||||||||||||||
Total from investment operations | 0.55 | 1.86 | 3.28 | (4.28 | ) | 2.17 | 2.39 | |||||||||||||||||
Less distributions from | ||||||||||||||||||||||||
Net investment income | (0.15 | ) | (0.70 | ) | (0.61 | ) | (0.37 | ) | (0.80 | ) | (0.49 | ) | ||||||||||||
Net realized gains | — | (0.01 | ) | — | (0.05 | ) | (1.03 | ) | (0.56 | ) | ||||||||||||||
Return of capital | — | — | — | (0.28 | ) | — | — | |||||||||||||||||
Total distributions | (0.15 | ) | (0.71 | ) | (0.61 | ) | (0.70 | ) | (1.83 | ) | (1.05 | ) | ||||||||||||
Entry/exit fee per share (a) | 0.01 | 0.01 | 0.02 | 0.03 | 0.02 | 0.03 | ||||||||||||||||||
Net asset value, end of period | $ | 15.96 | $ | 15.55 | $ | 14.39 | $ | 11.70 | $ | 16.65 | $ | 16.29 | ||||||||||||
Total return (b) | 3.57 | %(c) | 13.18 | % | 28.75 | % | (25.98 | )% | 13.53 | % | 16.53 | % | ||||||||||||
Ratios/supplemental data | ||||||||||||||||||||||||
Net assets, end of period (000s) | $ | 4,192,830 | $ | 3,876,799 | $ | 3,060,722 | $ | 2,079,472 | $ | 2,218,641 | $ | 1,599,583 | ||||||||||||
Ratio of expenses to average net assets (d) | 0.73 | %(e) | 0.81 | % | 0.65 | % | 0.53 | % | 0.70 | % | 0.67 | % | ||||||||||||
Ratio of expenses to average net assets, excluding interest and dividend expense (d) | 0.66 | %(e) | 0.76 | % | 0.60 | % | 0.44 | % | 0.60 | % | 0.53 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.89 | %(e) | 1.28 | % | 1.40 | % | 2.71 | % | 2.54 | % | 2.26 | % | ||||||||||||
Portfolio turnover | 18 | %(c) | 48 | % | 90 | % | 112 | % | 71 | % | 62 | % |
(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, it does not reflect the deduction of such fees from a member's purchase or redemption transaction. Therefore, 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 acquired funds; such fees and expenses are reflected in the acquired funds' 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 — 41.0% | |||||||||
US Common Stocks — 17.4% | |||||||||
Aerospace & Defense — 0.2% | |||||||||
AAR Corp. | 100,000 | $ | 2,708,999 | ||||||
General Dynamics Corp. | 2,900 | 216,108 | |||||||
Huntington Ingalls Industries, Inc. (a) | 1,359 | 46,885 | |||||||
Lockheed Martin Corp. | 6,700 | 542,499 | |||||||
Northrop Grumman Corp. | 16,757 | 1,162,098 | |||||||
Raytheon Co. | 34,262 | 1,707,961 | |||||||
6,384,550 | |||||||||
Air Freight & Logistics — 0.3% | |||||||||
Expeditors International of Washington, Inc. | 14,229 | 728,383 | |||||||
FedEx Corp. | 100,000 | 9,485,000 | |||||||
United Parcel Service, Inc. (UPS), Class B | 50,300 | 3,668,379 | |||||||
13,881,762 | |||||||||
Airlines — 0.1% | |||||||||
AMR Corp. (a) | 283,429 | 1,530,516 | |||||||
Delta Air Lines, Inc. (a) | 300,258 | 2,753,366 | |||||||
US Airways Group, Inc. (a) | 149,725 | 1,334,050 | |||||||
5,617,932 | |||||||||
Auto Components — 0.0% | |||||||||
Goodyear Tire & Rubber Co. (The) (a) | 30,600 | 513,162 | |||||||
Automobiles — 0.0% | |||||||||
Fleetwood Enterprises, Inc. (b) (c) | 690,543 | — | |||||||
Beverages — 0.1% | |||||||||
Constellation Brands, Inc., Class A (a) | 151,100 | 3,145,902 | |||||||
Biotechnology — 0.0% | |||||||||
Biogen Idec, Inc. (a) | 4,400 | 470,448 | |||||||
Gilead Sciences, Inc. (a) | 9,200 | 380,972 | |||||||
851,420 | |||||||||
Capital Markets — 0.2% | |||||||||
Ameriprise Financial, Inc. | 8,963 | 516,986 | |||||||
Federated Investors, Inc., Class B | 26,908 | 641,486 | |||||||
Franklin Resources, Inc. | 3,200 | 420,128 | |||||||
Goldman Sachs Group, Inc. (The) | 3,400 | 452,506 | |||||||
Legg Mason, Inc. | 123,638 | 4,050,381 | |||||||
Northern Trust Corp. | 89,500 | 4,113,420 | |||||||
10,194,907 | |||||||||
Chemicals — 0.3% | |||||||||
Calgon Carbon Corp. (a) | 108,500 | 1,844,500 | |||||||
Eastman Chemical Co. | 4,200 | 428,694 | |||||||
HB Fuller Co. | 72,500 | 1,770,450 | |||||||
Lubrizol Corp. | 2,300 | 308,821 | |||||||
Monsanto Co. | 28,938 | 2,099,162 | |||||||
Mosaic Co. (The) | 26,000 | 1,760,980 | |||||||
Nalco Holding Co. | 130,200 | 3,620,862 | |||||||
Scotts Miracle-Gro Co. (The), Class A | 37,614 | 1,929,974 | |||||||
Sherwin-Williams Co. (The) | 1,672 | 140,231 | |||||||
13,903,674 |
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Number of Shares | Value | ||||||||
Commercial Banks — 0.4% | |||||||||
CIT Group, Inc. (a) | 32,120 | $ | 1,421,632 | ||||||
Fifth Third Bancorp | 22,000 | 280,500 | |||||||
Huntington Bancshares Inc. | 127,361 | 835,488 | |||||||
KeyCorp | 62,200 | 518,126 | |||||||
M&T Bank Corp. | 14,119 | 1,241,766 | |||||||
Marshall & Ilsley Corp. | 205,800 | 1,640,226 | |||||||
PNC Financial Services Group, Inc. | 11,200 | 667,632 | |||||||
Preferred Bank/Los Angeles CA (a) | 19,966 | 143,755 | |||||||
Regions Financial Corp. | 163,700 | 1,014,940 | |||||||
Synovus Financial Corp. | 341,600 | 710,528 | |||||||
Wells Fargo & Co. | 255,133 | 7,159,032 | |||||||
15,633,625 | |||||||||
Commercial Services & Supplies — 0.1% | |||||||||
KAR Auction Services, Inc. (a) | 145,500 | 2,751,405 | |||||||
Pitney Bowes, Inc. | 8,200 | 188,518 | |||||||
Viad Corp. | 91,650 | 2,042,878 | |||||||
4,982,801 | |||||||||
Computers & Peripherals — 0.5% | |||||||||
Apple, Inc. (a) | 4,300 | 1,443,381 | |||||||
Dell, Inc. (a) | 881,290 | 14,691,104 | |||||||
Hewlett-Packard Co. | 40,607 | 1,478,095 | |||||||
QLogic Corp. (a) | 100,000 | 1,592,000 | |||||||
19,204,580 | |||||||||
Construction & Engineering — 0.1% | |||||||||
KBR, Inc. | 70,000 | 2,638,300 | |||||||
Consumer Finance — 0.1% | |||||||||
American Express Co. | 56,820 | 2,937,594 | |||||||
Capital One Financial Corp. | 12,600 | 651,042 | |||||||
Discover Financial Services | 18,100 | 484,175 | |||||||
4,072,811 | |||||||||
Distributors — 0.1% | |||||||||
Genuine Parts Co. | 54,700 | 2,975,680 | |||||||
Diversified Consumer Services — 0.2% | |||||||||
Ascent Media Corp., Series A (a) | 713 | 37,768 | |||||||
DeVry, Inc. | 30,400 | 1,797,552 | |||||||
ITT Educational Services, Inc. (a) | 20,000 | 1,564,800 | |||||||
K12, Inc. (a) | 36,795 | 1,219,386 | |||||||
Sotheby's | 47,344 | 2,059,464 | |||||||
6,678,970 | |||||||||
Diversified Financial Services — 0.3% | |||||||||
Bank of America Corp. | 628,629 | 6,889,774 | |||||||
Citigroup, Inc. | 35,841 | 1,492,419 | |||||||
JPMorgan Chase & Co. | 36,197 | 1,481,905 | |||||||
Moody's Corp. | 35,157 | 1,348,271 | |||||||
11,212,369 | |||||||||
Diversified Telecommunication Services — 0.3% | |||||||||
AT&T, Inc. | 167,900 | 5,273,739 | |||||||
Cincinnati Bell, Inc. (a) | 36,295 | 120,499 | |||||||
FairPoint Communications, Inc. (b) | 2,195 | — | |||||||
General Communications, Inc., Class A (a) | 292,615 | 3,531,863 | |||||||
Level 3 Communications, Inc. (a) | 661,226 | 1,613,392 | |||||||
Verizon Communications, Inc. | 25,800 | 960,534 | |||||||
11,500,027 |
4
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Number of Shares | Value | ||||||||
Electric Utilities — 0.2% | |||||||||
Edison International | 111,200 | $ | 4,309,000 | ||||||
Empire District Electric Co. (The) | 59,000 | 1,136,340 | |||||||
Entergy Corp. | 4,700 | 320,916 | |||||||
Exelon Corp. | 8,900 | 381,276 | |||||||
NV Energy, Inc. | 180,800 | 2,775,280 | |||||||
8,922,812 | |||||||||
Electrical Equipment — 0.1% | |||||||||
Babcock & Wilcox Co. (a) | 130,400 | 3,613,384 | |||||||
Generac Holdings, Inc. (a) | 59,000 | 1,144,600 | |||||||
4,757,984 | |||||||||
Electronic Equipment, Instruments & Components — 0.1% | |||||||||
Checkpoint Systems, Inc. (a) | 239,329 | 4,279,203 | |||||||
Rogers Corp. (a) | 40,000 | 1,848,000 | |||||||
6,127,203 | |||||||||
Energy Equipment & Services — 0.2% | |||||||||
Baker Hughes, Inc. | 3,487 | 253,017 | |||||||
Parker Drilling Co. (a) | 142,500 | 833,625 | |||||||
Tidewater, Inc. | 96,200 | 5,176,522 | |||||||
6,263,164 | |||||||||
Food & Staples Retailing — 0.5% | |||||||||
Costco Wholesale Corp. | 114,163 | 9,274,602 | |||||||
CVS Caremark Corp. | 15,600 | 586,248 | |||||||
Kroger Co. (The) | 127,727 | 3,167,630 | |||||||
Safeway, Inc. | 17,300 | 404,301 | |||||||
SUPERVALU, Inc. | 5,034 | 47,370 | |||||||
Wal-Mart Stores, Inc. | 125,300 | 6,658,442 | |||||||
Walgreen Co. | 17,400 | 738,804 | |||||||
20,877,397 | |||||||||
Food Products — 0.2% | |||||||||
ConAgra Foods, Inc. | 208,100 | 5,371,061 | |||||||
H.J. Heinz Co. | 92,800 | 4,944,384 | |||||||
10,315,445 | |||||||||
Health Care Equipment & Supplies — 0.3% | |||||||||
Accuray, Inc. (a) | 97,563 | 781,480 | |||||||
Baxter International, Inc. | 94,300 | 5,628,767 | |||||||
Cooper Companies, Inc. (The) | 7,100 | 562,604 | |||||||
Kinetic Concepts, Inc. (a) | 75,000 | 4,322,250 | |||||||
11,295,101 | |||||||||
Health Care Providers & Services — 0.9% | |||||||||
Aetna, Inc. | 13,400 | 590,806 | |||||||
AmerisourceBergen Corp. | 15,000 | 621,000 | |||||||
Brookdale Senior Living, Inc. (a) | 329,600 | 7,992,800 | |||||||
Cardinal Health, Inc. | 13,800 | 626,796 | |||||||
CIGNA Corp. | 10,400 | 534,872 | |||||||
Emeritus Corp. (a) | 429,437 | 9,125,536 | |||||||
Health Management Associates, Inc., Class A (a) | 64,283 | 692,971 | |||||||
Humana, Inc. | 5,100 | 410,754 | |||||||
Lincare Holdings, Inc. | 80,000 | 2,341,600 | |||||||
McKesson Corp. | 2,700 | 225,855 | |||||||
PharMerica Corp. (a) | 99,800 | 1,273,448 | |||||||
UnitedHealth Group, Inc. | 16,500 | 851,070 |
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Number of Shares | Value | ||||||||
VCA Antech, Inc. (a) | 174,043 | $ | 3,689,712 | ||||||
WellPoint, Inc. | 108,024 | 8,509,050 | |||||||
37,486,270 | |||||||||
Hotels, Restaurants & Leisure — 0.3% | |||||||||
Brinker International, Inc. | 85,500 | 2,091,330 | |||||||
MGM Resorts International (a) | 163,766 | 2,163,349 | |||||||
Ruby Tuesday, Inc. (a) | 144,800 | 1,560,944 | |||||||
Starwood Hotels & Resorts Worldwide, Inc. | 19,100 | 1,070,364 | |||||||
Yum! Brands, Inc. (a) | 130,000 | 7,181,200 | |||||||
14,067,187 | |||||||||
Household Durables — 0.6% | |||||||||
American Greetings Corp., Class A | 104,049 | 2,501,338 | |||||||
Beazer Homes USA, Inc. (a) | 856,627 | 2,903,965 | |||||||
Cavco Industries, Inc. (a) | 2,455 | 110,475 | |||||||
Hovnanian Enterprises, Inc. (a) | 513,600 | 1,237,776 | |||||||
KB Home | 586,851 | 5,739,403 | |||||||
Lennar Corp., Class A | 190,300 | 3,453,945 | |||||||
Mohawk Industries, Inc. (a) | 2,007 | 120,400 | |||||||
Pulte Homes, Inc. (a) | 276,489 | 2,117,906 | |||||||
Toll Brothers, Inc. (a) | 248,500 | 5,153,890 | |||||||
Whirlpool Corp. | 2,800 | 227,696 | |||||||
23,566,794 | |||||||||
Household Products — 0.1% | |||||||||
Procter & Gamble Co. (The) | 87,500 | 5,562,375 | |||||||
Industrial Conglomerates — 0.1% | |||||||||
3M Co. | 25,300 | 2,399,705 | |||||||
General Electric Co. | 192,200 | 3,624,892 | |||||||
6,024,597 | |||||||||
Insurance — 0.7% | |||||||||
Aflac, Inc. | 4,600 | 214,728 | |||||||
Berkshire Hathaway, Inc., Class B (a) | 71,950 | 5,568,210 | |||||||
Brown & Brown, Inc. | 110,000 | 2,822,600 | |||||||
Chubb Corp. | 4,400 | 275,484 | |||||||
Everest Re Group Ltd. | 71,600 | 5,853,300 | |||||||
Lincoln National Corp. | 8,100 | 230,769 | |||||||
Loews Corp. | 215,000 | 9,049,350 | |||||||
MBIA, Inc. (a) | 239,987 | 2,085,487 | |||||||
Mercury General Corp. | 26,816 | 1,058,964 | |||||||
National Western Life Insurance Co., Class A | 9,400 | 1,499,018 | |||||||
Travelers Companies, Inc. (The) | 6,500 | 379,470 | |||||||
29,037,380 | |||||||||
Internet & Catalog Retail — 0.4% | |||||||||
Amazon.com, Inc. (a) | 45,942 | 9,394,680 | |||||||
Blue Nile, Inc. (a) | 54,727 | 2,406,893 | |||||||
Liberty Media Holding Corp., Interactive, Series A (Tracking) (a) (d) | 69,440 | 1,164,509 | |||||||
Priceline.com, Inc. (a) | 9,428 | 4,826,476 | |||||||
17,792,558 | |||||||||
Internet Software & Services — 0.1% | |||||||||
AOL, Inc. (a) | 1,656 | 32,888 | |||||||
eBay, Inc. (a) | 74,595 | 2,407,181 | |||||||
2,440,069 |
5
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
IT Services — 0.5% | |||||||||
Alliance Data Systems Corp. (a) | 20,401 | $ | 1,919,122 | ||||||
CACI International, Inc., Class A (a) | 41,200 | 2,598,896 | |||||||
CoreLogic, Inc. (a) | 88,454 | 1,478,066 | |||||||
DST Systems, Inc. | 32,047 | 1,692,081 | |||||||
Fidelity National Information Services, Inc. | 12,100 | 372,559 | |||||||
Forrester Research, Inc. | 22,466 | 740,479 | |||||||
Gartner Group, Inc., Class A (a) | 118,361 | 4,768,765 | |||||||
Hackett Group, Inc. (The) (a) | 16,375 | 83,349 | |||||||
International Business Machines Corp. (IBM) | 9,100 | 1,561,105 | |||||||
Jack Henry & Associates, Inc. | 100,000 | 3,001,000 | |||||||
Lender Processing Services, Inc. | 50,500 | 1,055,955 | |||||||
Mastercard, Inc. | 800 | 241,072 | |||||||
Sapient Corp. (a) | 45,855 | 689,201 | |||||||
Visa, Inc., Class A | 4,300 | 362,318 | |||||||
20,563,968 | |||||||||
Machinery — 0.1% | |||||||||
Caterpillar, Inc. | 3,600 | 383,256 | |||||||
Cummins, Inc. | 2,300 | 238,027 | |||||||
John Bean Technologies Corp. | 134,500 | 2,598,540 | |||||||
Parker Hannifin Corp. | 2,600 | 233,324 | |||||||
3,453,147 | |||||||||
Media — 1.5% | |||||||||
Cablevision Systems Corp. | 412,917 | 14,951,724 | |||||||
CBS Corp., Class A | 26,253 | 755,299 | |||||||
CBS Corp., Class B | 91,049 | 2,593,986 | |||||||
CC Media Holdings, Inc., Class A (a) | 88,498 | 685,859 | |||||||
Comcast Corp., Class A | 9,900 | 250,866 | |||||||
DIRECTV, Class A (a) | 274,525 | 13,951,360 | |||||||
Discovery Communications, Inc., Series A (a) | 3,932 | 161,055 | |||||||
Discovery Communications, Inc., Series C (a) | 2,239 | 81,835 | |||||||
Interpublic Group of Companies, Inc. (The) | 36,112 | 451,400 | |||||||
Liberty Global, Inc., Series A (a) | 137,119 | 6,175,840 | |||||||
Liberty Global, Inc., Series C (a) | 104,201 | 4,449,383 | |||||||
Liberty Media – Starz, Series A (a) | 5,415 | 407,425 | |||||||
Liberty Media Holding Corp., Capital (Tracking), Series A (a) (d) | 14,464 | 1,240,288 | |||||||
Live Nation, Inc. (a) | 326,900 | 3,749,543 | |||||||
Madison Square Garden, Inc., Class A (a) | 12,964 | 356,899 | |||||||
McGraw-Hill Companies, Inc. (The) | 9,900 | 414,909 | |||||||
Primedia, Inc. | 74,527 | 525,415 | |||||||
Sun-Times Media Group, Inc. (a) | 41,415 | 21 | |||||||
Time Warner Cable, Inc. | 6,600 | 515,064 | |||||||
Time Warner, Inc. | 61,334 | 2,230,718 | |||||||
Viacom, Inc. | 13,800 | 703,800 | |||||||
Walt Disney Co. (The) | 168,000 | 6,558,720 | |||||||
61,211,409 | |||||||||
Metals & Mining — 0.0% | |||||||||
Freeport-McMoRan Copper & Gold, Inc. | 14,000 | 740,600 |
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Multi-Utilities — 0.0% | |||||||||
Public Service Enterprise Group, Inc. | 15,900 | $ | 518,976 | ||||||
Sempra Energy | 4,100 | 216,808 | |||||||
735,784 | |||||||||
Multiline Retail — 0.1% | |||||||||
Big Lots, Inc. (a) | 87,900 | 2,913,885 | |||||||
J.C. Penney Co., Inc. | 6,400 | 221,056 | |||||||
Saks, Inc. (a) | 163,600 | 1,827,412 | |||||||
4,962,353 | |||||||||
Office Electronics — 0.1% | |||||||||
Xerox Corp. | 96,655 | 1,006,179 | |||||||
Zebra Technologies Corp., Class A (a) | 93,579 | 3,946,226 | |||||||
4,952,405 | |||||||||
Oil, Gas & Consumable Fuels — 1.7% | |||||||||
Berry Petroleum Co., Class A | 30,000 | 1,593,900 | |||||||
Bill Barrett Corp. (a) | 94,000 | 4,356,900 | |||||||
Chesapeake Energy Corp. | 673,500 | 19,996,215 | |||||||
Chevron Corp. | 42,100 | 4,329,564 | |||||||
ConocoPhillips | 14,100 | 1,060,179 | |||||||
Consol Energy, Inc. | 93,700 | 4,542,576 | |||||||
Devon Energy Corp. | 914 | 72,032 | |||||||
EOG Resources, Inc. | 66,000 | 6,900,300 | |||||||
Exxon Mobil Corp. | 33,660 | 2,739,251 | |||||||
Forest Oil Corp. (a) | 30,000 | 801,300 | |||||||
Hess Corp. | 7,300 | 545,748 | |||||||
Marathon Oil Corp. | 14,700 | 774,396 | |||||||
Murphy Oil Corp. | 8,000 | 525,280 | |||||||
Pioneer Natural Resources Co. | 37,700 | 3,376,789 | |||||||
Southwestern Energy Co. (a) | 281,400 | 12,066,432 | |||||||
Stone Energy Corp. (a) | 82,506 | 2,507,357 | |||||||
Tesoro Corp. (a) | 132,600 | 3,037,866 | |||||||
Ultra Petroleum Corp. (a) | 78,100 | 3,576,980 | |||||||
Valero Energy Corp. | 20,100 | 513,957 | |||||||
73,317,022 | |||||||||
Paper & Forest Products — 0.0% | |||||||||
AbitibiBowater, Inc. (a) | 24,140 | 490,042 | |||||||
Personal Products — 0.1% | |||||||||
Estee Lauder Companies, Inc. (The), Class A | 39,250 | 4,128,708 | |||||||
Herbalife Ltd. | 4,800 | 276,672 | |||||||
4,405,380 | |||||||||
Pharmaceuticals — 0.6% | |||||||||
Bristol-Myers Squibb Co. | 19,489 | 564,402 | |||||||
Forest Laboratories, Inc. (a) | 15,900 | 625,506 | |||||||
Johnson & Johnson | 88,800 | 5,906,976 | |||||||
Merck & Co., Inc. | 215,066 | 7,589,679 | |||||||
Pfizer, Inc. | 404,857 | 8,340,054 | |||||||
23,026,617 | |||||||||
Professional Services — 0.1% | |||||||||
Heidrick & Struggles International, Inc. | 8,606 | 194,840 | |||||||
Towers Watson & Co., Class A | 58,396 | 3,837,201 | |||||||
Volt Information Sciences, Inc. (a) | 184,000 | 1,803,200 | |||||||
5,835,241 |
6
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Real Estate Investment Trusts (REITs) — 3.0% | |||||||||
Apartment Investment & Management Co. | 134,100 | $ | 3,423,573 | ||||||
AvalonBay Communities, Inc. | 43,000 | 5,521,200 | |||||||
Boston Properties, Inc. | 116,300 | 12,346,408 | |||||||
Brandywine Realty Trust | 360,600 | 4,179,354 | |||||||
CBL & Associates Properties, Inc. | 474,000 | 8,593,620 | |||||||
CommonWealth REIT | 139,600 | 3,607,264 | |||||||
Coresite Realty Corp. | 332,600 | 5,454,640 | |||||||
Corporate Office Properties Trust | 254,800 | 7,926,828 | |||||||
Digital Realty Trust, Inc. | 57,100 | 3,527,638 | |||||||
Douglas Emmett, Inc. | 367,200 | 7,303,608 | |||||||
EastGroup Properties, Inc. | 71,700 | 3,047,967 | |||||||
Equity Lifestyle Properties, Inc. | 112,400 | 7,018,256 | |||||||
Essex Property Trust, Inc. | 40,800 | 5,519,832 | |||||||
Excel Trust, Inc. | 314,900 | 3,473,347 | |||||||
OMEGA Healthcare Investors, Inc. | 182,391 | 3,832,035 | |||||||
Parkway Properties, Inc. | 195,562 | 3,336,288 | |||||||
Pennsylvania Real Estate Investment Trust | 618,535 | 9,710,999 | |||||||
ProLogis, Inc. | 247,500 | 8,870,400 | |||||||
Simon Property Group, Inc. | 99,470 | 11,561,398 | |||||||
SL Green Realty Corp. | 73,424 | 6,084,647 | |||||||
124,339,302 | |||||||||
Real Estate Management & Development — 0.3% | |||||||||
Avatar Holdings, Inc. (a) | 235,105 | 3,575,947 | |||||||
CB Richard Ellis Group Inc., Class A (a) | 125,943 | 3,162,429 | |||||||
Forest City Enterprises, Inc., Class A (a) | 236,600 | 4,417,322 | |||||||
11,155,698 | |||||||||
Road & Rail — 0.2% | |||||||||
CSX Corp. | 15,600 | 409,032 | |||||||
J.B. Hunt Transport Services, Inc. | 1,688 | 79,488 | |||||||
Kansas City Southern (a) | 98,121 | 5,821,519 | |||||||
Ryder System, Inc. | 4,600 | 261,510 | |||||||
Union Pacific Corp. | 4,200 | 438,480 | |||||||
7,010,029 | |||||||||
Semiconductors & Semiconductor Equipment — 0.2% | |||||||||
Cabot Microelectronics Corp. (a) | 60,829 | 2,826,724 | |||||||
Intel Corp. | 52,900 | 1,172,264 | |||||||
LSI Corp. (a) | 379,546 | 2,702,367 | |||||||
Texas Instruments, Inc. | 6,500 | 213,395 | |||||||
6,914,750 | |||||||||
Software — 0.4% | |||||||||
Activision Blizzard, Inc. | 30,400 | 355,072 | |||||||
Adobe Systems, Inc. (a) | 7,800 | 245,310 | |||||||
CA, Inc. | 21,600 | 493,344 | |||||||
JDA Software Group, Inc. (a) | 20,000 | 617,800 | |||||||
Microsoft Corp. | 400,315 | 10,408,190 | |||||||
Oracle Corp. | 10,900 | 358,719 | |||||||
Parametric Technology Corp. (a) | 140,276 | 3,216,529 | |||||||
Symantec Corp. (a) | 27,000 | 532,440 | |||||||
16,227,404 | |||||||||
Specialty Retail — 0.1% | |||||||||
AutoZone, Inc. (a) | 1,200 | 353,820 | |||||||
Blockbuster, Inc., Class B (a) (c) | 146,876 | 3,804 | |||||||
Home Depot, Inc. (The) | 6,800 | 246,296 |
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Penske Automotive Group, Inc. | 174,900 | $ | 3,977,226 | ||||||
TJX Companies, Inc. (The) | 12,500 | 656,625 | |||||||
5,237,771 | |||||||||
Textiles, Apparel & Luxury Goods — 0.1% | |||||||||
Coach, Inc. | 10,400 | 664,872 | |||||||
Fossil, Inc. (a) | 2,200 | 258,984 | |||||||
Hanesbrands, Inc. (a) | 165,750 | 4,732,162 | |||||||
5,656,018 | |||||||||
Thrifts & Mortgage Finance — 0.0% | |||||||||
MGIC Investment Corp. (a) | 96,650 | 575,068 | |||||||
Washington Mutual, Inc. (a) | 33,600 | 4,351 | |||||||
579,419 | |||||||||
Tobacco — 0.1% | |||||||||
Altria Group, Inc. | 36,150 | 954,721 | |||||||
Philip Morris International, Inc. | 46,796 | 3,124,569 | |||||||
4,079,290 | |||||||||
Trading Companies & Distributors — 0.0% | |||||||||
United Rentals, Inc. (a) | 25,000 | 635,000 | |||||||
W.W. Grainger, Inc. | 3,800 | 583,870 | |||||||
1,218,870 | |||||||||
Wireless Telecommunication Services — 0.1% | |||||||||
MetroPCS Communications, Inc. (a) | 12,900 | 222,009 | |||||||
NII Holdings, Inc., Class B (a) | 64,930 | 2,751,733 | |||||||
United States Cellular Corp. (a) | 65,690 | 3,180,710 | |||||||
6,154,452 | |||||||||
Total US Common Stocks (Cost $618,690,546) | 730,195,779 | ||||||||
Foreign Common Stocks — 23.6% | |||||||||
Australia — 0.7% | |||||||||
Alumina Ltd. | 1,840,773 | 4,214,366 | |||||||
Amcor Ltd. | 140,444 | 1,086,820 | |||||||
AMP Ltd. | 476,875 | 2,511,267 | |||||||
Australia and New Zealand Banking Group Ltd. | 54,133 | 1,278,435 | |||||||
BHP Billiton Ltd. | 26,815 | 1,267,365 | |||||||
DuluxGroup Ltd. | 21,966 | 66,285 | |||||||
Fortescue Metals Group Ltd. | 352,861 | 2,420,325 | |||||||
Iluka Resources Ltd. | 58,820 | 1,067,074 | |||||||
Orica Ltd. | 21,623 | 627,090 | |||||||
QBE Insurance Group Ltd. | 186,938 | 3,470,510 | |||||||
Santos Ltd. | 48,251 | 703,090 | |||||||
Telstra Corp. Ltd. | 896,431 | 2,783,617 | |||||||
Tishman Speyer Office Fund – REIT (a) | 7,049,860 | 4,699,118 | |||||||
Westfield Group – REIT | 559,312 | 5,212,095 | |||||||
31,407,457 | |||||||||
Austria — 0.1% | |||||||||
Andritz AG | 3,338 | 343,703 | |||||||
Conwert Immobilien Invest SE | 165,200 | 2,794,074 | |||||||
Oesterreichische Post AG | 9,775 | 314,692 | |||||||
3,452,469 | |||||||||
Bahamas — 0.0% | |||||||||
Ultrapetrol (Bahamas) Ltd. (a) | 111,807 | 552,327 |
7
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Belgium — 0.0% | |||||||||
Ageas, Strip VVPR (a) (c) | 39,332 | $ | 57 | ||||||
Anheuser-Busch InBev NV | 27,879 | 1,616,567 | |||||||
1,616,624 | |||||||||
Bermuda — 0.1% | |||||||||
Lazard Ltd., Class A | 90,869 | 3,371,240 | |||||||
Brazil — 0.6% | |||||||||
CCR SA | 38,700 | 1,151,837 | |||||||
HRT Participacoes em Petroleo SA (a) | 11,841 | 10,622,113 | |||||||
Petroleo Brasileiro SA – ADR | 185,500 | 6,281,030 | |||||||
Redecard SA | 157,900 | 2,379,655 | |||||||
Vale SA – ADR | 147,500 | 4,271,600 | |||||||
24,706,235 | |||||||||
Canada — 1.7% | |||||||||
Ace Aviation Holdings, Inc., Class A (a) (c) | 125,246 | 1,483,031 | |||||||
Agrium, Inc. | 2,600 | 228,176 | |||||||
BCE, Inc. | 42,695 | 1,674,244 | |||||||
Bell Aliant, Inc. (b) (c) (e) (f) | 1,558 | 46,395 | |||||||
Bombardier, Inc., Class B | 1,260,011 | 9,079,866 | |||||||
Canadian Natural Resources Ltd. | 114,200 | 4,787,294 | |||||||
Catalyst Paper Corp. (a) | 352,814 | 51,215 | |||||||
Chorus Aviation, Inc. | 8,875 | 46,287 | |||||||
Encana Corp. | 83,800 | 2,587,551 | |||||||
Fairfax Financial Holdings Ltd. | 20,500 | 8,204,676 | |||||||
First Quantum Minerals Ltd. | 39,400 | 5,744,650 | |||||||
Fraser Papers, Inc. (b) (c) | 101,580 | — | |||||||
Groupe Aeroplan, Inc. | 57,097 | 788,566 | |||||||
Imperial Oil Ltd. – NYSE Shares | 66,995 | 3,120,344 | |||||||
Imperial Oil Ltd. – TSE Shares | 107,800 | 5,022,402 | |||||||
Kinross Gold Corp. | 298,100 | 4,709,980 | |||||||
Lundin Mining Corp. (a) | 194,600 | 1,493,120 | |||||||
Nortel Networks Corp. (a) | 22,767 | 1,138 | |||||||
Onex Corp. | 43,945 | 1,702,758 | |||||||
Research In Motion Ltd. (a) | 9,200 | 265,420 | |||||||
Rogers Communications, Inc., Class B – TSE Shares | 229,296 | 9,079,594 | |||||||
Suncor Energy, Inc. | 138,429 | 5,425,492 | |||||||
Teck Resources Ltd., Class B | 94,309 | 4,785,239 | |||||||
Yellow Media, Inc. | 25,361 | 63,110 | |||||||
70,390,548 | |||||||||
Chile — 0.1% | |||||||||
Enersis SA – SPADR | 143,100 | 3,305,610 | |||||||
China — 0.3% | |||||||||
China Construction Bank Corp., Class H | 4,825,080 | 4,022,252 | |||||||
China Real Estate Information Corp. – ADR (a) | 267,900 | 1,912,806 | |||||||
China Shenhua Energy Co. Ltd. | 604,500 | 2,910,378 | |||||||
ENN Energy Holdings Ltd. | 381,176 | 1,298,118 | |||||||
Tsingtao Brewery Co. Ltd., Class H | 554,000 | 3,203,580 | |||||||
13,347,134 | |||||||||
Denmark — 0.2% | |||||||||
Bang & Olufsen A/S, Class B (a) | 9,300 | 121,398 | |||||||
Carlsberg A/S, Class B | 9,868 | 1,073,773 | |||||||
Coloplast A/S, Class B | 10,160 | 1,544,617 |
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Danske Bank A/S (a) | 18,694 | $ | 347,181 | ||||||
GN Store Nord A/S (GN Great Nordic) | 106,021 | 1,020,439 | |||||||
Novo Nordisk A/S, Class B | 8,998 | 1,128,109 | |||||||
Topdanmark A/S (a) | 1,198 | 223,775 | |||||||
Vestas Wind Systems A/S (a) | 17,660 | 410,557 | |||||||
William Demant Holding A/S (a) | 11,987 | 1,081,585 | |||||||
6,951,434 | |||||||||
Finland — 0.1% | |||||||||
Cargotec Oyj, B Shares | 4,620 | 236,784 | |||||||
Kone Oyj, Class B | 1,571 | 98,641 | |||||||
Metso Oyj | 38,003 | 2,158,459 | |||||||
Nokia Oyj | 21,630 | 139,700 | |||||||
Outokumpu Oyj | 8,250 | 109,205 | |||||||
Sampo Oyj, Class A | 71,427 | 2,306,195 | |||||||
Tieto Oyj | 16,678 | 282,098 | |||||||
Wartsila Oyj Corp. | 7,548 | 254,684 | |||||||
5,585,766 | |||||||||
France — 1.5% | |||||||||
Accor SA | 200,000 | 8,954,940 | |||||||
Alcatel Lucent – SPADR (a) | 39,116 | 225,699 | |||||||
Alstom SA | 2,552 | 157,170 | |||||||
AXA SA | 44,226 | 1,004,107 | |||||||
BNP Paribas | 19,715 | 1,520,529 | |||||||
Carrefour SA (a) | 342,184 | 14,053,737 | |||||||
Edenred | 210,388 | 6,415,655 | |||||||
Eurofins Scientific | 3,704 | 341,050 | |||||||
France Telecom SA | 300,491 | 6,392,446 | |||||||
GDF Suez, Strip VVPR (a) (c) | 9,765 | 14 | |||||||
Groupe Eurotunnel SA | 76,639 | 856,917 | |||||||
Imerys SA | 2,359 | 166,123 | |||||||
Legrand SA | 36,461 | 1,535,569 | |||||||
Neopost SA | 9,193 | 789,770 | |||||||
SA des Ciments Vicat | 2,946 | 247,403 | |||||||
Sanofi-Aventis | 69,573 | 5,591,862 | |||||||
Societe BIC SA | 4,751 | 459,144 | |||||||
Societe Generale, Class A | 5,663 | 335,655 | |||||||
Technip SA | 2,537 | 271,760 | |||||||
Thales SA | 16,587 | 715,183 | |||||||
Total SA | 143,108 | 8,276,805 | |||||||
Vinci SA | 43,666 | 2,797,150 | |||||||
61,108,688 | |||||||||
Germany — 0.6% | |||||||||
Adidas AG | 2,870 | 227,648 | |||||||
Alstria Office AG – REIT | 235,834 | 3,554,097 | |||||||
Axel Springer AG | 3,468 | 171,284 | |||||||
BASF SE | 27,435 | 2,684,798 | |||||||
Bayer AG | 2,831 | 227,601 | |||||||
Bayerische Motoren Werke AG | 14,903 | 1,485,030 | |||||||
Celesio AG | 4,652 | 92,753 | |||||||
Daimler AG | 32,909 | 2,476,761 | |||||||
Deutsche Bank AG | 4,971 | 293,728 | |||||||
Deutsche Telekom AG | 324,148 | 5,084,292 | |||||||
E.ON AG | 37,929 | 1,076,727 | |||||||
Fresenius Medical Care AG & Co. | 32,320 | 2,416,429 | |||||||
GEA Group AG | 6,495 | 232,254 |
8
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Hannover Rueckversicherung AG | 4,069 | $ | 212,241 | ||||||
RWE AG | 91,493 | 5,063,640 | |||||||
SAP AG | 11,284 | 682,480 | |||||||
Siemens AG | 3,645 | 500,476 | |||||||
TAG Immobilien AG (a) | 6 | 61 | |||||||
26,482,300 | |||||||||
Gibraltar — 0.0% | |||||||||
Bwin.Party Digital Entertainment plc (a) | 99,962 | 241,121 | |||||||
Hong Kong — 1.5% | |||||||||
Asia Satellite Telecommunications Holdings Ltd. | 47,000 | 108,759 | |||||||
Beijing Enterprises Holdings Ltd. | 573,305 | 2,999,120 | |||||||
Cheung Kong Holdings Ltd. | 512,000 | 7,529,595 | |||||||
China Mobile Ltd. | 330,000 | 3,074,916 | |||||||
City Telecom HK Ltd. – ADR | 5,300 | 61,957 | |||||||
Esprit Holdings Ltd. | 26,269 | 81,829 | |||||||
First Pacific Co. | 4,219,200 | 3,787,069 | |||||||
Greentown China Holdings Ltd. | 1,315,842 | 1,265,933 | |||||||
Henderson Land Development Co. Ltd. | 322,846 | 2,095,092 | |||||||
Hong Kong & Shanghai Hotels Ltd. (The) (c) | 1,112,948 | 1,855,197 | |||||||
Hong Kong Aircraft Engineering Co. Ltd. | 55,600 | 801,961 | |||||||
i-Cable Communications Ltd. (a) (c) | 2,031,000 | 193,631 | |||||||
Jardine Matheson Holdings Ltd. | 216,600 | 12,420,080 | |||||||
Jardine Strategic Holdings Ltd. | 380,500 | 11,662,174 | |||||||
Mandarin Oriental International Ltd. | 253,000 | 529,502 | |||||||
Midland Holdings Ltd. | 1,620,000 | 948,968 | |||||||
New World Development Ltd. | 4,291,400 | 6,518,719 | |||||||
Next Media Ltd. (a) | 1,930,000 | 213,397 | |||||||
Silver Grant International Ltd. | 562,000 | 181,117 | |||||||
Sino-Forest Corp. (a) | 170,900 | 567,038 | |||||||
SmarTone Telecommunications Holdings Ltd. | 1,768,500 | 2,621,587 | |||||||
Television Broadcasts Ltd. | 356,000 | 2,357,452 | |||||||
Wheelock & Co. Ltd. | 562,000 | 2,281,120 | |||||||
64,156,213 | |||||||||
India — 0.2% | |||||||||
Axis Bank Ltd. – GDR | 148,856 | 4,333,198 | |||||||
Reliance Industries Ltd. – GDR (f) | 104,371 | 4,199,889 | |||||||
8,533,087 | |||||||||
Indonesia — 0.3% | |||||||||
Bank Pan Indonesia Tbk PT (a) (c) | 24,363,721 | 2,590,263 | |||||||
Bumi Resources Tbk PT | 7,057,500 | 2,435,638 | |||||||
Citra Marga Nusaphala Persada Tbk PT | 326,000 | 43,054 | |||||||
Gudang Garam Tbk PT | 99,000 | 575,998 | |||||||
Indofood Sukses Makmur Tbk PT | 2,795,500 | 1,875,974 | |||||||
Matahari Putra Prima Tbk PT (c) | 7,430,400 | 1,048,878 | |||||||
Perusahaan Gas Negara (Persero) Tbk PT | 6,520,000 | 3,067,088 | |||||||
Semen Gresik (Persero) Tbk PT | 676,000 | 758,255 | |||||||
12,395,148 | |||||||||
Ireland — 0.1% | |||||||||
Anglo Irish Bank Corp Ltd. (c) | 38,180 | — | |||||||
CRH plc – BATS Europe Shares | 15,140 | 335,264 | |||||||
CRH plc – LSE Shares | 113,145 | 2,516,171 | |||||||
DCC plc | 14,536 | 414,114 |
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Experian plc | 49,028 | $ | 624,414 | ||||||
Fyffes plc | 145,079 | 88,358 | |||||||
Independent News & Media plc (a) | 136,536 | 97,023 | |||||||
Irish Continental Group plc (UNIT) | 9,896 | 225,546 | |||||||
Paddy Power plc | 13,714 | 745,314 | |||||||
5,046,204 | |||||||||
Israel — 0.1% | |||||||||
Teva Pharmaceutical Industries Ltd. – SPADR | 52,600 | 2,536,372 | |||||||
Italy — 0.4% | |||||||||
Banco Popolare Societa Cooperativa | 25,884 | 59,604 | |||||||
Davide Campari-Milano SpA | 28,457 | 233,894 | |||||||
Eni SpA | 204,149 | 4,839,654 | |||||||
Fiat Industrial SpA (a) | 101,222 | 1,308,573 | |||||||
Fiat SpA | 101,222 | 1,111,280 | |||||||
Finmeccanica SpA | 15,478 | 187,316 | |||||||
Intesa Sanpaolo SpA | 1,108,654 | 2,948,342 | |||||||
Luxottica Group SpA | 34,600 | 1,109,132 | |||||||
Luxottica Group SpA – SPADR | 28,437 | 912,828 | |||||||
Saipem SpA | 47,445 | 2,449,516 | |||||||
UniCredit SpA | 241,066 | 509,886 | |||||||
15,670,025 | |||||||||
Japan — 5.5% | |||||||||
Alfresa Holdings Corp. | 11,100 | 432,046 | |||||||
Astellas Pharma, Inc. | 94,400 | 3,650,185 | |||||||
Bank of Yokohama Ltd. (The) | 73,000 | 365,049 | |||||||
BML, Inc. | 266,800 | 6,770,592 | |||||||
Canon, Inc. | 69,700 | 3,323,772 | |||||||
Chiba Bank Ltd. (The) | 49,000 | 307,203 | |||||||
Dai-ichi Life Insurance Co. Ltd. (The) | 209 | 292,636 | |||||||
Daiichikosho Co. Ltd. | 762,900 | 12,352,846 | |||||||
Dentsu, Inc. | 16,500 | 487,620 | |||||||
Duskin Co. Ltd. | 431,800 | 8,398,677 | |||||||
DyDo DRINCO, Inc. | 169,600 | 6,302,063 | |||||||
East Japan Railway Co. | 13,600 | 781,512 | |||||||
FP Corp. | 145,800 | 9,035,712 | |||||||
Fujitsu Frontech Ltd. | 7,100 | 51,192 | |||||||
Fukuoka Financial Group, Inc. | 110,000 | 459,987 | |||||||
Hitachi Chemical Co. Ltd. | 23,800 | 473,614 | |||||||
Hitachi Ltd. | 175,000 | 1,034,473 | |||||||
Hitachi Metals Ltd. | 18,000 | 254,479 | |||||||
Isetan Mitsukoshi Holdings Ltd. | 51,000 | 499,358 | |||||||
Japan Airport Terminal Co. Ltd. | 123,362 | 1,439,631 | |||||||
JS Group Corp. | 38,900 | 1,002,405 | |||||||
JX Holdings, Inc. | 64,200 | 433,533 | |||||||
Kao Corp. | 486,900 | 12,796,129 | |||||||
Kawasaki Heavy Industries Ltd. | 103,000 | 410,837 | |||||||
Kinden Corp. | 39,000 | 333,475 | |||||||
Kirin Holdings Co. Ltd. | 21,000 | 293,605 | |||||||
Kyowa Hakko Kirin Co. Ltd. | 39,000 | 372,008 | |||||||
Marui Group Co. Ltd. | 40,500 | 307,032 | |||||||
Meiko Network Japan Co. Ltd. | 268,900 | 2,372,067 | |||||||
Miraca Holdings, Inc. | 197,300 | 8,004,530 | |||||||
Mitsubishi Corp. | 24,500 | 613,846 | |||||||
Mitsubishi Estate Co. Ltd. | 773,334 | 13,575,752 |
9
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Mitsubishi Heavy Industries Ltd. | 79,000 | $ | 372,240 | |||||
Mitsubishi Tanabe Pharma Corp. | 5,400 | 90,602 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 207,300 | 1,009,193 | ||||||
Mitsui & Co. Ltd. | 21,000 | 363,155 | ||||||
Mitsui Fudosan Co. Ltd. | 135,600 | 2,337,812 | ||||||
MOSHI MOSHI HOTLINE, Inc. | 471,150 | 7,648,488 | ||||||
MS&AD Insurance Group Holdings | 16,600 | 389,367 | ||||||
Namco Bandai Holdings, Inc. | 29,950 | 360,535 | ||||||
Nippon Meat Packers, Inc. | 34,000 | 487,504 | ||||||
Nippon Suisan Kaisha Ltd. | 64,300 | 211,537 | ||||||
Nippon Telegraph & Telephone Corp. | 25,700 | 1,249,674 | ||||||
NISSIN FOODS HOLDINGS CO. Ltd. | 282,400 | 10,277,425 | ||||||
NKSJ Holdings, Inc. | 2,425,000 | 15,999,786 | ||||||
Noritake Co. Ltd. | 15,000 | 59,443 | ||||||
NSK Ltd. | 33,000 | 329,108 | ||||||
NTT Data Corp. | 171 | 568,269 | ||||||
NTT DoCoMo, Inc. | 203 | 362,140 | ||||||
Obayashi Corp. | 108,000 | 470,966 | ||||||
OLYMPUS Corp. | 529,300 | 17,839,796 | ||||||
OMRON Corp. | 18,700 | 519,767 | ||||||
Onward Holdings Co. Ltd. | 38,000 | 321,040 | ||||||
Otsuka Holdings Co. Ltd. | 10,300 | 273,049 | ||||||
Panasonic Corp. | 38,500 | 470,455 | ||||||
Ryosan Co. Ltd. | 4,600 | 98,214 | ||||||
Sansei Yusoki Co. Ltd. | 457,500 | 2,601,646 | ||||||
Secom Co. Ltd. | 264,500 | 12,702,457 | ||||||
Sekisui House Ltd. | 45,000 | 418,469 | ||||||
Seven & I Holdings Co. Ltd. | 225,380 | 6,063,146 | ||||||
Seven Bank Ltd. | 5,378 | 10,757,416 | ||||||
Shimizu Corp. | 84,000 | 349,495 | ||||||
Shiseido Co. Ltd. | 22,000 | 411,437 | ||||||
So-net Entertainment Corp. | 1,879 | 7,942,394 | ||||||
Sony Corp. | 4,200 | 111,172 | ||||||
Sumitomo Chemical Co. Ltd. | 530,000 | 2,647,113 | ||||||
Sumitomo Electric Industries Ltd. | 82,800 | 1,208,311 | ||||||
Sumitomo Forestry Co. Ltd. | 40,200 | 369,146 | ||||||
Sumitomo Metal Industries Ltd. | 1,307,000 | 2,939,664 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 29,800 | 917,123 | ||||||
Sumitomo Realty & Development Co. Ltd. | 127 | 2,839 | ||||||
Taiyo Nippon Sanso Corp. | 28,000 | 223,399 | ||||||
TOKAI Corp. – Gifu | 142,700 | 3,144,734 | ||||||
Tokio Marine Holdings, Inc. | 295,100 | 8,290,596 | ||||||
Tokyo Electric Power Co., Inc. (The) | 18,500 | 75,989 | ||||||
Tokyo Electron Ltd. | 7,600 | 414,607 | ||||||
Tokyo Gas Co. Ltd. | 204,000 | 922,826 | ||||||
Tokyo Ohka Kogyo Co. Ltd. | 8,000 | 172,493 | ||||||
Toppan Forms Co. Ltd. | 19,400 | 154,504 | ||||||
Toyo Seikan Kaisha Ltd. | 27,700 | 465,397 | ||||||
Toyo Suisan Kaisha Ltd. | 10,000 | 236,355 | ||||||
Toyota Motor Corp. | 31,700 | 1,334,659 | ||||||
Trend Micro, Inc. | 90,900 | 2,822,139 | ||||||
West Japan Railway Co. | 13,500 | 528,505 | ||||||
Yamada Denki Co. Ltd. | 6,100 | 497,623 | ||||||
Yamatake Corp. | 9,900 | 220,944 | ||||||
Yamato Holdings Co. Ltd. | 60,000 | 942,411 |
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Yaskawa Electric Corp. | 13,000 | $ | 145,821 | ||||||
ZOJIRUSHI Corp. | 846,000 | 2,455,490 | |||||||
231,827,751 | |||||||||
Luxembourg — 0.1% | |||||||||
APERAM | 2,240 | 72,540 | |||||||
ArcelorMittal | 44,814 | 1,559,404 | |||||||
GAGFAH SA | 601,846 | 4,376,279 | |||||||
Oriflame Cosmetics SA – SDR | 2,718 | 133,702 | |||||||
6,141,925 | |||||||||
Malaysia — 0.4% | |||||||||
AMMB Holdings Berhad | 1,194,575 | 2,577,612 | |||||||
British American Tobacco Malaysia Berhad | 53,100 | 821,060 | |||||||
Bumiputra-Commerce Holdings Berhad | 1,855,938 | 5,496,746 | |||||||
Carlsberg Brewery Malaysia Berhad | 144,200 | 347,003 | |||||||
Genting Malaysia Berhad | 3,311,000 | 3,954,291 | |||||||
Malaysian Airline System Berhad (a) | 974,100 | 497,655 | |||||||
Multi-Purpose Holdings Berhad | 546,150 | 548,578 | |||||||
Sime Darby Berhad | 694,406 | 2,123,389 | |||||||
16,366,334 | |||||||||
Mexico — 0.2% | |||||||||
America Movil SA de CV, Series L – ADR | 7,997 | 430,878 | |||||||
Cemex SAB de CV – SPADR (a) | 749,531 | 6,445,967 | |||||||
Telefonos de Mexico SAB de CV, Series L – SPADR | 4,650 | 76,725 | |||||||
6,953,570 | |||||||||
Mongolia — 0.1% | |||||||||
Mongolian Mining Corp. (a) | 2,276,000 | 2,809,177 | |||||||
Netherlands — 0.6% | |||||||||
Akzo Nobel NV | 4,575 | 288,603 | |||||||
ASML Holding NV | 5,114 | 188,413 | |||||||
Heineken NV | 27,517 | 1,655,064 | |||||||
ING Groep NV – CVA (a) | 345,052 | 4,256,319 | |||||||
Koninklijke (Royal) KPN NV | 98,054 | 1,425,320 | |||||||
Koninklijke (Royal) Philips Electronics NV | 8,784 | 225,435 | |||||||
Koninklijke Ahold NV | 277,770 | 3,732,542 | |||||||
Koninklijke Boskalis Westminster NV – CVA | 27,788 | 1,313,893 | |||||||
Randstad Holding NV | 4,222 | 195,124 | |||||||
Reed Elsevier NV | 180,460 | 2,423,494 | |||||||
Royal Dutch Shell plc, Class A – BATS Europe Shares | 673 | 23,980 | |||||||
Royal Dutch Shell plc, Class A – Quote MTF Shares | 231,417 | 8,215,226 | |||||||
Royal Dutch Shell plc, Class B | 53,650 | 1,915,106 | |||||||
TNT Express NV (a) | 3,903 | 40,480 | |||||||
TNT NV | 3,903 | 33,117 | |||||||
Wolters Kluwer NV | 32,830 | 727,493 | |||||||
26,659,609 | |||||||||
New Zealand — 0.0% | |||||||||
Telecom Corp. of New Zealand Ltd. | 104,706 | 212,424 | |||||||
Norway — 0.2% | |||||||||
DNB NOR ASA | 68,013 | 948,044 |
10
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Norwegian Property ASA | 1,812,300 | $ | 3,794,091 | ||||||
Statoil ASA – SPADR | 191,400 | 4,871,130 | |||||||
StatoilHydro ASA | 26,142 | 661,932 | |||||||
Storebrand ASA | 19,430 | 165,530 | |||||||
10,440,727 | |||||||||
Papua New Guinea — 0.1% | |||||||||
Oil Search Ltd. | 361,856 | 2,587,066 | |||||||
Peru — 0.1% | |||||||||
Cia de Minas Buenaventura SA – ADR | 73,400 | 2,787,732 | |||||||
Philippines (The) — 0.4% | |||||||||
ABS-CBN Holdings Corp. – PDR (c) | 4,082,800 | 3,485,949 | |||||||
Ayala Corp. (c) | 777,358 | 5,732,230 | |||||||
Banco de Oro Unibank, Inc. | 303,400 | 382,813 | |||||||
Benpres Holdings Corp. (a) | 8,424,344 | 1,117,875 | |||||||
DMCI Holdings, Inc. | 1,526,000 | 1,502,946 | |||||||
Globe Telecom, Inc. | 128,900 | 2,661,366 | |||||||
Jollibee Foods Corp. | 757,340 | 1,549,652 | |||||||
16,432,831 | |||||||||
Russia — 0.2% | |||||||||
Gazprom OAO – SPADR (a) | 10,240 | 148,992 | |||||||
Lukoil OAO – SPADR | 51,600 | 3,289,500 | |||||||
Oao Gazprom – SPADR (a) | 198,651 | 2,909,553 | |||||||
6,348,045 | |||||||||
Singapore — 0.5% | |||||||||
CapitaLand Ltd. | 2,969,644 | 7,062,419 | |||||||
Genting Singapore plc (a) | 318,516 | 502,615 | |||||||
Global Yellow Pages Singapore Ltd. (c) | 511,000 | 64,621 | |||||||
Great Eastern Holdings Ltd. (c) | 220,000 | 2,640,233 | |||||||
GuocoLeisure Ltd. (c) | 1,897,000 | 1,068,403 | |||||||
Singapore Telecommunications Ltd. | 1,210,000 | 3,116,157 | |||||||
STATS ChipPAC Ltd. (a) (c) | 2,636,000 | 1,354,256 | |||||||
United Industrial Corp. Ltd. | 113,000 | 262,541 | |||||||
United Overseas Bank Ltd. | 256,414 | 4,119,662 | |||||||
Yanlord Land Group Ltd. | 2,560,246 | 2,505,769 | |||||||
22,696,676 | |||||||||
South Africa — 0.6% | |||||||||
Anglo Platinum Ltd. | 51,723 | 4,810,540 | |||||||
AngloGold Ashanti Ltd. | 6,085 | 256,297 | |||||||
AngloGold Ashanti Ltd. – SPADR | 42,258 | 1,778,639 | |||||||
City Lodge Hotels Ltd. | 16,093 | 155,302 | |||||||
Clicks Group Ltd. | 112,761 | 705,666 | |||||||
Discovery Holdings Ltd. | 18,458 | 105,310 | |||||||
FirstRand Ltd. | 413,693 | �� | 1,215,519 | ||||||
Gold Fields Ltd. | 123,119 | 1,801,508 | |||||||
Hosken Consolidated Investments Ltd. (c) | 448,718 | 5,420,230 | |||||||
JD Group Ltd. | 103,455 | 645,938 | |||||||
MMI Holdings Ltd. | 69,817 | 175,447 | |||||||
Mondi Ltd. | 3,909 | 38,183 | |||||||
Nedbank Group Ltd. | 73,488 | 1,593,567 | |||||||
RMB Holdings Ltd. | 395,886 | 1,562,336 | |||||||
RMI Holdings | 395,886 | 723,591 | |||||||
Sasol Ltd. – SPADR | 49,400 | 2,612,766 | |||||||
Sun International Ltd. | 107,391 | 1,454,455 | |||||||
25,055,294 |
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
South Korea — 0.1% | |||||||||
KB Financial Group, Inc. | 33,183 | $ | 1,578,308 | ||||||
Korea Electric Power Corp. (a) | 710 | 18,876 | |||||||
POSCO | 155 | 67,326 | |||||||
Samsung Electronics Co. Ltd. | 4,879 | 3,792,150 | |||||||
SK Telecom Co. Ltd. | 914 | 138,050 | |||||||
5,594,710 | |||||||||
Spain — 0.8% | |||||||||
Acciona SA | 8,012 | 850,409 | |||||||
Acerinox SA | 50,855 | 926,995 | |||||||
ACS, Actividades de Construccion y Servicios SA | 236,000 | 11,130,004 | |||||||
Banco Santander SA | 140,242 | 1,618,176 | |||||||
Banco Santander SA – SPADR | 5,507 | 63,386 | |||||||
Gestevision Telecinco SA | 59,783 | 519,413 | |||||||
Iberdrola SA (a) | 630,116 | 5,608,040 | |||||||
Inditex SA | 10,715 | 978,460 | |||||||
Inmobiliaria Colonial SA (a) | 70,021,265 | 5,783,793 | |||||||
Telefonica SA | 236,893 | 5,792,969 | |||||||
Viscofan SA | 15,619 | 622,272 | |||||||
33,893,917 | |||||||||
Sweden — 0.2% | |||||||||
Assa Abloy AB, Class B | 60,666 | 1,630,520 | |||||||
CDON Group AB (a) | 4,879 | 29,687 | |||||||
Hoganas AB, Class B | 12,410 | 496,417 | |||||||
Modern Times Group AB, Class B | 4,879 | 322,374 | |||||||
Nordea Bank AB | 40,562 | 435,864 | |||||||
Svenska Handelsbanken AB, Class A | 41,529 | 1,281,016 | |||||||
Swedish Match AB | 24,334 | 816,007 | |||||||
Telefonaktiebolaget LM Ericsson, Class B | 113,720 | 1,635,583 | |||||||
6,647,468 | |||||||||
Switzerland — 0.8% | |||||||||
ABB Ltd. (a) | 5,700 | 147,809 | |||||||
ACE Ltd. | 5,200 | 342,264 | |||||||
Adecco SA (a) | 18,667 | 1,196,808 | |||||||
Clariant AG (a) | 35,784 | 684,011 | |||||||
Compagnie Financiere Richemont SA | 22,792 | 1,492,486 | |||||||
Geberit AG (a) | 6,022 | 1,426,859 | |||||||
Glencore International plc (a) | 612,621 | 4,827,643 | |||||||
Helvetia Holding AG | 459 | 196,546 | |||||||
Logitech International SA (a) | 23,325 | 261,352 | |||||||
Nestle SA | 9,654 | 599,989 | |||||||
Noble Corp. | 89,600 | 3,531,136 | |||||||
Novartis AG | 143,302 | 8,778,317 | |||||||
Roche Holding AG | 12,121 | 2,027,832 | |||||||
Sonova Holding AG (a) | 4,504 | 421,597 | |||||||
Swiss Re Ltd. (a) | 2,991 | 167,951 | |||||||
Transocean Ltd. | 43,100 | 2,782,536 | |||||||
UBS AG (a) | 123,573 | 2,253,367 | |||||||
Zurich Financial Services AG (a) | 14,203 | 3,589,759 | |||||||
34,728,262 | |||||||||
Taiwan — 0.3% | |||||||||
Chunghwa Telecom Co. Ltd. | 120,000 | 412,875 | |||||||
Chunghwa Telecom Co. Ltd. – ADR | 92,961 | 3,211,802 | |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 2,623,243 | 6,639,627 |
11
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Uni-President Enterprises Corp. | 342,223 | $ | 498,138 | ||||||
10,762,442 | |||||||||
Thailand — 0.3% | |||||||||
Advanced Info Service PCL | 359,000 | 1,215,167 | |||||||
Bangkok Bank PCL | 411,800 | 2,125,945 | |||||||
Big C Supercenter PCL | 50,600 | 150,688 | |||||||
GMM Grammy PCL (c) | 1,071,500 | 610,293 | |||||||
Kasikornbank PCL | 653,400 | 2,658,259 | |||||||
Land and Houses PCL | 2,862,300 | 535,662 | |||||||
Matichon PCL (c) | 115,200 | 24,933 | |||||||
MBK PCL (c) | 509,400 | 1,570,892 | |||||||
Siam Cement PCL | 213,200 | 2,831,102 | |||||||
Thanachart Capital PCL | 1,536,500 | 1,425,232 | |||||||
13,148,173 | |||||||||
Turkey — 0.1% | |||||||||
Turkiye Garanti Bankasi A/S | 580,047 | 2,631,312 | |||||||
Turkiye Garanti Bankasi A/S – ADR | 148,100 | 671,189 | |||||||
3,302,501 | |||||||||
United Kingdom — 3.4% | |||||||||
Admiral Group plc | 10,865 | 289,465 | |||||||
AMEC plc | 17,896 | 312,745 | |||||||
Anglo American plc – JSE Shares | 103,085 | 5,108,657 | |||||||
Anglo American plc – LSE Shares | 36,275 | 1,799,559 | |||||||
Atrium European Real Estate Ltd. | 273,100 | 1,798,705 | |||||||
Aviva plc | 22,509 | 158,488 | |||||||
BAE Systems plc | 188,438 | 963,305 | |||||||
Barclays plc | 241,496 | 994,048 | |||||||
Barratt Developments plc (a) | 52,977 | 97,143 | |||||||
Berkeley Group Holdings plc (UNIT) (a) | 15,250 | 315,271 | |||||||
BG Group plc | 311,694 | 7,074,066 | |||||||
BHP Billiton plc | 46,679 | 1,829,605 | |||||||
BP plc | 1,167,021 | 8,598,606 | |||||||
BP plc – SPADR | 130,700 | 5,788,703 | |||||||
British American Tobacco plc | 3,090 | 135,445 | |||||||
British Sky Broadcasting Group plc | 22,265 | 302,395 | |||||||
Bunzl plc | 56,861 | 711,853 | |||||||
Cable & Wireless Communications plc | 614,935 | 400,055 | |||||||
Cable & Wireless Worldwide | 436,637 | 322,571 | |||||||
Capita Group plc | 129,082 | 1,482,363 | |||||||
Carnival plc | 28,622 | 1,109,350 | |||||||
Carphone Warehouse Group plc (a) | 31,654 | 214,907 | |||||||
Centrica plc | 35,432 | 183,859 | |||||||
Close Brothers Group plc | 10,660 | 132,086 | |||||||
Compass Group plc | 401,366 | 3,871,687 | |||||||
Daily Mail & General Trust NV, Class A | 17,468 | 130,202 | |||||||
Devro plc | 82,023 | 355,186 | |||||||
Diageo plc | 87,276 | 1,783,234 | |||||||
Eurocastle Investment Ltd. (a) | 83,992 | 24,332 | |||||||
G4S plc | 166,312 | 746,880 | |||||||
Galiform plc (a) | 421,225 | 722,720 | |||||||
GlaxoSmithKline plc | 388,698 | 8,322,283 | |||||||
Hays plc | 157,398 | 260,208 | |||||||
HMV Group plc | 65,314 | 10,167 | |||||||
Homeserve plc | 77,404 | 624,820 | |||||||
Horizon Acquisition Co. plc (a) | 62,721 | 951,276 | |||||||
HSBC Holdings plc | 13,877 | 137,667 |
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
ICAP plc | 122,328 | $ | 928,295 | |||||
Informa plc | 156,114 | 1,082,709 | ||||||
International Personal Finance | 139,535 | 823,937 | ||||||
Intertek Group plc | 64,270 | 2,035,237 | ||||||
Invensys plc | 436,180 | 2,253,725 | ||||||
ITV plc (a) | 551,557 | 632,451 | ||||||
Jupiter Fund Management plc | 55,740 | 226,156 | ||||||
Kazakhmys plc | 143,005 | 3,171,673 | ||||||
Ladbrokes plc | 93,614 | 228,983 | ||||||
Lloyds Banking Group plc (a) | 4,150,404 | 3,261,234 | ||||||
Michael Page International plc | 147,053 | 1,262,734 | ||||||
Millennium & Copthorne Hotels plc | 26,536 | 216,573 | ||||||
Mondi plc | 9,680 | 96,230 | ||||||
National Express Group plc | 34,626 | 140,716 | ||||||
Next plc | 9,360 | 349,561 | ||||||
Northgate plc (a) | 15,092 | 79,427 | ||||||
Orient-Express Hotels Ltd., Class A (a) | 157,700 | 1,695,275 | ||||||
Paragon Group of Cos. plc | 92,565 | 294,641 | ||||||
Petrofac Ltd. | 6,592 | 160,189 | ||||||
Provident Financial plc | 45,496 | 703,202 | ||||||
Quintain Estates & Development plc (a) | 1,955,500 | 1,883,089 | ||||||
Raven Russia Ltd. | 1,422,339 | 1,312,667 | ||||||
Reckitt Benckiser Group plc | 33,122 | 1,828,775 | ||||||
Reed Elsevier plc | 80,479 | 731,908 | ||||||
Rexam plc | 111,098 | 682,454 | ||||||
Rightmove plc | 53,697 | 1,026,762 | ||||||
Rio Tinto plc | 23,867 | 1,723,420 | ||||||
Rolls-Royce Group plc – C Shares | 23,268,960 | 37,346 | ||||||
Rolls-Royce Holdings plc (a) | 242,385 | 2,509,304 | ||||||
Royal Bank of Scotland Group plc (a) | 392,103 | 243,056 | ||||||
RSA Insurance Group plc | 99,209 | 214,622 | ||||||
Sage Group plc | 259,299 | 1,202,349 | ||||||
Savills plc | 400,712 | 2,514,611 | ||||||
Smith & Nephew plc | 17,982 | 191,844 | ||||||
Smiths Group plc | 35,102 | 676,641 | ||||||
Songbird Estates plc (a) | 2,082,516 | 5,129,734 | ||||||
Sportingbet plc | 360,308 | 317,854 | ||||||
Stagecoach Group plc | 195,609 | 801,535 | ||||||
Sthree plc | 44,142 | 281,268 | ||||||
TalkTalk Telecom Group plc | 95,884 | 220,071 | ||||||
Tesco plc | 239,650 | 1,547,776 | ||||||
Thomas Cook Group plc | 303,170 | 647,180 | ||||||
Tui Travel plc | 186,039 | 670,572 | ||||||
Unilever plc | 244,323 | 7,884,494 | ||||||
Vedanta Resources plc | 174,494 | 5,869,721 | ||||||
Vodafone Group plc | 3,272,811 | 8,697,927 | ||||||
Vodafone Group plc – SPADR | 181,000 | 4,836,320 | ||||||
WH Smith plc | 20,155 | 158,617 | ||||||
Willis Group Holdings plc | 272,080 | 11,185,209 | ||||||
Wolseley plc | 13,905 | 453,508 | ||||||
WPP plc | 65,487 | 819,861 | ||||||
144,007,355 | ||||||||
Total Foreign Common Stocks (Cost $845,002,604) | 990,259,991 | |||||||
Total Common Stocks (Cost $1,463,693,150) | 1,720,455,770 |
12
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![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||
Convertible Bonds — 0.1% | ||||||||||||||||
Communications — 0.0% | ||||||||||||||||
Leap Wireless International, Inc. | 4.500 | % | 07/15/14 | $ | 500,000 | $ | 473,125 | |||||||||
Consumer, Cyclical — 0.1% | ||||||||||||||||
AMR Corp. | 6.250 | % | 10/15/14 | 137,000 | 132,890 | |||||||||||
Chesapeake Energy Corp. | 2.500 | % | 05/15/37 | 660,000 | 688,050 | |||||||||||
Cubist Pharmaceuticals, Inc. | 2.500 | % | 11/01/17 | 52,000 | 72,410 | |||||||||||
Ford Motor Co. | 4.250 | % | 11/15/16 | 235,000 | 402,731 | |||||||||||
1,296,081 | ||||||||||||||||
Consumer, Non-cyclical — 0.0% | ||||||||||||||||
Amylin Pharmaceuticals, Inc. | 3.000 | % | 06/15/14 | 365,000 | 330,325 | |||||||||||
Dollar Financial Corp. | 3.000 | % | 04/01/28 | 360,000 | 459,450 | |||||||||||
789,775 | ||||||||||||||||
Diversified — 0.0% | ||||||||||||||||
Level 3 Communications, Inc. | 6.500 | % | 10/01/16 | 338,000 | 712,758 | |||||||||||
Sotheby's | 3.125 | % | 06/15/13 | 242,107 | 340,160 | |||||||||||
US Airways Group, Inc. | 7.250 | % | 05/15/14 | 56,000 | 119,000 | |||||||||||
1,171,918 | ||||||||||||||||
Financial — 0.0% | ||||||||||||||||
SL Green Realty Corp. – REIT (f) | 3.000 | % | 03/30/27 | 318,000 | 318,000 | |||||||||||
Total Convertible Bonds (Cost $2,867,698) | 4,048,899 | |||||||||||||||
Subordinated Convertible Notes — 0.0% | ||||||||||||||||
Financial — 0.0% | ||||||||||||||||
Eurocastle Investment Ltd. (b) (c) (e) | 20.000 | % | 09/30/19 | 168,000 | 162,417 | |||||||||||
Total Subordinated Convertible Notes (Cost $234,881) | 162,417 | |||||||||||||||
Corporate Bonds — 1.8% | ||||||||||||||||
Basic Materials — 0.1% | ||||||||||||||||
Ashland, Inc. | 9.125 | % | 06/01/17 | 430,000 | 483,750 | |||||||||||
Cascades, Inc. | 7.875 | % | 01/15/20 | 465,000 | 484,181 | |||||||||||
CF Industries, Inc. | 6.875 | % | 05/01/18 | 105,000 | 119,044 | |||||||||||
CF Industries, Inc. | 7.125 | % | 05/01/20 | 350,000 | 407,312 | |||||||||||
Clearwater Paper Corp. | 7.125 | % | 11/01/18 | 115,000 | 117,875 | |||||||||||
Ferro Corp. | 7.875 | % | 08/15/18 | 205,000 | 212,688 | |||||||||||
FMG Resources August 2006 Pty Ltd. (f) | 7.000 | % | 11/01/15 | 250,000 | 255,000 | |||||||||||
Georgia-Pacific LLC (f) | 5.400 | % | 11/01/20 | 215,000 | 219,113 | |||||||||||
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC | 9.000 | % | 11/15/20 | 255,000 | 261,375 | |||||||||||
Momentive Performance Materials, Inc. | 9.000 | % | 01/15/21 | 341,000 | 347,820 | |||||||||||
Neenah Paper, Inc. | 7.375 | % | 11/15/14 | 390,000 | 398,287 | |||||||||||
NewPage Corp. | 11.375 | % | 12/31/14 | 405,000 | 377,663 | |||||||||||
Verso Paper Holdings LLC/Verso Paper, Inc. (f) | 8.750 | % | 02/01/19 | 400,000 | 356,000 | |||||||||||
4,040,108 |
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![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||
Communications — 0.3% | ||||||||||||||||
Buccaneer Merger Sub, Inc. (f) | 9.125 | % | 01/15/19 | $ | 430,000 | $ | 447,200 | |||||||||
Catalina Marketing Corp. (f) | 10.500 | % | 10/01/15 | 475,000 | 502,906 | |||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 7.875 | % | 04/30/18 | 160,000 | 168,600 | |||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 8.125 | % | 04/30/20 | 110,000 | 118,800 | |||||||||||
Cengage Learning Acquisitions, Inc. (f) | 10.500 | % | 01/15/15 | 405,000 | 366,525 | |||||||||||
Checkout Holding Corp. (f) (g) | 0.000 | % | 11/15/15 | 255,000 | 163,519 | |||||||||||
Cricket Communications, Inc. | 10.000 | % | 07/15/15 | 370,000 | 398,675 | |||||||||||
CSC Holdings, Inc. | 7.875 | % | 02/15/18 | 975,000 | 1,065,187 | |||||||||||
DISH DBS Corp. (f) | 6.750 | % | 06/01/21 | 435,000 | 445,875 | |||||||||||
eAccess Ltd. (f) | 8.250 | % | 04/01/18 | 220,000 | 219,450 | |||||||||||
EH Holding Corp. (f) | 6.500 | % | 06/15/19 | 485,000 | 493,488 | |||||||||||
Frontier Communications Corp. | 8.250 | % | 05/01/14 | 240,000 | 263,700 | |||||||||||
Frontier Communications Corp. | 8.250 | % | 04/15/17 | 550,000 | 598,125 | |||||||||||
Frontier Communications Corp. | 7.125 | % | 03/15/19 | 190,000 | 194,750 | |||||||||||
Frontier Communications Corp. | 8.500 | % | 04/15/20 | 135,000 | 147,150 | |||||||||||
GCI, Inc. (f) | 6.750 | % | 06/01/21 | 180,000 | 180,000 | |||||||||||
Intelsat Jackson Holdings SA (f) | 7.250 | % | 04/01/19 | 270,000 | 267,975 | |||||||||||
Intelsat Jackson Holdings SA | 8.500 | % | 11/01/19 | 290,000 | 307,400 | |||||||||||
Intelsat Jackson Holdings SA (f) | 7.500 | % | 04/01/21 | 535,000 | 531,656 | |||||||||||
Intelsat Luxembourg SA | 11.500 | % | 02/04/17 | 295,839 | 318,027 | |||||||||||
Intelsat Luxembourg SA (f) | 11.500 | % | 02/04/17 | 250,000 | 268,750 | |||||||||||
Mediacom Broadband LLC/Mediacom Broadband Corp. | 8.500 | % | 10/15/15 | 710,000 | 727,750 | |||||||||||
MetroPCS Wireless, Inc. | 7.875 | % | 09/01/18 | 355,000 | 375,856 | |||||||||||
MetroPCS Wireless, Inc. | 6.625 | % | 11/15/20 | 490,000 | 485,100 | |||||||||||
Quebecor Media, Inc. | 7.750 | % | 03/15/16 | 1,070,000 | 1,106,112 | |||||||||||
SBA Telecommunications, Inc. | 8.000 | % | 08/15/16 | 165,000 | 175,519 | |||||||||||
Sinclair Television Group, Inc. (f) | 9.250 | % | 11/01/17 | 305,000 | 334,738 | |||||||||||
Sitel LLC/Sitel Finance Corp. | 11.500 | % | 04/01/18 | 430,000 | 393,450 | |||||||||||
Sorenson Communications, Inc. (f) | 10.500 | % | 02/01/15 | 600,000 | 403,500 | |||||||||||
Virgin Media Finance plc | 9.500 | % | 08/15/16 | 470,000 | 531,100 | |||||||||||
West Corp. (f) | 7.875 | % | 01/15/19 | 430,000 | 417,100 |
13
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![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||
Wind Acquisition Finance SA (f) | 11.750 | % | 07/15/17 | $ | 320,000 | $ | 362,400 | |||||||||
Windstream Corp. | 8.125 | % | 09/01/18 | 200,000 | 212,000 | |||||||||||
Windstream Corp. | 7.750 | % | 10/15/20 | 355,000 | 371,863 | |||||||||||
WireCo WorldGroup, Inc. (f) | 9.750 | % | 05/15/17 | 175,000 | 184,625 | |||||||||||
13,548,871 | ||||||||||||||||
Consumer, Cyclical — 0.3% | ||||||||||||||||
Accuride Corp. | 9.500 | % | 08/01/18 | 220,000 | 235,400 | |||||||||||
Affinia Group, Inc. | 9.000 | % | 11/30/14 | 445,000 | 451,675 | |||||||||||
Affinia Group, Inc. (f) | 10.750 | % | 08/15/16 | 333,000 | 371,295 | |||||||||||
AMC Entertainment Holdings, Inc. (f) | 9.750 | % | 12/01/20 | 360,000 | 368,100 | |||||||||||
ArvinMeritor, Inc. | 8.125 | % | 09/15/15 | 475,000 | 495,187 | |||||||||||
ArvinMeritor, Inc. | 10.625 | % | 03/15/18 | 415,000 | 465,838 | |||||||||||
Blockbuster, Inc. (b) (c) (l) | 9.000 | % | 09/01/12 | 344,000 | — | |||||||||||
Caesars Entertainment Operating Co. Inc. | 11.250 | % | 06/01/17 | 655,000 | 722,956 | |||||||||||
Chrysler Group LLC/CG Co-Issuer, Inc. (f) | 8.000 | % | 06/15/19 | 395,000 | 388,088 | |||||||||||
CityCenter Holdings LLC/CityCenter Finance Corp. (f) | 7.625 | % | 01/15/16 | 110,000 | 113,575 | |||||||||||
Continental Airlines, Inc. | 9.798 | % | 04/01/21 | 460,627 | 481,355 | |||||||||||
Easton-Bell Sports, Inc. | 9.750 | % | 12/01/16 | 425,000 | 468,562 | |||||||||||
Ferrellgas LP/Ferrellgas Finance Corp. (f) | 6.500 | % | 05/01/21 | 271,000 | 256,095 | |||||||||||
Ford Motor Co. | 7.450 | % | 07/16/31 | 700,000 | 793,546 | |||||||||||
Hanesbrands, Inc. | 6.375 | % | 12/15/20 | 350,000 | 339,500 | |||||||||||
Macy's Retail Holdings, Inc. | 5.900 | % | 12/01/16 | 990,000 | 1,111,337 | |||||||||||
Macy's Retail Holdings, Inc. | 7.000 | % | 02/15/28 | 25,000 | 28,172 | |||||||||||
Macy's Retail Holdings, Inc. | 6.700 | % | 09/15/28 | 25,000 | 27,086 | |||||||||||
MGM Resorts International | 11.125 | % | 11/15/17 | 175,000 | 199,938 | |||||||||||
MGM Resorts International | 9.000 | % | 03/15/20 | 265,000 | 290,175 | |||||||||||
Michaels Stores, Inc. (f) | 7.750 | % | 11/01/18 | 520,000 | 521,300 | |||||||||||
NAI Entertainment Holdings LLC (f) | 8.250 | % | 12/15/17 | 101,000 | 108,323 | |||||||||||
Peninsula Gaming LLC | 8.375 | % | 08/15/15 | 400,000 | 420,000 | |||||||||||
Rite Aid Corp. | 10.375 | % | 07/15/16 | 750,000 | 796,875 | |||||||||||
Tenneco, Inc. | 8.125 | % | 11/15/15 | 50,000 | 52,625 | |||||||||||
Tenneco, Inc. | 7.750 | % | 08/15/18 | 100,000 | 104,750 | |||||||||||
TRW Automotive, Inc. (f) | 7.250 | % | 03/15/17 | 750,000 | 832,500 | |||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. | 7.750 | % | 08/15/20 | 445,000 | 483,381 | |||||||||||
10,927,634 | ||||||||||||||||
Consumer, Non-cyclical — 0.2% | ||||||||||||||||
ACCO Brands Corp. | 10.625 | % | 03/15/15 | 255,000 | 284,644 | |||||||||||
Alere, Inc. | 9.000 | % | 05/15/16 | 345,000 | 359,231 | |||||||||||
American Renal Holdings | 8.375 | % | 05/15/18 | 395,000 | 402,406 |
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
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Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||
ARAMARK Holdings Corp. (f) | 8.625 | % | 05/01/16 | $ | 245,000 | $ | 249,287 | |||||||||
BioScrip, Inc. | 10.250 | % | 10/01/15 | 345,000 | 360,094 | |||||||||||
Cenveo Corp. | 7.875 | % | 12/01/13 | 775,000 | 744,000 | |||||||||||
CHS/Community Health Systems, Inc. | 8.875 | % | 07/15/15 | 615,000 | 633,450 | |||||||||||
Constellation Brands, Inc. | 7.250 | % | 09/01/16 | 380,000 | 415,150 | |||||||||||
Deluxe Corp. | 7.375 | % | 06/01/15 | 95,000 | 97,613 | |||||||||||
HCA, Inc. | 6.375 | % | 01/15/15 | 635,000 | 647,700 | |||||||||||
HCA, Inc. | 9.625 | % | 11/15/16 | 765,000 | 813,769 | |||||||||||
Healthsouth Corp. | 7.250 | % | 10/01/18 | 400,000 | 417,000 | |||||||||||
Radiation Therapy Services, Inc. | 9.875 | % | 04/15/17 | 380,000 | 379,525 | |||||||||||
Service Corp. International | 6.750 | % | 04/01/16 | 550,000 | 592,625 | |||||||||||
Service Corp. International | 7.000 | % | 05/15/19 | 440,000 | 463,100 | |||||||||||
Speedy Cash, Inc. (f) | 10.750 | % | 05/15/18 | 300,000 | 306,750 | |||||||||||
STHI Holding Corp. (f) | 8.000 | % | 03/15/18 | 80,000 | 81,200 | |||||||||||
StoneMor Operating LLC/Cornerstone Family Services of WV/Osiris Holding | 10.250 | % | 12/01/17 | 99,000 | 98,505 | |||||||||||
Tenet Healthcare Corp. | 10.000 | % | 05/01/18 | 675,000 | 766,969 | |||||||||||
Valeant Pharmaceuticals International (f) | 6.750 | % | 08/15/21 | 395,000 | 375,250 | |||||||||||
Yankee Acquisition Corp. | 9.750 | % | 02/15/17 | 210,000 | 221,025 | |||||||||||
8,709,293 | ||||||||||||||||
Diversified — 0.0% | ||||||||||||||||
Reynolds Group Escrow (f) | 8.500 | % | 10/15/16 | 240,000 | 250,200 | |||||||||||
Energy — 0.2% | ||||||||||||||||
Alpha Natural Resources, Inc. | 6.000 | % | 06/01/19 | 145,000 | 144,638 | |||||||||||
Alpha Natural Resources, Inc. | 6.250 | % | 06/01/21 | 96,000 | 96,480 | |||||||||||
Antero Resources Finance Corp. | 9.375 | % | 12/01/17 | 325,000 | 349,375 | |||||||||||
Aquilex Holdings LLC/Aquilex Finance Corp. | 11.125 | % | 12/15/16 | 600,000 | 583,500 | |||||||||||
Arch Coal, Inc. | 7.250 | % | 10/01/20 | 160,000 | 162,800 | |||||||||||
Basic Energy Services, Inc. (f) | 7.750 | % | 02/15/19 | 405,000 | 407,025 | |||||||||||
Berry Petroleum Co. | 10.250 | % | 06/01/14 | 350,000 | 399,875 | |||||||||||
Complete Production Services, Inc. | 8.000 | % | 12/15/16 | 15,000 | 15,675 | |||||||||||
Dynegy Holdings, Inc. | 7.750 | % | 06/01/19 | 185,000 | 134,588 | |||||||||||
El Paso Corp. | 7.000 | % | 06/15/17 | 735,000 | 831,561 | |||||||||||
El Paso Corp. | 6.500 | % | 09/15/20 | 405,000 | 442,798 | |||||||||||
Energy Transfer Equity LP | 7.500 | % | 10/15/20 | 500,000 | 530,000 | |||||||||||
Harvest Operations Corp. (f) | 6.875 | % | 10/01/17 | 395,000 | 407,837 | |||||||||||
Kinder Morgan Finance Co. LLC (f) | 6.000 | % | 01/15/18 | 211,000 | 218,913 | |||||||||||
Newfield Exploration Co. | 6.625 | % | 04/15/16 | 385,000 | 397,512 |
14
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Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||
Peabody Energy Corp. | 7.375 | % | 11/01/16 | $ | 585,000 | $ | 661,050 | |||||||||
Peabody Energy Corp. | 6.500 | % | 09/15/20 | 285,000 | 306,375 | |||||||||||
Petroleum Development Corp. | 12.000 | % | 02/15/18 | 50,000 | 55,500 | |||||||||||
Pioneer Natural Resources Co. | 6.650 | % | 03/15/17 | 480,000 | 522,804 | |||||||||||
Pioneer Natural Resources Co. | 6.875 | % | 05/01/18 | 475,000 | 512,850 | |||||||||||
Range Resources Corp. | 5.750 | % | 06/01/21 | 480,000 | 471,600 | |||||||||||
Rosetta Resources, Inc. | 9.500 | % | 04/15/18 | 190,000 | 210,425 | |||||||||||
Sevan Marine ASA (f) | 12.000 | % | 08/10/15 | 400,000 | 328,000 | |||||||||||
Thermon Industries, Inc. | 9.500 | % | 05/01/17 | 440,000 | 471,900 | |||||||||||
8,663,081 | ||||||||||||||||
Financial — 0.4% | ||||||||||||||||
Ally Financial, Inc. | 7.500 | % | 09/15/20 | 505,000 | 527,725 | |||||||||||
CIT Group, Inc. | 7.000 | % | 05/01/15 | 913 | 914 | |||||||||||
CIT Group, Inc. (f) | 7.000 | % | 05/04/15 | 116,000 | 116,145 | |||||||||||
CIT Group, Inc. | 7.000 | % | 05/01/16 | 856 | 853 | |||||||||||
CIT Group, Inc. (f) | 7.000 | % | 05/02/16 | 194,000 | 193,273 | |||||||||||
CIT Group, Inc. | 7.000 | % | 05/01/17 | 799 | 797 | |||||||||||
CIT Group, Inc. (f) | 7.000 | % | 05/02/17 | 1,767,000 | 1,762,582 | |||||||||||
CIT Group, Inc. (f) | 6.625 | % | 04/01/18 | 232,000 | 241,860 | |||||||||||
Community Choice Financial, Inc. (f) | 10.750 | % | 05/01/19 | 465,000 | 471,975 | |||||||||||
Credit Acceptance Corp. | 9.125 | % | 02/01/17 | 415,000 | 444,050 | |||||||||||
Entertainment Properties Trust – REIT | 7.750 | % | 07/15/20 | 2,000,000 | 2,255,000 | |||||||||||
Fibria Overseas Finance Ltd. (f) | 7.500 | % | 05/04/20 | 233,000 | 253,690 | |||||||||||
Ford Motor Credit Co. LLC | 8.000 | % | 12/15/16 | 1,125,000 | 1,265,047 | |||||||||||
Ford Motor Credit Co. LLC | 8.125 | % | 01/15/20 | 450,000 | 521,286 | |||||||||||
Hartford Financial Services Group, Inc. (VRN) | 8.125 | % | 06/15/38 | 725,000 | 781,187 | |||||||||||
Host Hotels & Resorts LP – REIT | 6.875 | % | 11/01/14 | 500,000 | 512,500 | |||||||||||
Host Hotels & Resorts, Inc. – REIT | 6.000 | % | 11/01/20 | 235,000 | 235,588 | |||||||||||
International Lease Finance Corp. | 5.650 | % | 06/01/14 | 825,000 | 825,000 | |||||||||||
International Lease Finance Corp. | 8.625 | % | 09/15/15 | 610,000 | 661,088 | |||||||||||
International Lease Finance Corp. | 5.750 | % | 05/15/16 | 216,000 | 212,699 | |||||||||||
International Lease Finance Corp. | 6.250 | % | 05/15/19 | 455,000 | 444,565 | |||||||||||
LBG Capital NO. 1 plc (f) | 7.875 | % | 11/01/20 | 945,000 | 883,575 | |||||||||||
NB Capital Trust IV | 8.250 | % | 04/15/27 | 600,000 | 612,750 | |||||||||||
Offshore Group Investments Ltd. | 11.500 | % | 08/01/15 | 330,000 | 358,875 | |||||||||||
Offshore Group Investments Ltd. (f) | 11.500 | % | 08/01/15 | 60,000 | 65,250 | |||||||||||
Provident Funding Associates (f) | 10.250 | % | 04/15/17 | 785,000 | 859,575 | |||||||||||
SLM Corp. | 6.250 | % | 01/25/16 | 230,000 | 238,625 | |||||||||||
SLM Corp. | 8.450 | % | 06/15/18 | 354,000 | 388,555 |
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||
SLM Corp. | 8.000 | % | 03/25/20 | $ | 156,000 | $ | 167,513 | |||||||||
TMX Finance LLC/TitleMax Finance Corp. | 13.250 | % | 07/15/15 | 350,000 | 392,875 | |||||||||||
15,695,417 | ||||||||||||||||
Industrial — 0.1% | ||||||||||||||||
ACL I Corp. (f) | 11.250 | % | 02/15/16 | 420,000 | 392,700 | |||||||||||
Ball Corp. | 7.125 | % | 09/01/16 | 50,000 | 54,500 | |||||||||||
Ball Corp. | 7.375 | % | 09/01/19 | 70,000 | 76,475 | |||||||||||
Ball Corp. | 5.750 | % | 05/15/21 | 421,000 | 422,052 | |||||||||||
BE Aerospace, Inc. | 6.875 | % | 10/01/20 | 510,000 | 534,225 | |||||||||||
Case New Holland, Inc. (f) | 7.875 | % | 12/01/17 | 775,000 | 852,500 | |||||||||||
CPM Holdings, Inc. | 10.625 | % | 09/01/14 | 380,000 | 412,300 | |||||||||||
Crown Americas LLC/Crown Americas Capital Corp. III (f) | 6.250 | % | 02/01/21 | 160,000 | 161,600 | |||||||||||
Darling International, Inc. (f) | 8.500 | % | 12/15/18 | 155,000 | 167,400 | |||||||||||
Esterline Technologies Corp. | 7.000 | % | 08/01/20 | 60,000 | 62,850 | |||||||||||
Harland Clarke Holdings Corp. | 9.500 | % | 05/15/15 | 567,000 | 518,096 | |||||||||||
Huntington Ingalls Industries, Inc. (f) | 6.875 | % | 03/15/18 | 171,000 | 175,275 | |||||||||||
Huntington Ingalls Industries, Inc. (f) | 7.125 | % | 03/15/21 | 225,000 | 232,875 | |||||||||||
Marquette Transportation Co./Marquette Transportation Finance Corp. | 10.875 | % | 01/15/17 | 385,000 | 387,888 | |||||||||||
Owens Corning, Inc. | 9.000 | % | 06/15/19 | 360,000 | 429,982 | |||||||||||
Owens-Brockway Glass Container, Inc. | 7.375 | % | 05/15/16 | 360,000 | 391,500 | |||||||||||
SPX Corp. | 7.625 | % | 12/15/14 | 465,000 | 513,825 | |||||||||||
TransDigm, Inc. (f) | 7.750 | % | 12/15/18 | 615,000 | 645,750 | |||||||||||
6,431,793 | ||||||||||||||||
Technology — 0.1% | ||||||||||||||||
CDW Escrow Corp. (f) | 8.500 | % | 04/01/19 | 832,000 | 815,360 | |||||||||||
CDW LLC/CDW Finance Corp. | 11.000 | % | 10/12/15 | 7,000 | 7,368 | |||||||||||
CDW LLC/CDW Finance Corp. | 11.500 | % | 10/12/15 | 7,268 | 7,668 | |||||||||||
CDW LLC/CDW Finance Corp. (f) | 8.000 | % | 12/15/18 | 315,000 | 333,112 | |||||||||||
Eagle Parent, Inc. (f) | 8.625 | % | 05/01/19 | 160,000 | 154,200 | |||||||||||
First Data Corp. | 9.875 | % | 09/24/15 | 43,000 | 44,183 | |||||||||||
First Data Corp. | 10.550 | % | 09/24/15 | 841,535 | 873,093 | |||||||||||
First Data Corp. (f) | 8.250 | % | 01/15/21 | 190,000 | 186,200 | |||||||||||
First Data Corp. (f) | 12.625 | % | 01/15/21 | 191,000 | 204,370 | |||||||||||
First Data Corp. (f) | 8.750 | % | 01/15/22 | 190,000 | 185,725 | |||||||||||
Freescale Semiconductor, Inc. | 8.875 | % | 12/15/14 | 320,000 | 333,600 | |||||||||||
Freescale Semiconductor, Inc. (f) | 9.250 | % | 04/15/18 | 325,000 | 350,187 | |||||||||||
Freescale Semiconductor, Inc. (f) | 10.750 | % | 08/01/20 | 100,000 | 113,000 | |||||||||||
IMS Health, Inc. (f) | 12.500 | % | 03/01/18 | 420,000 | 500,850 |
15
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Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||||
Mantech International Corp. | 7.250 | % | 04/15/18 | $ | 200,000 | $ | 209,000 | |||||||||||
Seagate HDD Cayman (f) | 6.875 | % | 05/01/20 | 425,000 | 421,812 | |||||||||||||
Seagate Technology HDD Holdings, Inc. | 6.800 | % | 10/01/16 | 505,000 | 531,512 | |||||||||||||
SunGard Data Systems, Inc. | 10.250 | % | 08/15/15 | 270,000 | 279,450 | |||||||||||||
SunGard Data Systems, Inc. | 7.375 | % | 11/15/18 | 341,000 | 341,000 | |||||||||||||
SunGard Data Systems, Inc. | 7.625 | % | 11/15/20 | 195,000 | 196,950 | |||||||||||||
6,088,640 | ||||||||||||||||||
Utilities — 0.1% | ||||||||||||||||||
AES Corp. (The) | 8.000 | % | 10/15/17 | 370,000 | 392,200 | |||||||||||||
Calpine Corp. (f) | 7.500 | % | 02/15/21 | 325,000 | 331,500 | |||||||||||||
Edison Mission Energy | 7.200 | % | 05/15/19 | 380,000 | 302,100 | |||||||||||||
GenOn Energy Inc. | 7.875 | % | 06/15/17 | 420,000 | 422,100 | |||||||||||||
Intergen NV (f) | 9.000 | % | 06/30/17 | 525,000 | 555,188 | |||||||||||||
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc. (f) | 11.500 | % | 10/01/20 | 640,000 | 628,800 | |||||||||||||
2,631,888 | ||||||||||||||||||
Total Corporate Bonds (Cost $71,776,108) | 76,986,925 | |||||||||||||||||
Asset-Backed Securities — 0.6% | ||||||||||||||||||
Aames Mortgage Investment Trust, Ser. 2005-4, Class M1 (FRN) (STEP) | 0.891 | % | 10/25/35 | 1,500,000 | 1,366,791 | |||||||||||||
Ace Securities Corp., Ser. 2005-HE7, Class A2D (FRN) (STEP) | 0.516 | % | 11/25/35 | 400,000 | 319,252 | |||||||||||||
Asset Backed Funding Certificates, Ser. 2005-AQ1, Class A6 (STEP) (c) | 4.780 | % | 06/25/35 | 1,489,212 | 1,443,173 | |||||||||||||
Bear Stearns Asset Backed Securities Trust | ||||||||||||||||||
Ser. 2005-4, Class M1 (FRN) (STEP) | 0.686 | % | 01/25/36 | 4,222,000 | 3,758,602 | |||||||||||||
Ser. 2006-HE1, Class 1A2 (FRN) (STEP) | 0.406 | % | 12/25/35 | 285,167 | 277,815 | |||||||||||||
Carrington Mortgage Loan Trust, Ser. 2005-NC5, Class A2 (FRN) | 0.506 | % | 10/25/35 | 314,294 | 293,809 | |||||||||||||
Countrywide Asset-Backed Certificates | ||||||||||||||||||
Ser. 2004-1, Class 3A (FRN) (STEP) | 0.466 | % | 04/25/34 | 293,688 | 235,979 | |||||||||||||
Ser. 2004-12, Class MV3 (FRN) (STEP) | 0.846 | % | 03/25/35 | 2,400,000 | 1,950,168 | |||||||||||||
Ser. 2005-1, Class MV2 (FRN) (STEP) | 0.626 | % | 07/25/35 | 650,000 | 609,575 | |||||||||||||
Ser. 2005-4, Class MV2 (FRN) (STEP) | 0.666 | % | 10/25/35 | 3,500,000 | 2,883,129 |
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Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||||
Credit-Based Asset Servicing and Securitization, Ser. 2005-CB2, Class M1 (FRN) (STEP) | 0.626 | % | 04/25/36 | $ | 47,584 | $ | 43,526 | |||||||||||
Downey Savings & Loan Association Mortgage Loan Trust, Ser. 2004-AR3, Class B2 (FRN) (STEP) (c) | 1.286 | % | 07/19/44 | 100,326 | 25,261 | |||||||||||||
FBR Securitization Trust, Ser. 2005-2, Class AV31 (FRN) (STEP) | 0.726 | % | 09/25/35 | 26,913 | 26,866 | |||||||||||||
First Franklin Mortgage Loan Asset Backed Certificates | ||||||||||||||||||
Ser. 2005-FF10, Class A4 (FRN) (STEP) | 0.506 | % | 11/25/35 | 314,814 | 260,030 | |||||||||||||
Ser. 2005-FF5, Class M1 (FRN) (STEP) | 0.636 | % | 03/25/35 | 975,241 | 937,054 | |||||||||||||
Home Equity Asset Trust, Ser. 2006-8, Class 2A1 (FRN) (STEP) | 0.236 | % | 03/25/37 | 119,171 | 118,834 | |||||||||||||
HSI Asset Securitization Corp. Trust, Ser. 2006-OPT2, Class 2A3 (FRN) (STEP) | 0.376 | % | 01/25/36 | 558,217 | 492,233 | |||||||||||||
Indymac Residential Asset Backed Trust, Ser. 2005-D, Class AII3 (FRN) (STEP) | 0.436 | % | 03/25/36 | 865,187 | 661,840 | |||||||||||||
Long Beach Mortgage Loan Trust | ||||||||||||||||||
Ser. 2005-1, Class M2 (FRN) (STEP) | 0.716 | % | 02/25/35 | 2,500,000 | 1,993,790 | |||||||||||||
Ser. 2005-3, Class 2A2 (FRN) (STEP) | 0.466 | % | 08/25/45 | 727,326 | 703,461 | |||||||||||||
Ser. 2005-WL2, Class M1 (FRN) (STEP) | 0.656 | % | 08/25/35 | 400,000 | 324,474 | |||||||||||||
Ser. 2006-4, Class 2A3 (FRN) (STEP) (c) | 0.346 | % | 05/25/36 | 933,650 | 301,846 | |||||||||||||
Morgan Stanley ABS Capital I | ||||||||||||||||||
Ser. 2002-HE3, Class A2 (FRN) (STEP) | 1.266 | % | 03/25/33 | 156,433 | 138,745 | |||||||||||||
Ser. 2005-HE6, Class A2C (FRN) (STEP) | 0.506 | % | 11/25/35 | 691,996 | 600,936 | |||||||||||||
New Century Home Equity Loan Trust, Ser. 2003-2, Class M2 (FRN) (STEP) | 3.186 | % | 01/25/33 | 328,083 | 235,066 | |||||||||||||
Residential Asset Securities Corp. | ||||||||||||||||||
Ser. 2004-KS9, Class AII4 (FRN) (STEP) (c) | 0.786 | % | 10/25/34 | 113,984 | 64,598 | |||||||||||||
Ser. 2006-EMX8, Class 1A3 (FRN) (STEP) (c) | 0.356 | % | 10/25/36 | 700,000 | 277,827 |
16
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Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||
Securitized Asset Backed Receivables LLC Trust, Ser. 2005-HE1, Class A3C (FRN) (STEP) | 0.516 | % | 10/25/35 | $ | 82,227 | $ | 72,116 | |||||||||
Soundview Home Equity Loan Trust | ||||||||||||||||
Ser. 2005-OPT3, Class A4 (FRN) (STEP) | 0.486 | % | 11/25/35 | 2,211,935 | 2,092,169 | |||||||||||
Ser. 2005-OPT4, Class 2A3 (FRN) (STEP) | 0.446 | % | 12/25/35 | 124,846 | 110,973 | |||||||||||
Specialty Underwriting & Residential Finance, Ser. 2005-BC4, Class A2B (FRN) (STEP) | 0.416 | % | 09/25/36 | 283,183 | 278,405 | |||||||||||
Washington Mutual, Inc., Ser. 2005-AR1, Class A3 (FRN) (STEP) | 0.546 | % | 01/25/45 | 239,791 | 166,357 | |||||||||||
Total Asset-Backed Securities (Cost $24,624,462) | 23,064,700 | |||||||||||||||
Mortgage-Backed Securities – Private Issuers — 1.2% | ||||||||||||||||
American Home Mortgage Investment Trust | ||||||||||||||||
Ser. 2004-1, Class 4A (FRN) | 2.406 | % | 04/25/44 | 66,716 | 49,158 | |||||||||||
Ser. 2004-4, Class 4A (FRN) | 2.403 | % | 02/25/45 | 253,140 | 223,957 | |||||||||||
Ser. 2005-1, Class 6A (FRN) | 2.396 | % | 06/25/45 | 401,591 | 318,578 | |||||||||||
Banc of America Commercial Mortgage, Inc. | ||||||||||||||||
Ser. 2004-6, Class A3 | 4.512 | % | 12/10/42 | 2,000,000 | 2,020,954 | |||||||||||
Ser. 2005-2, Class A4 (VRN) | 4.783 | % | 07/10/43 | 2,557,434 | 2,613,093 | |||||||||||
Ser. 2005-3, Class A3A | 4.621 | % | 07/10/43 | 1,610,000 | 1,638,720 | |||||||||||
Ser. 2006-6, Class A2 | 5.309 | % | 10/10/45 | 1,233,967 | 1,243,867 | |||||||||||
Ser. 2007-4, Class A4 (VRN) | 5.930 | % | 02/10/51 | 2,705,000 | 2,939,329 | |||||||||||
Banc of America Funding Corp., Ser. 2004-B, Class 1A2 (VRN) | 2.948 | % | 12/20/34 | 158,636 | 101,978 | |||||||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||||||||||
Ser. 2002-TOP6, Class A2 | 6.460 | % | 10/15/36 | 1,630,627 | 1,661,419 | |||||||||||
Ser. 2007-PW17, Class A4 (VRN) | 5.694 | % | 06/11/50 | 1,169,000 | 1,269,622 | |||||||||||
Citigroup Mortgage Loan Trust, Inc., Ser. 2007-AR5, Class 1A2A (VRN) | 5.271 | % | 04/25/37 | 374,942 | 247,550 | |||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2007-CD5, Class A4 (VRN) | 5.886 | % | 11/15/44 | 4,000,000 | 4,363,237 |
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Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||||
Credit Suisse First Boston Mortgage Securities Corp. | ||||||||||||||||||
Ser. 2002-CKP1, Class A3 | 6.439 | % | 12/15/35 | $ | 1,258,970 | $ | 1,276,818 | |||||||||||
Ser. 2005-C5, Class A2 (VRN) | 5.100 | % | 08/15/38 | 6,774 | 6,769 | |||||||||||||
GE Capital Commercial Mortgage Corp. | ||||||||||||||||||
Ser. 2001-2, Class A4 | 6.290 | % | 08/11/33 | 22,725 | 22,716 | |||||||||||||
Ser. 2001-3, Class A2 | 6.070 | % | 06/10/38 | 388,395 | 390,558 | |||||||||||||
Ser. 2002-1A, Class A3 | 6.269 | % | 12/10/35 | 1,137,027 | 1,160,958 | |||||||||||||
Ser. 2007-C1, Class A3 | 5.481 | % | 12/10/49 | 500,000 | 526,625 | |||||||||||||
Greenwich Capital Commercial Funding Corp., Ser. 2005-GG3, Class A2 | 4.305 | % | 08/10/42 | 2,181,840 | 2,190,225 | |||||||||||||
Harborview Mortgage Loan Trust | ||||||||||||||||||
Ser. 2004-7, Class 2A2 (VRN) | 2.559 | % | 11/19/34 | 72,517 | 48,039 | |||||||||||||
Ser. 2005-9, Class 2A1A (FRN) (STEP) | 0.526 | % | 06/20/35 | 91,938 | 73,297 | |||||||||||||
JP Morgan Chase Commercial Mortgage Securities Corp. | ||||||||||||||||||
Ser. 2001-CIB3, Class A3 | 6.465 | % | 11/15/35 | 191,760 | 193,076 | |||||||||||||
Ser. 2002-C1, Class A3 | 5.376 | % | 07/12/37 | 946,711 | 972,940 | |||||||||||||
Ser. 2004-CB8, Class A3 | 4.007 | % | 01/12/39 | 2,535,831 | 2,564,222 | |||||||||||||
Ser. 2004-CBX, Class A3 | 4.184 | % | 01/12/37 | 93,036 | 92,979 | |||||||||||||
Ser. 2005-LDP4, Class A3A1 | 4.871 | % | 10/15/42 | 859,216 | 858,049 | |||||||||||||
LB-UBS Commercial Mortgage Trust | ||||||||||||||||||
Ser. 2001-C3, Class A2 | 6.365 | % | 12/15/28 | 483,067 | 483,034 | |||||||||||||
Ser. 2002-C1, Class A4 | 6.462 | % | 03/15/31 | 3,538,367 | 3,613,460 | |||||||||||||
Ser. 2003-C3, Class A4 | 4.166 | % | 05/15/32 | 500,000 | 520,877 | |||||||||||||
Ser. 2003-C8, Class A3 | 4.830 | % | 11/15/27 | 365,772 | 372,473 | |||||||||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-8, Class A3 (VRN) | 5.970 | % | 08/12/49 | 4,000,000 | 4,379,125 | |||||||||||||
MLCC Mortgage Investors, Inc., Ser. 2004-D, Class A2 (FRN) (STEP) | 0.825 | % | 08/25/29 | 127,422 | 117,197 | |||||||||||||
Morgan Stanley Capital I | ||||||||||||||||||
Ser. 1998-HF2, Class G (f) | 6.010 | % | 11/15/30 | 100,000 | 100,780 |
17
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Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||
Ser. 2007-HQ11, Class A31 | 5.439 | % | 02/12/44 | $ | 770,000 | $ | 808,469 | |||||||||
Nomura Asset Securities Corp., Ser. 1998-D6, Class A3 (VRN) | 7.521 | % | 03/15/30 | 4,000,000 | 4,345,313 | |||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2005-19XS, Class 1A1 (FRN) (STEP) | 0.506 | % | 10/25/35 | 357,820 | 235,155 | |||||||||||
Structured Asset Securities Corp. | ||||||||||||||||
Ser. 2005-RF1, Class A (FRN) (c) (f) | 0.536 | % | 03/25/35 | 344,430 | 290,023 | |||||||||||
Ser. 2005-RF3, Class 1A (FRN) (c) (f) | 0.536 | % | 06/25/35 | 708,687 | 576,974 | |||||||||||
Ser. 2006-BC2, Class A2 (FRN) (STEP) | 0.236 | % | 09/25/36 | 4,063 | 4,034 | |||||||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||||||||||
Ser. 2005-C20, Class AMFX (VRN) | 5.179 | % | 07/15/42 | 2,033,000 | 2,119,067 | |||||||||||
Ser. 2006-C28, Class A2 | 5.500 | % | 10/15/48 | 1,254,381 | 1,260,826 | |||||||||||
Total Mortgage-Backed Securities – Private Issuers (Cost $45,815,498) | 48,295,540 | |||||||||||||||
Mortgage-Backed Securities — US Government Agency Obligations — 0.6% | ||||||||||||||||
FHLMC | ||||||||||||||||
Pool #1B1349 (FRN) | 2.782 | % | 09/01/33 | 1,132,463 | 1,197,005 | |||||||||||
Pool #1M1044 (FRN) (IO) | 2.423 | % | 09/01/36 | 512,993 | 539,244 | |||||||||||
Pool #781697 (FRN) | 2.653 | % | 07/01/34 | 171,240 | 179,705 | |||||||||||
Pool #G18022 | 5.500 | % | 11/01/19 | 1,712,064 | 1,857,978 | |||||||||||
Ser. 2002-2530, Class QI (FRN) (IO) | 6.813 | % | 01/15/32 | 173,442 | 26,145 | |||||||||||
Ser. 2003-2591, Class WP | 3.500 | % | 02/15/30 | 2,697 | 2,697 | |||||||||||
Ser. 2005-2922, Class SE (FRN) (IO) | 6.563 | % | 02/15/35 | 369,068 | 55,985 | |||||||||||
Ser. 2005-2934, Class HI (IO) | 5.000 | % | 02/15/20 | 60,676 | 7,783 | |||||||||||
Ser. 2005-2934, Class KI (IO) | 5.000 | % | 02/15/20 | 30,362 | 3,534 | |||||||||||
Ser. 2005-2965, Class SA (FRN) (IO) | 5.863 | % | 05/15/32 | 947,409 | 128,315 | |||||||||||
Ser. 2005-2967, Class JI (IO) | 5.000 | % | 04/15/20 | 33,424 | 4,514 | |||||||||||
Ser. 2005-2980, Class SL (FRN) (IO) | 6.513 | % | 11/15/34 | 513,509 | 96,564 | |||||||||||
Ser. 2008-3424, Class XI (FRN) (IO) | 6.383 | % | 05/15/36 | 607,336 | 104,618 | |||||||||||
Ser. 2008-3489, Class SD (FRN) (IO) | 7.613 | % | 06/15/32 | 508,367 | 83,724 |
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Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||
Ser. 2010-3659, Class IE (IO) | 5.000 | % | 03/15/19 | $ | 460,392 | $ | 49,881 | |||||||||
Ser. 2010-3685, Class EI (IO) | 5.000 | % | 03/15/19 | 1,065,364 | 103,778 | |||||||||||
Ser. 2010-3731, Class IO (IO) | 5.000 | % | 07/15/19 | 519,275 | 50,150 | |||||||||||
FHLMC Strip | ||||||||||||||||
Ser. 2004-227, Class IO (IO) | 5.000 | % | 12/01/34 | 251,265 | 51,713 | |||||||||||
Ser. 2005-232, Class IO (IO) | 5.000 | % | 08/01/35 | 113,361 | 24,069 | |||||||||||
Ser. 2005-233, Class 5 (IO) | 4.500 | % | 09/15/35 | 46,794 | 8,460 | |||||||||||
FNMA | ||||||||||||||||
Pool #685563 (FRN) | 2.685 | % | 01/01/33 | 258,506 | 272,086 | |||||||||||
Pool #693348 (FRN) | 2.000 | % | 02/01/33 | 1,838,305 | 1,923,753 | |||||||||||
Pool #739758 (FRN) (IO) | 2.077 | % | 08/01/33 | 214,752 | 223,998 | |||||||||||
Pool #801335 (FRN) | 2.063 | % | 09/01/34 | 733,132 | 769,010 | |||||||||||
Pool #806765 (FRN) | 2.058 | % | 11/01/34 | 200,779 | 210,464 | |||||||||||
Pool #815054 (FRN) | 2.370 | % | 04/01/35 | 285,808 | 300,157 | |||||||||||
Pool #828480 (FRN) | 2.707 | % | 06/01/35 | 189,023 | 198,840 | |||||||||||
Pool #831360 | 5.500 | % | 03/01/21 | 276,685 | 302,823 | |||||||||||
Pool #834928 (FRN) | 2.060 | % | 07/01/35 | 1,813,547 | 1,903,949 | |||||||||||
Pool #841068 (FRN) | 2.680 | % | 11/01/34 | 1,099,121 | 1,158,610 | |||||||||||
Pool #847637 (FRN) | 3.041 | % | 01/01/34 | 147,849 | 156,183 | |||||||||||
Pool #865792 | 5.500 | % | 03/01/21 | 208,891 | 226,732 | |||||||||||
Pool #879906 (FRN) | 2.932 | % | 10/01/33 | 937,522 | 987,403 | |||||||||||
Pool #880373 (FRN) | 2.308 | % | 02/01/36 | 1,447,968 | 1,520,971 | |||||||||||
Pool #889487 (FRN) | 2.757 | % | 08/01/35 | 243,358 | 257,002 | |||||||||||
Pool #894611 (FRN) | 3.086 | % | 03/01/36 | 1,570,438 | 1,662,683 | |||||||||||
Pool #894613 (FRN) | 3.059 | % | 03/01/36 | 1,231,875 | 1,304,103 | |||||||||||
Pool #985096 | 6.000 | % | 12/01/38 | 949,739 | 1,044,033 | |||||||||||
Pool #991526 | 6.000 | % | 11/01/38 | 359,981 | 395,722 | |||||||||||
Pool #995651 | 6.000 | % | 11/01/37 | 734,597 | 810,553 | |||||||||||
Ser. 2004-31, Class SG (FRN) (IO) | 6.914 | % | 08/25/33 | 443,681 | 66,955 | |||||||||||
Ser. 2004-49, Class SQ (FRN) (IO) | 6.864 | % | 07/25/34 | 296,721 | 57,854 | |||||||||||
Ser. 2004-51, Class SX (FRN) (IO) | 6.934 | % | 07/25/34 | 546,816 | 96,630 | |||||||||||
Ser. 2004-64, Class SW (FRN) (IO) | 6.864 | % | 08/25/34 | 905,228 | 161,380 | |||||||||||
Ser. 2004-66, Class SE (FRN) (IO) | 6.314 | % | 09/25/34 | 626,487 | 104,572 | |||||||||||
Ser. 2005-12, Class SC (FRN) (IO) | 6.564 | % | 03/25/35 | 678,558 | 114,438 | |||||||||||
Ser. 2005-45, Class SR (FRN) (IO) | 6.534 | % | 06/25/35 | 558,796 | 95,015 | |||||||||||
Ser. 2005-65, Class KI (FRN) (IO) | 6.814 | % | 08/25/35 | 2,639,686 | 413,469 | |||||||||||
Ser. 2006-3, Class SA (FRN) (IO) | 5.964 | % | 03/25/36 | 529,748 | 83,752 | |||||||||||
Ser. 2007-25, Class FA (FRN) | 0.586 | % | 04/25/37 | 1,252,603 | 1,254,213 | |||||||||||
Ser. 2008-34, Class SM (FRN) (IO) | 6.564 | % | 05/25/38 | 1,142,511 | 197,143 | |||||||||||
Ser. 2008-86, Class IO (IO) | 4.500 | % | 03/25/23 | 933,449 | 96,504 | |||||||||||
Ser. 2010-105, Class IO (IO) | 5.000 | % | 08/25/20 | 494,843 | 60,825 |
18
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Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||
Ser. 2010-65, Class IO (IO) | 5.000 | % | 09/25/20 | $ | 1,107,749 | $ | 130,227 | |||||||||
Ser. 2010-95, Class DI (IO) | 4.500 | % | 11/25/20 | 642,084 | 68,421 | |||||||||||
FNMA Strip | ||||||||||||||||
Ser. 2005-360, Class 2 (IO) | 5.000 | % | 08/01/35 | 732,920 | 155,846 | |||||||||||
Ser. 2005-365, Class 4 (IO) | 5.000 | % | 04/01/36 | 41,733 | 8,495 | |||||||||||
FNMA Whole Loan, Ser. 2002-W8, Class A3 | 7.500 | % | 06/25/42 | 379,801 | 436,388 | |||||||||||
GNMA, Ser. 2003-11, Class S (FRN) (IO) | 6.365 | % | 02/16/33 | 910,434 | 147,076 | |||||||||||
Total Mortgage-Backed Securities – US Government Agency Obligations (Cost $23,165,292) | 23,954,140 | |||||||||||||||
Bank Loans — 0.0% | ||||||||||||||||
Texas Competitive Electric Holdings Co. LLC (FRN) | 4.690 | % | 10/10/17 | 594,879 | 463,262 | |||||||||||
Texas Competitive Electric Holdings Co. LLC (FRN) | 4.770 | % | 10/10/17 | 631,241 | 491,579 | |||||||||||
Vertrue, Inc. (FRN) | 9.250 | % | 08/14/15 | 455,000 | 318,500 | |||||||||||
Total Bank Loans (Cost $1,341,437) | 1,273,341 | |||||||||||||||
US Treasury Notes/Bonds — 14.4% | ||||||||||||||||
US Treasury Inflation Indexed Bond (h) | 2.375 | % | 01/15/25 | 31,253,980 | 35,922,543 | |||||||||||
US Treasury Inflation Indexed Bond | 2.375 | % | 01/15/27 | 11,150,100 | 12,714,593 | |||||||||||
US Treasury Inflation Indexed Bond | 1.750 | % | 01/15/28 | 96,599,700 | 101,082,506 | |||||||||||
US Treasury Inflation Indexed Bond | 2.500 | % | 01/15/29 | 16,861,691 | 19,583,269 | |||||||||||
US Treasury Inflation Indexed Bond | 3.375 | % | 04/15/32 | 9,754,437 | 12,904,057 | |||||||||||
US Treasury Inflation Indexed Bond | 2.125 | % | 02/15/40 | 68,142,270 | 74,152,623 | |||||||||||
US Treasury Inflation Indexed Note | 3.375 | % | 01/15/12 | 12,663,500 | 12,937,551 | |||||||||||
US Treasury Inflation Indexed Note | 3.000 | % | 07/15/12 | 12,506,000 | 13,049,235 | |||||||||||
US Treasury Inflation Indexed Note (h) (i) | 0.625 | % | 04/15/13 | 44,255,328 | 45,558,780 | |||||||||||
US Treasury Inflation Indexed Note (h) | 1.250 | % | 04/15/14 | 14,874,860 | 15,780,129 | |||||||||||
US Treasury Inflation Indexed Note (h) | 0.500 | % | 04/15/15 | 16,497,681 | 17,206,570 | |||||||||||
US Treasury Inflation Indexed Note | 0.125 | % | 04/15/16 | 15,280,500 | 15,625,503 | |||||||||||
US Treasury Inflation Indexed Note | 2.625 | % | 07/15/17 | 4,339,720 | 5,048,314 | |||||||||||
US Treasury Inflation Indexed Note | 1.625 | % | 01/15/18 | 57,959,820 | 63,737,718 | |||||||||||
US Treasury Inflation Indexed Note | 1.375 | % | 07/15/18 | 78,206,250 | 84,914,860 | |||||||||||
US Treasury Inflation Indexed Note (h) | 2.125 | % | 01/15/19 | 33,199,727 | 37,723,190 | |||||||||||
US Treasury Inflation Indexed Note | 1.250 | % | 07/15/20 | 32,787,708 | 34,683,231 | |||||||||||
US Treasury Inflation Indexed Note | 1.125 | % | 01/15/21 | 1,027,910 | 1,067,421 | |||||||||||
Total US Treasury Notes/Bonds (Cost $557,467,533) | 603,692,093 |
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Acquired Funds — 15.4% | |||||||||
Exchange-Traded Funds (ETFs) — 1.1% | |||||||||
Vanguard Emerging Markets ETF | 870,000 | $ | 42,299,400 | ||||||
Vanguard FTSE All-World ex-US ETF | 100,000 | 4,981,000 | |||||||
47,280,400 | |||||||||
Mutual Funds — 1.3% | |||||||||
PIMCO Commodity RealReturn Strategy Fund | 6,446,236 | 56,340,099 | |||||||
Private Investment Funds (j) — 13.0% | |||||||||
Azentus Global Opportunities Fund, LP (a) (b) (c) (e) | 39,779,334 | ||||||||
Canyon Value Realization Fund, LP (a) (b) (c) (e) | 54,943,086 | ||||||||
Convexity Capital Offshore,LP (a) (b) (c) (e) | 110,183,279 | ||||||||
Farallon Capital Institutional Partners, LP (a) (b) (c) (e) | 74,508,522 | ||||||||
Joho Partners, LP (a) (b) (c) (e) | 23,410,788 | ||||||||
Lansdowne UK Equity Fund Ltd. (a) (b) (c) (e) | 176,926 | 65,448,923 | |||||||
Lone Cascade, LP, Class G (a) (b) (c) (e) | 7,855,306 | ||||||||
Lone Cascade, LP, Class I (a) (b) (c) (e) | 10,211,387 | ||||||||
Lone Picea, LP, Class E (a) (b) (c) (e) | 1,105,537 | ||||||||
Lone Picea, LP, Class F (a) (b) (c) (e) | 1,654,398 | ||||||||
Lone Picea, LP, Class H (a) (b) (c) (e) | 1,603,708 | ||||||||
Lone Redwood, LP (a) (b) (c) (e) | 12,370,202 | ||||||||
Maverick Fund USA Ltd. (a) (b) (c) (e) | 31,433,767 | ||||||||
Nomad Investment Partnership LP, Class A (a) (b) (c) (e) | 26,511,264 | ||||||||
Nomad Investment Partnership LP, Class R (a) (b) (c) (e) | 12,372,336 | ||||||||
OZ Domestic Partners, LP (a) (b) (c) (e) | 19,910,381 | ||||||||
Regiment Capital Ltd. (a) (b) (c) (e) | 45,152 | 10,901,374 | |||||||
Theleme Fund Ltd. (a) (b) (c) (e) | 320,000 | 39,292,040 | |||||||
543,495,632 | |||||||||
Total Acquired Funds (Cost $425,831,337) | 647,116,131 | ||||||||
Preferred Stocks — 0.2% | |||||||||
Citigroup Capital XIII, 7.875% | 22,000 | 611,160 | |||||||
General Motors Co., Series B, 4.750% | 5,550 | 270,507 | |||||||
GMAC Capital Trust I, 8.125% (a) | 49,500 | 1,267,200 | |||||||
iStar Financial, Inc., Series E – REIT, 7.875% | 7,575 | 152,333 | |||||||
iStar Financial, Inc., Series F – REIT, 7.800% | 148,806 | 2,941,895 | |||||||
iStar Financial, Inc., Series G – REIT, 7.650% | 16,438 | 315,610 | |||||||
Malaysian Airline System Berhad, 30.000%, (Malaysia) | 40,000 | 11,724 | |||||||
Vale SA, 2.600%, (Brazil) | 123,000 | 3,518,226 | |||||||
Total Preferred Stocks (Cost $6,940,217) | 9,088,655 |
19
![]() | ![]() | ![]() | |||||||
Number of Contracts | Value | ||||||||
Warrants — 0.1% | |||||||||
Global Yellow Pages Ltd. Expiring 09/10/14 (Singapore) (a) | 146,000 | $ | 2,972 | ||||||
NMDC Ltd. (Morgan Stanley) Expiring 03/25/15 (India) (a) (c) | 343,881 | 1,959,704 | |||||||
Total Warrants (Cost $2,279,409) | 1,962,676 |
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||
Short-Term Investments — 30.8% | ||||||||||||||||
Repurchase Agreement — 5.8% | ||||||||||||||||
State Street Bank & Trust Co. issued on 06/30/11 (proceeds at maturity $243,685,372) (collateralized by US Treasury Notes, due 04/30/12 thougth 04/30/17 with a total principal value of $246,855,000 and a total market value of $248,587,962) | ||||||||||||||||
(Cost $243,685,305) | 0.010 | % | 07/01/11 | $ | 243,685,305 | $ | 243,685,305 | |||||||||
US Treasury Bills — 25.0% | ||||||||||||||||
US Treasury Bill (k) | 07/21/11 | 50,000,000 | 49,994,972 | |||||||||||||
US Treasury Bill (k) | 08/11/11 | 70,000,000 | 69,986,328 | |||||||||||||
US Treasury Bill (k) | 08/25/11 | 50,000,000 | 49,987,625 | |||||||||||||
US Treasury Bill (k) | 09/22/11 | 50,000,000 | 49,997,100 | |||||||||||||
US Treasury Bill (k) | 10/13/11 | 100,000,000 | 99,990,800 | |||||||||||||
US Treasury Bill (k) | 10/20/11 | 160,000,000 | 159,982,720 | |||||||||||||
US Treasury Bill (k) | 10/27/11 | 20,000,000 | 19,997,580 | |||||||||||||
US Treasury Bill (k) | 11/03/11 | 60,000,000 | 59,991,240 | |||||||||||||
US Treasury Bill (k) (i) (m) | 11/17/11 | 70,000,000 | 69,985,160 | |||||||||||||
US Treasury Bill (k) | 11/25/11 | 140,000,000 | 139,958,840 | |||||||||||||
US Treasury Bill (k) | 12/01/11 | 40,000,000 | 39,987,760 | |||||||||||||
US Treasury Bill (k) | 12/22/11 | 50,000,000 | 49,980,183 | |||||||||||||
US Treasury Bill (k) | 12/29/11 | 190,000,000 | 189,905,892 | |||||||||||||
Total US Treasury Bills (Cost $1,049,646,536) | 1,049,746,200 | |||||||||||||||
Total Short-Term Investments (Cost $1,293,331,841) | 1,293,431,505 | |||||||||||||||
Total Investments — 106.2% (Cost $3,919,368,863) | 4,453,532,792 | |||||||||||||||
Liabilities in Excess of Other Assets — (6.2)% | (260,702,700 | ) | ||||||||||||||
Net Assets — 100.0% | $ | 4,192,830,092 |
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Securities Sold Short — (1.3)% | |||||||||
Common Stocks — (1.3)% | |||||||||
US Common Stocks — (1.3)% | |||||||||
Real Estate Investment Trusts (REITs) — (1.3)% | |||||||||
Alexandria Real Estate Equities, Inc. | (34,100 | ) | $ | (2,640,022 | ) | ||||
BioMed Realty Trust, Inc. | (135,700 | ) | (2,610,868 | ) | |||||
DiamondRock Hospitality Co. | (151,000 | ) | (1,620,230 | ) | |||||
Extra Space Storage, Inc. | (139,600 | ) | (2,977,668 | ) | |||||
Federal Realty Investment Trust | (31,600 | ) | (2,691,688 | ) | |||||
Government Properties Income Trust | (68,000 | ) | (1,837,360 | ) | |||||
Healthcare Realty Trust, Inc. | (76,800 | ) | (1,584,384 | ) | |||||
Hospitality Properties Trust | (151,016 | ) | (3,662,138 | ) | |||||
LaSalle Hotel Properties | (190,900 | ) | (5,028,306 | ) | |||||
National Health Investors, Inc. | (77,000 | ) | (3,421,110 | ) | |||||
National Retail Properties, Inc. | (207,000 | ) | (5,073,570 | ) | |||||
Nationwide Health Properties, Inc. | (41,000 | ) | (1,697,810 | ) | |||||
Pebblebrook Hotel Trust | (110,900 | ) | (2,239,071 | ) | |||||
Post Properties, Inc. | (120,200 | ) | (4,899,352 | ) | |||||
Realty Income Corp. | (53,400 | ) | (1,788,366 | ) | |||||
Sun Communities, Inc. | (94,700 | ) | (3,533,257 | ) | |||||
Ventas, Inc. | (98,100 | ) | (5,170,851 | ) | |||||
(52,476,051 | ) | ||||||||
Foreign Common Stocks — 0.0% | |||||||||
Hong Kong — 0.0% | |||||||||
Link REIT (The) | (560,473 | ) | (1,917,143 | ) | |||||
Total Securities Sold Short (Proceeds $48,893,094) | $ | (54,393,194 | ) |
20
ADR | American Depositary Receipt |
BATS | Better Alternative Trading System |
CVA | Certificaaten van aandelen (share certificates) |
FHLMC | Freddie Mac |
FNMA | Fannie Mae |
FRN | Floating Rate Note. Rate disclosed represents rate as of June 30, 2011. |
GDR | Global Depositary Receipt |
GNMA | Ginnie Mae |
IO | Interest-Only Security |
JSE | Johannesburg Stock Exchange |
LSE | London Stock Exchange |
MSCI | Morgan Stanley Capital International |
MTF | Multilateral Trading Facility |
NYSE | New York Stock Exchange |
PDR | Philippine Depositary Receipt |
REIT | Real Estate Investment Trust |
SDR | Swedish Depositary Receipts |
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, 2011. |
VVPR | Verminderde Voorheffing Précompte Réduit (France dividend coupon) |
* | Approximately 15% 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) | Security is valued in good faith under procedures established by the board of directors. The aggregate amount of securities fair valued amounts to $544,926,937, which represents 13.0% of the fund's net assets. |
(c) | Illiquid Security. An illiquid security is a security that cannot be disposed of within seven days in the ordinary course of business at approximately the amount the fund has valued such security for the purposes of calculating the fund's net asset value. |
(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) | Restricted Securities. The following restricted securities were held by the fund as of June 30, 2011, 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 10% 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. |
21
![]() | ![]() | ![]() | ![]() | |||||||||
Investment | Date of Acquisition | Cost | Value | |||||||||
Azentus Global Opportunities Fund, LP | 04/01/11 | $ | 40,000,000 | $ | 39,779,334 | |||||||
Bell Aliant, Inc. | 07/11/06 | 46,436 | 46,395 | |||||||||
Canyon Value Realization Fund, LP | 12/31/97 – 04/03/06 | 23,797,936 | 54,943,086 | |||||||||
Convexity Capital Offshore, LP | 02/16/06 – 04/01/10 | 62,000,000 | 110,183,279 | |||||||||
Eurocastle Investment Ltd. | 06/19/09 | 234,881 | 162,417 | |||||||||
Farallon Capital Institutional Partners, LP | 04/01/95 – 01/04/10 | 42,746,139 | 74,508,522 | |||||||||
Joho Partners, LP | 01/03/07 | 15,000,000 | 23,410,788 | |||||||||
Lansdowne UK Equity Fund Ltd. | 06/01/06 – 10/01/09 | 51,000,000 | 65,448,923 | |||||||||
Lone Cascade, LP, Class G | 02/01/11 | 6,000,903 | 7,855,306 | |||||||||
Lone Cascade, LP, Class I | 01/03/06 – 01/02/08 | 7,787,097 | 10,211,387 | |||||||||
Lone Picea, LP, Class E | 01/02/09 | 964,000 | 1,105,537 | |||||||||
Lone Picea, LP, Class F | 01/03/05 | 1,617,000 | 1,654,398 | |||||||||
Lone Picea, LP, Class H | 01/02/03 – 01/02/04 | 1,315,000 | 1,603,708 | |||||||||
Lone Redwood, LP | 12/29/98 | 3,154,356 | 12,370,202 | |||||||||
Maverick Fund USA Ltd. | 01/03/06 – 10/01/07 | 20,000,000 | 31,433,767 | |||||||||
Nomad Investment Partnership LP, Class A | 10/02/06 | 14,000,000 | 26,511,264 | |||||||||
Nomad Investment Partnership LP, Class R | 02/01/08 | 8,000,000 | 12,372,336 | |||||||||
OZ Domestic Partners, LP | 12/31/01 – 09/30/03 | 9,000,000 | 19,910,381 | |||||||||
Regiment Capital Ltd. | 06/30/03 | 6,000,000 | 10,901,374 | |||||||||
Theleme Fund Ltd. | 02/01/10 | 32,000,000 | 39,292,040 | |||||||||
Total (13.0% of net assets) | $ | 543,704,444 |
(f) | 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. |
(g) | Zero coupon bond. |
(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) | Security or a portion thereof is held as initial margin for financial futures. |
(j) | Portfolio holdings information of the Private Investment Funds is not available as of June 30, 2011. These positions are therefore grouped into their own industry classification. |
(k) | Treasury bills and discount notes do not pay interest, but rather are purchased at a discount and mature at the stated principal amount. |
(l) | Security in default. |
(m) | Security or a portion thereof is held as collateral by the counterparty for swap contracts. |
Summary Schedule of Investments
![]() | ![]() | |||
Short-Term Investments | 30.8 | % | ||
Foreign Common Stocks | 23.6 | % | ||
US Common Stocks | 17.4 | % | ||
US Treasury Notes/Bonds | 14.4 | % | ||
Private Investment Funds | 13.0 | % | ||
Mortgage-Backed Securities | 1.8 | % | ||
Corporate Bonds | 1.8 | % | ||
Mutual Funds | 1.3 | % | ||
Exchange-Traded Funds | 1.1 | % | ||
Asset-Backed Securities | 0.6 | % | ||
Preferred Stocks | 0.2 | % | ||
Convertible Bonds | 0.1 | % | ||
Warrants | 0.1 | % | ||
Bank Loans | 0.0 | % | ||
Subordinated Convertible Notes | 0.0 | % | ||
Total Investments | 106.2 | % | ||
Securities Sold Short | (1.3 | )% | ||
Liabilities in Excess of Other Assets | (4.9 | )% | ||
Net Assets | 100.0 | % |
22
Financial Futures Contracts
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Number of Contracts | Type | Initial Notional Value/(Proceeds) | Notional Value at June 30, 2011 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long Financial Futures Contracts | ||||||||||||||||
Interest Rate-Related | ||||||||||||||||
19 | September 2011 5-Year Interest Rate Swap | $ | 2,074,610 | $ | 2,063,281 | $ | (11,329 | ) | ||||||||
6 | September 2011 30-Year US Treasury Bond | 748,094 | 738,188 | (9,906 | ) | |||||||||||
156 | September 2011 5-Year US Treasury Note | 18,557,078 | 18,594,469 | 37,391 | ||||||||||||
26 | September 2011 10-Year US Treasury Note | 3,180,565 | 3,180,531 | (34 | ) | |||||||||||
7 | March 2015 90-Day Eurodollar | 1,679,280 | 1,691,375 | 12,095 | ||||||||||||
5 | December 2014 90-Day Eurodollar | 1,201,688 | 1,210,813 | 9,125 | ||||||||||||
37,342 | ||||||||||||||||
Foreign Currency-Related | ||||||||||||||||
206 | September 2011 Australian Dollar | 21,678,536 | 21,889,560 | 211,024 | ||||||||||||
470 | September 2011 British Pound | 48,124,595 | 47,149,813 | (974,782 | ) | |||||||||||
324 | September 2011 Canadian Dollar | 33,123,053 | 33,559,920 | 436,867 | ||||||||||||
96 | September 2011 Japanese Yen | 14,987,654 | 14,919,600 | (68,054 | ) | |||||||||||
219 | September 2011 Swiss Franc | 32,720,762 | 32,595,413 | (125,349 | ) | |||||||||||
(520,294 | ) | |||||||||||||||
Equity-Related | ||||||||||||||||
125 | September 2011 CAC 40 Index | 6,967,062 | 7,217,214 | 250,152 | ||||||||||||
30 | September 2011 DAX Index | 7,800,261 | 8,039,086 | 238,825 | ||||||||||||
745 | September 2011 Dow Jones EURO STOXX 50 Index | 29,774,648 | 30,768,695 | 994,047 | ||||||||||||
240 | September 2011 S&P 500 e-Mini Index | 15,200,749 | 15,786,000 | 585,251 | ||||||||||||
363 | September 2011 Topix Index | 36,548,131 | 38,304,267 | 1,756,136 | ||||||||||||
69 | September 2011 TSE 60 Index | 10,678,453 | 10,906,071 | 227,618 | ||||||||||||
4,052,029 | ||||||||||||||||
3,569,077 | ||||||||||||||||
Short Financial Futures Contracts | ||||||||||||||||
Interest Rate-Related | ||||||||||||||||
12 | September 2011 Ultra Long US Treasury Bond | (1,546,001 | ) | (1,515,000 | ) | 31,001 | ||||||||||
3 | September 2011 10-Year Interest Rate Swap | (318,438 | ) | (315,938 | ) | 2,500 | ||||||||||
186 | September 2011 2-Year US Treasury Note | (40,750,973 | ) | (40,797,938 | ) | (46,965 | ) | |||||||||
30 | September 2011 90-Day Eurodollar | (7,459,550 | ) | (7,474,125 | ) | (14,575 | ) | |||||||||
58 | December 2011 90-Day Eurodollar | (14,364,405 | ) | (14,439,100 | ) | (74,695 | ) | |||||||||
51 | March 2012 90-Day Eurodollar | (12,612,210 | ) | (12,688,163 | ) | (75,953 | ) | |||||||||
62 | June 2012 90-Day Eurodollar | (15,276,082 | ) | (15,404,675 | ) | (128,593 | ) | |||||||||
36 | September 2012 90-Day Eurodollar | (8,861,298 | ) | (8,926,200 | ) | (64,902 | ) | |||||||||
45 | December 2012 90-Day Eurodollar | (11,030,637 | ) | (11,129,625 | ) | (98,988 | ) | |||||||||
41 | March 2013 90-Day Eurodollar | (10,020,710 | ) | (10,114,700 | ) | (93,990 | ) | |||||||||
41 | June 2013 90-Day Eurodollar | (9,996,410 | ) | (10,087,538 | ) | (91,128 | ) | |||||||||
30 | September 2013 90-Day Eurodollar | (7,312,738 | ) | (7,361,625 | ) | (48,887 | ) | |||||||||
29 | December 2013 90-Day Eurodollar | (7,052,066 | ) | (7,096,663 | ) | (44,597 | ) | |||||||||
9 | March 2014 90-Day Eurodollar | (2,173,890 | ) | (2,196,675 | ) | (22,785 | ) | |||||||||
1 | June 2014 90-Day Eurodollar | (241,598 | ) | (243,425 | ) | (1,827 | ) | |||||||||
6 | September 2014 90-Day Eurodollar | (1,442,923 | ) | (1,456,800 | ) | (13,877 | ) | |||||||||
(788,261 | ) | |||||||||||||||
Equity-Related | ||||||||||||||||
100 | September 2011 FTSE 100 Index | (9,244,831 | ) | (9,473,223 | ) | (228,392 | ) | |||||||||
(1,016,653 | ) | |||||||||||||||
$ | 2,552,424 |
23
Forward Currency Contracts
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Contract Amount | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Contract Settlement Date | Counterparty | Receive | Deliver | |||||||||||||
07/29/2011 | State Street Bank & Trust Co. | US Dollar 8,061,185 | Australian Dollar 7,584,000 | $ | (48,356 | ) | ||||||||||
09/30/2011 | State Street Bank & Trust Co. | US Dollar 4,921,374 | Swiss Franc 4,140,500 | (6,192 | ) | |||||||||||
$ | (54,548 | ) |
Swap Contracts
![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||||||||
Expiration Date | Counterparty | Pay | Receive | Notional Amount | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Total Return Swap Contracts | |||||||||||||||||||||||||
Long Total Return Swap Contracts | |||||||||||||||||||||||||
09/06/2011 | Barclays Capital | (b) | 3 Month LIBOR plus a specified spread | MSCI Daily TR Net Emerging Markets | $ | 17,539,305 | $ | 488,506 | |||||||||||||||||
03/30/2012 | Goldman Sachs International | (b) | 3 Month LIBOR plus a specified spread | MSCI Daily TR Net Emerging Markets | 84,160,734 | 2,571,186 | |||||||||||||||||||
3,059,692 | |||||||||||||||||||||||||
Short Total Return Swap Contracts | |||||||||||||||||||||||||
08/31/2011 | Barclays Capital | (b) (c) | MSCI Daily TR World Gross Energy | 1 month LIBOR plus specified spread | (32,859,717 | ) | (1,837,199 | ) | |||||||||||||||||
$ | 1,222,493 |
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, 2011. See Note 3, Derivatives and Other Financial Instruments, for qualitative disclosures. These derivatives are not accounted for as hedging instruments. 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, 2011, grouped by contract type and risk exposure category.
![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||||||||
Derivative Type | Balance Sheet Location | Interest Rate Risk | Foreign Currency Risk | Credit Risk | Equity Risk | Total | |||||||||||||||||||
Asset Derivatives | |||||||||||||||||||||||||
Warrants | Investments, at value | $ | — | $ | — | $ | — | $ | 1,962,676 | $ | 1,962,676 | ||||||||||||||
Swap Contracts | Swap contracts, at value | — | — | — | 3,059,692 | 3,059,692 | |||||||||||||||||||
Futures Contracts | Variation margin* | 92,112 | 647,891 | — | 4,052,029 | 4,792,032 | |||||||||||||||||||
Total Value – Assets | $ | 92,112 | $ | 647,891 | $ | — | $ | 9,074,397 | $ | 9,814,400 | |||||||||||||||
Liability Derivatives | |||||||||||||||||||||||||
Swap Contracts | Swap contracts, at value | $ | — | $ | — | $ | — | $ | (1,837,199 | ) | $ | (1,837,199 | ) | ||||||||||||
Forward Contracts | Unrealized depreciation on forward currency contracts | — | (54,548 | ) | — | — | (54,548 | ) | |||||||||||||||||
Futures Contracts | Variation margin* | (843,031 | ) | (1,168,185 | ) | — | (228,392 | ) | (2,239,608 | ) | |||||||||||||||
Total Value – Liabilities | $ | (843,031 | ) | $ | (1,222,733 | ) | $ | — | $ | (2,065,591 | ) | $ | (4,131,355 | ) |
* | 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 period ended June 30, 2011, grouped by contract type and risk exposure.
![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||||||||||
Derivative Type | Income Statement Location | Interest Rate Risk | Foreign Currency Risk | Credit Risk | Equity Risk | Total | ||||||||||||||||||||
Realized Gain (Loss) | ||||||||||||||||||||||||||
Rights | Net realized gain (loss) from Investments | $ | — | $ | — | $ | — | $ | (91,241 | ) | $ | (91,241 | ) | |||||||||||||
Warrants | Net realized gain (loss) from Investments | — | — | — | (148 | ) | (148 | ) | ||||||||||||||||||
Purchased Options | Net realized gain (loss) from Investments | — | — | — | (1,531,659 | ) | (1,531,659 | ) | ||||||||||||||||||
Swap Contracts | Net realized gain (loss) from Swap contracts | — | — | 10,968 | (1,011,905 | ) | (1,000,937 | ) | ||||||||||||||||||
Futures Contracts | Net realized gain (loss) from Financial futures contracts | 2,665,534 | 15,696,504 | — | (3,322,017 | ) | 15,040,021 | |||||||||||||||||||
Forward Contracts | Net realized gain (loss) from Forward currency contracts | — | (668,318 | ) | — | — | (668,318 | ) | ||||||||||||||||||
Total Realized Gain (Loss) | $ | 2,665,534 | $ | 15,028,186 | $ | 10,968 | $ | (5,956,970 | ) | $ | 11,747,718 |
The following table lists the change in unrealized appreciation (depreciation) included in net increase in net assets resulting from operations for the period ended June 30, 2011, grouped by contract type and risk exposure category.
![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||||||||
Derivative Type | Income Statement Location | Interest Rate Risk | Foreign Currency Risk | Credit 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 | — | — | — | (200,724 | ) | (200,724 | ) | |||||||||||||||||
Purchased Options | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | — | — | — | (83,820 | ) | (83,820 | ) | |||||||||||||||||
Swap Contracts | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | — | — | (1,400 | ) | (1,356,309 | ) | (1,357,709 | ) | ||||||||||||||||
Futures Contracts | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | (1,765,499 | ) | (4,758,435 | ) | — | 4,200,285 | (2,323,649 | ) | ||||||||||||||||
Forwards Contracts | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | — | (51,326 | ) | — | — | (51,326 | ) | |||||||||||||||||
Total Change in Appreciation (Depreciation) | $ | (1,765,499 | ) | $ | (4,809,761 | ) | $ | (1,400 | ) | $ | 2,559,432 | $ | (4,017,228 | ) |
See accompanying Notes to Financial Statements.
25
Statement of Assets and Liabilities (unaudited) |
![]() | ![]() | |||
June 30, 2011 | ||||
Assets | ||||
Investments in securities, at value (cost: $3,675,683,558) | $ | 4,209,847,487 | ||
Repurchase agreements (cost: $243,685,305) | 243,685,305 | |||
Deposits with brokers for securities sold short | 80,546,106 | |||
Receivables: | ||||
Investment securities sold | 15,094,327 | |||
Interest | 5,851,583 | |||
Dividends and tax reclaims | 3,504,462 | |||
Capital stock sold | 1,500,000 | |||
Swap contracts, at value | 3,059,692 | |||
Due from broker for futures variation margin | 1,228,558 | |||
Total Assets | 4,564,317,520 | |||
Liabilities | ||||
Reverse repurchase agreements (Note 7) | 106,738,250 | |||
Securities sold short, at value (proceeds: $48,893,094) | 54,393,194 | |||
Foreign currency short positions (proceeds: $16,898,575) | 17,000,599 | |||
Swap contracts, at value | 1,837,199 | |||
Payables: | ||||
Investment securities purchased | 175,076,589 | |||
Distributions | 11,626,837 | |||
Money manager fees | 2,019,227 | |||
Accrued expenses and other liabilities | 1,546,763 | |||
Investment advisory fees | 724,994 | |||
Dividends on securities sold short | 467,449 | |||
Interest on reverse repurchase agreements | 1,779 | |||
Unrealized depreciation on forward currency contracts | 54,548 | |||
Total Liabilities | 371,487,428 | |||
Net Assets | $ | 4,192,830,092 | ||
Shares Outstanding (1,000,000,000 authorized shares, par value $0.001) | 262,761,105 | |||
Net Asset Value Per Share | $ | 15.96 | ||
Net Assets Consist of: | ||||
Capital stock | $ | 3,793,173,183 | ||
Distributions in excess of net investment income | (133,922,974 | ) | ||
Accumulated net realized gain on investments | 1,160,577 | |||
Net unrealized appreciation on investments and foreign currencies | 532,419,306 | |||
$ | 4,192,830,092 |
See accompanying Notes to Financial Statements.
26
Statement of Operations (unaudited) |
![]() | ![]() | |||
Six Months Ended June 30, 2011 | ||||
Investment Income | ||||
Interest | $ | 26,182,198 | ||
Dividends (net of foreign withholding taxes of $1,503,212) | 26,559,344 | |||
Total Investment Income | 52,741,542 | |||
Expenses | ||||
Investment advisory fees | 2,891,072 | |||
Money manager fees | 7,901,252 | |||
Fund administration fees | 1,681,119 | |||
Professional fees | 185,732 | |||
Administrative fees | 402,038 | |||
Chief compliance officer fees | 90,676 | |||
Registration and filing fees | 47,050 | |||
Insurance | 32,106 | |||
Director fees | 26,606 | |||
Interest (Note 7) | 140,090 | |||
Dividends on securities sold short | 1,254,156 | |||
Miscellaneous fees and other | 74,536 | |||
Total Expenses | 14,726,433 | |||
Net Investment Income | 38,015,109 | |||
Net Realized Gain (Loss) from: | ||||
Investments (net of foreign withholding taxes on capital gains of $103,996) | 80,634,099 | |||
Securities sold short | (1,902,366 | ) | ||
Swap contracts | (1,000,937 | ) | ||
Financial futures contracts | 15,040,021 | |||
Forward currency contracts and foreign currency-related transactions (net of foreign tax of $71,220) | (77,719 | ) | ||
Net Realized Gain | 92,693,098 | |||
Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies | 8,326,993 | |||
Net Realized and Unrealized Gain on Investments and Foreign Currencies | 101,020,091 | |||
Net Increase in Net Assets Resulting from Operations | $ | 139,035,200 |
See accompanying Notes to Financial Statements.
27
Statements of Changes in Net Assets |
![]() | ![]() | ![]() | ||||||
Six Months Ended 6/30/2011 (Unaudited) | Year Ended 12/31/2010 | |||||||
Increase in Net Assets From Operations | ||||||||
Net investment income | $ | 38,015,109 | $ | 43,633,992 | ||||
Net realized gain (loss) on investments and foreign currencies | 92,693,098 | 119,496,390 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 8,326,993 | 270,772,090 | ||||||
Net Increase in Net Assets Resulting from Operations | 139,035,200 | 433,902,472 | ||||||
Distributions | ||||||||
From net investment income | (37,596,138 | ) | (168,236,589 | ) | ||||
From net realized gains | — | (1,696,989 | ) | |||||
Decrease in Net Assets Resulting from Distributions | (37,596,138 | ) | (169,933,578 | ) | ||||
Capital Share Transactions | ||||||||
Proceeds from shares sold | 234,149,909 | 557,632,696 | ||||||
Proceeds from distributions reinvested | 19,187,616 | 100,718,329 | ||||||
Entry/exit fees | 1,377,247 | 3,350,839 | ||||||
Cost of shares redeemed | (40,122,897 | ) | (109,593,835 | ) | ||||
Net Increase From Capital Share Transactions | 214,591,875 | 552,108,029 | ||||||
Total Increase in Net Assets | 316,030,937 | 816,076,923 | ||||||
Net Assets | ||||||||
Beginning of period | 3,876,799,155 | 3,060,722,232 | ||||||
End of period | $ | 4,192,830,092 | $ | 3,876,799,155 | ||||
Including distributions in excess of net investment income | $ | (133,922,974 | ) | $ | (134,341,945 | ) | ||
Capital Share Transactions (in shares) | ||||||||
Shares sold | 14,760,387 | 37,408,672 | ||||||
Shares reinvested | 1,203,084 | 6,653,533 | ||||||
Shares redeemed | (2,524,630 | ) | (7,391,504 | ) | ||||
Net Increase | 13,438,841 | 36,670,701 |
See accompanying Notes to Financial Statements.
28
Statement of Cash Flows (unaudited) |
![]() | ![]() | |||
Six Months Ended June 30, 2011 | ||||
Cash flows provided by (used in) operating activities | ||||
Net increase (decrease) in net assets resulting from operations | $ | 139,035,200 | ||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||
Investments purchased | (696,234,744 | ) | ||
Investments sold | 776,186,808 | |||
Purchases to cover securities sold short | (63,197,252 | ) | ||
Securities sold short | 62,850,111 | |||
(Purchase)/Sale of short term investments, net | (287,689,632 | ) | ||
Amortization (accretion) of discount and premium, net | (14,748,551 | ) | ||
Decrease in foreign currencies, at cost | 18,273,098 | |||
Increase in deposit with brokers for securities sold short | (31,233,820 | ) | ||
Increase in interest receivable | (76,243 | ) | ||
Increase in forward foreign currency contracts payable | 51,325 | |||
Decrease in dividends and tax reclaims receivable | 632,349 | |||
Increase in variation margin receivable on financial futures contracts | (203,109 | ) | ||
Decrease in interest payable | (25,736 | ) | ||
Increase in dividends payable for securities sold short | 193,760 | |||
Increase in accrued expenses and other liabilities | 1,482,295 | |||
Increase in investment advisory fees payable | 296,611 | |||
Net realized (gain) loss from investments | (80,634,099 | ) | ||
Net change in unrealized (appreciation) depreciation on investments | (11,241,116 | ) | ||
Net realized (gain) loss from securities sold short | 1,902,366 | |||
Net change in unrealized (appreciation) depreciation on securities sold short | 590,474 | |||
Net cash provided by (used in) operating activities | (183,789,905 | ) | ||
Cash flows provided by (used in) financing activities | ||||
Proceeds from shares sold | 233,826,542 | |||
Payment on shares redeemed | (39,934,452 | ) | ||
Cash distributions paid | (6,781,685 | ) | ||
Increase (decrease) in reverse repurchase agreements | (3,320,500 | ) | ||
Net cash provided by (used in) financing activities | 183,789,905 | |||
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 distributions of: | $ | 19,187,616 | ||
Interest paid: | $ | 165,826 |
See accompanying Notes to Financial Statements.
29
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30
Fund Expenses (unaudited) |
As a shareholder of a fund, you incur two types of costs: (1) transaction 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, 2011 to June 30, 2011.
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 transactional 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 transactional costs were included, your costs would have been higher.
![]() | ![]() | ![]() | ![]() | |||||||||
Beginning Account Value 1/1/11 | Ending Account Value 6/30/11 | Expense Paid During the Period* 1/1/11 – 6/30/11 | ||||||||||
1) Actual | $ | 1,000.00 | $ | 1,045.80 | $ | 5.07 | ||||||
2) Hypothetical | $ | 1,000.00 | $ | 1,019.84 | $ | 5.01 |
* | Expenses are equal to the fund’s annualized expense ratio of 1.00% (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 acquired funds; such fees and expenses are reflected in the acquired funds' total return. |
31
Financial Highlights |
![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||||||||
Six Months Ended 6/30/11 (Unaudited) | Year Ended 12/31/10 | Year Ended 12/31/09 | Year Ended 12/31/08 | Year Ended 12/31/07 | Year Ended 12/31/06 | |||||||||||||||||||
For a share outstanding throughout each period | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.87 | $ | 11.93 | $ | 9.31 | $ | 17.65 | $ | 17.18 | $ | 14.76 | ||||||||||||
Income (loss) from investment operations | ||||||||||||||||||||||||
Net investment income | 0.13 | 0.61 | 0.11 | 0.15 | 0.56 | 0.39 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.45 | 0.87 | 3.33 | (7.64 | ) | 2.37 | 3.77 | |||||||||||||||||
Total from investment operations | 0.58 | 1.48 | 3.44 | (7.49 | ) | 2.93 | 4.16 | |||||||||||||||||
Less distributions from | ||||||||||||||||||||||||
Net investment income | (0.15 | ) | (0.55 | ) | (0.84 | ) | (0.02 | ) | (0.98 | ) | (0.70 | ) | ||||||||||||
Net realized gains | — | — | 0.00 | (a) | (0.86 | ) | (1.53 | ) | (1.06 | ) | ||||||||||||||
Total distributions | (0.15 | ) | (0.55 | ) | (0.84 | ) | (0.88 | ) | (2.51 | ) | (1.76 | ) | ||||||||||||
Entry/exit fee per share (b) | 0.01 | 0.01 | 0.02 | 0.03 | 0.05 | 0.02 | ||||||||||||||||||
Net asset value, end of period | $ | 13.31 | $ | 12.87 | $ | 11.93 | $ | 9.31 | $ | 17.65 | $ | 17.18 | ||||||||||||
Total return (c) | 4.58 | %(d) | 12.91 | % | 37.13 | % | (42.92 | )% | 17.43 | % | 28.74 | % | ||||||||||||
Ratios/supplemental data | ||||||||||||||||||||||||
Net assets, end of period (000s) | $ | 203,169 | $ | 204,724 | $ | 201,681 | $ | 180,348 | $ | 400,168 | $ | 295,808 | ||||||||||||
Ratio of expenses to average net assets (e) | 1.00 | %(f) | 0.88 | % | 1.06 | % | 0.80 | % | 0.77 | % | 0.67 | % | ||||||||||||
Ratio of net investment income to average net assets | 2.23 | %(f) | 1.61 | % | 1.40 | % | 2.34 | % | 1.91 | % | 2.10 | % | ||||||||||||
Portfolio turnover | 8 | %(d) | 20 | % | 13 | % | 17 | % | 16 | % | 16 | % |
(a) | Rounds to less than $0.01. |
(b) | Calculation based on average shares outstanding. |
(c) | Total return assumes dividend reinvestment and includes the effects of entry and exit fees received by the fund; however, it does not reflect the deduction of such fees from a member’s purchase or redemption transaction. Therefore, 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. |
(d) | Not annualized. |
(e) | The expense ratio does not include the fees and expenses associated with investments made in acquired funds; such fees and expenses are reflected in the acquired funds' total return. |
(f) | Annualized. |
See accompanying Notes to Financial Statements.
32
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Investments — 99.6% of net assets | |||||||||
Common Stocks — 77.5% | |||||||||
Australia — 3.9% | |||||||||
Alumina Ltd. | 103,993 | $ | 238,087 | ||||||
Amcor Ltd. | 191,052 | 1,478,448 | |||||||
AMP Ltd. | 103,844 | 546,852 | |||||||
Australia and New Zealand Banking Group Ltd. | 32,794 | 774,481 | |||||||
BHP Billiton Ltd. | 16,271 | 769,021 | |||||||
DuluxGroup Ltd. | 12,706 | 38,342 | |||||||
Iluka Resources Ltd. | 35,200 | 638,575 | |||||||
Orica Ltd. | 13,075 | 379,189 | |||||||
QBE Insurance Group Ltd. | 62,953 | 1,168,724 | |||||||
Santos Ltd. | 24,541 | 357,600 | |||||||
Telstra Corp. Ltd. | 483,967 | 1,502,825 | |||||||
Treasury Wine Estates Ltd. (a) | 7,953 | 29,002 | |||||||
7,921,146 | |||||||||
Austria — 0.1% | |||||||||
Andritz AG | 915 | 94,215 | |||||||
Oesterreichische Post AG | 2,668 | 85,892 | |||||||
180,107 | |||||||||
Belgium — 0.2% | |||||||||
Ageas, Strip VVPR (a) (b) | 39,122 | 57 | |||||||
Anheuser-Busch InBev NV | 5,585 | 323,847 | |||||||
323,904 | |||||||||
Brazil — 0.7% | |||||||||
CCR SA | 24,400 | 726,223 | |||||||
Itausa – Investimentos Itau SA (a) | 746 | 5,736 | |||||||
Redecard SA | 43,700 | 658,587 | |||||||
1,390,546 | |||||||||
Canada — 1.8% | |||||||||
Ace Aviation Holdings, Inc., Class A (a) | 5,548 | 65,693 | |||||||
BCE, Inc. | 24,554 | 962,862 | |||||||
Bell Aliant, Inc. (b) (c) (d) (e) | 565 | 16,825 | |||||||
Bombardier, Inc., Class B | 137,103 | 987,989 | |||||||
Catalyst Paper Corp. (a) | 91,463 | 13,277 | |||||||
Chorus Aviation, Inc. | 3,206 | 16,721 | |||||||
Fraser Papers, Inc. (a) (b) (d) | 16,670 | — | |||||||
Groupe Aeroplan, Inc. | 4,597 | 63,489 | |||||||
Imperial Oil Ltd. – NYSE Shares | 9,874 | 459,889 | |||||||
Onex Corp. | 3,630 | 140,653 | |||||||
Rogers Communications, Inc., Class B – TSE Shares | 23,013 | 911,262 | |||||||
3,638,660 | |||||||||
Chile — 0.5% | |||||||||
Enersis SA – SPADR | 48,400 | 1,118,040 | |||||||
China — 1.5% | |||||||||
China Construction Bank Corp., Class H | 1,244,910 | 1,037,774 | |||||||
China Shenhua Energy Co. Ltd. | 180,500 | 869,021 | |||||||
Tsingtao Brewery Co. Ltd., Class H | 57,000 | 329,610 | |||||||
Want Want China Holdings Ltd. | 922,000 | 895,637 | |||||||
3,132,042 | |||||||||
Denmark — 1.0% | |||||||||
Carlsberg A/S, Class B | 3,205 | 348,748 |
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Coloplast A/S, Class B | 3,598 | $ | 547,001 | ||||||
Danske Bank A/S (a) | 2,635 | 48,937 | |||||||
GN Store Nord A/S (GN Great Nordic) | 36,606 | 352,328 | |||||||
Novo Nordisk A/S, Class B | 985 | 123,493 | |||||||
Topdanmark A/S (a) | 326 | 60,894 | |||||||
Vestas Wind Systems A/S (a) | 6,308 | 146,647 | |||||||
William Demant Holding A/S (a) | 4,004 | 361,280 | |||||||
1,989,328 | |||||||||
Finland — 1.0% | |||||||||
Cargotec Oyj, B Shares | 1,257 | 64,424 | |||||||
Kone Oyj, Class B | 744 | 46,715 | |||||||
Metso Oyj | 15,040 | 854,228 | |||||||
Outokumpu Oyj | 2,249 | 29,770 | |||||||
Sampo Oyj, Class A | 25,472 | 822,425 | |||||||
Tieto Oyj | 6,192 | 104,734 | |||||||
Wartsila Oyj Corp. | 2,392 | 80,711 | |||||||
2,003,007 | |||||||||
France — 6.1% | |||||||||
Alstom SA | 633 | 38,984 | |||||||
AXA SA | 15,343 | 348,348 | |||||||
BNP Paribas | 6,992 | 539,261 | |||||||
Carrefour SA (a) | 42,215 | 1,733,800 | |||||||
Compagnie de Saint-Gobain | 13,524 | 875,835 | |||||||
Edenred | 2,396 | 73,065 | |||||||
Eurofins Scientific | 946 | 87,104 | |||||||
France Telecom SA | 70,949 | 1,509,322 | |||||||
GDF Suez, Strip VVPR (a) (b) | 6,615 | 10 | |||||||
Groupe Eurotunnel SA | 31,020 | 346,841 | |||||||
Imerys SA | 643 | 45,281 | |||||||
Legrand SA | 9,398 | 395,800 | |||||||
Neopost SA | 3,378 | 290,203 | |||||||
SA des Ciments Vicat | 722 | 60,633 | |||||||
Sanofi-Aventis | 29,987 | 2,410,176 | |||||||
Societe Generale, Class A | 9,631 | 570,844 | |||||||
Technip SA | 692 | 74,126 | |||||||
Thales SA | 6,780 | 292,334 | |||||||
Total SA | 32,099 | 1,856,480 | |||||||
Vinci SA | 14,077 | 901,742 | |||||||
12,450,189 | |||||||||
Germany — 3.1% | |||||||||
Adidas AG | 776 | 61,552 | |||||||
Axel Springer AG | 948 | 46,822 | |||||||
BASF SE | 9,150 | 895,422 | |||||||
Bayerische Motoren Werke AG | 5,440 | 542,076 | |||||||
Celesio AG | 1,225 | 24,424 | |||||||
Daimler AG | 9,633 | 724,988 | |||||||
Deutsche Telekom AG | 90,027 | 1,412,082 | |||||||
E.ON AG | 10,515 | 298,500 | |||||||
Fresenius Medical Care AG & Co. | 8,147 | 609,117 | |||||||
Fresenius Medical Care AG & Co. – ADR | 3,692 | 275,792 | |||||||
GEA Group AG | 1,769 | 63,258 | |||||||
Hannover Rueckversicherung AG | 1,105 | 57,637 | |||||||
RWE AG | 22,919 | 1,268,442 | |||||||
6,280,112 |
33
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Gibraltar — 0.0% | |||||||||
Bwin.Party Digital Entertainment plc (a) | 25,711 | $ | 62,018 | ||||||
Hong Kong — 2.8% | |||||||||
Asia Satellite Telecommunications Holdings Ltd. | 4,500 | 10,413 | |||||||
China Mobile Ltd. | 75,000 | 698,844 | |||||||
First Pacific Co. | 404,000 | 362,622 | |||||||
Henderson Land Development Co. Ltd. | 30,316 | 196,734 | |||||||
Hong Kong & Shanghai Hotels Ltd. (The) | 93,898 | 156,521 | |||||||
Hong Kong Aircraft Engineering Co. Ltd. | 5,800 | 83,658 | |||||||
i-Cable Communications Ltd. (a) | 236,000 | 22,500 | |||||||
Jardine Matheson Holdings Ltd. | 33,520 | 1,922,073 | |||||||
Jardine Strategic Holdings Ltd. | 33,812 | 1,036,324 | |||||||
Mandarin Oriental International Ltd. | 24,881 | 52,073 | |||||||
Midland Holdings Ltd. | 106,000 | 62,093 | |||||||
New World Development Ltd. | 234,209 | 355,768 | |||||||
Next Media Ltd. (a) | 158,000 | 17,470 | |||||||
Silver Grant International Ltd. | 52,000 | 16,758 | |||||||
SmarTone Telecommunications Holdings Ltd. | 176,956 | 262,316 | |||||||
Television Broadcasts Ltd. | 30,000 | 198,662 | |||||||
Wheelock & Co. Ltd. | 48,000 | 194,829 | |||||||
5,649,658 | |||||||||
India — 0.6% | |||||||||
Axis Bank Ltd. – GDR | 38,988 | 1,134,941 | |||||||
Indonesia — 1.2% | |||||||||
Astra International Tbk PT | 129,500 | 960,855 | |||||||
Bank Pan Indonesia Tbk PT (a) | 2,180,270 | 231,798 | |||||||
Bank Permata Tbk PT (a) | 6,500 | 1,229 | |||||||
Gudang Garam Tbk PT | 2,500 | 14,545 | |||||||
Indofood Sukses Makmur Tbk PT | 297,000 | 199,308 | |||||||
Matahari Putra Prima Tbk PT | 831,925 | 117,435 | |||||||
Mulia Industrindo Tbk PT (a) | 221,500 | 11,303 | |||||||
Perusahaan Gas Negara (Persero) Tbk PT | 1,641,000 | 771,946 | |||||||
Semen Gresik (Persero) Tbk PT | 78,500 | 88,052 | |||||||
2,396,471 | |||||||||
Ireland — 0.7% | |||||||||
CRH plc – BATS Europe Shares | 1,675 | 37,092 | |||||||
DCC plc | 4,092 | 116,576 | |||||||
Experian plc | 77,565 | 987,857 | |||||||
Fyffes plc | 51,582 | 31,415 | |||||||
Independent News & Media plc (a) | 50,747 | 36,061 | |||||||
Irish Continental Group plc (UNIT) | 2,506 | 57,116 | |||||||
Paddy Power plc | 3,476 | 188,910 | |||||||
1,455,027 | |||||||||
Israel — 0.3% | |||||||||
Teva Pharmaceutical Industries Ltd. – SPADR | 14,800 | 713,656 | |||||||
Italy — 2.7% | |||||||||
Banco Popolare Societa Cooperativa | 10,370 | 23,879 | |||||||
Davide Campari-Milano SpA | 7,776 | 63,913 | |||||||
Eni SpA | 62,735 | 1,487,226 | |||||||
Fiat Industrial SpA (a) | 37,200 | 480,913 |
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Fiat SpA | 37,200 | $ | 408,406 | ||||||
Finmeccanica SpA | 3,771 | 45,637 | |||||||
Intesa Sanpaolo SpA | 565,013 | 1,502,589 | |||||||
Luxottica Group SpA – SPADR | 14,260 | 457,746 | |||||||
Saipem SpA | 17,863 | 922,240 | |||||||
UniCredit SpA | 60,709 | 128,407 | |||||||
5,520,956 | |||||||||
Japan — 18.0% | |||||||||
Alfresa Holdings Corp. | 5,600 | 217,969 | |||||||
Astellas Pharma, Inc. | 49,400 | 1,910,160 | |||||||
Bank of Yokohama Ltd. (The) | 36,000 | 180,024 | |||||||
BML, Inc. | 15,700 | 398,419 | |||||||
Canon, Inc. | 36,150 | 1,723,879 | |||||||
Chiba Bank Ltd. (The) | 24,000 | 150,467 | |||||||
Dai-Dan Co. Ltd. | 14,000 | 83,794 | |||||||
Dai-ichi Life Insurance Co. Ltd. (The) | 106 | 148,418 | |||||||
Daiichikosho Co. Ltd. | 42,400 | 686,539 | |||||||
Dentsu, Inc. | 8,200 | 242,332 | |||||||
Duskin Co. Ltd. | 29,800 | 579,622 | |||||||
DyDo DRINCO, Inc. | 12,300 | 457,048 | |||||||
East Japan Railway Co. | 6,900 | 396,502 | |||||||
FP Corp. | 9,000 | 557,760 | |||||||
Fukuoka Financial Group, Inc. | 55,000 | 229,993 | |||||||
Hitachi Chemical Co. Ltd. | 11,000 | 218,897 | |||||||
Hitachi Ltd. | 90,000 | 532,015 | |||||||
Hitachi Metals Ltd. | 9,000 | 127,240 | |||||||
Hoya Corp. | 10,800 | 239,382 | |||||||
Isetan Mitsukoshi Holdings Ltd. | 26,400 | 258,491 | |||||||
JS Group Corp. | 20,700 | 533,413 | |||||||
JX Holdings, Inc. | 31,900 | 215,416 | |||||||
Kao Corp. | 100,100 | 2,630,710 | |||||||
Kawasaki Heavy Industries Ltd. | 52,000 | 207,413 | |||||||
KDDI Corp. | 45 | 323,780 | |||||||
Kinden Corp. | 11,000 | 94,057 | |||||||
Kirin Holdings Co. Ltd. | 10,000 | 139,812 | |||||||
Kyowa Hakko Kirin Co. Ltd. | 23,000 | 219,389 | |||||||
Marui Group Co. Ltd. | 18,300 | 138,733 | |||||||
Meiko Network Japan Co. Ltd. | 19,300 | 170,252 | |||||||
Miraca Holdings, Inc. | 12,400 | 503,072 | |||||||
Mitsubishi Corp. | 12,100 | 303,165 | |||||||
Mitsubishi Estate Co. Ltd. | 32,200 | 565,266 | |||||||
Mitsubishi Heavy Industries Ltd. | 41,000 | 193,188 | |||||||
Mitsubishi Tanabe Pharma Corp. | 2,700 | 45,301 | |||||||
Mitsubishi UFJ Financial Group, Inc. | 102,500 | 498,998 | |||||||
Mitsui & Co. Ltd. | 11,000 | 190,224 | |||||||
Mitsui Fudosan Co. Ltd. | 8,100 | 139,648 | |||||||
MOSHI MOSHI HOTLINE, Inc. | 31,150 | 505,678 | |||||||
MS&AD Insurance Group Holdings | 8,400 | 197,029 | |||||||
Namco Bandai Holdings, Inc. | 15,200 | 182,976 | |||||||
Nippon Meat Packers, Inc. | 17,000 | 243,752 | |||||||
Nippon Suisan Kaisha Ltd. | 31,800 | 104,617 | |||||||
Nippon Telegraph & Telephone Corp. | 13,000 | 632,131 | |||||||
NISSIN FOODS HOLDINGS CO. Ltd. | 17,900 | 651,437 | |||||||
NKSJ Holdings, Inc. | 147,000 | 969,884 | |||||||
NSK Ltd. | 17,000 | 169,541 | |||||||
NTT Data Corp. | 89 | 295,766 |
34
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
NTT DoCoMo, Inc. | 100 | $ | 178,394 | ||||||
Obayashi Corp. | 56,000 | 244,205 | |||||||
OLYMPUS Corp. | 20,400 | 687,572 | |||||||
OMRON Corp. | 9,500 | 264,053 | |||||||
Onward Holdings Co. Ltd. | 19,000 | 160,520 | |||||||
Otsuka Holdings Co. Ltd. | 5,800 | 153,756 | |||||||
Panasonic Corp. | 19,300 | 235,839 | |||||||
Sansei Yusoki Co. Ltd. | 36,000 | 204,720 | |||||||
Secom Co. Ltd. | 23,600 | 1,133,376 | |||||||
Sekisui House Ltd. | 19,000 | 176,687 | |||||||
Seven & I Holdings Co. Ltd. | 78,360 | 2,108,031 | |||||||
Seven Bank Ltd. | 338 | 676,089 | |||||||
Shimizu Corp. | 41,000 | 170,587 | |||||||
Shin-Etsu Chemical Co. Ltd. | 5,600 | 300,380 | |||||||
Shiseido Co. Ltd. | 11,000 | 205,719 | |||||||
So-net Entertainment Corp. | 117 | 494,550 | |||||||
Sony Corp. | 2,100 | 55,586 | |||||||
Sumitomo Electric Industries Ltd. | 42,600 | 621,667 | |||||||
Sumitomo Forestry Co. Ltd. | 21,500 | 197,429 | |||||||
Sumitomo Mitsui Financial Group, Inc. | 14,700 | 452,406 | |||||||
Taiyo Nippon Sanso Corp. | 14,000 | 111,700 | |||||||
Takeda Pharmaceutical Co. Ltd. | 36,700 | 1,697,410 | |||||||
TOKAI Corp. – Gifu | 11,800 | 260,041 | |||||||
Tokio Marine Holdings, Inc. | 46,600 | 1,309,189 | |||||||
Tokyo Electric Power Co., Inc. (The) | 9,400 | 38,611 | |||||||
Tokyo Electron Ltd. | 3,800 | 207,303 | |||||||
Tokyo Gas Co. Ltd. | 109,000 | 493,078 | |||||||
Tokyo Ohka Kogyo Co. Ltd. | 4,300 | 92,715 | |||||||
Toyo Seikan Kaisha Ltd. | 13,700 | 230,179 | |||||||
Toyo Suisan Kaisha Ltd. | 5,000 | 118,178 | |||||||
Toyota Motor Corp. | 34,700 | 1,460,967 | |||||||
Trend Micro, Inc. | 5,500 | 170,756 | |||||||
West Japan Railway Co. | 6,900 | 270,125 | |||||||
Yamada Denki Co. Ltd. | 3,110 | 253,706 | |||||||
Yamato Holdings Co. Ltd. | 29,700 | 466,494 | |||||||
Yaskawa Electric Corp. | 7,000 | 78,519 | |||||||
ZOJIRUSHI Corp. | 67,000 | 194,466 | |||||||
36,578,602 | |||||||||
Luxembourg — 0.3% | |||||||||
APERAM | 791 | 25,616 | |||||||
ArcelorMittal | 16,057 | 558,739 | |||||||
Oriflame Cosmetics SA – SDR | 722 | 35,516 | |||||||
619,871 | |||||||||
Malaysia — 0.7% | |||||||||
AMMB Holdings Berhad | 97,387 | 210,138 | |||||||
Bumiputra-Commerce Holdings Berhad | 176,698 | 523,328 | |||||||
Carlsberg Brewery Malaysia Berhad | 9,300 | 22,379 | |||||||
Genting Malaysia Berhad | 305,000 | 364,258 | |||||||
Malaysian Airline System Berhad (a) | 57,500 | 29,376 | |||||||
Multi-Purpose Holdings Berhad | 62,250 | 62,527 | |||||||
Sime Darby Berhad | 68,052 | 208,093 | |||||||
1,420,099 |
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Mexico — 0.1% | |||||||||
America Movil SA de CV, Series L – ADR | 1,600 | $ | 86,208 | ||||||
Telefonos de Mexico SAB de CV, Series L – SPADR | 1,300 | 21,450 | |||||||
107,658 | |||||||||
Netherlands — 3.9% | |||||||||
ASML Holding NV | 1,382 | 50,916 | |||||||
Heineken NV | 9,639 | 579,757 | |||||||
ING Groep NV – CVA (a) | 84,518 | 1,042,555 | |||||||
Koninklijke (Royal) KPN NV | 27,388 | 398,114 | |||||||
Koninklijke Ahold NV | 96,494 | 1,296,641 | |||||||
Koninklijke Boskalis Westminster NV – CVA | 10,216 | 483,041 | |||||||
Randstad Holding NV | 1,151 | 53,195 | |||||||
Reed Elsevier NV | 78,055 | 1,048,242 | |||||||
Royal Dutch Shell plc, Class A – BATS Europe Shares | 173 | 6,164 | |||||||
Royal Dutch Shell plc, Class A – Quote MTF Shares | 62,477 | 2,217,912 | |||||||
Royal Dutch Shell plc, Class B | 12,570 | 448,702 | |||||||
TNT Express NV (a) | 1,116 | 11,575 | |||||||
TNT NV | 1,116 | 9,469 | |||||||
Wolters Kluwer NV | 9,591 | 212,531 | |||||||
7,858,814 | |||||||||
New Zealand — 0.2% | |||||||||
PGG Wrightson Ltd. (a) | 216,565 | 86,563 | |||||||
Telecom Corp. of New Zealand Ltd. | 116,710 | 236,777 | |||||||
323,340 | |||||||||
Norway — 0.3% | |||||||||
DNB NOR ASA | 25,068 | 349,427 | |||||||
StatoilHydro ASA | 9,682 | 245,154 | |||||||
Storebrand ASA | 5,309 | 45,229 | |||||||
639,810 | |||||||||
Peru — 0.2% | |||||||||
Credicorp Ltd. | 5,300 | 456,330 | |||||||
Philippines (The) — 1.0% | |||||||||
ABS-CBN Holdings Corp. – PDR (b) | 352,400 | 300,884 | |||||||
Ayala Corp. | 72,082 | 531,532 | |||||||
Banco de Oro Unibank, Inc. | 29,900 | 37,726 | |||||||
Benpres Holdings Corp. (a) | 597,010 | 79,221 | |||||||
DMCI Holdings, Inc. | 163,400 | 160,931 | |||||||
Globe Telecom, Inc. | 12,180 | 251,477 | |||||||
Jollibee Foods Corp. | 73,930 | 151,274 | |||||||
Philippine Long Distance Telephone Co. – SPADR | 8,500 | 459,340 | |||||||
1,972,385 | |||||||||
Russia — 0.3% | |||||||||
Lukoil OAO – SPADR | 9,500 | 605,625 |
35
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Singapore — 1.2% | |||||||||
Genting Singapore plc (a) | 30,224 | $ | 47,693 | ||||||
Global Yellow Pages Singapore Ltd. | 76,500 | 9,674 | |||||||
Great Eastern Holdings Ltd. | 20,000 | 240,021 | |||||||
GuocoLeisure Ltd. | 187,000 | 105,320 | |||||||
Singapore Telecommunications Ltd. | 378,000 | 973,477 | |||||||
STATS ChipPAC Ltd. (a) | 238,000 | 122,274 | |||||||
United Industrial Corp. Ltd. | 14,000 | 32,527 | |||||||
United Overseas Bank Ltd. | 58,933 | 946,844 | |||||||
2,477,830 | |||||||||
South Africa — 0.6% | |||||||||
Anglo Platinum Ltd. | 717 | 66,685 | |||||||
AngloGold Ashanti Ltd. | 769 | 32,390 | |||||||
City Lodge Hotels Ltd. | 2,748 | 26,519 | |||||||
Clicks Group Ltd. | 12,234 | 76,561 | |||||||
Discovery Holdings Ltd. | 2,892 | 16,500 | |||||||
FirstRand Ltd. | 39,823 | 117,009 | |||||||
Gold Fields Ltd. | 2,334 | 34,152 | |||||||
Hosken Consolidated Investments Ltd. | 7,966 | 96,224 | |||||||
JD Group Ltd. | 2,592 | 16,184 | |||||||
MMI Holdings Ltd. | 7,632 | 19,179 | |||||||
Nedbank Group Ltd. | 9,700 | 210,342 | |||||||
RMB Holdings Ltd. | 46,176 | 182,230 | |||||||
RMI Holdings | 46,176 | 84,399 | |||||||
Sun International Ltd. | 13,797 | 186,860 | |||||||
1,165,234 | |||||||||
South Korea — 0.7% | |||||||||
KB Financial Group, Inc. | 1,159 | 55,126 | |||||||
Korea Electric Power Corp. (a) | 950 | 25,257 | |||||||
KT&G Corp. | 8,871 | 551,703 | |||||||
POSCO | 179 | 77,750 | |||||||
Samsung Electronics Co. Ltd. | 866 | 673,089 | |||||||
SK Telecom Co. Ltd. | 506 | 76,426 | |||||||
1,459,351 | |||||||||
Spain — 2.9% | |||||||||
Acciona SA | 2,841 | 301,549 | |||||||
Acerinox SA | 18,697 | 340,813 | |||||||
Banco Santander SA | 97,780 | 1,128,230 | |||||||
Gestevision Telecinco SA | 19,472 | 169,179 | |||||||
Iberdrola SA (a) | 205,581 | 1,829,673 | |||||||
Telefonica SA | 76,470 | 1,869,993 | |||||||
Viscofan SA | 5,578 | 222,232 | |||||||
5,861,669 | |||||||||
Sweden — 1.0% | |||||||||
Assa Abloy AB, Class B | 21,542 | 578,984 | |||||||
CDON Group AB (a) | 1,296 | 7,886 | |||||||
Hoganas AB, Class B | 4,256 | 170,246 | |||||||
Modern Times Group AB, Class B | 1,144 | 75,588 | |||||||
Nordea Bank AB | 10,144 | 109,004 | |||||||
Svenska Handelsbanken AB, Class A | 15,396 | 474,909 | |||||||
Swedish Match AB | 8,219 | 275,613 | |||||||
Telefonaktiebolaget LM Ericsson, Class B | 30,747 | 442,220 | |||||||
2,134,450 |
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Switzerland — 3.2% | |||||||||
ABB Ltd. (a) | 1,412 | $ | 36,615 | ||||||
Adecco SA (a) | 5,554 | 356,087 | |||||||
Compagnie Financiere Richemont SA | 8,367 | 547,895 | |||||||
Geberit AG (a) | 2,158 | 511,319 | |||||||
Glencore International plc (a) | 30,896 | 243,470 | |||||||
Helvetia Holding AG | 121 | 51,813 | |||||||
Logitech International SA (a) | 9,755 | 109,303 | |||||||
Novartis AG | 40,973 | 2,509,902 | |||||||
Roche Holding AG | 3,737 | 625,196 | |||||||
Sonova Holding AG (a) | 1,809 | 169,332 | |||||||
Swiss Re Ltd. (a) | 791 | 44,416 | |||||||
UBS AG (a) | 15,422 | 281,222 | |||||||
Zurich Financial Services AG (a) | 4,166 | 1,052,942 | |||||||
6,539,512 | |||||||||
Taiwan — 0.9% | |||||||||
Chunghwa Telecom Co. Ltd. | 18,400 | 63,308 | |||||||
Chunghwa Telecom Co. Ltd. – ADR | 18,341 | 633,682 | |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 417,133 | 1,055,795 | |||||||
Uni-President Enterprises Corp. | 41,116 | 59,848 | |||||||
1,812,633 | |||||||||
Thailand — 0.6% | |||||||||
Advanced Info Service PCL | 33,300 | 112,716 | |||||||
Bangkok Bank PCL | 39,900 | 205,986 | |||||||
GMM Grammy PCL | 81,100 | 46,192 | |||||||
Kasikornbank PCL | 62,500 | 254,272 | |||||||
Land and Houses PCL | 278,700 | 52,157 | |||||||
Matichon PCL | 28,100 | 6,082 | |||||||
MBK PCL | 47,500 | 146,481 | |||||||
Siam Cement PCL | 22,600 | 300,107 | |||||||
Thanachart Capital PCL | 117,100 | 108,620 | |||||||
1,232,613 | |||||||||
Turkey — 0.3% | |||||||||
Turkiye Garanti Bankasi A/S | 152,302 | 690,899 | |||||||
United Kingdom — 12.8% | |||||||||
Admiral Group plc | 4,241 | 112,989 | |||||||
AMEC plc | 4,217 | 73,695 | |||||||
Anglo American plc – ADR | 9,390 | 233,342 | |||||||
Anglo American plc – JSE Shares | 799 | 39,597 | |||||||
Anglo American plc – LSE Shares | 1,167 | 57,893 | |||||||
BAE Systems plc | 68,162 | 348,448 | |||||||
Barclays plc | 82,559 | 339,830 | |||||||
Barratt Developments plc (a) | 15,154 | 27,787 | |||||||
BG Group plc | 47,300 | 1,073,499 | |||||||
BHP Billiton plc | 17,983 | 704,852 | |||||||
BP plc | 343,610 | 2,531,717 | |||||||
British American Tobacco plc | 884 | 38,749 | |||||||
British Sky Broadcasting Group plc | 8,124 | 110,337 | |||||||
Bunzl plc | 21,828 | 273,269 | |||||||
Cable & Wireless Communications plc | 209,142 | 136,061 | |||||||
Cable & Wireless Worldwide | 152,080 | 112,351 | |||||||
Capita Group plc | 46,179 | 530,314 | |||||||
Carnival plc | 7,587 | 294,062 | |||||||
Centrica plc | 9,350 | 48,518 |
36
![]() | ![]() | ![]() | ||||||
Number of Shares | Value | |||||||
Close Brothers Group plc | 2,687 | $ | 33,294 | |||||
Compass Group plc | 190,849 | 1,840,982 | ||||||
Daily Mail & General Trust NV, Class A | 4,510 | 33,616 | ||||||
Devro plc | 27,284 | 118,149 | ||||||
Diageo plc | 24,396 | 498,462 | ||||||
G4S plc | 68,617 | 308,148 | ||||||
GlaxoSmithKline plc | 89,087 | 1,907,412 | ||||||
Hays plc | 65,535 | 108,341 | ||||||
HMV Group plc | 22,914 | 3,567 | ||||||
Homeserve plc | 23,553 | 190,124 | ||||||
HSBC Holdings plc | 3,498 | 34,702 | ||||||
ICAP plc | 41,544 | 315,260 | ||||||
Informa plc | 55,885 | 387,583 | ||||||
International Personal Finance | 45,255 | 267,225 | ||||||
Intertek Group plc | 23,360 | 739,741 | ||||||
Invensys plc | 71,581 | 369,856 | ||||||
ITV plc (a) | 184,198 | 211,213 | ||||||
Jupiter Fund Management plc | 13,305 | 53,983 | ||||||
Ladbrokes plc | 34,975 | 85,550 | ||||||
Lloyds Banking Group plc (a) | 419,657 | 329,751 | ||||||
Michael Page International plc | 7,651 | 65,699 | ||||||
Millennium & Copthorne Hotels plc | 6,991 | 57,057 | ||||||
National Express Group plc | 8,634 | 35,088 | ||||||
Northgate plc (a) | 6,578 | 34,619 | ||||||
Petrofac Ltd. | 1,780 | 43,255 | ||||||
Provident Financial plc | 15,544 | 240,254 | ||||||
Reckitt Benckiser Group plc | 11,762 | 649,419 | ||||||
Reed Elsevier plc | 29,475 | 268,057 | ||||||
Rexam plc | 40,224 | 247,088 | ||||||
Rightmove plc | 17,907 | 342,407 | ||||||
Rio Tinto plc | 8,939 | 645,479 | ||||||
Rolls-Royce Group plc – C Shares (a) | 810,912 | 1,301 | ||||||
Rolls-Royce Holdings plc | 8,447 | 87,448 | ||||||
RSA Insurance Group plc | 25,119 | 54,341 | ||||||
Sage Group plc | 95,758 | 444,022 | ||||||
Smith & Nephew plc | 4,731 | 50,474 | ||||||
Smiths Group plc | 11,437 | 220,464 | ||||||
Sportingbet plc | 83,799 | 73,925 | ||||||
Stagecoach Group plc | 67,314 | 275,829 | ||||||
Tesco plc | 305,604 | 1,973,738 | ||||||
Thomas Cook Group plc | 85,742 | 183,034 | ||||||
Tui Travel plc | 72,067 | 259,763 | ||||||
Unilever plc | 69,921 | 2,256,405 | ||||||
Vodafone Group plc | 837,055 | 2,224,584 | ||||||
WH Smith plc | 15,289 | 120,323 | ||||||
WPP plc | 22,764 | 284,993 | ||||||
26,063,335 |
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
United States — 0.1% | |||||||||
NII Holdings, Inc., Class B (a) | 2,657 | $ | 112,604 | ||||||
Total Common Stocks (Cost $139,572,350) | 157,492,472 | ||||||||
Acquired Funds — 13.0% | |||||||||
Private Investment Funds (f) — 13.0% | |||||||||
Convexity Capital Offshore,LP (a) (b) (c) (d) | 11,314,655 | ||||||||
Lansdowne UK Equity Fund Ltd. (a) (b) (c) (d) | 27,165 | 10,048,828 | |||||||
Lone Dragon Pine, LP (a) (b) (c) (d) | 5,121,235 | ||||||||
Total Acquired Funds (Cost $17,287,313) | 26,484,718 | ||||||||
Preferred Stocks — 0.8% | |||||||||
Itausa – Investimentos Itau SA, 0.470%, (Brazil) | 79,300 | 609,238 | |||||||
Malaysian Airline System Berhad, 30.000%, (Malaysia) | 20,000 | 5,862 | |||||||
Vale SA, 2.600%, (Brazil) | 31,340 | 896,432 | |||||||
Total Preferred Stocks (Cost $1,216,914) | 1,511,532 |
![]() | ![]() | ![]() | |||||||
Number of Contracts | Value | ||||||||
Warrants — 0.0% | |||||||||
Global Yellow Pages Ltd. Expiring 09/10/14 (Singapore) (a) (Cost $—) | 35,000 | 712 |
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||
Short-Term Investments — 8.3% | ||||||||||||||||
Repurchase Agreement — 4.3% | ||||||||||||||||
State Street Bank & Trust Co. Repurchase Agreement issued on 06/30/11 (proceeds at maturity $8,770,502) (collateralized by US Treasury Notes due 04/30/12 through 05/31/16 with a total principal value of $8,890,000 and a total market value of $8,956,083) | ||||||||||||||||
(Cost $8,770,500) | 0.010% | 07/01/11 | $ | 8,770,500 | $ | 8,770,500 | ||||||||||
US Treasury Bill — 4.0% | ||||||||||||||||
US Treasury Bill (g) (h) (Cost $7,998,947) | 07/28/11 | 8,000,000 | 7,998,947 | |||||||||||||
Total Short-Term Investments (Cost $16,769,447) | 16,769,447 | |||||||||||||||
Total Investments — 99.6% (Cost $174,846,024) | 202,258,881 | |||||||||||||||
Other Assets in Excess of Liabilities — 0.4% | 909,709 | |||||||||||||||
Net Assets — 100.0% | $ | 203,168,590 |
37
ADR | American Depositary Receipt |
CVA | Certificaaten van aandelen (share certificates) |
GDR | Global Depositary Receipt |
JSE | Johannesburg Stock Exchange |
LSE | London Stock Exchange |
MSCI | Morgan Stanley Capital International |
NYSE | New York Stock Exchange |
PDR | Philippine Depositary Receipt |
SDR | Swedish Depositary Receipts |
SPADR | Sponsored ADR |
TSE | Toronto Stock Exchange |
UNIT | A security with an attachment to buy shares, bonds, or other types of securities at a specific price before a predetermined date. |
VVPR | Verminderde Voorheffing Précompte Réduit (France dividend coupon) |
* | Approximately 26% 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. An illiquid security is a security that cannot be disposed of within seven days in the ordinary course of business at approximately the amount the fund has valued such security for the purposes of calculating the fund's net asset value. |
(c) | Restricted Securities. The following restricted securities were held by the fund as of June 30, 2011, 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, Inc. | 07/11/06 | $ | 16,840 | $ | 16,825 | |||||||
Convexity Capital Offshore, LP | 02/16/06 | 7,333,333 | 11,314,655 | |||||||||
Lansdowne UK Equity Fund Ltd. | 05/31/03 | 4,953,980 | 10,048,828 | |||||||||
Lone Dragon Pine, LP | 03/31/08 | 5,000,000 | 5,121,235 | |||||||||
Total (13.0% of net assets) | $ | 26,501,543 |
(d) | Security is valued in good faith under procedures established by the board of directors. The aggregate amount of securities fair valued amounts to $26,473,193, which represents 13.0% of the fund's net assets. |
(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) | Portfolio holdings information of the Private Investment Funds is not available as of June 30, 2011. These positions are therefore grouped into their own industry classification. |
(g) | Security or a portion thereof is pledged as initial margin for financial futures contracts. |
(h) | Security or a portion thereof is held as collateral by the counterparty for swap contracts. |
Summary Schedule of Investments
![]() | ![]() | |||
Common Stocks | 77.5% | |||
Private Investment Funds | 13.0% | |||
Short-Term Investments | 8.3% | |||
Preferred Stocks | 0.8% | |||
Warrants | 0.0% | |||
Total Investments | 99.6% | |||
Other Assets in Excess of Liabilities | 0.4% | |||
Net Assets | 100.0% |
38
Financial Futures Contracts
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Number of Contracts | Type | Initial Notional Value/(Proceeds) | Notional Value at June 30, 2011 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long Financial Futures Contracts | ||||||||||||||||
Foreign Currency-Related | ||||||||||||||||
55 | September 2011 Canadian Dollar | $ | 5,620,259 | $ | 5,696,900 | $ | 76,641 | |||||||||
4 | September 2011 Euro Dollar | 729,677 | 724,400 | (5,277 | ) | |||||||||||
21 | September 2011 Swiss Franc | 3,137,608 | 3,125,588 | (12,020 | ) | |||||||||||
59,344 | ||||||||||||||||
Equity-Related | ||||||||||||||||
16 | September 2011 ASX S&P 200 Index | 1,951,201 | 1,973,922 | 22,721 | ||||||||||||
223 | September 2011 Dow Jones EURO STOXX 50 Index | 8,912,679 | 9,209,958 | 297,279 | ||||||||||||
30 | September 2011 Topix Index | 3,020,471 | 3,165,642 | 145,171 | ||||||||||||
64 | September 2011 TSE 60 Index | 9,905,546 | 10,115,776 | 210,230 | ||||||||||||
675,401 | ||||||||||||||||
734,745 | ||||||||||||||||
Short Financial Futures Contracts | ||||||||||||||||
Foreign Currency-Related | ||||||||||||||||
9 | September 2011 Australian Dollar | (947,742 | ) | (956,340 | ) | (8,598 | ) | |||||||||
12 | September 2011 British Pound | (1,228,469 | ) | (1,203,825 | ) | 24,644 | ||||||||||
52 | September 2011 Japanese Yen | (8,130,193 | ) | (8,081,450 | ) | 48,743 | ||||||||||
64,789 | ||||||||||||||||
$ | 799,534 |
Forward Currency Contracts
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Contract Amount | ||||||||||||||||
Contract Settlement Date | Counterparty | Receive | Deliver | Unrealized Appreciation/ (Depreciation) | ||||||||||||
07/29/2011 | State Street Bank & Trust Co. | US Dollar 2,222,566 | Australian Dollar 2,091,000 | $ | (13,332 | ) | ||||||||||
09/30/2011 | State Street Bank & Trust Co. | US Dollar 1,576,076 | Swiss Franc 1,326,000 | (1,983 | ) | |||||||||||
$ | (15,315 | ) |
Total Return Swap Contracts
![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||||||||
Expiration Date | Counterparty | Pay | Receive | Notional Amount | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Long Total Return Swap Contracts | |||||||||||||||||||||||||
07/18/2011 | Goldman Sachs International | (d) | 3 Month LIBOR plus a specified spread | MSCI AC World Index ex USA | $ | 11,291,036 | $ | (327,319 | ) | ||||||||||||||||
08/31/2011 | Goldman Sachs International | (d) | 1 Month LIBOR plus a specified spread | MSCI Daily TR Net Emerging Markets | 10,760,670 | 298,969 | |||||||||||||||||||
$ | (28,350 | ) |
39
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, 2011. See Note 3, Derivatives and Other Financial Instruments, for qualitative disclosures. These derivatives are not accounted for as hedging instruments. 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, 2011, grouped by contract type and risk exposure category.
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Derivative Type | Balance Sheet Location | Foreign Currency Risk | Equity Risk | Total | ||||||||||||
Asset Derivatives | ||||||||||||||||
Warrants | Investments, at value | $ | — | $ | 712 | $ | 712 | |||||||||
Swap Contracts | Swap contracts, at value | — | 298,969 | 298,969 | ||||||||||||
Futures Contracts | Variation margin* | 150,028 | 675,401 | 825,429 | ||||||||||||
Total Value – Assets | $ | 150,028 | $ | 975,082 | $ | 1,125,110 | ||||||||||
Liability Derivatives | ||||||||||||||||
Swap Contracts | Swap contracts, at value | $ | — | $ | (327,319 | ) | $ | (327,319 | ) | |||||||
Forward Contracts | Unrealized depreciation on forward currency contracts | (15,315 | ) | — | (15,315 | ) | ||||||||||
Futures Contracts | Variation margin* | (25,895 | ) | — | (25,895 | ) | ||||||||||
Total Value – Liabilities | $ | (41,210 | ) | $ | (327,319 | ) | $ | (368,529 | ) |
* | 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 period ended June 30, 2011, grouped by contract type and risk exposure category.
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Derivative Type | Income Statement Location | Foreign Currency Risk | Equity Risk | Total | ||||||||||||
Realized Gain (Loss) | ||||||||||||||||
Rights | Net realized gain (loss) from Investments | $ | — | $ | (54,681 | ) | $ | (54,681 | ) | |||||||
Warrants | Net realized gain (loss) from Investments | — | (43 | ) | (43 | ) | ||||||||||
Swap Contracts | Net realized gain (loss) from Swap contracts | — | 1,328,178 | 1,328,178 | ||||||||||||
Futures Contracts | Net realized gain (loss) from Financial futures contracts | 442,922 | (439,620 | ) | 3,302 | |||||||||||
Forward Contracts | Net realized gain (loss) from Forward currency contracts | (143,013 | ) | — | (143,013 | ) | ||||||||||
Total Realized Gain (Loss) | $ | 299,909 | $ | 833,834 | $ | 1,133,743 |
40
The following table lists the change in unrealized appreciation (depreciation) included in net increase in net assets resulting from operations for the period ended June 30, 2011, grouped by contract type and risk exposure category.
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Derivative Type | Income Statement Location | Foreign Currency Risk | Equity Risk | Total | ||||||||||||
Change in Appreciation (Depreciation) | ||||||||||||||||
Warrants | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | $ | — | $ | 2,963 | $ | 2,963 | |||||||||
Swap Contracts | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | — | (1,057,008 | ) | (1,057,008 | ) | ||||||||||
Futures Contracts | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | 73,796 | 706,376 | 780,172 | ||||||||||||
Forward Contracts | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | (15,315 | ) | — | (15,315 | ) | ||||||||||
Total Change in Appreciation (Depreciation) | $ | 58,481 | $ | (347,669 | ) | $ | (289,188 | ) |
See accompanying Notes to Financial Statements.
41
Statement of Assets and Liabilities (unaudited) |
![]() | ![]() | |||
June 30, 2011 | ||||
Assets | ||||
Investments in securities, at value (cost: $166,075,524) | $ | 193,488,381 | ||
Repurchase agreements (cost: $8,770,500) | 8,770,500 | |||
Cash denominated in foreign currencies (cost: $697,140) | 699,967 | |||
Receivables: | ||||
Investment securities sold | 608,173 | |||
Dividends and tax reclaims | 588,566 | |||
Swap contracts, at value | 298,969 | |||
Due from broker for futures variation margin | 250,788 | |||
Total Assets | 204,705,344 | |||
Liabilities | ||||
Swap contracts, at value | 327,319 | |||
Payables: | ||||
Investment securities purchased | 520,748 | |||
Distributions | 327,414 | |||
Accrued expenses and other liabilities | 205,491 | |||
Money manager fees | 115,851 | |||
Investment advisory fees | 24,616 | |||
Unrealized depreciation on forward currency contracts | 15,315 | |||
Total Liabilities | 1,536,754 | |||
Net Assets | $ | 203,168,590 | ||
Shares Outstanding (500,000,000 authorized shares, par value $0.001) | 15,260,861 | |||
Net Asset Value Per Share | $ | 13.31 | ||
Net Assets Consist of: | ||||
Capital stock | $ | 183,449,245 | ||
Distributions in excess of net investment income | (7,758,218 | ) | ||
Accumulated net realized loss on investments | (925,688 | ) | ||
Net unrealized appreciation on investments and foreign currencies | 28,403,251 | |||
$ | 203,168,590 |
See accompanying Notes to Financial Statements.
42
Statement of Operations (unaudited) |
![]() | ![]() | |||
Six Months Ended June 30, 2011 | ||||
Investment Income | ||||
Interest | $ | 8,158 | ||
Dividends (net of foreign withholding taxes of $322,191) | 3,259,096 | |||
Total Investment Income | 3,267,254 | |||
Expenses | ||||
Investment advisory fees | 151,770 | |||
Money manager fees | 604,195 | |||
Fund administration fees | 148,088 | |||
Professional fees | 63,086 | |||
Administrative fees | 20,236 | |||
Chief compliance officer fees | 4,581 | |||
Registration and filing fees | 12,935 | |||
Insurance | 1,746 | |||
Director fees | 1,365 | |||
Miscellaneous fees and other | 6,725 | |||
Total Expenses | 1,014,727 | |||
Net Investment Income | 2,252,527 | |||
Net Realized Gain (Loss) from: | ||||
Investments (net of foreign withholding taxes on capital gains of $20,998) | 3,169,095 | |||
Swap contracts | 1,328,178 | |||
Financial futures contracts | 3,302 | |||
Forward currency contracts and foreign currency-related transactions (net of foreign tax of $8,534) | (35,340 | ) | ||
Net Realized Gain | 4,465,235 | |||
Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies | 2,406,176 | |||
Net Realized and Unrealized Gain on Investments and Foreign Currencies | 6,871,411 | |||
Net Increase in Net Assets Resulting from Operations | $ | 9,123,938 |
See accompanying Notes to Financial Statements.
43
Statements of Changes in Net Assets |
![]() | ![]() | ![]() | ||||||
Six Months Ended 6/30/2011 (Unaudited) | Year Ended 12/31/2010 | |||||||
Increase in Net Assets From Operations | ||||||||
Net investment income | $ | 2,252,527 | $ | 3,087,220 | ||||
Net realized gain (loss) on investments and foreign currencies | 4,465,235 | 9,287,947 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 2,406,176 | 10,865,797 | ||||||
Net Increase in Net Assets Resulting from Operations | 9,123,938 | 23,240,964 | ||||||
Distributions | ||||||||
From net investment income | (2,261,782 | ) | (8,616,368 | ) | ||||
Decrease in Net Assets Resulting from Distributions | (2,261,782 | ) | (8,616,368 | ) | ||||
Capital Share Transactions | ||||||||
Proceeds from shares sold | — | 145,798 | ||||||
Proceeds from distributions reinvested | 1,934,368 | 7,324,435 | ||||||
Entry/exit fees | 78,223 | 145,083 | ||||||
Cost of shares redeemed | (10,429,670 | ) | (19,197,547 | ) | ||||
Net Decrease From Capital Share Transactions | (8,417,079 | ) | (11,582,231 | ) | ||||
Total Increase (Decrease) in Net Assets | (1,554,923 | ) | 3,042,365 | |||||
Net Assets | ||||||||
Beginning of period | 204,723,513 | 201,681,148 | ||||||
End of period | $ | 203,168,590 | $ | 204,723,513 | ||||
Including distributions in excess of net investment income | $ | (7,758,218 | ) | $ | (7,748,963 | ) | ||
Capital Share Transactions (in shares) | ||||||||
Shares sold | — | 12,370 | ||||||
Shares reinvested | 145,332 | 615,065 | ||||||
Shares redeemed | (796,271 | ) | (1,620,187 | ) | ||||
Net Decrease | (650,939 | ) | (992,752 | ) |
See accompanying Notes to Financial Statements.
44
Statement of Cash Flows (unaudited) |
![]() | ![]() | |||
Six Months Ended June 30, 2011 | ||||
Cash flows provided by (used in) operating activities | ||||
Net increase (decrease) in net assets resulting from operations | $ | 9,123,938 | ||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||
Investments purchased | (14,939,644 | ) | ||
Investments sold | 22,445,878 | |||
(Purchase)/Sale of short term investments, net | (218,342 | ) | ||
Increase in foreign currencies, at cost | (489,774 | ) | ||
Increase in dividends and tax reclaims receivable | (241,080 | ) | ||
Increase in variation margin receivable on financial futures contracts | (224,031 | ) | ||
Increase in accrued expenses and other liabilities | 10 | |||
Decrease in investment advisory fees payable | (1,065 | ) | ||
Net realized (gain) loss from investments | (3,169,095 | ) | ||
Net change in unrealized (appreciation) depreciation on investments | (1,577,635 | ) | ||
Net cash provided by (used in) operating activities | 10,709,160 | |||
Cash flows provided by (used in) financing activities | ||||
Proceeds from shares sold | — | |||
Payment on shares redeemed | (10,351,447 | ) | ||
Cash distributions paid | (357,713 | ) | ||
Net cash provided by (used in) financing activities | (10,709,160 | ) | ||
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 distributions of: | $ | 1,934,368 |
See accompanying Notes to Financial Statements.
45
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46
Fund Expenses (unaudited) |
As a shareholder of a fund, you incur two types of costs: (1) transaction 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, 2011 to June 30, 2011.
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 transactional 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 transactional costs were included, your costs would have been higher.
![]() | ![]() | ![]() | ![]() | |||||||||
Beginning Account Value 1/1/11 | Ending Account Value 6/30/11 | Expense Paid During the Period* 1/1/11 – 6/30/11 | ||||||||||
1) Actual | $ | 1,000.00 | $ | 1,076.50 | $ | 2.99 | ||||||
2) Hypothetical | $ | 1,000.00 | $ | 1,021.92 | $ | 2.91 |
* | Expenses are equal to the fund’s annualized expense ratio of 0.58% (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 acquired funds; such fees and expenses are reflected in the acquired funds’ total return. |
47
Financial Highlights |
![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||||||||
Six Months Ended 6/30/11 (Unaudited) | Year Ended 12/31/10 | Year Ended 12/31/09 | Year Ended 12/31/08 | Year Ended 12/31/07 | Year Ended 12/31/06 | |||||||||||||||||||
For a share outstanding throughout each period | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.57 | $ | 11.02 | $ | 8.35 | $ | 13.39 | $ | 14.90 | $ | 14.07 | ||||||||||||
Income (loss) from investment operations | ||||||||||||||||||||||||
Net investment income (loss) | (0.01 | ) | 0.00 | (a) | (0.14 | ) | 0.01 | 0.11 | 0.10 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.97 | 1.60 | 2.87 | (4.83 | ) | 0.33 | 2.35 | |||||||||||||||||
Total from investment operations | 0.96 | 1.60 | 2.73 | (4.82 | ) | 0.44 | 2.45 | |||||||||||||||||
Less distributions from | ||||||||||||||||||||||||
Net investment income | (0.02 | ) | (0.06 | ) | (0.07 | ) | (0.11 | ) | (0.14 | ) | (0.10 | ) | ||||||||||||
Net realized gains | — | — | — | (0.11 | ) | (1.82 | ) | (1.53 | ) | |||||||||||||||
Total distributions | (0.02 | ) | (0.06 | ) | (0.07 | ) | (0.22 | ) | (1.96 | ) | (1.63 | ) | ||||||||||||
Entry/exit fee per share (b) | (0.00 | )(a) | 0.01 | 0.01 | 0.00 | (a) | 0.01 | 0.01 | ||||||||||||||||
Net asset value, end of period | $ | 13.51 | $ | 12.57 | $ | 11.02 | $ | 8.35 | $ | 13.39 | $ | 14.90 | ||||||||||||
Total return (c) | 7.65 | %(d) | 14.56 | % | 32.91 | % | (36.39 | )% | 2.84 | % | 17.68 | % | ||||||||||||
Ratios/supplemental data | ||||||||||||||||||||||||
Net assets, end of period (000s) | $ | 110,327 | $ | 113,429 | $ | 117,900 | $ | 127,371 | $ | 227,588 | $ | 216,369 | ||||||||||||
Ratio of expenses to average net assets (e) | 0.58 | %(f) | 0.68 | % | 1.16 | % | 0.68 | % | 0.73 | % | 0.74 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | 0.31 | %(f) | 0.34 | % | (0.13 | )% | 0.31 | % | 0.56 | % | 0.63 | % | ||||||||||||
Portfolio turnover | 20 | %(d) | 33 | % | 25 | % | 34 | % | 38 | % | 35 | % |
(a) | Rounds to less than $0.01. |
(b) | Calculation based on average shares outstanding. |
(c) | Total return assumes dividend reinvestment and includes the effects of entry and exit fees received by the fund; however, it does not reflect the deduction of such fees from a member’s purchase or redemption transaction. Therefore, 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. |
(d) | Not annualized. |
(e) | The expense ratio does not include the fees and expenses associated with investments made in acquired funds; such fees and expenses are reflected in the acquired funds’ total return. |
(f) | Annualized. |
See accompanying Notes to Financial Statements.
48
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Investments — 98.5% of net assets | |||||||||
Common Stocks — 75.1% | |||||||||
Aerospace & Defense — 2.1% | |||||||||
AAR Corp. | 41,509 | $ | 1,124,479 | ||||||
General Dynamics Corp. | 2,300 | 171,396 | |||||||
Lockheed Martin Corp. | 5,300 | 429,141 | |||||||
Northrop Grumman Corp. | 5,500 | 381,425 | |||||||
Raytheon Co. | 5,100 | 254,235 | |||||||
2,360,676 | |||||||||
Auto Components — 0.3% | |||||||||
Goodyear Tire & Rubber Co. (The) (a) | 18,400 | 308,568 | |||||||
Beverages — 1.3% | |||||||||
Constellation Brands, Inc., Class A (a) | 62,300 | 1,297,086 | |||||||
Hansen Natural Corp. (a) | 1,800 | 145,710 | |||||||
1,442,796 | |||||||||
Biotechnology — 0.5% | |||||||||
Biogen Idec, Inc. (a) | 3,000 | 320,760 | |||||||
Gilead Sciences, Inc. (a) | 5,500 | 227,755 | |||||||
548,515 | |||||||||
Capital Markets — 0.8% | |||||||||
Ameriprise Financial, Inc. | 3,100 | 178,808 | |||||||
Franklin Resources, Inc. | 3,300 | 433,257 | |||||||
Goldman Sachs Group, Inc. (The) | 1,900 | 252,871 | |||||||
864,936 | |||||||||
Chemicals — 3.3% | |||||||||
Agrium, Inc. (Canada) | 1,600 | 140,416 | |||||||
Calgon Carbon Corp. (a) | 40,900 | 695,300 | |||||||
Eastman Chemical Co. | 2,700 | 275,589 | |||||||
HB Fuller Co. | 38,000 | 927,960 | |||||||
Lubrizol Corp. | 1,200 | 161,124 | |||||||
Nalco Holding Co. | 50,568 | 1,406,296 | |||||||
3,606,685 | |||||||||
Commercial Banks — 1.7% | |||||||||
Fifth Third Bancorp | 15,200 | 193,800 | |||||||
Huntington Bancshares Inc. | 22,000 | 144,320 | |||||||
KeyCorp | 36,100 | 300,713 | |||||||
North Valley Bancorp (a) | 13,860 | 143,035 | |||||||
PNC Financial Services Group, Inc. | 7,300 | 435,153 | |||||||
Wells Fargo & Co. | 25,500 | 715,530 | |||||||
1,932,551 | |||||||||
Commercial Services & Supplies — 1.5% | |||||||||
KAR Auction Services, Inc. (a) | 89,100 | 1,684,881 | |||||||
Communications Equipment — 0.1% | |||||||||
Research In Motion Ltd. (Canada) (a) | 5,500 | 158,675 | |||||||
Computers & Peripherals — 2.0% | |||||||||
Apple, Inc. (a) | 2,900 | 973,443 | |||||||
QLogic Corp. (a) | 80,000 | 1,273,600 | |||||||
2,247,043 | |||||||||
Consumer Finance — 0.7% | |||||||||
Capital One Financial Corp. | 7,700 | 397,859 | |||||||
Discover Financial Services | 14,300 | 382,525 | |||||||
780,384 |
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Diversified Consumer Services — 1.4% | |||||||||
DeVry, Inc. | 18,200 | $ | 1,076,166 | ||||||
ITT Educational Services, Inc. (a) | 6,100 | 477,264 | |||||||
1,553,430 | |||||||||
Diversified Financial Services — 0.9% | |||||||||
Citigroup, Inc. | 2,830 | 117,841 | |||||||
JPMorgan Chase & Co. | 20,800 | 851,552 | |||||||
969,393 | |||||||||
Diversified Telecommunication Services — 2.0% | |||||||||
AT&T, Inc. | 11,600 | 364,356 | |||||||
General Communications, Inc., Class A (a) | 94,100 | 1,135,787 | |||||||
Verizon Communications, Inc. | 17,700 | 658,971 | |||||||
2,159,114 | |||||||||
Electric Utilities — 2.0% | |||||||||
Edison International | 9,900 | 383,625 | |||||||
Empire District Electric Co. (The) | 17,500 | 337,050 | |||||||
Entergy Corp. | 3,300 | 225,324 | |||||||
Exelon Corp. | 3,100 | 132,804 | |||||||
NV Energy, Inc. | 75,000 | 1,151,250 | |||||||
2,230,053 | |||||||||
Electrical Equipment — 2.0% | |||||||||
Babcock & Wilcox Co. (a) | 52,200 | 1,446,462 | |||||||
Generac Holdings, Inc. (a) | 37,800 | 733,320 | |||||||
2,179,782 | |||||||||
Electronic Equipment, Instruments & Components — 3.7% | |||||||||
Checkpoint Systems, Inc. (a) | 123,800 | 2,213,544 | |||||||
Rogers Corp. (a) | 40,000 | 1,848,000 | |||||||
4,061,544 | |||||||||
Energy Equipment & Services — 1.1% | |||||||||
Tidewater, Inc. | 23,300 | 1,253,773 | |||||||
Food & Staples Retailing — 1.7% | |||||||||
CVS Caremark Corp. | 9,100 | 341,978 | |||||||
Kroger Co. (The) | 14,100 | 349,680 | |||||||
Safeway, Inc. | 15,400 | 359,898 | |||||||
Wal-Mart Stores, Inc. | 6,100 | 324,154 | |||||||
Walgreen Co. | 10,700 | 454,322 | |||||||
1,830,032 | |||||||||
Health Care Equipment & Supplies — 0.5% | |||||||||
Accuray, Inc. (a) | 38,094 | 305,133 | |||||||
Cooper Companies, Inc. (The) | 2,798 | 221,713 | |||||||
526,846 | |||||||||
Health Care Providers & Services — 6.6% | |||||||||
Aetna, Inc. | 8,600 | 379,174 | |||||||
AmerisourceBergen Corp. | 9,800 | 405,720 | |||||||
Cardinal Health, Inc. | 9,100 | 413,322 | |||||||
CIGNA Corp. | 4,000 | 205,720 | |||||||
Humana, Inc. | 2,500 | 201,350 | |||||||
McKesson Corp. | 1,900 | 158,935 | |||||||
Owens & Minor, Inc. | 31,200 | 1,076,088 | |||||||
PharMerica Corp. (a) | 41,100 | 524,436 | |||||||
UnitedHealth Group, Inc. | 11,100 | 572,538 | |||||||
Universal Health Services, Inc., Class B | 27,900 | 1,437,687 |
49
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
VCA Antech, Inc. (a) | 67,200 | $ | 1,424,640 | ||||||
WellPoint, Inc. | 6,100 | 480,497 | |||||||
7,280,107 | |||||||||
Hotels, Restaurants & Leisure — 1.0% | |||||||||
Brinker International, Inc. | 34,000 | 831,640 | |||||||
Orient-Express Hotels Ltd., Class A (United Kingdom) (a) | 25,000 | 268,750 | |||||||
1,100,390 | |||||||||
Household Durables — 0.1% | |||||||||
Whirlpool Corp. | 1,800 | 146,376 | |||||||
Household Products — 0.5% | |||||||||
Procter & Gamble Co. (The) | 9,100 | 578,487 | |||||||
Independent Power Producers & Energy Traders — 0.2% | |||||||||
Constellation Energy Group, Inc. | 4,600 | 174,616 | |||||||
Industrial Conglomerates — 0.6% | |||||||||
General Electric Co. | 34,900 | 658,214 | |||||||
Insurance — 3.7% | |||||||||
ACE Ltd. (Switzerland) | 3,500 | 230,370 | |||||||
Aflac, Inc. | 2,200 | 102,696 | |||||||
Arthur J. Gallagher & Co. | 40,000 | 1,141,600 | |||||||
Brown & Brown, Inc. | 25,000 | 641,500 | |||||||
Chubb Corp. | 2,300 | 144,003 | |||||||
Hartford Financial Services Group, Inc. | 5,600 | 147,672 | |||||||
Travelers Companies, Inc. (The) | 4,400 | 256,872 | |||||||
Willis Group Holdings plc (United Kingdom) | 34,510 | 1,418,706 | |||||||
4,083,419 | |||||||||
IT Services — 2.5% | |||||||||
CoreLogic, Inc. (a) | 40,316 | 673,680 | |||||||
Fidelity National Information Services, Inc. | 9,800 | 301,742 | |||||||
International Business Machines Corp. (IBM) | 6,100 | 1,046,455 | |||||||
Lender Processing Services, Inc. | 20,000 | 418,200 | |||||||
Visa, Inc., Class A | 3,700 | 311,762 | |||||||
2,751,839 | |||||||||
Life Sciences Tools & Services — 0.7% | |||||||||
Thermo Fisher Scientific, Inc. (a) | 11,400 | 734,046 | |||||||
Machinery — 1.8% | |||||||||
Caterpillar, Inc. | 2,000 | 212,920 | |||||||
Cummins, Inc. | 1,500 | 155,235 | |||||||
John Bean Technologies Corp. | 73,700 | 1,423,884 | |||||||
Parker Hannifin Corp. | 2,500 | 224,350 | |||||||
2,016,389 | |||||||||
Media — 3.4% | |||||||||
CBS Corp., Class B | 7,700 | 219,373 | |||||||
Comcast Corp., Class A | 12,400 | 314,216 | |||||||
DIRECTV, Class A (a) | 9,800 | 498,036 | |||||||
Live Nation, Inc. (a) | 134,638 | 1,544,298 | |||||||
McGraw-Hill Companies, Inc. (The) | 5,600 | 234,696 | |||||||
Time Warner Cable, Inc. | 1,900 | 148,276 | |||||||
Time Warner, Inc. | 10,000 | 363,700 | |||||||
Viacom, Inc. | 8,300 | 423,300 | |||||||
3,745,895 |
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Metals & Mining — 0.6% | |||||||||
Freeport-McMoRan Copper & Gold, Inc. | 9,700 | $ | 513,130 | ||||||
Pacific Rim Mining Corp. (Canada) (a) (b) (c) | 35,000 | 6,356 | |||||||
Teck Resources Ltd., Class B (Canada) | 2,300 | 116,702 | |||||||
636,188 | |||||||||
Multi-Utilities — 0.2% | |||||||||
Public Service Enterprise Group, Inc. | 6,900 | 225,216 | |||||||
Multiline Retail — 2.3% | |||||||||
Big Lots, Inc. (a) | 35,125 | 1,164,394 | |||||||
J.C. Penney Co., Inc. | 4,100 | 141,614 | |||||||
Macy's, Inc. | 5,100 | 149,124 | |||||||
Saks, Inc. (a) | 100,000 | 1,117,000 | |||||||
2,572,132 | |||||||||
Office Electronics — 0.9% | |||||||||
Zebra Technologies Corp., Class A (a) | 22,293 | 940,096 | |||||||
Oil, Gas & Consumable Fuels — 7.5% | |||||||||
Bill Barrett Corp. (a) | 40,800 | 1,891,080 | |||||||
Chevron Corp. | 10,100 | 1,038,684 | |||||||
ConocoPhillips | 9,000 | 676,710 | |||||||
Exxon Mobil Corp. | 16,500 | 1,342,770 | |||||||
Hess Corp. | 4,200 | 313,992 | |||||||
Marathon Oil Corp. | 9,400 | 495,192 | |||||||
Murphy Oil Corp. | 4,400 | 288,904 | |||||||
Stone Energy Corp. (a) | 53,700 | 1,631,943 | |||||||
Tesoro Corp. (a) | 10,200 | 233,682 | |||||||
Valero Energy Corp. | 14,900 | 380,993 | |||||||
8,293,950 | |||||||||
Personal Products — 0.3% | |||||||||
Estee Lauder Companies, Inc. (The), Class A | 2,100 | 220,899 | |||||||
Herbalife Ltd. | 2,900 | 167,156 | |||||||
388,055 | |||||||||
Pharmaceuticals — 0.9% | |||||||||
Forest Laboratories, Inc. (a) | 10,200 | 401,268 | |||||||
Merck & Co., Inc. | 4,300 | 151,747 | |||||||
Pfizer, Inc. | 22,500 | 463,500 | |||||||
1,016,515 | |||||||||
Road & Rail — 0.7% | |||||||||
CSX Corp. | 12,000 | 314,640 | |||||||
Ryder System, Inc. | 2,700 | 153,495 | |||||||
Union Pacific Corp. | 2,800 | 292,320 | |||||||
760,455 | |||||||||
Semiconductors & Semiconductor Equipment — 1.8% | |||||||||
Cabot Microelectronics Corp. (a) | 17,257 | 801,933 | |||||||
Intel Corp. | 32,400 | 717,984 | |||||||
LSI Corp. (a) | 38,300 | 272,696 | |||||||
Texas Instruments, Inc. | 4,900 | 160,867 | |||||||
1,953,480 | |||||||||
Software — 2.1% | |||||||||
Activision Blizzard, Inc. | 23,000 | 268,640 | |||||||
Adobe Systems, Inc. (a) | 5,500 | 172,975 | |||||||
CA, Inc. | 12,200 | 278,648 |
50
![]() | ![]() | ![]() | |||||||
Number of Shares | Value | ||||||||
Microsoft Corp. | 38,100 | $ | 990,600 | ||||||
Oracle Corp. | 7,200 | 236,952 | |||||||
Preview Systems, Inc. (a) (d) | 66,800 | 334 | |||||||
Symantec Corp. (a) | 19,900 | 392,428 | |||||||
2,340,577 | |||||||||
Specialty Retail — 2.3% | |||||||||
AutoZone, Inc. (a) | 1,300 | 383,305 | |||||||
Home Depot, Inc. (The) | 4,000 | 144,880 | |||||||
Penske Automotive Group, Inc. | 73,200 | 1,664,568 | |||||||
TJX Companies, Inc. (The) | 6,400 | 336,192 | |||||||
2,528,945 | |||||||||
Textiles, Apparel & Luxury Goods — 1.8% | |||||||||
Coach, Inc. | 6,700 | 428,331 | |||||||
Fossil, Inc. (a) | 1,400 | 164,808 | |||||||
Hanesbrands, Inc. (a) | 48,022 | 1,371,028 | |||||||
1,964,167 | |||||||||
Thrifts & Mortgage Finance — 0.8% | |||||||||
BankUnited, Inc. | 31,400 | 833,356 | |||||||
Tobacco — 0.6% | |||||||||
Philip Morris International, Inc. | 10,300 | 687,731 | |||||||
Trading Companies & Distributors — 0.3% | |||||||||
W.W. Grainger, Inc. | 2,000 | 307,300 | |||||||
Wireless Telecommunication Services — 1.3% | |||||||||
MetroPCS Communications, Inc. (a) | 8,800 | 151,448 | |||||||
United States Cellular Corp. (a) | 27,400 | 1,326,708 | |||||||
1,478,156 | |||||||||
Total Common Stocks (Cost $64,731,815) | 82,895,774 | ||||||||
Acquired Funds (e) — 18.5% | |||||||||
Private Investment Funds | |||||||||
Long/Short Equity Fund — 18.4% | |||||||||
Adage Capital Partners, LP (a) (b) (c) (d) | 20,332,213 | ||||||||
Other — 0.1% | |||||||||
Gotham Partners, LP (a) (b) (c) (d) | 75,830 | ||||||||
Total Acquired Funds (Cost $11,193,263) | 20,408,043 |
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||
Short-Term Investments — 4.9% | ||||||||||||||||
Repurchase Agreement — 4.9% | ||||||||||||||||
State Street Bank & Trust Co. Repurchase Agreement issued on 06/30/11 (proceeds at maturity $5,400,548) (collateralized by US Treasury Notes, due 04/30/12 through 05/31/16 with a total principal value of $5,475,000 and a total market value of $5,513,922) | ||||||||||||||||
(Cost $5,400,547) | 0.010% | 07/01/11 | $ | 5,400,547 | $ | 5,400,547 | ||||||||||
Total Investments — 98.5% (Cost $81,325,625) | 108,704,364 | |||||||||||||||
Other Assets in Excess of Liabilities — 1.5% | 1,622,389 | |||||||||||||||
Net Assets — 100.0% | $ | 110,326,753 |
* | Approximately 55% 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) | Restricted Securities. The following restricted securities were held by the fund as of June 30, 2011, 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 | $ | 10,542,541 | $ | 20,332,213 | |||||||
Gotham Partners, LP | 06/29/97 | 650,722 | 75,830 | |||||||||
Pacific Rim Mining Corp. | 06/01/04 | 100,800 | 6,356 | |||||||||
Total (18.5% of net assets) | $ | 20,414,399 |
51
(c) | Security is valued in good faith under procedures established by the board of directors. The aggregate amount of securities fair valued amounts to $20,414,399, which represents 18.5% of the fund's net assets. |
(d) | Illiquid Security. An illiquid security is a security that cannot be disposed of within seven days in the ordinary course of business at approximately the amount the fund has valued such security for the purposes of calculating the fund's net asset value. |
(e) | Portfolio holdings information of the Acquired Funds is not available as of June 30, 2011. These positions are therefore grouped into their own industry classification. |
Summary Schedule of Investments
![]() | ![]() | |||
Common Stocks | 75.1 | % | ||
Private Investment Funds | 18.5 | % | ||
Short-Term Investments | 4.9 | % | ||
Total Investments | 98.5 | % | ||
Other Assets In Excess of Liabilities | 1.5 | % | ||
Net Assets | 100.0 | % |
Financial Futures Contracts
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Number of Contracts | Type | Initial Notional Value/(Proceeds) | Notional Value at June 30, 2011 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long Financial Futures Contracts | ||||||||||||||||
Equity-Related | ||||||||||||||||
92 | September 2011 S&P 500 Index | $ | 29,269,397 | $ | 30,256,500 | $ | 987,103 | |||||||||
30 | September 2011 S&P 500 e-Mini Index | 1,902,174 | 1,973,250 | 71,076 | ||||||||||||
1,058,179 | ||||||||||||||||
Short Financial Futures Contracts | ||||||||||||||||
Equity-Related | ||||||||||||||||
41 | September 2011 Russell 2000 Mini Index | (3,194,477 | ) | (3,384,140 | ) | (189,663 | ) | |||||||||
210 | September 2011 S&P Midcap 400 e-Mini Index | (19,628,570 | ) | (20,506,500 | ) | (877,930 | ) | |||||||||
(1,067,593 | ) | |||||||||||||||
$ | (9,414 | ) |
52
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, 2011. See Note 3, Derivatives and Other Financial Instruments, for qualitative disclosures. These derivatives are not accounted for as hedging instruments. 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, 2011, grouped by contract type and risk exposure category.
![]() | ![]() | ![]() | ![]() | ||||||||||
Derivative Type | Balance Sheet Location | Equity Risk | Total | ||||||||||
Asset Derivatives | |||||||||||||
Futures Contracts | Variation Margin* | $ | 1,058,179 | $ | 1,058,179 | ||||||||
Total Value – Assets | $ | 1,058,179 | $ | 1,058,179 | |||||||||
Liability Derivatives | |||||||||||||
Futures Contracts | Variation Margin* | $ | (1,067,593 | ) | $ | (1,067,593 | ) | ||||||
Total Value – Liabilities | $ | (1,067,593 | ) | $ | (1,067,593 | ) |
* | 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 period ended June 30, 2011, grouped by contract type and risk exposure category.
![]() | ![]() | ![]() | ![]() | ||||||||||
Derivative Type | Income Statement Location | Equity Risk | Total | ||||||||||
Realized Gain (Loss) | |||||||||||||
Futures Contracts | Net realized gain (loss) from Financial futures contracts | $ | 685,970 | $ | 685,970 | ||||||||
Total Realized Gain (Loss) | $ | 685,970 | $ | 685,970 |
The following table lists the change in unrealized appreciation (depreciation) included in net increase in net assets resulting from operations for the period ended June 30, 2011, grouped by contract type and risk exposure category.
![]() | ![]() | ![]() | ![]() | ||||||||||
Derivative Type | Income Statement Location | Equity Risk | Total | ||||||||||
Change in Appreciation (Depreciation) | |||||||||||||
Futures Contracts | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | $ | (179,731 | ) | $ | (179,731 | ) | ||||||
Total Change in Appreciation (Depreciation) | $ | (179,731 | ) | $ | (179,731 | ) |
See accompanying Notes to Financial Statements.
53
Statement of Assets and Liabilities (unaudited) |
![]() | ![]() | |||
June 30, 2011 | ||||
Assets | ||||
Investments in securities, at value (cost: $75,925,078) | $ | 103,303,817 | ||
Repurchase agreements (cost: $5,400,547) | 5,400,547 | |||
Deposits with brokers for futures | 1,595,000 | |||
Receivables: | ||||
Investment securities sold | 523,199 | |||
Dividends and tax reclaims | 67,180 | |||
Due from broker for futures variation margin | 134,350 | |||
Other assets | 29,487 | |||
Total Assets | 111,053,580 | |||
Liabilities | ||||
Payables: | ||||
Investment securities purchased | 617,124 | |||
Accrued expenses and other liabilities | 79,708 | |||
Distributions | 16,686 | |||
Investment advisory fees | 13,309 | |||
Total Liabilities | 726,827 | |||
Net Assets | $ | 110,326,753 | ||
Shares Outstanding (500,000,000 authorized shares, par value $0.001) | 8,164,654 | |||
Net Asset Value Per Share | $ | 13.51 | ||
Net Assets Consist of: | ||||
Capital stock | $ | 112,954,883 | ||
Distributions in excess of net investment income | (2,401,108 | ) | ||
Accumulated net realized loss on investments | (27,596,353 | ) | ||
Net unrealized appreciation on investments and foreign currencies | 27,369,331 | |||
$ | 110,326,753 |
See accompanying Notes to Financial Statements.
54
Statement of Operations (unaudited) |
![]() | ![]() | |||
Six Months Ended June 30, 2011 | ||||
Investment Income | ||||
Interest | $ | 2,549 | ||
Dividends (net of foreign withholding taxes of $106) | 498,520 | |||
Total Investment Income | 501,069 | |||
Expenses | ||||
Investment advisory fees | 85,278 | |||
Money manager fees | 119,681 | |||
Fund administration fees | 50,947 | |||
Professional fees | 40,831 | |||
Administrative fees | 11,370 | |||
Chief compliance officer fees | 2,568 | |||
Registration and filing fees | 13,021 | |||
Insurance | 1,074 | |||
Director fees | 753 | |||
Miscellaneous fees and other | 2,196 | |||
Total Expenses | 327,719 | |||
Net Investment Income | 173,350 | |||
Net Realized Gain (Loss) from: | ||||
Investments | 7,547,655 | |||
Financial futures contracts | 685,970 | |||
Forward currency contracts and foreign currency-related transactions | 49 | |||
Net Realized Gain | 8,233,674 | |||
Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies | 300,850 | |||
Net Realized and Unrealized Gain on Investments and Foreign Currencies | 8,534,524 | |||
Net Increase in Net Assets Resulting from Operations | $ | 8,707,874 |
See accompanying Notes to Financial Statements.
55
Statements of Changes in Net Assets |
![]() | ![]() | ![]() | ||||||
Six Months Ended 6/30/2011 (Unaudited) | Year Ended 12/31/2010 | |||||||
Increase in Net Assets From Operations | ||||||||
Net investment income | $ | 173,350 | $ | 393,023 | ||||
Net realized gain (loss) on investments and foreign currencies | 8,233,674 | 4,826,063 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 300,850 | 10,331,039 | ||||||
Net Increase in Net Assets Resulting from Operations | 8,707,874 | 15,550,125 | ||||||
Distributions | ||||||||
From net investment income | (178,624 | ) | (592,092 | ) | ||||
Decrease in Net Assets Resulting from Distributions | (178,624 | ) | (592,092 | ) | ||||
Capital Share Transactions | ||||||||
Proceeds from shares sold | 109,582 | 3,074,180 | ||||||
Proceeds from distributions reinvested | 152,380 | 510,637 | ||||||
Entry/exit fees | 30,085 | 68,673 | ||||||
Cost of shares redeemed | (11,924,014 | ) | (23,081,785 | ) | ||||
Net Decrease From Capital Share Transactions | (11,631,967 | ) | (19,428,295 | ) | ||||
Total Decrease in Net Assets | (3,102,717 | ) | (4,470,262 | ) | ||||
Net Assets | ||||||||
Beginning of period | 113,429,470 | 117,899,732 | ||||||
End of period | $ | 110,326,753 | $ | 113,429,470 | ||||
Including distributions in excess of net investment income | $ | (2,401,108 | ) | $ | (2,395,834 | ) | ||
Capital Share Transactions (in shares) | ||||||||
Shares sold | 8,433 | 282,910 | ||||||
Shares reinvested | 11,290 | 44,462 | ||||||
Shares redeemed | (878,903 | ) | (1,997,804 | ) | ||||
Net Decrease | (859,180 | ) | (1,670,432 | ) |
See accompanying Notes to Financial Statements.
56
Statement of Cash Flows (unaudited) |
![]() | ![]() | |||
Six Months Ended June 30, 2011 | ||||
Cash flows provided by (used in) operating activities | ||||
Net increase (decrease) in net assets resulting from operations | $ | 8,707,874 | ||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||
Investments purchased | (20,246,153 | ) | ||
Investments sold | 30,036,521 | |||
(Purchase)/Sale of short term investments, net | 2,918,875 | |||
Increase in deposits with brokers for futures | (1,595,000 | ) | ||
Decrease in dividends and tax reclaims receivable | 5,899 | |||
Decrease in variation margin receivable on financial futures contracts | 35,420 | |||
Decrease in accrued expenses and other liabilities | (26,017 | ) | ||
Decrease in investment advisory fees payable | (1,208 | ) | ||
Net realized (gain) loss from investments | (7,547,655 | ) | ||
Net change in unrealized (appreciation) depreciation on investments | (480,609 | ) | ||
Net cash provided by (used in) operating activities | 11,807,947 | |||
Cash flows provided by (used in) financing activities | ||||
Proceeds from shares sold | 109,857 | |||
Payment on shares redeemed | (11,894,204 | ) | ||
Cash distributions paid | (23,600 | ) | ||
Net cash provided by (used in) financing activities | (11,807,947 | ) | ||
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 distributions of: | $ | 152,380 |
See accompanying Notes to Financial Statements.
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![[GRAPHIC MISSING]](https://capedge.com/proxy/N-CSRS/0001144204-11-050906/logo_tiff-watermark.jpg)
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Fund Expenses (unaudited) |
As a shareholder of a fund, you incur two types of costs: (1) transaction 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, 2011 to June 30, 2011.
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 transactional 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 1/1/11 | Ending Account Value 6/30/11 | Expense Paid During the Period* 1/1/11 – 6/30/11 | ||||||||||
1) Actual | $ | 1,000.00 | $ | 1,001.00 | $ | 0.89 | ||||||
2) Hypothetical | $ | 1,000.00 | $ | 1,023.90 | $ | 0.90 |
* | Expenses are equal to the fund’s annualized expense ratio of 0.18% (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). |
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Financial Highlights |
![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||||||||
Six Months Ended 6/30/11 (Unaudited) | Year Ended 12/31/10 | Year Ended 12/31/09 | Year Ended 12/31/08 | Year Ended 12/31/07 | Year Ended 12/31/06 | |||||||||||||||||||
For a share outstanding throughout each period | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.90 | $ | 9.90 | $ | 9.89 | $ | 9.78 | $ | 9.74 | $ | 9.76 | ||||||||||||
Income (loss) from investment operations | ||||||||||||||||||||||||
Net investment income (loss) | (0.00 | )(a) | 0.00 | (a) | 0.01 | 0.18 | 0.44 | 0.47 | ||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.01 | 0.00 | (a) | 0.01 | 0.11 | 0.04 | (0.02 | ) | ||||||||||||||||
Total from investment operations | 0.01 | 0.00 | 0.02 | 0.29 | 0.48 | 0.45 | ||||||||||||||||||
Less distributions from | ||||||||||||||||||||||||
Net investment income | — | (0.00 | )(a) | (0.01 | ) | (0.18 | ) | (0.44 | ) | (0.47 | ) | |||||||||||||
Net asset value, end of period | $ | 9.91 | $ | 9.90 | $ | 9.90 | $ | 9.89 | $ | 9.78 | $ | 9.74 | ||||||||||||
Total return (b) | 0.10 | %(c) | 0.03 | % | 0.24 | % | 2.97 | % | 5.03 | % | 4.72 | % | ||||||||||||
Ratios/supplemental data | ||||||||||||||||||||||||
Net assets, end of period (000s) | $ | 144,388 | $ | 208,986 | $ | 239,425 | $ | 219,820 | $ | 159,546 | $ | 99,244 | ||||||||||||
Ratio of expenses to average net assets | 0.18 | %(d) | 0.16 | % | 0.17 | % | 0.20 | % | 0.21 | % | 0.19 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (0.02 | )%(d) | 0.01 | % | 0.14 | % | 1.75 | % | 4.53 | % | 4.64 | % | ||||||||||||
Portfolio turnover (e) | — | — | — | — | — | — |
(a) | Rounds to less than $0.01. |
(b) | Total return assumes dividend reinvestment. |
(c) | Not annualized. |
(d) | Annualized. |
(e) | Because the fund holds primarily securities with maturities at the time of acquisition of one year or less, and such securities are excluded from the definition of portfolio turnover, the fund's portfolio turnover rate was 0% of the average value of its portfolio. |
See accompanying Notes to Financial Statements.
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![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||
Investments — 101.0% of net assets | ||||||||||||||||
Short-Term Investments — 101.0% | ||||||||||||||||
Repurchase Agreement — 2.0% | ||||||||||||||||
State Street Bank & Trust Co. Repurchase Agreement issued on 06/30/11 (proceeds at maturity $2,946,869) (collateralized by a US Treasury Bill, due 07/21/11 with a principal value of $1,805,000 and a market value of $1,804,989 and a US Treasury Note, due 4/30/12 with a principal value of $1,195,000 and a market value of $1,204,916) | ||||||||||||||||
(Cost $2,946,868) | 0.010% | 07/01/11 | $ | 2,946,868 | $ | 2,946,868 | ||||||||||
US Treasury Bills — 99.0% | ||||||||||||||||
US Treasury Bill (a) | 09/15/11 | 2,000,000 | 1,999,916 | |||||||||||||
US Treasury Bill (a) | 09/29/11 | 3,000,000 | 2,999,850 | |||||||||||||
US Treasury Bill (a) | 10/27/11 | 20,000,000 | 19,997,580 | |||||||||||||
US Treasury Bill (a) | 11/25/11 | 46,000,000 | 45,986,476 | |||||||||||||
US Treasury Bill (a) | 12/29/11 | 72,000,000 | 71,964,627 | |||||||||||||
Total US Treasury Bills – 99.0% (Cost $142,934,624) | 142,948,449 | |||||||||||||||
Total Short-Term Investments (Cost $145,881,492) | 145,895,317 | |||||||||||||||
Total Investments – 101.0% (Cost $145,881,492) | 145,895,317 | |||||||||||||||
Liabilities in Excess of Other Assets – (1.0%) | (1,506,915 | ) | ||||||||||||||
Net Assets – 100.0% | $ | 144,388,402 |
(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.
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Statement of Assets and Liabilities (unaudited) |
![]() | ![]() | |||
June 30, 2011 | ||||
Assets | ||||
Investments in securities, at value (cost: $142,934,624) | $ | 142,948,449 | ||
Repurchase agreements (cost: $2,946,868) | 2,946,868 | |||
Receivables: | ||||
Investment securities sold | 28,998,337 | |||
Capital stock sold | 2,869,421 | |||
Total Assets | 177,763,075 | |||
Liabilities | ||||
Payables: | ||||
Investment securities purchased | 20,989,464 | |||
Capital stock redeemed | 12,326,186 | |||
Accrued expenses and other liabilities | 55,227 | |||
Investment advisory fees | 3,796 | |||
Total Liabilities | 33,374,673 | |||
Net Assets | $ | 144,388,402 | ||
Shares Outstanding (500,000,000 authorized shares, par value $0.001) | 14,574,736 | |||
Net Asset Value Per Share | $ | 9.91 | ||
Net Assets Consist of: | ||||
Capital stock | $ | 144,672,979 | ||
Accumulated net investment loss | (14,819 | ) | ||
Accumulated net realized loss on investments | (283,583 | ) | ||
Net unrealized appreciation on investments | 13,825 | |||
$ | 144,388,402 |
See accompanying Notes to Financial Statements.
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Statement of Operations (unaudited) |
![]() | ![]() | |||
Six Months Ended June 30, 2011 | ||||
Investment Income | ||||
Interest | $ | 157,209 | ||
Total Investment Income | 157,209 | |||
Expenses | ||||
Investment advisory fees | 28,073 | |||
Fund administration fees | 77,154 | |||
Professional fees | 29,783 | |||
Administrative fees | 9,358 | |||
Chief compliance officer fees | 4,283 | |||
Registration and filing fees | 16,619 | |||
Insurance | 2,207 | |||
Director fees | 1,276 | |||
Miscellaneous fees and other | 3,275 | |||
Total Expenses | 172,028 | |||
Net Investment Loss | (14,819 | ) | ||
Net Realized Gain (Loss) from: | ||||
Investments | 114,012 | |||
Net Realized Gain | 114,012 | |||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 2,106 | |||
Net Realized and Unrealized Gain on Investments | 116,118 | |||
Net Increase in Net Assets Resulting from Operations | $ | 101,299 |
See accompanying Notes to Financial Statements.
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Statements of Changes in Net Assets |
![]() | ![]() | ![]() | ||||||
Six Months Ended 6/30/2011 (Unaudited) | Year Ended 12/31/2010 | |||||||
Increase in Net Assets From Operations | ||||||||
Net investment income (loss) | $ | (14,819 | ) | $ | 29,237 | |||
Net realized gain (loss) on investments | 114,012 | 107,805 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 2,106 | (825 | ) | |||||
Net Increase in Net Assets Resulting from Operations | 101,299 | 136,217 | ||||||
Distributions | ||||||||
From net investment income | — | (60,704 | ) | |||||
Decrease in Net Assets Resulting from Distributions | — | (60,704 | ) | |||||
Capital Share Transactions | ||||||||
Proceeds from shares sold | 79,051,909 | 151,433,971 | ||||||
Proceeds from distributions reinvested | — | 58,273 | ||||||
Cost of shares redeemed | (143,750,997 | ) | (182,006,506 | ) | ||||
Net Decrease From Capital Share Transactions | (64,699,088 | ) | (30,514,262 | ) | ||||
Total Decrease in Net Assets | (64,597,789 | ) | (30,438,749 | ) | ||||
Net Assets | ||||||||
Beginning of period | 208,986,191 | 239,424,940 | ||||||
End of period | $ | 144,388,402 | $ | 208,986,191 | ||||
Including accumulated net investment income (loss) | $ | (14,819 | ) | $ | — | |||
Capital Share Transactions (in shares) | ||||||||
Shares sold | 7,982,749 | 15,296,361 | ||||||
Shares reinvested | — | 5,886 | ||||||
Shares redeemed | (14,512,239 | ) | (18,384,496 | ) | ||||
Net Decrease | (6,529,490 | ) | (3,082,249 | ) |
See accompanying Notes to Financial Statements.
64
Statement of Cash Flows (unaudited) |
![]() | ![]() | |||
Six Months Ended June 30, 2011 | ||||
Cash flows provided by (used in) operating activities | ||||
Net increase (decrease) in net assets resulting from operations | $ | 101,299 | ||
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 | 55,140,220 | |||
Decrease in accrued expenses and other liabilities | (2,871 | ) | ||
Decrease in investment advisory fees payable | (1,473 | ) | ||
Net realized (gain) loss from investments | (114,012 | ) | ||
Net change in unrealized (appreciation) depreciation on investments | (2,106 | ) | ||
Net cash provided by (used in) operating activities | 55,121,057 | |||
Cash flows provided by (used in) financing activities | ||||
Proceeds from shares sold | 76,303,754 | |||
Payment on shares redeemed | (131,424,811 | ) | ||
Cash distributions paid | — | |||
Net cash provided by (used in) financing activities | (55,121,057 | ) | ||
Net increase (decrease) in cash | — | |||
Cash at beginning of period | — | |||
Cash at end of period | $ | — |
See accompanying Notes to Financial Statements.
65
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 (“GAAP”) 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 or traded on the National Association of Securities Dealers National Market System (“NASDAQ”) for which market quotations are readily available are valued at their last quoted sales price on the principal exchange on which they are traded or at the NASDAQ official closing price, respectively, 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, which consider such factors as security prices, yields, maturities, and ratings, and are deemed representative of market values at the close of the market. Over-the-counter (“OTC”) stocks not quoted on NASDAQ and foreign stocks that are traded over-the-counter are normally valued at prices supplied by independent pricing services if those prices are deemed representative of market values at the close of the first session of the New York Stock Exchange. 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 OTC 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 futures 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 OTC 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
66
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.
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.
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. A three-tier hierarchy is utilized 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)
67
The following is a summary of the inputs used as of June 30, 2011 in valuing the funds’ investments carried at fair value:
![]() | ![]() | ![]() | ![]() | ![]() | |||||||||||||
Multi-Asset Fund | |||||||||||||||||
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | |||||||||||||||||
Common Stocks* | $ | 917,189,379 | $ | 803,266,391 | $ | — | $ | 1,720,455,770 | |||||||||
Convertible Bonds | — | 4,048,899 | — | 4,048,899 | |||||||||||||
Subordinated Convertible Notes | — | 162,417 | — | 162,417 | |||||||||||||
Corporate Bonds | — | 76,986,925 | — | 76,986,925 | |||||||||||||
Asset-Backed Securities | — | 23,064,700 | — | 23,064,700 | |||||||||||||
Mortgage-Backed Securities | — | 72,249,680 | — | 72,249,680 | |||||||||||||
Bank Loans | — | 1,273,341 | — | 1,273,341 | |||||||||||||
US Treasury Notes/Bonds | 603,692,093 | — | — | 603,692,093 | |||||||||||||
Exchange-Traded Funds and Mutual Funds | 103,620,499 | — | — | 103,620,499 | |||||||||||||
Private Investment Funds | — | — | 543,495,632 | 543,495,632 | |||||||||||||
Preferred Stocks | 5,558,705 | 3,529,950 | — | 9,088,655 | |||||||||||||
Warrants | — | 1,962,676 | — | 1,962,676 | |||||||||||||
Short-Term Investments | 1,293,431,505 | — | — | 1,293,431,505 | |||||||||||||
Total Investments in Securities | 2,923,492,181 | 986,544,979 | 543,495,632 | 4,453,532,792 | |||||||||||||
Financial Futures Contracts – Interest Rate Risk | 92,112 | — | — | 92,112 | |||||||||||||
Financial Futures Contracts – Foreign Currency Risk | 647,891 | — | — | 647,891 | |||||||||||||
Financial Futures Contracts – Equity Risk | 4,052,029 | — | — | 4,052,029 | |||||||||||||
Swap Contracts – Equity Risk | — | 3,059,692 | — | 3,059,692 | |||||||||||||
Total Other Financial Instruments | 4,792,032 | 3,059,692 | — | 7,851,724 | |||||||||||||
Total Assets | $ | 2,928,284,213 | $ | 989,604,671 | $ | 543,495,632 | $ | 4,461,384,516 | |||||||||
Liabilities | |||||||||||||||||
Common Stocks Sold Short* | $ | (52,476,051 | ) | $ | (1,917,143 | ) | $ | — | $ | (54,393,194 | ) | ||||||
Total Securities Sold Short | (52,476,051 | ) | (1,917,143 | ) | — | (54,393,194 | ) | ||||||||||
Financial Futures Contracts – Interest Rate Risk | (843,031 | ) | — | — | (843,031 | ) | |||||||||||
Financial Futures Contracts – Foreign Currency Risk | (1,168,185 | ) | — | — | (1,168,185 | ) | |||||||||||
Financial Futures Contracts – Equity Risk | (228,392 | ) | — | — | (228,392 | ) | |||||||||||
Forward Currency Contracts – Foreign Currency Risk | (54,548 | ) | — | — | (54,548 | ) | |||||||||||
Swap Contracts – Equity Risk | — | (1,837,199 | ) | — | (1,837,199 | ) | |||||||||||
Total Other Financial Instruments | (2,294,156 | ) | (1,837,199 | ) | — | (4,131,355 | ) | ||||||||||
Total Liabilities | $ | (54,770,207 | ) | $ | (3,754,342 | ) | $ | — | $ | (58,524,549 | ) |
* | Securities categorized as Level 2 include listed foreign equities whose value has been adjusted with factors to reflect changes to foreign markets after market close. |
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![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
International Equity Fund | ||||||||||||||||
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
Common Stocks* | $ | 12,957,886 | $ | 144,534,586 | $ | — | $ | 157,492,472 | ||||||||
Private Investment Funds | — | — | 26,484,718 | 26,484,718 | ||||||||||||
Preferred Stocks | — | 1,511,532 | — | 1,511,532 | ||||||||||||
Warrants | — | 712 | — | 712 | ||||||||||||
Short-Term Investments | 16,769,447 | — | — | 16,769,447 | ||||||||||||
Total Investments in Securities | 29,727,333 | 146,046,830 | 26,484,718 | 202,258,881 | ||||||||||||
Financial Futures Contracts – Foreign Currency Risk | 150,028 | — | — | 150,028 | ||||||||||||
Financial Futures Contracts – Equity Risk | 675,401 | — | — | 675,401 | ||||||||||||
Swap Contracts – Equity Risk | — | 298,969 | — | 298,969 | ||||||||||||
Total Other Financial Instruments | 825,429 | 298,969 | — | 1,124,398 | ||||||||||||
Total Assets | $ | 30,552,762 | $ | 146,345,799 | $ | 26,484,718 | $ | 203,383,279 | ||||||||
Liabilities | ||||||||||||||||
Financial Futures Contracts – Foreign Currency Risk | $ | (25,895 | ) | $ | — | $ | — | $ | (25,895 | ) | ||||||
Forward Currency Contracts – Foreign Currency Risk | (15,315 | ) | — | — | (15,315 | ) | ||||||||||
Swap Contracts – Equity Risk | — | (327,319 | ) | — | (327,319 | ) | ||||||||||
Total Other Financial Instruments | (41,210 | ) | (327,319 | ) | — | (368,529 | ) | |||||||||
Total Liabilities | $ | (41,210 | ) | $ | (327,319 | ) | $ | — | $ | (368,529 | ) |
* | Securities categorized as Level 2 include listed foreign equities whose value has been adjusted with factors to reflect changes to foreign markets after market close. |
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US Equity Fund | ||||||||||||||||
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
Common Stocks | $ | 82,895,440 | $ | 334 | $ | — | $ | 82,895,774 | ||||||||
Private Investment Funds | — | — | 20,408,043 | 20,408,043 | ||||||||||||
Short-Term Investments | 5,400,547 | — | — | 5,400,547 | ||||||||||||
Total Investments in Securities | 88,295,987 | 334 | 20,408,043 | 108,704,364 | ||||||||||||
Financial Futures Contracts – Equity Risk | 1,058,179 | — | — | 1,058,179 | ||||||||||||
Total Other Financial Instruments | 1,058,179 | — | — | 1,058,179 | ||||||||||||
Total Assets | $ | 89,354,166 | $ | 334 | $ | 20,408,043 | $ | 109,762,543 | ||||||||
Liabilities | ||||||||||||||||
Financial Futures Contracts – Equity Risk | $ | (1,067,593 | ) | $ | — | $ | — | $ | (1,067,593 | ) | ||||||
Total Other Financial Instruments | (1,067,593 | ) | — | — | (1,067,593 | ) | ||||||||||
Total Liabilities | $ | (1,067,593 | ) | $ | — | $ | — | $ | (1,067,593 | ) |
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Short-Term Fund | ||||||||||||||||
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
$ | 145,895,317 | $ | — | $ | — | $ | 145,895,317 | |||||||||
Total Investments in Securities | 145,895,317 | — | — | 145,895,317 | ||||||||||||
Total Assets | $ | 145,895,317 | $ | — | $ | — | $ | 145,895,317 |
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The funds recognize transfers into and transfers out of the valuation levels at the beginning of the reporting period. The funds had no significant transfers in or out of Level 1 and Level 2 of the fair value hierarchy during the period ended June 30, 2011.
The following is a reconciliation of investments in securities for which significant unobservable inputs (Level 3) were used in determining value:
Multi-Asset Fund
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Investments in Securities | Balance as of December 31, 2010 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Net Transfers into Level 3 | Net Transfers out of Level 3 | Balance as of June 30, 2011 | Net Change in Unrealized Appreciation (Depreciation) from Investments still held as of 6/30/11 for the period ended 6/30/11 | ||||||||||||||||||||||||||||||
Common Stocks* | $ | — | $ | — | $ | (141,738 | ) | $ | 141,689 | $ | — | $ | — | $ | 49** | $ | — | $ | — | $ | (49 | ) | ||||||||||||||||||
Private Investment Funds | 498,091,196 | — | — | 5,404,436 | 46,000,903 | (6,000,903 | ) | — | — | 543,495,632 | 5,404,436 | |||||||||||||||||||||||||||||
Corporate Bonds* | — | 40,708 | — | (40,708 | ) | — | — | — | — | — | (40,708 | ) | ||||||||||||||||||||||||||||
Total | $ | 498,091,196 | $ | 40,708 | $ | (141,738 | ) | $ | 5,505,417 | $ | 46,000,903 | $ | (6,000,903 | ) | $ | 49** | $ | — | $ | 543,495,632 | $ | 5,363,679 |
* | There are Common Stocks and Corporate Bonds categorized as Level 3 that have a market value of zero. |
** | Financial assets transferred between Level 2 and Level 3 were due to a change in observable and/or unobservable inputs. |
International Equity Fund
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Investments in Securities | Balance as of December 31, 2010 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Net Transfers into Level 3 | Net Transfers out of Level 3 | Balance as of June 30, 2011 | Net Change in Unrealized Appreciation (Depreciation) from Investments still held as of 6/30/11 for the period ended 6/30/11 | |||||||||||||||||||||||||||
Common Stocks* | $ | — | $ | (36,596 | ) | $ | 36,596 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||
Private Investment Funds | 27,799,306 | — | (1,314,588 | ) | — | — | — | — | 26,484,718 | (1,314,588 | ) | |||||||||||||||||||||||||
Total | $ | 27,799,306 | $ | (36,596 | ) | $ | (1,277,992 | ) | $ | — | $ | — | $ | — | $ | — | $ | 26,484,718 | $ | (1,314,588 | ) |
* | There are Common Stocks categorized as Level 3 that have a market value of zero. |
US Equity Fund
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Investments in Securities | Balance as of December 31, 2010 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Net Transfers into Level 3 | Net Transfers out of Level 3 | Balance as of June 30, 2011 | Net Change in Unrealized Appreciation (Depreciation) from Investments still held as of 6/30/11 for the period ended 6/30/11 | |||||||||||||||||||||||||||
Private Investment Funds | $ | 18,955,808 | $ | — | $ | 1,452,235 | $ | — | $ | — | $ | — | $ | — | $ | 20,408,043 | $ | 1,452,235 |
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.
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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 evaluate tax positions taken or expected to be taken in the course of preparing the funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authorities. Tax positions not deemed to meet the more-likely-than-not threshold are recorded as tax benefits or expenses in the current year. Management has analyzed the funds’ tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2007 – December 31, 2010), and has concluded that no provision for federal income tax is required in the funds’ financial statements.
Expenses
Expenses directly attributable to a fund are charged to that fund’s operations; expenses that are applicable to all funds are allocated among them based on their relative average daily net assets.
Dividends to Members
It is the policy of each fund 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.
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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 employ derivative strategies, such as futures, options on futures, buying options, and swaps (including total return and credit default swaps). Derivatives are used for “hedging” when TIFF Advisory Services, Inc. (“TAS”) or a money manager seeks to protect a fund’s investments from a decline in value. Derivative strategies are also used when TAS or a money manager seeks to increase liquidity, implement a 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 TAS or the money manager’s ability to predict and understand relevant market movements. See the Schedules of Investments for quantitative disclosures.
Cover for Strategies Using Derivative Instruments
Transactions using derivative instruments, including 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 segregations of cash or liquid securities unless the fund holds a sufficient amount of cash or liquid securities that can be segregated.
Financial Futures Contracts
During the six-month period ended June 30, 2011, US Equity Fund accessed both long and short exposure to US markets via futures contracts on equity indices. During the same period, Multi-Asset Fund and International Equity Fund accessed both long and short exposure to world markets (ex-US for International Equity Fund) via futures contracts on equity indices. Multi-Asset Fund and International Equity Fund also accessed exposure to world markets (long exposure for Multi-Asset Fund and both long and short ex-US exposure for International Equity Fund) via futures contracts on foreign currencies. Additionally, Multi-Asset Fund used interest rate-related futures contracts to reduce the duration of its portfolio.
Futures contracts involve varying degrees of 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.
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
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the exchange, thereby reducing the risk of counterparty default. Securities designated as collateral for market value on futures contracts are noted in the Schedule of Investments (as applicable).
Swap Contracts
During the six-month period ended June 30, 2011, Multi-Asset Fund used total return swap contracts to increase its exposure to emerging markets and reduce its exposure to global energy stocks. During the same period, International Equity Fund used total return swap contracts to increase its exposure to markets outside the US, including, notably, emerging markets. Rather than incurring the costs associated with reallocating fund assets to or away from money managers or purchasing additional equity securities, the use of total return swap contracts allowed TAS to strategically position the funds’ exposures relative to their respective benchmarks, while maintaining cash liquidity buffers. In addition, Multi-Asset Fund purchased protection via credit default swap contracts to reduce the fund’s overall credit exposure.
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. If the counterparty is obligated to pay the net amount to the fund, the fund is exposed to credit risk in the event of non-performance by the counterparty. 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. Similarly, such payments may be based on the performance of an index. In return the other party makes payments, typically at a spread to a floating rate, calculated based on the notional amount.
Credit Default Swaps. As a “buyer” of protection under a credit default swap agreement, the fund is obligated to pay the “seller” of protection 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.
Options
During the six-month period ended June 30, 2011, Multi-Asset Fund used options contracts to gain exposure to an Egyptian equity security without investing directly through the local securities market.
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 purchases may be traded on a national securities exchange or in the OTC market. All option positions entered into on a national
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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.
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.
Forward Currency Contracts
During the six-month period ended June 30, 2011, Multi-Asset Fund and International Equity Fund entered into forward currency contracts to manage the foreign currency exchange risk to which they are subject in the normal course of pursuing their international 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 in advance of pending transaction settlements.
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 US dollar cost of the original contract and the value of the foreign currency in US 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 Schedule 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.
Short Selling
Multi-Asset Fund sells securities it does not own in anticipation of a decline in the market price of such securities or in order to hedge portfolio positions. The fund generally will borrow the security sold in order to make delivery to the buyer. Upon entering into a short position, the fund records the proceeds as a deposit with broker in its Statement of Assets and Liabilities and establishes an offsetting liability for the securities sold under the short sale agreement. The cash is retained by the fund’s broker as collateral for the short position. The liability is marked to market while it remains open to reflect the current settlement obligation. Until the security is replaced, the fund is required to pay the lender any dividend or interest earned. Such payments are recorded as expenses to the fund. When a closing purchase is entered into by the fund, a gain or loss equal to the difference between the proceeds originally received and the purchase cost is recorded in the Statement of Operations.
In “short selling,” Multi-Asset 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.
Interest Only Securities
Multi-Asset Fund invests in interest only securities (IOs), which entitle the holder to the interest payments in a pool of mortgages, Treasury bonds, or other bonds. With respect to mortgage-backed IOs, 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.
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Bank Loans
Multi-Asset Fund invests in bank loans, which include institutionally-traded floating rate securities generally acquired as an assignment from another holder of, or participation interest in, loans originated by a bank or financial institution (the “Lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. The fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. When investing in a loan participation, the fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the Lender selling the loan agreement and only upon receipt by the Lender of payments from the borrower. The fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the fund may be subject to the credit risk of both the borrower and the Lender that is selling the loan agreement.
4. Investment Advisory Agreement, Money Manager Agreements, and Other Transactions with Affiliates
TIP’s board of directors has approved investment advisory agreements with 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 (a) | International Equity Fund | US Equity Fund | Short-Term Fund | ||||||||||||||||
Prior to June 1, 2011 | Effective June 1, 2011 | |||||||||||||||||||
On the first $500 million | 0.20 | % | 0.25 | % | 0.15 | % | 0.15 | % | 0.03 | % | ||||||||||
On the next $500 million | 0.18 | % | 0.25 | % | 0.13 | % | 0.13 | % | 0.03 | % | ||||||||||
On the next $500 million | 0.15 | % | 0.23 | % | 0.11 | % | 0.11 | % | 0.02 | % | ||||||||||
On the next $500 million | 0.13 | % | 0.23 | % | 0.09 | % | 0.09 | % | 0.02 | % | ||||||||||
On the next $500 million | 0.11 | % | 0.20 | % | 0.07 | % | 0.07 | % | 0.01 | % | ||||||||||
On the next $500 million | 0.09 | % | 0.20 | % | 0.05 | % | 0.05 | % | 0.01 | % | ||||||||||
On the remainder (> $3 billion) | 0.09 | % | 0.18 | % | 0.05 | % | 0.05 | % | 0.01 | % |
(a) | Effective June 1, 2011, the advisory fee paid by Multi-Asset Fund increased as disclosed in the table above. For further information, see the section of this report entitled Approval of the Amended and Restated Advisory Agreement. |
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 or is otherwise based on performance of the money manager’s portfolio. 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, 2011 were as follows:
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Minimum | Maximum | Effective Fee Rate | ||||||||||
Multi-Asset Fund | ||||||||||||
Aronson + Johnson + Ortiz LP (a) | 0.10 | % | 0.80 | % | 0.09 | % | ||||||
Brookfield Investment Management Inc. (a) (b) | 0.50 | % | 2.50 | % | 0.96 | % | ||||||
Marathon Asset Management, LLP (a) (c) | 0.15 | % | — | 1.18 | % | |||||||
Mission Value Partners, LLC (a) (d) | 0.25 | % | 2.00 | % | 1.78 | % | ||||||
Mondrian Investment Partners Limited (d) | 0.30 | % | 0.43 | % | 0.32 | % | ||||||
Shapiro Capital Management LLC (a) | 0.50 | % | 0.95 | % | 0.44 | % | ||||||
Smith Breeden Associates, Inc. (a) | 0.10 | % | 0.85 | % | 0.59 | % | ||||||
Southeastern Asset Management, Inc. (d) | 1.00 | % | 1.00 | % | 1.00 | % | ||||||
Wellington Management Company, LLP-High Yield (d) | 0.35 | % | 0.45 | % | 0.43 | % | ||||||
Wellington Management Company, LLP-Natural Resources (d) | 0.35 | % | 0.45 | % | 0.39 | % | ||||||
Westport Asset Management, Inc. (a) | 0.15 | % | 2.00 | % | 0.37 | % |
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Minimum | Maximum | Effective Fee Rate | ||||||||||
International Equity Fund | ||||||||||||
Marathon Asset Management, LLP (a) | 0.15 | % | 1.60 | % | 0.85 | % | ||||||
Mission Value Partners, LLC (a) (d) | 0.25 | % | 2.00 | % | 1.93 | % | ||||||
Mondrian Investment Partners Limited (d) | 0.33 | % | 0.55 | % | 0.50 | % | ||||||
US Equity Fund | ||||||||||||
Aronson + Johnson + Ortiz LP (a) | 0.10 | % | 0.80 | % | 0.10 | % | ||||||
Shapiro Capital Management LLC (a) | 0.50 | % | 0.95 | % | 0.59 | % | ||||||
Westport Asset Management, Inc. (a) | 0.15 | % | 2.00 | % | 0.16 | % |
(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) | Brookfield Investment Management Inc. (“BIM”) has entered into a sub-advisory agreement with AMP Capital Brookfield (US), LLC (“ACB US”) for the provision of certain services related to Multi-Asset Fund. BIM pays ACB US two-thirds of all fees BIM receives from Multi-Asset Fund. |
(c) | 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, with the midpoint or “fulcrum fee” being 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 the end of the period, Marathon’s compensation entails an asset-based 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. |
(d) | Money manager receives a fee that is based in whole or in part on assets under management, irrespective of performance. For money managers whose fees are based solely on assets under management, the minimum and maximum reflect the last level and the first level, respectively, of the asset-based fee on a fee schedule that includes breakpoints. For Mission Value Partners, whose fee also includes a performance component, the minimum reflects the last level of the asset based fee on a fee schedule that includes breakpoints (the first level on such fee schedule is 1.00%) and the maximum reflects the impact of the performance component of the fee schedule. |
With respect to the funds’ investments in other registered investment companies, private investment funds, exchange-traded funds, and other acquired funds, 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 an employee of TAS as its Chief Compliance Officer (“CCO”). For these services to TIP, which include the monitoring of TIP’s compliance program pursuant to Rule 38a-1 under the 1940 Act, TIP reimburses TAS. 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. Fees paid for non-core services rendered by State Street include, but are not limited to, foreign custody and transactional fees, which are based upon assets of TIP and/or on transactions entered into by TIP during the period, and out-of-pocket expenses. Fees for such services paid to State Street by TIP are reflected as fund administration fees on the Statement of Operations.
TAS provides certain administrative services 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. Fees for such services paid to TAS by TIP are reflected as administrative fees on the Statement of Operations.
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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, 2011 were as follows:
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Non-US Government Securities | ||||||||
Fund | Purchases | Sales | ||||||
Multi-Asset | $ | 596,642,064 | $ | 522,588,050 | ||||
International Equity | 15,106,142 | 23,024,429 | ||||||
US Equity | 20,854,019 | 30,417,442 |
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US Government Securities | ||||||||
Fund | Purchases | Sales | ||||||
Multi-Asset | $ | 95,836,517 | $ | 93,115,465 |
6. Federal Tax Information
For federal income tax purposes, the cost of investments owned at June 30, 2011, has been estimated since the final tax characteristic cannot be determined until fiscal year end. The cost of investments, the aggregate gross unrealized appreciation (depreciation) and the net unrealized appreciation (depreciation) on investment securities, other than proceeds from securities sold short, at June 30, 2011, for each fund are as follows:
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Fund | Gross Appreciation | Gross Depreciation | Net Unrealized Appreciation/ (Depreciation) | Cost | ||||||||||||
Multi-Asset | $ | 612,448,794 | $ | (301,070,259 | ) | $ | 311,378,535 | $ | 4,142,154,257 | |||||||
International Equity | 38,517,708 | (23,880,812 | ) | 14,636,896 | 187,621,985 | |||||||||||
US Equity | 29,741,188 | (10,499,516 | ) | 19,241,672 | 89,462,692 | |||||||||||
Short-Term | 13,825 | — | 13,825 | 145,881,492 |
The difference between the tax cost of investments and the cost of investments for U.S. GAAP purposes is primarily due to the tax treatment of wash sale losses, income/losses from underlying partnerships, distributions from real estate investment trusts, and mark-to-market of investments in passive foreign investment companies.
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. GAAP. 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, 2011.
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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, 2011 were as follows:
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Description | Face Value | |||
Multi-Asset Fund | ||||
JP Morgan Chase & Co., 0.20%, dated 06/28/2011, to be repurchased on 07/05/2011 at $106,742,401 | $ | 106,738,250 |
For the six-month period ended June 30, 2011, the average balance outstanding was $110,771,013 and the average interest rate was 0.25%.
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. 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 (redemption) fees on subscriptions or redemptions, respectively. While there are no sales commissions (loads) or 12b-1 fees, Multi-Asset Fund assesses entry and exit fees of 0.50% of capital invested or redeemed; International Equity Fund assesses entry and exit fees of 0.75%; and 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 to the members actually making such transactions, rather than the funds’ other members. 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.
Multi-Asset Fund enters into “TBA” (to be announced) purchase commitments to purchase mortgage-backed securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However, the principal amount delivered will not differ more than 0.01% from the commitment. TBA purchase commitments may be considered securities in themselves and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the funds’ other assets. 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.
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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.
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.
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.
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.
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, 2011.
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Fund | Number | % of Fund Held | ||||||
International Equity | 1 | (a) | 54 | |||||
US Equity | 1 | 29 |
(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.
13. Subsequent Events
The TIP Board of directors has approved a proposal intended to result in the complete liquidation of International Equity Fund and US Equity Fund. Work related to this matter is ongoing.
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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.
Member Meeting
A special meeting of members of the Multi-Asset Fund was held on May 23, 2011. At the meeting, the following matter was voted on and approved by the members. The results of the special meeting of members are noted below.
Proposal 1
Approve an Amended and Restated Advisory Agreement between TIFF Investment Program, Inc., on behalf of Multi-Asset Fund, and TIFF Advisory Services, Inc.
Number of Votes* Voted:
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For | Against | Abstain | Broker Non-Votes | |||||||||
2,542,131,905.31 | 180,582,568.66 | 7,707,499.49 | 0 |
* | Members of Multi-Asset Fund were entitled to one vote for each dollar, and a proportionate fraction of a vote for each fraction of a dollar, of the net asset value per share of each share of common stock of the Fund. |
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During an in-person meeting held on March 21, 2011, the board of directors of TIP, all of whom are not “interested persons” of TIP (the “Board” or “directors”), as that term is defined in the Investment Company Act of 1940 (the “1940 Act”), evaluated and approved an amended and restated investment advisory agreement between TIFF Multi-Asset Fund (“Multi-Asset Fund” or the “Fund”) and TIFF Advisory Services, Inc. (“TAS”), the advisor to the fund (the “New Advisory Agreement”), effective June 1, 2011, subject to approval by Multi-Asset Fund members. The New Advisory Agreement, which was approved by Multi-Asset Fund members at a meeting held on May 23, 2011, provided for an increase in the advisory fee paid by Multi-Asset Fund to TAS for its services.
The Board requested and received information from TAS in advance of the meeting, which information the Board reviewed separately in executive session with its independent counsel. The materials provided included information regarding personnel and services, investment strategies, portfolio management, fees and expenses, performance, and TAS’s profitability. Information about brokerage and commission practices was also supplied, including allocation methodologies, best execution, and soft dollar programs. Extensive information with respect to compliance, administration, and risk management was supplied, such as information on TAS’s compliance programs, including its code of ethics and business continuity procedures, as well as information concerning any material violations of such programs, chief compliance officer background, disclosure about regulatory examinations or other inquiries, and confirmation that there were no litigation proceedings affecting TAS.
In addition, the Board considered (1) a memorandum from the Board’s independent counsel setting forth the Board’s fiduciary duties and responsibilities under the 1940 Act and the factors the Board should consider in its evaluation of the New Advisory Agreement; (2) a memorandum from TAS requesting that the Board consider the fee increase and describing TAS’s reasons for the request; (3) responses by TAS to a questionnaire prepared by the Board’s independent counsel requesting information necessary for the Board to evaluate the New Advisory Agreement; (4) two reports prepared by Keil Fiduciary Strategies (“KFS”), a firm that had been retained by the TIP Board to assist it in its evaluation of the proposed fee increase; (5) a profile for TAS detailing the lead portfolio manager for Multi-Asset Fund, the current and proposed fee schedules, and the fees paid to TAS and expected to be paid to TAS under the current and proposed fee schedules, respectively; (6) information provided by TAS comparing the fees charged to Multi-Asset Fund with those charged to comparable clients of TAS; (7) an estimated cost allocation of actual 2010 expenses prepared by TAS, and other information relevant to the Board’s evaluation of the reasonability of the proposed fee schedule and its expected impact on TAS’s profitability, including audited financial statements of TAS for the year ended December 31, 2009, a profit and loss summary for the year ended December 31, 2010, and TAS’s unaudited balance sheet as of December 31, 2010.
The Board was joined telephonically for a portion of its executive session by Jeff Keil, principal of KFS, who commented on the written reports KFS had provided to the Board in advance of the meeting. In addition, at the request of the Board, certain members of TAS management joined a portion of the executive session to enable the Board to ask questions and request additional information from TAS, after which TAS management was excused from the executive session. In its deliberations with respect to the proposed fee schedule and the New Advisory Agreement, the Board was advised by its independent legal counsel and weighed the matters before it in light of the advice provided by such counsel as to the law applicable to the review of investment advisory contracts. After consideration of the proposal and all factors deemed relevant, the Board concluded that the New Advisory Agreement was reasonable, fair, and in the best interests of Multi-Asset Fund and its members, and that the fees provided in the New Advisory Agreement were fair and reasonable. Therefore, the Board voted to approve the New Advisory Agreement for Multi-Asset Fund, to submit the New Advisory Agreement to Multi-Asset Fund’s members for approval, and to recommend that Multi-Asset Fund’s members vote in favor of the proposal.
The Board based its evaluation of the New Advisory Agreement and the proposed fee schedule on the material factors presented to it at the meeting, including (1) the terms of the New Advisory Agreement; (2) the reasonableness of the proposed fee schedule in light of the nature and quality of the services provided and any additional benefits received by TAS in connection with providing services to the Fund; (3) the nature, quality, and extent of the services performed by TAS, as well as the cost to TAS of providing the services; (4) the fees charged by TAS to Multi-Asset Fund and other similar clients; and (5) the overall organization and experience of TAS. In reaching its conclusion to approve the New Advisory Agreement, 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.
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Nature, Extent, and Quality of Services
The Board considered a number of factors in evaluating TAS. It noted that it receives information at regular meetings throughout the year related to the services rendered by TAS, as well as Multi-Asset Fund’s performance, expense, and compliance information. It also noted that it receives information between regular meetings as the need arises. The Board’s evaluation of the services provided by TAS 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 Multi-Asset Fund’s assets across asset classes and managers, managing certain types of assets in-house (e.g., Treasuries, futures contracts, and derivatives), and its compliance responsibilities. The Board noted that, over time, TAS expected to add investment personnel to the team that manages and supports the Fund. The Board also noted the nature and quality of services that TAS provides pursuant to a separate Services Agreement, for which TAS is separately compensated. The Board concluded that, overall, it was satisfied with the nature, extent, and quality of services provided under the existing investment advisory agreement for Multi-Asset Fund and the Services Agreement, noting that the same or a similar level of services was expected to be provided under the New Advisory Agreement.
Investment Performance of the Fund
The Board reviewed Multi-Asset Fund’s investment performance versus its benchmarks, including the Consumer Price Index (“CPI”) + 5% per annum; the Multi-Asset Fund Constructed Index (“CI”), based on the normal allocation to each asset class; and the Morgan Stanley Capital International All Country World Index, for the one-year, three-year, five-year, ten-year, and since inception periods ended December 31, 2010. The Fund’s average annualized total returns (before the deduction of entry and exit fees levied on member purchases and redemptions) exceeded those of the benchmarks for all periods, except the three-year period. The Board also reviewed Multi-Asset Fund’s investment performance versus the average of the funds in Lipper Inc.’s Global Flexible Portfolio category for the one-year, three-year, five-year, and ten-year periods ended December 31, 2010, noting that the Fund’s returns exceeded those of the Lipper peer group for each of the time periods reviewed. The Board also considered Multi-Asset Fund’s performance relative to certain other multi-asset or asset allocation mutual funds selected by TAS over various time periods. Multi-Asset Fund’s performance compared favorably to such other funds, although it did not outperform every fund for every time period reviewed. The Board noted that KFS commented favorably on Multi-Asset Fund’s performance. The Board also noted TAS’s implementation of the Fund’s investment strategy across multiple asset classes and money managers. Overall, the Board was satisfied with Multi-Asset Fund’s performance.
Costs and Profitability
The Board considered the profitability of TAS as a result of its relationship with Multi-Asset Fund and the likelihood that it would remain financially viable moving forward. The Board reviewed the advisory fees TAS earned from Multi-Asset Fund for the fiscal year ended December 31, 2010, which, based on the estimated cost allocations provided by TAS for the same time period, were not sufficient to cover TAS’s costs in providing services to the Fund. The Board also reviewed the advisory fees TAS would have earned from Multi-Asset Fund had the proposed fee schedule been in effect during 2010, including the amount of an increase this represented as a percentage of the current fee schedule and in basis points. The Board considered the fees TAS received from Multi-Asset Fund pursuant to the Services Agreement for the fiscal year ended December 31, 2010, and noted that the Fund reimburses TAS for certain costs related to TIP’s Chief Compliance Officer. Based on TAS’s estimated cost allocations, the increased revenues under the proposed fee schedule, together with the fees earned under the Services Agreement, would have allowed TAS to approximately break even, and as Multi-Asset Fund’s assets grow, will provide the modest operating reserve that TAS seeks. The Board also noted that TAS bears the cost of the Fund’s distribution arrangements and that the amounts expended for such arrangements for the fiscal year ended December 31, 2010 had been reported in the materials provided to the Board. The Board was satisfied with TAS’s profitability analysis and concluded that the proposed fee schedule was fair and reasonable. KFS’s report supported this conclusion.
The Board noted that it was separately being asked by TAS to consider a proposed reorganization of two other TIP funds which, if approved and completed, would result in those other funds being combined with and into Multi-Asset Fund. A second report prepared by KFS analyzed the profitability of Multi-Asset Fund to TAS on a pro forma basis assuming the implementation of the proposed fee schedule and the consolidation of such other funds into the Fund. Mr. Keil reviewed his report with the Board during the executive session and, at the request of the Board, TAS management commented on the report. There were a number of assumptions that were required to be made by KFS to prepare the analysis and, overall, the results of the analysis did not alter the Board’s conclusion that the proposed fee schedule was fair and reasonable.
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Fees and Expenses (including Potential Economies of Scale)
The Board reviewed TAS’s advisory fee and Multi-Asset Fund’s fees and expenses for the year ended December 31, 2010, and on a pro forma basis considering the effects of the proposed fee schedule. In its report, KFS compared such fees and expenses to those of a projected 2011 Lipper Inc. peer expense group for Multi-Asset Fund. The KFS report revealed that Multi-Asset Fund’s total expense ratio using the current fee schedule and excluding the expenses associated with acquired funds was the lowest in the projected 2011 expense group, consisting of seven funds. Using the proposed fee schedule, Multi-Asset Fund’s total expense ratio would have been higher than the expense ratios of two of the funds in the projected expense group and lower than the expense ratios of four of the funds in the projected expense group. In each case, Multi-Asset Fund’s expense ratio was below the average expense ratio for the projected expense group. The KFS report noted that none of the other funds in the projected expense group makes significant use of acquired funds, such as hedge funds, and when considering the effect of the acquired funds’ fees and expenses, Multi-Asset Fund’s total expense ratio appeared to be higher than that of all of the funds in the projected expense group. The Board noted the acquired funds’ contributions to Multi-Asset Fund’s investment performance and also the fact that most of the acquired funds had performance based fee schedules, so the acquired funds’ fees and expenses would tend to be higher when performance of such funds was good and lower when performance lagged.
The Board also considered TAS’s advisory fee and Multi-Asset Fund’s fees and expenses relative to certain other multi-asset or asset allocation funds selected by TAS. Both TAS and the KFS report noted the limited usefulness of such data due to the differences in investment strategies and techniques pursued by such other funds as well as differences in fund structures. Multi-Asset Fund’s advisory fees, including TAS’s fees and those of the money managers but not the advisory fees that Multi-Asset Fund bears indirectly as a result of its investments in acquired funds, were lower than four of the funds in the group and higher than four of the funds in the group; and Multi-Asset Fund’s total expense ratio was higher than all of the other funds in the group. It was noted that none of the other funds in the group made extensive use of hedge funds in its acquired funds bucket, as Multi-Asset Fund does, and that, unlike the Fund, many of the other funds in the group made extensive use of affiliated funds in their acquired funds buckets. Both of these factors would tend to result in Multi-Asset Fund having a higher expense ratio than the other funds.
The KFS report also included a comparison of Multi-Asset Fund’s advisory fees to a group of manager-of-managers funds culled from Lipper Inc.’s database. Noting the structural differences between Multi-Asset Fund and such other funds, the KFS report indicated that Multi-Asset Fund generally compared favorably to such other funds.
The Board also considered the advisory fees paid by another non-mutual fund client of TAS that had a similar investment program to that of Multi-Asset Fund, noting that the proposed fee schedule compared favorably to the fee schedule between TAS and such other client.
TAS’s current fee schedule and the proposed fee schedule include breakpoints that enable Multi-Asset Fund to benefit from economies of scale at the Fund’s current asset levels. The Board noted that the proposed fee schedule has fewer breakpoints and that the breaks occur at higher asset levels than the current fee schedule, but that Multi-Asset Fund’s assets were at a level that the Fund would enjoy the benefits of economies of scale under both fee schedules. The Board questioned TAS management during the executive session about the rationale behind the change in the breakpoints and was satisfied with TAS management’s response. The Board and TAS management undertook to review and consider from time to time whether Multi-Asset Fund continued to benefit from economies of scale should the Fund’s assets continue to grow. The Board concluded that Multi-Asset Fund’s advisory fees and total expenses, including those that reflected the proposed fee schedule, were reasonable in light of the quality and nature of services provided and expected to be provided under the New Advisory Agreement.
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During an in-person meeting held on June 15-16, 2011, the directors evaluated the renewal of the investment advisory agreements between each of the TIP funds and TAS, including the agreement between Multi-Asset Fund and TAS described above, as well as the money manager agreements between each of Multi-Asset Fund, International Equity Fund, and US Equity Fund and the money managers (as sub-advisors), and the sub-advisory agreement between Brookfield Investment Management Inc. (one of Multi-Asset Fund’s money managers) and its affiliate, AMP Capital Brookfield (US) LLC. The investment advisory agreements, the money manager agreements, and the sub-advisory agreement are collectively referred to herein as “advisory agreements” and Multi-Asset Fund, International Equity Fund, US Equity Fund, and Short-Term Fund may be referred to individually as a “Fund” and collectively as the “Funds.”
The Board requested and received information from TAS and the money managers in advance of the meeting, which the directors reviewed separately in executive sessions with their independent counsel. The materials provided included information regarding personnel and services, investment strategies, portfolio holdings, portfolio management, fees and expenses, performance, and with respect to TAS, profitability. Information about brokerage practices was also supplied, including allocation methodologies, best execution, commission rates, and commission recapture or soft dollar arrangements. Extensive information with respect to compliance, administration, and risk management was supplied, such as information on TAS’s and the money managers’ compliance programs, including codes of ethics and business continuity procedures, as well as information concerning any material violations of such programs, chief compliance officer backgrounds, 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 the Board’s counsel setting forth the Board’s fiduciary duties and responsibilities under the 1940 Act and the factors the Board should consider in its evaluation of the advisory agreements; (2) responses by TAS and each money manager to questionnaires prepared by the Board’s counsel 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 peer group, and comparing each Fund’s advisory fees and expenses to those of its respective peer group; (4) additional information from TAS regarding the fees charged by TAS to each Fund; (5) Money Manager Profiles detailing the individual portfolio managers, fee schedules, and fees paid for each money manager, and an Advisor Profile detailing similar information for TAS; (6) the ten highest aggregate brokerage commissions report by manager for the year ended December 31, 2010; and (7) audited financial statements of TAS for the year ended December 31, 2010.
Nature, Extent, and Quality of Services
The Board considered a number of factors in evaluating TAS and the money managers. It noted that it receives information 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 that it receives information 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 directors’ 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 amount of assets and particular universe of asset types available to the manager, its trading acumen, its performance tendencies in various market cycles, and its process for risk monitoring and management. 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 a 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.
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Results of Review of Advisory Agreements
After considering responses from TAS and each money manager to the questionnaire prepared on behalf of the Board and further discussion, the Board voted on June 16, 2011 to re-approve the advisory agreements. 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 organization and experience of TAS and each of the money managers. Prior to a vote being taken to re-approve the advisory agreements, the 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 directors were advised by their independent legal counsel. The 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 directors concluded that the advisory agreements were reasonable, fair, and in the best interests of the Funds and their members, and that the fees set forth in such agreements were fair and reasonable. The directors also took into consideration the proposed reorganization of International Equity Fund and US Equity Fund with and into Multi-Asset Fund. In reaching its conclusion to re-approve each advisory agreement, 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 Investment Management, Inc., and its affiliate AMP Capital Brookfield (US) LLC MSCI US REIT Index | ||
Marathon Asset Management, LLP MSCI All Country World Index | ||
Mission Value Partners, LLC US CPI Urban Consumers Index plus a specified spread | ||
Mondrian Investment Partners Limited MSCI All Country World Index | ||
Shapiro Capital Management LLC Russell 2000 Index | ||
Smith Breeden Associates, Inc. Barclays Capital US Government Inflation-Linked Bond Index | ||
Southeastern Asset Management, Inc. MSCI All Country World Index | ||
Wellington Management Company, LLP Resource-Related Sectors of the MSCI World Index Barclays HY 2% Issuer Capped | ||
Westport Asset Management, Inc. Russell 2000 Index |
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The Board reviewed Multi-Asset Fund’s performance against its benchmarks (the Multi-Asset Fund (“MAF”) Constructed Index, based on the normal allocation to each asset class, and the Consumer Price Index (“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 Multi-Asset Fund and seven global flexible portfolio funds as classified by Lipper (the “Lipper MAF peer group”). The Board considered TAS’s implementation of Multi-Asset Fund’s investment strategy across multiple asset classes and money managers. Multi-Asset Fund’s returns exceeded the MAF Constructed Index for the one-, three-, five-, and ten-year and since-inception periods ending March 31, 2011. Multi-Asset Fund’s returns exceeded the CPI + 5% benchmark for the one- and ten-year and since-inception periods, but lagged the CPI + 5% benchmark for the three- and five-year periods ending March 31, 2011. Multi-Asset Fund’s returns exceeded the average of the Lipper MAF peer universe for the one-, three-, five- and ten-year periods ended March 31, 2011. Multi-Asset Fund’s returns exceeded the median of the Lipper MAF peer group for the one-, three-, and five-year periods ending March 31, 2011 and were equal to the Lipper MAF peer group median for the ten-year period ending March 31, 2011.
The Board also reviewed the historical and pro forma 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”), consisted of Multi-Asset Fund and seven global flexible portfolio funds as classified by Lipper; the second expense group (“MAF expense universe”) consisted of Multi-Asset Fund, the MAF expense group, and all other institutional global flexible portfolio funds, excluding outliers. The Board took into account its considerations regarding its approval of the New Advisory Agreement between TAS and Multi-Asset Fund on March 21, 2011, which are discussed in detail above. The Board reviewed both the historical advisory fees under the previous advisory agreement and pro forma fees under the New Advisory Agreement in reaching its conclusions. The Board noted that the historical advisory fees of Multi-Asset Fund were below both the median and average for the MAF expense group and the pro forma advisory fees of Multi-Asset Fund were below the average but above the median for the MAF expense group. Both historical and pro forma total expenses of Multi-Asset Fund excluding the underlying fund expenses were below the median and the average for the MAF expense group and the average of the MAF expense universe. Both historical and pro forma total expenses including the underlying fund expenses of the Fund exceeded the median and the average of the MAF expense group and the average of the MAF expense universe. Underlying fund expenses represent the approximate fees and expenses indirectly incurred by a TIP Fund as a result of a Fund’s investments in an underlying or “acquired fund.” An “acquired fund” is another investment fund such as an exchange-traded fund, open-ended mutual fund, or a privately offered investment fund, such as a hedge fund.
The Board noted that TAS’s fee schedule and the fee schedules of two money managers included breakpoints that could enable Multi-Asset 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 the members. Two of the money managers’ fee schedules included both breakpoints and performance-based fees.
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 | |
Mission Value Partners, LLC US CPI Urban Consumers Index plus a specified spread | ||
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 a peer group consisting of International Equity Fund and 11 other international multi-cap value funds, as classified by Lipper (the “Lipper IEF peer group”). The Board considered TAS’s implementation of International Equity Fund’s investment strategy across multiple money managers. The Board also noted the proposal to reorganize International Equity Fund with and into Multi-Asset Fund. As of March 31, 2011, the Fund was ahead of its benchmark for the three-, five-, and ten-year and since-inception periods but lagged its benchmark for the one-year period. International Equity Fund’s returns exceeded the median and the average of the Lipper IEF peer group for all periods provided by Lipper (one-, three-, five-, and ten-year periods ended March 31, 2011).
The Board reviewed the fees and expenses of International Equity Fund against a peer group consisting of International Equity Fund and 11 other international multi-cap value funds as classified by Lipper (“IEF expense group”). The Board noted that the actual advisory fee of International Equity Fund was below both the median and the average for the IEF expense group. The total expenses of International Equity Fund excluding the underlying fund expenses were well below the median and the
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average for the IEF expense group; however, the total expenses including the underlying fund expenses of the fund exceeded the median and the average of the IEF expense group.
The Board noted that TAS’s fee schedule and the fee schedule of one money manager included breakpoints that could enable International Equity Fund to benefit from economies of scale should Fund assets grow. One money manager received performance-based fees, which the Board felt appropriately aligned the money manager’s interests with those of the members. One money manager’s fee schedule included both breakpoints and performance-based fees.
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 (Wilshire 5000 Total Market Index), and a peer group consisting of US Equity Fund and 15 other multi-cap core funds as classified by Lipper (the “Lipper USEF peer group”). The Board considered TAS’s implementation of US Equity Fund’s investment strategy across multiple money managers. The Board also noted the proposal to reorganize US Equity Fund with and into Multi-Asset Fund. As of March 31, 2011, US Equity Fund was ahead of its benchmark for the three-, five-, ten-year, and since-inception periods, but lagged its benchmark for the one-year period. US Equity Fund’s returns exceeded both the median and the average of the Lipper USEF peer group for the three-, five,- and ten-year periods ending March 31, 2011, but lagged both the average and the median of the Lipper USEF peer group for the one-year period ending March 31, 2011. The Board also considered information from TAS concerning its evaluation of the money managers’ investment processes and performance in light of the Fund’s short-term performance lag.
The Board reviewed the fees and expenses of US Equity Fund against a peer group consisting of US Equity Fund and 15 other multi-cap core funds as classified by Lipper (“USEF expense group”). The Board noted that the actual advisory fee of US Equity Fund was below the median and the average for the USEF expense group. The total expenses of US Equity Fund excluding the underlying fund expenses were below both the median and the average of the USEF expense group; however, the total expenses of the Fund including the underlying fund expenses were above the median and average for the USEF expense group.
The Board noted that TAS’s fee schedule included breakpoints that could enable US Equity 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 members.
TIFF Short-Term Fund Performance, Fees, and Expenses (including Potential Economies of Scale)
The Board reviewed Short-Term Fund’s performance against its benchmarks (BofA 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 Short-Term 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 Short-Term Fund since 2004. Short-Term Fund underperformed the Index, which does not reflect any fees or expenses, for the one-, three-, five-, ten-year, and since-inception periods ending March 31, 2011, 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. Short-Term Fund’s returns exceeded the average of the Lipper STF peer universe for the five-year period ending March 31, 2011, but lagged the average of the Lipper STF peer universe for the one-, three-, and ten-year periods ending the same date. Short-Term Fund’s returns exceeded the average of the Lipper STF peer group for the five-year period ending March 30, 2011, but lagged the median of the Lipper STF peer group for the same period. Short-Term Fund’s returns lagged the median and the average of the Lipper STF peer group for the one-, three-, and ten-year periods.
The Board reviewed the fees and expenses of Short-Term Fund against the funds within the Lipper STF peer group (the “STF expense group”) and the Lipper STF peer universe (the “STF expense Universe”), noting that the actual advisory fee and total expenses of Short-Term Fund were well below both the median and the average of the STF expense group and below the average of the STF expense universe. The Board noted that TAS’s fee schedule included breakpoints that could enable Short-Term Fund to benefit from economies of scale should Fund assets grow.
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The board of directors of TIP comprises experienced institutional investors, including current or former senior officers of leading endowments and foundations. Among responsibilities of the board of directors are approving the selection of the investment advisor and money managers for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new directors; and electing TIP officers.
Each director serves 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 upon request without charge 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.
Independent Directors
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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: Managing Director, Holos Consulting LLC, a consultant to foundations and non-profit organizations (2009 – present). Chair of the Board of Trustees 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. | |
N.P. “Narv” Narvekar | ||
Born 1962 Director since January 2010 4 funds overseen | Principal Occupation(s) During the Past Five Years: President and CEO, The Columbia Investment Management Company, which manages Columbia University’s endowment. Other Directorships: The Chapin School. |
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.; President and CEO, TIFF Investment Program, Inc. Directorships: TIFF Advisory Services, Inc. | |
Laurence H. Lebowitz | ||
Born 1960 Vice President and CIO since September 2010 | Principal Occupation(s) During the Past Five Years: President/Chief Investment Officer, TIFF Advisory Services, Inc. (2010 – present). Chairman/Managing Director, HBK Capital Management (1992 – 2009). 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. |
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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). | |
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. | |
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). |
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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
ACQUIRED FUND (“AF”) MANAGERS
TIFF Multi-Asset Fund
Aronson + Johnson + Ortiz LP
Azentus Capital Management Limited (AF)
Brookfield Investment Management Inc.
Canyon Capital Advisors LLC (AF)
Convexity Capital Management LP (AF)
Farallon Capital Management, LLC (AF)
Joho Capital, LLC (AF)
Lansdowne Partners Limited (AF)
Lone Pine Capital LLC (AF)
Marathon Asset Management, LLP
Maverick Capital, Ltd. (AF)
Mission Value Partners, LLC
Mondrian Investment Partners Limited
Och-Ziff Capital Management Group (AF)
Regiment Capital Management, LLC (AF)
Shapiro Capital Management LLC
Sleep, Zakaria & Company, Ltd. (AF)
Smith Breeden Associates, Inc.
Southeastern Asset Management, Inc.
TIFF Advisory Services, Inc.
Theleme Partners LLP (AF)
Wellington Management Company, LLP
Westport Asset Management, Inc.
TIFF International Equity Fund
Convexity Capital Management LP (AF)
Lansdowne Partners Limited (AF)
Lone Pine Capital LLC (AF)
Marathon Asset Management, LLP
Mission Value Partners, LLC
Mondrian Investment Partners Limited
TIFF Advisory Services, Inc.
TIFF US Equity Fund
Adage Capital Management, LP (AF)
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 | 8/29/2011![]() |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Richard J. Flannery![]() President and Chief Executive Officer |
Date | 8/29/2011![]() |
By (Signature and Title) | /s/ Dawn I. Lezon![]() Treasurer and Chief Financial Officer |
Date | 8/29/2011![]() |