UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-21730

THE ENDOWMENT TEI FUND, L.P.
(Exact name of registrant as specified in charter)

4265 SAN FELIPE, SUITE 900, HOUSTON, TX 77027
(Address of principal executive offices) (Zip code)

A. HAAG SHERMAN
THE ENDOWMENT TEI FUND, L.P.
4265 SAN FELIPE, SUITE 900, HOUSTON, TX 77027
(Name and address of agent for service)

Registrant's telephone number, including area code: 800-725-9456

Date of fiscal year end: 12/31/06

Date of reporting period: 06/30/06

Form N-CSR is to be used by management investment companies to file reports
with the Commission not later than 10 days after the transmission to
stockholders of any report that is required to be transmitted to stockholders
under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
The Commission may use the information provided on Form N-CSR in its regulatory,
disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form
N-CSR, and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. Section 3507.

ITEM 1. REPORTS TO STOCKHOLDERS.

(THE ENDOWMENT FUND LOGO)

THE ENDOWMENT TEI FUND, L.P.

SHAREHOLDER'S REPORT

June 30, 2006
(Unaudited)

THE ENDOWMENT TEI FUND, L.P.
(A LIMITED PARTNERSHIP)

STATEMENT OF ASSETS, LIABILITIES, AND PARTNERS' CAPITAL
JUNE 30, 2006
(UNAUDITED)

<Table>

ASSETS
Investments in the Endowment Offshore TEI Fund, at estimated fair
value............................................................ $31,955,079
Cash and cash equivalents.......................................... 728,900
Prepaid contributions to Master Fund............................... 5,666,000
Prepaids and other assets.......................................... 57,881
-----------
Total assets..................................................... 38,407,860
===========

LIABILITIES AND PARTNERS' CAPITAL
Subscriptions received in advance.................................. 6,394,900
Accounts payable and accrued expenses.............................. 73,631
-----------
Total liabilities................................................ 6,468,531
-----------
Partners' capital.................................................. 31,939,329
-----------
Total liabilities and partners' capital.......................... $38,407,860
===========

</Table>

See accompanying notes to financial statements.

THE ENDOWMENT TEI FUND, L.P.
(A LIMITED PARTNERSHIP)

STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2006
(UNAUDITED)

<Table>

Net investment loss allocated from the Offshore TEI Fund:
Interest and dividend income...................................... $ 30,688
Expenses.......................................................... (114,643)
---------
Net investment loss allocated from the Offshore TEI Fund....... (83,955)
---------
Expenses of the Fund:
Insurance expense................................................. 5,800
Directors fees.................................................... 2,185
Legal Expenses.................................................... 9,012
Servicing fees.................................................... 95,191
Servicing fees waived............................................. (95,191)
Other expenses.................................................... 16,701
---------
Total expenses of the Fund..................................... (33,698)
---------
Net investment loss................................................. (117,653)
---------
Net realized and unrealized gain from investment transactions
allocated from the Offshore TEI Fund:
Net realized gain from investments................................ 226,500
Net unrealized gain from investments.............................. 308,152
---------
Net gain from investment transactions allocated from the
Offshore TEI Fund............................................ 534,652
---------
Net increase in partners' capital resulting from operations.... $ 416,999
=========

</Table>

See accompanying notes to financial statements.

THE ENDOWMENT TEI FUND, L.P.
(A LIMITED PARTNERSHIP)

STATEMENT OF CHANGES IN PARTNERS' CAPITAL
SIX MONTHS ENDED JUNE 30, 2006 (UNAUDITED) AND
THE PERIOD FROM MARCH 17, 2005 (INCEPTION) THROUGH DECEMBER 31, 2005

<Table>

Contributions...................................................... $11,298,189
Net increase in partners' capital resulting from operations:
Net investment loss.............................................. (251,327)
Net realized gain from investments............................... 101,895
Net unrealized gain from investments............................. 955,218
-----------
Net increase in partners' capital resulting from operations... 805,786
-----------
Partners' capital at December 31, 2005............................. 12,103,975
-----------
Contributions...................................................... 19,418,355
Net increase in partners' capital resulting from operations:
Net investment loss.............................................. (117,653)
Net realized gain from investments............................... 226,500
Net unrealized gain from investments............................. 308,152
-----------
Net increase in partners' capital resulting from operations... 416,999
-----------
Partners' capital at June 30, 2006................................. $31,939,329
===========

</Table>

See accompanying notes to financial statements.

THE ENDOWMENT TEI FUND, L.P.
(A LIMITED PARTNERSHIP)

STATEMENT OF CASH FLOWS

SIX MONTHS ENDED PERIOD ENDED
JUNE 30, 2006 DECEMBER 31, 2005*
---------------- ------------------
(UNAUDITED)

Cash flow from operating activities:
Net increase in partners' capital resulting from
operations..................................... $ 416,999 $ 805,786
Adjustments to reconcile net increase in partners'
capital resulting from operations to net cash
used in operating activities:
Net gain from investment transactions allocated
from the Offshore TEI Fund................... (534,652) (1,057,113)
Net investment loss allocated from the Offshore
TEI Fund..................................... 83,955 55,720
Contributions to Master Fund................... (19,421,656) (11,397,082)
Distributions from Master Fund................. 199,154 116,595
Increase in prepaid contributions to Master
Fund......................................... (5,666,000) --
Increase in prepaids and other assets.......... (56,081) (1,800)
Increase in subscriptions received in advance.. 5,824,900 570,000
(Decrease) Increase in payable to Adviser...... (157,185) 157,185
Increase in accounts payable and accrued
expenses..................................... 51,111 22,520
------------ ------------
Net cash used in operating activities........ (19,259,455) (10,728,189)
------------ ------------
Cash flow from financing activities:
Contributions from partners....................... 19,418,355 11,298,189
------------ ------------
Net cash provided by financing activities.... 19,418,355 11,298,189
------------ ------------
Net increase in cash and cash equivalents........... 158,900 570,000
Cash and cash equivalents at beginning of period.... 570,000 --
------------ ------------
Cash and cash equivalents at end of period.......... $ 728,900 $ 570,000
============ ============

</Table>

- --------

* Represents the period from March 17, 2005 (Inception) through December 31,
2005.

See accompanying notes to financial statements.

THE ENDOWMENT TEI FUND, L.P.
(A LIMITED PARTNERSHIP)

NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2006
(UNAUDITED)

(1) ORGANIZATION

The Endowment TEI Fund, L.P. (the "Fund"), is a limited partnership
organized under the laws of the state of Delaware. The Fund was registered and
began operations on March 17, 2005 ("Inception") as a nondiversified, closed-end
management investment company under the Investment Company Act of 1940 (the
"1940 Act"). The Fund is a feeder fund in a master-feeder structure. The Fund
will invest substantially all of its assets in The Endowment (Offshore TEI)
Fund, Ltd. (the "Offshore TEI Fund"), which will in turn invest all of its
assets in The Endowment Master Fund, L.P. (the "Master Fund"), which has the
same investment objectives as the Offshore TEI Fund and the Fund. For
convenience, reference to the Fund may include the Master Fund, as the context
requires.

The Fund's investment objective is to preserve capital and to generate
consistent long-term appreciation and returns across all market cycles. The Fund
pursues its investment objective by investing substantially all of its assets in
the Offshore TEI Fund which will in turn invest all of its assets in the Master
Fund. The Master Fund invests its assets in a variety of investment vehicles
including but not limited to limited partnerships and limited liability
companies (collectively, the "Investment Funds"), registered investment
companies and direct investments in marketable securities and derivative
instruments. The Master Fund is a "fund of funds" and is intended to afford
investors the ability to invest in a multi-manager portfolio, exhibiting a
variety of investment styles and philosophies, in an attempt to achieve positive
risk-adjusted returns over an extended period of time. The Fund's investments
are managed by a select group of investment managers identified by the Adviser,
as hereinafter defined, to have investments that when grouped with other
investments of the Fund result in a portfolio that is allocated broadly across
markets, asset classes, and risk profiles. The Master Fund's financial
statements, footnotes and schedule of investments, included elsewhere in this
report, are an integral part of the Fund's financial statements that should be
read in conjunction with this report. The activity originating at the Offshore
TEI Fund level is included in the Fund's statement of operations. However, since
the total allocation of such activity is inconsequential, the financial
statements for the Offshore TEI Fund are not included separately herein. The
percentage of the Master Fund's partnership interests owned indirectly by the
Fund on June 30, 2006 was 6.93%.

The Endowment Fund GP, L.P., a Delaware limited partnership, serves as the
general partner of the Fund (the "General Partner"). To the fullest extent
permitted by applicable law, the General Partner has irrevocably delegated to a
board of directors (the "Board" and each member a "Director"), its rights and
powers to monitor and oversee the business affairs of the Fund, including the
complete and exclusive authority to oversee and establish policies regarding the
management, conduct and operation of the Fund's business. A majority of the
members of the Board are independent of the General Partner and its management.
To the extent permitted by applicable law, the Board may delegate any of its
rights, powers and authority to, among others, the officers of the Fund, the
Adviser, or any committee of the Board.

The Board is authorized to engage an investment adviser and it has selected
Endowment Advisers, L.P. (the "Adviser"), to manage the Fund's portfolio and
operations, pursuant to an investment management agreement (the "Investment
Management Agreement"). The Adviser is a Delaware limited partnership that is
registered as an investment adviser under the Investment Advisers Act of 1940
(the "Advisers Act"). Under the Investment Management Agreement, the Adviser is
responsible for the establishment of an investment committee (the "Investment
Committee"), which is responsible for developing, implementing, and supervising
the Fund's investment program subject to the ultimate supervision of the Board.
In addition to investment advisory services, the Adviser also functions as the
servicing agent of the Fund (the "Servicing Agent") and as such provides or
procures investor services and administrative assistance to the Fund. The
Adviser can delegate all or a portion of its duties as Servicing Agent to other
parties, who would in turn act as sub-servicing agents.

THE ENDOWMENT TEI FUND, L.P.
(A LIMITED PARTNERSHIP)

NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2006 (CONTINUED)
(UNAUDITED)

(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES AND PRACTICES

(a) BASIS OF ACCOUNTING

The accompanying financial statements have been presented on the accrual
basis of accounting in conformity with U.S. generally accepted accounting
principles.

(b) CASH EQUIVALENTS

The Fund considers all unpledged temporary cash investments with a maturity
date at the time of purchase of three months or less to be cash equivalents.

The Fund records security transactions on a trade-date basis.

Securities that are held by the Fund, including those that have been sold
but not yet purchased, are marked to estimated fair value at the date of the
financial statements, and the corresponding unrealized gain or loss is included
in the statement of operations.

Realized gains or losses on the disposition of investments are accounted
for based on the first in first out ("FIFO") method.

Distributions received from investments, whether in the form of cash or
securities, are applied as a reduction of the cost of the investment.

(d) VALUATION OF INVESTMENTS

The valuation of the Fund's investments will be determined as of the close
of business at the end of any fiscal period, generally monthly. The valuation of
the Fund's investments is generally calculated by BISYS Fund Services Ohio, Inc.
("BISYS"), the Fund's independent administrator (the "Independent
Administrator") in consultation with the Adviser. The valuation procedures of
the Fund's underlying investments are reviewed by a committee approved by the
Board that was established to oversee the valuation of the Fund's investments
(the "Valuation Committee"), in consultation with the Adviser and the
Independent Administrator. The net assets of the Fund will equal the value of
the total assets of the Fund, less all of its liabilities, including accrued
fees and expenses.

The Fund invests (indirectly through the Offshore TEI Fund) substantially
all of its assets in the Master Fund. Investments in the Master Fund are
accounted for using the equity method, which approximates fair value. Valuation
of the investments held by the Master Fund is discussed in the notes to the
Master Fund financial statements included elsewhere in this report.

(e) INTEREST AND DIVIDEND INCOME

Dividend income is recorded on the ex-dividend date. Interest income is
recorded as earned on the accrual basis.

(f) FUND EXPENSES

Unless voluntarily or contractually assumed by the Adviser or another
party, the Fund bears all expenses incurred in its business, directly or
indirectly through its investment in the Master Fund, including but not limited
to, the following: all costs and expenses related to investment transactions and
positions for the Fund's account; legal

THE ENDOWMENT TEI FUND, L.P.
(A LIMITED PARTNERSHIP)

NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2006 (CONTINUED)
(UNAUDITED)

fees; accounting, auditing and tax preparation fees; recordkeeping and custodial
fees; costs of computing the Fund's net asset value; fees for data and software
providers; research expenses; costs of insurance; registration expenses; certain
offering costs; expenses of meetings of the partners; directors fees; all costs
with respect to communications to partners; and other types of expenses as may
be approved from time to time by the Board. Offering costs are amortized over a
twelve-month period or less from the date they are incurred.

(g) INCOME TAXES

The Fund itself is not subject to federal, state, or local income taxes
because such taxes are the responsibility of the individual partners in the
Fund. Accordingly, no provision for income taxes has been made in the Fund's
financial statements.

(h) USE OF ESTIMATES

The preparation of the financial statements in accordance with U.S.
generally accepted accounting principles requires management to make estimates
and assumptions relating to the reported amounts of assets and liabilities and
the disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of income and expenses during the reporting
period. Actual results could differ from those estimates.

(i) ORGANIZATIONAL EXPENSES

The Fund's organizational expenses (the "Organizational Expenses") were
initially borne by the Adviser or an affiliate thereof and for capital account
allocation purposes assumed to be reimbursed, over a 60 month period of time,
notwithstanding that such Organizational Expenses were expensed in accordance
with U.S. generally accepted accounting principles for Fund reporting purposes
upon commencement of operations.

(3) PARTNERS' CAPITAL ACCOUNTS

(a) ISSUANCE OF INTERESTS

Upon receipt from an eligible investor of an application for interests (the
"Interests"), which will generally be accepted as of the first day of each
month, the Fund will issue new Interests. The Interests have not been registered
under the Securities Act of 1933, as amended (the "Securities Act"), or the
securities laws of any state. The Fund issues Interests only in private
placement transactions in accordance with Regulation D or other applicable
exemptions under the Securities Act. No public market exists for the Interests,
and none is expected to develop. The Fund is not required, and does not intend,
to hold annual meetings of its partners. The Interests are subject to
substantial restrictions on transferability and resale and may not be
transferred or resold except as permitted under the Fund's limited partnership
agreement (the "LP Agreement"). The Fund reserves the right to reject any
applications for Interests. The $6,394,900 in subscriptions received in advance
as of June 30, 2006 represents subscriptions for Fund Interests received prior
to the July 2006 closing.

(b) ALLOCATION OF PROFITS AND LOSSES

For each fiscal period, generally monthly, net profits or net losses of the
Fund, including allocations from the Master Fund, are allocated among and
credited to or debited against the capital accounts of all partners as of the
last day of each fiscal period in accordance with the partners' respective
investment ownership percentages for the fiscal period. Net profits or net
losses are measured as the net change in the value of the net assets of the
Fund, including any net change in unrealized appreciation or depreciation of
investments and income, net of expenses, and realized

THE ENDOWMENT TEI FUND, L.P.
(A LIMITED PARTNERSHIP)

NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2006 (CONTINUED)
(UNAUDITED)

gains or losses during a fiscal period. Net profits or net losses are allocated
after giving effect for any repurchases of Interests or initial or additional
applications for Interests, which generally occur at the beginning of the month.

A partner will not be eligible to have the Fund repurchase all or any
portion of an Interest at any time prior to the business day immediately
preceding the one-year anniversary of the partner's purchase of such Interest
(or portion thereof) without incurring additional costs including an early
repurchase fee. The Adviser, which also serves as the investment adviser of the
Master Fund, expects that it will recommend to the Board that the Fund offer to
repurchase such Interests each calendar quarter, pursuant to written tenders by
partners. However, the Board retains the sole discretion to accept or reject the
recommendation of the Adviser and to determine the amount of Interests, if any,
that will be purchased in any tender offer that it does approve. Since the
Fund's assets are invested in the Offshore TEI Fund which is in turn invested in
the Master Fund, the ability of the Fund to redeem its Interests in the Offshore
TEI Fund and Master Fund would be subject to the repurchase policies of these
funds. In addition, the Fund may determine not to conduct a repurchase offer
each time the Offshore TEI Fund and the Master Fund conduct a repurchase offer.
In the event Interests are redeemed, there will be a substantial period of time
between the date as of which partners must tender their Interests for repurchase
and the date they can expect to receive payment for their Interests from the
Fund.

(4) INVESTMENTS IN PORTFOLIO SECURITIES

As of June 30, 2006, all of the investments made by the Fund were in the
Master Fund (via the Offshore TEI Fund).

(5) FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK

In the normal course of business, the Investment Funds in which the Fund
may invest either directly or through its investment in the Offshore TEI Fund
which in turn invests in the Master Fund will trade various derivative
securities and other financial instruments, and enter into various investment
activities with off-balance sheet risk both as an investor and as a principal.
The Fund's risk of loss in these Investment Funds is limited to the Fund's pro-
rata share of the value of the investment in such Investment Funds as held by
the Master Fund. In addition, the Master Fund may from time to time invest
directly in derivative securities or other financial instruments to gain greater
or lesser exposure to a particular asset class.

(6) ADMINISTRATION AGREEMENT

In consideration for administrative, accounting, and recordkeeping
services, the Master Fund will pay the Independent Administrator a monthly
administration fee (the "Administration Fee") based on the month end net assets
of the Master Fund. The Master Fund is charged, on an annual basis, 8 basis
points on Master Fund net assets of up to $100 million, 7 basis points on Master
Fund net assets between the amounts of $100 million and $250 million and 6 basis
points for amounts over $250 million. The asset based fees are assessed based on
month end net assets and are payable monthly in arrears. The Independent
Administrator will also provide the Master Fund with legal, compliance, transfer
agency, and other investor related services at an additional cost.

The fees for Fund administration will be paid out of the Master Fund's
assets, which will decrease the net profits or increase the net losses of the
partners in the Fund.

THE ENDOWMENT TEI FUND, L.P.
(A LIMITED PARTNERSHIP)

NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2006 (CONTINUED)
(UNAUDITED)

(7) RELATED PARTY TRANSACTIONS

(a) INVESTMENT MANAGEMENT FEE

In consideration of the advisory and other services provided by the Adviser
to the Master Fund, pursuant to the Investment Management Agreement, the Master
Fund will pay the Adviser an investment management fee (the "Investment
Management Fee"), equal to 1% on an annualized basis of the Master Fund's net
assets, calculated based on the NAV at the end of each month, payable quarterly
in arrears. So long as the Fund invests all of its investable assets in the
Offshore TEI Fund, which in turn invests all of its investable assets in the
Master Fund, the Fund will not pay the Adviser directly an Investment Management
Fee; however, the Fund's partners bear an indirect portion of the investment
management fee paid by the Master Fund through its ownership in the Offshore TEI
Fund. The Investment Management Fee will decrease the net profits or increase
the net losses of the Master Fund and indirectly the Offshore TEI Fund and the
Fund as the fees reduce the capital accounts of the Master Fund's limited
partners.

(b) SERVICING FEE

In consideration for providing or procuring investor services and
administrative assistance to the Fund, the Adviser will receive a servicing fee
(the "Servicing Fee") equal to 1% (on an annualized basis) of each partner's
capital account balance, calculated at the end of each month, payable quarterly
in arrears.

The Adviser has chosen to waive the Servicing Fee since Inception of the
Fund and will continue to do so at least until such time as the collective net
asset value of all 1940 Act feeders investing in the Master Fund exceeds $40
million and the initial offering costs of the Fund have been fully amortized.
Since Inception, all Servicing Fees have been waived by the Adviser.

The Fund may engage one or more placement agents (each, a "Placement
Agent") to solicit investments in the Fund. Sanders Morris Harris, Inc. ("SMH"),
an affiliate of the General Partner and the Adviser, has been engaged to serve
as a Placement Agent. SMH is a full-service investment banking, broker-dealer,
asset management and financial services organization. A Placement Agent may
engage one or more sub-placement agents. The Adviser or its affiliates may pay a
fee out of their own resources to Placement Agents and sub-placement agents.

(8) INDEBTEDNESS OF THE FUND

Pursuant to the Fund L.P. Agreement, the Fund may borrow up to, but not
more than, 10% of the net assets of the Fund (at the time such borrowings were
made and after taking into account the investment and/or deployment of such
proceeds) for the purpose of making investments, funding redemptions and for
other working capital and general Fund purposes. For purposes of the Fund's
investment restrictions and certain investment limitations under the 1940 Act,
including for example, the Fund's leverage limitations, the Fund will not "look
through" Investment Funds in which the Fund invests. Investment Funds may also
use leverage, whether through borrowings, futures, or other derivative products
and are not subject to the Fund's investment restrictions. However, such
borrowings by Investment Funds are without recourse to the Fund and the Fund's
risk of loss is limited to its pro rata share of such Investment Funds (held
through its investment in the Offshore TEI Fund, which invests directly in the
Master Fund), other than for some Investment Funds in which the Master Fund has
made a capital commitment. For some Investment Funds in which the Master Fund
has made a capital commitment that will be funded over a period of time, such as
private equity and real estate funds, the Master Fund, in certain instances, may
commit to fund up to

THE ENDOWMENT TEI FUND, L.P.
(A LIMITED PARTNERSHIP)

NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2006 (CONTINUED)
(UNAUDITED)

twice its initial capital commitment. The rights of any lenders to the Fund to
receive payments of interest or repayments of principal will be senior to those
of the partners, and the terms of any borrowings may contain provisions that
limit certain activities of the Fund.

(9) FINANCIAL HIGHLIGHTS

PERIOD
SIX MONTHS ENDED MARCH 17, 2005
JUNE 30, 2006 (INCEPTION) TO
(UNAUDITED) DECEMBER 31, 2005*
---------------- ------------------

Net investment loss to average partners'
capital(1,2)................................ (1.24)% (3.97)%
Expenses to average partners' capital(1,2).... 1.56% 4.62%
Portfolio turnover(3)......................... 13.66% 12.65%
Total return(4)............................... 4.30% (3.08)%
Partners' capital, end of period.............. $31,939,329 $12,103,975
</Table>

* The above calculations reflect the waiver of the Servicing Fees since
Inception of the Fund.

An investor's return (and operating ratios) may vary from those reflected based
on the timing of capital transactions.

- --------

(1) Ratios are calculated by dividing by average partners' capital measured at
the end of the each month during the period. Ratios include allocations of
net investment loss and expenses from the Offshore TEI Fund and Master
Fund. These ratios have been annualized.

(2) Had the Servicing Fee waiver not been in effect, the annualized ratios for
net investment loss to average partners' capital capital would have been
(2.24%) and (4.99%) for 2006 and 2005, respectively. Without the Servicing
Fee waiver, the annualized ratios for expenses to average partners'
capital would have been 2.56% and 5.64% for 2006 and 2005, respectively.

(3) The Fund is invested exclusively in the Offshore TEI Fund which in turn is
invested solely in the Master Fund, therefore the ratio reflects the
portfolio turnover of the Master Fund, which in 2005 is for a full year.

(4) Calculated as geometrically linked monthly returns for each month in the
period. For the period ended December 31, 2005, the reported total return
is negatively impacted by the write off of both the Fund's organization
costs and the Offshore TEI Fund's organization costs, which occur at the
inception of the Fund's operations in accordance with U.S. generally
accepted accounting principles. This treatment for U.S. generally accepted
accounting principles results in a negative total return for the Fund
despite the increase during the period in partners' capital resulting from
operations. Had these costs not been included as an expense at inception
for the purposes of the total return calculation and were instead
amortized over 60 months as they are being handled for capital allocation
purposes, the total return would have been 8.70% for the 2005 period.

THE ENDOWMENT TEI FUND, L.P.
(A LIMITED PARTNERSHIP)

SUPPLEMENTAL INFORMATION (UNAUDITED)
JUNE, 30, 2006

DIRECTORS AND OFFICERS

The Fund's operations are managed under the direction and oversight of the
Board. Each Director serves for an indefinite term or until he or she reaches
mandatory retirement, if any, as established by the Board. The Board appoints
the officers of the Fund who are responsible for the Fund's day-to-day business
decisions based on policies set by the Board. The officers serve at the pleasure
of the Board.

COMPENSATION FOR DIRECTORS

The Fund, the Registered Fund and the TEI Fund together currently pay each
Independent Director an annual fee of $10,000, which is paid quarterly, a fee of
$2,500 per Board meeting, and a $500 fee per meeting for each member on the
audit committee. In the interest of retaining Independent Directors of high
quality, the Board intends to periodically review such compensation and may
modify it as the Board deems appropriate.

ALLOCATION OF INVESTMENTS

The following chart indicates the allocation of investments among the asset
classes in the Master Fund as of June 30, 2006.

ASSET CLASS(1) FAIR VALUE %
- -------------- ----------- ------

Domestic Equity........................................ 67,437,397 14.63%
International Equity................................... 92,506,438 20.06%
Opportunistic Equity................................... 48,277,533 10.47%
Absolute Return........................................ 64,207,407 13.93%
Real Estate............................................ 22,946,520 4.98%
Natural Resources...................................... 55,847,208 12.11%
Private Equity......................................... 27,534,147 5.97%
Fixed Income........................................... 23,610,335 5.12%
Enhanced Fixed Income.................................. 58,714,694 12.73%
----------- ------
Total Investments...................................... 461,081,679 100.00%
=========== ======

</Table>

- --------

(1) The complete list of investments included in the following asset class
categories are included in the schedule of investments of the Master Fund.

(2) The International Equity asset class includes the value of a put option on
the MSCI Emerging Markets Index.

FORM N-Q FILINGS

The Fund files a complete schedule of portfolio holdings with the
Securities and Exchange Commission for the first and third quarters of each
fiscal year on Form N-Q. The Fund's Form N-Q is available on the Securities and
Exchange Commission website at http://www.sec.gov. The Fund's Form N-Q may be
reviewed and copied at the Securities and Exchange Commission Public Reference
Room in Washington, DC and information regarding operation of the Public
Reference Room may be obtained by calling 1-800-SEC-0330.

PROXY VOTING POLICIES

A description of the policies and procedures that the Fund uses to
determine how to vote proxies relating to portfolio securities is available (i)
without charge, upon request, by calling 1-800-725-9456; and (ii) on the
Securities and Exchange Commission website at http://www.sec.gov.

THE ENDOWMENT TEI FUND, L.P.
(A LIMITED PARTNERSHIP)

SUPPLEMENTAL INFORMATION (UNAUDITED)
JUNE, 30, 2006 (CONTINUED)

Information regarding how the Fund voted proxies relating to portfolio
securities during the most recent 12-month period ended June 30 is available (i)
without charge, upon request, by calling 1-800-725-9456; and (ii) on the
Securities and Exchange Commission website at http://www.sec.gov.

ADDITIONAL INFORMATION

The Fund's private placement memorandum (the "PPM") includes additional
information about directors of the Fund. The PPM is available, without charge,
upon request by calling 1-800-725-9456.

This Page Intentionally Left Blank

LOGO

THE ENDOWMENT MASTER FUND, L.P.

SHAREHOLDER'S REPORT

June 30, 2006
(Unaudited)

THE ENDOWMENT MASTER FUND, L.P.
(A LIMITED PARTNERSHIP)

STATEMENT OF ASSETS, LIABILITIES, AND PARTNERS' CAPITAL
JUNE 30, 2006
(UNAUDITED)

<Table>

ASSETS
Investments in Investment Funds, at estimated fair value (cost
$342,120,554)................................................... $409,630,501
Investments in securities, at value (cost $42,169,232)............ 51,451,178
------------
Total investments (cost $384,289,786)........................... 461,081,679
Cash and cash equivalents......................................... 9,743,193
Prepaid contributions to Investment Funds......................... 22,651,885
Interest and dividends receivable................................. 288,721
Prepaids and other assets......................................... 96,656
------------
Total assets.................................................... 493,862,134
============
LIABILITIES AND PARTNERS' CAPITAL
Subscriptions received in advance................................. 28,308,627
Redemptions payable............................................... 2,720,475
Management fees payable........................................... 1,122,855
Offshore withholding tax payable.................................. 281,321
Administration fees payable....................................... 49,951
Accounts payable and accrued expenses............................. 50,205
------------
Total liabilities............................................... 32,533,434
------------
Paid in capital................................................... 384,536,807
Net unrealized gain from investments.............................. 76,791,893
------------
Partners' capital............................................... 461,328,700
------------
Total liabilities and partners' capital......................... $493,862,134
============

</Table>

See accompanying notes to financial statements.

THE ENDOWMENT MASTER FUND, L.P.
(A LIMITED PARTNERSHIP)

SCHEDULE OF INVESTMENTS
JUNE 30, 2006 (UNAUDITED)

% OF
SHARES/ PARTNERS'
PAR VALUE* FAIR VALUE CAPITAL
---------- ------------ ---------

Investments in Investment Funds
Limited Partnerships and Limited Liability
Companies
British Virgin Islands
Real Estate (0.07% of Partners' Capital)
Patron Capital, L.P. II..................... $ 303,476
------------
Total British Virgin Islands............. 303,476
------------
Cayman Islands
Domestic Equity (1.77% of Partners' Capital)
Tiedmann-Falconer Partners, L.P. ........... 8,146,432
International Equity (0.49% of Partners'
Capital)
SR Phoenicia Fund -- Phoenicia (Class A,
L.P.).................................... 2,268,885
Natural Resources (0.83% of Partners' Capital)
Ospraie Special Opportunities (Offshore),
Ltd. .................................... 3,809,272
------------
Total Cayman Islands..................... 14,224,589
------------
United States
Absolute Return (11.30% of Partners' Capital)
Black River Commodity Multi-Strategy Fund,
LLC...................................... 5,013,500
Black River Global Multi-Strategy Leveraged
Fund, LLC................................ 11,887,160
Courage Special Situations Fund, (Class C,
L.P.).................................... 7,356,539
Harbert Arbitrage Fund, L.P. ............... 7,755
Highland Credit Strategies Fund, L.P. ...... 2,024,844
HomeField Partners, L.P. ................... 1,878,078
OZ Asia Domestic Partners, L.P. ............ 10,188,642
PIPE Equity Partners, LLC................... 13,543,632
Silverback Partners, L.P. .................. 226,428
Domestic Equity (12.85% of Partners' Capital)
Bonanza Partners, L.P. ..................... 7,101,128
Caduceus Capital II, L.P. .................. 7,428,559
CCM Small Cap Value Qualified Fund, L.P. ... 903,413
Contrarian Equity Fund, L.P. ............... 5,159,872
Copper Arch Fund, L.P. ..................... 6,286,021
Criterion Institutional Partners, L.P. ..... 2,412,357
GMO U.S. Aggressive Long/Short Fund
(Onshore)................................ 1,499,923
Leaf Investment Partners, L.P. ............. 5,579,938
Raptor Global Fund, L.P. ................... 8,666,089
Shumway Equity Fund, L.P. .................. 6,204,874
Tiger Consumer Partners, L.P. .............. 8,048,790
Enhanced Fixed Income (11.75% of Partners'
Capital)
Arx Global High Yield Securities Fund I
L.P. .................................... 8,082,714
</Table>

See accompanying notes to financial statements.

THE ENDOWMENT MASTER FUND, L.P.
(A LIMITED PARTNERSHIP)

SCHEDULE OF INVESTMENTS
JUNE 30, 2006 (UNAUDITED) -- (CONTINUED)

<Table>
<Caption>
% OF
SHARES/ PARTNERS'
PAR VALUE* FAIR VALUE CAPITAL
---------- ------------ ---------

BDC Partners I, L.P. ....................... $ 15,807,151
Contrarian Capital Fund I, L.P. ............ 7,939,813
Greylock Global Opportunity Fund, L.P. ..... 7,629,452
Harbinger Capital Partners Fund I, L.P. .... 9,563,810
Ore Hill, L.P. ............................. 5,202,741
International Equity (16.17% of Partners'
Capital)
Avenue Asia Equity Investments, L.P. ....... 1,074,035
Boyer Allan Pacific Partners, L.P. ......... 9,603,024
The Explorador Fund, L.P. .................. 5,965,603
Gradient Europe Fund, L.P. ................. 6,537,385
L-R Global Partners, L.P. .................. 2,221,573
Monsoon India Inflection Fund 2, L.P. ...... 1,687,912
SR Global Fund -- Asia Portfolio (Class B,
L.P.).................................... 6,607,758
SR Global Fund -- Europe Portfolio (Class A,
L.P.).................................... 1,935,325
SR Global Fund -- International Portfolio
(Class C, L.P.).......................... 10,044,550
SR Global Fund -- Emerging Markets Portfolio
(Class G, L.P.).......................... 9,375,521
Steel Partners Japan, L.P. ................. 7,498,075
Taiyo Fund, L.P. ........................... 3,150,518
Torrey Pines Fund, LLC...................... 8,918,338
Natural Resources (8.09% of Partners' Capital)
BP Capital Energy Equity Fund Master II,
L.P. .................................... 9,914,857
The Ospraie Fund, L.P. ..................... 12,725,802
Southport Energy Plus Partners, L.P. ....... 3,322,412
Tocqueville Gold Partners, L.P. ............ 268,750
Treaty Oak Partners, L.P. .................. 11,083,465
Opportunistic Equity (10.46% of Partners'
Capital)
AQR Absolute Return Institutional Fund,
L.P. .................................... 5,949,124
Bear Stearns Emerging Macro Fund, L.P. ..... 2,150,200
Global Undervalued Securities Fund.......... 10,425,131
GMO Mean Reversion Fund (Onshore)........... 9,842,102
Jetstream Global Institutional Fund, L.P. .. 4,579,218
Maverick Fund USA, Ltd. .................... 5,804,253
Pantera Global Macro Fund, L.P. ............ 3,383,577
Pardus European Special Opportunities Fund,
L.P. .................................... 1,973,800
Prism Partners QP, L.P. .................... 4,170,129
</Table>

See accompanying notes to financial statements.

THE ENDOWMENT MASTER FUND, L.P.
(A LIMITED PARTNERSHIP)

SCHEDULE OF INVESTMENTS
JUNE 30, 2006 (UNAUDITED) -- (CONTINUED)

<Table>
<Caption>
% OF
SHARES/ PARTNERS'
PAR VALUE* FAIR VALUE CAPITAL
---------- ------------ ---------

Private Equity (4.92% of Partners' Capital)
BDCM Opportunity Fund II, L.P. ............. $ 428,865
Brazos Equity Fund II, L.P. ................ 467,650
Cap Royalty Partners L.P. .................. 209,750
Crosslink Crossover Fund IV, L.P. .......... 5,020,443
Private Equity Investors, L.P. ............. 1,077,778
Protege Partners, L.P. ..................... 4,713,928
Q Investments............................... 8,730,135
Sanderling Venture VI Co-Investment Fund,
L.P. .................................... 255,681
Sanderling Venture VI, L.P. ................ 218,276
Sterling Capital Partners II, L.P. ......... 388,685
Sterling Group Partners II, L.P. ........... 270,405
Venture Capital Fund of America............. 923,839
Real Estate (4.74% of Partner's Capital)
Aslan Realty Partners III, LLC.............. 496,475
Clarion CRA Hedge Fund, L.P. ............... 2,499,681
Clarion Global Fund, L.P. .................. 1,092,173
Mercury Special Situations Fund............. 4,953,628
MONY/Transwestern Realty Partners II........ 997,521
NL Ventures V, L.P. ........................ 3,000,000
Security Capital, L.P. ..................... 5,527,338
Wells Street Partners, LLC.................. 3,304,673
------------
Total United States...................... 370,432,584
------------
Scotland
Private Equity (0.09% of Partners' Capital)
Actis Umbrella Fund, L.P. .................. 398,426
------------
Total Scotland........................... 398,426
------------
Total Limited Partnerships and Limited
Liability Companies (Cost
$322,583,142).......................... 385,359,075 83.53%
Passive Foreign Investment Corporations
Republic of Mauritius
International Equity (1.68% of Partners'
Capital)
Boyer Allan India Fund, Inc. ............... 24,201 3,097,218
India Capital Fund Ltd. A2 Shares........... 2,396 4,663,094
------------
Total Republic of Mauritius.............. 7,760,312
------------
Total Passive Foreign Investment
Corporations (Cost $5,000,000)......... 7,760,312 1.68%
</Table>

See accompanying notes to financial statements.

THE ENDOWMENT MASTER FUND, L.P.
(A LIMITED PARTNERSHIP)

SCHEDULE OF INVESTMENTS
JUNE 30, 2006 (UNAUDITED) -- (CONTINUED)

<Table>
<Caption>
% OF
SHARES/ PARTNERS'
PAR VALUE* FAIR VALUE CAPITAL
---------- ------------ ---------

Bermuda Exempted Mutual Fund Company
Private Equity (0.96% of Partners' Capital)
Highland CDO Opportunity Fund............... $ 4,430,284
------------
Total Bermuda Exempted Mutual Fund
Company (Cost $4,000,000).............. 4,430,284 0.96%
------------
Cayman Company Limited by Shares
Absolute Return (2.62% of Partners' Capital)
Overseas CAP Partners, Inc. ................ 9,617 12,080,830
------------
Total Cayman Company Limited by Shares
(Cost $10,537,412)..................... 12,080,830 2.62%
------------
Total Investments in Investment Funds
(Cost $342,120,554).................... 409,630,501
Investments in Securities
Registered Investment Companies
United States
Enhanced Fixed Income (0.97% of Partners'
Capital)
GMO International Bond III.................. 4,348 4,489,012
Fixed Income (0.81% of Partners' Capital)
Wasatch Hoisington US Treasury Fund......... 283,915 3,727,803
International Equity (1.36% of Partners'
Capital)
GMO Emerging Markets Fund III............... 224,401 6,286,356
Natural Resources (3.19% of Partners' Capital)
State Street Research Global Resources
Fund..................................... 194,127 14,722,649
Real Estate (0.17% of Partner's Capital)
ING International Real Estate Fund.......... 27,778 282,778
Morgan Stanley Institutional
Fund -- International Real Estate
Portfolio................................ 17,813 488,778
------------
Total United States...................... 29,997,376
------------
Total Registered Investment Companies
(Cost $20,656,828)..................... 29,997,376 6.50%
Closed End Funds
United States
Financial (0.74% of Partners' Capital)
Aberdeen Asia-Pacific Income Fund, Inc. .... 8,200 48,954
Blackrock Broad Investment Grade 2009 Term
Trust.................................... 12,500 188,875
Blackrock Income Opportunity Trust.......... 47,400 465,468
Ishares Trust............................... 9,850 1,019,180
MFS Government Markets Income Trust......... 85,700 538,196
Morgan Stanley Government Income Trust...... 60,200 514,710
</Table>

See accompanying notes to financial statements.

THE ENDOWMENT MASTER FUND, L.P.
(A LIMITED PARTNERSHIP)

SCHEDULE OF INVESTMENTS
JUNE 30, 2006 (UNAUDITED) -- (CONTINUED)

<Table>
<Caption>
% OF
SHARES/ PARTNERS'
PAR VALUE* FAIR VALUE CAPITAL
---------- ------------ ---------

Putnam Premier Income Trust................. 85,171 $ 511,878
Western Asset/Claymore United States
Treasury Fund............................ 10,300 114,741
------------
Total United States...................... 3,402,002
------------
Total Closed End Funds (Cost
$3,633,803)............................ 3,402,002 0.74%
Fixed Income
United States
Treasuries (0.79% of Partners' Capital)
Treasury Inflation Protected Securities,
1.875%, 7/15/13.......................... $275,000 289,837
Treasury Inflation Protected Securities,
2.00%, 7/15/14........................... 150,000 154,415
Treasury Inflation Protected Securities,
1.875%, 7/15/15.......................... 300,101 284,756
Treasury Inflation Protected Securities,
3.625%, 4/15/28.......................... 250,000 369,661
United States Treasury Bonds, 5.250%,
2/15/29.................................. 765,000 761,653
United States Treasury Notes, 4.50%,
2/15/06.................................. 500,000 475,703
United States Treasury Notes, 4.75%,
3/31/11.................................. 500,000 492,481
United States Treasury Notes, 4.125%,
5/15/15.................................. 860,000 798,557
Agencies (0.93% of Partners' Capital)
Federal Home Loan Mortgage Corp., Pool
E74790, 5.00%, 2/1/14.................... 72,284 69,688
Federal Home Loan Mortgage Corp., Pool
E75753, 5.50%, 3/1/14.................... 34,775 34,177
Federal Home Loan Mortgage Corp., Series
2750, Class OB, 4.00%, 7/15/15........... 201,000 195,670
Federal Home Loan Mortgage Corp., Pool
E92286, 5.00%, 11/1/17................... 19,799 19,102
Federal Home Loan Mortgage Corp., Pool
E95383, 5.00%, 2/1/18.................... 77,216 74,496
Federal Home Loan Mortgage Corp., Pool
E94694, 5.50%, 2/1/18.................... 15,316 15,047
Federal Home Loan Mortgage Corp., Pool
B10507, 4.50%, 10/1/18................... 36,055 34,102
Federal Home Loan Mortgage Corp., Pool
B14009, 5.00%, 5/1/19.................... 69,999 67,527
Federal Home Loan Mortgage Corp, Pool
C77936, 5.50%, 2/01/33................... 55,474 53,507
Federal Home Loan Mortgage Corp., Pool
A10760, 5.50%, 6/1/33.................... 12,123 11,696
Federal Home Loan Mortgage Corp., Pool
80749, 5.12%, 10/20/33................... 377,090 380,027
Federal Home Loan Mortgage Corp., Pool
A16536, 5.50%, 12/1/33................... 54,339 52,423
</Table>

See accompanying notes to financial statements.

THE ENDOWMENT MASTER FUND, L.P.
(A LIMITED PARTNERSHIP)

SCHEDULE OF INVESTMENTS
JUNE 30, 2006 (UNAUDITED) -- (CONTINUED)

<Table>
<Caption>
% OF
SHARES/ PARTNERS'
PAR VALUE* FAIR VALUE CAPITAL
---------- ------------ ---------

Federal Home Loan Mortgage Corp., Pool
C01812, 5.50%, 4/1/34.................... $301,855 $ 291,208
Federal National Mortgage Association, Pool
380839, 6.12%, 11/1/08................... 295,523 296,216
Federal National Mortgage Association, Pool
254188, 5.50%, 1/1/09.................... 114,859 113,912
Federal National Mortgage Association, Pool
545210, 5.93%, 10/1/11................... 204,051 205,520
Federal National Mortgage Association, Pool
730353, 4.50%, 7/1/18.................... 30,392 28,793
Federal National Mortgage Association, Pool
767658, 5.00%, 2/1/19.................... 152,262 146,979
Federal National Mortgage Association, Pool
803745, 6.00%, 7/1/19.................... 499,253 495,821
Federal National Mortgage Association, Pool
415971, 6.00%, 11/1/28................... 41,248 40,800
Federal National Mortgage Association, Pool
699436, 7.00%, 2/1/33.................... 13,969 14,313
Federal National Mortgage Association, Pool
689659, 6.00%, 3/1/33.................... 33,897 33,467
Federal National Mortgage Association, Pool
698979, 5.50%, 4/1/33.................... 97,610 94,178
Federal National Mortgage Association, Pool
555528, 6.00%, 4/1/33.................... 21,119 20,864
Federal National Mortgage Association, Pool
723874, 5.50%, 7/1/33.................... 24,822 23,945
Federal National Mortgage Association, Pool
767299, 5.50%, 1/1/34.................... 82,843 79,919
Federal National Mortgage Association, Pool
777737, 5.00%, 5/1/34.................... 133,878 125,545
Federal National Mortgage Association, Pool
778316, 5.50%, 6/1/34.................... 338,768 326,251
Federal National Mortgage Association, Pool
783382, 6.00%, 8/1/34.................... 113,329 111,768
Government National Mortgage Association,
Pool 451883, 6.00%, 7/15/28.............. 58,391 58,099
Government National Mortgage Association,
Series 2004-78, Class C, 4.658%,
4/16/29.................................. 250,000 234,546
Government National Mortgage Association,
Pool 488259, 6.50%, 8/15/29.............. 21,258 21,582
Government National Mortgage Association,
Pool 501012, 6.50%, 4/15/31.............. 2,974 3,015
Government National Mortgage Association,
Pool 603650, 6.00%, 4/15/33.............. 11,792 11,713
</Table>

See accompanying notes to financial statements.

THE ENDOWMENT MASTER FUND, L.P.
(A LIMITED PARTNERSHIP)

SCHEDULE OF INVESTMENTS
JUNE 30, 2006 (UNAUDITED) -- (CONTINUED)

<Table>
<Caption>
% OF
SHARES/ PARTNERS'
PAR VALUE* FAIR VALUE CAPITAL
---------- ------------ ---------

Government National Mortgage Association,
Pool 621822, 5.50%, 12/15/33............. $ 29,422 $ 28,554
Government National Mortgage Association,
Pool 562508, 5.50%, 2/15/34.............. 86,500 83,916
Government National Mortgage Association,
Pool 628111, 5.50%, 5/15/34.............. 212,507 206,158
New Valley Generation II, Series 2001,
5.572%, 5/1/20........................... 42,705 41,377
Overseas Private Investment Corp., 3.74%,
4/15/15.................................. 152,002 142,295
Asset-Backed Securities (1.72% of Partners'
Capital)
Alesco Preferred Funding LTD, Series 5A,
Class C3, 6.31%, 12/23/34................ 200,000 196,438
American Business Financial Services, Series
2002-2, 6.68%, 7/15/33................... 300,000 293,108
Bank of America Mortgage Securities, Series
2004-8, Class 2B1, 6.00%, 10/25/34....... 235,782 228,783
Bank of America Mortgage Securities, Series
2005-5, 5.50%, 6/25/35................... 397,195 392,603
Bear Stearns Adjustable Rate Mortgage Trust,
Series 2003-1, Class 6A1, 5.06%,
4/25/33.................................. 134,611 133,180
Bear Stearns Adjustable Rate Mortgage Trust,
Series 2003-1, Class 3A1, 5.39%,
4/25/33.................................. 130,761 128,678
Citigroup Mortgage Loan Trust, Inc., Series
2004-HYB4, Class 3B2, 4.46%, 12/25/34.... 195,196 183,607
Citigroup Mortgage Loan Trust, Inc., Series
2005-1, Class 2A2B, 4.78%, 4/25/35....... 194,745 188,295
Countrywide Alternative Loan Trust, Series
2004-33, Class 2B1, 5.24%, 12/25/34...... 223,525 216,051
Countrywide Alternative Loan Trust, Series
2005-19CB, Class A4, 5.50%, 6/25/35...... 208,863 204,647
Countrywide Home Loans, Series 2003-3, Class
M6, 7.48%, 7/25/32....................... 100,000 101,085
Countrywide Home Loans, Series 2003-20,
Class 1A14, 5.50%, 7/25/33............... 137,040 130,035
CSFB Mortgage Securities Corp., Series 2002-
10, Class 1M2, 7.00%, 5/25/32............ 180,000 176,644
CSFB Mortgage Securities Corp., Series 2004-
8, Class 4A4, 5.50%, 11/25/34............ 145,020 139,989
CSFB Mortgage Securities Corp., Series 2005-
5, Class 4A2, 6.25%, 7/25/35............. 146,600 145,500
CSFB Mortgage Securities Corp., Series 2005-
11, Class 7A2, 6.00%, 12/25/35........... 275,405 272,557
CSMC Certificate, Series 2006-2, Class 4A11,
5.75% 3/25/36............................ 340,775 337,287
</Table>

See accompanying notes to financial statements.

THE ENDOWMENT MASTER FUND, L.P.
(A LIMITED PARTNERSHIP)

SCHEDULE OF INVESTMENTS
JUNE 30, 2006 (UNAUDITED) -- (CONTINUED)

<Table>
<Caption>
% OF
SHARES/ PARTNERS'
PAR VALUE* FAIR VALUE CAPITAL
---------- ------------ ---------

Diversified REIT Trust, Series 1999-1A,
Class D, 6.78%, 3/18/11.................. $135,000 $ 133,781
Drexel Burnham Lambert CMO Trust, Series V,
Class 1, PO, 0.00%, 9/1/18............... 48,644 41,177
First Horizon Alternative Mortgage
Securities, Series 2005-FA5, Class 3A2,
5.50%, 8/25/35........................... 298,358 289,507
First Republic Mortgage Loan Trust, Series
2000-FRB1, Class A2, 5.14%, 6/25/30...... 283,030 281,864
GSR Mortgage Loan Trust, Series 2004-11,
Class B2, 4.58%, 9/25/34................. 297,331 287,204
GSR Mortgage Loan Trust, Series 2005-5F,
Class 3A3, 5.00%, 6/25/35................ 290,542 275,648
GSR Mortgage Loan Trust, Series 2005-9F,
Class 6A2, 6.50%, 1/25/36................ 332,637 332,223
Harborview Mortgage Loan Trust, Series,
2004-7, Class 3A2, 4.71%, 11/19/34....... 187,496 180,699
Impac Secured Assets Corp., Series 2002-3,
Class M2, 7.18%, 8/25/32................. 200,000 199,628
JP Morgan Mortgage Trust, Series 2004-A1,
Class 3A2, 5.03%, 02/25/34............... 209,078 195,684
JP Morgan Mortgage Trust, Series 2004-A3,
Class 3A2, 4.98%, 07/25/34............... 165,686 160,715
Master Seasoned Securities Trust, Series
2004-1, Class 15B2, 6.24%, 8/25/17....... 245,774 243,141
Option One Mortgage Loan Trust, Series 2005-
1, Class M6, 6.47%, 2/25/35.............. 250,000 253,299
Residential Accredit Loans, Inc., Series
2003-QS7, Class M2, 6.00%, 4/25/33....... 128,568 123,225
Residential Asset Funding Mortgage, Inc.,
Series 2002-S17, Class A1, 5.00%,
11/25/17................................. 372,694 357,237
Residential Asset Mortgage Products, Inc.,
Series 2004-SL2, Class A1, 6.50%,
10/25/16................................. 140,980 141,820
Structured Asset Securities Corp., Series
2003-4, Class A6, 5.00%, 2/25/33......... 127,706 122,545
Washington Mutual, Series 2003-S11, Class
1A, 5.00%, 11/25/33...................... 77,269 71,839
Wells Fargo Mortgage Backed Securities
Trust, Series 2003-4, Class A15, 5.50%,
6/25/33.................................. 205,457 203,730
Wells Fargo Mortgage Backed Securities
Trust, Series 2003-1, Class A1, 4.49%,
11/25/33................................. 169,429 157,357
Wells Fargo Mortgage Backed Securities
Trust, Series 2004-W, Class B2, 4.641%,
11/25/34................................. 198,981 187,743
Wells Fargo Mortgage Backed Securities
Trust, Series 2004-S, Class A3, 3.54%,
9/25/34.................................. 200,000 198,328
</Table>

See accompanying notes to financial statements.

THE ENDOWMENT MASTER FUND, L.P.
(A LIMITED PARTNERSHIP)

SCHEDULE OF INVESTMENTS
JUNE 30, 2006 (UNAUDITED) -- (CONTINUED)

<Table>
<Caption>
% OF
SHARES/ PARTNERS'
PAR VALUE* FAIR VALUE CAPITAL
---------- ------------ ---------

Corporates
Consumer (0.01% of Partners' Capital)
General Motors Acceptance Corp., 6.125%,
1/22/08................................ $ 50,000 $ 49,014
Finance (0.06% of Partners' Capital)
JP Morgan Chase & Co., 5.15%, 10/1/15.... 300,000 280,022
REIT (0.07% of Partners' Capital)
Weingarten Realty Corp., 4.99%, 9/3/13... 350,000 329,335
------------
Total United States...................... 16,480,531
------------
Total Fixed Income (Cost $17,023,601).... 16,480,531 3.58%
------------
Option
United States
Index (0.34% of Partners' Capital)
Ishares MSCI Emerging Markets Index
Fund -- Put Option....................... 140,121 1,571,269
Total United States...................... 1,571,269 0.34%
------------
Total Option (Cost $855,000)............. 1,571,269
------------
Total Investments in Securities (Cost
$42,169,232)........................... 51,451,178
Total Investments (Cost $384,289,786).. $461,081,679 99.95%
============

</Table>

- --------

* Shares or par value is listed for each investment if it is applicable for that
investment type.

CMO -- Collateralized Mortgage Obligation

PO -- Principal Only

REIT -- Real Estate Investment Trust

See accompanying notes to financial statements.

THE ENDOWMENT MASTER FUND, L.P.
(A LIMITED PARTNERSHIP)

STATEMENT OF CHANGES IN PARTNERS' CAPITAL
SIX MONTHS ENDED JUNE 30, 2006 (UNAUDITED) AND
YEAR ENDED DECEMBER 31, 2005

<Table>

Partners' capital at December 31, 2004........................... $280,216,027
Contributions.................................................... 73,321,507
Distributions.................................................... (11,808,134)
Increase (decrease) in partners' capital resulting from
operations:
Net investment loss............................................ (1,478,351)
Net realized gain from investments............................. 3,533,829
Net unrealized gain from investments........................... 32,384,181
------------
Net increase in partners' capital resulting from
operations................................................ 34,439,659
------------
Partners' capital at December 31, 2005........................... 376,169,059
------------
Contributions.................................................... 78,137,661
Distributions.................................................... (9,066,591)
Increase (decrease) in partners' capital resulting from
operations:
Net investment loss............................................ (1,675,680)
Net realized gain from investments............................. 6,294,976
Net unrealized gain from investments........................... 11,469,275
------------
Net increase in partners' capital resulting from
operations................................................ 16,088,571
------------
Partners' capital at June 30, 2006............................... $461,328,700
============

</Table>

See accompanying notes to financial statements.

THE ENDOWMENT MASTER FUND, L.P.
(A LIMITED PARTNERSHIP)

STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2006
(UNAUDITED)

<Table>

Investment income:
Dividend income (net of foreign tax of $48,629)................. $ 469,827
Interest income................................................. 415,895
-----------
Total investment income...................................... 885,722
-----------
Expenses:
Management fees................................................. 2,140,247
Administration fees............................................. 141,428
Legal fees...................................................... 33,905
Professional fees............................................... 52,725
Custodian fees.................................................. 32,981
Directors fees.................................................. 21,000
Other expenses.................................................. 139,116
-----------
Total expenses............................................... 2,561,402
-----------
Net investment loss............................................... (1,675,680)
-----------
Net realized and unrealized gain from investments:
Net realized gain from investments.............................. 6,294,976
Net unrealized gain from investments............................ 11,469,275
-----------
Net realized and unrealized gain from investments............ 17,764,251
-----------
Net increase in partners' capital resulting from
operations.............................................. $16,088,571
===========

</Table>

See accompanying notes to financial statements.

THE ENDOWMENT MASTER FUND, L.P.
(A LIMITED PARTNERSHIP)

STATEMENT OF CASH FLOWS

SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2006 DECEMBER 31, 2005
---------------- -----------------
(UNAUDITED)

Cash flow from operating activities:
Net increase in partners' capital resulting from
operations...................................... $ 16,088,571 $ 34,439,659
Adjustments to reconcile net increase in partners'
capital resulting from operations to net cash
used in operating activities:
Purchases of investments........................ (126,356,492) (104,090,555)
Proceeds from disposition of investments........ 58,354,029 43,304,376
Net realized gain from investments.............. (6,294,976) (3,533,829)
Net unrealized gain from investments............ (11,469,275) (32,384,181)
Inflation compensation earned on Treasury
Inflation Protected securities................ (22,446) --
Accretion (amortization) of bond discount
(premium), net................................ 8,717 (9,845)
Increase in prepaid contributions to Investment
Funds......................................... (7,551,885) (4,600,000)
Increase in subscriptions received in advance... 28,308,627 --
Decrease (Increase) in interest and dividends
receivable.................................... 493,095 (179,021)
Decrease (Increase) in Receivable from
Investment Funds.............................. 349,183 (349,183)
(Increase) Decrease in prepaids and other
assets........................................ (84,930) 1,291
Decrease in receivable from Adviser............. -- 5,759
Increase in redemptions payable................. 2,720,475 --
Increase in management fees payable............. 209,875 252,400
Increase in offshore withholding tax payable.... 48,629 58,694
(Decrease) Increase in accounts payable and
accrued expenses.............................. (57,495) 17,797
Decrease in payable to Adviser.................. -- (132,497)
Increase (Decrease) in administration fees
payable....................................... 28,773 (73,420)
------------- -------------
Net cash used in operating activities......... (45,227,525) (67,272,555)
------------- -------------
Cash flow from financing activities:
Borrowings on line of credit....................... 36,587,755 44,378,340
Repayments on line of credit....................... (50,978,181) (39,957,429)
Contributions from partners........................ 78,137,661 73,321,507
Distributions to partners.......................... (9,066,591) (11,808,134)
------------- -------------
Net cash provided by financing activities..... 54,680,644 65,934,284
------------- -------------
Net increase (decrease) in cash and cash
equivalents........................................ 9,453,119 (1,338,271)
Cash and cash equivalents at beginning of year....... 290,074 1,628,345
------------- -------------
Cash and cash equivalents at end of year............. $ 9,743,193 $ 290,074
============= =============
Supplemental disclosure of cash activity:
Cash paid for interest............................. $ 60,118 $ 35,305
</Table>

See accompanying notes to financial statements.

THE ENDOWMENT MASTER FUND, L.P.
(A LIMITED PARTNERSHIP)

NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2006
(UNAUDITED)

(1) ORGANIZATION

The Endowment Master Fund, L.P. (the "Fund") is a limited partnership
organized under the laws of the state of Delaware. The Fund began operations in
April 2003 ("Inception"). The Fund operated as an unregistered investment
vehicle until March 10, 2004, at which time it registered as a nondiversified,
closed-end management investment company under the Investment Company Act of
1940 (the "1940 Act"). The Fund is the master fund in a master-feeder structure
in which there are currently six feeder funds.

The Fund's investment objective is to preserve capital and to generate
consistent long-term appreciation and returns across all market cycles. The Fund
pursues its investment objective by investing its assets in a variety of
investment vehicles including but not limited to limited partnerships and
limited liability companies (collectively, the "Investment Funds"), registered
investment companies and direct investments in marketable securities and
derivative instruments. The Fund is a "fund of funds" and is intended to afford
investors the ability to invest in a multi-manager portfolio, exhibiting a
variety of investment styles and philosophies, in an attempt to achieve positive
risk-adjusted returns over an extended period of time. The Fund's investments
are managed by a select group of investment managers identified by the Adviser,
as hereinafter defined, to have investments that when grouped with other
investments of the Fund result in a portfolio that is allocated broadly across
markets, asset classes, and risk profiles.

The Endowment Fund GP, L.P., a Delaware limited partnership, serves as the
general partner of the Fund (the "General Partner"). To the fullest extent
permitted by applicable law, the General Partner has irrevocably delegated to a
board of directors (the "Board" and each member a "Director") its rights and
powers to monitor and oversee the business affairs of the Fund, including the
complete and exclusive authority to oversee and establish policies regarding the
management, conduct, and operation of the Fund's business. A majority of the
members of the Board are independent of the General Partner and its management.
To the extent permitted by applicable law, the Board may delegate any of its
rights, powers and authority to, among others, the officers of the Fund, the
Adviser, or any committee of the Board.

(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES AND PRACTICES

(a) BASIS OF ACCOUNTING

The accompanying financial statements have been presented on the accrual
basis of accounting in conformity with U.S. generally accepted accounting
principles.

(b) CASH EQUIVALENTS

The Fund considers all unpledged temporary cash investments with a maturity
date at the time of purchase of three months or less to be cash equivalents.

THE ENDOWMENT MASTER FUND, L.P.
(A LIMITED PARTNERSHIP)

NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2006 (CONTINUED)
(UNAUDITED)

The Fund records security transactions on a trade-date basis.

Realized gains or losses on the disposition of investments are accounted
for based on the first in first out ("FIFO") method.

Distributions received from Investment Funds, whether in the form of cash
or securities, are applied as a reduction of the cost of the investment.

(d) VALUATION OF INVESTMENTS

Investments held by the Fund are valued as follows:

- INVESTMENT FUNDS -- Investments in Investment Funds are ordinarily valued
at the valuations provided to the Independent Administrator by the
investment managers of such Investment Funds or the administrators of
those Investment Funds. The Fund's investments in Investment Funds are
subject to the terms and conditions of the respective operating
agreements and offering memoranda, as appropriate. The Fund's investments
in Investment Funds are carried at estimated fair value as determined by
the Fund's pro-rata interest in the net assets of each Investment Fund.
Because of the inherent uncertainty of valuation, this estimated fair
value may differ from the value that would have been used had a ready
market for the investments in Investment Funds existed. These Investment
Funds value their underlying investments in accordance with policies
established by such Investment Funds. All valuations utilize financial
information supplied by each Investment Fund and are net of management
and estimated performance incentive fees or allocations payable to the
Investment Funds' managers pursuant to the Investment Funds' agreements.

- SECURITIES LISTED ON A SECURITIES EXCHANGE -- In general, the Fund values
listed securities at their last sales price as of the last business day
of the applicable period. If no sale occurred on that date, the
securities are valued at the mean between the "bid" and "asked" prices at
the close of trading on that date.

- SECURITIES LISTED ON OVER-THE-COUNTER EXCHANGES -- Securities listed on
over-the counter exchanges are valued at the last reported sales price on
the date of determination, if available, through the facilities of a
recognized interdealer quotation system (such as securities in the NASDAQ
National Market List) or at the NASDAQ Official Closing Price. If the
last reported sales price is not available, the securities are valued at
the mean between the "bid" and "asked" prices at the close of trading on
that date.

- OPTIONS -- Options that are listed on a securities exchange or traded
over-the-counter are valued at the mean between the closing "bid" and
"asked" prices for such options on the date of determination.

THE ENDOWMENT MASTER FUND, L.P.
(A LIMITED PARTNERSHIP)

NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2006 (CONTINUED)
(UNAUDITED)

- SECURITIES NOT ACTIVELY TRADED -- The value of securities, derivatives or
synthetic securities that are not actively traded on an exchange shall be
determined by obtaining indicative quotes from brokers that normally deal
in such securities or by an unaffiliated pricing service that may use
actual trade data or procedures using market indices, matrices, yield
curves, specific trading characteristics of certain groups of securities,
pricing models or a combination of these procedures.

- OTHER -- Where no value is readily available from an Investment Fund or
other security or where a value supplied by an Investment Fund is deemed
not to be indicative of the Investment Fund's value, the Valuation
Committee and/or the Board, in consultation with the Independent
Administrator or the Adviser will determine, in good faith, the estimated
fair value of the Investment Fund or security.

(e) INTEREST AND DIVIDEND INCOME

Dividend income is recorded on the ex-dividend date. Interest income is
recorded as earned on the accrual basis.

(f) FUND EXPENSES

Unless voluntarily or contractually assumed by the Adviser or another
party, the Fund bears all expenses incurred in its business, including, but not
limited to, the following: all costs and expenses related to investment
transactions and positions for the Fund's account; legal fees; accounting,
auditing and tax preparation fees; recordkeeping and custodial fees; costs of
computing the Fund's net asset value; fees for data and software providers;
research expenses; costs of insurance; registration expenses; certain offering
costs; expenses of meetings of the partners; directors fees; all costs with
respect to communications to partners; transfer taxes and taxes withheld on non-
US dividends; interest and commitment fees on loans and debit balances; and
other types of expenses as may be approved from time to time by the Board.
Offering costs are amortized over a twelve-month period or less from the date
they are incurred.

(g) INCOME TAXES

(h) USE OF ESTIMATES

(i) ORGANIZATIONAL EXPENSES

The Fund's organizational expenses (the "Organizational Expenses") were
initially borne by the Adviser or an affiliate thereof and for capital account
allocation purposes assumed to be reimbursed, over not more than a 60 month
period of time, notwithstanding that such Organizational Expenses were expensed
in accordance with U.S. generally accepted accounting principles for Fund
reporting purposes upon commencement of operations.

THE ENDOWMENT MASTER FUND, L.P.
(A LIMITED PARTNERSHIP)

NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2006 (CONTINUED)
(UNAUDITED)

(3) PARTNERS' CAPITAL ACCOUNTS

(a) ISSUANCE OF INTERESTS

(b) ALLOCATION OF PROFITS AND LOSSES

For each fiscal period, generally monthly, net profits or net losses of the
Fund are allocated among and credited to or debited against the capital accounts
of all partners as of the last day of each fiscal period in accordance with the
partners' respective investment ownership percentages for the fiscal period. Net
profits or net losses are measured as the net change in the value of the net
assets of the Fund, including any net change in unrealized appreciation or
depreciation of investments and income, net of expenses, and realized gains or
losses during a fiscal period. Net profits or net losses are allocated after
giving effect for any repurchases of Interests or initial or additional
applications for Interests, which generally occur at the beginning of the month.

A partner will not be eligible to have the Fund repurchase all or any
portion of an Interest at the partner's discretion at any time. However, the
Adviser expects that it will recommend to the Board that the Fund offer to
repurchase Interests each calendar quarter, pursuant to written tenders by
partners. The Board retains the sole discretion to accept or reject the
recommendation of the Adviser and to determine the amount, if any, that will be
purchased in any tender offer that it does approve. In the event Interests are
repurchased, there will be a substantial period of time between the date as of
which partners must accept the Fund's offer to repurchase their Interests and
the date they can expect to receive payment for their Interests from the Fund.

(4) INVESTMENTS IN PORTFOLIO SECURITIES

As of June 30, 2006, the Fund had investments in Investment Funds,
registered investment companies and marketable securities in a separately
managed account, which is managed by a sub-adviser ("Sub-Adviser"). The
$22,651,885 in prepaid contribution to Investment Funds as of June 30, 2006
represents funding of a portion of the July 2006 investment in such funds. The
agreements related to investments in Investment Funds provide for compensation
to the Investment Funds' managers/general partners or advisors in the form of
management fees ranging from 0.25% to 2.5% of net assets annually. In addition,
many Investment Funds also provide for performance incentive fees/allocations
ranging up to 20% of an Investment Fund's net profits, although it is possible
that such ranges may be exceeded for certain investment managers. These fees and
incentive fees are in addition to the management fees charged by the Fund.

In general, most of the Investment Funds in which the Fund invests, other
than Investment Funds investing primarily in private equity, energy and real
estate transactions, provide for periodic redemptions ranging from

THE ENDOWMENT MASTER FUND, L.P.
(A LIMITED PARTNERSHIP)

NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2006 (CONTINUED)
(UNAUDITED)

monthly to annually with lock up provisions usually for a period of up to four
years. Investment Funds that do provide for periodic redemptions may, depending
on the Investment Fund's governing documents, have the ability to deny or delay
a redemption request. For the six months ended June 30, 2006, the aggregate cost
of purchases and proceeds from sales of investments were $126,356,492 and
$58,354,029 respectively.

The cost of investments for Federal income tax purposes is adjusted for
items of taxable income allocated to the Fund from its investments. The
allocated taxable income is generally reported to the Fund by its underlying
investments on Schedules K-1 or 1099's. As of June 30, 2006, the cost of the
Fund's investments was $384,289,786. Accordingly, unrealized appreciation and
depreciation on investments was $79,972,267 and $3,180,374 respectively.

(5) FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK

In the normal course of business, the Investment Funds in which the Fund
invests trade various derivative securities and other financial instruments, and
enter into various investment activities with off-balance sheet risk both as an
investor and as a principal. The Fund's risk of loss in these Investment Funds
is limited to the value of the investment in such Investment Funds as reported
by the Fund. In addition, the Fund may from time to time invest directly in
derivative securities or other financial instruments to gain greater or lesser
exposure to a particular asset class.

(6) DUE FROM BROKERS

The Fund conducts business with various brokers for its investment
activities. The clearing and depository operations for the investment activities
are performed pursuant to agreements with the brokers. The Fund is subject to
credit risk to the extent any broker with whom the Fund conducts business is
unable to deliver cash balances or securities, or clear security transactions on
the Fund's behalf. The Fund monitors the financial condition of the brokers with
which the Fund conducts business and believes the likelihood of loss under the
aforementioned circumstances is remote.

(7) ADMINISTRATION AGREEMENT

In consideration for administrative, accounting, and recordkeeping
services, the Fund will pay the Independent Administrator a monthly
administration fee (the "Administration Fee") based on the month end net assets
of the Fund. The Fund is charged, on an annual basis, 8 basis points on Fund net
assets of up to $100 million, 7 basis points on Fund net assets between the
amounts of $100 million and $250 million and 6 basis points for amounts over
$250 million. The asset based fees are assessed based on month end net assets
and are payable monthly in arrears. The Independent Administrator will also
provide the Fund with legal, compliance, transfer agency, and other investor
related services at an additional cost.

The fees for Fund administration will be paid out of the Fund's assets,
which will decrease the net profits or increase the net losses of the partners
in the Fund. As of June 30, 2006, the Fund had $461,328,700 in net assets. The
total Administration Fee incurred for the six months ended June 30, 2006 was
$141,428.

(8) RELATED PARTY TRANSACTIONS

(a) INVESTMENT MANAGEMENT FEE

In consideration of the advisory and other services provided by the Adviser
to the Fund pursuant to the Investment Management Agreement, the Fund will pay
the Adviser an investment management fee (the

THE ENDOWMENT MASTER FUND, L.P.
(A LIMITED PARTNERSHIP)

NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2006 (CONTINUED)
(UNAUDITED)

"Investment Management Fee"), equal to 1% on an annualized basis of the Fund's
net assets calculated based on the Fund's net asset value at the end of each
month, payable quarterly in arrears. The Investment Management Fee will decrease
the net profits or increase the net losses of the Fund that are credited to or
debited against the capital accounts of its limited partners. For the six months
ended June 30, 2006, $2,140,247 was incurred for Investment Management Fees.

(b) PLACEMENT AGENTS

(9) INDEBTEDNESS OF THE FUND

Pursuant to the Fund LP Agreement, the Fund may borrow up to, but not more
than, 10% of net assets of the Fund (at the time such borrowings were made and
after taking into account the investment and/or deployment of such proceeds) for
the purpose of making investments, funding redemptions and for other working
capital and general Fund purposes. For purposes of the Fund's investment
restrictions and certain investment limitations under the 1940 Act, including
for example, the Fund's leverage limitations, the Fund will not "look through"
Investment Funds in which the Fund invests. Investment Funds may also use
leverage, whether through borrowings, futures, or other derivative products and
are not subject to the Fund's investment restrictions. However, such borrowings
by Investment Funds are without recourse to the Fund and the Fund's risk of loss
is limited to its investment in such Investment Funds, other than for some
Investment Funds in which the Fund made a capital commitment. For some
Investment Funds in which the Fund has made a capital commitment that will be
funded over a period of time, such as private equity and real estate funds, the
Fund, in certain instances, may commit to fund up to twice its initial capital
commitment. The rights of any lenders to the Fund to receive payments of
interest or repayments of principal will be senior to those of the partners, and
the terms of any borrowings may contain provisions that limit certain activities
of the Fund.

The Fund maintains a credit facility for which the investments of the Fund
serve as collateral for the facility. The maximum amount that can be borrowed is
based on the value of the underlying collateral; provided, however, that the
Fund's fundamental policies provide that the Fund cannot borrow more than 10% of
the value of the Fund's net assets. As of June 30, 2006, there was no
outstanding balance under the credit facility. The weighted average interest
rate paid on the line of credit through June 30, 2006 was 7.08%.

THE ENDOWMENT MASTER FUND, L.P.
(A LIMITED PARTNERSHIP)

NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2006 (CONTINUED)
(UNAUDITED)

(10) FINANCIAL HIGHLIGHTS

PERIOD
APRIL 1, 2003
SIX MONTHS ENDED YEAR ENDED YEAR ENDED (INCEPTION) TO
JUNE 30, 2006 DECEMBER 31, 2005 DECEMBER 31, 2004 DECEMBER 31, 2003
---------------- ----------------- ----------------- -----------------
(UNAUDITED)

Net investment loss to
average partners'
capital(1)................. (0.78)% (0.44)% (0.92)% (0.26)%
Expenses to average partners'
capital(1)................. 1.20% 1.19% 1.40% 0.66%
Portfolio turnover........... 13.66% 12.65% 10.29% 11.90%
Total return(2).............. 4.33% 10.40% 8.90% 21.66%
Partners' capital, end of
period..................... $461,328,700 $376,169,059 $280,216,027 $109,262,447
Average amount of borrowings
outstanding during the
period..................... $ 1,289,538 $ 762,381 $ 233,334 $ --
</Table>

An investor's return (and operating ratios) may vary from those reflected
based on different fee and expense arrangements and the timing of capital
transactions.

- --------

(1) Ratios are calculated by dividing by average partners' capital measured at
the end of the each month during the period. The 2006 and 2003 ratios have
been annualized.

(2) Calculated as geometrically linked monthly returns for each month in the
period.

THE ENDOWMENT MASTER FUND, L.P.
(A LIMITED PARTNERSHIP)

SUPPLEMENTAL INFORMATION (UNAUDITED)
JUNE 30, 2006

DIRECTORS AND OFFICERS

COMPENSATION FOR DIRECTORS

ALLOCATION OF INVESTMENTS

The following chart indicates the allocation of investments among the asset
classes in the Master Fund as of June 30, 2006.

ASSET CLASS(1) FAIR VALUE %
- -------------- ------------ ------

Domestic Equity...................................... $ 67,437,397 14.63%
International Equity................................. 92,506,438 20.06%
Opportunistic Equity................................. 48,277,533 10.47%
Absolute Return...................................... 64,207,407 13.93%
Real Estate.......................................... 22,946,520 4.98%
Natural Resources.................................... 55,847,208 12.11%
Private Equity....................................... 27,534,147 5.97%
Fixed Income......................................... 23,610,335 5.12%
Enhanced Fixed Income................................ 58,714,694 12.73%
------------ ------
TOTAL INVESTMENTS.................................... $461,081,679 100.00%
------------ ------

</Table>

- --------

(1) The complete list of investments included in the following asset class
categories are included in the schedule of investments of the Master Fund.

(2) The International Equity asset class includes the value of a put option on
the MSCI Emerging Markets Index.

FORM N-Q FILINGS

PROXY VOTING POLICIES

THE ENDOWMENT MASTER FUND, L.P.
(A LIMITED PARTNERSHIP)

SUPPLEMENTAL INFORMATION (UNAUDITED)
JUNE 30, 2006 (CONTINUED)

ADDITIONAL INFORMATION

The Fund's private placement memorandum (the "PPM") includes additional
information about directors of the Fund. The PPM is available, without charge,
upon request by calling 1-800-725-9456.

INVESTMENT MANAGEMENT AGREEMENT AND SUB-ADVISORY AGREEMENT

At a meeting of the Board held on January 18, 2006, the Board considered
and approved the Investment Management Agreement between the Fund and the
Adviser and the Sub-Advisory Agreement between the Adviser and Tanglewood Asset
Management LLC (the "Sub-Adviser"). In reviewing these agreements, the Board
requested information, which was provided by the Adviser, that was reasonably
necessary for the Board to evaluate the agreements, and was advised by counsel.
Following its review, the Board concluded that the Investment Management
Agreement and Sub-Advisory Agreement enables the Fund's partners to obtain high
quality services at a cost that is appropriate, reasonable, and in the best
interests of investors based upon the following determinations, among others:

The nature, extent and quality of the advisory service to be
provided. Based on the nature and quality of the services provided by the
Adviser and Sub-Adviser to the Fund in the past (as well as services anticipated
to be provided in the future), the Adviser's management capabilities
demonstrated with respect to the Fund, the Adviser's management oversight
process, and the professional qualifications and experience of the Adviser's
investment committee and the Sub-Adviser's personnel, the Board concluded that
each of the Adviser and Sub-Adviser is capable of providing high quality
services to the Fund. The Board also concluded that each of the Adviser and Sub-
Adviser would provide the same quality and quantity of investment management and
related services as provided in the past, that these services are appropriate in
scope and extent in light of the Fund's operations, the competitive landscape of
the investment company business and investor needs and that the Adviser's and
Sub-Adviser's advisory obligations will remain the same in all respects.

The investment performance of the Fund. The Board concluded, based on
comparative performance information compiled by the Adviser, that the Fund's
investment performance was superior to the performance of its comparative index
and competitive or superior relative to comparable funds. On the basis of the
Directors' assessment of the nature, extent and quality of investment advisory
and related services to be provided or procured by the Adviser, the Directors
concluded that the Adviser (with the assistance of the Sub-Adviser) was capable
of generating a level of long-term investment performance that is appropriate in
light of the Fund's investment objective, policies and strategies and
competitive with many other comparable funds.

The cost of advisory service provided and the level of profitability. On
the basis of the Board's review of the fees to be charged by the Adviser for
investment advisory and related services, the unique nature of the Fund's
investment program, the Adviser's financial information, the fees paid by the
Adviser to the Sub-Adviser, the costs associated with managing the Fund and the
estimated profitability of the Adviser's relationships with the Fund, the Board
concluded that the level of investment management fees and the profitability is
appropriate in light of the services provided, the management fees and overall
expense ratios of comparable investment companies, and the anticipated
profitability of the relationship between the Fund and the Adviser. Further, on
the basis of comparative information supplied by the Adviser, the Board
determined that the management fees and estimated overall expense ratio of the
Fund were competitive with comparable investment companies.

THE ENDOWMENT MASTER FUND, L.P.
(A LIMITED PARTNERSHIP)

SUPPLEMENTAL INFORMATION (UNAUDITED)
JUNE 30, 2006 (CONTINUED)

The extent to which economies of scale would be realized as the Fund grows
and whether fee levels reflect these economies of scale for the benefit of Fund
investors. While noting that the management fees will not decrease as the level
of Fund assets increase, the Board concluded that the management fees
appropriately reflect the Fund's current size, the current economic environment
for the Adviser, and the competitive nature of the investment company market as
relevant to the Fund. In addition, the Board noted that it will have the
opportunity to periodically re-examine whether the Fund has achieved economies
of scale, as well as the appropriateness of management fees payable to the
Adviser and Sub-Adviser, in the future.

Benefits (such as soft dollars) to the Adviser from its relationship with
the Fund. The Board concluded that other benefits derived by the Adviser from
its relationship with the Fund are reasonable and fair, result from the
provision of appropriate services to the Fund and investors therein, and are
consistent with industry practice and the best interests of the Fund and its
partners. In this regard, the Board noted that the Adviser does not realize
"soft dollar" benefits from its relationship with the Fund.

Other considerations. The Board also determined that the Adviser has made
a substantial commitment to the recruitment and retention of high quality
personnel, and maintained the financial, compliance and operational resources
reasonably necessary to manage the Fund in a professional manner that is
consistent with the best interests of the Fund and its partners. The Directors
also concluded that the Adviser has made a significant entrepreneurial
commitment to the management and success of the Fund.

ITEM 2. CODE OF ETHICS.

Not applicable.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

3(a)(1) The registrant's board of directors has determined that the registrant
has at least one audit committee financial expert serving on its audit
committee.

3(a)(2) The audit committee financial expert is G. Edward Powell, who is
"independent" for purposes of this Item 3 of Form N-CSR.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not applicable.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable.

ITEM 6. SCHEDULE OF INVESTMENTS.

Not applicable.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

Not applicable.

ITEM 11. CONTROLS AND PROCEDURES.

The registrant's principal executive officer and principal financial officer
have concluded, based on their evaluation of the registrant's disclosure
controls and procedures as conducted within 90 days of the filing date of this
report, that these disclosure controls and procedures are adequately designed
and are operating effectively to ensure that information required to be
disclosed by the registrant on Form N-CSR is (i) accumulated and communicated to
the investment company's management, including its certifying officers, to allow
timely decisions regarding required disclosure; and (ii) recorded, processed,
summarized and reported within the time periods specified in the Securities and
Exchange Commission's rules and forms.

There were no changes in the registrant's internal control over financial
reporting that occurred during the second fiscal quarter of the period covered
by this report that have materially affected or are reasonably likely to
materially affect, the registrant's internal control over financial reporting.

ITEM 12. EXHIBITS.

(a)(1) Not applicable.

(a)(2) Certifications pursuant to Rule 30a-2(a) are attached hereto.

(a)(3) Not applicable.

(a)(4) Not applicable.

(b) Certifications pursuant to Rule 30a-2(b) are furnished herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) The Endowment TEI Fund, L.P.

By (Signature and Title) /s/ John A. Blaisdell
----------------------------------
John A. Blaisdell
Co-Principal Executive Officer

Date August 24, 2006
--------------------

By (Signature and Title) /s/ Andrew B. Linbeck
----------------------------------
Andrew B. Linbeck
Co-Principal Executive Officer

Date August 24, 2006
--------------------

By (Signature and Title) /s/ A. Haag Sherman
----------------------------------
A. Haag Sherman
Co-Principal Executive Officer

Date August 24, 2006
--------------------

Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.

By (Signature and Title) /s/ John A. Blaisdell
----------------------------------
John A. Blaisdell
Co-Principal Executive Officer

Date August 24, 2006
--------------------

By (Signature and Title) /s/ Andrew B. Linbeck
----------------------------------
Andrew B. Linbeck
Co-Principal Executive Officer

Date August 24, 2006
--------------------

By (Signature and Title) /s/ A. Haag Sherman
----------------------------------
A. Haag Sherman
Co-Principal Executive Officer

Date August 24, 2006
--------------------

By (Signature and Title) /s/ John E. Price
----------------------------------
John E. Price
Principal Financial Officer

Date August 24, 2006
--------------------