UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number | 811-08234 |
TIFF Investment Program, Inc. |
(Exact name of Registrant as specified in charter) |
170 N. Radnor Chester Road, Suite 300 Radnor, PA | 19087 |
(Address of chief executive offices) | (Zip code) |
Richard J. Flannery President and Chief Executive Officer TIFF Investment Program, Inc. 170 N. Radnor Chester Road, Suite 300, Radnor, PA 19087
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: | 12/31/14 | |
Date of reporting period: | 01/01/14 – 06/30/14 | |
Item 1. Reports to Stockholders.
TIFF Investment Program, Inc. | ||||
2014 Semi-Annual Report | JUNE 30, 2014 (Unaudited) | |||
Contents |
About TIFF |
The Investment Fund for Foundations (TIFF), founded in 1991, is a not-for-profit organization that seeks to improve the investment returns of endowed non-profits by making available to them a series of multi-manager investment strategies, plus resources aimed at enhancing fiduciaries’ knowledge of investing.
TIFF Mutual Funds |
TIFF Investment Program, Inc. (TIP) is comprised 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 two mutual funds at present: TIFF Multi-Asset Fund (MAF) and TIFF Short-Term Fund (STF). TIFF Advisory Services, Inc. (TAS) serves as the investment advisor to the funds. MAF operates primarily on a multi-manager basis, and TAS has responsibility for the time-intensive task of selecting money managers and other vendors for the fund as well as for the all-important task of asset allocation. With respect to STF, TAS is responsible for the day-to-day management of all of the fund’s assets.
Financial Statements |
TIP is pleased to provide this Semi-Annual Report for the period ended June 30, 2014. Additional information regarding the performance of the mutual funds described herein has been provided to members via the TIFF Multi-Asset Fund quarterly reports and at www.tiff.org for STF reporting.
For Further Information |
As always, we welcome the opportunity to discuss any aspect of TIFF’s services as well as answer any questions about these financial statements. For further information about TIFF, please call us at 610-684-8200 or visit www.tiff.org.
August 29, 2014
Copyright © 2014 • All rights reserved • This report is intended for institutional investors only and 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, 2014 to June 30, 2014.
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.
Including Interest and Dividend Expense** | Excluding Interest and Dividend Expense** | |||||||||||||||||||||||
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expense Paid During the Period* 1/1/14 – 6/30/14 | Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expense Paid During the Period* 1/1/14 – 6/30/14 | |||||||||||||||||||
1) Actual | $ | 1,000.00 | $ | 1,039.80 | $ | 6.63 | $ | 1,000.00 | $ | 1,039.80 | $ | 4.60 | ||||||||||||
2) Hypothetical | $ | 1,000.00 | $ | 1,018.30 | $ | 6.56 | $ | 1,000.00 | $ | 1,020.28 | $ | 4.56 |
* | Expenses are equal to the fund’s annualized expense ratio of 1.31% (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 0.91%. The expense ratios do 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 paid on securities sold short and reverse repurchase agreements (see Note 7); dividend expense is dividends paid on securities sold short. |
2
Financial Highlights |
Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | ||||||||||||||||||||
For a share outstanding throughout each period | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.26 | $ | 15.80 | $ | 14.54 | $ | 15.55 | $ | 14.39 | $ | 11.70 | |||||||||||||
Income (loss) from investment operations | |||||||||||||||||||||||||
Net investment income (a) | 0.06 | 0.01 | (b) | 0.17 | 0.26 | 0.19 | 0.18 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.58 | 2.15 | 1.84 | (0.54 | ) | 1.67 | 3.10 | ||||||||||||||||||
Total from investment operations | 0.64 | 2.16 | 2.01 | (0.28 | ) | 1.86 | 3.28 | ||||||||||||||||||
Less distributions from | |||||||||||||||||||||||||
Net investment income | (0.08 | ) | (0.17 | ) | (0.30 | ) | (0.07 | ) | (0.70 | ) | (0.61 | ) | |||||||||||||
Net realized gains | (0.07 | ) | (1.55 | ) | (0.47 | ) | (0.54 | ) | (0.01 | ) | — | ||||||||||||||
Return of capital | — | — | — | (0.13 | ) | — | — | ||||||||||||||||||
Total distributions | (0.15 | ) | (1.72 | ) | (0.77 | ) | (0.74 | ) | (0.71 | ) | (0.61 | ) | |||||||||||||
Entry/exit fee per share (a) | 0.00 | (c) | 0.02 | 0.02 | 0.01 | 0.01 | 0.02 | ||||||||||||||||||
Net asset value, end of period | $ | 16.75 | $ | 16.26 | $ | 15.80 | $ | 14.54 | $ | 15.55 | $ | 14.39 | |||||||||||||
Total return (d) | 3.98%(e) | 14.02% | 14.00% | (1.70)% | 13.18% | 28.75% | |||||||||||||||||||
Ratios/supplemental data | |||||||||||||||||||||||||
Net assets, end of period (000s) | $ | 6,051,844 | $ | 5,770,761 | $ | 4,923,265 | $ | 4,164,070 | $ | 3,876,799 | $ | 3,060,722 | |||||||||||||
Ratio of expenses to average net assets, before waivers (f) | 1.31%(g) | 1.31% | 0.94% | 0.67% | 0.81% | 0.65% | |||||||||||||||||||
Ratio of expenses to average net assets, after waivers (f) | 1.31%(g) | 1.31%(b) | 0.94% | 0.67% | 0.81% | 0.65% | |||||||||||||||||||
Ratio of expenses to average net assets, excluding interest and dividend expense (f) | 0.91%(g) | 0.90% | 0.81% | 0.61% | 0.76% | 0.60% | |||||||||||||||||||
Ratio of net investment income to average net assets | 0.73%(g) | 0.06%(b) | 1.07% | 1.66% | 1.28% | 1.40% | |||||||||||||||||||
Portfolio turnover | 59% | 106% | 54% | 42% | 48% | 90% |
(a) | Calculation based on average shares outstanding. |
(b) | Net of fees and expenses waived. An expense waiver was in place for only a portion of 2013. The impact of the fee waiver as a ratio to average net assets was 0.00%. |
(c) | Rounds to less than $0.01. |
(d) | Total return assumes dividend reinvestment and includes the effects of entry and exit fees received by the fund; however, 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. |
(e) | Not annualized. |
(f) | 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. |
(g) | Annualized. |
See accompanying Notes to Financial Statements.
3
Summary Schedule of Investments (Unaudited) |
Short-Term Investments | 32.1% | |||
Foreign Common Stocks | 24.5% | |||
US Common Stocks | 21.6% | |||
US Treasury Bonds/Notes | 14.2% | |||
Private Investment Funds | 10.3% | |||
Exchange-Traded Funds (ETFs) | 6.2% | |||
Mortgage-Backed Securities | 1.6% | |||
Mutual Funds | 0.8% | |||
Asset-Backed Securities | 0.8% | |||
Participation Notes | 0.3% | |||
Preferred Stocks | 0.2% | |||
Rights | 0.0% | |||
Warrants | 0.0% | |||
Corporate Bonds | 0.0% | |||
Total Investments | 112.6% | |||
Securities Sold Short | (13.0)% | |||
Other Assets in Excess of Liabilities | 0.4% | |||
Net Assets | 100.0% |
4
Number of Shares | Value | ||||||||
Investments — 112.6% of net assets | |||||||||
Common Stocks — 46.1% | |||||||||
US Common Stocks — 21.6% | |||||||||
Aerospace & Defense — 0.3% | |||||||||
Exelis, Inc. | 560,482 | $ | 9,516,985 | ||||||
GenCorp, Inc. (a) | 189,752 | 3,624,263 | |||||||
Honeywell International, Inc. | 1,933 | 179,672 | |||||||
L-3 Communications Holdings, Inc. | 17,500 | 2,113,125 | |||||||
Lockheed Martin Corp. | 13,700 | 2,202,001 | |||||||
Northrop Grumman Corp. | 16,300 | 1,949,969 | |||||||
United Technologies Corp. | 1,216 | 140,387 | |||||||
19,726,402 | |||||||||
Air Freight & Logistics — 0.2% | |||||||||
FedEx Corp. | 96,850 | 14,661,153 | |||||||
United Parcel Service, Inc. (UPS), Class B | 1,367 | 140,336 | |||||||
14,801,489 | |||||||||
Airlines — 0.8% | |||||||||
American Airlines Group, Inc. (a) | 121,057 | 5,200,609 | |||||||
AMR Corp. (a)(b)(c)(d) | 260,322 | 505,024 | |||||||
Delta Air Lines, Inc. | 938,522 | 36,339,572 | |||||||
Southwest Airlines Co. | 74,700 | 2,006,442 | |||||||
United Continental Holdings, Inc. (a) | 31,028 | 1,274,320 | |||||||
45,325,967 | |||||||||
Auto Components — 0.0% | |||||||||
Goodyear Tire & Rubber Co. (The) | 67,000 | 1,861,260 | |||||||
Lear Corp. | 3,640 | 325,125 | |||||||
2,186,385 | |||||||||
Automobiles — 0.1% | |||||||||
General Motors Co. | 131,370 | 4,768,731 | |||||||
Beverages — 0.3% | |||||||||
Coca-Cola Co. (The) | 181 | 7,667 | |||||||
Coca-Cola Enterprises, Inc. | 41,800 | 1,997,204 | |||||||
Constellation Brands, Inc., Class A (a) | 57,054 | 5,028,169 | |||||||
Dr Pepper Snapple Group, Inc. | 170,911 | 10,011,966 | |||||||
Monster Beverage Corp. (a) | 25,700 | 1,825,471 | |||||||
PepsiCo, Inc. | 299 | 26,713 | |||||||
18,897,190 | |||||||||
Biotechnology — 0.2% | |||||||||
Alexion Pharmaceuticals, Inc. (a) | 10,400 | 1,625,000 | |||||||
Amgen, Inc. | 822 | 97,300 | |||||||
Biogen Idec, Inc. (a) | 7,700 | 2,427,887 | |||||||
Celgene Corp. (a) | 29,000 | 2,490,520 | |||||||
Gilead Sciences, Inc. (a) | 32,408 | 2,686,947 | |||||||
9,327,654 | |||||||||
Building Products — 0.2% | |||||||||
USG Corp. (a) | 316,000 | 9,521,080 | |||||||
Capital Markets — 0.3% | |||||||||
Ameriprise Financial, Inc. | 3,207 | 384,840 | |||||||
Bank of New York Mellon Corp. (The) | 160,300 | 6,008,044 | |||||||
Goldman Sachs Group, Inc. (The) | 26,639 | 4,460,434 | |||||||
Northern Trust Corp. | 130,200 | 8,360,142 | |||||||
19,213,460 |
Number of Shares | Value | ||||||||
Chemicals — 0.5% | |||||||||
Air Products & Chemicals, Inc. | 23,030 | $ | 2,962,119 | ||||||
Axiall Corp. | 202,900 | 9,591,083 | |||||||
Calgon Carbon Corp. (a) | 346,100 | 7,728,413 | |||||||
CF Industries Holdings, Inc. | 7,500 | 1,803,975 | |||||||
Eastman Chemical Co. | 22,922 | 2,002,237 | |||||||
EI du Pont de Nemours & Co. | 2,176 | 142,397 | |||||||
Monsanto Co. | 17,471 | 2,179,332 | |||||||
Taminco Corp. (a) | 47,599 | 1,107,153 | |||||||
WR Grace & Co. (a) | 57,787 | 5,462,605 | |||||||
32,979,314 | |||||||||
Commercial Banks — 0.5% | |||||||||
Comerica, Inc. | 13,700 | 687,192 | |||||||
Fifth Third Bancorp | 21,200 | 452,620 | |||||||
KeyCorp | 133,800 | 1,917,354 | |||||||
Wells Fargo & Co. | 520,626 | 27,364,103 | |||||||
30,421,269 | |||||||||
Commercial Services & Supplies — 0.7% | |||||||||
ADT Corp. (The) | 279,685 | 9,772,194 | |||||||
Covanta Holding Corp. | 255,099 | 5,257,590 | |||||||
Iron Mountain, Inc. | 623,754 | 22,112,079 | |||||||
KAR Auction Services, Inc. | 116,710 | 3,719,548 | |||||||
40,861,411 | |||||||||
Communications Equipment — 0.1% | |||||||||
Cisco Systems, Inc. | 3,912 | 97,213 | |||||||
Harris Corp. | 11,600 | 878,700 | |||||||
Motorola Solutions, Inc. | 71,772 | 4,777,862 | |||||||
QUALCOMM, Inc. | 32,684 | 2,588,573 | |||||||
8,342,348 | |||||||||
Computers & Peripherals — 0.3% | |||||||||
Apple, Inc. | 79,802 | 7,416,000 | |||||||
EMC Corp. | 214,600 | 5,652,564 | |||||||
SanDisk Corp. | 37,072 | 3,871,429 | |||||||
Western Digital Corp. | 21,900 | 2,021,370 | |||||||
18,961,363 | |||||||||
Construction & Engineering — 0.0% | |||||||||
Fluor Corp. | 17,800 | 1,368,820 | |||||||
Consumer Finance — 0.1% | |||||||||
American Express Co. | 35,665 | 3,383,539 | |||||||
Capital One Financial Corp. | 29,400 | 2,428,440 | |||||||
Discover Financial Services | 34,100 | 2,113,518 | |||||||
7,925,497 | |||||||||
Containers & Packaging — 0.2% | |||||||||
Avery Dennison Corp. | 83,700 | 4,289,625 | |||||||
Sealed Air Corp. | 152,462 | 5,209,627 | |||||||
9,499,252 | |||||||||
Diversified Financial Services — 0.7% | |||||||||
Citigroup, Inc. | 2,795 | 131,644 | |||||||
JPMorgan Chase & Co. | 699,345 | 40,296,259 | |||||||
40,427,903 | |||||||||
Diversified Telecommunication Services — 0.8% | |||||||||
AT&T, Inc. | 191,337 | 6,765,676 | |||||||
CenturyLink, Inc. | 51,900 | 1,878,780 |
5
Number of Shares | Value | ||||||||
tw telecom, Inc. (a) | 397,400 | $ | 16,019,194 | ||||||
Verizon Communications, Inc. | 478,432 | 23,409,678 | |||||||
48,073,328 | |||||||||
Electric Utilities — 0.1% | |||||||||
Duke Energy Corp. | 500 | 37,095 | |||||||
Edison International | 34,000 | 1,975,740 | |||||||
Entergy Corp. | 13,600 | 1,116,424 | |||||||
3,129,259 | |||||||||
Electrical Equipment — 0.1% | |||||||||
Emerson Electric Co. | 4,108 | 272,607 | |||||||
GrafTech International, Ltd. (a) | 555,300 | 5,808,438 | |||||||
6,081,045 | |||||||||
Electronic Equipment, Instruments & Components — 0.2% | |||||||||
Checkpoint Systems, Inc. (a) | 374,426 | 5,238,220 | |||||||
Knowles Corp. (a) | 297,294 | 9,138,817 | |||||||
OSI Systems, Inc. (a) | 9,329 | 622,711 | |||||||
14,999,748 | |||||||||
Energy Equipment & Services — 0.2% | |||||||||
Baker Hughes, Inc. | 29,500 | 2,196,275 | |||||||
Halliburton Co. | 104,372 | 7,411,456 | |||||||
Schlumberger, Ltd. | 1,811 | 213,607 | |||||||
9,821,338 | |||||||||
Food & Staples Retailing — 0.7% | |||||||||
CVS Caremark Corp. | 2,215 | 166,945 | |||||||
Kroger Co. (The) | 41,900 | 2,071,117 | |||||||
Sysco Corp. | 218,500 | 8,182,825 | |||||||
Wal-Mart Stores, Inc. | 358,748 | 26,931,212 | |||||||
Whole Foods Market, Inc. | 111,396 | 4,303,227 | |||||||
41,655,326 | |||||||||
Food Products — 0.6% | |||||||||
Archer-Daniels-Midland Co. | 33,800 | 1,490,918 | |||||||
ConAgra Foods, Inc. | 261,400 | 7,758,352 | |||||||
Hershey Co. (The) | 13,400 | 1,304,758 | |||||||
Ingredion, Inc. | 104,000 | 7,804,160 | |||||||
Kraft Foods Group, Inc. | 90,466 | 5,423,437 | |||||||
Mondelez International, Inc. | 262,202 | 9,861,417 | |||||||
Tyson Foods, Inc., Class A | 52,500 | 1,970,850 | |||||||
WhiteWave Foods Co. (a) | 61,391 | 1,987,227 | |||||||
37,601,119 | |||||||||
Health Care Equipment & Supplies — 0.1% | |||||||||
Baxter International, Inc. | 103,200 | 7,461,360 | |||||||
Medtronic, Inc. | 1,560 | 99,466 | |||||||
7,560,826 | |||||||||
Health Care Providers & Services — 0.6% | |||||||||
AmerisourceBergen Corp. | 25,200 | 1,831,032 | |||||||
BioScrip, Inc. (a) | 295,106 | 2,461,184 | |||||||
Cardinal Health, Inc. | 28,900 | 1,981,384 | |||||||
CIGNA Corp. | 17,400 | 1,600,278 | |||||||
Community Health Systems, Inc. (a) | 95,828 | 4,347,717 | |||||||
Express Scripts Holding Co. (a) | 30,900 | 2,142,297 | |||||||
HCA Holdings, Inc. (a) | 9,500 | 535,610 | |||||||
Humana, Inc. | 10,000 | 1,277,200 | |||||||
McKesson Corp. | 12,000 | 2,234,520 | |||||||
UnitedHealth Group, Inc. | 101,323 | 8,283,155 |
Number of Shares | Value | ||||||||
VCA Antech, Inc. (a) | 250,143 | $ | 8,777,518 | ||||||
35,471,895 | |||||||||
Hotels, Restaurants & Leisure — 0.7% | |||||||||
Bally Technologies, Inc. (a) | 58,000 | 3,811,760 | |||||||
Carnival Corp. | 184,400 | 6,942,660 | |||||||
Ignite Restaurant Group, Inc. (a) | 81,944 | 1,193,105 | |||||||
Jack in the Box, Inc. | 65,026 | 3,891,156 | |||||||
Jamba, Inc. (a) | 172,828 | 2,091,219 | |||||||
La Quinta Holdings, Inc. (a) | 358,200 | 6,855,948 | |||||||
Life Time Fitness, Inc. (a) | 40,644 | 1,980,988 | |||||||
Royal Caribbean Cruises, Ltd. | 61,246 | 3,405,277 | |||||||
SeaWorld Entertainment, Inc. | 69,814 | 1,977,831 | |||||||
Wyndham Worldwide Corp. | 8,000 | 605,760 | |||||||
Yum! Brands, Inc. | 95,800 | 7,778,960 | |||||||
40,534,664 | |||||||||
Household Durables — 0.2% | |||||||||
Beazer Homes USA, Inc. (a) | 348,880 | 7,319,502 | |||||||
Whirlpool Corp. | 12,900 | 1,795,938 | |||||||
9,115,440 | |||||||||
Household Products — 0.1% | |||||||||
Kimberly-Clark Corp. | 1,572 | 174,838 | |||||||
Procter & Gamble Co. (The) | 55,184 | 4,336,910 | |||||||
4,511,748 | |||||||||
Independent Power Producers & Energy Traders — 0.1% | |||||||||
AES Corp. (The) | 113,600 | 1,766,480 | |||||||
Dynegy, Inc. (a) | 92,563 | 3,221,192 | |||||||
4,987,672 | |||||||||
Industrial Conglomerates — 0.0% | |||||||||
3M Co. | 1,287 | 184,350 | |||||||
General Electric Co. | 5,951 | 156,392 | |||||||
340,742 | |||||||||
Insurance — 0.6% | |||||||||
Allstate Corp. (The) | 37,200 | 2,184,384 | |||||||
American International Group, Inc. | 48,600 | 2,652,588 | |||||||
Assurant, Inc. | 18,570 | 1,217,264 | |||||||
Berkshire Hathaway, Inc., Class B (a) | 877 | 110,993 | |||||||
Chubb Corp. | 13,300 | 1,225,861 | |||||||
Everest Re Group, Ltd. | 71,600 | 11,491,084 | |||||||
Genworth Financial, Inc., Class A (a) | 110,300 | 1,919,220 | |||||||
Loews Corp. | 215,000 | 9,462,150 | |||||||
Travelers Companies, Inc. (The) | 26,220 | 2,466,515 | |||||||
Unum Group | 32,000 | 1,112,320 | |||||||
33,842,379 | |||||||||
Internet & Catalog Retail — 0.6% | |||||||||
Amazon.com, Inc. (a) | 74,449 | 24,179,546 | |||||||
Expedia, Inc. | 13,300 | 1,047,508 | |||||||
Netflix, Inc. (a) | 30,768 | 13,556,381 | |||||||
38,783,435 | |||||||||
Internet Software & Services — 0.9% | |||||||||
Facebook, Inc. (a) | 17,800 | 1,197,762 | |||||||
Google, Inc., Class A (a) | 34,116 | 19,946,602 | |||||||
Google, Inc., Class C (a) | 29,652 | 17,058,203 | |||||||
LinkedIn Corp. (a) | 63,335 | 10,860,052 | |||||||
Twitter, Inc. (a) | 59,432 | 2,434,929 |
6
Number of Shares | Value | ||||||||
VeriSign, Inc. (a) | 32,800 | $ | 1,600,968 | ||||||
53,098,516 | |||||||||
IT Services — 0.4% | |||||||||
Amdocs, Ltd. | 18,120 | 839,499 | |||||||
Cognizant Technology Solutions Corp. (a) | 90,982 | 4,449,930 | |||||||
Computer Sciences Corp. | 23,400 | 1,478,880 | |||||||
International Business Machines Corp. (IBM) | 95,114 | 17,241,315 | |||||||
Lionbridge Technologies, Inc. (a) | 438,617 | 2,605,385 | |||||||
Mastercard, Inc. | 1,603 | 117,772 | |||||||
26,732,781 | |||||||||
Leisure Equipment & Products — 0.0% | |||||||||
Polaris Industries, Inc. | 13,400 | 1,745,216 | |||||||
Life Sciences Tools & Services — 0.2% | |||||||||
PerkinElmer, Inc. | 204,050 | 9,557,702 | |||||||
Thermo Fisher Scientific, Inc. | 1,469 | 173,342 | |||||||
9,731,044 | |||||||||
Machinery — 0.3% | |||||||||
Actuant Corp. | 186,300 | 6,440,391 | |||||||
Caterpillar, Inc. | 2,240 | 243,421 | |||||||
Lindsay Corp. | 113,000 | 9,545,110 | |||||||
Meritor, Inc. (a) | 281,312 | 3,668,308 | |||||||
19,897,230 | |||||||||
Media — 2.2% | |||||||||
Cablevision Systems Corp. | 548,936 | 9,688,720 | |||||||
CBS Corp., Class B | 92,620 | 5,755,407 | |||||||
CBS Outdoor Americas, Inc. | 200,200 | 6,542,536 | |||||||
Comcast Corp., Class A | 834,185 | 44,779,051 | |||||||
DIRECTV (a) | 27,200 | 2,312,272 | |||||||
Gray Television, Inc. (a) | 320,577 | 4,209,176 | |||||||
Live Nation, Inc. (a) | 243,338 | 6,008,015 | |||||||
McGraw-Hill Companies, Inc. (The) | 25,200 | 2,092,356 | |||||||
News Corp., Class A (a) | 246,800 | 4,427,592 | |||||||
News Corp., Class B (a) | 356,000 | 6,212,200 | |||||||
Sinclair Broadcast Group, Inc. | 277,859 | 9,655,600 | |||||||
Time Warner, Inc. | 2,155 | 151,389 | |||||||
Time, Inc. (a) | 469 | 11,353 | |||||||
Twenty-First Century Fox, Inc. | 158,919 | 5,586,003 | |||||||
Viacom, Inc. | 16,400 | 1,422,372 | |||||||
Walt Disney Co. (The) | 271,000 | 23,235,540 | |||||||
132,089,582 | |||||||||
Metals & Mining — 0.2% | |||||||||
Compass Minerals International, Inc. | 100,100 | 9,583,574 | |||||||
United States Steel Corp. | 71,700 | 1,867,068 | |||||||
11,450,642 | |||||||||
Multi-Utilities — 0.0% | |||||||||
Wisconsin Energy Corp. | 7,591 | 356,170 | |||||||
Multiline Retail — 0.1% | |||||||||
J.C. Penney Co., Inc. (a) | 376,300 | 3,405,515 | |||||||
Macy's, Inc. | 33,300 | 1,932,066 | |||||||
5,337,581 | |||||||||
Oil, Gas & Consumable Fuels — 0.8% | |||||||||
Chesapeake Energy Corp. | 597,100 | 18,557,868 | |||||||
ConocoPhillips Co. | 25,545 | 2,189,973 |
Number of Shares | Value | ||||||||
Exxon Mobil Corp. | 4,655 | $ | 468,665 | ||||||
Harvest Natural Resources, Inc. (a) | 443,434 | 2,212,736 | |||||||
Marathon Oil Corp. | 47,600 | 1,900,192 | |||||||
Marathon Petroleum Corp. | 23,530 | 1,836,987 | |||||||
Murphy Oil Corp. | 90,700 | 6,029,736 | |||||||
Occidental Petroleum Corp. | 2,109 | 216,447 | |||||||
Tesoro Corp. | 35,000 | 2,053,450 | |||||||
Valero Energy Corp. | 35,300 | 1,768,530 | |||||||
WPX Energy, Inc. (a) | 398,200 | 9,520,962 | |||||||
46,755,546 | |||||||||
Pharmaceuticals — 0.2% | |||||||||
AbbVie, Inc. | 2,587 | 146,010 | |||||||
Bristol-Myers Squibb Co. | 1,662 | 80,624 | |||||||
Johnson & Johnson | 254 | 26,574 | |||||||
Merck & Co., Inc. | 104,944 | 6,071,010 | |||||||
Pfizer, Inc. | 179,473 | 5,326,759 | |||||||
11,650,977 | |||||||||
Real Estate — 0.1% | |||||||||
CBRE Group, Inc. (a) | 30,360 | 972,734 | |||||||
Realogy Holdings Corp. (a) | 122,467 | 4,618,231 | |||||||
5,590,965 | |||||||||
Real Estate Investment Trusts (REITs) — 2.6% | |||||||||
Alexander's, Inc. | 31,963 | 11,809,369 | |||||||
Camden Property Trust | 90,446 | 6,435,233 | |||||||
CBL & Associates Properties, Inc. | 1,963,300 | 37,302,700 | |||||||
DCT Industrial Trust, Inc. | 768,100 | 6,306,101 | |||||||
DDR Corp. | 367,900 | 6,486,077 | |||||||
Douglas Emmett, Inc. | 225,700 | 6,369,254 | |||||||
DuPont Fabros Technology, Inc. | 257,500 | 6,942,200 | |||||||
Education Realty Trust, Inc. | 923,800 | 9,921,612 | |||||||
Gramercy Property Trust, Inc. | 952,900 | 5,765,045 | |||||||
Highwoods Properties, Inc. | 393,967 | 16,526,916 | |||||||
Post Properties, Inc. | 124,600 | 6,661,116 | |||||||
PulteGroup, Inc. | 165,900 | 3,344,544 | |||||||
Simon Property Group, Inc. | 1,511 | 251,249 | |||||||
SL Green Realty Corp. | 58,700 | 6,422,367 | |||||||
Starwood Property Trust, Inc. | 186,853 | 4,441,496 | |||||||
Starwood Waypoint Residential Trust (a) | 55,700 | 1,459,897 | |||||||
Ventas, Inc. | 154,600 | 9,909,860 | |||||||
Vornado Realty Trust | 121,100 | 12,925,003 | |||||||
Washington Prime Group, Inc. (a) | 1,023 | 19,171 | |||||||
159,299,210 | |||||||||
Real Estate Management & Development — 0.0% | |||||||||
TRI Pointe Homes, Inc. (a) | 85,600 | 1,345,632 | |||||||
Road & Rail — 0.0% | |||||||||
Union Pacific Corp. | 13,606 | 1,357,199 | |||||||
Semiconductors & Semiconductor Equipment — 0.4% | |||||||||
Entegris, Inc. (a) | 703,200 | 9,665,484 | |||||||
Intel Corp. | 295,005 | 9,115,654 | |||||||
Lam Research Corp. | 29,500 | 1,993,610 | |||||||
NVIDIA Corp. | 20,700 | 383,778 | |||||||
SunEdison, Inc. (a) | 169,608 | 3,833,141 | |||||||
Texas Instruments, Inc. | 3,152 | 150,634 | |||||||
25,142,301 |
7
Number of Shares | Value | ||||||||
Software — 0.5% | |||||||||
Cadence Design Systems, Inc. (a) | 243,747 | $ | 4,263,135 | ||||||
Microsoft Corp. | 395,709 | 16,501,065 | |||||||
MicroStrategy, Inc., Class A (a) | 28,659 | 4,030,029 | |||||||
Oracle Corp. | 183,615 | 7,441,916 | |||||||
Verint Systems, Inc. (a) | 4,227 | 207,334 | |||||||
32,443,479 | |||||||||
Specialty Retail — 0.9% | |||||||||
Aaron's, Inc. | 265,400 | 9,458,856 | |||||||
Best Buy Co., Inc. | 15,400 | 477,554 | |||||||
CST Brands, Inc. | 277,600 | 9,577,200 | |||||||
Destination XL Group, Inc. (a) | 358,561 | 1,975,671 | |||||||
Dick's Sporting Goods, Inc. | 96,623 | 4,498,767 | |||||||
Home Depot, Inc. (The) | 1,073 | 86,870 | |||||||
L Brands, Inc. | 170,803 | 10,019,304 | |||||||
Office Depot, Inc. (a) | 1,179,614 | 6,712,004 | |||||||
Penske Automotive Group, Inc. | 70,650 | 3,497,175 | |||||||
Pep Boys-Manny Moe & Jack (The) (a) | 511,459 | 5,861,320 | |||||||
TJX Companies, Inc. (The) | 1,519 | 80,735 | |||||||
52,245,456 | |||||||||
Textiles, Apparel & Luxury Goods — 0.6% | |||||||||
Lululemon Athletica, Inc. (a) | 11,998 | 485,679 | |||||||
Michael Kors Holdings, Ltd. (a) | 13,300 | 1,179,045 | |||||||
Nike, Inc. | 408,510 | 31,679,951 | |||||||
33,344,675 | |||||||||
Thrifts & Mortgage Finance — 0.0% | |||||||||
Ladder Capital Corp., Class A (a) | 147,044 | 2,657,085 | |||||||
Washington Mutual, Inc. (a) (c) (d) | 33,600 | — | |||||||
2,657,085 | |||||||||
Tobacco — 0.0% | |||||||||
Altria Group, Inc. | 383 | 16,063 | |||||||
Lorillard, Inc. | 34,900 | 2,127,853 | |||||||
Philip Morris International, Inc. | 8,362 | 705,000 | |||||||
2,848,916 | |||||||||
Trading Companies & Distributors — 0.0% | |||||||||
United Rentals, Inc. (a) | 9,600 | 1,005,408 | |||||||
Total US Common Stocks (Cost $1,072,306,981) | 1,307,191,110 | ||||||||
Foreign Common Stocks — 24.5% | |||||||||
Australia — 0.7% | |||||||||
ALS, Ltd. | 22,527 | 188,306 | |||||||
Alumina, Ltd. (a) | 385,654 | 491,392 | |||||||
Amcor, Ltd. | 20,037 | 197,176 | |||||||
Ansell, Ltd. | 3,243 | 60,681 | |||||||
BHP Billiton, Ltd. | 13,983 | 477,710 | |||||||
BlueScope Steel, Ltd. (a) | 85,644 | 437,540 | |||||||
Coca-Cola Amatil, Ltd. | 77,337 | 689,564 | |||||||
Fairfax Media, Ltd. | 482,528 | 411,654 | |||||||
Goodman Fielder, Ltd. | 239,470 | 153,512 | |||||||
Iluka Resources, Ltd. | 40,482 | 310,657 | |||||||
Metcash, Ltd. | 80,648 | 200,863 | |||||||
Mineral Resources, Ltd. | 518,800 | 4,695,968 | |||||||
Orica, Ltd. | 16,287 | 299,445 | |||||||
Premier Investments, Ltd. | 4,218 | 33,801 |
Number of Shares | Value | ||||||||
QBE Insurance Group, Ltd. – ASE Shares | 282,341 | $ | 2,895,780 | ||||||
SAI Global, Ltd. | 41,795 | 201,438 | |||||||
Santos, Ltd. | 12,946 | 174,204 | |||||||
Scentre Group (a) | 6,496,726 | 19,603,473 | |||||||
Sigma Pharmaceuticals, Ltd. | 383,314 | 264,011 | |||||||
Toll Holdings, Ltd. | 69,685 | 335,360 | |||||||
Transpacific Industries Group, Ltd. (a) | 292,552 | 279,925 | |||||||
Westfield Corp. – REIT | 1,450,998 | 9,788,106 | |||||||
Wotif.com Holdings, Ltd. | 26,802 | 61,480 | |||||||
42,252,046 | |||||||||
Austria — 0.2% | |||||||||
Andritz AG | 5,107 | 294,809 | |||||||
CA Immobilien Anlagen AG (a) | 175,100 | 3,315,381 | |||||||
Conwert Immobilien Invest SE | 460,200 | 5,460,479 | |||||||
Oesterreichische Post AG | 10,728 | 532,911 | |||||||
Wienerberger AG | 32,305 | 541,064 | |||||||
10,144,644 | |||||||||
Belgium — 0.0% | |||||||||
Ageas, Strip VVPR (a) (d) | 1,966 | 3 | |||||||
Anheuser-Busch InBev NV | 18,136 | 2,084,571 | |||||||
2,084,574 | |||||||||
Brazil — 0.3% | |||||||||
B2W Cia Digital (a) | 227,300 | 2,880,471 | |||||||
Brasil Pharma SA (a) | 736,483 | 1,229,971 | |||||||
EDP – Energias do Brasil SA | 983,900 | 4,831,552 | |||||||
Grupo BTG Pactual (UNIT) | 106,400 | 1,656,556 | |||||||
LPS Brasil Consultoria de Imoveis SA | 214,300 | 969,903 | |||||||
MRV Engenharia e Participacoes SA | 802,900 | 2,710,855 | |||||||
Totvs SA | 178,900 | 3,076,805 | |||||||
17,356,113 | |||||||||
Canada — 0.3% | |||||||||
Dollarama, Inc. | 9,744 | 802,221 | |||||||
Fairfax Financial Holdings, Ltd. | 11,900 | 5,645,488 | |||||||
Hudson's Bay Co. | 3,801 | 60,236 | |||||||
Magna International, Inc. | 19,700 | 2,122,675 | |||||||
Maple Leaf Foods, Inc. – TSE Shares | 61,675 | 1,147,899 | |||||||
Maple Leaf Foods, Inc. – OTC Shares | 228,469 | 4,245,297 | |||||||
Peyto Exploration & Development Corp. | 100,121 | 3,782,276 | |||||||
Suncor Energy, Inc. | 12,200 | 520,086 | |||||||
18,326,178 | |||||||||
Chile — 0.1% | |||||||||
Cia Cervecerias Unidas SA | 246,535 | 2,891,960 | |||||||
Cia Cervecerias Unidas SA – ADR | 5,694 | 133,353 | |||||||
Enersis SA – SPADR | 201,900 | 3,402,015 | |||||||
Quinenco SA | 197,730 | 409,394 | |||||||
Sociedad Quimica y Minera de Chile SA – SPADR | 42,972 | 1,259,509 | |||||||
8,096,231 | |||||||||
China — 0.6% | |||||||||
Ajisen China Holdings, Ltd. | 640,000 | 497,759 | |||||||
Baidu, Inc. – SPADR (a) | 40,916 | 7,643,518 | |||||||
Belle International Holdings, Ltd. | 2,561,000 | 2,841,297 | |||||||
China Resources Enterprise, Ltd. | 2,244,122 | 6,258,984 |
8
Number of Shares | Value | ||||||||
China Shenhua Energy Co., Ltd. | 669,000 | $ | 1,935,214 | ||||||
China XD Plastics Co., Ltd. (a) | 20,451 | 171,584 | |||||||
Goodbaby International Holdings, Ltd. | 40,000 | 19,718 | |||||||
Li Ning Co., Ltd. (a) | 3,901,000 | 3,127,913 | |||||||
Mindray Medical International, Ltd. – ADR | 198,928 | 6,266,232 | |||||||
Shui On Land, Ltd. | 10,321,333 | 2,517,323 | |||||||
Travelsky Technology, Ltd. | 695,000 | 639,381 | |||||||
Tsingtao Brewery Co., Ltd., Class H | 394,000 | 3,084,451 | |||||||
Yongye International, Inc. (a) | 73,644 | 516,245 | |||||||
35,519,619 | |||||||||
Colombia — 0.0% | |||||||||
Bancolombia SA – SPADR | 50,300 | 2,907,340 | |||||||
Czech Republic — 0.0% | |||||||||
Komercni Banka AS | 5,074 | 1,167,103 | |||||||
Denmark — 0.2% | |||||||||
Carlsberg A/S, Class B | 11,779 | 1,268,700 | |||||||
Coloplast A/S, Class B | 48,820 | 4,417,164 | |||||||
Danske Bank A/S | 7,357 | 208,045 | |||||||
GN Store Nord A/S (GN Great Nordic) | 67,355 | 1,929,878 | |||||||
Novo Nordisk A/S, Class B | 28,350 | 1,308,710 | |||||||
Topdanmark A/S (a) | 9,155 | 278,839 | |||||||
Vestas Wind Systems A/S (a) | 73,451 | 3,709,448 | |||||||
William Demant Holding A/S (a) | 12,027 | 1,092,036 | |||||||
14,212,820 | |||||||||
Finland — 0.2% | |||||||||
Cargotec Oyj, Class B | 3,528 | 134,281 | |||||||
Metso Oyj | 22,729 | 861,136 | |||||||
Outokumpu Oyj (a) | 1,989 | 20,025 | |||||||
Sampo Oyj, Class A | 64,231 | 3,251,115 | |||||||
Tikkurila Oyj (d) | 306,675 | 8,388,012 | |||||||
Valmet Corp. | 22,685 | 271,204 | |||||||
Wartsila Corp. | 9,206 | 456,282 | |||||||
13,382,055 | |||||||||
France — 0.9% | |||||||||
Air France-KLM SA (a) | 66,702 | 838,750 | |||||||
AXA SA | 41,917 | 1,000,340 | |||||||
BNP Paribas SA | 23,056 | 1,564,334 | |||||||
Carrefour SA | 10,318 | 380,276 | |||||||
Edenred SA | 13,827 | 418,971 | |||||||
Eurofins Scientific | 2,675 | 822,217 | |||||||
France Telecom SA | 184,910 | 2,914,122 | |||||||
GDF Suez, Strip VVPR (a) (d) | 9,765 | 13 | |||||||
Groupe Eurotunnel SA | 70,411 | 953,200 | |||||||
Imerys SA | 1,795 | 151,482 | |||||||
Lafarge SA | 171,800 | 14,915,686 | |||||||
Legrand SA | 26,067 | 1,593,529 | |||||||
Neopost SA | 10,398 | 778,841 | |||||||
SA des Ciments Vicat | 3,807 | 332,482 | |||||||
Safran SA | 118,838 | 7,776,085 | |||||||
Sanofi SA | 110,001 | 11,700,036 | |||||||
Technip SA | 1,931 | 211,515 | |||||||
Thales SA | 6,451 | 389,862 | |||||||
Total SA | 142,050 | 10,263,172 |
Number of Shares | Value | ||||||||
Vallourec SA | 8,997 | $ | 402,700 | ||||||
57,407,613 | |||||||||
Germany — 0.6% | |||||||||
Adidas AG | 2,201 | 222,942 | |||||||
Alstria Office AG – REIT | 719,134 | 9,524,185 | |||||||
Axel Springer AG | 2,633 | 162,005 | |||||||
BASF SE | 21,900 | 2,549,990 | |||||||
Bayerische Motoren Werke AG | 14,631 | 1,855,841 | |||||||
Brenntag AG | 173 | 30,914 | |||||||
CTS Eventim AG | 5,114 | 145,971 | |||||||
Deutsche Bank AG | 4 | 141 | |||||||
Deutsche Telekom AG | 561,181 | 9,836,247 | |||||||
E.ON AG | 30,462 | 629,017 | |||||||
Fielmann AG | 2,012 | 290,138 | |||||||
Fresenius Medical Care AG & Co. | 30,228 | 2,034,134 | |||||||
GEA Group AG | 4,958 | 234,842 | |||||||
Gerresheimer AG | 1,227 | 84,589 | |||||||
Hannover Rueckversicherung AG | 2,270 | 204,573 | |||||||
Hochtief AG | 12,021 | 1,040,562 | |||||||
Kabel Deutschland Holding AG | 3,731 | 546,448 | |||||||
SAP AG | 93,316 | 7,207,544 | |||||||
TUI AG | 25,656 | 431,888 | |||||||
37,031,971 | |||||||||
Gibraltar — 0.0% | |||||||||
Bwin.Party Digital Entertainment plc | 122,020 | 200,198 | |||||||
Hong Kong — 0.9% | |||||||||
Cheung Kong Holdings, Ltd. | 851,000 | 15,089,841 | |||||||
China Mengniu Dairy Co., Ltd. | 599,000 | 2,769,673 | |||||||
China Mobile, Ltd. | 422,500 | 4,101,713 | |||||||
Esprit Holdings, Ltd. | 569,900 | 808,913 | |||||||
First Pacific Co., Ltd. | 206,000 | 231,788 | |||||||
Hong Kong & Shanghai Hotels, Ltd. (The) | 52,302 | 74,551 | |||||||
Hopewell Holdings, Ltd. | 1,489,000 | 5,179,127 | |||||||
Hutchison Whampoa, Ltd. | 92,000 | 1,257,322 | |||||||
Jardine Matheson Holdings, Ltd. | 13,200 | 783,079 | |||||||
Melco International Development, Ltd. | 4,295,000 | 13,055,408 | |||||||
Sino Land Co., Ltd. | 338,000 | 555,379 | |||||||
Sun Hung Kai Properties, Ltd. | 476,600 | 6,544,535 | |||||||
Yingde Gases | 3,001,500 | 3,273,033 | |||||||
Yip's Chemical Holdings, Ltd. | 102,000 | 66,353 | |||||||
53,790,715 | |||||||||
India — 0.1% | |||||||||
Axis Bank, Ltd. – GDR | 160,790 | 5,097,043 | |||||||
Indonesia — 0.1% | |||||||||
Bank Mandiri Persero Tbk PT | 3,405,100 | 2,795,735 | |||||||
Perusahaan Gas Negara (Persero) Tbk PT | 6,342,800 | 2,984,391 | |||||||
XL Axiata Tbk PT | 1,615,000 | 694,672 | |||||||
6,474,798 | |||||||||
Ireland — 0.1% | |||||||||
CRH plc | 4,829 | 123,873 | |||||||
DCC plc | 16,199 | 992,605 | |||||||
Experian plc | 60,513 | 1,022,042 |
9
Number of Shares | Value | ||||||||
Governor & Co. of the Bank of Ireland (The) (a) | 4,621,614 | $ | 1,560,863 | ||||||
Independent News & Media plc (a) | 421,481 | 90,036 | |||||||
Irish Bank Resolution Corp., Ltd. (a) (d) | 38,180 | — | |||||||
Irish Continental Group plc (UNIT) | 80,230 | 297,744 | |||||||
Paddy Power plc | 11,012 | 723,627 | |||||||
4,810,790 | |||||||||
Israel — 0.2% | |||||||||
Check Point Software Technologies, Ltd. (a) | 19,100 | 1,280,273 | |||||||
Teva Pharmaceutical Industries, Ltd. – SPADR | 206,200 | 10,809,004 | |||||||
12,089,277 | |||||||||
Italy — 0.6% | |||||||||
Davide Campari-Milano SpA | 21,769 | 188,235 | |||||||
Eni SpA | 295,535 | 8,078,185 | |||||||
Exor SpA | 225,079 | 9,244,973 | |||||||
Immobiliare Grande Distribuzione SIIQ SpA – REIT | 3,340,772 | 5,901,026 | |||||||
Intesa Sanpaolo SpA | 89,460 | 275,786 | |||||||
Luxottica Group SpA | 35,023 | 2,027,019 | |||||||
Luxottica Group SpA – SPADR | 4,764 | 276,121 | |||||||
Piaggio & C SpA (a) | 2,442,835 | 8,688,548 | |||||||
Saipem SpA (a) | 61,129 | 1,647,339 | |||||||
UniCredit SpA | 67,174 | 562,628 | |||||||
36,889,860 | |||||||||
Japan — 7.5% | |||||||||
Alfresa Holdings Corp. | 19,300 | 1,245,448 | |||||||
Asahi Diamond Industrial Co., Ltd. | 1,327,800 | 21,089,330 | |||||||
Asatsu-DK, Inc. | 235,700 | 6,375,183 | |||||||
Astellas Pharma, Inc. | 72,600 | 955,702 | |||||||
Azbil Corp. | 804,800 | 20,629,652 | |||||||
Bank of Yokohama, Ltd. (The) | 69,000 | 397,863 | |||||||
BML, Inc. | 597,900 | 23,163,174 | |||||||
Canon, Inc. | 164,100 | 5,371,565 | |||||||
Cawachi, Ltd. | 262,900 | 5,023,124 | |||||||
Chiba Bank, Ltd. (The) | 73,000 | 516,266 | |||||||
Dai-ichi Life Insurance Co., Ltd. (The) | 129,100 | 1,927,583 | |||||||
Daiichikosho Co., Ltd. | 811,400 | 23,304,531 | |||||||
Dentsu, Inc. | 19,300 | 787,676 | |||||||
Duskin Co., Ltd. | 980,100 | 18,991,829 | |||||||
East Japan Railway Co. | 23,100 | 1,821,895 | |||||||
FUJIFILM Holdings Corp. | 80,500 | 2,249,531 | |||||||
Fujitsu, Ltd. | 255,000 | 1,915,640 | |||||||
Goldcrest Co., Ltd. | 152,500 | 3,357,738 | |||||||
Hakuhodo DY Holdings, Inc. | 1,480,000 | 14,718,182 | |||||||
Hitachi Metals, Ltd. | 40,000 | 606,695 | |||||||
Hitachi, Ltd. | 329,000 | 2,414,425 | |||||||
Hoshizaki Electric Co., Ltd. | 432,600 | 21,593,322 | |||||||
Isetan Mitsukoshi Holdings, Ltd. | 84,200 | 1,099,074 | |||||||
ITOCHU Corp. | 65,400 | 841,316 | |||||||
JX Holdings, Inc. | 125,900 | 674,691 | |||||||
Kao Corp. | 51,000 | 2,009,336 | |||||||
Kewpie Corp. | 1,001,500 | 16,315,655 | |||||||
Kinden Corp. | 27,000 | 262,904 | |||||||
Kirin Holdings Co., Ltd. | 83,000 | 1,200,381 |
Number of Shares | Value | |||||||
Kurita Water Industries, Ltd. | 950,100 | $ | 22,048,465 | |||||
LIXIL Group Corp. | 26,800 | 724,841 | ||||||
Marui Group Co., Ltd. | 73,800 | 708,516 | ||||||
Matsuda Sangyo Co., Ltd. | 105,000 | 1,300,504 | ||||||
Meiko Network Japan Co., Ltd. | 804,400 | 10,289,535 | ||||||
Miraca Holdings, Inc. | 370,300 | 17,964,116 | ||||||
Mitsubishi Corp. | 74,600 | 1,554,060 | ||||||
Mitsubishi Estate Co., Ltd. | 33,000 | 816,454 | ||||||
Mitsubishi Heavy Industries, Ltd. | 195,000 | 1,218,905 | ||||||
Mitsubishi Logistics Corp. | 28,000 | 420,113 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 311,500 | 1,913,537 | ||||||
Mitsui Fudosan Co., Ltd. | 29,400 | 994,211 | ||||||
Mizuho Financial Group, Inc. | 392,200 | 806,217 | ||||||
Moshi Moshi Hotline, Inc. | 1,358,900 | 13,397,027 | ||||||
MS&AD Insurance Group Holdings | 70,500 | 1,706,948 | ||||||
Nakanishi, Inc. | 400,200 | 16,449,553 | ||||||
Namco Bandai Holdings, Inc. | 44,800 | 1,051,082 | ||||||
Nintendo Co., Ltd. | 4,700 | 563,242 | ||||||
Nippon Meat Packers, Inc. | 51,000 | 997,580 | ||||||
Nippon Suisan Kaisha, Ltd. (a) | 87,800 | 271,590 | ||||||
Nippon Telegraph & Telephone Corp. | 54,900 | 3,428,831 | ||||||
NKSJ Holdings, Inc. | 26,500 | 715,317 | ||||||
NSD Co., Ltd. | 662,700 | 8,730,154 | ||||||
NTT Data Corp. | 34,500 | 1,327,569 | ||||||
NTT DoCoMo, Inc. | 210,200 | 3,598,319 | ||||||
Obayashi Corp. | 200,000 | 1,429,774 | ||||||
Onward Holdings Co., Ltd. | 62,000 | 445,496 | ||||||
Otsuka Holdings Co., Ltd. | 15,800 | 490,368 | ||||||
Resona Holdings, Inc. | 247,600 | 1,444,894 | ||||||
Sanrio Co., Ltd. | 502,400 | 14,608,388 | ||||||
Secom Co., Ltd. | 361,700 | 22,139,712 | ||||||
Sega Sammy Holdings, Inc. | 25,400 | 500,657 | ||||||
Sekisui House, Ltd. | 90,000 | 1,236,490 | ||||||
Seven & I Holdings Co., Ltd. | 116,100 | 4,899,451 | ||||||
Seven Bank, Ltd. | 5,465,900 | 22,362,766 | ||||||
Shimizu Corp. | 126,000 | 893,424 | ||||||
Shiseido Co., Ltd. | 30,600 | 558,472 | ||||||
Sumitomo Chemical Co., Ltd. | 289,000 | 1,094,894 | ||||||
Sumitomo Electric Industries, Ltd. | 61,500 | 867,291 | ||||||
Sumitomo Forestry Co., Ltd. | 45,700 | 558,455 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 66,800 | 2,804,945 | ||||||
Taiyo Nippon Sanso Corp. | 47,000 | 416,939 | ||||||
TOKAI Corp. – Gifu | 260,700 | 7,230,371 | ||||||
Tokyo Gas Co., Ltd. | 182,000 | 1,064,673 | ||||||
Toshiba Corp. | 321,213 | 1,502,489 | ||||||
Toyo Seikan Kaisha, Ltd. | 45,600 | 702,025 | ||||||
Toyo Suisan Kaisha, Ltd. | 676,000 | 20,881,105 | ||||||
Toyota Industries Corp. | 21,700 | 1,122,642 | ||||||
Toyota Motor Corp. | 44,200 | 2,658,814 | ||||||
West Japan Railway Co. | 22,600 | 996,000 | ||||||
Yahoo Japan Corp. | 4,456,300 | 20,650,625 | ||||||
Yamada Denki Co., Ltd. | 88,300 | 315,143 | ||||||
Yamato Holdings Co., Ltd. | 53,100 | 1,099,823 | ||||||
ZOJIRUSHI Corp. | 1,213,000 | 5,534,845 | ||||||
454,367,368 |
10
Number of Shares | Value | ||||||||
Luxembourg — 0.1% | |||||||||
ArcelorMittal SA – EN Amsterdam Shares | 46,968 | $ | 698,068 | ||||||
GAGFAH SA (a) | 140,269 | 2,553,762 | |||||||
Millicom International Cellular SA | 4,492 | 411,476 | |||||||
O'Key Group SA – GDR | 170,413 | 1,565,243 | |||||||
Oriflame Cosmetics SA – SDR | 2,064 | 48,098 | |||||||
5,276,647 | |||||||||
Malaysia — 0.1% | |||||||||
AirAsia Berhad | 4,487,200 | 3,214,473 | |||||||
Mexico — 0.3% | |||||||||
America Movil SAB de CV, Series L – ADR | 213,963 | 4,439,732 | |||||||
Fibra Uno Administracion SA de CV – REIT | 1,637,300 | 5,740,994 | |||||||
Grupo Comercial Chedraui SA de CV | 1,381,300 | 4,871,043 | |||||||
Grupo Financiero Santander Mexico SAB de CV – ADR | 246,400 | 3,272,192 | |||||||
18,323,961 | |||||||||
Netherlands — 0.9% | |||||||||
Akzo Nobel NV | 6,956 | 521,541 | |||||||
ASML Holding NV | 3,034 | 282,356 | |||||||
European Aeronautic Defence and Space Co. NV | 13,707 | 919,986 | |||||||
Heineken NV | 22,253 | 1,597,680 | |||||||
Koninklijke (Royal) KPN NV (a) | 242,495 | 883,009 | |||||||
Koninklijke (Royal) Philips Electronics NV | 359,068 | 11,382,623 | |||||||
Koninklijke Ahold NV | 517,245 | 9,705,469 | |||||||
Koninklijke Boskalis Westminster NV – CVA | 32,670 | 1,871,763 | |||||||
Koninklijke Vopak NV | 91,600 | 4,475,555 | |||||||
LyondellBasell Industries NV, Class A | 25,400 | 2,480,310 | |||||||
Nieuwe Steen Investments NV – REIT | 1,006,100 | 6,336,905 | |||||||
OCI NV (a) | 71,000 | 2,767,745 | |||||||
Randstad Holding NV | 2,799 | 151,582 | |||||||
Royal Dutch Shell plc, Class A – Quote MTF Shares | 271,592 | 11,239,900 | |||||||
Royal Dutch Shell plc, Class B | 32,569 | 1,416,370 | |||||||
56,032,794 | |||||||||
New Zealand — 0.0% | |||||||||
Telecom Corp. of New Zealand, Ltd. | 157,200 | 368,847 | |||||||
Norway — 0.2% | |||||||||
DNB ASA | 71,090 | 1,298,628 | |||||||
Norwegian Property ASA (a) | 5,495,445 | 6,765,231 | |||||||
Orkla ASA | 32,148 | 286,183 | |||||||
Schibsted ASA | 11,858 | 616,734 | |||||||
StatoilHydro ASA | 37,145 | 1,145,871 | |||||||
10,112,647 | |||||||||
Philippines (The) — 0.2% | |||||||||
Energy Development Corp. | 43,132,400 | 6,225,686 | |||||||
Lopez Holdings Corp. | 12,578,328 | 1,542,494 | |||||||
Philippine Long Distance Telephone Co. – SPADR | 50,600 | 3,409,428 | |||||||
11,177,608 | |||||||||
Poland — 0.1% | |||||||||
Globe Trade Centre SA (a) | 1,877,500 | 4,865,239 |
Number of Shares | Value | ||||||||
Russia — 0.1% | |||||||||
Globaltrans Investment plc – SPGDR | 44,306 | $ | 507,304 | ||||||
LSR Group – GDR | 52,029 | 203,069 | |||||||
Sberbank of Russia – SPADR – LSE Shares | 329,344 | 3,349,429 | |||||||
Sberbank of Russia – SPADR – OTC Shares | 9,011 | 91,082 | |||||||
4,150,884 | |||||||||
Singapore — 0.4% | |||||||||
CapitaRetail China Trust – REIT | 1,758,400 | 2,087,280 | |||||||
DBS Group Holdings, Ltd. | 26,465 | 354,834 | |||||||
Great Eastern Holdings, Ltd. | 98,000 | 1,719,849 | |||||||
GuocoLeisure, Ltd. | 147,000 | 133,813 | |||||||
K-REIT Asia – REIT | 3,160,200 | 3,243,887 | |||||||
SembCorp Industries, Ltd. | 1,225,000 | 5,263,918 | |||||||
Singapore Telecommunications, Ltd. | 1,860,000 | 5,745,828 | |||||||
United Overseas Bank, Ltd. | 227,014 | 4,102,811 | |||||||
22,652,220 | |||||||||
South Africa — 0.1% | |||||||||
African Bank Investments, Ltd. | 3,640,881 | 2,324,595 | |||||||
MTN Group, Ltd. | 118,815 | 2,500,271 | |||||||
Standard Bank Group, Ltd. | 227,043 | 3,095,407 | |||||||
7,920,273 | |||||||||
South Korea — 0.9% | |||||||||
Hana Financial Group, Inc. | 171,412 | 6,302,288 | |||||||
Hyundai Mobis Co., Ltd. | 17,384 | 4,878,537 | |||||||
Hyundai Motor Co. | 34,396 | 7,800,213 | |||||||
KB Financial Group, Inc. | 77,684 | 2,706,151 | |||||||
Kolon Industries, Inc. | 55,143 | 3,874,281 | |||||||
LG Uplus Corp. | 263,460 | 2,399,120 | |||||||
Lotte Shopping Co., Ltd. | 16,302 | 4,952,442 | |||||||
S-1 Corp. | 53,732 | 4,318,596 | |||||||
Samsung Electronics Co., Ltd. | 7,346 | 9,605,132 | |||||||
Shinhan Financial Group Co., Ltd. | 159,440 | 7,387,706 | |||||||
54,224,466 | |||||||||
Spain — 0.8% | |||||||||
Acciona SA | 7,224 | 645,235 | |||||||
Acerinox SA | 49,269 | 874,796 | |||||||
Banco Santander SA | 155,460 | 1,622,201 | |||||||
Ferrovial SA | 390,600 | 8,689,553 | |||||||
Iberdrola SA | 904,718 | 6,917,089 | |||||||
Inmobiliaria Colonial SA (a) | 9,846,427 | 7,849,152 | |||||||
Lar Espana Real Estate socimi SA REIT (a) | 447,400 | 5,817,172 | |||||||
Mediaset Espana Comunicacion SA (a) | 43,495 | 506,426 | |||||||
Melia Hotels International SA | 15,905 | 195,607 | |||||||
Realia Business SA (a) | 2,168,100 | 4,556,231 | |||||||
Telefonica SA | 390,473 | 6,694,536 | |||||||
Viscofan SA | 15,874 | 945,750 | |||||||
45,313,748 | |||||||||
Sweden — 0.2% | |||||||||
Assa Abloy AB, Class B | 53,883 | 2,738,674 | |||||||
Modern Times Group AB, Class B | 14,832 | 636,887 | |||||||
Nordea Bank AB | 46,275 | 652,396 | |||||||
Svenska Handelsbanken AB, Class A | 43,457 | 2,124,853 |
11
Number of Shares | Value | ||||||||
Swedish Match AB | 30,365 | $ | 1,053,407 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 553,516 | 6,692,906 | |||||||
13,899,123 | |||||||||
Switzerland — 0.8% | |||||||||
ABB, Ltd. – SIX Swiss Exchange | 299,477 | 6,910,974 | |||||||
Adecco SA | 15,009 | 1,234,219 | |||||||
Cie Financiere Richemont SA | 21,032 | 2,207,429 | |||||||
Geberit AG | 6,095 | 2,140,438 | |||||||
Glencore Xstrata plc | 159,492 | 888,718 | |||||||
Helvetia Holding AG | 340 | 156,122 | |||||||
Holcim, Ltd. (a) | 49,524 | 4,353,449 | |||||||
Logitech International SA | 42,741 | 556,490 | |||||||
Nestle SA | 73,785 | 5,717,080 | |||||||
Novartis AG | 112,665 | 10,205,440 | |||||||
Roche Holding AG | 8,733 | 2,605,940 | |||||||
Sonova Holding AG | 4,044 | 617,274 | |||||||
Syngenta AG | 10,348 | 3,866,216 | |||||||
TE Connectivity, Ltd. | 30,400 | 1,879,936 | |||||||
UBS AG | 51,190 | 938,010 | |||||||
Zurich Insurance Group AG | 11,088 | 3,342,923 | |||||||
47,620,658 | |||||||||
Taiwan — 0.4% | |||||||||
ChipMOS TECHNOLOGIES Bermuda, Ltd. | 55,007 | 1,327,319 | |||||||
Delta Electronics, Inc. | 572,000 | 4,170,002 | |||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 2,783,229 | 11,724,644 | |||||||
Yungtay Engineering Co., Ltd. | 2,240,000 | 5,326,450 | |||||||
22,548,415 | |||||||||
Thailand — 0.2% | |||||||||
Bangkok Bank PCL | 414,000 | 2,468,576 | |||||||
Krung Thai Bank PCL | 4,520,200 | 2,910,867 | |||||||
PTT PCL | 323,900 | 3,173,631 | |||||||
Thanachart Capital PCL | 3,687,000 | 4,004,522 | |||||||
12,557,596 | |||||||||
Turkey — 0.2% | |||||||||
KOC Holding AS | 296,363 | 1,454,954 | |||||||
Tupras Turkiye Petrol Rafinerileri AS | 244,239 | 5,695,514 | |||||||
Turkiye Garanti Bankasi AS | 1,872,018 | 7,325,910 | |||||||
14,476,378 | |||||||||
United Kingdom — 4.9% | |||||||||
3i Group plc | 155,085 | 1,065,373 | |||||||
Admiral Group plc | 33,194 | 882,298 | |||||||
AMEC plc | 351,131 | 7,293,192 | |||||||
Anglo American plc – JSE Shares | 83,223 | 2,038,431 | |||||||
Anglo American plc – LSE Shares | 2,345 | 57,287 | |||||||
Aon plc | 121,500 | 10,945,935 | |||||||
Atrium European Real Estate, Ltd. (a) | 2,147,860 | 12,835,115 | |||||||
BAE Systems plc | 185,071 | 1,371,242 | |||||||
Barclays plc | 375,766 | 1,368,794 | |||||||
Barratt Developments plc | 34,567 | 220,693 | |||||||
Betfair Group plc | 23,314 | 409,027 | |||||||
BG Group plc | 406,335 | 8,590,452 | |||||||
BHP Billiton plc | 44,641 | 1,453,479 |
Number of Shares | Value | |||||||
BP plc | 1,452,839 | $ | 12,792,543 | |||||
British American Tobacco plc | 2,310 | 137,461 | ||||||
British Sky Broadcasting Group plc | 21,864 | 337,940 | ||||||
BT Group plc | 5,520,298 | 36,317,469 | ||||||
Bunzl plc | 77,818 | 2,158,162 | ||||||
Cable & Wireless Communications plc | 636,286 | 535,539 | ||||||
Capita plc | 129,704 | 2,539,659 | ||||||
Carnival plc | 23,488 | 886,238 | ||||||
Centrica plc | 26,344 | 140,839 | ||||||
Clarkson plc | 26,977 | 1,105,717 | ||||||
Close Brothers Group plc | 7,991 | 174,588 | ||||||
CNH Industrial NV – ISE Shares | 106,244 | 1,089,924 | ||||||
Compass Group plc (a) | 156,371 | 2,729,740 | ||||||
Daily Mail & General Trust plc, Class A | 31,531 | 448,507 | ||||||
Delphi Automotive plc | 30,500 | 2,096,570 | ||||||
Devro plc | 85,077 | 361,991 | ||||||
Diageo plc | 371,714 | 11,832,881 | ||||||
G4S plc | 321,130 | 1,401,838 | ||||||
GlaxoSmithKline plc | 279,541 | 7,469,848 | ||||||
GVC Holdings plc | 20,265 | 152,727 | ||||||
Hays plc | 281,488 | 702,699 | ||||||
Homeserve plc | 155,698 | 857,939 | ||||||
HSBC Holdings plc – LSE Shares | 729,870 | 7,409,709 | ||||||
HSBC Holdings plc – SEHK Shares | 58,377 | 592,354 | ||||||
ICAP plc | 119,245 | 774,582 | ||||||
IG Group Holdings plc | 60,788 | 611,973 | ||||||
IMI plc | 7,749 | 197,053 | ||||||
Informa plc | 143,014 | 1,177,071 | ||||||
International Consolidated Airlines Group SA (a) | 4,009,809 | 25,383,164 | ||||||
International Personal Finance plc | 136,229 | 1,374,208 | ||||||
Intertek Group plc | 55,703 | 2,619,681 | ||||||
ITV plc | 564,878 | 1,720,237 | ||||||
Jupiter Fund Management plc | 71,893 | 491,634 | ||||||
Ladbrokes plc | 81,894 | 196,250 | ||||||
Liberty Global plc, Class A (a) | 62,892 | 2,781,084 | ||||||
Lloyds Banking Group plc (a) | 32,297,309 | 41,072,381 | ||||||
Merlin Entertainments plc (a) (e) | 135,531 | 830,240 | ||||||
Michael Page International plc | 21,653 | 159,482 | ||||||
Millennium & Copthorne Hotels plc | 19,784 | 197,553 | ||||||
Moneysupermarket.com Group plc | 34,550 | 111,237 | ||||||
National Express Group plc | 33,802 | 151,379 | ||||||
Northgate plc | 20,851 | 187,158 | ||||||
Old Mutual plc | 903,128 | 3,055,309 | ||||||
Perform Group plc (a) | 50,066 | 199,714 | ||||||
Petrofac, Ltd. | 6,701 | 137,719 | ||||||
Provident Financial plc | 43,055 | 1,681,464 | ||||||
Punch Taverns plc (a) | 18,714,179 | 3,041,038 | ||||||
Reckitt Benckiser Group plc | 30,632 | 2,671,344 | ||||||
Reed Elsevier plc | 966,567 | 15,534,778 | ||||||
Rexam plc | 101,018 | 924,462 | ||||||
Rightmove plc | 55,865 | 2,056,453 | ||||||
Rio Tinto plc | 22,019 | 1,188,115 | ||||||
Rolls-Royce Holdings plc – LSE Shares | 51,516 | 940,892 | ||||||
SABMiller plc | 65,509 | 3,794,346 | ||||||
Sage Group plc | 214,651 | 1,409,446 | ||||||
Serco Group plc | 108,871 | 681,770 |
12
Number of Shares | Value | ||||||||
Smith & Nephew plc | 13,511 | $ | 240,255 | ||||||
Smiths Group plc | 33,501 | 743,129 | |||||||
Spectris plc | 23,572 | 894,812 | |||||||
Stagecoach Group plc | 154,755 | 994,544 | |||||||
Standard Chartered plc | 15,925 | 325,440 | |||||||
Tesco plc | 2,079,996 | 10,103,649 | |||||||
Thomas Cook Group plc (a) | 440,385 | 1,009,419 | |||||||
Tui Travel plc | 158,666 | 1,079,496 | |||||||
Unilever plc | 285,417 | 12,942,293 | |||||||
Vodafone Group plc | 205,425 | 686,487 | |||||||
Weir Group plc (The) | 103,382 | 4,628,140 | |||||||
WH Smith plc | 35,000 | 640,128 | |||||||
WPP plc | 47,277 | 1,029,454 | |||||||
295,474,663 | |||||||||
Total Foreign Common Stocks (Cost $1,281,907,497) | 1,483,818,996 | ||||||||
Total Common Stocks (Cost $2,354,214,478) | 2,791,010,106 | ||||||||
Participation Notes — 0.3% | |||||||||
Axis Bank, Ltd., Equity Linked Notes, Expiring 03/10/16 (India) (a)(c) | 145,137 | 4,626,592 | |||||||
Bank of Baroda, Ltd., Equity Linked Notes, Expiring 06/30/16 (India) (a)(c) | 201,328 | 2,934,992 | |||||||
Bharti Airtel, Ltd., Equity Linked Notes, Expiring 08/01/16 (India) (a)(c) | 434,959 | 2,429,274 | |||||||
CESC, Ltd., Equity Linked Notes, Expiring 03/31/17 (India) (a)(c) | 799,681 | 9,389,026 | |||||||
Total Participation Notes (Cost $14,892,877) | 19,379,884 |
Principal Amount | Value | |||||||
Corporate Bonds — 0.0% | ||||||||
Consumer, Cyclical — 0.0% | ||||||||
BB Liquidating, Inc. (c)(d)(f) (Cost $213,716) 9.000%, 09/01/12 | $ | 344,000 | $ | — | ||||
Asset-Backed Securities — 0.8% | ||||||||
ACE Securities Corp. Home Equity Loan Trust, Ser. 2005-HE7, Class A2D (FRN) (STEP) 0.480%, 11/25/35 | 255,125 | 247,764 | ||||||
American Homes 4 Rent | ||||||||
Ser. 2014-SFR1, Class E (e) 2.750%, 06/17/31 | 2,015,000 | 2,002,547 | ||||||
Ser. 2014-SFR1, Class F (e) 3.500%, 06/17/31 | 620,000 | 618,216 | ||||||
AmeriCredit Automobile Receivables Trust | ||||||||
Ser. 2010-4, Class D 4.200%, 11/08/16 | 150,000 | 154,021 | ||||||
Ser. 2011-3, Class D 4.040%, 07/10/17 | 520,000 | 538,296 | ||||||
Asset Backed Funding Certificates, Ser. 2005-AQ1, Class A6 (STEP) 4.780%, 06/25/35 | 618,086 | 634,954 | ||||||
Carrington Mortgage Loan Trust, Ser. 2005-NC5, Class A2 (FRN) (STEP) 0.472%, 10/25/35 | 77,929 | 77,545 | ||||||
Colony American Homes |
Principal Amount | Value | ||||||||
Ser. 2014-1A, Class E (e) 3.050%, 05/17/31 | $ | 6,850,000 | $ | 6,738,571 | |||||
Ser. 2014-2A, Class E (FRN) (e) 3.350%, 07/17/31 | 3,615,000 | 3,619,338 | |||||||
Ser. 2014-2A, Class F (FRN) (e) 3.500%, 07/17/31 | 3,910,000 | 3,909,998 | |||||||
Countrywide Asset-Backed Certificates | |||||||||
Ser. 2004-1, Class 3A (FRN) (STEP) 0.712%, 04/25/34 | 293,688 | 273,231 | |||||||
Ser. 2004-12, Class MV3 (FRN) (STEP) 0.810%, 03/25/35 | 2,400,000 | 2,345,798 | |||||||
Credit Based Asset Servicing, Ser. 2005-CB6, Class A3 (STEP) 4.279%, 07/25/35 | 2,059,062 | 1,964,245 | |||||||
DSLA Mortgage Loan Trust, Ser. 2004-AR3, Class B2 (FRN) (STEP) 1.255%, 07/19/44 | 69,482 | 59,651 | |||||||
GE-WMC Asset-Backed Pass-Through Certificates, Ser. 2005-2, Class A2C (FRN) (STEP) 0.402%, 12/25/35 | 3,910,475 | 3,301,829 | |||||||
GSAA Home Equity Trust | |||||||||
Ser. 2006-8, Class 2A2 0.332%, 05/25/36 | 5,541,768 | 2,962,779 | |||||||
Ser. 2006-20, Class 2A1A (FRN) (STEP) 0.202%, 12/25/46 | 1,889,876 | 1,313,481 | |||||||
GSAA Trust | |||||||||
Ser. 2006-5, Class 2A2 (FRN) (STEP) 0.332%, 03/25/36 | 1,231,525 | 760,062 | |||||||
Ser. 2006-5, Class 2A3 (FRN) (STEP) 0.422%, 03/25/36 | 3,173,750 | 2,230,203 | |||||||
Ser. 2006-9, Class A4A (FRN) (STEP) 0.392%, 06/25/36 | 7,495,381 | 4,473,873 | |||||||
HSI Asset Securitization Corp. Trust, Ser. 2006-OPT2, Class 2A3 (FRN) (STEP) 0.342%, 01/25/36 | 236,057 | 230,286 | |||||||
Invitation Homes Trust, Ser. 2014-SFR1, Class F (e) 3.902%, 06/17/31 | 6,970,000 | 6,979,960 | |||||||
Long Beach Mortgage Loan Trust | |||||||||
Ser. 2005-3, Class 2A2 (FRN) (STEP) 0.432%, 08/25/45 | 35,154 | 35,115 | |||||||
Ser. 2005-WL1, Class M2 (FRN) (STEP) 0.977%, 06/25/35 | 1,737,854 | 1,721,235 | |||||||
Morgan Stanley ABS Capital I, Inc. Trust | |||||||||
Ser. 2002-HE3, Class A2 (FRN) (STEP) 1.232%, 03/25/33 | 86,940 | 83,757 | |||||||
Ser. 2005-HE6, Class A2C (FRN) (STEP) 0.472%, 11/25/35 | 363,248 | 353,135 | |||||||
Soundview Home Equity Loan Trust, Ser. 2005-OPT3, Class A4 (FRN) (STEP) 0.452%, 11/25/35 | 735,109 | 727,301 | |||||||
Total Asset-Backed Securities (Cost $47,079,431) | 48,357,191 | ||||||||
Mortgage-Backed Securities — Private Issuers — 1.4% | |||||||||
American Home Mortgage Investment Trust | |||||||||
Ser. 2004-1, Class 4A (FRN) 2.322%, 04/25/44 | 51,244 | 50,029 | |||||||
Ser. 2005-1, Class 6A (FRN) 2.322%, 06/25/45 | 280,336 | 273,908 |
13
Principal Amount | Value | ||||||||
Banc of America Commercial Mortgage, Inc. | |||||||||
Ser. 2005-3, Class A3A 4.621%, 07/10/43 | $ | 1,561,392 | $ | 1,579,690 | |||||
Ser. 2006-6, Class A2 5.309%, 10/10/45 | 124,528 | 124,812 | |||||||
Banc of America Funding Corp., Ser. 2004-B, Class 1A2 (FRN) 2.700%, 12/20/34 | 107,588 | 89,728 | |||||||
Bear Stearns ALT-A Trust | |||||||||
Ser. 2005-10, Class 11A1 (FRN) (STEP) 0.652%, 01/25/36 | 2,979,524 | 2,263,100 | |||||||
Ser. 2006-1, Class 21A2 (FRN) 2.624%, 02/25/36 | 1,352,409 | 931,272 | |||||||
Ser. 2006-2, Class 11A1 (FRN) (STEP) 0.592%, 04/25/36 | 1,740,963 | 1,260,161 | |||||||
Ser. 2006-6, Class 31A1 (FRN) 2.691%, 11/25/36 | 399,803 | 297,885 | |||||||
CHL Mortgage Pass-Through Trust, Ser. 2005-HYB9, Class 1A1 (FRN) 2.423%, 02/20/36 | 2,440,845 | 2,014,942 | |||||||
COMM 2012-CCRE1 Mortgage Trust, Ser. 2012-CR1, Class A3 3.391%, 05/15/45 | 1,052,000 | 1,081,869 | |||||||
COMM 2012-LC4 Mortgage Trust, Ser. 2012-LC4, Class A4 3.288%, 12/10/44 | 1,973,000 | 2,021,986 | |||||||
COMM 2014-CCRE17 Mortgage Trust, Ser. 2014-CR17, Class D (e) 4.800%, 05/10/47 | 427,000 | 408,739 | |||||||
Connecticut Avenue Securities | |||||||||
Ser. 2013-C01, Class M2 (FRN) 5.402%, 10/25/23 | 4,990,000 | 6,005,330 | |||||||
Ser. 2014-C01, Class M2 4.552%, 01/25/24 | 980,000 | 1,115,903 | |||||||
Ser. 2014-C02, Class 1M2 2.752%, 05/25/24 | 2,400,000 | 2,389,846 | |||||||
Ser. 2014-C02, Class 2M2 2.752%, 05/25/24 | 795,000 | 794,999 | |||||||
Countrywide Alternative Loan Trust | |||||||||
Ser. 2005-56, Class 1A1 (FRN) (STEP) 0.882%, 11/25/35 | 5,206,840 | 4,446,849 | |||||||
Ser. 2005-59, Class 1A1 (FRN) (STEP) 0.483%, 11/20/35 | 4,406,745 | 3,635,463 | |||||||
Ser. 2006-24, Class A22 6.000%, 06/25/36 | 2,218,201 | 1,977,723 | |||||||
Ser. 2006-HY11, Class A1 (FRN) (STEP) 0.272%, 06/25/36 | 3,089,598 | 2,605,600 | |||||||
Countrywide Home Loan Mortgage Pass Through Trust, Ser. 2006-3, Class 3A1 (FRN) (STEP) 0.402%, 02/25/36 | 3,202,208 | 2,596,136 | |||||||
CSMC Mortgage-Backed Trust, Ser. 2007-4, Class 2A3 6.000%, 06/25/37 | 1,321,966 | 1,197,423 | |||||||
Deutsche Alt A Securities, Inc. | |||||||||
Ser. 2005-5, Class 2A4 5.500%, 11/25/35 | 649,712 | 526,125 | |||||||
Ser. 2007-1, Class 1A3A (FRN) (STEP) 0.362%, 08/25/37 | 718,922 | 605,958 | |||||||
First Horizon Alternative Mortgage Securities Trust | |||||||||
Ser. 2006-AA2, Class 2A1 (FRN) 2.198%, 05/25/36 | 765,819 | 638,922 | |||||||
Ser. 2006-AA5, Class A1 (FRN) 2.253%, 09/25/36 | 2,833,828 | 2,263,429 |
Principal Amount | Value | |||||||||||||||
Ser. 2006-FA3, Class A4 0.622%, 07/25/36 | $ | 1,704,175 | $ | 1,156,356 | ||||||||||||
Harborview Mortgage Loan Trust | ||||||||||||||||
Ser. 2004-7, Class 2A2 (FRN) 2.313%, 11/19/34 | 52,603 | 49,199 | ||||||||||||||
Ser. 2005-9, Class 2A1A (FRN) (STEP) 0.493%, 06/20/35 | 61,866 | 59,285 | ||||||||||||||
Impac CMB Trust, Ser. 2005-2, Class 1ML (FRN) (STEP) 0.797%, 04/25/35 | 727,241 | 619,167 | ||||||||||||||
IndyMac INDX Mortgage Loan Trust, Ser. 2006-AR27, Class 1A3 (FRN) (STEP) 0.422%, 10/25/36 | 3,058,546 | 2,036,692 | ||||||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||||||||||
Ser. 2006-LDP7, Class A3B (VRN) 5.866%, 04/15/45 | 867,048 | 866,699 | ||||||||||||||
Ser. 2012-C6, Class A3 3.507%, 05/15/45 | 2,000,000 | 2,075,448 | ||||||||||||||
Ser. 2014-C20, Class D (VRN) (e) 4.572%, 07/15/47 | 660,000 | 602,096 | ||||||||||||||
JP Morgan Mortgage Trust, Ser. 2007-S3, Class 1A64 7.500%, 08/25/37 | 1,073,960 | 855,821 | ||||||||||||||
Luminent Mortgage Trust, Ser. 2006-2, Class A1A (FRN) (STEP) 0.352%, 02/25/46 | 1,954,500 | 1,474,606 | ||||||||||||||
MASTR Adjustable Rate Mortgages Trust, Ser. 2006-2, Class 4A1 (FRN) 2.629%, 02/25/36 | 286,440 | 283,374 | ||||||||||||||
ML-CFC Commercial Mortgage Trust, Ser. 2007-8, Class A3 (VRN) 5.883%, 08/12/49 | 1,500,000 | 1,665,806 | ||||||||||||||
RALI Trust | ||||||||||||||||
Ser. 2005-QA13, Class 2A1 (FRN) 3.572%, 12/25/35 | 2,648,945 | 2,202,492 | ||||||||||||||
Ser. 2006-QA4, Class A (FRN) (STEP) 0.332%, 05/25/36 | 2,469,408 | 1,933,529 | ||||||||||||||
Ser. 2006-QA5, Class 1A1 (FRN) (STEP) 0.332%, 07/25/36 | 2,093,675 | 1,402,113 | ||||||||||||||
Ser. 2006-QS5, Class A9 6.000%, 05/25/36 | 2,919,649 | 2,463,194 | ||||||||||||||
Ser. 2007-QO4, Class A1A (FRN) (STEP) 0.342%, 05/25/47 | 449,782 | 372,439 | ||||||||||||||
Springleaf Mortgage Loan Trust, Ser. 2013-1A, Class M4 (VRN) (e) 4.440%, 06/25/58 | 220,000 | 222,438 | ||||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2005-15, Class 2A1 (FRN) 2.504%, 07/25/35 | 5,102,750 | 4,437,591 | ||||||||||||||
Structured Agency Credit Risk | ||||||||||||||||
Ser. 2013-DN1, Class M2 (FRN) 7.302%, 07/25/23 | 2,475,000 | 3,277,348 | ||||||||||||||
Ser. 2013-DN2, Class M2 (FRN) 4.402%, 11/25/23 | 805,000 | 895,323 | ||||||||||||||
Ser. 2014-DN1, Class M3 (FRN) 4.652%, 02/25/24 | 910,000 | 1,044,569 | ||||||||||||||
Ser. 2014-DN2, Class M3 3.752%, 04/25/24 | 1,550,000 | 1,662,136 | ||||||||||||||
Structured Asset Mortgage Investments, Inc. | ||||||||||||||||
Ser. 2005-AR8, Class A2 (FRN) 1.614%, 02/25/36 | 1,948,356 | 1,672,276 |
14
Principal Amount | Value | ||||||||
Ser. 2006-AR3, Class A2 (FRN) 2.599%, 02/25/36 | $ | 2,808,618 | $ | 2,175,067 | |||||
Thornburg Mortgage Securities Trust, Ser. 2007-4, Class 3A1 (FRN) 6.092%, 09/25/37 | 1,092,947 | 1,140,680 | |||||||
Wachovia Bank Commercial Mortgage Trust, Ser. 2005-C20, Class AMFX (VRN) 5.179%, 07/15/42 | 2,033,000 | 2,121,680 | |||||||
Wells Fargo Commercial Mortgage | |||||||||
Ser. 2013-LC12, Class A4 4.218%, 07/15/46 | 855,000 | 921,186 | |||||||
Ser. 2014-LC16, Class D (e) 3.938%, 08/15/50 | 1,350,000 | 1,173,932 | |||||||
Total Mortgage-Backed Securities — Private Issuers (Cost $75,850,870) | 84,060,369 | ||||||||
Mortgage-Backed Securities — US Government Agency Obligations — 0.2% | |||||||||
FHLMC | |||||||||
Pool #781697 (FRN) 2.357%, 07/01/34 | 108,838 | 116,014 | |||||||
Ser. 2002-2530, Class QI (FRN) (IO) 6.848%, 01/15/32 | 72,543 | 14,753 | |||||||
Ser. 2004-2763, Class KS (FRN) (IO) 6.498%, 10/15/18 | 152,733 | 6,004 | |||||||
Ser. 2005-2922, Class SE (FRN) (IO) 6.598%, 02/15/35 | 179,244 | 31,978 | |||||||
Ser. 2005-2934, Class HI (IO) 5.000%, 02/15/20 | 23,644 | 2,213 | |||||||
Ser. 2005-2934, Class KI (IO) 5.000%, 02/15/20 | 10,787 | 969 | |||||||
Ser. 2005-2965, Class SA (FRN) (IO) 5.898%, 05/15/32 | 409,453 | 63,576 | |||||||
Ser. 2005-2967, Class JI (IO) 5.000%, 04/15/20 | 11,956 | 1,155 | |||||||
Ser. 2005-2980, Class SL (FRN) (IO) 6.548%, 11/15/34 | 236,316 | 47,095 | |||||||
Ser. 2005-2981, Class SU (FRN) (IO) 7.648%, 05/15/30 | 211,721 | 44,847 | |||||||
Ser. 2005-3031, Class BI (FRN) (IO) 6.538%, 08/15/35 | 678,348 | 132,416 | |||||||
Ser. 2005-3065, Class DI (FRN) (IO) 6.468%, 04/15/35 | 604,098 | 112,842 | |||||||
Ser. 2006-3114, Class GI (FRN) (IO) 6.448%, 02/15/36 | 1,017,716 | 196,514 | |||||||
Ser. 2007-3308, Class S (FRN) (IO) 7.048%, 03/15/32 | 419,658 | 103,437 | |||||||
Ser. 2008-3424, Class XI (FRN) (IO) 6.418%, 05/15/36 | 329,970 | 59,207 | |||||||
Ser. 2008-3489, Class SD (FRN) (IO) 7.648%, 06/15/32 | 218,909 | 54,851 | |||||||
Ser. 2010-3685, Class EI (IO) 5.000%, 03/15/19 | 288,759 | 19,193 | |||||||
Ser. 2010-3731, Class IO (IO) 5.000%, 07/15/19 | 144,030 | 9,845 | |||||||
Ser. 2011-3882, Class AI (IO) 5.000%, 06/15/26 | 935,755 | 77,433 | |||||||
FHLMC Strip | |||||||||
Ser. 2004-227, Class IO (IO) 5.000%, 12/01/34 | 78,211 | 13,409 | |||||||
Ser. 2005-233, Class 5 (IO) 4.500%, 09/15/35 | 14,283 | 2,158 | |||||||
FNMA | |||||||||
Pool #685563 (FRN) 2.451%, 01/01/33 | 155,738 | 166,797 |
Principal Amount | Value | |||||||
Pool #806765 (FRN) 1.933%, 11/01/34 | $ | 158,210 | $ | 165,975 | ||||
Pool #834928 (FRN) 1.940%, 07/01/35 | 1,462,193 | 1,549,212 | ||||||
Pool #841068 (FRN) 2.485%, 11/01/34 | 639,622 | 684,816 | ||||||
Pool #847637 (FRN) 2.705%, 01/01/34 | 95,353 | 102,109 | ||||||
Ser. 2004-31, Class SG (FRN) (IO) 6.948%, 08/25/33 | 144,596 | 16,586 | ||||||
Ser. 2004-49, Class SQ (FRN) (IO) 6.898%, 07/25/34 | 152,267 | 32,152 | ||||||
Ser. 2004-51, Class SX (FRN) (IO) 6.968%, 07/25/34 | 278,545 | 60,406 | ||||||
Ser. 2004-64, Class SW (FRN) (IO) 6.898%, 08/25/34 | 618,610 | 125,322 | ||||||
Ser. 2004-66, Class SE (FRN) (IO) 6.348%, 09/25/34 | 456,975 | 76,468 | ||||||
Ser. 2005-12, Class SC (FRN) (IO) 6.598%, 03/25/35 | 413,649 | 87,010 | ||||||
Ser. 2005-45, Class SR (FRN) (IO) 6.568%, 06/25/35 | 397,663 | 82,638 | ||||||
Ser. 2005-65, Class KI (FRN) (IO) 6.848%, 08/25/35 | 1,247,959 | 258,439 | ||||||
Ser. 2005-89, Class S (FRN) (IO) 6.548%, 10/25/35 | 2,581,077 | 519,531 | ||||||
Ser. 2006-3, Class SA (FRN) (IO) 5.998%, 03/25/36 | 234,513 | 44,662 | ||||||
Ser. 2007-75, Class JI (FRN) (IO) 6.393%, 08/25/37 | 623,568 | 107,086 | ||||||
Ser. 2007-85, Class SI (FRN) (IO) 6.308%, 09/25/37 | 237,344 | 41,517 | ||||||
Ser. 2008-86, Class IO (IO) 4.500%, 03/25/23 | 249,511 | 15,538 | ||||||
Ser. 2008-87, Class AS (FRN) (IO) 7.498%, 07/25/33 | 977,607 | 226,295 | ||||||
Ser. 2010 Pool #AE5528 6.000%, 11/01/22 | 880,388 | 957,887 | ||||||
Ser. 2010 Pool #AE5529 7.000%, 11/01/22 | 556,881 | 615,835 | ||||||
Ser. 2010-37, Class GI (IO) 5.000%, 04/25/25 | 618,339 | 36,519 | ||||||
Ser. 2010-65, Class IO (IO) 5.000%, 09/25/20 | 356,191 | 29,655 | ||||||
Ser. 2010-68, Class SJ (FRN) (IO) 6.398%, 07/25/40 | 233,897 | 40,544 | ||||||
Ser. 2010-105, Class IO (IO) 5.000%, 08/25/20 | 274,151 | 24,223 | ||||||
Ser. 2010-121, Class IO (IO) 5.000%, 10/25/25 | 753,930 | 57,088 | ||||||
Ser. 2011-69, Class AI (IO) 5.000%, 05/25/18 | 2,166,912 | 136,316 | ||||||
Ser. 2011-88, Class WI (IO) 3.500%, 09/25/26 | 611,504 | 78,149 | ||||||
Ser. 2011-124, Class IC (IO) 3.500%, 09/25/21 | 1,471,810 | 110,057 | ||||||
Ser. 2012-126, Class SJ (FRN) (IO) 4.848%, 11/25/42 | 2,504,189 | 387,448 | ||||||
FNMA Strip, Ser. 2005-365, Class 4 (IO) 5.000%, 04/01/36 | 12,444 | 2,133 | ||||||
GNMA | ||||||||
Ser. 2003-11, Class S (FRN) (IO) 6.398%, 02/16/33 | 677,146 | 107,769 | ||||||
Ser. 2011-94, Class IS (FRN) (IO) 6.548%, 06/16/36 | 414,172 | 74,422 |
15
Principal Amount | Value | |||||||
Ser. 2011-135, Class QI (IO) 4.500%, 06/16/41 | $ | 539,597 | $ | 101,595 | ||||
Ser. 2011-157, Class SG (FRN) (IO) 6.447%, 12/20/41 | 2,710,798 | 650,862 | ||||||
Ser. 2011-167, Class IO (IO) 5.000%, 12/16/20 | 2,096,762 | 149,587 | ||||||
Ser. 2012-34, Class KS (FRN) (IO) 5.898%, 03/16/42 | 1,302,672 | 270,103 | ||||||
Ser. 2012-69, Class QI (IO) 4.000%, 03/16/41 | 1,075,422 | 185,422 | ||||||
Ser. 2012-101, Class AI (IO) 3.500%, 08/20/27 | 574,443 | 55,372 | ||||||
Ser. 2012-103, Class IB (IO) 3.500%, 04/20/40 | 752,407 | 107,345 | ||||||
Total Mortgage-Backed Securities — US Government Agency Obligations (Cost $9,163,738) | 9,650,799 | |||||||
US Treasury Bonds/Notes — 14.2% | ||||||||
US Treasury Inflation Indexed Bond 0.375%, 07/15/23 | 18,599,636 | 18,960,004 | ||||||
US Treasury Inflation Indexed Bond (g) 2.375%, 01/15/25 | 28,169,344 | 34,126,710 | ||||||
US Treasury Inflation Indexed Bond 2.000%, 01/15/26 | 836,024 | 985,006 | ||||||
US Treasury Inflation Indexed Bond 1.750%, 01/15/28 | 60,195,800 | 69,300,415 | ||||||
US Treasury Inflation Indexed Bond (g) 2.500%, 01/15/29 | 13,436,654 | 16,953,281 | ||||||
US Treasury Inflation Indexed Bond 3.375%, 04/15/32 | 12,780,448 | 18,454,762 | ||||||
US Treasury Inflation Indexed Bond 2.125%, 02/15/40 | 102,511,353 | 130,421,709 | ||||||
US Treasury Inflation Indexed Bond 0.750%, 02/15/42 | 8,014,829 | 7,544,583 | ||||||
US Treasury Inflation Indexed Bond 1.375%, 02/15/44 | 2,847,908 | 3,132,255 | ||||||
US Treasury Inflation Indexed Note (g) 0.500%, 04/15/15 | 17,391,897 | 17,643,262 | ||||||
US Treasury Inflation Indexed Note 2.000%, 01/15/16 | 2,305,038 | 2,430,194 | ||||||
US Treasury Inflation Indexed Note (g) 0.125%, 04/15/16 | 16,108,800 | 16,531,656 | ||||||
US Treasury Inflation Indexed Note 2.625%, 07/15/17 | 4,574,920 | 5,121,408 | ||||||
US Treasury Inflation Indexed Note 1.625%, 01/15/18 | 3,281,350 | 3,578,978 | ||||||
US Treasury Inflation Indexed Note 0.125%, 04/15/18 | 101,223,157 | 104,560,383 | ||||||
US Treasury Inflation Indexed Note (g) 1.375%, 07/15/18 | 9,783,503 | 10,690,003 | ||||||
US Treasury Inflation Indexed Note (g) (h) 2.125%, 01/15/19 | 26,750,754 | 30,128,037 | ||||||
US Treasury Inflation Indexed Note 0.125%, 04/15/19 | 89,024,320 | 91,667,274 | ||||||
US Treasury Inflation Indexed Note 1.375%, 01/15/20 | 1,337,352 | 1,466,908 | ||||||
US Treasury Inflation Indexed Note (h) 1.250%, 07/15/20 | 1,956,492 | 2,144,039 | ||||||
US Treasury Inflation Indexed Note 1.125%, 01/15/21 | 4,334,520 | 4,695,165 | ||||||
US Treasury Inflation Indexed Note 0.625%, 07/15/21 | 15,670,926 | 16,507,111 |
Principal Amount | Value | |||||||
US Treasury Inflation Indexed Note (g) (h) 0.125%, 07/15/22 | $ | 184,224,576 | $ | 185,476,751 | ||||
US Treasury Inflation Indexed Note 0.125%, 01/15/23 | 68,395,536 | 68,160,392 | ||||||
Total US Treasury Bonds/Notes (Cost $877,963,227) | 860,680,286 |
Number of Shares | Value | ||||||||
Acquired Funds — 17.3% | |||||||||
Exchange-Traded Funds — 6.2% | |||||||||
Vanguard Emerging Markets Stock Index Fund | 3,136,892 | $ | 85,668,516 | ||||||
Vanguard FTSE All-World ex-US ETF | 644,654 | 33,708,958 | |||||||
Vanguard FTSE Developed Markets ETF | 3,920,300 | 166,965,577 | |||||||
Vanguard FTSE Emerging Markets ETF | 2,004,100 | 86,436,833 | |||||||
372,779,884 | |||||||||
Mutual Funds — 0.8% | |||||||||
PIMCO Commodity RealReturn Strategy Fund | 8,360,142 | 50,578,857 | |||||||
Private Investment Funds (i) — 10.3% | |||||||||
Canyon Value Realization Fund, LP (a) (b) (c) (d) | 74,012,846 | ||||||||
Convexity Capital Offshore, LP (a) (b) (c) (d) | 98,369,594 | ||||||||
Farallon Capital Institutional Partners, LP (a) (b) (c) (d) | 176,017,355 | ||||||||
Lansdowne Developed Markets Fund, Ltd. (a) (b) (c) (d) | 304,275 | 154,812,725 | |||||||
Lone Cascade, LP, Class J (a) (b) (c) (d) | 27,841,385 | ||||||||
Lone Picea, LP, Class E (a) (b) (c) (d) | 4,975,116 | ||||||||
Lone Redwood, LP (a) (b) (c) (d) | 13,789,175 | ||||||||
Nomad Investment Partnership LP, Class A (a) (b) (c) (d) | 134,750 | ||||||||
Nomad Investment Partnership LP, Class R (a) (b) (c) (d) | 62,833 | ||||||||
OZ Domestic Partners, LP (a) (b) (c) (d) | 674,387 | ||||||||
QVT Onshore LP (a) (b) (c) (d) | 72,327,482 | ||||||||
623,017,648 | |||||||||
Total Acquired Funds (Cost $825,083,208) | 1,046,376,389 | ||||||||
Preferred Stocks — 0.2% | |||||||||
Alpargatas SA, 2.460%, (Brazil) | 292,800 | 1,523,965 | |||||||
Petroleo Brasileiro SA, 5.770%, (Brazil) | 359,900 | 2,816,325 | |||||||
Rolls Royce Holdings plc, —%, (United Kingdom) (c) | 6,903,144 | 11,814 | |||||||
Vale SA, 6.660%, (Brazil) | 683,900 | 8,156,038 | |||||||
Volkswagen AG, 2.150%, (Germany) | 7,252 | 1,904,796 | |||||||
Total Preferred Stocks (Cost $17,434,949) | 14,412,938 |
Number of Contracts | Value | ||||||||
Rights — 0.0% | |||||||||
Acerinox SA, Expiring 07/14/14 (Spain) (a) | 49,242 | $ | 29,870 |
16
Number of Contracts | Value | ||||||||
B2W Cia Digital, Expiring 07/08/14 (Brazil) (a) | 136,094 | $ | 120,110 | ||||||
HKT Trust and HKT, Ltd., Expiring 07/15/14 (Hong Kong) (a) | 79,380 | 23,043 | |||||||
Total Rights (Cost $30,075) | 173,023 | ||||||||
Warrants — 0.0% | |||||||||
Brasil Pharma SA, Expiring 06/06/16 (Brazil) (a) | 73,766 | 5,008 | |||||||
Peugeot SA, Expiring 04/29/17 (France) (a) | 6,800 | 14,907 | |||||||
Sun Hung Kai Properties, Ltd., Expiring 04/22/16 (Hong Kong) (a) | 80,950 | 105,700 | |||||||
Total Warrants (Cost $5,451) | 125,615 |
Principal Amount | Value | ||||||||
Short-Term Investments — 32.1% | |||||||||
Repurchase Agreements Used for Breakeven Inflation Strategies — 10.7% | |||||||||
Barclays Capital, Inc. 0.070%, issued on 06/30/14, due on 07/07/14 (proceeds at maturity $224,081,083) (collateralized by US Treasury Bonds, due 11/15/27 through 02/15/41 with a total principal value of $166,300,000 and a total market value of $217,608,016) | $ | 224,078,033 | $ | 224,078,033 | |||||
Deutsche Bank Securities, Inc. 0.040%, issued on 06/24/14, due on 07/01/14 (proceeds at maturity $171,131,207) (collateralized by a US Treasury Note, due 08/15/22 with a total principal value of $177,800,000 and a total market value of $168,748,875) | 171,129,876 | 171,129,876 | |||||||
JP Morgan Securities, Inc. 0.040%, issued on 06/24/14, due on 07/01/14 (proceeds at maturity $166,175,917) (collateralized by US Treasury Notes, due 04/30/18 through 02/15/23 with a total principal value of $169,100,000 and a total market value of $164,722,027) | 166,174,625 | 166,174,625 | |||||||
Wells Fargo Securities, LLC 0.050%, issued on 06/24/14, due on 07/01/14 (proceeds at maturity $87,210,848) (collateralized by a US Treasury Note, due 04/30/19 with a total principal value of $85,500,000 and a total market value of $85,660,313) | 87,210,000 | 87,210,000 | |||||||
Total Repurchase Agreements Used for Breakeven Inflation Strategies (Cost $648,592,534) | 648,592,534 | ||||||||
Repurchase Agreements Used for Cash Management Purposes — 2.6% | |||||||||
Fixed Income Clearing Corp. 0.000%, issued on 06/30/14, due on 07/01/14 (proceeds at maturity $159,395,596) (collateralized by US Treasury Notes, due 02/15/19 through 02/15/42 with a total principal value of $160,065,000 and a total market value of $162,543,875) (Cost $159,395,596) | 159,395,596 | 159,395,596 |
Principal Amount | Value | |||||||
US Treasury Bills(j) — 18.8% | ||||||||
US Treasury Bill, due on 08/07/14 | $ | 65,000,000 | $ | 64,998,297 | ||||
US Treasury Bill, due on 08/14/14 | 95,000,000 | 94,988,526 | ||||||
US Treasury Bill, due on 09/25/14 | 70,000,000 | 69,995,380 | ||||||
US Treasury Bill, due on 10/09/14 | 170,000,000 | 169,985,890 | ||||||
US Treasury Bill, due on 10/16/14 (h) | 15,120,000 | 15,118,095 | ||||||
US Treasury Bill, due on 10/30/14 | 200,000,000 | 199,974,800 | ||||||
US Treasury Bill, due on 11/06/14 (h) | 280,000,000 | 279,955,200 | ||||||
US Treasury Bill, due on 11/20/14 | 120,000,000 | 119,976,360 | ||||||
US Treasury Bill, due on 11/28/14 | 35,000,000 | 34,991,985 | ||||||
US Treasury Bill, due on 12/11/14 | 30,000,000 | 29,993,220 | ||||||
US Treasury Bill, due on 12/18/14 | 55,000,000 | 54,987,020 | ||||||
Total US Treasury Bills (Cost $1,134,942,139) | 1,134,964,773 | |||||||
Total Short-Term Investments (Cost $1,942,930,269) | 1,942,952,903 | |||||||
Total Investments — 112.6% (Cost $6,164,862,289) | 6,817,179,503 | |||||||
Liabilities in Excess of Other Assets — (12.6)% | (765,335,917 | ) | ||||||
Net Assets — 100.0% | $ | 6,051,843,586 |
Number of Shares | Value | ||||||||
Securities Sold Short — (13.0)% | |||||||||
Common Stocks — (2.4)% | |||||||||
US Common Stocks — (0.8)% | |||||||||
Hotels, Restaurants & Leisure — (0.2)% | |||||||||
Las Vegas Sands Corp. | (87,200 | ) | $ | (6,646,384 | ) | ||||
Wynn Resorts, Ltd. | (30,400 | ) | (6,309,824 | ) | |||||
(12,956,208 | ) | ||||||||
Household Durables — (0.1)% | |||||||||
Standard Pacific Corp. (a) | (388,400 | ) | (3,340,240 | ) | |||||
Real Estate Investment Trusts (REITs) — (0.5)% | |||||||||
CommonWealth REIT | (239,400 | ) | (6,301,008 | ) | |||||
OMEGA Healthcare Investors, Inc. | (370,300 | ) | (13,649,258 | ) | |||||
Ryman Hospitality Properties, Inc. | (87,017 | ) | (4,189,869 | ) | |||||
Sabra Health Care REIT, Inc. | (223,100 | ) | (6,405,201 | ) | |||||
(30,545,336 | ) | ||||||||
Total US Common Stocks (Proceeds $42,254,209) | (46,841,784 | ) | |||||||
Foreign Common Stocks — (1.6)% | |||||||||
Australia — (0.1)% | |||||||||
Lend Lease Group | (258,300 | ) | (3,197,526 | ) | |||||
Canada — (0.7)% | |||||||||
Allied Properties – REIT | (195,000 | ) | (6,460,100 | ) | |||||
Chartwell Retirement Residences – REIT | (312,900 | ) | (3,178,704 | ) | |||||
First National Financial Corp. | (167,508 | ) | (3,477,159 | ) | |||||
Genworth MI Canada, Inc. | (219,100 | ) | (7,804,687 | ) | |||||
Home Capital Group, Inc. | (349,200 | ) | (15,652,721 | ) | |||||
RioCan Real Estate Investment Trust – REIT | (257,904 | ) | (6,600,776 | ) | |||||
(43,174,147) |
17
Number of Shares | Value | ||||||||
Hong Kong — 0.0% | |||||||||
Melco Crown Entertainment, Ltd. – ADR | (48,300 | ) | $ | (1,724,793 | ) | ||||
Japan — (0.5)% | |||||||||
Hulic Co., Ltd. | (969,200 | ) | (12,816,028 | ) | |||||
Japan Prime Realty Investment Corp. – REIT | (1,000 | ) | (3,588,971 | ) | |||||
Nippon Building Fund, Inc. | (1,100 | ) | (6,432,086 | ) | |||||
Sumitomo Realty & Development Co., Ltd. | (68,100 | ) | (2,930,206 | ) | |||||
United Urban Investment Corp. – REIT | (2,100 | ) | (3,390,578 | ) | |||||
(29,157,869 | ) | ||||||||
Mexico — 0.0% | |||||||||
Fibra Uno Administracion SA de CV – REIT | (846,200 | ) | (2,967,097 | ) | |||||
United Kingdom — (0.3)% | |||||||||
British Land Co. plc | (545,500 | ) | (6,552,698 | ) | |||||
Persimmon plc (a) | (441,600 | ) | (9,603,318 | ) | |||||
(16,156,016 | ) | ||||||||
Total Foreign Common Stocks (Proceeds $81,905,884) | (96,377,448 | ) | |||||||
Total Common Stocks (Proceeds $124,160,093) | (143,219,232 | ) |
Principal Amount | Value | ||||||||
US Treasury Bonds/Notes — (10.6)% | |||||||||
US Treasury Bond 6.125%, due on 11/15/27 | $ | (61,800,000 | ) | $ | (84,868,766 | ) | |||
US Treasury Bond 4.750%, due on 02/15/41 | (106,400,000 | ) | (135,194,500 | ) | |||||
US Treasury Note 0.625%, due on 04/30/18 | (98,700,000 | ) | (96,371,272 | ) | |||||
US Treasury Note 1.625%, due on 04/30/19 | (86,100,000 | ) | (86,261,438 | ) | |||||
US Treasury Note 1.625%, due on 08/15/22 | (178,800,000 | ) | (169,748,250 | ) | |||||
US Treasury Note 2.000%, due on 02/15/23 | (71,200,000 | ) | (69,130,785 | ) | |||||
Total US Treasury Bonds/Notes (Proceeds $649,409,291) | (641,575,011 | ) | |||||||
Total Securities Sold Short (Proceeds $773,569,384) | $ | (784,794,243 | ) |
Financial Futures Contracts
Number of Contracts | Type | Initial Notional Value/(Proceeds) | Notional Value at June 30, 2014 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long Financial Futures Contracts | ||||||||||||||||
Interest Rate-Related | ||||||||||||||||
8 | September 2014 30-Year US Treasury Bond | $ | 1,093,145 | $ | 1,097,500 | $ | 4,355 | |||||||||
Foreign Currency-Related | ||||||||||||||||
324 | September 2014 Canadian Dollar | 29,608,493 | 30,323,160 | 714,667 | ||||||||||||
219 | September 2014 Swiss Franc | 30,556,768 | 30,898,163 | 341,395 | ||||||||||||
1,056,062 | ||||||||||||||||
1,060,417 | ||||||||||||||||
Short Financial Futures Contracts | ||||||||||||||||
Interest Rate-Related | ||||||||||||||||
(13) | September 2014 90-Day Eurodollar | (3,162,718 | ) | (3,242,200 | ) | (79,482 | ) | |||||||||
(16) | September 2014 30-Year US Treasury Bond | (2,186,085 | ) | (2,195,000 | ) | (8,915 | ) | |||||||||
(35) | September 2014 10-Year US Treasury Note | (4,379,083 | ) | (4,381,016 | ) | (1,933 | ) | |||||||||
(35) | September 2014 5-Year US Treasury Note | (4,186,241 | ) | (4,181,133 | ) | 5,108 | ||||||||||
(62) | September 2014 10-Year Interest Rate Swap | (6,434,845 | ) | (6,510,969 | ) | (76,124 | ) | |||||||||
(94) | September 2014 5-Year Interest Rate Swap | (9,553,249 | ) | (9,595,344 | ) | (42,095 | ) | |||||||||
(109) | September 2014 Ultra Long US Treasury Bond | (16,226,946 | ) | (16,343,188 | ) | (116,241 | ) | |||||||||
(2) | December 2014 90-Day Eurodollar | (490,170 | ) | (498,625 | ) | (8,455 | ) | |||||||||
(7) | June 2015 90-Day Eurodollar | (1,707,983 | ) | (1,740,988 | ) | (33,005 | ) | |||||||||
(361,142 | ) | |||||||||||||||
Foreign Currency-Related | ||||||||||||||||
(696) | September 2014 Japanese Yen | (84,941,705 | ) | (85,956,000 | ) | (1,014,295 | ) | |||||||||
Equity-Related | ||||||||||||||||
(1,190) | September 2014 S&P 500 e-Mini Index | (115,096,750 | ) | (116,167,800 | ) | (1,071,050 | ) | |||||||||
$ | (1,386,070 | ) |
18
Forward Currency Contracts
Contract Settlement Date | Contract Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
Counterparty | Receive | Deliver | ||||||||||||||
07/02/2014 | JP Morgan Chase Bank | CAD 57,753 | USD 54,159 | $ | (35 | ) | ||||||||||
07/08/2014 | State Street Bank and Trust Co. | BRL 3,402,350 | USD 1,543,786 | (6,550 | ) | |||||||||||
07/31/2014 | State Street Bank and Trust Co. | USD 3,948,587 | AUD 4,276,000 | (75,111 | ) | |||||||||||
$ | (81,696 | ) |
Swap Contracts
Expiration Date | Counterparty | Pay | Receive | Currency | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Total Return Swap Contracts | ||||||||||||||||||||||||
Long Total Return Swap Contracts | ||||||||||||||||||||||||
07/14/2014 | Bank of America Merrill Lynch | 1 Month LIBOR plus a specified spread | Brookfield Incorporacoes SA (d) | USD | $ | 2,249,303 | $ | (48,809 | ) | |||||||||||||||
07/21/2014 | Bank of America Merrill Lynch | 1 Month LIBOR plus a specified spread | BR Malls Participacoes SA (d) | USD | 6,405,704 | (165,660 | ) | |||||||||||||||||
07/21/2014 | Bank of America Merrill Lynch | 1 Month LIBOR plus a specified spread | Multiplan Empreendimentos Imobiliarios SA (d) | USD | 6,835,075 | (51,029 | ) | |||||||||||||||||
07/21/2014 | Bank of America Merrill Lynch | 1 Month LIBOR plus a specified spread | PDG Realty SA (d) | USD | 3,652,418 | (229,344 | ) | |||||||||||||||||
07/21/2014 | Bank of America Merrill Lynch | 1 Month LIBOR plus a specified spread | PDG Realty SA (d) | USD | 3,015,519 | (189,351 | ) | |||||||||||||||||
08/29/2014 | Barclays Bank plc | 3 Month LIBOR plus a specified spread | MSCI Daily TR Net Emerging Markets (c) | USD | 17,454,281 | 250,096 | ||||||||||||||||||
03/13/2015 | Bank of America Merrill Lynch | 1 Month LIBOR plus a specified spread | Brookfield Incorporacoes SA (d) | USD | 2,522,223 | 63,998 | ||||||||||||||||||
03/26/2015 | Bank of America Merrill Lynch | 1 Month LIBOR plus a specified spread | Brookfield Incorporacoes SA (d) | USD | 2,501,877 | 400,954 | ||||||||||||||||||
05/07/2015 | Bank of America Merrill Lynch | 1 Month LIBOR plus a specified spread | Brookfield Incorporacoes SA (d) | USD | 3,548,564 | 115,998 | ||||||||||||||||||
146,853 | ||||||||||||||||||||||||
$ | 146,853 |
ADR | American Depositary Receipt | |
ASE | American Stock Exchange | |
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CVA | Certification Van Aandelen | |
EN | Euronext | |
ETF | Exchange-Traded Fund | |
FHLMC | Freddie Mac | |
FNMA | Fannie Mae | |
FRN | Floating Rate Note. Rate disclosed represents the effective rate as of June 30, 2014. | |
FTSE | Financial Times Stock Exchange | |
GDR | Global Depositary Receipt | |
GNMA | Ginnie Mae | |
IO | Interest-Only Security | |
ISE | Italian Stock Exchange | |
JSE | Johannesburg Stock Exchange | |
LIBOR | London Interbank Offered Rate |
LSE | London Stock Exchange | |
MSCI | Morgan Stanley Capital International | |
MTF | Multilateral Trading Facility | |
OTC | Over-the-Counter | |
REIT | Real Estate Investment Trust | |
SDR | Swedish Depositary Receipts | |
SEHK | Stock Exchange of Hong Kong | |
SPADR | Sponsored ADR | |
SPGDR | Sponsored GDR | |
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. | |
USD | US Dollar | |
VRN | Variable Rate Note. Rate disclosed represents the effective rate as of June 30, 2014. | |
VVPR | Verminderde Voorheffing Précompte Réduit (France dividend coupon) |
19
* | Approximately 25% 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, 2014, and were valued in accordance with procedures approved by the TIP board of directors 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. |
Private Investment Funds | Investment Strategy | Date of Acquisition | Cost | Value | ||||||||||||
Canyon Value Realization Fund, LP | Multi-Strategy | 12/31/97 – 04/03/06 | $ | 23,797,936 | $ | 74,012,846 | ||||||||||
Convexity Capital Offshore, LP | Multi-Strategy | 02/16/06 – 04/01/13 | 72,000,000 | 98,369,594 | ||||||||||||
Farallon Capital Institutional Partners, LP | Multi-Strategy | 04/01/95 – 01/01/13 | 117,746,138 | 176,017,355 | ||||||||||||
Lansdowne Developed Markets Fund, Ltd. | Long-Short Global | 06/01/06 – 04/01/13 | 106,000,000 | 154,812,725 | ||||||||||||
Lone Cascade, LP, Class J | Global Equity | 01/03/12 – 01/01/13 | 17,456,184 | 27,841,385 | ||||||||||||
Lone Picea, LP, Class E | Long-Short Global | 01/02/09 – 01/01/13 | 4,377,877 | 4,975,116 | ||||||||||||
Lone Redwood, LP | Long-Short Global | 12/29/98 | 2,642,691 | 13,789,175 | ||||||||||||
Nomad Investment Partnership LP, Class A | Global Equity | 10/02/06 | 48,999 | 134,750 | ||||||||||||
Nomad Investment Partnership LP, Class R | Global Equity | 02/01/08 | 28,001 | 62,833 | ||||||||||||
OZ Domestic Partners, LP | Multi-Strategy | 09/30/03 | 782,078 | 674,387 | ||||||||||||
QVT Onshore LP | Multi-Strategy | 03/01/12 | 59,961,981 | 72,327,482 | ||||||||||||
623,017,648 | ||||||||||||||||
Common Stock | ||||||||||||||||
AMR Corp. | — | 505,024 | ||||||||||||||
Total (10.3% of Net Assets) | $ | 623,522,672 |
(c) | Security is valued in good faith under procedures established by the board of directors. The aggregate amount of securities fair valued amounts to $643,164,577, which represents 10.6% 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) | 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) | Security in default. |
(g) | 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. |
(h) | Security or a portion thereof is held as initial margin for financial futures. |
(i) | Portfolio holdings information of the Private Investment Funds is not available as of June 30, 2014. These positions are therefore grouped into their own industry classification. |
(j) | Treasury bills and discount notes do not pay interest, but rather are purchased at a discount and mature at the stated principal amount. |
See accompanying Notes to Financial Statements
20
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21
Statement of Assets and Liabilities (unaudited) |
June 30, 2014 | ||||
Assets | ||||
Investments in securities, at value (cost: $5,356,874,159) | $ | 6,009,191,373 | ||
Repurchase agreements (cost: $807,988,130) | 807,988,130 | |||
Total investments (cost: $6,164,862,289) | 6,817,179,503 | |||
Deposits with brokers for securities sold short | 155,630,452 | |||
Cash | 743,850 | |||
Cash denominated in foreign currencies (cost: $32,108,655) | 32,826,993 | |||
Total Cash | 33,570,843 | |||
Swap contracts, at value | 831,046 | |||
Receivables: | ||||
Investment securities sold | 149,218,488 | |||
Interest | 2,979,665 | |||
Dividends and tax reclaims | 7,939,086 | |||
Total Assets | 7,167,349,083 | |||
Liabilities | ||||
Securities sold short, at value (proceeds: $773,569,384) | 784,794,243 | |||
Reverse repurchase agreements (Note 7) | 109,016,439 | |||
Due to broker for futures variation margin | 67,797 | |||
Foreign currencies sold short, at value (proceeds $55,336,556) | 55,727,798 | |||
Swap contracts, at value | 684,193 | |||
Unrealized depreciation on forward currency contracts | 81,696 | |||
Payables: | ||||
Investment securities purchased | 147,568,385 | |||
Money manager fees | 6,478,786 | |||
Dividends and interest on securities sold short | 4,719,495 | |||
Distributions | 3,780,132 | |||
Accrued expenses and other liabilities | 1,446,372 | |||
Investment advisory and administrative fees | 1,100,161 | |||
Capital stock redeemed | 40,000 | |||
Total Liabilities | 1,115,505,497 | |||
Net Assets | $ | 6,051,843,586 | ||
Shares Outstanding (3,000,000,000 authorized shares, par value $0.001) | 361,339,343 | |||
Net Asset Value Per Share | $ | 16.75 | ||
Net Assets Consist of: | ||||
Capital stock | $ | 5,338,960,663 | ||
Distributions in excess of net investment income | (133,022,401 | ) | ||
Accumulated net realized gain on investments | 206,260,119 | |||
Net unrealized appreciation on investments and foreign currencies | 639,645,205 | |||
$ | 6,051,843,586 |
See accompanying Notes to Financial Statements.
22
Statement of Operations (unaudited) |
Six Months Ended June 30, 2014 | ||||
Investment Income | ||||
Dividends (net of foreign withholding taxes of $2,394,728) | $ | 44,647,300 | ||
Interest | 14,790,908 | |||
Total Investment Income | 59,438,208 | |||
Expenses | ||||
Money manager fees | 16,707,504 | |||
Dividends and interest on securities sold short | 11,563,340 | |||
Investment advisory fees | 5,941,475 | |||
Fund administration fees | 2,742,192 | |||
Administrative fees | 583,025 | |||
Professional fees | 231,284 | |||
Chief compliance officer fees | 91,848 | |||
Interest (Note 7) | 48,461 | |||
Miscellaneous fees and other | 231,591 | |||
Total Expenses | 38,140,720 | |||
Net Investment Income | 21,297,488 | |||
Net Realized Gain (Loss) from: | ||||
Investments (net of foreign withholding taxes on capital gains of $3,154) | 262,350,793 | |||
Securities sold short | (205,340 | ) | ||
Swap contracts | 12,288,945 | |||
Financial futures contracts | (8,530,317 | ) | ||
Forward currency contracts and foreign currency-related transactions | (1,614,118 | ) | ||
Options written | 9,112 | |||
Net Realized Gain on Investments and Foreign Currencies | 264,299,075 | |||
Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies | (57,096,132 | ) | ||
Net Realized and Unrealized Gain on Investments and Foreign Currencies | 207,202,943 | |||
Net Increase in Net Assets Resulting from Operations | $ | 228,500,431 |
See accompanying Notes to Financial Statements.
23
Statements of Changes in Net Assets |
Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | |||||||
Increase (Decrease) in Net Assets From Operations | ||||||||
Net investment income | $ | 21,297,488 | $ | 3,113,493 | ||||
Net realized gain on investments and foreign currencies | 264,299,075 | 544,940,417 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (57,096,132 | ) | 165,745,288 | |||||
Net Increase in Net Assets Resulting from Operations | 228,500,431 | 713,799,198 | ||||||
Distributions | ||||||||
From net investment income | (28,249,064 | ) | (56,704,714 | ) | ||||
From net realized gains | (26,689,972 | ) | (526,374,526 | ) | ||||
Decrease in Net Assets Resulting from Distributions | (54,939,036 | ) | (583,079,240 | ) | ||||
Capital Share Transactions | ||||||||
Proceeds from shares sold | 177,267,753 | 679,683,709 | ||||||
Proceeds from distributions reinvested | 38,071,404 | 402,040,472 | ||||||
Entry/exit fees | 1,444,859 | 5,214,748 | ||||||
Cost of shares redeemed | (109,262,493 | ) | (370,162,866 | ) | ||||
Net Increase From Capital Share Transactions | 107,521,523 | 716,776,063 | ||||||
Total Increase in Net Assets | 281,082,918 | 847,496,021 | ||||||
Net Assets | ||||||||
Beginning of period | 5,770,760,668 | 4,923,264,647 | ||||||
End of period | $ | 6,051,843,586 | $ | 5,770,760,668 | ||||
Including distributions in excess of net investment income | $ | (133,022,401 | ) | $ | (126,070,825 | ) | ||
Capital Share Transactions (in shares) | ||||||||
Shares sold | 10,852,746 | 40,718,046 | ||||||
Shares reinvested | 2,322,217 | 24,831,665 | ||||||
Shares redeemed | (6,632,284 | ) | (22,356,339 | ) | ||||
Net Increase | 6,542,679 | 43,193,372 |
See accompanying Notes to Financial Statements.
24
Statement of Cash Flows (unaudited) |
Six Months Ended June 30, 2014 | ||||
Cash flows provided by (used in) operating activities | ||||
Net increase (decrease) in net assets resulting from operations | $ | 228,500,431 | ||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||
Investments purchased | (2,004,643,371 | ) | ||
Investments sold | 2,135,327,555 | |||
Purchases to cover securities sold short | (250,618,935 | ) | ||
Securities sold short | 263,467,777 | |||
(Purchase)/Sale of short term investments, net | (324,103,206 | ) | ||
Amortization/(accretion) of discount and premium, net | 4,002,662 | |||
(Increase)/decrease in deposit with brokers for securities sold short | 6,726,910 | |||
(Increase)/decrease in deposit with brokers for collateral | 37,000,000 | |||
(Increase)/decrease in due from broker for futures variation margin | (267,524 | ) | ||
(Increase)/decrease in unrealized appreciation on forward currency contracts | (163,033 | ) | ||
(Increase)/decrease in interest receivable | 1,250,004 | |||
(Increase)/decrease in receivable for dividends and tax reclaims | (2,510,952 | ) | ||
(Increase)/decrease in receivable for closed swap contracts, net | (1,271,773 | ) | ||
Increase/(decrease) in payable for foreign currencies sold short | 6,615,299 | |||
Increase/(decrease) in payable for Money Manager fees | (769,571 | ) | ||
Increase/(decrease) in dividends and interest for securities sold short | (1,654,068 | ) | ||
Increase/(decrease) in accrued expenses and other liabilities | 266,096 | |||
Increase/(decrease) in payable for investment advisory and adminstrative fees | (7,146 | ) | ||
Proceeds from written option contracts, net | 82,956 | |||
Net realized (gain) loss from investments | (262,154,565 | ) | ||
Net change in unrealized (appreciation) depreciation on investments | 61,702,090 | |||
Net cash provided by (used in) operating activities | (103,222,364 | ) | ||
Cash flows provided by (used in) financing activities | ||||
Distributions paid to shareholders | (13,087,500 | ) | ||
Proceeds from shares sold | 178,158,546 | |||
Payment for shares redeemed | (112,504,794 | ) | ||
Increase (decrease) in reverse repurchase agreements | 18,264,516 | |||
Net cash provided by (used in) financing activities | 70,830,768 | |||
Net increase in cash | (32,391,596 | ) | ||
Cash at beginning of year | 65,962,439 | |||
Cash at end of year | $ | 33,570,843 | ||
Non cash financing activities not included herein consist of: | ||||
Reinvestment of distributions of: | $ | 38,071,404 | ||
Interest Paid: | $ | (46,850 | ) |
See accompanying Notes to Financial Statements.
25
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. As of June 30, 2014, TIP consisted of two mutual funds. The financial statements and notes presented here relate only to TIFF Multi-Asset Fund (“MAF” or the “fund”).
Investment Objective
The fund's investment objective is to attain a growing stream of current income and appreciation of principal that at least offset inflation.
2. Summary of Significant Accounting Policies
The preparation of financial statements in conformity with US 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 OTC 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. The fund has established a pricing hierarchy to determine the order of pricing sources utilized in valuing its portfolio holdings. The pricing hierarchy has been approved by the TIP board of directors.
The fund employs 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 the net asset value of the fund is determined. If the fund's valuation committee believes that a particular event would materially affect net asset value, further adjustment is considered.
MAF invests in private investment funds that pursue certain alternative investment strategies. Private investment fund interests held by MAF 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 MAF values its interests in private investment funds at “fair value.” If a private investment fund does not provide a value to MAF on a timely basis, MAF 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 MAF 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
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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 MAF could reasonably expect to receive from the private investment fund if MAF'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 MAF 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 the fund would receive upon selling an asset or pay to transfer a liability in a timely transaction to an independent buyer in the principal or most advantageous market for the asset or liability, respectively. 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 assets and liabilities
Level 2 — other significant observable inputs (including quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 — significant unobservable inputs (including the fund’s own assumptions in determining the fair value of assets and liabilities)
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The following is a summary of the inputs used as of June 30, 2014, in valuing the fund's assets and liabilities carried at fair value:
Multi-Asset Fund
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | |||||||||||||||||
Common Stocks* | $ | 1,413,644,089 | $ | 1,376,860,993 | $ | 505,024 | $ | 2,791,010,106 | |||||||||
Participation Notes* | — | 19,379,884 | — | 19,379,884 | |||||||||||||
Corporate Bonds** | — | — | — | — | |||||||||||||
Asset-Backed Securities | — | 48,357,191 | — | 48,357,191 | |||||||||||||
Mortgage-Backed Securities | — | 93,711,168 | — | 93,711,168 | |||||||||||||
US Treasury Bonds/Notes | 860,680,286 | — | — | 860,680,286 | |||||||||||||
Exchange-Traded Funds and Mutual Funds | 423,358,741 | — | — | 423,358,741 | |||||||||||||
Private Investment Funds | — | — | 623,017,648 | 623,017,648 | |||||||||||||
Preferred Stocks* | — | 14,412,938 | — | 14,412,938 | |||||||||||||
Rights | — | 173,023 | — | 173,023 | |||||||||||||
Warrants | — | 125,615 | — | 125,615 | |||||||||||||
Short-Term Investments | 1,942,952,903 | — | — | 1,942,952,903 | |||||||||||||
Total Investments in Securities | 4,640,636,019 | 1,553,020,812 | 623,522,672 | 6,817,179,503 | |||||||||||||
Financial Futures Contracts – Interest Rate Risk | 9,463 | — | — | 9,463 | |||||||||||||
Financial Futures Contracts – Foreign Currency Risk | 1,056,062 | — | — | 1,056,062 | |||||||||||||
Swap Contracts – Equity Risk | — | 831,046 | — | 831,046 | |||||||||||||
Total Other Financial Instruments | 1,065,525 | 831,046 | — | 1,896,571 | |||||||||||||
Total Assets | $ | 4,641,701,544 | $ | 1,553,851,858 | $ | 623,522,672 | $ | 6,819,076,074 | |||||||||
Liabilities | |||||||||||||||||
Common Stocks Sold Short* | $ | (94,707,821 | ) | $ | (48,511,411 | ) | $ | — | $ | (143,219,232 | ) | ||||||
US Treasury Bonds/Notes Sold Short | (641,575,011 | ) | — | — | (641,575,011 | ) | |||||||||||
Total Securities Sold Short | (736,282,832 | ) | (48,511,411 | ) | — | (784,794,243 | ) | ||||||||||
Financial Futures Contracts – Interest Rate Risk | (366,250 | ) | — | — | (366,250 | ) | |||||||||||
Financial Futures Contracts – Equity Risk | (1,071,050 | ) | — | — | (1,071,050 | ) | |||||||||||
Financial Futures Contracts – Foreign Currency Risk | (1,014,295 | ) | — | — | (1,014,295 | ) | |||||||||||
Forward Currency Contracts - Foreign Currency Risk | (81,696 | ) | — | — | (81,696 | ) | |||||||||||
Swap Contracts – Equity Risk | — | (684,193 | ) | — | (684,193 | ) | |||||||||||
Total Other Financial Instruments | (2,533,291 | ) | (684,193 | ) | — | (3,217,484 | ) | ||||||||||
Total Liabilities | $ | (738,816,123 | ) | $ | (49,195,604 | ) | $ | — | $ | (788,011,727 | ) |
* | Securities categorized as Level 2 primarily include listed foreign equities or participation notes whose value has been adjusted with factors to reflect changes to foreign markets after market close. |
** | Securities in this category have a market value of zero and are categorized as Level 3. |
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The fund recognizes transfers into and transfers out of the valuation levels at the beginning of the reporting period. The fund had no transfers between Level 1 and Level 2 of the fair value hierarchy during the period ended June 30, 2014.
The following is a reconciliation of investments in securities for which significant unobservable inputs (Level 3) were used in determining value:
Investments in Securities | Balance as of December 31, 2013 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of June 30, 2014 | Net Change in Unrealized Appreciation (Depreciation) from Investments still held as of 6/30/14 for the period ended 6/30/14 | ||||||||||||||||||||||||||||||
Common Stocks* | $ | 3,165,515 | $ | — | $ | — | $ | 3,575 | $ | — | $ | (2,664,066 | ) | $ | — | $ | — | $ | 505,024 | $ | 3,575 | |||||||||||||||||||
Private Investment Funds | 844,862,924 | — | 66,422,739 | (79,538,473 | ) | 1,959,528 | (210,689,070 | ) | — | — | 623,017,648 | (39,862,448 | ) | |||||||||||||||||||||||||||
Corporate Bonds* | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Total | $ | 848,028,439 | $ | — | $ | 66,422,739 | $ | (79,534,898 | ) | $ | 1,959,528 | $ | (213,353,136 | ) | $ | — | $ | — | $ | 623,522,672 | $ | (39,858,873 | ) |
* | There are Common Stocks and Corporate Bonds categorized as Level 3 that have a market value of zero. |
Securities designated as Level 3 in the fair value hierarchy are valued using methodologies and procedures established by the TIP board of directors, and the TIP Valuation Committee, which was established to serve as an agent of the Board. Management is responsible for the execution of these valuation procedures. Transfers to/from, or additions to, Level 3 require a determination of the valuation methodology, including the use of unobservable inputs, by the TIP Valuation Committee.
The TIP Valuation Committee meets no less than quarterly to review the methodologies and significant unobservable inputs currently in use, and to adjust the pricing models as necessary. Any adjustments to the pricing models are documented in the minutes of the TIP Valuation Committee meetings, which are provided to the TIP board of directors on a quarterly basis.
The following is a summary of the procedures and significant unobservable inputs used in Level 3 investments:
Common Stocks and Corporate Bonds. 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 the TIP 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. On a quarterly basis, the TIP Valuation Committee reviews the valuations in light of current information available about the issuer, security or market trends to adjust the pricing models, if deemed necessary.
Private Investment Funds. Private investment funds are valued at fair value using net asset values received on monthly statements, adjusted for the most recent estimated value or performance provided by the management of the private investment fund. Values are adjusted further by the total returns of indices or exchange-traded funds that track markets to which the private investment fund is fully or partially exposed, as determined by the TIP Valuation Committee upon review of information provided by the private investment fund. On a quarterly basis, the TIP Valuation Committee compares the valuations as determined by the pricing models at each month-end during the quarter to statements provided by management of the private investment funds in order to recalibrate the market exposures, the indices or exchange-traded funds used in the pricing models as necessary.
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The valuation techniques and significant observable inputs used in recurring Level 3 fair value measurements of assets were as follows:
As of June 30, 2014 | Fair Value | Valuation Methodology | Significant Unobservable Inputs | Range | Weighted Average | |||||||||||||||
Common Stocks and Corporate Bonds | $ | — | Last market price | Discount(%) | 100% | 100% | ||||||||||||||
505,024 | Corporate action model | Discount(%) | 2.5% | 2.5% | ||||||||||||||||
Private Investment Funds | $ | 623,017,648 | Adjusted net asset value | Manager estimates Market returns* | (0.25)% – 1.54% (1.54)% – 0.42% | 0.66% (0.96)% |
* | Weighted by estimated exposure to chosen indices or exchange-traded funds. |
The following are descriptions of the sensitivity of the Level 3 reoccurring fair value measurements to changes in the significant unobservable inputs presented in the table above:
Common Stocks and Corporate Bonds. The technique and unobservable inputs in the above chart reflect the technique and significant unobservable inputs of securities held at period end. The discount for lack of marketability used to determine fair value may include other factors such as liquidity or credit risk. An increase (decrease) in the discount would result in a lower or higher fair value measurement.
Private Investment Funds. The range of management estimates and market returns reflected in the above chart identify the range of estimates and returns used in valuing the private investment funds at period end. A significant increase (decrease) in the estimates received from the management of the private investment funds would result in a significantly higher or lower fair value measurement. A significant increase (decrease) in the market return weighted by estimated exposures to chosen indices would result in a significantly higher or lower fair value measurement.
The table below details the fund’s ability to redeem from private investment funds that are classified as Level 3 assets. The private investment funds in this category generally impose a “lockup” or “gating” provision, which may restrict the timing, amount, or frequency of redemptions. All or a portion of the interests in these privately offered funds generally are deemed to be illiquid.
Fair Value | Redemption Frequency (if currently eligible) | Redemption Notice Period | ||||||||||
Multi-Strategy (a)(b) | $ | 421,401,664 | quarterly, annually | 45 – 90 days | ||||||||
Long-Short Global (c) | 173,577,016 | quarterly | 30 – 90 days | |||||||||
Global Equity (d)(e) | 28,038,968 | quarterly | 30 days | |||||||||
Total | $ | 623,017,648 |
(a) | This strategy entails the construction of portfolios primarily comprising capital allocated to various strategies based on risk and return profiles. |
(b) | This strategy includes $674,387 of illiquid investments in liquidation. The fund expects to receive distributions on a bi-monthly basis over the next one to three years. |
(c) | This strategy entails the construction of portfolios primarily comprising long and short positions in global common stocks. |
(d) | This strategy entails the construction of portfolios primarily comprising long positions in global common stocks. |
(e) | This strategy includes $197,583 of illiquid investments in liquidation. The fund expects to receive a final distribution over the next one to three years. |
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 fund accretes discounts or amortizes premiums using the yield-to-maturity method on a daily basis, except for mortgage-backed securities that record paydowns. The fund recognizes paydown gains and losses for such securities and reflects 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 fund, using reasonable diligence, becomes aware of such dividends. Non-cash dividends, if any, are recorded at the fair
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market value of the securities received. The fund uses the specific identification method for determining realized gain or loss on sales of securities and foreign currency transactions.
Income Taxes
There is no provision for federal income or excise tax since the 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 fund may be subject to foreign taxes on income, gains on investments, or currency repatriation. The fund accrues 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 fund evaluates tax positions taken or expected to be taken in the course of preparing the fund's tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax 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 fund's tax positions taken or to be taken on federal income tax returns for all open tax years (tax years ended December 31, 2010 – December 31, 2013), and has concluded that no provision for federal income tax is required in the fund's financial statements.
Expenses
Expenses directly attributable to MAF are charged to the fund’s operations; expenses that are applicable to all TIP funds are allocated based on the relative average daily net assets of each TIP fund.
Dividends to Members
It is the fund's policy to declare dividends from net investment income quarterly and distributions from capital gains at least annually.
MAF has adopted a managed distribution policy that aims, on a best efforts basis, to distribute approximately 5% of the fund's 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 the fund, if any, are normally declared and paid in December, but the fund may make distributions on a more frequent basis in accordance 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 fund 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 realized and unrealized foreign currency gain or loss is included in the Statement of Operations.
The fund does 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 fund does 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 an amount is categorized as foreign currency gain or loss for income tax reporting purposes.
Net realized gains and losses from foreign currency-related transactions represent net gains and losses from sales and maturities of forward currency contracts, disposition of foreign currencies, currency gains and losses
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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 the fund, less its liabilities, by the number of outstanding shares of the fund.
3. Derivatives and Other Financial Instruments
During the period ended June 30, 2014, the fund invested in derivatives, such as but not limited to futures, purchased and written options, and total return swaps for hedging, liquidity, index exposure, and active management strategies. Derivatives are used for “hedging” when TIFF Advisory Services, Inc. (“TAS”) or a money manager seeks to protect the 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 the fund’s portfolio investments and/or for purposes of total return. Depending on the purpose for which the derivative instruments are being used, the successful use of derivative instruments may depend on, among other factors, TAS or the money manager's ability to predict and understand relevant market movements.
Cover for Strategies Using Derivative Instruments
Transactions using derivative instruments, including futures contracts, written options and swaps, expose the fund to an obligation to another party and may give rise to a form of leverage. It is the 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, the 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 the 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 fund will monitor the amount of these segregated assets on a daily basis and will not enter into additional transactions that would require the segregation of cash or liquid securities unless the fund holds a sufficient amount of cash or liquid securities that can be segregated.
Financial Futures Contracts
The fund uses futures contracts primarily in three ways: (1) to gain long-term exposures, both long and short, to the total returns of broad equity indices, primarily in developed markets; (2) to gain long-term exposures, both long and short, to the returns of non-dollar currencies relative to the US dollar; and (3) to manage the duration of the fund's fixed income holdings to targeted levels. While trades here may be opportunistic in order to rebalance or otherwise adjust the fund's exposures, generally the fund's holdings of futures at the end of the period are indicative of the types, number, and magnitude of positions held throughout the period. The fund's trading in futures tends to be centered around the quarterly roll periods and within the duration-hedging activities.
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,
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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 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.
Swap Contracts
The fund uses swaps primarily in two ways: (1) to gain long-term exposures, both long and short, to the total returns of broad equity indices such as emerging markets; and (2) to gain short- or long-term exposure, both long and short, to the total returns of individual stocks and bonds, often as components of relative value strategies. The fund's holdings of swaps at the end of the period are indicative of the types of positions held throughout the period. The number and magnitude of these positions declined throughout the period due to the liquidation of an account that was managed by a former money manager to the fund, however, the number and magnitude of the positions held at the end of the period are expected to be indicative of the number and magnitude of the positions during the upcoming period. While swaps falling into the first category are often held for multiple quarters, if not years, swaps in the second category can at times be held for shorter time periods or adjusted frequently based on the managers' evolving views of the expected risk/reward of the trade, resulting at times in numerous swap transactions in a given day.
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The 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, 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. In certain circumstances, the fund may be required to pledge an additional amount, known as an independent amount, which is typically equal to a specified percentage of the notional amount of the trade. Likewise, the counterparty may be required to pledge cash or other assets to cover its obligations to the fund, net of the independent amount, if any. 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. This risk will be greater if an independent amount applies.
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. Swap contracts may also involve market risk in excess of the unrealized gain or loss reflected in the fund’s Statement of Assets and Liabilities. In addition, the fund could be exposed to risk if the counterparties are unable to meet the terms of the contract or if the value of foreign currencies change unfavorably to the US dollar.
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 would make payments, typically at a spread to a floating rate, calculated based on the notional amount.
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Options
The fund generally uses options to hedge a portion (but not all) of the downside risk in its long equity and equity relative value positions and also opportunistically to generate total returns. The fund may also engage in writing options, for example, to express a long view on a stock by writing a put option. When writing a put option, the risk to the fund is equal to the notional value of the position. The fund's holdings of options at the end of the period are indicative of the types of positions held throughout the period. The number and magnitude of these positions declined throughout the period due to the liquidation of an account that was managed by a former money manager to the fund, however, the number and magnitude of the positions held at the end of the period are expected to be indicative of the number and magnitude of the positions during the upcoming period.
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 a 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 the fund purchases may be traded on a national securities exchange or in the OTC market. All option positions entered into on a national securities exchange are cleared and guaranteed by the Options Clearing Corporation, thereby reducing the risk of counterparty default. There can be no assurance that a liquid secondary market will exist for any option purchased.
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, the 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, the fund may enter into closing sale transactions with respect to put options, exercise them or permit them to expire unexercised. When buying options, the fund’s potential loss is limited to the cost (premium plus transaction costs) of the option.
As the writer of a put option, the fund retains the risk of loss should the underlying instrument decline in value. If the value of the underlying instrument declines below the exercise price of the put option and the put option is exercised, the fund, as the writer of the put option, will be required to buy the instrument at the exercise price. The fund will incur a loss to the extent that the current market value of the underlying instrument is less than the exercise price of the put option. However, the loss will be offset at least in part by the premium received from the sale of the put. If a put option written by the fund expires unexercised, the fund will realize a gain in the amount of the premium received. As the writer of a put option, the fund may be required to pledge cash and/or other liquid assets at least equal to the value of the fund’s obligation under the written put.
The fund may write “covered” call options, meaning that the fund owns the underlying instrument that is subject to the call or has cash and/or liquid securities with a value at all times sufficient to cover its potential obligations under the option. When the fund writes a covered call option, any underlying instruments that are held by the fund and are subject to the call option will be earmarked as segregated on the books of the fund or the fund’s custodian. A fund will be unable to sell the underlying instruments that are subject to the written call option until it either effects a closing transaction with respect to the written call, or otherwise satisfies the conditions for release of the underlying instruments from segregation, for example, by segregating sufficient cash and/or liquid assets necessary to enable the fund to purchase the underlying instrument in the event the call option is exercised by the buyer.
When the fund writes an option, an amount equal to the premium received by the fund is included in the fund’s Statement of Assets and Liabilities as a liability and subsequently marked to market to reflect the current value of the option written. These contracts may also involve market risk in excess of the amounts stated in the Statement of Assets and Liabilities. In addition, the fund could be exposed to risk if the counterparties are unable to meet the terms of the contract or if the value of foreign currencies change unfavorably to the US dollar. The current market value of a written option is the last sale price on the market on which it is principally traded. If the written option expires unexercised, the fund realizes a gain in the amount of the
34
premium received. If the fund enters into a closing transaction, it recognizes a gain or loss, depending on whether the cost of the purchase is less than or greater than the premium received.
For the period ended June 30, 2014, the fund had the following transactions in written options.
Number of Contracts | Premiums Received | |||||||
Options outstanding at December 31, 2013 | 214,820 | $ | 96,135 | |||||
Options written | — | — | ||||||
Options terminated in closing purchase transactions | (21,600 | ) | (20,817 | ) | ||||
Options assigned | (193,220 | ) | (75,318 | ) | ||||
Options outstanding at June 30, 2014 | — | $ | — |
Forward Currency Contracts
The fund enters into forward currency contracts to manage the foreign currency exchange risk to which it is subject in the normal course of pursuing 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. The fund's holdings of forward currency contracts at the end of the period are indicative of the types of positions held throughout the period. The number and magnitude of these positions declined throughout the period due to the liquidation of an account that was managed by a former money manager to the fund, however, the number and magnitude of the positions held at the end of the period are expected to be indicative of the number and magnitude of the positions during the upcoming period.
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 fund as an unrealized gain or loss. The 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 fund 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 fund are fully collateralized by other securities, as disclosed in the accompanying Schedule of Investments. 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
The 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 for securities sold short in its Statement of Assets and Liabilities and establishes an offsetting liability for the securities or foreign currencies sold under the short sale agreement. The cash is retained by the fund’s broker as collateral for the short position. The fund must also post an additional amount of margin of 50% of the value of the short sale. Additional margin may be required as the value of the borrowed security fluctuates. The liability is marked-to-market while it remains open to reflect the current settlement obligation. Until the security or currency 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.
35
In “short selling,” the fund sells borrowed securities or currencies which must at some date be repurchased and returned to the lender. If the market value of securities or currencies 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.
Further discussion of short selling US Government securities can be found in Note 7, Repurchase and Reverse Repurchase Agreements.
Interest Only Securities
The 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.
Derivative Disclosure
The fund is a party to agreements which include netting provisions or other similar arrangements. While the terms and conditions of these agreements may vary, all transactions under each such agreement constitute a single contractual relationship, and each party's obligation to make any payments, deliveries, or other transfers in respect of any transaction under such agreement may be applied against the other party's obligations under such agreement and netted. A default by a party in performance with respect to one transaction under such an agreement would give the other party the right to terminate all transactions under such agreement and calculate one net amount owed from the defaulting party to the other. The fund is required to disclose positions held at period end that were entered into pursuant to agreements that allow the fund to net the counterparty's obligations against those of the fund in the event of a default by the counterparty.
At June 30, 2014 the fund's derivative assets and liabilities (by contract type) are as follows:
Assets | Liabilities | |||||||
Derivative Financial Instruments: | ||||||||
Warrants | $ | 125,615 | $ | — | ||||
Swap Contracts | 831,046 | (684,193 | ) | |||||
Forward Currency Contracts | — | (81,696 | ) | |||||
Financial Futures Contracts | 1,065,525 | (2,451,595 | ) | |||||
Total derivative assets and liabilities | 2,022,186 | (3,217,484 | ) | |||||
Derivatives not subject to a netting provision or similar arrangement | 1,191,140 | (2,451,595 | ) | |||||
Total assets and liabilities subject to a netting provision or similar arrangement | $ | 831,046 | $ | (765,889 | ) |
The following table presents the fund's dervative assets net of amounts available for offset under a netting provision or similar arrangement and net of the related collateral (excluding any independent amounts) received by the fund as of June 30, 2014:
Counterparty | Derivative Assets Subject to a Netting Agreement or Similar Arrangement | Derivatives Available for Offset | Collateral Received | Net Amount | ||||||||||||
Swap Contracts | ||||||||||||||||
Bank of America Merrill Lynch | $ | 580,950 | $ | 580,950 | $ | — | $ | — | ||||||||
Barclays Bank plc | 250,096 | — | — | 250,096 | ||||||||||||
Total | $ | 831,046 | $ | 580,950 | $ | — | $ | 250,096 |
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The following table presents the fund's derivative liabilities net of amounts available for offset under a netting provision or similar arrangement and net of the related collateral (excluding any independent amounts) pledged by the fund as of June 30, 2014:
Counterparty | Derivative Liabilities Subject to a Netting Agreement or Similar Arrangement | Derivatives Available for Offset | Collateral Pledged | Net Amount | ||||||||||||
Forward Currency Contracts | ||||||||||||||||
State Street Bank and Trust Co. | $ | (81,661 | ) | $ | — | $ | — | $ | (81,661 | ) | ||||||
JP Morgan Chase Bank | (35 | ) | — | — | (35 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Bank of America Merrill Lynch | (684,193 | ) | 580,950 | — | (103,243 | ) | ||||||||||
Total | $ | (765,889 | ) | $ | 580,950 | $ | — | $ | (184,939 | ) |
Please see Note 7, Repurchase and Reverse Repurchase Agreements, for further discussion of netting provisions and similar arrangements.
The following tables provide quantitative disclosure about fair value amounts of and gains and losses on the fund’s derivative instruments grouped by contract type and primary risk exposure category, as of June 30, 2014. 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, 2014, 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 | |||||||||||||||||||||||||
Rights | Investments, in securities at value | $ | — | $ | — | $ | — | $ | 173,023 | $ | 173,023 | ||||||||||||||
Warrants | Investments, in securities at value | — | — | — | 125,615 | 125,615 | |||||||||||||||||||
Swap Contracts | Swap contracts, at value | — | — | — | 831,046 | 831,046 | |||||||||||||||||||
Financial Futures Contracts | Due to broker for futures variation margin* | 9,463 | 1,056,062 | — | — | 1,065,525 | |||||||||||||||||||
Total Value – Assets | $ | 9,463 | $ | 1,056,062 | $ | — | $ | 1,129,684 | $ | 2,195,209 | |||||||||||||||
Liability Derivatives | |||||||||||||||||||||||||
Swap Contracts | Swap contracts, at value | $ | — | $ | — | $ | — | $ | (684,193 | ) | $ | (684,193 | ) | ||||||||||||
Forward Currency Contracts | Unrealized depreciation on forward currency contracts | — | (81,696 | ) | — | — | (81,696 | ) | |||||||||||||||||
Financial Futures Contracts | Due to broker for futures variation margin* | (366,250 | ) | (1,014,295 | ) | — | (1,071,050 | ) | (2,451,595 | ) | |||||||||||||||
Total Value – Liabilities | $ | (366,250 | ) | $ | (1,095,991 | ) | $ | — | $ | (1,755,243 | ) | $ | (3,217,484 | ) |
* | 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. |
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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, 2014, 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 | $ | — | $ | — | $ | — | $ | (37,093 | ) | $ | (37,093 | ) | ||||||||||||
Warrants | Net realized gain (loss) from Investments | — | — | — | 116 | 116 | |||||||||||||||||||
Purchased Options | Net realized gain (loss) from Investments | — | — | — | 359,759 | 359,759 | |||||||||||||||||||
Written Options | Net realized gain (loss) from Options Written | — | — | — | 9,112 | 9,112 | |||||||||||||||||||
Swap Contracts | Net realized gain (loss) from Swap contracts | — | — | — | 12,288,945 | 12,288,945 | |||||||||||||||||||
Forward Currency Contracts | Net realized gain (loss) from Forward currency contracts | — | (270,251 | ) | — | — | (270,251 | ) | |||||||||||||||||
Financial Futures Contracts | Net realized gain (loss) from Financial futures contracts | (1,688,614 | ) | (1,307,367 | ) | — | (5,534,336 | ) | (8,530,317 | ) | |||||||||||||||
Total Realized Gain (Loss) | $ | (1,688,614 | ) | $ | (1,577,618 | ) | $ | — | $ | 7,086,503 | $ | 3,820,271 |
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, 2014, 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 | Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies | $ | — | $ | — | $ | — | $ | 142,948 | $ | 142,948 | ||||||||||||||
Warrants | Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies | — | — | — | 120,048 | 120,048 | |||||||||||||||||||
Purchased Options | Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies | — | — | — | (119,156 | ) | (119,156 | ) | |||||||||||||||||
Written Options | Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies | — | — | — | (16,813 | ) | (16,813 | ) | |||||||||||||||||
Swap Contracts | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | — | — | — | (2,942,973 | ) | (2,942,973 | ) | |||||||||||||||||
Forward Currency Contracts | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | — | 163,033 | — | — | 163,033 | |||||||||||||||||||
Financial Futures Contracts | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | (1,029,314 | ) | (1,857,258 | ) | — | 4,544,279 | 1,657,707 | |||||||||||||||||
Total Change in Appreciation (Depreciation) | $ | (1,029,314 | ) | $ | (1,694,225 | ) | $ | — | $ | 1,728,333 | $ | (995,206 | ) |
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4. Investment Advisory Agreement, Money Manager Agreements, and Other Transactions with Affiliates
TIP’s board of directors has approved an investment advisory agreement for the fund with TAS. The fund pays TAS a monthly fee calculated by applying the annual rates set forth below to the fund’s average daily net assets for the month:
Assets | ||||
On the first $1 billion | 0.25 | % | ||
On the next $1 billion | 0.23 | % | ||
On the next $1 billion | 0.20 | % | ||
On the remainder (> $3 billion) | 0.18 | % |
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 provided services to the fund and their fees as a percent of assets managed during the six months ended June 30, 2014, were as follows:
Minimum | Maximum | Annualized Effective Fee Rate | ||||||||||
AJO, LP (a) | 0.10 | % | 0.50 | % | 0.42 | % | ||||||
Amundi Smith Breeden Associates, Inc. – Beta (b) | 0.02 | % | 0.03 | % | 0.03 | % | ||||||
Amundi Smith Breeden Associates, Inc. – High Alpha (c) | 0.25 | % | (c) | 2.02 | % | |||||||
Amundi Smith Breeden Associates, Inc. – Low Alpha (a) | 0.10 | % | 0.85 | % | 0.26 | % | ||||||
Brookfield Investment Management Inc. (a) | 0.50 | % | 2.50 | % | 2.37 | % | ||||||
Glenhill Capital Advisors, LLC (d) | 0.55 | % | (d) | 0.66 | % | |||||||
Lansdowne Partners Limited Partnership (b) | 0.80 | % | 0.80 | % | 0.80 | % | ||||||
Marathon Asset Management, LLP – ACWI (a)(e) | 0.15 | % | 1.60 | % | 0.37 | % | ||||||
Marathon Asset Management, LLP – EAFE (a) | 0.15 | % | 1.60 | % | 0.59 | % | ||||||
Marathon Asset Management, LLP – EM (f) | 0.35 | % | (f) | 0.38 | % | |||||||
Mission Value Partners, LLC (g) | 0.25 | % | (g) | 2.01 | % | |||||||
Mondrian Investment Partners Limited (b) | 0.30 | % | 0.43 | % | 0.31 | % | ||||||
OVS Capital Management LLP (h) | 0.50 | % | (h) | 1.13 | % | |||||||
Shapiro Capital Management LLC (a) | 0.50 | % | 0.95 | % | 0.85 | % | ||||||
Southeastern Asset Management, Inc. (b) | 0.75 | % | 1.00 | % | 0.75 | % |
(a) | Money manager receives a fee that is based on performance. The effective fee may fall outside of the minimum and maximum range because performance fees may be based on either assets or performance from a period other than the period covered by this report. |
(b) | Money manager receives a fee that is based on assets under management, irrespective of performance. For these money managers whose fee agreements include breakpoints, the minimum and maximum reflect the last level and the first level of the breakpoints, respectively. |
(c) | Amundi Smith Breeden High Alpha Account’s compensation entails an asset-based fee schedule with breakpoints of 0.30% and 0.25%, and a performance fee, pursuant to which Amundi Smith Breeden will receive up to 10% of a performance accrual account which accumulates 20% of the net appreciation or depreciation earned over a specific hurdle generated by the portfolio for each calendar month. |
(d) | Glenhill’s compensation entails an asset-based fee schedule with breakpoints between 0.55% and 0.75%, and a performance fee, pursuant to which Glenhill will receive 15% of the amount of appreciation generated by the portfolio over a specified hurdle, subject to a high-water mark. |
(e) | Marathon Asset Management ceased managing assets in its All Country World (“ACWI”) portfolio on March 31, 2014. These assets transitioned into Marathon Asset Management’s Emerging Markets (“EM”) portfolio on April 1, 2014. |
(f) | Marathon’s compensation for its EM account entails an asset based fee of 0.35% per year and a performance fee, pursuant to which Marathon will receive 20% of the amount of appreciation generated by the portfolio over a specified hurdle, subject to a high water mark. |
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(g) | Mission Value Partners’ compensation entails an asset-based fee schedule with breakpoints between 0.25% and 1.00%, and a performance fee. Pursuant to the performance fee agreement, Mission Value Partners will receive up to 1.00% of the amount by which the annualized return generated by the portfolio exceeds that of its hurdle, measured over a rolling thirty-six month period, multiplied by the average daily net asset value of such assets over the same thirty-six month period. |
(h) | OVS ceased managing assets for MAF as of May 8, 2014. Prior to that date, OVS’s compensation entailed an asset-based fee that was dependent, in part, on total assets OVS invested for MAF and assets that OVS managed for other clients, and ranged between 0.50% and 1.50% per year. Additionally, OVS received a performance fee that ranged between 10% and 15% of the amount of appreciation above a specified hurdle generated by the portfolio provided the dollar amount of prior year losses, if any, has been recovered. As with the asset-based fee, the performance fee varied within the range depending in part on total assets OVS invests for MAF and assets that OVS manages for other clients. The effective fee rate shown here is not annualized, but instead reflects the fee rate for the actual period during which OVS managed assets for MAF. Had the effective fee rate been annualized, it would have been 3.18%. |
The fund has entered an agreement with State Street Global Markets (SSGM) pursuant to which SSGM acts as a trading advisor with respect to a portion of the fund's assets. For these services, the fund pays 0.01% on the month-end balance of such fund assets. SSGM does not provide investment advice or exercise discretion over the fund's assets. Fees for such services paid to SSGM are reflected as money manager fees on the Statement of Operations.
With respect to MAF’s investments in other registered investment companies, private investment funds, exchange-traded funds, and other acquired funds, MAF bears its ratable share of each such entity’s expenses, including its share of the management and performance fees, if any, charged by such entity. MAF’s share of management and performance fees charged by such entities is in addition to fees paid by MAF to TAS and the money managers.
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 the fund and/or on transactions entered into by the fund during the period, and out-of-pocket expenses. Fees for such services paid to State Street by the fund are reflected as fund administration fees on the Statement of Operations.
TAS provides certain administrative services to the fund under a Services Agreement. For these services, the fund pays a monthly fee calculated by applying an annual rate of 0.02% to the fund’s average daily net assets for the month. Fees for such services paid to TAS by the fund are reflected as administrative fees on the Statement of Operations.
TIP has designated an employee of TAS as its Chief Compliance Officer (“CCO”). For these services provided to TIP, which include the monitoring of TIP’s compliance program pursuant to Rule 38a-1 under the 1940 Act, TIP reimburses TAS. MAF pays a pro rata portion of such costs based on its share of TIP’s net assets.
TIP's board of directors, all of whom are considered “disinterested directors” as defined in the 1940 Act, serve as volunteers and receive no fees or salary for their service as board members. The independent chair of the board of directors, received compensation of $24,383 from MAF for the period ended June 30, 2014, for service as independent chair.
5. Investment Transactions
Cost of investment securities purchased and proceeds from sales of investment securities, other than short-term investments, during the period ended June 30, 2014, were as follows:
Purchases | Sales | |||||||
Non-US Government Securities | $ | 1,952,994,581 | $ | 2,023,934,364 | ||||
US Government Securities | $ | 394,105,200 | $ | 426,341,744 |
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6. Federal Tax Information
For federal income tax purposes, the cost of investments owned at June 30, 2014, 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, 2014, are as follows:
Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation) | Cost | |||||||||
$652,621,389 | $(239,463,926) | $413,157,463 | $6,295,005,601 |
The difference between the tax cost of investments and the cost of investments for US 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 US 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 account 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, 2014.
7. Repurchase and Reverse Repurchase Agreements
The fund will engage in repurchase and reverse repurchase transactions under the terms of master repurchase agreements with parties approved by TAS or the relevant money manager.
In a repurchase agreement, the fund buys securities from a counterparty (e.g., typically a member bank of the Federal Reserve system or a securities firm that is a primary or reporting dealer in US Government securities) with the agreement that the counterparty will repurchase them at the same price plus interest at a later date. In certain instances, the fund may enter into repurchase agreements with one counterparty, but face another counterparty at settlement. Repurchase agreements may be characterized as loans secured by the underlying securities. Such transactions afford an opportunity for the fund to earn a return on available cash at minimal market risk, although the fund may be subject to various delays and risks of loss if the counterparty becomes subject to a proceeding under the US Bankruptcy Code or is otherwise unable to meet its obligation to repurchase the securities. In transactions that are considered to be collateralized fully, the securities underlying a repurchase agreement will be marked to market every business day so that the value of such securities is at least equal to the repurchase price thereof, including accrued interest. Certain transactions are not considered to be collateralized fully either because the value of the securities received from the counterparty is less than the repurchase price thereof or the fund elects to use the securities received for another purpose and therefore does not maintain a perfected security interest in the securities. In some instances, the collateral obtained as part of the repurchase agreement may then be borrowed to settle a short sale trade. Such transactions afford an opportunity for the fund to pay or receive the market return on the security received as collateral in the repurchase agreement. At the end of the repurchase agreement, the fund is obligated to return this borrowed collateral to the counterparty and thus will close out the short position by buying back the collateral in the market.
In a reverse repurchase agreement, the fund sells US Government securities and simultaneously agrees to repurchase them 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. Reverse repurchase agreements create leverage, a speculative factor, but will not be considered borrowings for the purposes of limitations on borrowings. When a fund enters into a reverse repurchase agreement, it must segregate on its or its custodian's books cash and/or liquid securities in an amount equal to the amount of the fund's obligation (cost) to repurchase the securities, including accrued interest.
41
If the counterparty defaults on its obligation to repurchase the underlying securities at a time when the value of these securities has declined, the fund may incur a loss upon their disposition. In addition, although the Bankruptcy Code provides protection for most repurchase agreements (generally, those that are collateralized fully), in the event that the other party to a repurchase agreement becomes bankrupt, the fund may experience delay or be prevented from exercising its right to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the fund seeks to assert this right. In addition, to the extent that the value of the securities received from the counterparty on a repurchase transaction is less than the repurchase price, the fund may suffer a loss of that amount in the event of the bankruptcy of the counterparty. Finally, it is possible that the fund may not be able to substantiate its interest in the underlying securities.
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, 2014, were as follows:
Description | Face Value | |||
Barclays Capital, Inc., 0.13%, dated 06/30/14, to be repurchased on 07/07/14 at $4,076,412 | $ | 4,076,309 | ||
JP Morgan Securities, Inc., 0.10%, dated 06/24/14, to be repurchased on 07/01/14 at $104,942,171 | 104,940,130 | |||
Total | $ | 109,016,439 |
For the period ended June 30, 2014, the average balance outstanding was $98,526,341 and the average interest rate was 0.08%.
The following table presents the fund's repurchase agreements net of amounts available for offset and net of the related collateral received by the fund as of June 30, 2014:
Counterparty | Assets Subject to a Netting Provision or Similar Arrangement | Liabilities Available for Offset | Collateral | Net Amount | ||||||||||||
Barclays Capital, Inc. | $ | 224,078,033 | $ | (4,076,309 | ) | $ | (220,001,724 | ) | $ | — | ||||||
Deutsche Bank Securities, Inc. | 171,129,876 | — | (168,748,875 | ) | 2,381,001 | |||||||||||
JP Morgan Securities, Inc. | 166,174,625 | (104,940,130 | ) | (61,234,495 | ) | — | ||||||||||
Fixed Income Clearing Corp. | 159,395,596 | — | (159,395,596 | ) | — | |||||||||||
Wells Fargo Securities, LLC | 87,210,000 | — | (85,660,313 | ) | 1,549,687 | |||||||||||
Total | $ | 807,988,130 | $ | (109,016,439 | ) | $ | (695,041,003 | ) | $ | 3,930,688 |
The following table presents the fund's reverse repurchase agreements net of amounts available for offset and net of the related collateral pledged by the fund as of June 30, 2014:
Counterparty | Liabilities Subject to a Netting Provision or Similar Arrangment | Assets Available for Offset | Collateral Pledged | Net Amount | ||||||||||||
Barclays Capital, Inc. | $ | 4,076,309 | $ | (4,076,309 | ) | $ | — | $ | — | |||||||
JP Morgan Securities, Inc. | 104,940,130 | (104,940,130 | ) | — | — | |||||||||||
Total | $ | 109,016,439 | $ | (109,016,439 | ) | $ | — | $ | — |
Please see Note 3, Derivatives and Other Financial Instruments, for further discussion of netting provisions and similar arrangements.
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8. Capital Share Transactions
While there are no sales commissions (loads) or 12b-1 fees, MAF assesses entry and exit fees of 0.50% of capital invested or redeemed. These fees, which are paid to the fund directly, not to TAS or other vendors supplying services to the fund, are designed to allocate transaction costs associated with purchases and redemptions of the fund shares to the members actually making such transactions, rather than the fund’s 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 fund (e.g., for transactions involving in-kind purchases and redemptions). Such fees are retained by the fund and included in proceeds from shares sold or deducted from distributions for redemptions.
9. Concentration of Risks
MAF 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. The fund may be subject to various delays and risks of loss if the counterparty becomes insolvent or is otherwise unable to meet its obligations.
The fund engages multiple external money managers, each of which manages a portion of the fund's assets. A multi-manager fund entails the risk, among others, that the advisor may not be able to (1) identify and retain money managers who achieve superior investment returns relative to similar investments; (2) combine money managers in the fund such that their investment styles are complementary; or (3) allocate cash among the money managers to enhance returns and reduce volatility or risk of loss relative to a fund with a single manager.
The fund invests in private investment funds that entail liquidity risk to the extent they are difficult to sell or convert to cash quickly at favorable prices.
The 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 fund’s portfolio securities to meet their obligations may be affected by changing business and economic conditions in a specific industry, state, or region.
The fund invests in US Government securities. Because of the rising US Government debt burden, it is possible that the US Government may not be able to meet its financial obligations or that securities issued or backed by the US Government may experience credit downgrades. Such a credit event may adversely affect the financial markets.
The fund invests in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the United States, a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries.
The 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.
10. Indemnifications
In the normal course of business, the fund enters into contracts that provide general indemnifications. The fund's maximum exposure under these arrangements is dependent on future claims that may be made against the fund and, therefore, cannot be established; however, based on experience, the risk of loss from such claims is considered remote.
11. Subsequent Events
Management has evaluated the possibility of subsequent events and has determined that there are no material events that would require disclosure in the fund's financial statements.
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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, 2014 to June 30, 2014.
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 1/1/14 | Ending Account Value 6/30/14 | Expense Paid During the Period* 1/1/14 – 6/30/14 | ||||||||||
1) Actual | $ | 1,000.00 | $ | 1,000.00 | $ | 1.04 | ||||||
2) Hypothetical | $ | 1,000.00 | $ | 1,023.75 | $ | 1.05 |
* | Expenses are equal to the fund’s annualized expense ratio of 0.21% (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 June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | ||||||||||||||||||||
For a share outstanding throughout each period | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.89 | $ | 9.90 | $ | 9.90 | $ | 9.90 | $ | 9.90 | $ | 9.89 | |||||||||||||
Income (loss) from investment operations | |||||||||||||||||||||||||
Net investment income (loss) | (0.01 | ) | (0.01 | ) | (0.01 | ) | (0.01 | ) | 0.00 | (a) | 0.01 | ||||||||||||||
Net realized and unrealized gain on investments | 0.01 | 0.00 | (a) | 0.01 | 0.01 | 0.00 | (a) | 0.01 | |||||||||||||||||
Total from investment operations | — | (0.01 | ) | (0.00 | ) | (0.00 | ) | 0.00 | 0.02 | ||||||||||||||||
Less distributions from | |||||||||||||||||||||||||
Net investment income | — | — | — | — | (0.00 | )(a) | (0.01 | ) | |||||||||||||||||
Net asset value, end of period | $ | 9.89 | $ | 9.89 | $ | 9.90 | $ | 9.90 | $ | 9.90 | $ | 9.90 | |||||||||||||
Total return (b) | (0.00 | )%(c)(e) | (0.10 | )% | (0.00 | )%(e) | 0.00 | %(d) | 0.03 | % | 0.24 | % | |||||||||||||
Ratios/supplemental data | |||||||||||||||||||||||||
Net assets, end of period (000s) | $ | 104,140 | $ | 148,294 | $ | 136,549 | $ | 159,290 | $ | 208,986 | $ | 239,425 | |||||||||||||
Ratio of expenses to average net assets, after waivers | 0.21 | %(f) | 0.20 | % | 0.20 | % | 0.18 | % | 0.16 | % | 0.17 | % | |||||||||||||
Ratio of net investment income (loss) to average net assets | (0.13 | )%(f) | (0.11 | )% | (0.09 | )% | (0.06 | )% | 0.01 | % | 0.14 | % | |||||||||||||
Portfolio turnover (g) | — | % | — | % | — | % | — | % | — | % | — | % |
(a) | Rounds to less than $0.01. |
(b) | Total return assumes dividend reinvestment. |
(c) | Not annualized. |
(d) | Rounds to less than 0.01%. |
(e) | The actual return is (0.001)%, which rounds to (0.00)%. |
(f) | Annualized. |
(g) | Because the fund holds primarily securities with maturities at the time of acquisition of one year or less, and such securities are excluded by definition from the calculation 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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Summary Schedule of Investments (Unaudited) |
Short-Term Investments | 100.4 | % | ||
Total Investments | 100.4 | % | ||
Liabilities in Excess of Other Assets | (0.4 | )% | ||
Net Assets | 100.0 | % |
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Principal Amount | Value | ||||||||
Investments — 100.4% of net assets | |||||||||
Short-Term Investments — 100.4% | |||||||||
Repurchase Agreement Used for Cash Management Purposes — 2.5% | |||||||||
Fixed Income Clearing Corp. 0.000%, issued on 06/30/14, due on 07/01/14 (proceeds at maturity $2,589,743) (collateralized by US Treasury Notes, due 02/15/19 through 05/15/41 with a total principal value of $2,390,000 and a total market value of $2,643,350) (Cost $2,589,743) | $ | 2,589,743 | $ | 2,589,743 | |||||
US Treasury Bills (a) — 97.9% | |||||||||
US Treasury Bill, due on 07/03/14 | 1,000,000 | 999,995 | |||||||
US Treasury Bill, due on 07/17/14 | 1,000,000 | 999,972 | |||||||
US Treasury Bill, due on 10/02/14 | 5,000,000 | 4,999,485 | |||||||
US Treasury Bill, due on10/23/14 | 2,000,000 | 1,999,762 |
Principal Amount | Value | |||||||
US Treasury Bill, due on 10/30/14 (a) | $ | 25,000,000 | $ | 24,996,850 | ||||
US Treasury Bill, due on 11/06/14 (a) | 10,000,000 | 9,998,400 | ||||||
US Treasury Bill, due on 11/28/14 (a) | 10,000,000 | 9,997,710 | ||||||
US Treasury Bill, due on 12/04/14 (a) | 24,000,000 | 23,994,792 | ||||||
US Treasury Bill, due on 12/11/14 (a) | 2,000,000 | 1,999,548 | ||||||
US Treasury Bill, due on 12/18/14 (a) | 22,000,000 | 21,994,808 | ||||||
Total US Treasury Bills (Cost $101,978,635) | 101,981,322 | |||||||
Total Short-Term Investments (Cost $104,568,378) | 104,571,065 | |||||||
Total Investments — 100.4% (Cost $104,568,378) | 104,571,065 | |||||||
Liabilities in Excess of Other Assets — (0.4)% | (431,234 | ) | ||||||
Net Assets — 100.0% | $ | 104,139,831 |
(a) | Treasury bills do not pay interest, but rather are purchased at a discount and mature at the stated principal amount. |
See accompanying Notes to Financial Statements.
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Statement of Assets and Liabilities (Unaudited) |
June 30, 2014 | ||||
Assets | ||||
Investments in securities, at value (cost: $101,978,635) | $ | 101,981,322 | ||
Repurchase agreements (cost: $2,589,743) | 2,589,743 | |||
Total investments (cost: $104,568,378) | 104,571,065 | |||
Receivables: | ||||
Investment securities sold | 4,999,982 | |||
Capital stock sold | 684,650 | |||
Total Assets | 110,255,697 | |||
Liabilities | ||||
Payables: | ||||
Capital stock redeemed | 6,065,000 | |||
Accrued expenses and other liabilities | 46,813 | |||
Investment advisory and administrative fees | 4,053 | |||
Total Liabilities | 6,115,866 | |||
Net Assets | $ | 104,139,831 | ||
Shares Outstanding (500,000,000 authorized shares, par value $0.001) | 10,531,916 | |||
Net Asset Value Per Share | $ | 9.89 | ||
Net Assets Consist of: | ||||
Capital stock | $ | 104,383,884 | ||
Accumulated net investment loss | (79,267 | ) | ||
Accumulated net realized loss on investments | (167,473 | ) | ||
Net unrealized appreciation on investments | 2,687 | |||
$ | 104,139,831 |
See accompanying Notes to Financial Statements.
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Statement of Operations (Unaudited) |
Six Months Ended June 30, 2014 | ||||
Investment Income | ||||
Interest | $ | 47,972 | ||
Total Investment Income | 47,972 | |||
Expenses | ||||
Fund administration fees | 48,527 | |||
Professional fees | 25,273 | |||
Investment advisory fees | 17,997 | |||
Administrative fees | 5,999 | |||
Chief compliance officer fees | 1,807 | |||
Miscellaneous fees and other | 27,636 | |||
Total Expenses | 127,239 | |||
Net Investment Loss | (79,267 | ) | ||
Net Realized Gain (Loss) from: | ||||
Investments | 20,564 | |||
Net Realized Gain | 20,564 | |||
Net Change in Unrealized Appreciation (Depreciation) on Investments | (9,809 | ) | ||
Net Realized and Unrealized Gain on Investments | 10,755 | |||
Net Decrease in Net Assets Resulting from Operations | $ | (68,512 | ) |
See accompanying Notes to Financial Statements.
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Statements of Changes in Net Assets |
Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | |||||||
Increase (Decrease) in Net Assets From Operations | ||||||||
Net investment loss | $ | (79,267 | ) | $ | (149,551 | ) | ||
Net realized gain (loss) on investments | 20,564 | 18,876 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (9,809 | ) | 2,645 | |||||
Net Decrease in Net Assets Resulting from Operations | (68,512 | ) | (128,030 | ) | ||||
Distributions | ||||||||
From net investment income | — | — | ||||||
Decrease in Net Assets Resulting from Distributions | — | — | ||||||
Capital Share Transactions | ||||||||
Proceeds from shares sold | 85,920,297 | 254,477,564 | ||||||
Proceeds from distributions reinvested | — | — | ||||||
Cost of shares redeemed | (130,005,665 | ) | (242,605,117 | ) | ||||
Net Increase (Decrease) From Capital Share Transactions | (44,085,368 | ) | 11,872,447 | |||||
Total Increase (Decrease) in Net Assets | (44,153,880 | ) | 11,744,417 | |||||
Net Assets | ||||||||
Beginning of period | 148,293,711 | 136,549,294 | ||||||
End of period | $ | 104,139,831 | $ | 148,293,711 | ||||
Including accumulated net investment income (loss) | $ | (79,267 | ) | $ | — | |||
Capital Share Transactions (in shares) | ||||||||
Shares sold | 8,687,593 | 25,713,417 | ||||||
Shares reinvested | — | — | ||||||
Shares redeemed | (13,145,163 | ) | (24,514,174 | ) | ||||
Net Increase (Decrease) | (4,457,570 | ) | 1,199,243 |
See accompanying Notes to Financial Statements.
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Statement of Cash Flows (Unaudited) |
Six Months Ended June 30, 2014 | ||||
Cash flows provided by (used in) operating activities | ||||
Net increase (decrease) in net assets resulting from operations | $ | (68,512 | ) | |
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 | 39,006,216 | |||
Decrease in accrued expenses and other liabilities | (27,860 | ) | ||
Decrease in investment advisory and administrative fees payable | (968 | ) | ||
Net realized (gain) loss from investments | (20,564 | ) | ||
Net change in unrealized (appreciation) depreciation on investments | 9,809 | |||
Net cash provided by (used in) operating activities | 38,898,121 | |||
Cash flows provided by (used in) financing activities | ||||
Proceeds from shares sold | 85,235,647 | |||
Payment for shares redeemed | (124,133,768 | ) | ||
Net cash provided by (used in) financing activities | (38,898,121 | ) | ||
Net increase (decrease) in cash | — | |||
Cash at beginning of period | — | |||
Cash at end of period | $ | — |
See accompanying Notes to Financial Statements.
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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. As of June 30, 2014, TIP consisted of two mutual funds. The financial statements and notes presented here relate only to TIFF Short-Term Fund (“STF” or the “fund”).
Investment Objective
STF’s investment objective is to 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 US 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
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.
Fair value is defined as the price that the fund would receive upon selling an asset or pay to transfer a liability in a timely transaction to an independent buyer in the principal or most advantageous market for the asset or liability, respectively. 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 assets and liabilities
Level 2 — other significant observable inputs (including quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 — significant unobservable inputs (including the fund’s own assumptions in determining the fair value of assets and liabilities)
During the period ending June 30, 2014, all of the fund’s investments were valued using Level 1 inputs, and as a result, there were no transfers between any of the fair value hierarchy levels.
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 fund accretes discounts or amortizes premiums using the yield-to-maturity method on a daily basis.
Income Taxes
There is no provision for federal income or excise tax since the 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.
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The fund evaluates tax positions taken or expected to be taken in the course of preparing the fund 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 fund’s tax positions taken or expected to be taken on federal income tax returns for all open tax years (tax years ended December 31, 2010 - December 31, 2013), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
Expenses
Expenses directly attributable to STF are charged to that fund’s operations; expenses that are applicable to all TIP funds are allocated among them based on the relative average daily net assets of each TIP fund.
Dividends to Members
It is the policy of the fund to declare dividends, if any, from net investment income monthly and capital gains distributions at least annually.
Dividends from net short-term capital gains and net long-term capital gains of the fund, if any, are normally declared and paid in December, but the fund may make distributions on a more frequent basis in accordance 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.
Net Asset Value
The net asset value per share is calculated on a daily basis by dividing the fund’s assets, less its liabilities, by the number of outstanding shares of the fund.
3. Investment Advisory and Other Agreements, and Other Transactions with Affiliates
TIP’s board of directors has approved an investment advisory agreement with TAS. The fund pays TAS a monthly fee calculated by applying the annual rates set forth below to the fund’s average daily net assets for the month:
Assets | ||||
On the first $1 billion | 0.03 | % | ||
On the next $1 billion | 0.02 | % | ||
On the remainder (> $2 billion) | 0.01 | % |
Pursuant to a series of agreements, State Street Bank and Trust Company (“State Street”) earns a fee for providing core fund administration, fund accounting, custody, and transfer agent services. Fees paid for non-core services rendered by State Street include, but are not limited to, transactions entered into by the fund during the period, and out-of-pocket expenses. Fees for such services paid to State Street by the fund 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, the fund pays a monthly fee calculated by applying an annual rate of 0.01% to the fund’s average daily net assets for the month. Fees for such services paid to TAS by the fund are reflected as administrative fees on the Statement of Operations.
TIP has designated an employee of TAS as its Chief Compliance Officer (“CCO”). For these services provided to TIP, which include the monitoring of TIP’s compliance program pursuant to Rule 38a-1 under the 1940 Act, TIP reimburses TAS. STF pays a pro rata portion of such costs based on its share of TIP’s net assets.
TIP’s board of directors, all of whom are considered “disinterested directors” as defined in the 1940 Act, serve as volunteers and receive no fees or salary for their service as board members. The independent chair of the board of directors, received compensation of $585 from STF for the period ended June 30, 2014, for service as independent chair.
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4. Federal Tax Information
For federal income tax purposes, the cost of investments owned at June 30, 2014, 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, at June 30, 2014, are as follows:
Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation) | Cost | |||||||||
$2,789 | $(102) | $2,687 | $104,568,378 |
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 US 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, 2014.
5. Repurchase Agreements
The fund will engage in repurchase transactions with parties approved by TAS.
In a repurchase agreement, the fund buys securities from a counterparty (e.g., typically a member bank of the Federal Reserve system or a securities firm that is a primary or reporting dealer in US Government securities) with the agreement that the counterparty will repurchase them at the same price plus interest at a later date. In certain instances, the fund may enter into repurchase agreements with one counterparty, but face another counterparty at settlement. Repurchase agreements may be characterized as loans secured by the underlying securities. Such transactions afford an opportunity for the fund to earn a return on available cash at minimal market risk, although the fund may be subject to various delays and risks of loss if the counterparty becomes subject to a proceeding under the US Bankruptcy Code or is otherwise unable to meet its obligation to repurchase the securities. Securities pledged as collateral for repurchase agreements are held by the custodial bank until maturity of the repurchase agreements. Provisions of the repurchase agreements and the procedures adopted by the fund 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.
6. Concentration of Risks
The fund may engage in transactions with counterparties, including but not limited to repurchase agreements. The fund may be subject to various delays and risks of loss if the counterparty becomes insolvent or is otherwise unable to meet its obligations.
The fund invests in US Government securities. Because of the rising US Government debt burden, it is possible that the US Government may not be able to meet its financial obligations or that securities issued or backed by the US Government may experience credit downgrades. Such a credit event may adversely affect the financial markets.
7. Indemnifications
In the normal course of business, the fund enters into contracts that provide general indemnifications. The fund’s maximum exposure under these arrangements is dependent on future claims that may be made against the fund and, therefore, cannot be established; however, based on experience, the risk of loss from such claims is considered remote.
8. Subsequent Events
Management has evaluated the possibility of subsequent events and has determined that there are no material events that would require disclosure in the fund’s financial statements.
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Proxy Voting Policy and Voting Record
A description of the policies and procedures that TIP uses to determine how to vote proxies relating to portfolio securities is available on TIFF’s website at http://www.tiff.org and without charge, upon request, by calling 800-984-0084. This information is also available on the website of the US Securities and Exchange Commission (``SEC”) at http://www.sec.gov. Information regarding how the TIP fund voted proxies relating to portfolio securities during the most recent 12-month year ended December 31 is also available on the websites noted above and without charge, upon request, by calling 800-984-0084.
Quarterly Reporting
TIP files its complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. TIP’s Form N-Q is available without charge, upon request, by calling 800-984-0084. This information is also available on the website of the US Securities and Exchange Commission at http://www.sec.gov. TIP’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. In addition TIP’s portfolio holdings are available on a monthly basis on the TIFF website at http://www.tiff.org.
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Approval of the Advisory Agreements and Money Manager Agreements (Unaudited)
During an in-person meeting held on June 25, 2014, the board of directors of TIFF Investment Program, Inc. (“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, as amended (the “1940 Act”), conducted its annual review of the investment advisory agreements between each of the TIP funds and TIFF Advisory Services, Inc. (“TAS”) (“Investment Advisory Agreements”), the advisor to TIFF Multi-Asset Fund (“Multi-Asset Fund” or “MAF”) and TIFF Short-Term Fund (“Short-Term Fund”), as well as the money manager agreements between Multi-Asset Fund and each of the current money managers (as sub-advisors) (“Money Manager Agreements”)1. With respect to the Money Manager Agreements, the Board considered the Money Manager Agreement with Lansdowne Partners Limited Partnership (“Lansdowne”) (“Current Lansdowne Manager Agreement”), as well as a new Money Manager Agreement, to be effective on or about July 1, 2014, between Lansdowne Partners (UK) LLP (“Lansdowne UK”) (“New Lansdowne Manager Agreement”), due to an upcoming change of control of Lansdowne resulting from an organizational restructuring. The nature, extent and quality of services and the personnel performing such services, as well as the fees payable, were not expected to change under the New Lansdowne Manager Agreement. The Investment Advisory Agreements and the Money Manager Agreements are collectively referred to herein as “Advisory Agreements,” and Multi-Asset 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 legal counsel both in a teleconference held June 18, 2014 and in connection with the June 25 in-person meeting. The materials provided included information regarding personnel and services, investment process and strategies, 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 soft dollar arrangements. 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 independent legal 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 independent legal 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 groups, and comparing each Fund’s advisory fees and expenses to those of its respective peer groups; (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 to 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, 2013; and (7) certain financial statements from TAS as of March 31, 2014 and for the year ended December 31, 2013.
Nature, Extent, and Quality of Services
The Board considered a number of factors in evaluating TAS and the money managers. The Board 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, expenses, 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
1 | The money managers include: AJO, LP; Amundi Smith Breeden, LLC; Brookfield Investment Management, Inc.; Lansdowne Partners Limited Partnership; Marathon Asset Management, LLP; Mission Value Partners, LLC; Mondrian Investment Partners Limited; Shapiro Capital Management, LLC; and Southeastern Asset Management, Inc. |
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types in-house (e.g., Treasuries, futures contracts, swaps, and other instruments), 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 considered reports from TAS regarding the operations of certain money managers, the performance and investment strategies of certain money managers in light of current market conditions, as well as the role that each money manager plays in Multi-Asset Fund’s portfolio. 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.In addition, with respect to the New Lansdowne Manager Agreement, the Board considered the reasons for and expected benefits of Lansdowne’s restructuring, and the fact that the nature, quality and extent of services to be provided by Lansdowne UK, and the personnel providing such services, are not expected to change under the New Lansdowne Manager Agreement. |
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 Multi-Asset Fund because none of the money managers is affiliated with TAS or Multi-Asset 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.
TIFF Multi-Asset Fund Performance, Fees, and Expenses
By way of introduction, Multi-Asset Fund operates on a “multi-manager” basis, which means that its assets are divided into multiple segments and those segments are managed by different investment management firms as money managers to TIP. Each of the money managers is identified in the list below. TAS manages a portion of Multi-Asset Fund’s assets directly and is also responsible for determining the appropriate manner in which to allocate assets among money managers. There is no pre-specified target allocation of assets to any particular money manager. Each money manager manages one or more segments of Multi-Asset Fund pursuant to a money manager agreement between the money manager and TIP, on behalf of Multi-Asset Fund. Multi-Asset Fund also invests a portion of its assets in other investment funds (which are sometimes referred to as “underlying funds” or “acquired funds”), such as exchange-traded funds, open-end mutual funds, and private investment funds, such as hedge funds. As an investor in an acquired fund, Multi-Asset Fund will bear its ratable share of expenses, including advisory and administration fees, of the acquired fund. Such fees and expenses are referred to as “underlying fund expenses” and represent the approximate fees and expenses indirectly incurred by Multi-Asset Fund as a result of its investments in acquired funds.
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.
Money Managers and Benchmarks: | AJO, LP S&P 500 Index | |
Amundi Smith Breeden, LLC Barclays US Government Inflation-Linked Bonds Index, BofA Merrill Lynch U.S. Dollar 1-month LIBOR Index, and a Blended Index consisting of 30% Barclays US 5-year Breakeven Index, 50% Barclays US 10-year Breakeven Index, and 20% Barclays US 30-year Breakeven Index | ||
Brookfield Investment Management, Inc. FTSE EPRA/NAREIT Developed Index, MSCI US REIT Total Return Index (prior to 1/1/2013) |
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Lansdowne Partners Limited Partnership (effective as of July 1, 2014, known as Lansdowne Partners (UK) LLP) MSCI World Index | ||
Marathon Asset Management, LLP MSCI All Country World Index2, MSCI Europe, Australasia, Far East (EAFE) 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 | ||
Southeastern Asset Management, Inc. MSCI All Country World Index |
The Board reviewed Multi-Asset Fund’s performance against its benchmarks (the MAF Constructed Index, based on the normal allocation to each asset class, the 65/35 Mix3, and the Consumer Price Index (“CPI”) + 5% per annum), and two Lipper peer groups. The first Lipper peer group consisted of Multi-Asset Fund and all retail and institutional global flexible portfolio funds as classified by Lipper (the “Lipper MAF peer universe”), and the second Lipper peer group consisted of Multi-Asset Fund and eleven other global flexible portfolio funds as classified by Lipper (the “Lipper MAF peer group”). Only institutional funds were considered for inclusion in 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 and the CPI + 5% benchmark for the one-, three-, five-, and ten-year periods ended March 31, 2014. Multi-Asset Fund’s returns exceeded the 65/35 Mix for the three-, five-, and ten-year periods ended March 31, 2014, but lagged slightly the 65/35 Mix for the one-year period ended March 31, 2014, due in part to MAF’s underweight to global equities during the year. 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, 2014. Multi-Asset Fund’s returns also exceeded the average of the Lipper MAF peer group for the one-, three- and five-year periods ended March 31, 2014, but lagged slightly the average of the Lipper MAF peer group for the ten-year period ended March 31, 2014. Multi-Asset Fund exceeded the median of the Lipper MAF peer group for the five-year period ended March 31, 2014, but lagged the median of the Lipper MAF peer group for the one-, three-, and ten-year periods ended March 31, 2014.
The Board also reviewed the fees and expenses of Multi-Asset Fund against selected funds within two peer groups (consisting only of institutional funds) provided by Lipper. The first Lipper expense group (the “MAF expense group”) consisted of Multi-Asset Fund and eleven other global flexible portfolio funds as classified by Lipper; the second Lipper expense group (the “MAF expense universe”) consisted of Multi-Asset Fund, the MAF expense group, and all other institutional global flexible portfolio funds, excluding outliers. The report showed that the actual advisory fees of Multi-Asset Fund were above the median and the average for the MAF expense group for the latest fiscal year. The directors noted that MAF makes substantial use of performance-based fee arrangements, and that several of the Fund’s money managers significantly out-performed their benchmarks for the past year, contributing to the higher advisory fees. The total expenses of Multi-Asset Fund, both including and excluding the underlying fund expenses of the Fund, exceeded the median and the average of the MAF expense group, were below the average of the MAF expense universe excluding underlying fund expenses, and exceeded the average of the MAF expense universe including the underlying fund expenses for the latest fiscal year. The Board noted that, because the acquired funds in which Multi-Asset Fund invests typically use performance-based fee arrangements, the underlying fund expenses will tend to be higher when the acquired funds have good performance. In addition, certain acquired funds use
2 | Effective as of April 1, 2014, the account managed to the MSCI All Country World Index was transitioned to an MSCI Emerging Markets Index mandate. |
3 | The 65/35 Mix is comprised of 65% MSCI All Country World Index and 35% Barclays US Aggregate Bond Index. |
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investment strategies, such as short sales, that generate investment expenses that are included in Multi-Asset Fund’s expense ratio, contributing to higher total expenses for MAF. The Board was persuaded that the acquired funds’ contributions to MAF’s overall performance offset the higher fees and expenses resulting from such investments.
With respect to the New Lansdowne Manager Agreement, the Board noted that the fees payable under the New Lansdowne Manager Agreement are the same as those payable under the Current Lansdowne Manager Agreement in all material respects.
The Board reviewed and discussed the TAS fee schedule and the fee schedules of the money managers, noting that the each of the money managers had an asset-based fee arrangement, a performance-based fee arrangement, or a fee arrangement which included a combination of both an asset-based fee and a performance-based fee. The Board assessed the extent to which Multi-Asset Fund enjoyed economies of scale resulting from the fee structures provided by each of the money managers, noting that certain money managers’ asset-based fee schedules did not include breakpoints, but their fee schedules were consistent with the fee schedules such managers had in place with, or offered to, other clients having substantially similar investment mandates. The Board noted that in 2013, Southeastern Asset Management, Inc. amended its fee structure to provide breakpoints, which reduced the fees for Multi-Asset Fund. Further, with respect to those money managers that received performance-based fees, the Board felt that such fee schedules appropriately aligned the money managers’ interest with those of Multi-Asset Fund’s members.
TIFF Short-Term Fund Performance, Fees, and Expenses
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 Lipper peer groups. The first Lipper peer group consisted of Short-Term Fund and all retail and institutional ultra-short obligation funds as classified by Lipper (the “Lipper STF peer universe”), and the second Lipper peer group consisted of Short-Term Fund and ten other ultra-short obligation funds as classified by Lipper (the “Lipper STF peer group”). Only institutional funds were included in this 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-, and ten-year, periods ended March 31, 2014, and outperformed the same Index less 50 basis points per annum for the same periods. Short-Term Fund’s returns lagged the average of the Lipper STF peer universe and the median and the average of the Lipper STF peer group for the one-, three-, five-, and ten-year periods ended March 31, 2014. The Board noted that Short-Term Fund typically invests substantially all of its assets in US Treasury bills and normally maintains a duration of approximately six months. In contrast, the Lipper STF peer group and peer universe used for comparison purposes, which closely match Short-Term Fund in certain respects, include funds that do not limit their investments to US Treasury bills and may maintain portfolio dollar-weighted average maturities up to 365 days.
The Board also reviewed the fees and expenses of Short-Term Fund against selected funds within two peer groups (consisting only of institutional funds) provided by Lipper. The first expense group (the “STF expense group”) consisted of Short-Term Fund and ten other ultra-short obligation funds as classified by Lipper; the second expense group (the “STF expense universe”) consisted of Short-Term Fund, the STF expense group, and all other institutional ultra-short obligation funds as classified by Lipper, excluding outliers. The Board noted 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 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 the Fund’s assets grow.
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 at a meeting held June 25, 2014, to approve the continuance of the Investment Advisory Agreements and the Money Manager Agreements for another year with respect to both Multi-Asset Fund and Short-Term Fund. The Board also voted to initially approve the New Lansdowne Manager Agreement. The Board based its evaluation on the material factors presented to it at the meeting and discussed herein, 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
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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) in the case of the Multi-Asset Fund, the contribution of each money manager towards the overall performance of the 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 approve the continuance of the Investment Advisory Agreements and the Money Manager Agreements, and to initially approve the New Lansdowne Manager Agreement, 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 the agreements were fair and reasonable. In reaching its conclusion to approve the continuance of the Investment Advisory Agreements and the Money Manager Agreements for another year, and initially approve the New Lansdowne Manager 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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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 TIP; 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 170 N. Radnor Chester Road, Suite 300, Radnor, PA, 19087.
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
William McCalpin | ||
Born 1957 Director since February 2008 Board Chair since 2008 2 funds overseen | Principal Occupation(s) During the Past Five Years: Chief Executive Officer, Imprint Capital Advisors LLC (2013 – Present). 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). Other Directorships: The Janus Funds, FB Heron Foundation. | |
N.P. “Narv” Narvekar | ||
Born 1962 Director since January 2010 2 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. | |
Craig R. Carnaroli | ||
Born 1963 Director since January 2012 2 funds overseen | Principal Occupation(s) During the Past Five Years: Executive Vice President, University of Pennsylvania Other Directorships: Philadelphia Industrial Development Corporation, Greater Philadelphia Tourism and Marketing Corporation, The Connelly Foundation. | |
Amy B. Coleman | ||
Born 1967 Director since September 2013 2 funds overseen | Principal Occupation(s) During the Past Five Years: Vice President and Chief Financial Officer, The Kresge Foundation Other Directorships: Foundation Financial Officers Group, Council of Michigan Foundations, Mt. Clemons Montessori Academy, Member of the Detroit Riverfront Conservancy Audit Committee. |
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Principal Officers
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., Mercy Investment Services, Inc., The Nelson Foundation. | |
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. | |
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. | |
Kelly A. Lundstrom | ||
Born 1964 Vice President since September 2006 | Principal Occupation(s) During the Past Five Years: Vice President, TIFF Advisory Services, Inc. | |
Richelle S. Maestro | ||
Born 1957 Vice President and Chief Legal Officer since March 2006, Secretary since December 2011 | Principal Occupation(s) During the Past Five Years: Vice President/General Counsel, TIFF Advisory Services, Inc. Secretary, TIFF Advisory Services, Inc. (2011 – present) | |
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. |
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TIFF Investment Program
MONEY MANAGERS AND ACQUIRED FUND (“AF”) MANAGERS
TIFF Multi-Asset Fund
AJO, LP
Amundi Smith Breeden LLC
Brookfield Investment Management Inc.
Canyon Capital Advisors LLC (AF)
Convexity Capital Management LP (AF)
Farallon Capital Management, LLC (AF)
Glenhill Capital Advisors, LLC
Lansdowne Partners Limited Partnership
Lansdowne Partners Limited (AF)
Lone Pine Capital LLC (AF)
Marathon Asset Management, LLP
Mission Value Partners, LLC
Mondrian Investment Partners Limited
Och-Ziff Capital Management Group (AF)
QVT Financial LP (AF)
Shapiro Capital Management LLC
Sleep, Zakaria & Company, Ltd. (AF)
Southeastern Asset Management, Inc.
TIFF Advisory Services, Inc.
TIFF Short-Term Fund
TIFF Advisory Services, Inc.
ADVISOR TIFF Advisory Services, Inc. |
170 N. Radnor Chester Road
Suite 300
Radnor, PA 19087
phone 610-684-8200
fax 610-684-8210
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
One Commerce Square
Suite 700
2005 Market Street
Philadelphia, PA 19103
Investors should consider the investment objectives, risks and charges and expenses of a fund carefully before investing. The summary prospectus and full prospectus contains this and other information about the funds. The prospectuses 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) Certifications of the Chief Executive Officer and the 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)) are 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 | |
Richard J. Flannery, President and Chief Executive Officer | ||
Date | 08/27/2014 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Richard J. Flannery | |
Richard J. Flannery, President and Chief Executive Officer | ||
Date | 08/27/2014 |
By (Signature and Title) | /s/ Dawn I. Lezon | |
Dawn I. Lezon, Treasurer and Chief Financial Officer
| ||
Date | 08/27/2014 |