TIFF MULTI-ASSET FUND / SCHEDULE OF INVESTMENTS (UNAUDITED)*
March 31, 2020
Number of Shares | Value | |||||||
Investments — 94.0% of net assets | ||||||||
Common Stocks — 52.5% | ||||||||
US Common Stocks — 23.4% | ||||||||
Aerospace & Defense — 0.2% | ||||||||
Axon Enterprise, Inc. (a) | 1,516 | $ | 107,286 | |||||
Curtiss-Wright Corp. | 2,595 | 239,804 | ||||||
General Dynamics Corp. | 1,892 | 250,331 | ||||||
Howmet Aerospace, Inc. | 16,443 | 264,075 | ||||||
Huntington Ingalls Industries, Inc. (b) | 2,195 | 399,951 | ||||||
Lockheed Martin Corp. | 2,436 | 825,682 | ||||||
Northrop Grumman Corp. | 2,205 | 667,123 | ||||||
Raytheon Co. | 1,340 | 175,741 | ||||||
Raytheon Technologies Corp. | 983 | 92,726 | ||||||
Spirit AeroSystems Holdings, Inc., Class A (b) | 9,453 | 226,210 | ||||||
Teledyne Technologies, Inc. (a) | 794 | 236,032 | ||||||
Textron, Inc. | 4,350 | 116,015 | ||||||
3,600,976 | ||||||||
Airlines — 0.6% | ||||||||
Delta Air Lines, Inc. | 174,897 | 4,989,811 | ||||||
United Airlines Holdings, Inc. (a) | 134,196 | 4,233,884 | ||||||
9,223,695 | ||||||||
Auto Components — 0.0% | ||||||||
Adient plc (a) | 2,317 | 21,015 | ||||||
Dana, Inc. | 12,473 | 97,414 | ||||||
Lear Corp. (b) | 502 | 40,788 | ||||||
159,217 | ||||||||
Automobiles — 0.0% | ||||||||
Ford Motor Co. | 7,479 | 36,124 | ||||||
General Motors Co. | 20,722 | 430,603 | ||||||
Tesla, Inc. (a) | 205 | 107,420 | ||||||
574,147 | ||||||||
Beverages — 0.6% | ||||||||
Brown-Forman Corp., Class B | 58,224 | 3,232,014 | ||||||
Monster Beverage Corp. (a) | 10,521 | 591,911 | ||||||
PepsiCo, Inc. | 38,488 | 4,622,409 | ||||||
8,446,334 | ||||||||
Biotechnology — 0.7% | ||||||||
AbbVie, Inc. | 6,275 | 478,092 |
TIFF MULTI-ASSET FUND / SCHEDULE OF INVESTMENTS (UNAUDITED)*
March 31, 2020
Number of Shares | Value | |||||||
Alexion Pharmaceuticals, Inc. (a) | 13,296 | $ | 1,193,848 | |||||
Alnylam Pharmaceuticals, Inc. (a) | 3,045 | 331,448 | ||||||
Amgen, Inc. | 4,130 | 837,275 | ||||||
Arrowhead Pharmaceuticals, Inc. (a) | 3,241 | 93,244 | ||||||
Biogen, Inc. (a) (b) | 6,716 | 2,124,808 | ||||||
Exelixis, Inc. (a) | 30,330 | 522,283 | ||||||
Gilead Sciences, Inc. (b) | 19,381 | 1,448,924 | ||||||
Incyte Corp. (a) (b) | 8,803 | 644,644 | ||||||
Moderna, Inc. (a) | 11,730 | 351,313 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 1,456 | 710,950 | ||||||
Sage Therapeutics, Inc. (a) | 696 | 19,989 | ||||||
United Therapeutics Corp. (a) | 6,252 | 592,846 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 1,992 | 473,996 | ||||||
9,823,660 | ||||||||
Building Products — 0.1% | ||||||||
Johnson Controls International plc | 6,324 | 170,495 | ||||||
Masco Corp. (b) | 8,901 | 307,708 | ||||||
Owens Corning | 6,187 | 240,117 | ||||||
718,320 | ||||||||
Capital Markets — 0.1% | ||||||||
Ameriprise Financial, Inc. | 3,576 | 366,469 | ||||||
Bank of New York Mellon Corp. (The) | 7,353 | 247,649 | ||||||
BlackRock, Inc. | 366 | 161,029 | ||||||
Goldman Sachs Group, Inc. (The) | 5,433 | 839,887 | ||||||
Morgan Stanley | 6,352 | 215,968 | ||||||
T. Rowe Price Group, Inc. | 503 | 49,118 | ||||||
1,880,120 | ||||||||
Chemicals — 0.1% | ||||||||
Cabot Corp. | 8,833 | 230,718 | ||||||
Celanese Corp., Series A (b) | 4,817 | 353,520 | ||||||
DuPont de Nemours, Inc. | 3,365 | 114,747 | ||||||
Eastman Chemical Co. (b) | 5,375 | 250,367 | ||||||
Huntsman Corp. | 679 | 9,798 | ||||||
LyondellBasell Industries NV, Class A (b) | 7,100 | 352,373 | ||||||
Minerals Technologies, Inc. | 1,157 | 41,953 | ||||||
Mosaic Co. (The) | 7,781 | 84,190 | ||||||
NewMarket Corp. | 797 | 305,147 | ||||||
PolyOne Corp. | 12,278 | 232,914 | ||||||
Valvoline, Inc. | 3,197 | 41,849 | ||||||
2,017,576 | ||||||||
Commercial Banks — 0.1% | ||||||||
Associated Banc-Corp. | 9,733 | 124,485 | ||||||
BankUnited, Inc. | 789 | 14,754 | ||||||
CIT Group, Inc. | 11,715 | 202,201 |
TIFF MULTI-ASSET FUND / SCHEDULE OF INVESTMENTS (UNAUDITED)*
March 31, 2020
Number of Shares | Value | |||||||
Citizens Financial Group, Inc. | 13,588 | $ | 255,590 | |||||
Comerica, Inc. | 6,651 | 195,140 | ||||||
Fifth Third Bancorp | 8,337 | 123,805 | ||||||
First Citizens BancShares, Inc., Class A | 137 | 45,603 | ||||||
PNC Financial Services Group, Inc. (The) | 451 | 43,170 | ||||||
Texas Capital Bancshares, Inc. (a) | 4,586 | 101,672 | ||||||
Umpqua Holdings Corp. | 3,011 | 32,820 | ||||||
Wintrust Financial Corp. | 6,951 | 228,410 | ||||||
1,367,650 | ||||||||
Commercial Services & Supplies — 0.2% | ||||||||
ADT, Inc. | 32,470 | 140,270 | ||||||
Clean Harbors, Inc. (a) | 4,713 | 241,965 | ||||||
Deluxe Corp. | 5,097 | 132,165 | ||||||
Herman Miller, Inc. | 25,334 | 562,415 | ||||||
HNI Corp. | 27,103 | 682,725 | ||||||
Waste Connections, Inc. | 4,900 | 380,217 | ||||||
Waste Management, Inc. (b) | 3,569 | 330,347 | ||||||
2,470,104 | ||||||||
Communications Equipment — 0.2% | ||||||||
Ciena Corp. (a) (b) | 6,074 | 241,806 | ||||||
Cisco Systems, Inc. (b) | 39,357 | 1,547,124 | ||||||
F5 Networks, Inc. (a) | 2,283 | 243,436 | ||||||
Juniper Networks, Inc. (b) | 7,291 | 139,550 | ||||||
2,171,916 | ||||||||
Computers & Peripherals — 0.3% | ||||||||
Apple, Inc. (b) | 18,489 | 4,701,568 | ||||||
HP, Inc. | 6,883 | 119,489 | ||||||
Xerox Holdings Corp. (a) | 16,130 | 305,502 | ||||||
5,126,559 | ||||||||
Construction & Engineering — 0.1% | ||||||||
D.R. Horton, Inc. | 3,561 | 121,074 | ||||||
EMCOR Group, Inc. | 3,125 | 191,625 | ||||||
KB Home | 18,335 | 331,864 | ||||||
KBR, Inc. | 4,399 | 90,971 | ||||||
NVR, Inc. (a) | 166 | 426,472 | ||||||
PulteGroup, Inc. | 16,561 | 369,642 | ||||||
Quanta Services, Inc. | 1,247 | 39,567 | ||||||
Toll Brothers, Inc. | 4,073 | 78,405 | ||||||
TRI Pointe Group, Inc. (a) | 16,122 | 141,390 | ||||||
1,791,010 | ||||||||
Consumer Finance — 0.0% | ||||||||
Capital One Financial Corp. (b) | 470 | 23,697 |
TIFF MULTI-ASSET FUND / SCHEDULE OF INVESTMENTS (UNAUDITED)*
March 31, 2020
Number of Shares | Value | |||||||
Discover Financial Services | 1,243 | $ | 44,338 | |||||
SLM Corp. | 2,997 | 21,549 | ||||||
Synchrony Financial (b) | 28,522 | 458,919 | ||||||
548,503 | ||||||||
Containers & Packaging — 0.0% | ||||||||
Graphic Packaging Holding Co. | 3,964 | 48,361 | ||||||
O-I Glass, Inc. | 4,438 | 31,554 | ||||||
Westrock Co. | 3,693 | 104,364 | ||||||
184,279 | ||||||||
Diversified Financial Services — 0.3% | ||||||||
Bank of America Corp. | 1,966 | 41,738 | ||||||
Berkshire Hathaway, Inc., Class B (a) (b) | 8,559 | 1,564,842 | ||||||
Citigroup, Inc. | 9,672 | 407,385 | ||||||
Evercore, Inc., Class A | 10,725 | 493,993 | ||||||
JPMorgan Chase & Co. (b) | 6,093 | 548,553 | ||||||
Moody's Corp. (b) | 850 | 179,775 | ||||||
S&P Global, Inc. | 1,339 | 328,122 | ||||||
Subversive Capital Acquistion Corp., Class A (a) (b) | 73,500 | 712,215 | ||||||
Washington Mutual, Inc. (a) (c) (d) | 33,600 | — | ||||||
Wells Fargo & Co. (b) | 20,400 | 585,480 | ||||||
4,862,103 | ||||||||
Diversified Telecommunication Services — 0.1% | ||||||||
AT&T, Inc. | 5,806 | 169,245 | ||||||
Verizon Communications, Inc. (b) | 16,531 | 888,211 | ||||||
1,057,456 | ||||||||
Electric Utilities — 0.1% | ||||||||
Edison International | 3,559 | 194,997 | ||||||
Exelon Corp. (b) | 29,574 | 1,088,619 | ||||||
IDACORP, Inc. | 2,381 | 209,028 | ||||||
Pinnacle West Capital Corp. | 5,454 | 413,359 | ||||||
1,906,003 | ||||||||
Electrical Equipment — 0.1% | ||||||||
Acuity Brands, Inc. | 1,588 | 136,028 | ||||||
Eaton Corp. plc (b) | 1,451 | 112,728 | ||||||
GrafTech International, Ltd. | 30,246 | 245,597 | ||||||
Regal Beloit Corp. | 2,368 | 149,066 | ||||||
643,419 | ||||||||
Electronic Equipment, Instruments & Components — 0.2% | ||||||||
Arrow Electronics, Inc. (a) (b) | 15,258 | 791,432 | ||||||
Avnet, Inc. | 29,964 | 752,096 |
TIFF MULTI-ASSET FUND / SCHEDULE OF INVESTMENTS (UNAUDITED)*
March 31, 2020
Number of Shares | Value | |||||||
CDW Corp. | 2,302 | $ | 214,708 | |||||
Flex, Ltd. (a) | 52,696 | 441,329 | ||||||
Jabil, Inc. | 14,235 | 349,896 | ||||||
SYNNEX Corp. | 5,858 | 428,220 | ||||||
Tech Data Corp. (a) | 340 | 44,489 | ||||||
Vishay Intertechnology, Inc. (b) | 36,200 | 521,642 | ||||||
3,543,812 | ||||||||
Energy Equipment & Services — 0.2% | ||||||||
Apergy Corp. (a) | 2,801 | 16,106 | ||||||
Baker Hughes Co., Class A (b) | 72,642 | 762,741 | ||||||
Cactus, Inc., Class A (b) | 124,665 | 1,446,114 | ||||||
ProPetro Holding Corp. (a) | 216,480 | 541,200 | ||||||
2,766,161 | ||||||||
Food & Staples Retailing — 0.1% | ||||||||
Walmart, Inc. (b) | 9,015 | 1,024,284 | ||||||
Food Products — 0.5% | ||||||||
Archer-Daniels-Midland Co. | 2,496 | 87,809 | ||||||
Bunge, Ltd. | 6,060 | 248,642 | ||||||
Hain Celestial Group, Inc. (The) (a) | 11,104 | 288,371 | ||||||
Hershey Co. (The) | 431 | 57,108 | ||||||
Ingredion, Inc. | 1,803 | 136,126 | ||||||
Lamb Weston Holdings, Inc. | 997 | 56,929 | ||||||
McCormick & Co., Inc. | 33,168 | 4,683,653 | ||||||
Pilgrim's Pride Corp. (a) | 5,869 | 106,346 | ||||||
Tyson Foods, Inc., Class A (b) | 18,618 | 1,077,424 | ||||||
6,742,408 | ||||||||
Health Care Equipment & Supplies — 1.3% | ||||||||
Abbott Laboratories (b) | 1,593 | 125,704 | ||||||
Align Technology, Inc. (a) | 1,285 | 223,526 | ||||||
Baxter International, Inc. (b) | 13,307 | 1,080,395 | ||||||
Becton Dickinson and Co. | 14,620 | 3,359,237 | ||||||
Boston Scientific Corp. (a) | 6,134 | 200,152 | ||||||
DENTSPLY SIRONA, Inc. | 3,717 | 144,331 | ||||||
DexCom, Inc. (a) | 15,940 | 4,292,164 | ||||||
Edwards Lifesciences Corp. (a) | 1,261 | 237,850 | ||||||
Hologic, Inc. (a) | 12,706 | 445,981 | ||||||
IDEXX Laboratories, Inc. (a) | 15,675 | 3,797,112 | ||||||
NuVasive, Inc. (a) | 5,638 | 285,621 | ||||||
Stryker Corp. | 29,405 | 4,895,639 | ||||||
Zimmer Biomet Holdings, Inc. | 1,640 | 165,771 | ||||||
19,253,483 | ||||||||
Health Care Providers & Services — 0.3% | ||||||||
AmerisourceBergen Corp. | 3,906 | 345,681 |
TIFF Multi-Asset Fund / schedule of investments(UNAUDITED)* |
March 31, 2020 |
Number of Shares | Value | |||||||
Anthem, Inc. | 1,178 | $ | 267,453 | |||||
Cardinal Health, Inc. (b) | 5,617 | 269,279 | ||||||
Cerner Corp. | 4,867 | 306,572 | ||||||
CVS Health Corp. | 4,177 | 247,821 | ||||||
DaVita, Inc. (a) | 293 | 22,286 | ||||||
HCA Healthcare, Inc. | 1,383 | 124,263 | ||||||
Humana, Inc. (b) | 3,100 | 973,462 | ||||||
McKesson Corp. (b) | 5,268 | 712,550 | ||||||
MEDNAX, Inc. (a) | 18,784 | 218,646 | ||||||
UnitedHealth Group, Inc. | 2,804 | 699,261 | ||||||
Universal Health Services, Inc., Class B | 2,531 | 250,771 | ||||||
4,438,045 | ||||||||
Hotels, Restaurants & Leisure — 0.1% | ||||||||
Caesars Entertainment Corp. (a) | 2,729 | 18,448 | ||||||
Chipotle Mexican Grill, Inc. (a) | 147 | 96,197 | ||||||
Hilton Grand Vacations, Inc. (a) | 1,350 | 21,289 | ||||||
Las Vegas Sands Corp. (b) | 4,051 | 172,046 | ||||||
Norwegian Cruise Line Holdings, Ltd. (a) | 8,890 | 97,434 | ||||||
Six Flags Entertainment Corp. | 12,292 | 154,142 | ||||||
Starbucks Corp. | 22,090 | 1,452,197 | ||||||
2,011,753 | ||||||||
Household Products — 0.4% | ||||||||
Clorox Co. (The) | 17,661 | 3,059,768 | ||||||
Colgate-Palmolive Co. | 6,890 | 457,221 | ||||||
Kimberly-Clark Corp. | 7,639 | 976,799 | ||||||
Procter & Gamble Co. (The) (b) | 10,840 | 1,192,400 | ||||||
5,686,188 | ||||||||
Industrial Conglomerates — 0.1% | ||||||||
General Electric Co. | 23,705 | 188,218 | ||||||
Honeywell International, Inc. | 6,859 | 917,665 | ||||||
1,105,883 | ||||||||
Insurance — 0.2% | ||||||||
Aflac, Inc. (b) | 2,825 | 96,728 | ||||||
Allstate Corp. (The) (b) | 9,142 | 838,596 | ||||||
American National Insurance Co. | 1,031 | 84,934 | ||||||
CNO Financial Group, Inc. | 8,396 | 104,026 | ||||||
Fidelity National Financial, Inc. | 12,695 | 315,851 | ||||||
First American Financial Corp. | 5,046 | 214,001 | ||||||
Mercury General Corp. | 5,707 | 232,389 | ||||||
MetLife, Inc. | 16,398 | 501,287 | ||||||
Prudential Financial, Inc. | 1,677 | 87,439 | ||||||
Reinsurance Group of America, Inc. | 3,513 | 295,584 |
TIFF Multi-Asset Fund / schedule of investments(UNAUDITED)* |
March 31, 2020 |
Number of Shares | Value | |||||||
Travelers Companies, Inc. (The) (b) | 3,642 | $ | 361,833 | |||||
3,132,668 | ||||||||
Internet & Catalog Retail — 1.2% | ||||||||
Amazon.com, Inc. (a) (b) | 8,301 | 16,184,626 | ||||||
Booking Holdings, Inc. (a) | 481 | 647,099 | ||||||
eBay, Inc. (b) | 22,668 | 681,400 | ||||||
Expedia Group, Inc. | 660 | 37,138 | ||||||
Qurate Retail, Inc., Series A (a) | 82,020 | 500,732 | ||||||
18,050,995 | ||||||||
Internet Software & Services — 1.7% | ||||||||
Akamai Technologies, Inc. (a) | 7,704 | 704,839 | ||||||
Alphabet, Inc., Class A (a) (b) | 2,027 | 2,355,273 | ||||||
Alphabet, Inc., Class C (a) (b) | 1,330 | 1,546,537 | ||||||
Facebook, Inc., Class A (a) (b) | 123,197 | 20,549,260 | ||||||
IAC/InterActiveCorp (a) (b) | 777 | 139,262 | ||||||
TripAdvisor, Inc. (b) | 8,066 | 140,268 | ||||||
Twitter, Inc. (a) | 1,331 | 32,689 | ||||||
Uber Technologies, Inc. (a) | 4,239 | 118,353 | ||||||
VeriSign, Inc. (a) | 2,094 | 377,108 | ||||||
Yelp, Inc. (a) (b) | 1,370 | 24,701 | ||||||
25,988,290 | ||||||||
IT Services — 2.5% | ||||||||
Alliance Data Systems Corp. | 4,968 | 167,173 | ||||||
Amdocs, Ltd. | 4,463 | 245,331 | ||||||
Automatic Data Processing, Inc. | 32,956 | 4,504,426 | ||||||
Booz Allen Hamilton Holding Corp. | 859 | 58,962 | ||||||
CACI International, Inc., Class A (a) | 2,450 | 517,318 | ||||||
Cognizant Technology Solutions Corp., Class A | 11,713 | 544,303 | ||||||
DXC Technology Co. (b) | 7,263 | 94,782 | ||||||
EPAM Systems, Inc. (a) | 127 | 23,579 | ||||||
Euronet Worldwide, Inc. (a) | 555 | 47,575 | ||||||
Fidelity National Information Services, Inc. | 74,172 | 9,022,282 | ||||||
International Business Machines Corp. (IBM) (b) | 10,895 | 1,208,582 | ||||||
Mastercard, Inc., Class A | 2,511 | 606,557 | ||||||
MAXIMUS, Inc. | 3,027 | 176,171 | ||||||
PayPal Holdings, Inc. (a) | 54,458 | 5,213,809 | ||||||
Perspecta, Inc. | 2,067 | 37,702 | ||||||
Visa, Inc., Class A | 88,204 | 14,211,429 | ||||||
36,679,981 | ||||||||
Leisure Equipment & Products — 0.0% | ||||||||
Brunswick Corp. | 670 | 23,698 | ||||||
Life Sciences Tools & Services — 0.4% | ||||||||
Agilent Technologies, Inc. (b) | 5,267 | 377,223 |
TIFF Multi-Asset Fund / schedule of investments(UNAUDITED)* |
March 31, 2020 |
Number of Shares | Value | |||||||
Bio-Rad Laboratories, Inc., Class A (a) | 179 | $ | 62,750 | |||||
Charles River Laboratories International, Inc. (a) | 2,506 | 316,282 | ||||||
Illumina, Inc. (a) | 272 | 74,289 | ||||||
IQVIA Holdings, Inc. (a) | 2,486 | 268,140 | ||||||
PRA Health Sciences, Inc. (a) | 714 | 59,291 | ||||||
Thermo Fisher Scientific, Inc. (b) | 4,609 | 1,307,112 | ||||||
Waters Corp. (a) | 22,139 | 4,030,405 | ||||||
6,495,492 | ||||||||
Machinery — 0.3% | ||||||||
AGCO Corp. | 2,396 | 113,211 | ||||||
Allison Transmission Holdings, Inc. | 3,295 | 107,450 | ||||||
Caterpillar, Inc. | 2,839 | 329,437 | ||||||
Chart Industries, Inc. (a) (b) | 31,063 | 900,206 | ||||||
Crane Co. | 4,062 | 199,769 | ||||||
Cummins, Inc. (b) | 8,294 | 1,122,344 | ||||||
Ingersoll Rand, Inc. (a) | 2,316 | 57,437 | ||||||
ITT, Inc. | 7,710 | 349,726 | ||||||
Oshkosh Corp. (b) | 10,461 | 672,956 | ||||||
Terex Corp. | 18,605 | 267,168 | ||||||
Timken Co. (The) | 7,178 | 232,136 | ||||||
Westinghouse Air Brake Technologies, Corp. | 145 | 6,979 | ||||||
4,358,819 | ||||||||
Media — 2.5% | ||||||||
Altice USA, Inc., Class A (a) | 1,104 | 24,608 | ||||||
AMC Networks, Inc., Class A (a) | 8,170 | 198,613 | ||||||
Comcast Corp., Class A (b) | 285,742 | 9,823,810 | ||||||
Netflix, Inc. (a) | 68,839 | 25,849,044 | ||||||
Roku, Inc. (a) | 1,768 | 154,665 | ||||||
ViacomCBS, Inc., Class B | 31,137 | 436,229 | ||||||
Walt Disney Co. (The) (b) | 4,440 | 428,904 | ||||||
World Wrestling Entertainment, Inc., Class A | 935 | 31,725 | ||||||
36,947,598 | ||||||||
Metals & Mining — 0.1% | ||||||||
Allegheny Technologies, Inc. (a) | 20,711 | 176,043 | ||||||
Commercial Metals Co. | 12,024 | 189,859 | ||||||
Reliance Steel & Aluminum Co. (b) | 4,813 | 421,571 | ||||||
Steel Dynamics, Inc. | 14,506 | 326,965 | ||||||
1,114,438 | ||||||||
Multi-Utilities — 0.1% | ||||||||
Consolidated Edison, Inc. | 6,835 | 533,130 | ||||||
NorthWestern Corp. | 4,282 | 256,192 | ||||||
Public Service Enterprise Group, Inc. | 12,387 | 556,300 | ||||||
1,345,622 |
TIFF Multi-Asset Fund / schedule of investments(UNAUDITED)* |
March 31, 2020 |
Number of Shares | Value | |||||||
Multiline Retail — 0.0% | ||||||||
Kohl's Corp. | 10,661 | $ | 155,544 | |||||
Target Corp. | 2,324 | 216,062 | ||||||
371,606 | ||||||||
Oil, Gas & Consumable Fuels — 1.5% | ||||||||
Brigham Minerals, Inc., Class A | 241,932 | 2,000,778 | ||||||
Cabot Oil & Gas Corp. (b) | 90,376 | 1,553,563 | ||||||
Centennial Resource Development, Inc., Class A (a) | 1,823 | 479 | ||||||
Cheniere Energy, Inc. (a) (b) | 14,719 | 493,087 | ||||||
Chevron Corp. (b) | 19,405 | 1,406,086 | ||||||
Cimarex Energy Co. (b) | 96,030 | 1,616,185 | ||||||
Cloud Peak Energy, Inc. (a) (c) (d) | 313,225 | — | ||||||
Concho Resources, Inc. (b) | 36,588 | 1,567,796 | ||||||
ConocoPhillips (b) | 15,477 | 476,692 | ||||||
Devon Energy Corp. (b) | 34,709 | 239,839 | ||||||
EOG Resources, Inc. (b) | 15,090 | 542,033 | ||||||
EQT Corp. (b) | 117,784 | 832,733 | ||||||
Equitrans Midstream Corp. | 255,500 | 1,285,165 | ||||||
Exxon Mobil Corp. (b) | 7,060 | 268,068 | ||||||
Goodrich Petroleum Corp. (a) | 51,348 | 218,742 | ||||||
HollyFrontier Corp. | 13,370 | 327,699 | ||||||
Kosmos Energy, Ltd. | 208,810 | 187,010 | ||||||
Marathon Petroleum Corp. | 6,035 | 142,547 | ||||||
Matador Resources Co. (a) | 16,547 | 41,037 | ||||||
Parsley Energy, Inc., Class A | 223,011 | 1,277,853 | ||||||
PBF Energy, Inc., Class A | 4,724 | 33,446 | ||||||
PDC Energy, Inc. (a) (b) | 148,611 | 922,874 | ||||||
Phillips 66 | 7,948 | 426,410 | ||||||
Pioneer Natural Resources Co. | 882 | 61,872 | ||||||
Plains GP Holdings LP, Class A (a) | 180,199 | 1,010,916 | ||||||
Range Resources Corp. | 771,039 | 1,757,969 | ||||||
Southwestern Energy Co. (a) | 821,346 | 1,388,075 | ||||||
Talos Energy, Inc. (a) | 99,476 | 571,987 | ||||||
Targa Resources Corp. (b) | 62,309 | 430,555 | ||||||
Valero Energy Corp. | 6,982 | 316,704 | ||||||
Williams Cos., Inc. (The) (b) | 40,880 | 578,452 | ||||||
World Fuel Services Corp. | 24,282 | 611,421 | ||||||
WPX Energy, Inc. (a) | 140,502 | 428,531 | ||||||
23,016,604 | ||||||||
Paper & Forest Products — 0.0% | ||||||||
International Paper Co. | 11,621 | 361,762 | ||||||
Personal Products — 0.3% | ||||||||
Estee Lauder Companies, Inc. (The), Class A | 31,989 | 5,097,127 | ||||||
Pharmaceuticals — 0.7% | ||||||||
Allergan plc | 1,562 | 276,630 |
TIFF Multi-Asset Fund / schedule of investments(UNAUDITED)* |
March 31, 2020 |
Number of Shares | Value | |||||||
Bristol-Myers Squibb Co. | 15,791 | $ | 880,191 | |||||
Eli Lilly & Co. | 1,314 | 182,278 | ||||||
Johnson & Johnson (b) | 44,692 | 5,860,462 | ||||||
Merck & Co., Inc. (b) | 19,087 | 1,468,554 | ||||||
Mylan NV (a) | 35,981 | 536,477 | ||||||
Pfizer, Inc. (b) | 44,402 | 1,449,281 | ||||||
Walgreens Boots Alliance, Inc. | 10,639 | 486,734 | ||||||
11,140,607 | ||||||||
Professional Services — 0.1% | ||||||||
CoStar Group, Inc. (a) | 148 | 86,907 | ||||||
ManpowerGroup, Inc. (b) | 4,613 | 244,443 | ||||||
Robert Half International, Inc. | 7,956 | 300,339 | ||||||
631,689 | ||||||||
Real Estate Investment Trusts (REITs) — 0.1% | ||||||||
Boston Properties, Inc. (b) | 1,065 | 98,225 | ||||||
Columbia Property Trust, Inc. | 2,791 | 34,888 | ||||||
Equity Residential | 2,008 | 123,914 | ||||||
Outfront Media, Inc. | 7,390 | 99,617 | ||||||
Paramount Group, Inc. | 6,623 | 58,282 | ||||||
Retail Properties of America, Inc., Class A | 18,985 | 98,152 | ||||||
Simon Property Group, Inc. | 301 | 16,513 | ||||||
Vornado Realty Trust | 9,663 | 349,897 | ||||||
879,488 | ||||||||
Road & Rail — 0.0% | ||||||||
Schneider National, Inc., Class B | 3,666 | 70,900 | ||||||
Semiconductors & Semiconductor Equipment — 0.6% | ||||||||
Analog Devices, Inc. | 1,352 | 121,207 | ||||||
Applied Materials, Inc. (b) | 26,088 | 1,195,352 | ||||||
Broadcom, Inc. | 2,099 | 497,673 | ||||||
Cirrus Logic, Inc. (a) | 7,095 | 465,645 | ||||||
Intel Corp. (b) | 34,214 | 1,851,662 | ||||||
Lam Research Corp. (b) | 2,656 | 637,440 | ||||||
Micron Technology, Inc. (a) (b) | 21,517 | 905,005 | ||||||
NVIDIA Corp. | 969 | 255,428 | ||||||
Qorvo, Inc. (a) | 6,801 | 548,365 | ||||||
QUALCOMM, Inc. | 12,572 | 850,496 | ||||||
Skyworks Solutions, Inc. (b) | 6,385 | 570,691 | ||||||
Synaptics, Inc. (a) | 1,288 | 74,537 | ||||||
Texas Instruments, Inc. | 5,422 | 541,820 | ||||||
Xilinx, Inc. | 4,462 | 347,768 | ||||||
8,863,089 |
TIFF Multi-Asset Fund / schedule of investments (UNAUDITED)* |
March 31, 2020 |
Number of Shares | Value | |||||||
Software — 2.6% | ||||||||
Activision Blizzard, Inc. (b) | 9,684 | $ | 576,004 | |||||
Adobe, Inc. (a) (b) | 3,471 | 1,104,611 | ||||||
Aspen Technology, Inc. (a) | 2,707 | 257,355 | ||||||
Autodesk, Inc. (a) | 1,488 | 232,277 | ||||||
Cadence Design Systems, Inc. (a) | 5,853 | 386,532 | ||||||
Cerence, Inc. (a) | 22,175 | 341,495 | ||||||
CommVault Systems, Inc. (a) (b) | 8,248 | 333,879 | ||||||
Coupa Software, Inc. (a) | 162 | 22,636 | ||||||
Dropbox, Inc., Class A (a) | 16,073 | 290,921 | ||||||
Electronic Arts, Inc. (a) | 12,610 | 1,263,144 | ||||||
Fair Isaac Corp. (a) | 479 | 147,384 | ||||||
Fortinet, Inc. (a) | 3,794 | 383,839 | ||||||
Intuit, Inc. (b) | 27,992 | 6,438,160 | ||||||
Manhattan Associates, Inc. (a) | 2,578 | 128,436 | ||||||
Microsoft Corp. (b) | 80,509 | 12,697,074 | ||||||
Nortonlifelock, Inc. | 52,057 | 973,987 | ||||||
Oracle Corp. (b) | 28,065 | 1,356,381 | ||||||
RingCentral, Inc., Class A (a) | 155 | 32,846 | ||||||
SS&C Technologies Holdings, Inc. | 3,044 | 133,388 | ||||||
Take-Two Interactive Software, Inc. (a) | 1,869 | 221,682 | ||||||
Teradata Corp. (a) | 2,222 | 45,529 | ||||||
Zoom Video Communications, Inc., Class A (a) | 80,548 | 11,769,674 | ||||||
Zscaler, Inc. (a) | 1,948 | 118,555 | ||||||
39,255,789 | ||||||||
Specialty Retail — 0.2% | ||||||||
AutoZone, Inc. (a) (b) | 178 | 150,588 | ||||||
Avis Budget Group, Inc. (a) | 9,480 | 131,772 | ||||||
Best Buy Co., Inc. | 5,558 | 316,806 | ||||||
Home Depot, Inc. (The) (b) | 7,163 | 1,337,404 | ||||||
L Brands, Inc. | 10,933 | 126,385 | ||||||
Lowe's Cos, Inc. (b) | 4,016 | 345,577 | ||||||
Sally Beauty Holdings, Inc. (a) | 19,225 | 155,338 | ||||||
Tiffany & Co. | 589 | 76,275 | ||||||
TJX Cos, Inc. (The) (b) | 7,505 | 358,814 | ||||||
Tractor Supply Co. | 4,892 | 413,619 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. (a) | 264 | 46,385 | ||||||
3,458,963 | ||||||||
Textiles, Apparel & Luxury Goods — 0.8% | ||||||||
NIKE, Inc., Class B | 135,289 | 11,193,812 | ||||||
PVH Corp. | 2,301 | 86,610 | ||||||
Ralph Lauren Corp. | 4,303 | 287,569 | ||||||
Skechers U.S.A., Inc., Class A (a) (b) | 21,765 | 516,701 | ||||||
Tapestry, Inc. | 10,345 | 133,968 | ||||||
12,218,660 |
TIFF Multi-Asset Fund / schedule of investments (UNAUDITED)* |
March 31, 2020 |
Number of Shares | Value | |||||||
Thrifts & Mortgage Finance — 0.0% | ||||||||
MGIC Investment Corp. (b) | 98,342 | $ | 624,472 | |||||
Mr Cooper Group, Inc. (a) | 2 | 14 | ||||||
624,486 | ||||||||
Tobacco — 0.3% | ||||||||
Philip Morris International, Inc. | 69,814 | 5,093,629 | ||||||
Trading Companies & Distributors — 0.1% | ||||||||
HD Supply Holdings, Inc. (a) | 10,837 | 308,096 | ||||||
MSC Industrial Direct Co., Inc., Class A | 1,141 | 62,721 | ||||||
NOW, Inc. (a) | 15,979 | 82,451 | ||||||
WESCO International, Inc. (a) | 8,832 | 201,811 | ||||||
655,079 | ||||||||
Total US Common Stocks (Cost $376,682,471) | 351,022,143 | |||||||
Foreign Common Stocks — 29.1% | ||||||||
Australia — 1.3% | ||||||||
Atlassian Corp. plc, Class A (a) | 130,029 | 17,847,780 | ||||||
Newcrest Mining, Ltd. | 149,601 | 2,102,002 | ||||||
19,949,782 | ||||||||
Bermuda — 0.0% | ||||||||
Arch Capital Group, Ltd. (a) | 2,959 | 84,213 | ||||||
Assured Guaranty, Ltd. | 20,693 | 533,673 | ||||||
Athene Holding, Ltd., Class A (a) | 5,260 | 130,553 | ||||||
748,439 | ||||||||
Brazil — 0.1% | ||||||||
BrasilAgro - Co. Brasileira de Propriedades Agricolas | 43,000 | 143,579 | ||||||
Centrais Eletricas Brasileiras SA | 132,500 | 608,427 | ||||||
752,006 | ||||||||
Canada — 3.3% | ||||||||
Advantage Oil & Gas, Ltd. (a) | 509,809 | 518,032 | ||||||
Air Canada (a) | 30,300 | 339,107 | ||||||
Alaris Royalty Corp. | 19,800 | 116,073 | ||||||
B2Gold Corp. (b) | 95,100 | 287,875 | ||||||
Bank of Nova Scotia (The) (b) | 6,900 | 281,776 | ||||||
Bear Creek Mining Corp. (a) | 446,991 | 374,795 | ||||||
BRP, Inc. (b) | 11,800 | 192,516 | ||||||
Cameco Corp. | 496,858 | 3,795,995 | ||||||
Canadian Imperial Bank of Commerce (b) | 5,000 | 291,338 | ||||||
Canadian Natural Resources, Ltd. - NYSE Shares (b) | 31,412 | 429,675 |
TIFF Multi-Asset Fund / schedule of investments (UNAUDITED)* |
March 31, 2020 |
Number of Shares | Value | |||||||
Capital Power Corp. (b) | 13,400 | $ | 258,516 | |||||
Centerra Gold, Inc. (a) | 354,964 | 2,111,170 | ||||||
Conic Metals Corp. (a) | 155,643 | 19,355 | ||||||
Crescent Point Energy Corp. | 262,713 | 203,480 | ||||||
Denison Mines Corp. (a) | 1,739,819 | 457,424 | ||||||
Dream Office Real Estate Investment Trust - REIT | 12,500 | 207,312 | ||||||
Dundee Corp., Class A | 405,126 | 201,512 | ||||||
Fission Uranium Corp. (a) | 1,698,000 | 180,985 | ||||||
Gibson Energy, Inc. (b) | 30,600 | 353,336 | ||||||
Granite Real Estate Investment Trust - REIT(b) | 5,000 | 206,530 | ||||||
International Tower Hill Mines, Ltd. (a) | 507,456 | 189,839 | ||||||
Ivanhoe Mines, Ltd., Class A (a) | 346,224 | 575,687 | ||||||
Lightspeed POS, Inc. (a) (b) | 7,200 | 97,412 | ||||||
Lululemon Athletica, Inc. (a) | 2,597 | 492,261 | ||||||
Lundin Gold, Inc. (a) (b) | 51,800 | 288,207 | ||||||
Maple Leaf Foods, Inc. | 13,800 | 250,250 | ||||||
MEG Energy Corp. (a) | 389,678 | 457,539 | ||||||
Mercer Park Brand Acquisition Corp., Class A (a) | 153,100 | 1,483,539 | ||||||
Minto Apartment Real Estate Investment Trust - REIT(b) | 16,500 | 228,629 | ||||||
New Gold, Inc. (a) | 1,200,443 | 612,946 | ||||||
NexGen Energy, Ltd. (a) | 845,382 | 648,769 | ||||||
Norbord, Inc. | 6,600 | 78,086 | ||||||
North West Co., Inc. (The) (b) | 22,400 | 356,859 | ||||||
Northern Dynasty Minerals, Ltd. (a) | 1,251,110 | 480,068 | ||||||
Northern Dynasty Minerals, Ltd. - NYSE Shares (a) | 346,472 | 133,392 | ||||||
Novagold Resources, Inc. (a) | 87,763 | 647,691 | ||||||
Open Text Corp. | 6,900 | 241,277 | ||||||
Pan American Silver Corp. | 21,108 | 303,729 | ||||||
Parkland Fuel Corp. | 14,500 | 255,628 | ||||||
Pipestone Energy Corp. (a) | 629,657 | 210,288 | ||||||
Seabridge Gold, Inc. (a) | 170,309 | 1,588,970 | ||||||
Shopify, Inc., Class A (a) | 51,807 | 21,599,893 | ||||||
SilverCrest Metals, Inc. (a) (d) (e) | 57,800 | 302,697 | ||||||
SNC-Lavalin Group, Inc. | 9,200 | 135,715 | ||||||
Sprott, Inc. | 778,629 | 1,267,008 | ||||||
Superior Plus Corp. | 13,100 | 76,889 | ||||||
Teranga Gold Corp. (a) (b) | 143,600 | 705,092 | ||||||
Tourmaline Oil Corp. (b) | 160,657 | 986,340 | ||||||
Turquoise Hill Resources, Ltd. (a) | 2,556,732 | 976,160 | ||||||
Uranium Participation Corp. (a) | 851,282 | 2,359,127 | ||||||
Wheaton Precious Metals Corp. | 55,279 | 1,521,831 | ||||||
Whitecap Resources, Inc. | 120,086 | 99,837 | ||||||
50,478,457 | ||||||||
China — 10.7% | ||||||||
Air China, Ltd., Class H | 1,370,000 | 878,444 | ||||||
Aisino Corp., Class A | 168,600 | 455,555 | ||||||
Alibaba Group Holding, Ltd. (a) | 19,300 | 453,993 | ||||||
Alibaba Group Holding, Ltd. - SPADR (a) | 27,800 | 5,406,544 | ||||||
Anhui Conch Cement Co., Ltd., Class A | 500,000 | 3,900,455 | ||||||
AVICOPTER plc,, Class A | 337,045 | 1,983,017 | ||||||
Beijing Capital International Airport Co., Ltd., Class H | 1,326,000 | 843,138 | ||||||
Beijing Oriental Yuhong Waterproof Technology Co., Ltd., Class A | 271,297 | 1,307,606 |
TIFF Multi-Asset Fund / schedule of investments (UNAUDITED)* |
March 31, 2020 |
Number of Shares | Value | |||||||
Bilibili, Inc. - SPADR (a) | 25,432 | $ | 595,617 | |||||
Changgang Dunxin Enterprise Co., Ltd. (a) (c) (d) | 4,640,000 | — | ||||||
China Construction Bank Corp., Class A | 2,844,500 | 2,548,260 | ||||||
China Eastern Airlines Corp., Ltd., Class H (a) | 192,000 | 66,336 | ||||||
China Merchants Bank Co., Ltd., Class A | 600,010 | 2,741,031 | ||||||
China Oilfield Services, Ltd., Class H | 362,000 | 276,719 | ||||||
China Pacific Insurance Group Co., Ltd., Class A | 842,069 | 3,364,797 | ||||||
China Pacific Insurance Group Co., Ltd., Class H | 919,400 | 2,763,987 | ||||||
China Petroleum & Chemical Corp., Class A | 2,106,060 | 1,316,551 | ||||||
China Southern Airlines Co., Ltd., Class H | 620,000 | 268,447 | ||||||
China Telecom Corp., Ltd., Class H | 3,126,000 | 943,109 | ||||||
Chongqing Changan Automobile Co., Ltd., Class A | 1,313,300 | 1,971,948 | ||||||
CITIC Securities Co., Ltd., Class H | 1,630,500 | 2,967,539 | ||||||
CNOOC, Ltd. | 1,023,000 | 1,066,555 | ||||||
CSC Financial Co, Ltd., Class H (f) | 213,500 | 171,223 | ||||||
Daqin Railway Co., Ltd., Class A | 3,684,991 | 3,539,082 | ||||||
Focus Media Information Technology Co., Ltd., Class A | 7,655,325 | 4,790,338 | ||||||
Fosun International, Ltd. | 743,000 | 853,611 | ||||||
Fufeng Group, Ltd. (a) | 792,000 | 270,910 | ||||||
Fujian Star-net Communication Co., Ltd., Class A | 211,000 | 1,096,988 | ||||||
GDS Holdings, Ltd. - ADR (a) | 3,400 | 197,098 | ||||||
Grandblue Environment Co., Ltd., Class A | 1,150,153 | 3,224,121 | ||||||
Gree Electric Appliances, Inc. of Zhuhai, Class A | 358,213 | 2,647,053 | ||||||
Guangshen Railway Co., Ltd., Class H | 3,282,000 | 697,108 | ||||||
Guangzhou Baiyun International Airport Co., Ltd., Class A | 948,134 | 1,685,849 | ||||||
Haier Smart Home Co., Ltd., Class A | 1,269,443 | 2,587,213 | ||||||
Haitong Securities Co., Ltd., Class H | 534,462 | 486,592 | ||||||
Hangzhou Hikvision Digital Technology Co., Ltd., Class A | 94,700 | 370,626 | ||||||
Hengan International Group Co., Ltd. | 12,500 | 93,735 | ||||||
Hongfa Technology Co., Ltd., Class A | 758,000 | 2,935,700 | ||||||
Huayu Automotive Systems Co., Ltd., Class A | 421,412 | 1,272,379 | ||||||
Inner Mongolia Yili Industrial Group Co., Ltd., Class A | 718,100 | 3,034,721 | ||||||
iQIYI, Inc. - ADR (a) | 158,572 | 2,822,582 | ||||||
JD.com, Inc. - ADR (a) | 48,900 | 1,980,450 | ||||||
Jiangsu Hengrui Medicine Co., Ltd., Class A | 126,877 | 1,651,152 | ||||||
JOYY, Inc. (a) | 50,606 | 2,695,276 | ||||||
Kweichow Moutai Co., Ltd., Class A | 25,300 | 3,976,926 | ||||||
Luxshare Precision Industry Co., Ltd., Class A | 100,785 | 538,843 | ||||||
Maoyan Entertainment (a) (f) | 61,600 | 77,728 | ||||||
Meituan Dianping, Class B (a) | 7,400 | 88,804 | ||||||
Midea Group Co., Ltd., Class A | 547,845 | 3,752,584 | ||||||
NetEase, Inc. - ADR | 9,800 | 3,145,408 | ||||||
New Oriental Education & Technology Group, Inc. - SPADR (a) | 3,600 | 389,664 | ||||||
Ping An Insurance Group Co. of China, Ltd., Class A | 283,960 | 2,779,214 | ||||||
Ping An Insurance Group Co. of China, Ltd., Class H | 333,000 | 3,257,459 | ||||||
Poly Developments and Holdings Group Co., Ltd., Class A | 1,790,409 | 3,768,595 | ||||||
Quectel Wireless Solutions Co., Ltd., Class A (a) | 42,800 | 985,723 | ||||||
Sany Heavy Industry Co., Ltd., Class A | 1,790,000 | 4,390,546 | ||||||
SDIC Power Holdings Co., Ltd., Class A | 1,896,352 | 2,127,865 | ||||||
Shanghai Fosun Pharmaceutical Group Co., Ltd., Class H | 991,000 | 3,246,694 | ||||||
Shengyi Technology Co., Ltd., Class A | 623,845 | 2,314,382 | ||||||
Shenzhen Expressway Co., Ltd., Class A | 558,258 | 684,943 | ||||||
Shenzhen Sunlord Electronics Co., Ltd., Class A | 210,200 | 595,676 |
TIFF Multi-Asset Fund / schedule of investments (UNAUDITED)* |
March 31, 2020 |
Number of Shares | Value | |||||||
Sichuan Kelun Pharmaceutical Co., Ltd., Class A | 686,950 | $ | 1,997,790 | |||||
SINA Corp. (a) | 41,500 | 1,321,360 | ||||||
Sinopharm Group Co., Ltd., Class H | 189,600 | 424,598 | ||||||
Spring Airlines Co., Ltd., Class A | 168,776 | 770,857 | ||||||
TAL Education Group - ADR (a) | 8,500 | 452,710 | ||||||
Tencent Holdings, Ltd. | 306,800 | 14,960,051 | ||||||
Tencent Music Entertainment Group - ADR (a) | 238,200 | 2,396,292 | ||||||
Tongkun Group Co., Ltd., Class A | 1,108,400 | 1,838,555 | ||||||
TravelSky Technology, Ltd., Class H | 109,000 | 191,308 | ||||||
Tsingtao Brewery Co., Ltd., Series H | 36,000 | 182,786 | ||||||
Vipshop Holdings, Ltd. - ADR (a) | 513,900 | 8,006,562 | ||||||
Wanhua Chemical Group Co., Ltd., Class A | 334,451 | 1,935,510 | ||||||
Weibo Corp. - SPADR (a) | 89,200 | 2,953,412 | ||||||
Weichai Power Co., Ltd., Class A | 1,579,140 | 2,675,941 | ||||||
Wens Foodstuffs Group Co., Ltd., Class A | 568,781 | 2,599,003 | ||||||
YiChang HEC ChangJiang Pharmaceutical Co., Ltd., Class H (f) | 107,200 | 504,208 | ||||||
Yunda Holding Co., Ltd., Class A | 737,062 | 3,207,670 | ||||||
Yunji, Inc. - ADR (a) | 74,368 | 272,187 | ||||||
Zhejiang Dahua Technology Co, Ltd., Class A | 947,321 | 2,147,610 | ||||||
160,182,919 | ||||||||
Denmark — 0.9% | ||||||||
Coloplast A/S, Class B | 42,368 | 6,164,285 | ||||||
Danske Bank A/S (b) | 20,931 | 237,244 | ||||||
Novo Nordisk A/S, Class B | 109,720 | 6,618,469 | ||||||
13,019,998 | ||||||||
Finland — 0.4% | ||||||||
Huhtamaki Oyj (b) | 8,273 | 265,222 | ||||||
Kone Oyj, Class B | 88,690 | 5,033,905 | ||||||
Nordea Bank Abp (b) | 12,216 | 68,862 | ||||||
Sampo Oyj, Series A (b) | 52,125 | 1,524,637 | ||||||
6,892,626 | ||||||||
France — 0.4% | ||||||||
Electricite de France SA | 138,673 | 1,093,613 | ||||||
L'Oreal SA | 20,472 | 5,373,612 | ||||||
6,467,225 | ||||||||
Greece — 0.1% | ||||||||
Diana Shipping, Inc. (a) | 211,343 | 312,788 | ||||||
Tsakos Energy Navigation, Ltd. | 141,461 | 461,163 | ||||||
773,951 | ||||||||
Hong Kong — 0.7% | ||||||||
AIA Group, Ltd. | 438,200 | 3,942,180 | ||||||
Cathay Pacific Airways, Ltd. | 169,000 | 180,800 | ||||||
CECEP COSTIN New Materials Group, Ltd. (a) (c) (d) | 1,736,000 | — | ||||||
China Mobile, Ltd. | 50,000 | 377,744 | ||||||
Duiba Group, Ltd. (a) | 46,675 | 15,137 |
TIFF Multi-Asset Fund / schedule of investments(UNAUDITED)* |
March 31, 2020 |
Number of Shares | Value | |||||||
Hong Kong Exchanges & Clearing, Ltd. | 43,400 | $ | 1,303,355 | |||||
Hua Han Health Industry Holdings, Ltd. (a) (c) (d) | 6,984,000 | — | ||||||
Luks Group Vietnam Holdings Co., Ltd. | 1,682,000 | 282,642 | ||||||
PAX Global Technology, Ltd. | 1,936,000 | 725,460 | ||||||
Shangri-La Asia, Ltd. | 2,236,000 | 1,511,995 | ||||||
Sun Art Retail Group, Ltd. | 1,243,000 | 1,839,719 | ||||||
10,179,032 | ||||||||
Ireland — 0.1% | ||||||||
Accenture plc, Class A | 2,802 | 457,455 | ||||||
Alkermes plc (a) (b) | 28,851 | 416,031 | ||||||
Irish Bank Resolution Corp., Ltd. (a) (c) (d) | 38,180 | — | ||||||
Jazz Pharmaceuticals plc (a) | 1,330 | 132,654 | ||||||
Medtronic plc (b) | 10,744 | 968,894 | ||||||
Trane Technologies plc | 3,715 | 306,822 | ||||||
2,281,856 | ||||||||
Japan — 5.9% | ||||||||
Amano Corp. | 205,600 | 4,543,516 | ||||||
BML, Inc. | 112,400 | 3,013,913 | ||||||
Bunka Shutter Co., Ltd. | 177,100 | 1,289,560 | ||||||
DTS Corp. | 32,300 | 562,045 | ||||||
Fukuda Corp. | 3,400 | 133,316 | ||||||
Fukuda Denshi Co., Ltd. | 4,800 | 374,198 | ||||||
Fukushima Industries Corp. | 25,500 | 802,797 | ||||||
Glory, Ltd. | 171,500 | 3,952,055 | ||||||
Hakuhodo DY Holdings, Inc. | 436,700 | 4,404,912 | ||||||
Hitachi, Ltd. | 153,700 | 4,474,182 | ||||||
Hogy Medical Co., Ltd. | 170,500 | 5,324,174 | ||||||
Hoshizaki Corp. | 28,600 | 2,149,264 | ||||||
Inpex Corp. | 40,200 | 225,967 | ||||||
Japan Steel Works, Ltd. (The) | 21,400 | 258,439 | ||||||
Kamigumi Co., Ltd. | 37,100 | 627,610 | ||||||
Miraca Holdings, Inc. | 175,500 | 3,702,725 | ||||||
Mitsubishi Corp. | 63,900 | 1,356,256 | ||||||
Mitsubishi Estate Co., Ltd. | 286,100 | 4,217,647 | ||||||
Mitsui & Co., Ltd. | 89,100 | 1,241,175 | ||||||
Mitsui Fudosan Co., Ltd. | 221,000 | 3,822,427 | ||||||
Morinaga & Co., Ltd. | 125,400 | 5,137,406 | ||||||
NEC Corp. | 8,600 | 313,783 | ||||||
Nippon Densetsu Kogyo Co., Ltd. | 8,000 | 157,076 | ||||||
Nohmi Bosai, Ltd. | 41,200 | 764,225 | ||||||
Noritz Corp. | 71,300 | 778,300 | ||||||
OKUMA Corp. | 108,600 | 3,496,252 | ||||||
Organo Corp. | 8,600 | 436,129 | ||||||
Secom Co., Ltd. | 59,300 | 4,930,341 | ||||||
Sekisui Jushi Corp. | 1,700 | 31,325 | ||||||
Seven Bank, Ltd. | 1,940,900 | 5,016,465 | ||||||
Sinko Industries, Ltd. | 67,100 | 866,860 | ||||||
SK Kaken Co., Ltd. | 6,700 | 2,294,128 | ||||||
Sumitomo Warehouse Co., Ltd. (The) | 402,700 | 4,410,548 | ||||||
Takeuchi Manufacturing Co., Ltd. | 202,700 | 2,524,406 |
��
TIFF Multi-Asset Fund / schedule of investments(UNAUDITED)* |
March 31, 2020 |
Number of Shares | Value | |||||||
TKC Corp. | 11,100 | $ | 499,253 | |||||
Toei Co., Ltd. | 48,600 | 6,105,568 | ||||||
TV Asahi Holdings Corp. | 256,000 | 3,870,551 | ||||||
88,108,794 | ||||||||
Kazakhstan — 0.1% | ||||||||
NAC Kazatomprom JSC - GDR (d) (f) | 88,420 | 1,105,250 | ||||||
Lebanon — 0.0% | ||||||||
Solidere -ADR (a) (d) | 38,451 | 361,439 | ||||||
Luxembourg — 0.0% | ||||||||
Millicom International Cellular SA - SDR | 16,655 | 468,978 | ||||||
Malta — 0.2% | ||||||||
Kambi Group plc (a) | 200,363 | 1,887,964 | ||||||
Kindred Group plc | 172,617 | 643,359 | ||||||
2,531,323 | ||||||||
Mexico — 0.1% | ||||||||
Fresnillo plc | 79,824 | 659,337 | ||||||
Vista Oil & Gas Sab de CV - ADR (a) | 151,054 | 302,108 | ||||||
961,445 | ||||||||
Netherlands — 0.0% | ||||||||
QIAGEN NV (a) | 956 | 39,770 | ||||||
Norway — 0.1% | ||||||||
Equinor ASA - SPADR | 100,452 | 1,223,505 | ||||||
Puerto Rico — 0.1% | ||||||||
Popular, Inc. (b) | 23,716 | 830,060 | ||||||
Russia — 0.6% | ||||||||
Etalon Group plc - GDR (g) | 599,848 | 773,799 | ||||||
Federal Grid Co. Unified Energy System PJSC (a) (d) | 562,696,654 | 1,146,776 | ||||||
Gazprom PJSC (d) | 726,552 | 1,676,034 | ||||||
Lenta, Ltd. - GDR (a) (g) | 391,553 | 757,299 | ||||||
LSR Group PJSC (a) (d) | 14,436 | 105,765 | ||||||
Moscow Exchange MICEX-RTS PJSC (a) (d) | 341,367 | 419,754 | ||||||
Polyus PJSC - GDR (g) | 19,497 | 1,310,170 | ||||||
RusHydro PJSC (a) (d) | 227,036,414 | 1,737,282 | ||||||
Sberbank of Russia PJSC (d) | 300,501 | 712,613 | ||||||
8,639,492 | ||||||||
Singapore — 0.9% | ||||||||
Golden Agri-Resources, Ltd. | 14,210,200 | 1,397,326 |
TIFF Multi-Asset Fund / schedule of investments(UNAUDITED)* |
March 31, 2020 |
Number of Shares | Value | |||||||
Sea, Ltd. - ADR (a)` | 274,303 | $ | 12,154,366 | |||||
13,551,692 | ||||||||
South Africa — 0.0% | ||||||||
Gold Fields, Ltd. | 67,321 | 326,601 | ||||||
Impala Platinum Holdings, Ltd. | 39,242 | 165,748 | ||||||
492,349 | ||||||||
South Korea — 0.3% | ||||||||
Hankook Technology Group Co., Ltd. | 55,373 | 385,253 | ||||||
Korea Electric Power Corp. - SPADR (a) | 109,433 | 826,219 | ||||||
KT Corp. | 39,961 | 644,847 | ||||||
KT Corp. - SPADR (a) | 255,311 | 1,986,319 | ||||||
LG Corp. | 6,682 | 320,648 | ||||||
Pyeong Hwa Automotive Co., Ltd. | 26,283 | 112,902 | ||||||
4,276,188 | ||||||||
Spain — 0.2% | ||||||||
Amadeus IT Group SA | 71,066 | 3,370,335 | ||||||
Sri Lanka — 0.0% | ||||||||
Hemas Holdings plc | 1,538,439 | 501,895 | ||||||
Sweden — 0.8% | ||||||||
AAK AB (b) | 32,902 | 536,544 | ||||||
AF POYRY AB (b) | 21,709 | 332,748 | ||||||
Alfa Laval AB (b) | 24,700 | 428,056 | ||||||
Atlas Copco AB, Class B (b) | 7,006 | 206,595 | ||||||
Boule Diagnostics AB | 14,681 | 84,734 | ||||||
Eastnine AB | 106,340 | 1,168,488 | ||||||
Fortnox AB (a) (b) | 26,506 | 438,031 | ||||||
Greater Than AB (a) | 102,354 | 980,638 | ||||||
Hennes & Mauritz AB, Class B (b) | 60,951 | 784,254 | ||||||
Infant Bacterial Therapeutics AB (a) | 17,167 | 142,446 | ||||||
Karnov Group AB (a) | 173,948 | 909,033 | ||||||
Lime Technologies AB | 17,028 | 276,686 | ||||||
MIPS AB (b) | 5,015 | 113,189 | ||||||
Modern Times Group MTG AB, Series B (a) (b) | 78,178 | 617,002 | ||||||
Nolato AB, Class B (b) | 8,572 | 388,194 | ||||||
Nordic Entertainment Group AB, Class B (b) | 118,967 | 2,508,064 | ||||||
Saab AB, Class B (b) | 29,711 | 571,013 | ||||||
Skandinaviska Enskilda Banken AB, Class A (b) | 151,989 | 1,028,125 | ||||||
Veoneer, Inc. - SDR (a) (b) | 14,899 | 115,072 | ||||||
11,628,912 | ||||||||
Switzerland — 0.0% | ||||||||
Garmin, Ltd. | 2,999 | 224,805 | ||||||
TE Connectivity, Ltd. | 1,535 | 96,674 | ||||||
321,479 |
TIFF Multi-Asset Fund / schedule of investments(UNAUDITED)* |
March 31, 2020 |
Number of Shares | Value | |||||||
Turkey — 0.0% | ||||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi AS - REIT | 1,581,561 | $ | 274,861 | |||||
Turkiye Halk Bankasi AS (a) | 368,405 | 274,627 | ||||||
549,488 | ||||||||
Ukraine — 0.1% | ||||||||
Astarta Holding NV (a) | 84,067 | 232,599 | ||||||
Kernel Holding SA | 65,366 | 520,958 | ||||||
MHP SE - GDR - OTC Shares (g) | 211,044 | 1,265,127 | ||||||
2,018,684 | ||||||||
United Kingdom — 1.7% | ||||||||
BP plc - SPADR | 17,615 | 429,630 | ||||||
Delphi Technologies plc (a) | 6,733 | 54,200 | ||||||
Diageo plc | 109,277 | 3,499,998 | ||||||
Gabriel Resources, Ltd. (a) | 1,962,000 | 683,138 | ||||||
InterContinental Hotels Group plc | 48,254 | 2,066,026 | ||||||
Intertek Group plc | 76,531 | 4,473,156 | ||||||
Melrose Industries plc | 19,750 | 22,304 | ||||||
nVent Electric plc | 11,689 | 197,193 | ||||||
Reckitt Benckiser Group plc | 56,151 | 4,309,458 | ||||||
Sage Group plc (The) | 514,347 | 3,767,085 | ||||||
Stolt-Nielsen, Ltd. | 63,405 | 513,001 | ||||||
Unilever plc | 85,126 | 4,297,462 | ||||||
Yellow Cake plc (a) (f) | 345,099 | 804,083 | ||||||
25,116,734 | ||||||||
Total Foreign Common Stocks (Cost $466,000,249) | 437,824,103 | |||||||
Total Common Stocks (Cost $842,682,720) | 788,846,246 |
Number of Contracts | Value | |||||||
Right — 0.0% | ||||||||
Pan American Silver Corp., Expiring 02/22/29 (Canada) (a) (d) (Cost $77,784) | 367,492 | 124,947 | ||||||
Warrants — 0.0% | ||||||||
AYR Strategies, Inc., Expiring 12/21/25 (Canada) (a) | 30,100 | 38,499 | ||||||
Charlottes Web Holdings, Inc., Expiring 12/03/21 (United States) (a) | 18,700 | 7,175 | ||||||
Excellon Resources, Inc., Expiring 08/27/21 (Canada) (a) | 250,000 | 10,659 | ||||||
Subversive Capital Acquistion Corp., Expiring 07/16/27 (Canada) (a) | 33,650 | 21,873 | ||||||
Synaptive Medical, Inc., Expiring 12/06/22 (Canada) (a) (c) (d) (e) | 37,142 | 9,915 | ||||||
Tetra Bio-Pharma, Inc., Expiring 02/13/23 (Canada) (a) | 100,000 | 4,619 | ||||||
Total Warrants (Cost $107,974) | 92,740 |
TIFF Multi-Asset Fund / schedule of investments(UNAUDITED)* |
March 31, 2020 |
Principal Amount | Value | |||||||
Corporate Bonds — 0.0% | ||||||||
Media — 0.0% | ||||||||
Catena Media plc, 5.5%, 03/02/2021 (Malta) | $ | 200,000 | $ | 207,345 | ||||
Metals & Mining — 0.0% | ||||||||
IAMGOLD Corp., 7.0%, 04/15/2025 (Canada) (f) | 339,000 | 315,270 | ||||||
Total Corporate Bonds (Cost $559,708) | 522,615 | |||||||
US Treasury Bonds/Notes — 5.2% | ||||||||
US Treasury Inflation Indexed Note, 0.625%, 04/15/23 | 6,166,984 | 6,211,901 | ||||||
US Treasury Inflation Indexed Note, 0.375%, 07/15/23 | 5,738,637 | 5,771,533 | ||||||
US Treasury Inflation Indexed Note, 0.625%, 01/15/24 | 5,719,812 | 5,813,125 | ||||||
US Treasury Inflation Indexed Note, 0.500%, 04/15/24 | 4,160,834 | 4,220,937 | ||||||
US Treasury Inflation Indexed Note, 0.125%, 07/15/24 | 5,624,913 | 5,636,909 | ||||||
US Treasury Inflation Indexed Note, 0.125%, 10/15/24 | 4,465,765 | 4,520,192 | ||||||
US Treasury Inflation Indexed Note, 0.250%, 01/15/25 | 5,636,768 | 5,687,375 | ||||||
US Treasury Inflation Indexed Note, 2.375%, 01/15/25 | 4,838,662 | 5,366,332 | ||||||
US Treasury Note, 2.250%, 03/31/21 | 2,452,000 | 2,503,913 | ||||||
US Treasury Note, 1.125%, 09/30/21 | 5,303,000 | 5,375,916 | ||||||
US Treasury Note, 1.750%, 04/30/22 | 2,064,000 | 2,129,629 | ||||||
US Treasury Note, 1.375%, 10/15/22 | 3,463,000 | 3,560,667 | ||||||
US Treasury Note, 1.500%, 03/31/23 | 3,335,000 | 3,455,894 | ||||||
US Treasury Note, 1.375%, 09/30/23 | 1,557,000 | 1,614,779 | ||||||
US Treasury Note, 2.500%, 05/15/24 | 1,501,000 | 1,633,158 | ||||||
US Treasury Note, 1.500%, 09/30/24 | 2,807,000 | 2,949,543 | ||||||
US Treasury Note, 2.125%, 05/15/25 | 2,070,000 | 2,249,104 | ||||||
US Treasury Note, 2.250%, 11/15/25 | 2,546,000 | 2,797,815 | ||||||
US Treasury Note, 2.000%, 11/15/26 | 1,335,000 | 1,462,086 | ||||||
US Treasury Note, 2.250%, 08/15/27 | 1,052,000 | 1,180,336 | ||||||
US Treasury Note, 2.750%, 02/15/28 | 1,372,000 | 1,599,452 | ||||||
US Treasury Note, 1.625%, 08/15/29 | 1,402,000 | 1,521,663 | ||||||
US Treasury Note, 1.500%, 02/15/30 | 817,000 | 879,647 | ||||||
Total US Treasury Bonds/Notes (Cost $76,046,382) | 78,141,906 |
Number of Shares | Value | |||||||
Acquired Funds — 15.7% | ||||||||
Exchange-Traded Fund (ETF) — 3.3% | ||||||||
Financial Select Sector SPDR Fund | 2,401,776 | $ | 50,004,976 | |||||
Private Investment Funds (h) — 12.4% | ||||||||
Canyon Value Realization Fund, LP (a) (c) (d) (e) | $ | 48,040,471 | ||||||
Eversept Global Healthcare Fund, LP (a) (c) (d) (e) | 32,407,298 | |||||||
Farallon Capital Institutional Partners, LP (a) (c) (d) (e) | 1,437,192 | |||||||
GSA Trend Fund, Ltd. (a) (c) (d) (e) | 156,179 | 13,969,261 |
TIFF Multi-Asset Fund / schedule of investments (UNAUDITED)* |
March 31, 2020 |
Number of Shares | Value | |||||||
Honeycomb Partners, LP (a) (c) (d) (e) | $ | 56,444,268 | ||||||
Lansdowne Developed Markets Fund, Ltd. (a) (c) (d) (e) | 36,435 | 17,306,696 | ||||||
Neo Ivy Capital Fund, LP (a) (c) (d) (e) | 9,196,194 | |||||||
QVT Roiv Hldgs Onshore, Ltd. (a) (c) (d) (e) | 2,430 | 6,558,743 | ||||||
185,360,123 | ||||||||
Total Acquired Funds | ||||||||
(Cost $192,234,599) | 235,365,099 | |||||||
Preferred Stocks — 0.1% | ||||||||
Draegerwerk AG & Co. KGAA, 0.20% (Germany) | 3,351 | 327,665 | ||||||
Hyundai Motor Co., Ltd., 7.36% (South Korea) | 21,579 | 997,280 | ||||||
Hyundai Motor Co., Ltd., 7.96% (South Korea) | 721 | 30,286 | ||||||
Synaptive Medical, Inc., 0.00% (Canada) (a) (c) (d) (e) | 74,285 | 185,713 | ||||||
Total Preferred Stocks | ||||||||
(Cost $1,769,345) | 1,540,944 |
Number of Contracts | Value | |||||||
Purchased Option Contracts — 0.2% | ||||||||
Puts — 0.2% | ||||||||
California Resources Corp., Notional Amount $411,600, Strike Price $3 Expiring 05/15/2020 (United States) | 1,372 | $ | 315,560 | |||||
Conocophillips, Notional Amount $458,850, Strike Price $28.5 Expiring 04/17/2020 (United States) | 161 | 26,565 | ||||||
Diamondback Energy, Inc., Notional Amount $607,500, Strike Price $25 Expiring 04/17/2020 (United States) | 243 | 60,750 | ||||||
Enbridge, Inc., Notional Amount $442,750, Strike Price $27.5 Expiring 04/17/2020 (United States) | 161 | 19,320 | ||||||
Enterprise Products Partners LP, Notional Amount $997,100, Strike Price $13 Expiring 04/17/2020 (United States) | 767 | 55,991 | ||||||
Essity AB, Notional Amount $2,448,500, Strike Price $295 Expiring 04/17/2020 (Sweden) | 83 | 3,608 | ||||||
Exxon Mobil Corp., Notional Amount $990,500, Strike Price $35 Expiring 04/17/2020 (United States) | 283 | 39,054 | ||||||
Halliburton Co., Notional Amount $679,000, Strike Price $7 Expiring 04/17/2020 (United States) | 970 | 90,210 | ||||||
iShares 20+ Year Treasury Bond ETF, Notional Amount $31,141,800, Strike Price $146 Expiring 01/15/2021 (United States) | 2,133 | 1,224,342 | ||||||
Nibe Industrier AB, Notional Amount $5,072,000, Strike Price $160 Expiring 04/17/2020 (Sweden) | 317 | 48,867 | ||||||
Occidental Petroleum Corp., Notional Amount $735,800, Strike Price $13 Expiring 04/17/2020 (United States) | 566 | 135,274 | ||||||
Oneok, Inc., Notional Amount $742,900, Strike Price $23 Expiring 04/17/2020 (United States) | 323 | 88,825 | ||||||
Pioneer Natural Resources Co., Notional Amount $469,200, Strike Price $68 Expiring 04/17/2020 (United States) | 69 | 39,192 |
TIFF Multi-Asset Fund / schedule of investments (UNAUDITED)* |
March 31, 2020 |
Number of Contracts | Value | |||||||
Targa Resources Corp., Notional Amount $647,200, Strike Price $8 Expiring 04/17/2020 (United States) | 809 | $ | 157,755 | |||||
Total Puts (Cost $2,225,023) | 2,305,313 | |||||||
Total Purchased Option Contracts (Cost $2,225,023) | 2,305,313 |
Number of Units | Value | |||||||
Disputed Claims Receipt — 0.0% | ||||||||
AMR Corp. (Cost $0) (a) (c) (d) (e) | 260,322 | — |
Principal Amount | Value | |||||||
Short-Term Investments — 20.3% | ||||||||
Repurchase Agreement — 10.3% | ||||||||
Fixed Income Clearing Corp. issued on 03/31/20 (proceeds at maturity $155,063,527) (collateralized by US Treasury Notes, due 07/31/21 through 10/15/22 with a total par value of $152,910,000 and a total market value of $158,170,541), 0.000%, 04/01/20 (Cost $155,063,527) | $ | 155,063,527 | $ | 155,063,527 | ||||
US Treasury Bills (i) — 10.0% | ||||||||
US Treasury Bill, 1.537%, 07/09/20 (j) | 100,000,000 | 99,978,963 | ||||||
US Treasury Bill, 1.537%, 07/23/20 | 50,000,000 | 49,987,248 | ||||||
Total US Treasury Bills (Cost $149,350,071) | 149,966,211 | |||||||
Total Short-Term Investments (Cost $304,413,598) | 305,029,738 |
TIFF Multi-Asset Fund / schedule of investments (UNAUDITED)* |
March 31, 2020 |
Value | ||||
Total Investments — 94.0% (Cost $1,420,117,133) | $ | 1,411,969,548 | ||
Other Assets in Excess of Liabilities — 6.0% | 89,581,518 | |||
Net Assets — 100.0% | $ | 1,501,551,066 | ||
Securities Sold Short — (5.3)% | ||||||||
Number of Shares | Value | |||||||
Common Stocks — (5.3)% | ||||||||
US Common Stocks — (3.7)% | ||||||||
Aerospace & Defense — (0.1)% | ||||||||
Axon Enterprise, Inc. (a) | (10,545 | ) | $ | (746,270 | ) | |||
Boeing Co. (The) | (2,497 | ) | (372,403 | ) | ||||
TransDigm Group, Inc. | (821 | ) | (262,876 | ) | ||||
(1,381,549 | ) | |||||||
Airlines — (0.0)% | ||||||||
American Airlines Group, Inc. | (13,666 | ) | (166,589 | ) | ||||
Delta Air Lines, Inc. | (5,081 | ) | (144,961 | ) | ||||
Southwest Airlines Co. | (5,372 | ) | (191,297 | ) | ||||
(502,847 | ) | |||||||
Auto Components — (0.0)% | ||||||||
Adient plc (a) | (20,723 | ) | (187,958 | ) | ||||
Visteon Corp. (a) | (3,466 | ) | (166,299 | ) | ||||
(354,257 | ) | |||||||
Automobiles — (0.0)% | ||||||||
General Motors Co. | (4,015 | ) | (83,432 | ) | ||||
Biotechnology — (0.2)% | ||||||||
Agios Pharmaceuticals, Inc. (a) | (4,610 | ) | (163,563 | ) | ||||
Alnylam Pharmaceuticals, Inc. (a) | (6,330 | ) | (689,021 | ) | ||||
Bluebird Bio, Inc. (a) | (3,305 | ) | (151,898 | ) | ||||
Exact Sciences Corp. (a) | (9,746 | ) | (565,268 | ) | ||||
Gilead Sciences, Inc. | (541 | ) | (40,445 | ) | ||||
Ionis Pharmaceuticals, Inc. (a) | (1,257 | ) | (59,431 | ) | ||||
Ligand Pharmaceuticals, Inc. (a) | (8,954 | ) | (651,135 | ) | ||||
Moderna, Inc. (a) | (22,900 | ) | (685,855 | ) | ||||
Sage Therapeutics, Inc. (a) | (2,164 | ) | (62,150 | ) | ||||
(3,068,766 | ) | |||||||
Building Products — (0.0)% | ||||||||
Owens Corning | (668 | ) | (25,925 | ) |
TIFF Multi-Asset Fund / schedule of investments (UNAUDITED)* |
March 31, 2020 |
Number of Shares | Value | |||||||
Trex Co., Inc. (a) | (5,367 | ) | $ | (430,111 | ) | |||
(456,036 | ) | |||||||
Capital Markets — (0.1)% | ||||||||
Charles Schwab Corp. (The) | (3,964 | ) | (133,270 | ) | ||||
Virtu Financial, Inc., Class A | (44,550 | ) | (927,531 | ) | ||||
(1,060,801 | ) | |||||||
Chemicals — (0.1)% | ||||||||
Albemarle Corp. | (10,317 | ) | (581,568 | ) | ||||
Chemours Co. (The) | (15,155 | ) | (134,425 | ) | ||||
International Flavors & Fragrances, Inc. | (8,393 | ) | (856,757 | ) | ||||
Mosaic Co. (The) | (7,781 | ) | (84,190 | ) | ||||
Olin Corp. | (28,013 | ) | (326,912 | ) | ||||
Univar, Inc. (a) | (7,387 | ) | (79,189 | ) | ||||
(2,063,041 | ) | |||||||
Commercial Banks — (0.0)% | ||||||||
Sterling Bancorp | (3,625 | ) | (37,881 | ) | ||||
Commercial Services & Supplies — (0.1)% | ||||||||
ADT, Inc. | (32,470 | ) | (140,270 | ) | ||||
Square, Inc., Class A (a) | (3,542 | ) | (185,530 | ) | ||||
Stericycle, Inc. (a) | (8,872 | ) | (431,002 | ) | ||||
(756,802 | ) | |||||||
Communications Equipment — (0.0)% | ||||||||
Lumentum Holdings, Inc. (a) | (2,050 | ) | (151,085 | ) | ||||
Ubiquiti, Inc. | (811 | ) | (114,821 | ) | ||||
ViaSat, Inc. (a) | (769 | ) | (27,622 | ) | ||||
(293,528 | ) | |||||||
Construction & Engineering — (0.0)% | ||||||||
Dycom Industries, Inc. (a) | (3,477 | ) | (89,185 | ) | ||||
Containers & Packaging — (0.0)% | ||||||||
O-I Glass, Inc. | (4,438 | ) | (31,554 | ) | ||||
Electronic Equipment, Instruments & Components — (0.1)% | ||||||||
Cognex Corp. | (8,662 | ) | (365,710 | ) | ||||
II-VI, Inc. (a) | (33,632 | ) | (958,512 | ) | ||||
(1,324,222 | ) | |||||||
Energy Equipment & Services — (0.4)% | ||||||||
Apergy Corp. (a) | (2,801 | ) | (16,106 | ) |
TIFF Multi-Asset Fund / schedule of investments (UNAUDITED)* |
March 31, 2020 |
Number of Shares | Value | |||||||
Baker Hughes Co. | (37,685 | ) | $ | (395,693 | ) | |||
Halliburton Co. | (326,859 | ) | (2,238,984 | ) | ||||
Helmerich & Payne, Inc. | (32,968 | ) | (515,949 | ) | ||||
Liberty Oilfield Services, Inc., Class A | (168,637 | ) | (453,634 | ) | ||||
National Oilwell Varco, Inc. | (36,374 | ) | (357,556 | ) | ||||
Patterson-UTI Energy, Inc. | (268,085 | ) | (630,000 | ) | ||||
RPC, Inc. | (254,985 | ) | (525,269 | ) | ||||
Transocean, Ltd. (a) | (441,035 | ) | (511,601 | ) | ||||
(5,644,792 | ) | |||||||
Food & Staples Retailing — (0.0)% | ||||||||
BJ's Wholesale Club Holdings, Inc. (a) | (14,778 | ) | (376,396 | ) | ||||
Food Products — (0.0)% | ||||||||
Conagra Brands, Inc. | (5,406 | ) | (158,612 | ) | ||||
Hain Celestial Group, Inc. (The) (a) | (15,644 | ) | (406,275 | ) | ||||
TreeHouse Foods, Inc. (a) | (1,653 | ) | (72,980 | ) | ||||
(637,867 | ) | |||||||
Health Care Equipment & Supplies — (0.4)% | ||||||||
Cantel Medical Corp. | (3,947 | ) | (141,697 | ) | ||||
DexCom, Inc. (a) | (16,123 | ) | (4,341,440 | ) | ||||
Insulet Corp. (a) | (919 | ) | (152,260 | ) | ||||
NuVasive, Inc. (a) | (4,851 | ) | (245,752 | ) | ||||
Penumbra, Inc. (a) | (2,977 | ) | (480,279 | ) | ||||
(5,361,428 | ) | |||||||
Health Care Providers & Services — (0.1)% | ||||||||
Acadia Healthcare Co., Inc. (a) | (16,589 | ) | (304,408 | ) | ||||
Covetrus, Inc. (a) | (39,737 | ) | (323,459 | ) | ||||
Guardant Health, Inc. (a) | (3,004 | ) | (209,078 | ) | ||||
HealthEquity, Inc. (a) | (9,653 | ) | (488,345 | ) | ||||
(1,325,290 | ) | |||||||
Hotels, Restaurants & Leisure — (0.1)% | ||||||||
Carnival Corp. | (7,872 | ) | (103,674 | ) | ||||
Papa John's International, Inc. | (8,040 | ) | (429,095 | ) | ||||
Scientific Games Corp., Class A (a) | (10,303 | ) | (99,939 | ) | ||||
Wynn Resorts, Ltd. | (4,023 | ) | (242,144 | ) | ||||
(874,852 | ) | |||||||
Household Durables — (0.0)% | ||||||||
Newell Brands, Inc. | (1,311 | ) | (17,410 | ) | ||||
Household Products — (0.0)% | ||||||||
Energizer Holdings, Inc. | (13,282 | ) | (401,781 | ) |
TIFF Multi-Asset Fund / schedule of investments (UNAUDITED)* |
March 31, 2020 |
Number of Shares | Value | |||||||
Insurance — (0.0)% | ||||||||
Travelers Companies, Inc. (The) | (406 | ) | $ | (40,336 | ) | |||
Internet & Catalog Retail — (0.0)% | ||||||||
Etsy, Inc. (a) | (1,558 | ) | (59,890 | ) | ||||
Qurate Retail, Inc., Series A (a) | (10,603 | ) | (64,731 | ) | ||||
(124,621 | ) | |||||||
Internet Software & Services — (0.0)% | ||||||||
eBay, Inc. | (643 | ) | (19,329 | ) | ||||
GrubHub, Inc. (a) | (473 | ) | (19,265 | ) | ||||
Snap, Inc., Class A (a) | (6,961 | ) | (82,766 | ) | ||||
Zillow Group, Inc., Class C (a) | (3,911 | ) | (140,874 | ) | ||||
(262,234 | ) | |||||||
IT Services — (0.1)% | ||||||||
LiveRamp Holdings, Inc. (a) | (1,036 | ) | (34,105 | ) | ||||
MongoDB, Inc. (a) | (3,217 | ) | (439,249 | ) | ||||
Okta, Inc. (a) | (227 | ) | (27,753 | ) | ||||
Twilio, Inc., Class A (a) | (9,139 | ) | (817,849 | ) | ||||
(1,318,956 | ) | |||||||
Machinery — (0.0)% | ||||||||
Colfax Corp. (a) | (13,952 | ) | (276,250 | ) | ||||
Ingersoll Rand, Inc. (a) | (2,316 | ) | (57,437 | ) | ||||
Westinghouse Air Brake Technologies, Corp. | (8,639 | ) | (415,795 | ) | ||||
(749,482 | ) | |||||||
Media — (0.1)% | ||||||||
Comcast Corp., Class A | (644 | ) | (22,141 | ) | ||||
Meredith Corp. | (9,285 | ) | (113,463 | ) | ||||
New York Times Co. (The), Class A | (11,131 | ) | (341,833 | ) | ||||
World Wrestling Entertainment, Inc., Class A | (12,946 | ) | (439,258 | ) | ||||
(916,695 | ) | |||||||
Metals & Mining — (0.1)% | ||||||||
Allegheny Technologies, Inc. (a) | (34,844 | ) | (296,174 | ) | ||||
Compass Minerals International, Inc. | (717 | ) | (27,583 | ) | ||||
Freeport-McMoRan, Inc. | (84,309 | ) | (569,086 | ) | ||||
Newmont Mining Corp. | (2,089 | ) | (94,590 | ) | ||||
Royal Gold, Inc. | (2,268 | ) | (198,926 | ) | ||||
United States Steel Corp. | (129,667 | ) | (818,199 | ) | ||||
(2,004,558 | ) |
TIFF Multi-Asset Fund / schedule of investments (UNAUDITED)* |
March 31, 2020 |
Number of Shares | Value | |||||||
Multi-Utilities — (0.0)% | ||||||||
CenterPoint Energy, Inc. | (2,779 | ) | $ | (42,936 | ) | |||
Consolidated Edison, Inc. | (787 | ) | (61,386 | ) | ||||
(104,322 | ) | |||||||
Multiline Retail — (0.0)% | ||||||||
Nordstrom, Inc. | (1,646 | ) | (25,250 | ) | ||||
Ollie's Bargain Outlet Holdings, Inc. (a) | (3,216 | ) | (149,029 | ) | ||||
(174,279 | ) | |||||||
Oil, Gas & Consumable Fuels — (1.4)% | ||||||||
Antero Midstream Corp. | (393,570 | ) | (826,497 | ) | ||||
Antero Resources Corp. (a) | (442,872 | ) | (315,723 | ) | ||||
Apache Corp. | (140,865 | ) | (588,815 | ) | ||||
Cabot Oil & Gas Corp. | (17,587 | ) | (302,321 | ) | ||||
California Resources Corp. (a) | (97,185 | ) | (97,185 | ) | ||||
Centennial Resource Development, Inc., Class A (a) | (1,823 | ) | (479 | ) | ||||
Cheniere Energy, Inc. (a) | (17,761 | ) | (594,994 | ) | ||||
Chevron Corp. | (461 | ) | (33,404 | ) | ||||
CNX Resources Corp. (a) | (98,904 | ) | (526,169 | ) | ||||
Concho Resources, Inc. | (6,404 | ) | (274,411 | ) | ||||
ConocoPhillips | (9,859 | ) | (303,657 | ) | ||||
Continental Resources, Inc. | (71,289 | ) | (544,648 | ) | ||||
Diamondback Energy, Inc. | (76,069 | ) | (1,993,008 | ) | ||||
EQT Corp. | (111,303 | ) | (786,912 | ) | ||||
Equitrans Midstream Corp. | (92,417 | ) | (464,858 | ) | ||||
Exxon Mobil Corp. | (48,451 | ) | (1,839,684 | ) | ||||
Hess Corp. | (15,690 | ) | (522,477 | ) | ||||
Magnolia Oil & Gas Corp., Class A (a) | (58,637 | ) | (234,548 | ) | ||||
Marathon Oil Corp. | (206,414 | ) | (679,102 | ) | ||||
Matador Resources Co. (a) | (254,977 | ) | (632,343 | ) | ||||
Murphy Oil Corp. | (100,923 | ) | (618,658 | ) | ||||
National Fuel Gas Co. | (26,245 | ) | (978,676 | ) | ||||
Noble Energy, Inc. | (99,961 | ) | (603,764 | ) | ||||
Occidental Petroleum Corp. | (83,474 | ) | (966,629 | ) | ||||
ONEOK, Inc. | (36,465 | ) | (795,302 | ) | ||||
Ovintiv, Inc. | (280,186 | ) | (760,461 | ) | ||||
Pioneer Natural Resources Co. | (7,188 | ) | (504,238 | ) | ||||
Range Resources Corp. | (96,793 | ) | (220,688 | ) | ||||
Rattler Midstream LP | (93,518 | ) | (325,443 | ) | ||||
Schlumberger, Ltd. | (25,908 | ) | (349,499 | ) | ||||
SM Energy Co. | (350,191 | ) | (427,233 | ) | ||||
Southwestern Energy Co. (a) | (494,867 | ) | (836,325 | ) | ||||
Targa Resources Corp. | (13,041 | ) | (90,113 | ) | ||||
WPX Energy, Inc. (a) | (10,340 | ) | (31,537 | ) | ||||
(19,069,801 | ) |
TIFF Multi-Asset Fund / schedule of investments (UNAUDITED)* |
March 31, 2020 |
Number of Shares | Value | |||||||
Personal Products — (0.0)% | ||||||||
Coty, Inc., Class A | (16,148 | ) | $ | (83,324 | ) | |||
Pharmaceuticals — (0.1)% | ||||||||
Catalent, Inc. (a) | (8,307 | ) | (431,549 | ) | ||||
Nektar Therapeutics (a) | (14,173 | ) | (252,988 | ) | ||||
Prestige Consumer Healthcare, Inc. (a) | (2,328 | ) | (85,391 | ) | ||||
(769,928 | ) | |||||||
Real Estate Investment Trusts (REITs) — (0.0)% | ||||||||
Colony Capital, Inc. | (89,156 | ) | (156,023 | ) | ||||
Taubman Centers, Inc. | (12,414 | ) | (519,898 | ) | ||||
(675,921 | ) | |||||||
Road & Rail — (0.0)% | ||||||||
Knight-Swift Transportation Holdings, Inc. | (9,304 | ) | (305,171 | ) | ||||
Semiconductors & Semiconductor Equipment — (0.1)% | ||||||||
Cabot Microelectronics Corp. | (594 | ) | (67,799 | ) | ||||
Cree, Inc. (a) | (3,627 | ) | (128,613 | ) | ||||
Marvell Technology Group, Ltd. | (18,777 | ) | (424,924 | ) | ||||
Microchip Technology, Inc. | (2,411 | ) | (163,466 | ) | ||||
MKS Instruments, Inc. | (1,130 | ) | (92,039 | ) | ||||
Skyworks Solutions, Inc. | (332 | ) | (29,674 | ) | ||||
(906,515 | ) | |||||||
Software — (0.1)% | ||||||||
2U, Inc. (a) | (3,221 | ) | (68,350 | ) | ||||
Coupa Software, Inc. (a) | (1,036 | ) | (144,760 | ) | ||||
Pluralsight, Inc., Class A (a) | (6,392 | ) | (70,184 | ) | ||||
RingCentral, Inc., Class A (a) | (1,538 | ) | (325,918 | ) | ||||
Zscaler, Inc. (a) | (3,962 | ) | (241,127 | ) | ||||
(850,339 | ) | |||||||
Specialty Retail — (0.0)% | ||||||||
Carvana Co. (a) | (4,869 | ) | (268,233 | ) | ||||
Five Below, Inc. (a) | (391 | ) | (27,519 | ) | ||||
Mattel, Inc. (a) | (10,232 | ) | (90,144 | ) | ||||
(385,896 | ) | |||||||
Textiles, Apparel & Luxury Goods — (0.0)% | ||||||||
Columbia Sportswear Co. | (1,156 | ) | (80,654 | ) | ||||
Under Armour, Inc., Class A (a) | (47,442 | ) | (436,941 | ) | ||||
(517,595 | ) |
TIFF Multi-Asset Fund / schedule of investments (UNAUDITED)* |
March 31, 2020 |
Number of Shares | Value | |||||||
Thrifts & Mortgage Finance — (0.0)% | ||||||||
LendingTree, Inc. (a) | (3,953 | ) | $ | (724,941 | ) | |||
Total US Common Stocks (Proceeds $66,415,219) | (56,128,631 | ) | ||||||
Foreign Common Stocks — (1.6)% | ||||||||
Bermuda — (0.0)% | ||||||||
Assured Guaranty, Ltd. | (662 | ) | (17,073 | ) | ||||
Canada — (0.5)% | ||||||||
Air Canada (a) | (22,100 | ) | (247,335 | ) | ||||
Alimentation Couche-Tard, Inc., Class B | (9,900 | ) | (233,202 | ) | ||||
ARC Resources, Ltd. | (342,424 | ) | (985,445 | ) | ||||
Canadian Natural Resources, Ltd. - NYSE Shares | (6,600 | ) | (90,279 | ) | ||||
Cenovus Energy, Inc. | (434,618 | ) | (877,080 | ) | ||||
Crescent Point Energy Corp. | (1,139,649 | ) | (882,696 | ) | ||||
Dollarama, Inc. | (8,200 | ) | (227,477 | ) | ||||
Enbridge, Inc. | (17,813 | ) | (518,707 | ) | ||||
Fortuna Silver Mines, Inc. (a) | (21,600 | ) | (49,729 | ) | ||||
Husky Energy, Inc. | (109,390 | ) | (275,166 | ) | ||||
Imperial Oil, Ltd. | (56,675 | ) | (640,730 | ) | ||||
Laurentian Bank of Canada | (12,800 | ) | (277,956 | ) | ||||
MAG Silver Corp. (a) | (26,200 | ) | (202,183 | ) | ||||
New Pacific Metals Corp. (a) | (32,100 | ) | (112,908 | ) | ||||
Peyto Exploration & Development Corp. | (282,212 | ) | (298,796 | ) | ||||
SilverCrest Metals, Inc. (a) | (57,800 | ) | (302,697 | ) | ||||
Teranga Gold Corp. (a) | (101,100 | ) | (496,412 | ) | ||||
(6,718,798 | ) | |||||||
Denmark — (0.1)% | ||||||||
Chr Hansen Holding A/S | (4,522 | ) | (339,287 | ) | ||||
Demant A/S (a) | (24,271 | ) | (538,690 | ) | ||||
Netcompany Group A/S (a) (f) | (12,196 | ) | (568,036 | ) | ||||
Novozymes A/S Shares - B | (15,325 | ) | (698,809 | ) | ||||
(2,144,822 | ) | |||||||
Finland — (0.1)% | ||||||||
Citycon Oyj | (82,811 | ) | (512,529 | ) | ||||
Stora Enso Oyj | (74,263 | ) | (753,732 | ) | ||||
TietoEVRY Oyj | (13,711 | ) | (298,184 | ) | ||||
(1,564,445 | ) |
TIFF Multi-Asset Fund / schedule of investments (UNAUDITED)* |
March 31, 2020 |
Number of Shares | Value | |||||||
Malta — (0.0)% | ||||||||
Catena Media plc (a) | (47,500 | ) | $ | (75,805 | ) | |||
Netherlands — (0.0)% | ||||||||
Core Laboratories NV | (3,342 | ) | (34,556 | ) | ||||
Royal Dutch Shell plc, Class A - SPADR | (19,466 | ) | (679,169 | ) | ||||
(713,725 | ) | |||||||
Norway — (0.1)% | ||||||||
Mowi ASA | (84,039 | ) | (1,280,955 | ) | ||||
Protector Forsikring ASA (a) | (55,440 | ) | (126,692 | ) | ||||
(1,407,647 | ) | |||||||
Sweden — (0.8)% | ||||||||
Alfa Laval AB | (24,700 | ) | (428,056 | ) | ||||
Attendo AB (f) | (58,736 | ) | (242,155 | ) | ||||
Avanza Bank Holding AB | (22,711 | ) | (189,516 | ) | ||||
Betsson AB (a) | (15,676 | ) | (63,028 | ) | ||||
Bure Equity AB | (13,468 | ) | (213,200 | ) | ||||
Byggmax Group AB (a) | (69,391 | ) | (164,164 | ) | ||||
Cellavision AB | (19,820 | ) | (489,566 | ) | ||||
Clas Ohlson AB, Class B | (43,399 | ) | (315,328 | ) | ||||
Cloetta AB, Class B | (91,443 | ) | (216,882 | ) | ||||
Embracer Group AB (a) | (41,894 | ) | (414,657 | ) | ||||
Epiroc AB, Class A | (33,400 | ) | (331,108 | ) | ||||
EQT AB (a) | (68,096 | ) | (810,943 | ) | ||||
Fastighets AB Balder, Class B (a) | (15,595 | ) | (560,245 | ) | ||||
Hexagon AB, Class B | (11,239 | ) | (479,383 | ) | ||||
Indutrade AB | (22,453 | ) | (610,466 | ) | ||||
Investment AB Latour Shares - B | (158,814 | ) | (2,263,498 | ) | ||||
Lifco AB, Class B | (10,596 | ) | (389,506 | ) | ||||
Recipharm AB, Class B | (17,205 | ) | (176,921 | ) | ||||
Samhallsbyggnadsbolaget i Norden AB | (207,461 | ) | (395,908 | ) | ||||
SkiStar AB | (71,323 | ) | (548,687 | ) | ||||
Swedbank AB, Class A | (55,390 | ) | (618,525 | ) | ||||
Thule Group AB (f) | (26,586 | ) | (462,892 | ) | ||||
Vitrolife AB | (29,808 | ) | (430,370 | ) | ||||
(10,815,004 | ) | |||||||
United Kingdom — (0.0)% | ||||||||
Amcor plc (a) | (50,264 | ) | (408,144 | ) | ||||
Capri Holdings, Ltd. (a) | (9,402 | ) | (101,448 | ) |
TIFF Multi-Asset Fund / schedule of investments (UNAUDITED)* |
March 31, 2020 |
Number of Shares | Value | |||||||
Melrose Industries plc | (19,750 | ) | $ | (22,304 | ) | |||
(531,896 | ) | |||||||
Total Foreign Common Stocks (Proceeds $26,230,249) | (23,989,215 | ) | ||||||
Total Common Stocks (Proceeds $92,645,468) | (80,117,846 | ) | ||||||
Total Securities Sold Short — (5.3)% (Proceeds $92,645,468) | $ | (80,117,846 | ) |
TIFF Multi-Asset Fund / schedule of investments (UNAUDITED)* |
March 31, 2020 |
Financial Futures Contracts
Number of Contracts | Expiration Date | Type | Initial Notional Value/ (Proceeds) | Notional Value at March 31, 2020 | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Long Financial Futures Contracts | ||||||||||||||||||
Interest Rate-Related | ||||||||||||||||||
200 | 06/19/2020 | 10-Year US Treasury Note | $ | 27,168,423 | $ | 27,737,500 | $ | 569,077 | ||||||||||
Equity-Related | ||||||||||||||||||
1,357 | 06/19/2020 | S&P 500 e-Mini Index | 177,901,592 | 174,354,145 | (3,547,447 | ) | ||||||||||||
831 | 06/19/2020 | MSCI EAFE | 62,878,092 | 64,788,915 | 1,910,823 | |||||||||||||
(1,636,624 | ) | |||||||||||||||||
(1,067,547 | ) | |||||||||||||||||
Short Financial Futures Contracts | ||||||||||||||||||
Equity-Related | ||||||||||||||||||
(539 | ) | 06/19/2020 | MSCI Emerging Markets | $ | (21,562,703 | ) | $ | (22,716,155 | ) | (1,153,452 | ) | |||||||
$ | (2,220,999 | ) |
Forward Currency Contracts
Contract Amount | ||||||||||||||||||||
Contract Settlement Date | Counterparty | Receive | Deliver | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
04/01/2020 | Morgan Stanley Capital Services, Inc. | USD | 1,363,360 | DKK | 9,150,000 | $ | 12,547 | |||||||||||||
04/01/2020 | Morgan Stanley Capital Services, Inc. | USD | 2,222,266 | EUR | 2,000,000 | 18,965 | ||||||||||||||
04/01/2020 | Morgan Stanley Capital Services, Inc. | USD | 7,187,771 | SEK | 69,450,000 | 179,310 | ||||||||||||||
04/29/2020 | Barclays Bank plc | USD | 6,286,582 | CNH | 42,516,000 | 286,676 | ||||||||||||||
04/30/2020 | Morgan Stanley Capital Services, Inc. | USD | 15,000,000 | CAD | 21,205,350 | (24,833 | ) | |||||||||||||
06/17/2020 | Barclays Bank plc | USD | 7,471,250 | CNH | 52,248,000 | 102,388 | ||||||||||||||
07/03/2020 | Goldman Sachs International | USD | 3,000,000 | CNH | 20,731,500 | 77,111 | ||||||||||||||
07/29/2020 | Goldman Sachs International | USD | 16,975,389 | CNH | 117,257,500 | 453,354 | ||||||||||||||
10/09/2020 | Goldman Sachs International | USD | 5,814,084 | CNH | 41,777,100 | (62,680 | ) | |||||||||||||
10/09/2020 | Barclays Bank plc | USD | 7,000,000 | CNH | 50,243,809 | (67,771 | ) | |||||||||||||
10/22/2020 | Goldman Sachs International | USD | 3,945,328 | CNH | 28,144,000 | (12,198 | ) | |||||||||||||
02/26/2021 | Barclays Bank plc | USD | 4,000,000 | CNH | 28,401,620 | 22,178 | ||||||||||||||
03/04/2021 | Barclays Bank plc | USD | 5,709,496 | CNH | 40,205,700 | 79,635 | ||||||||||||||
03/19/2021 | Goldman Sachs International | USD | 6,612,479 | CNH | 47,001,500 | 34,517 | ||||||||||||||
$ | 1,099,199 |
TIFF Multi-Asset Fund / schedule of investments (UNAUDITED)* |
March 31, 2020 |
Over-The-Counter Swap Contracts | ||||||||||||||||||||||||
Expiration Date | Counterparty | Floating Rate | Reference Entity | Currency | Payment Frequency Paid/Received | Notional Amount | Unrealized Appreciation | Unrealized (Depreciation) | ||||||||||||||||
Long Total Return Equity Swap Contracts | ||||||||||||||||||||||||
02/22/2022 | Morgan Stanley Capital Services LLC | 1 Month FEDL plus 1.25% (k) | EQM Midstream Partners LP | USD | Monthly | $ | 482,609 | $ | 61,422 | $ | — | |||||||||||||
02/22/2022 | Morgan Stanley Capital Services LLC | 1 Month FEDL plus 0.40% (k) | Goodrich Petroleum Corp. | USD | Monthly | 116,753 | 22,540 | — | ||||||||||||||||
02/22/2022 | Morgan Stanley Capital Services LLC | 1 Month FEDL plus 0.40% (k) | Parsley Energy, Inc. | USD | Monthly | 91,082 | 8,042 | — | ||||||||||||||||
$ | 92,004 | $ | — | |||||||||||||||||||||
Short Total Return Equity Swap Contracts | ||||||||||||||||||||||||
02/22/2022 | Morgan Stanley Capital Services LLC | 1 Month FEDL less 0.35% (k) | Energy Transfer LP | USD | Monthly | $ | (1,307,081 | ) | $ | 16,569 | $ | — | ||||||||||||
02/22/2022 | Morgan Stanley Capital Services LLC | 1 Month FEDL less 0.35% (k) | Enterprise Products Partners LP | USD | Monthly | (327,695 | ) | — | (20,352 | ) | ||||||||||||||
02/22/2022 | Morgan Stanley Capital Services LLC | 1 Month FEDL less 0.35% (k) | Magellan Midstream | USD | Monthly | (1,513,504 | ) | — | (225,053 | ) | ||||||||||||||
02/22/2022 | Morgan Stanley Capital Services LLC | 1 Month FEDL less 0.35% (k) | MPLX LP | USD | Monthly | (832,016 | ) | — | (53,970 | ) | ||||||||||||||
02/22/2022 | Morgan Stanley Capital Services LLC | 1 Month FEDL less 0.35% (k) | Viper Energy Partners LP | USD | Monthly | (1,729,421 | ) | 176,574 | — | |||||||||||||||
193,143 | (299,375 | ) | ||||||||||||||||||||||
$ | 285,147 | $ | (299,375 | ) | ||||||||||||||||||||
TIFF Multi-Asset Fund / schedule of investments (UNAUDITED)* |
March 31, 2020 |
Number of Contracts | Value | |||||||
Written Option Contracts — (0.1)% | ||||||||
Calls — (0.0)% | ||||||||
California Resources Corp., Notional Amount ($1,476,000), Strike Price $9 Expiring 05/15/2020 (United States) | (1,640 | ) | $ | (32,800 | ) | |||
Total Calls (Premiums received $130,745) | (32,800 | ) | ||||||
Puts — (0.1)% | ||||||||
Conocophillips, Notional Amount ($402,500), Strike Price $25 Expiring 04/17/2020 (United States) | (161 | ) | (11,270 | ) | ||||
Diamondback Energy, Inc., Notional Amount ($740,000), Strike Price $20 Expiring 04/17/2020 (United States) | (370 | ) | (32,190 | ) | ||||
Enterprise Products Partners LP, Notional Amount ($533,500), Strike Price $11 Expiring 04/17/2020 (United States) | (485 | ) | (14,550 | ) | ||||
Exxon Mobil Corp., Notional Amount ($849,000), Strike Price $30 Expiring 04/17/2020 (United States) | (283 | ) | (15,848 | ) | ||||
Halliburton Co., Notional Amount ($582,000), Strike Price $6 Expiring 04/17/2020 (United States) | (970 | ) | (44,620 | ) | ||||
Occidental Petroleum Corp., Notional Amount ($889,900), Strike Price $11 Expiring 04/17/2020 (United States) | (809 | ) | (93,035 | ) | ||||
Oneok, Inc., Notional Amount ($646,000), Strike Price $20 Expiring 04/17/2020 (United States) | (323 | ) | (46,835 | ) | ||||
Pioneer Natural Resources Co., Notional Amount ($414,000), Strike Price $60 Expiring 04/17/2020 (United States) | (69 | ) | (18,837 | ) | ||||
Targa Resources Corp., Notional Amount ($562,800), Strike Price $7 Expiring 04/17/2020 (United States) | (804 | ) | (96,480 | ) | ||||
Wpx Energy, Inc., Notional Amount ($715,200), Strike Price $8 Expiring 05/15/2020 (United States) | (894 | ) | (464,880 | ) | ||||
Total Puts (Premiums received $514,840) | (838,545 | ) | ||||||
Total Written Options (Premiums received $645,585) | $ | (871,345 | ) |
ADR | American Depositary Receipt |
CAD | Canadian Dollar |
CNH | Yuan Renminbi Offshore |
DKK | Danish Krone |
EAFE | Europe, Australasia, and Far East |
EUR | Euro |
FEDL | US Federal Funds Effective Rate |
GDR | Global Depositary Receipt |
MSCI | Morgan Stanley Capital International |
NYSE | New York Stock Exchange |
OTC | Over-the-Counter |
REIT | Real Estate Investment Trust |
SDR | Swedish Depositary Receipts |
SPADR | Sponsored ADR |
USD | US Dollar |
TIFF Multi-Asset Fund / schedule of investments (UNAUDITED)* |
March 31, 2020 |
* | Approximately 28% of the fund's total investments are maintained to cover "senior securities transactions" which may include, but are not limited to forwards, TBAs, options, futures, swaps, and securities sold short. These securities are marked-to-market daily and reviewed against the value of the fund's "senior securities" holdings to maintain proper coverage for the transactions. |
(a) | Non income-producing security. |
(b) | Security or a portion thereof is pledged as collateral for securities sold short. |
(c) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(d) | Security is valued in good faith under procedures established by the board of trustees. The aggregate amount of securities fair valued amounts to $193,248,308, which represents 12.9% of the fund's net assets. |
(e) | Restricted Securities. The following restricted securities were held by the fund as of March 31, 2020, and were valued in accordance with the Valuation of Investments as described in Note 2. Such securities generally may be sold only in a privately negotiated transaction with a limited number of purchasers. The fund will bear any costs incurred in connection with the disposition of such securities. The fund monitors the acquisition of restricted securities and, to the extent that a restricted security is illiquid, will limit the purchase of such a restricted security, together with other illiquid securities held by the fund, to no more than 15% of the fund’s net assets. All of the below securities are illiquid, with the exception of GSA Trend Fund, Ltd. and 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 trustees. 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. |
Investments | Investment Strategy | Date of Acquisition | Cost | Value | ||||||||||
Foreign Common Stocks | ||||||||||||||
SilverCrest Metals, Inc. | 12/30/19 | $ | 373,974 | $ | 302,697 | |||||||||
Preferred Stocks | ||||||||||||||
Synaptive Medical, Inc. | 12/17/19 | 129,999 | 185,713 | |||||||||||
Warrants | ||||||||||||||
Synaptive Medical, Inc. | 12/16/19 | — | 9,915 | |||||||||||
Private Investment Funds | ||||||||||||||
Canyon Value Realization Fund, LP | Multi-Strategy | 12/31/97 - 04/03/06 | 19,257,955 | 48,040,471 | ||||||||||
Eversept Global Healthcare Fund, LP | Long-Short Global Healthcare | 02/01/19 | 26,250,000 | 32,407,298 | ||||||||||
Farallon Capital Institutional Partners, LP | Multi-Strategy | 01/01/13 | 1,319,700 | 1,437,192 | ||||||||||
GSA Trend Fund, Ltd. | Trend Following | 09/01/16 - 12/01/16 | 15,388,913 | 13,969,261 | ||||||||||
Honeycomb Partners, LP | Long-Short Global | 07/01/16 - 07/01/17 | 38,602,753 | 56,444,268 | ||||||||||
Lansdowne Developed Markets Fund, Ltd. | Long-Short Global | 04/01/13 | 15,785,354 | 17,306,696 | ||||||||||
Neo Ivy Capital Fund, LP | Relative Value | 05/01/19 | 10,500,000 | 9,196,194 | ||||||||||
QVT Roiv Hldgs Onshore, Ltd. | Multi-Strategy | 01/05/16 | 2,469,102 | 6,558,743 | ||||||||||
185,360,123 | ||||||||||||||
Disputed Claims Receipt | ||||||||||||||
AMR Corp. | 12/09/13 | — | — | |||||||||||
Total (12.4% of Net Assets) | $ | 185,858,448 |
(f) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. These securities are generally determined to be liquid in accordance with procedures approved by the board of trustees. At March 31, 2020 the aggregate value of these securities was $4,250,845, which represents 0.3% of net assets. |
(g) | Security exempt from registration under Regulation S of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to investors outside the United States. |
(h) | Portfolio holdings information of the Private Investment Funds is not available as of March 31, 2020. These positions are therefore grouped into their own industry classification. For any private investment funds structured as a limited partnership, no share value is included as these investments are not unitized. |
(i) | Treasury bills and discount notes do not pay interest, but rather are purchased at a discount and mature at the stated principal amount. |
(j) | Security or a portion thereof is held as initial margin for financial futures contracts. |
(k) | The fund pays the floating rate. |
TIFF MULTI-ASSET FUND NOTES TO SCHEDULE OF INVESTMENTS (UNAUDITED) | March 31, 2020 |
1. Organization
TIFF Investment Program ("TIP") is a no-load, open-end management investment company that seeks to improve the net investment returns of its members through two investment vehicles, each with its own investment objective and policies. TIP was originally incorporated under Maryland law on December 23, 1993, and was reorganized, effective December 16, 2014, as a Delaware statutory trust. As of March 31, 2020, TIP consisted of two mutual funds, TIFF Multi-Asset Fund ("MAF" or the "fund") and TIFF Short-Term Fund, each of which is diversified, as defined in the Investment Company Act of 1940, as amended (the "1940 Act"). The schedule of investments and notes presented here relate only to MAF.
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 fund operates as a diversified investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
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
Fair value is defined as the price that the fund could reasonably expect to 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 fair value 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 fair value 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)
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 trustees (the "board").
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 Automated Quotations (‘‘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. The fund employs an international fair value pricing model using other observable market-based inputs 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 TIP Valuation Committee believes that a particular event would materially affect net asset value, further adjustment is considered. Securities which use the international pricing model are typically categorized as Level 2 for the fair value hierarchy and securities that do not use the international pricing model are typically categorized as Level 1.
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. Debt securities valuations are typically categorized as Level 2 for the fair value hierarchy.
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 and are typically categorized as Level 2 in the valuation hierarchy.
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. Short-term debt securities, which include repurchase agreements and US Treasury Bills, are typically categorized as Level 2 in the fair value hierarchy.
Exchange-traded option contracts are valued at the last quoted sales 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 written option contracts). Future 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 contracts). OTC open options contracts are normally valued at prices supplied by independent pricing services if those prices are deemed representative of market values at the close of the actively quoted markets. Exchange-traded contracts are typically categorized as Level 1 in the fair value hierarchy and OTC contracts are typically categorized as Level 2 in the fair value hierarchy.
Forward foreign currency contracts are valued at their respective fair market values and are typically categorized as Level 2 in the fair value hierarchy.
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 and are typically categorized as Level 1 in the fair value hierarchy.
MAF invests in total return equity swaps with Morgan Stanley Capital Services LLC as the counterparty. The total return equity swaps are valued at the last traded price of the reference entity net of interest and are typically categorized as Level 2 in the fair value hierarchy.
MAF invests in private investment funds that pursue certain alternative investment strategies. Private investment fund interests held by MAF are generally securities for which market quotations are not readily available. Rather, such interests generally can be sold back to the private investment fund only at specified intervals or on specified dates. The board has approved valuation procedures pursuant to which MAF values its interests in private investment funds at ‘‘fair value.’’ 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 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. Private investment fund valuations are categorized as Level 3 in the valuation hierarchy.
3. Investment Valuation and Fair Value Measurements
The following is a summary of the inputs used as of March 31, 2020 in valuing the fund’s assets and liabilities carried at fair value:
TIFF Multi-Asset Fund | ||||||||||||||||
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
Common Stocks*+ | $ | 475,666,390 | $ | 313,179,856 | $ | — | $ | 788,846,246 | ||||||||
Rights | — | 124,947 | — | 124,947 | ||||||||||||
Warrants | 82,825 | — | 9,915 | 92,740 | ||||||||||||
Corporate Bonds | — | 522,615 | — | 522,615 | ||||||||||||
US Treasury Bonds/Notes | — | 78,141,906 | — | 78,141,906 | ||||||||||||
Exchange-Traded Funds | 50,004,976 | — | — | 50,004,976 | ||||||||||||
Private Investment Funds | — | — | 185,360,123 | 185,360,123 | ||||||||||||
Preferred Stocks* | — | 1,355,231 | 185,713 | 1,540,944 | ||||||||||||
Disputed Claims Receipt+ | — | — | — | — | ||||||||||||
Short-Term Investments | — | 305,029,738 | — | 305,029,738 | ||||||||||||
Purchased Options | 1,080,971 | 1,224,342 | — | 2,305,313 | ||||||||||||
Total Investments in Securities | 526,835,162 | 699,578,635 | 185,555,751 | 1,411,969,548 | ||||||||||||
Financial Futures Contracts - Equity Risk | 1,910,823 | — | — | 1,910,823 | ||||||||||||
Financial Futures Contracts - Interest Rate Risk | 569,077 | — | — | 569,077 | ||||||||||||
Forward Currency Contracts - Foreign Currency Risk | — | 1,266,681 | — | 1,266,681 | ||||||||||||
Total Return Equity Swap Contracts - Equity Risk | — | 285,147 | — | 285,147 | ||||||||||||
Total Other Financial Instruments | 2,479,900 | 1,551,828 | — | 4,031,728 | ||||||||||||
Total Assets | $ | 529,315,062 | $ | 701,130,463 | $ | 185,555,751 | $ | 1,416,001,276 |
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Liabilities | ||||||||||||||||
Common Stocks Sold Short* | $ | (64,087,819 | ) | $ | (16,030,027 | ) | $ | — | $ | (80,117,846 | ) | |||||
Financial Futures Contracts - Equity Risk | (4,700,899 | ) | — | — | (4,700,899 | ) | ||||||||||
Forward Currency Contracts - Foreign Currency Risk | — | (167,482 | ) | — | (167,482 | ) | ||||||||||
Total Return Equity Swap Contracts - Equity Risk | — | (299,375 | ) | — | (299,375 | ) | ||||||||||
Written Options - Equity Risk | (871,345 | ) | — | — | (871,345 | ) | ||||||||||
Total Other Financial Instruments | (5,572,244 | ) | (466,857 | ) | — | (6,039,101 | ) | |||||||||
Total Liabilities | $ | (69,660,063 | ) | $ | (16,496,884 | ) | $ | — | $ | (86,156,947 | ) |
* | Securities categorized as Level 2 primarily include listed foreign equities whose value has been adjusted with factors to reflect changes to foreign markets after market close. | |||||||||
+ | There are securities in this category that have a market value of zero and are categorized as Level 3. | |||||||||
During the period endedMarch 31, 2020, there were no significant transfers to or from Level 3 investments.
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, 2019 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers in to Level 3 | Transfers out of Level 3 | Balance as of March 31, 2020 | Net Change in Unrealized Appreciation (Depreciation) from Investments still held as of 03/31/20 for the period ended 03/31/20 | |||||||||||||||||||||||||||
Common Stocks* | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | ||||||||||||||||||
Preferred Stocks | 185,713 | - | - | - | - | - | - | 185,713 | - | |||||||||||||||||||||||||||
Rights | 173,197 | - | - | - | - | - | (173,197 | ) | - | - | ||||||||||||||||||||||||||
Warrants | 10,771 | - | (856 | ) | - | - | - | - | 9,915 | (856 | ) | |||||||||||||||||||||||||
Private Investment Funds | 246,374,573 | 7,711,821 | (22,482,371 | ) | - | (46,243,900 | ) | - | - | 185,360,123 | (22,482,371 | ) | ||||||||||||||||||||||||
Disputed Claims Receipt* | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||
Total | $ | 246,744,254 | $ | 7,711,821 | $ | (22,483,227 | ) | $ | - | $ | (46,243,900 | ) | $ | - | $ | (173,197 | ) | $ | 185,555,751 | $ | (22,483,227 | ) |
*There are securities 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 board, 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 board on a quarterly basis.
The following is a summary of the procedures and significant unobservable inputs used in Level 3 investments:
Common Stocks, Preferred Stocks, Rights, Warrants and Disputed Claims Receipt.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 board. Such procedures use fundamental valuation methods, which may include, but are not limited to, an 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. In most cases, 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.
The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets were as follows:
As ofMarch 31, 2020 | Fair Value | Valuation Methodology | Significant Unobservable Inputs | Range | Weighted Average* | |||||||||||
Common Stock | $ | — | Last market price | Discount(%) | 100 | % | 100 | % | ||||||||
Preferred Stocks | 185,713 | Recent transaction price | Recent transaction price | $ | 2.50 | $ | 2.50 | |||||||||
Warrants | 9,915 | Black-Scholes pricing model | Volatility | 35.00 | % | 35.00 | % | |||||||||
Private Investment Funds | 185,360,123 | Adjusted net asset value | Manager estimated returns | (22.26)% - 3.53% | (4.58 | )% | ||||||||||
Market returns** | (17.80)% - 0.71% | 0.14 | % | |||||||||||||
Disputed Claims Receipt | — | Corporate Action Model | Future Claim Awards | 0.00 | % | 0.00 | % |
* Weighted by market value of investments as a percentage of the total market value of level three investments within
each valuation methodology.
** Weighted by estimated exposure to chosen indices, exchange-traded funds, other marketable securities or other proxy.
The following are descriptions of the measurement uncertainty of the Level 3 recurring fair value measurements to changes in the significant unobservable inputs presented in the table above:
Common Stocks, Preferred Stocks, Rights, Warrants, and Disputed Claims Receipt.The chart above reflects the methodology and significant unobservable inputs of securities held at period endedMarch 31, 2020. The discounts or estimates for lack of marketability and estimate of future claims used to determine fair value may include other factors such as liquidity, volitility, or credit risk. An increase (decrease) in the discount or estimate of future claims would result in a lower (higher) fair value measurement.
Private Investment Funds.The range of manager 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 endedMarch 31, 2020. A significant increase (decrease) in the estimates received from the manager of the private investment funds would result in a significantly higher (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 (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 | Redemption Notice Period | ||||||||
Multi-Strategy (a) | $ | 56,036,406 | daily (86%) | 2 days | ||||||
Long-Short Global Healthcare (b) | 32,407,298 | quarterly | 45 days | |||||||
Trend Following (c) | 13,969,261 | daily | 2 days | |||||||
Long-Short Global (d) | 73,750,964 | monthly (23)% quarterly (77)% | 60 - 90 days | |||||||
Relative Value (e) | 9,196,194 | quarterly | 30 days | |||||||
Total | $ | 185,360,123 |
(a) This strategy primarily comprises capital allocated to various strategies based on risk and return profiles. This strategy includes $7,995,935 of redemption residuals.
(b) This strategy primarily comprises long and short positions in global healthcare securities.
(c) This strategy primarily comprises long and short investments in commodity, equity index, currency, and fixed income futures, based on trailing price movements.
(d) This strategy primarily comprises long and short positions in global common stocks.
(e) This strategy primarily comprises long and short positions in US large-cap common stocks selected using artificial intelligence.
4. Derivative and Other Financial Instruments
During the period ended March 31, 2020, the fund invested in derivatives, such as but not limited to futures, currency forwards, purchased and written options, and total return equity and basket 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’s or the money manager’s general understanding of how derivative instruments act in relation to referenced securities or markets but also on market conditions, which are out of control of TAS or the money manager.
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 may use futures contracts, generally in one of three ways: (1) to gain exposures, both long and short, to the total returns of broad equity indices, globally; (2) to gain 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.
Futures contracts involve varying degrees of risk. Such risks include the imperfect correlation between the price of a derivative and that of the underlying security and the possibility of an illiquid secondary market for these securities. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instrument at a set price for delivery at a future date. At the time a futures contract is purchased or sold, the fund must allocate cash or securities as a deposit payment (‘‘initial margin’’). An outstanding futures contract is valued daily, and the payment in cash of ‘‘variation margin’’ will be required, a process known as ‘‘marking to the market.’’ Each day, the fund will be required to provide (or will be entitled to receive) variation margin in an amount equal to any decline (in the case of a long futures position) or increase (in the case of a short futures position) in the contract’s value since the preceding day. The daily variation margin is recorded as a receivable or payable on the Statement of Assets and Liabilities. When the contracts are closed, a realized gain or loss is recorded as net realized gain (loss) from financial futures contracts in the Statement of Operations, equal to the difference between the opening and closing values of the contracts.
US futures contracts have been designed by exchanges that have been designated as ‘‘contract markets’’ by the Commodity Futures Trading Commission 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 may 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 may use swaps and generally uses them in the following ways: (1) to gain exposures, both long and short, to the total returns of broad equity indices; (2) to gain exposure, both long and short, to the total returns of individual equities and bonds; and (3) to gain long-term exposures to the total returns of selected investment strategies. While swaps falling into the first and third categories 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.
At the end of the period, the fund maintained long and short total return equity swap contracts to indirectly gain exposure to both long and short total returns of individual equities.
Generally, swap agreements are contracts between a fund and another party (the swap counterparty) involving the exchange of payments on specified terms over periods ranging from a few days to multiple years. A swap agreement may be negotiated bilaterally and traded OTC between the two parties (for an uncleared swap) or, in some instances, must be transacted through a Futures Commission Merchant and cleared through a clearinghouse that serves as a central counterparty (for a cleared swap). In a basic swap transaction, the fund agrees with the swap counterparty to exchange the returns (or differentials in rates of return) and/or cash flows earned or realized on a particular ‘‘notional amount’’ or value of predetermined underlying reference instruments. The notional amount is the set dollar or other value selected by the parties to use as the basis on which to calculate the obligations that the parties to a swap agreement have agreed to exchange. The parties typically do not actually exchange the notional amount. Instead they agree to exchange the returns that would be earned or realized if the notional amount were invested in given investments or at given interest rates. Examples of returns that may be exchanged in a swap agreement are those of a particular security, a particular fixed or variable interest rate, a particular non-US currency, or a ‘‘basket’’ of securities representing a particular index or portfolio of securities and other instruments. Swaps can also be based on credit and other events.
A 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 with respect to a particular swap agreement are netted out, with the fund receiving or paying, as the case may be, only the net difference in the two payments. The fund’s obligations (or rights) under a swap agreement that is entered into on a net basis will generally be the net amount to be paid or received under the agreement based on the relative values of the obligations of each party upon termination of the agreement or at set valuation dates. The fund will accrue its obligations under a swap agreement daily (offset by any amounts the counterparty owes the fund). If the swap agreement does not provide for that type of netting, the full amount of the fund’s obligations will be accrued on a daily basis.
Cleared swaps are subject to mandatory central clearing. Central clearing is designed to reduce counterparty credit risk and increase liquidity compared to bilateral swaps because central clearing interposes the central clearinghouse as the counterparty to each participant’s swap, but it does not eliminate those risks completely and may involve additional costs and risks not involved with uncleared swaps.
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. In some instances, the independent amount can be a significant percentage of the notional amount. 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. Other risks may apply if an independent amount has been posted.
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. 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.
Options
The fund generally uses options to hedge a portion (but not all) of the downside risk in its long or short equity 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 security. When writing a put option, the risk to the fund is equal to the notional value of the position.
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 net of the premium received by the fund for the sale of the put option. 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 covered by the underlying instrument that is subject to the call, the 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 counter-parties 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 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.
Forward Currency Contracts
At times, 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.
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
At times, 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 fund is required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash collateral deposited at the fund’s custodian for the benefit of the broker is recorded as Deposits with broker for securities sold
short on the Statements of Assets and Liabilities. Securities segregated as collateral are denoted on the Schedule of Investments. 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.
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.
Derivative Disclosure
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 March 31, 2020. These derivatives are not accounted for as hedging instruments.
The following table lists the fair values of the fund's derivative holdings as of March 31, 2020, grouped by contract type and risk exposure category:
Derivative Type | Statement of Assets and Liability and Location | Foreign Currency Risk | Quarterly Average %* | Equity Risk | Quarterly Average %* | Interest Rate Risk | Quarterly Average %* | Total | ||||||||||||||||||||||
Purchased Options | Investments in securities, at value | $ | — | — | % | $ | 2,305,313 | 0.09 | % | $ | — | — | % | $ | 2,305,313 | |||||||||||||||
Total Return Equity Swap Contracts | Unrealized appreciation on swap contracts | — | — | % | 285,147 | 0.02 | % | — | — | % | 285,147 | |||||||||||||||||||
Forward Currency Contracts | Unrealized appreciation on forward currency contracts | 1,266,681 | 0.08 | % | — | — | % | — | — | % | 1,266,681 | |||||||||||||||||||
Financial Futures Contracts | Due from broker for futures variation margin** | — | — | % | 1,910,823 | 0.12 | % | 569,077 | 0.02 | % | 2,479,900 | |||||||||||||||||||
Total Value - Assets | $ | 1,266,681 | $ | 4,501,283 | $ | 569,077 | $ | 6,337,041 | ||||||||||||||||||||||
Written Options | Written option, at value | $ | — | — | % | $ | (871,345 | ) | 0.04 | % | $ | — | — | % | $ | (871,345 | ) | |||||||||||||
Total Return Equity Swap Contracts | Unrealized depreciation on swap contracts | — | — | % | (299,375 | ) | 0.02 | % | — | — | % | (299,375 | ) | |||||||||||||||||
Forward Currency Contracts | Unrealized depreciation on forward currency contracts | (167,482 | ) | 0.02 | % | — | — | % | — | — | % | (167,482 | ) | |||||||||||||||||
Financial Futures Contracts | Due to broker for futures variation margin** | — | % | — | (4,700,899 | ) | 0.17 | % | — | 0.01 | % | (4,700,899 | ) | |||||||||||||||||
Total Value – Liabilities | $ | (167,482 | ) | $ | (5,871,619 | ) | $ | — | $ | (6,039,101 | ) |
* The Quarterly Average % is a representation of the volume of derivative activity. Quarterly Average % was calculated as follows: At each quarter end from and including December 31, 2019 to and including March 31, 2020, the absolute value of the applicable fair value amount was divided by net assets to derive a percentage of net assets for each quarter end. The Quarterly Average % amount represents the average of these two percentages.
** Includes appreciation (depreciation) on the date the contracts are opened through March 31, 2020. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.
5. Federal Tax Information
For federal income tax purposes, the cost of investments owned at March 31, 2020 has been estimated since the final tax characteristic cannot be determined until subsequent to fiscal year end. As of March 31, 2020, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives) for U.S. federal income tax purposes were as follows:
Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation) | Tax Cost of Investments | |||||||||||
$ | 159,569,374 | $ | (329,423,256 | ) | $ | (169,853,882 | ) | $ | 1,499,938,199 |
The difference between the tax cost of investments and the cost of investments for GAAP purposes is primarily due to the tax treatment of wash sale losses, mark to market on derivatives, mark to market on passive foreign investment companies, total return swaps, partnerships, and tax adjustments related to holding offsetting positions such as constructive sales.
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 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 March 31, 2020.
6. 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.
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.
The following table presents the fund’s repurchase agreements net of amounts available for offset and net of the related collateral received as of March 31, 2020:
Counterparty | Assets Subject to a Netting Provision or Similar Arrangement | Liabilities Available for Offset | Collateral Received | Net Amount | ||||||||||||
Fixed Income Clearing Corp. | $ | 155,063,527 | $ | — | $ | (155,063,527 | ) | $ | — | |||||||
Total | $ | 155,063,527 | $ | — | $ | (155,063,527 | ) | $ | — |
Please see Note 4, Derivatives and Other Financial Instruments, for further discussion of netting provisions and similar arrangements.
7. 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 US, 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 small capitalization stocks. These investments may entail different risks than larger capitalizations stocks, including potentially lesser degrees of liquidity.
The fund may engage in short sales in which it sells a security it does not own. To complete such a transaction, the fund must borrow or otherwise obtain the security to make delivery to the buyer. The fund then is obligated to replace the borrowed security by purchasing the security at the market price at the time of replacement. The price at such time may be more or less than the price at which the security was sold by the fund. The fund’s investment performance will suffer if a security that it has sold short appreciates in value.
8. Subsequent Events
Early in 2020, global markets have experienced periods of high volatility triggered by the rapidly evolving public health emergency known as coronavirus (“COVID-19”). As the situation continues to unfold, the extent and duration of the impact that the COVID-19 outbreak may have on financial markets and the economy as a whole remains highly uncertain. If the effects of the COVID-19 outbreak on financial markets and the economy continue for an extended period of time, the fund’s investment results may be adversely affected. Management has evaluated the possibility of these subsequent events and has determined that there are no material events that would require disclosure.
TIFF Short-Term Fund / schedule of investments(UNAUDITED) |
March 31, 2020 |
Principal Amount | Value | |||||||
Investments — 100.9% of net assets | ||||||||
Short-Term Investments — 100.9% | ||||||||
Repurchase Agreement — 1.6% | ||||||||
Fixed Income Clearing Corp. issued on 03/31/20 (proceeds at maturity $1,267,970) (collateralized by US Treasury Notes, due 07/31/21 with a total par value of $1,265,000 and a total market value of $1,295,204), 0.000%, 04/01/20 (Cost $1,267,970) | $ | 1,267,970 | $ | 1,267,970 | ||||
US Treasury Bills (a) — 99.3% | ||||||||
US Treasury Bill, 1.591%, 05/28/20 | 13,000,000 | 12,967,809 | ||||||
US Treasury Bill, 1.563%, 06/04/20 | 5,000,000 | 4,999,356 | ||||||
US Treasury Bill, 1.547%, 06/11/20 | 11,000,000 | 10,998,015 | ||||||
US Treasury Bill, 1.563%, 06/18/20 | 2,000,000 | 1,999,598 | ||||||
US Treasury Bill, 1.589%, 06/25/20 | 1,000,000 | 999,843 | ||||||
US Treasury Bill, 1.573%, 07/02/20 | 3,000,000 | 2,999,233 | ||||||
US Treasury Bill, 1.537%, 07/09/20 | 5,000,000 | 4,998,948 | ||||||
US Treasury Bill, 1.548%, 07/23/20 | 2,000,000 | 1,999,490 | ||||||
US Treasury Bill, 1.558%, 08/06/20 | 3,000,000 | 2,999,098 | ||||||
US Treasury Bill, 1.537%, 08/20/20 | 20,000,000 | 19,993,146 | ||||||
US Treasury Bill, 0.005%, 09/17/20 | 5,000,000 | 4,998,621 | ||||||
US Treasury Bill, 0.081%, 09/24/20 | 9,000,000 | 8,995,864 | ||||||
Total US Treasury Bills (Cost $78,731,349) | 78,949,021 | |||||||
Total Short-Term Investments (Cost $79,999,319) | 80,216,991 | |||||||
Total Investments — 100.9% (Cost $79,999,319) | 80,216,991 | |||||||
Liabilities in Excess of Other Assets — (0.9)% | (700,351 | ) | ||||||
Net Assets — 100.0% | $ | 79,516,640 |
(a) | Treasury bills do not pay interest, but rather are purchased at a discount and mature at the stated principal amount. |
TIFF SHORT-TERM FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED) | MARCH 31, 2020 |
1. Organization
TIFF Investment Program ("TIP") is a no-load, open-end management investment company that seeks to improve the net investment returns of its members through two investment vehicles, each with its own investment objective and policies. TIP was originally incorporated under Maryland law on December 23, 1993, and was reorganized, effective December 16, 2014, as a Delaware statutory trust. As ofMarch 31, 2020, TIP consisted of two mutual funds, TIFF Multi-Asset Fund and TIFF Short-Term Fund ("STF" or the "fund"), each of which is diversified, as defined in the Investment Company Act of 1940, as amended (the "1940 Act"). The schedule of investments and notes presented here relate only to STF.
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 fund operates as a diversified investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification Topic 946 Financial Services - Investment Companies.
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
Fair value is defined as the price that the fund could reasonable expect to 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 fair value 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 fair value 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)
Short-term debt securities having a remaining maturity of less than 60 days are valued at amortized cost using straight-line amortization, which approximates fair value, and short-term debt securities having a remaining maturity of greater than 60 days are valued at their market value. Short-term debt securities are typically categorized as Level 2 in the fair value hierarchy.
During the period ended March 31, 2020, all of the fund’s investments were valued using Level 2 inputs; therefore, there were no transfers to or from Level 3 investments.
3. Federal Tax Information
For federal income tax purposes, the cost of investments owned at March 31, 2020 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 March 31, 2020, are as follows:
Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation | Cost | |||||||||||
$ | 219,583 | $ | (1,911 | ) | $ | 217,672 | $ | 79,999,319 |
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 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 March 31, 2020.
4. Repurchase Agreements
The fund will engage in repurchase transactions under the terms of master repurchase agreements 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.
Counterparty | Assets Subject to a Netting Provision or Similar Arrangement | Liabilities Available for Offset | Collateral Received | Net Amount | ||||||||||||
Fixed Income Clearing Corp. | $ | 1,267,970 | $ | — | $ | (1,267,970 | ) | $ | — | |||||||
Total | $ | 1,267,970 | $ | — | $ | (1,267,970 | ) | $ | — |
5. 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.
From time to time, a fund may have members that hold significant portions of the fund’s outstanding shares. Investment activities of such members could have a material impact on the fund. As of March 31, 2020, TAS, the advisor to the fund, owned 36% of STF.
6. Subsequent Events
Early in 2020, global markets have experienced periods of high volatility triggered by the rapidly evolving public health emergency known as coronavirus (“COVID-19”). As the situation continues to unfold, the extent and duration of the impact that the COVID-19 outbreak may have on financial markets and the economy as a whole remains highly uncertain. If the effects of the COVID-19 outbreak on financial markets and the economy continue for an extended period of time, the fund’s investment results may be adversely affected. Management has evaluated the possibility of these subsequent events and has determined that there are no material events that would require disclosure.