UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-08234
TIFF Investment Program |
(Exact name of Registrant as specified in charter) |
170 N. Radnor Chester Road, Suite 300 Radnor, PA | 19087 |
(Address of chief executive offices) | (Zip code) |
Richard J. Flannery
President and Chief Executive Officer
TIFF Investment Program
170 N. Radnor Chester Road, Suite 300
Radnor, PA 19087
with a copy to:
Bruce G. Leto
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
(Name and address of agent for service)
Registrant’s telephone number, including area code: 610.684.8000
Date of fiscal year end: 12/31/2014
Date of reporting period: 1/1/14 – 12/31/14
Item 1. Reports to Stockholders.
(Annual Report for the period 1/1/14 through 12/31/14 is filed herewith)
TIFF Investment Program | ||||
2014 Annual Report | DECEMBER 31, 2014 | |||
Contents |
About TIFF |
The Investment Fund for Foundations (TIFF), founded in 1991, is a not-for-profit organization that seeks to improve the investment returns of endowed non-profits by making available to them a series of multi-manager investment strategies, plus resources aimed at enhancing fiduciaries’ knowledge of investing.
TIFF Mutual Funds |
TIFF Investment Program (TIP) is comprised of no-load mutual funds available primarily to foundations, endowments, other 501(c)(3) organizations, and certain other non-profit organizations meeting specified accreditation requirements. TIP consists of two mutual funds at present: TIFF Multi-Asset Fund (MAF) and TIFF Short-Term Fund (STF). TIFF Advisory Services, Inc. (TAS) serves as the investment advisor to the funds. MAF operates primarily on a multi-manager basis, and TAS has responsibility for the time-intensive task of selecting money managers and other vendors for the fund as well as for the all-important task of asset allocation. With respect to STF, TAS is responsible for the day-to-day management of all of the fund’s assets.
Financial Statements |
TIP is pleased to provide this Annual Report for the year ended December 31, 2014. Additional information regarding the performance of the mutual funds described herein has been provided to members via the TIFF Multi-Asset Fund quarterly reports and at www.tiff.org for STF reporting.
For Further Information |
As always, we welcome the opportunity to discuss any aspect of TIFF’s services as well as answer any questions about these financial statements. For further information about TIFF, please call us at 610-684-8200 or visit www.tiff.org.
February 27, 2015
Copyright © 2015 • All rights reserved • This report is intended for institutional investors only and may not be reproduced or distributed without written permission from TIFF.
Portfolio Management Review (Unaudited) |
Strategy Overview
The fund seeks to achieve a total return (price appreciation plus dividends and interest income) net of expenses that, over a majority of market cycles, exceeds inflation plus 5% per annum through a globally diversified portfolio. Such diversification is designed to constitute a hedge against catastrophic losses during times when the fund’s main engine of growth — its total return segment — may be misfiring. MAF’s asset mix is designed not to outperform the best-performing asset class in any given year but rather to produce satisfactory real returns over time periods appropriate to perpetual life charities. The fund rebalances segment weights in a manner designed to exploit capital markets’ mean-reverting tendencies while being cognizant of trading costs. MAF generally maintains its desired alignment of exposures versus the CI by deploying equity futures, currency futures, Treasury futures, and swaps as needed. On occasion, the fund has used options as a hedging device when pricing is deemed attractive.
Performance Review
TIFF Multi-Asset Fund’s (MAF) performance in 2014 was disappointing. MAF gained 1.0% before the deduction of entry and exit fees. This performance lagged MAF’s primary benchmark of CPI +5%, which was up 5.8% for the year. For complete, annualized performance data, please see the table on page 4.
MAF’s return also fell short of the performance of the MAF Constructed Index (CI), which returned 1.7%*, and the 65/35 Mix (65% MSCI All Country World Index, 35% Barclays US Aggregate Bond Index), which gained 4.8%. Three primary attribution categories tracked by TAS — manager excess returns (net returns vs. a benchmark TAS assigns internally), segment tilts (allocation decisions by TAS that vary from the CI), and fund expenses — each dragged moderately on MAF’s performance relative to the CI during 2014. Most of the manager excess return drag occurred within global equity strategies pursued by external managers. The press has covered well the challenges active managers faced during the year and the strong flows into index funds that bolstered capitalization-weighted equity index returns throughout the year. MAF’s long-oriented equity managers were not immune to these challenges, collectively accounting for about 0.3% of return drag relative to the CI. MAF’s segment tilts and other tactics (including economic and industry sector selection and style biases) detracted 0.2% from 2014 performance relative to the CI, mostly due to a consistent underweight to high yield bonds throughout the year and a tilt favoring non-US equities in a year when US equities substantially outperformed.
* | Performance of the CI generated after June 30, 2009, is reduced by 20 basis points per annum, prorated monthly. See Note to Fund Performance on page 5 for details and description of the CI. |
Barclays US Aggregate Bond Index. The Barclays US Aggregate Bond Index covers the US dollar-denominated, investment grade, fixed-rate, taxable bond market. The index includes bonds from the Treasury, Government-Related, Corporate, MBS (agency fixed-rate and hybrid ARM passthroughs), ABS, and CMBS sectors. This index is a component of the US Universal index in its entirety.
Barclays US Breakeven Inflation Aggregate Index. The Barclays US Breakeven Inflation Aggregate Index is designed to provide a benchmark for investors seeking to track the “breakeven” rate of inflation in the United States by capturing the return of simultaneous long positions in US Treasury Inflation Protected Securities (“TIPS”) across the entire term structure of the TIPS market and short positions in corresponding comparable nominal US Treasury bonds (traditional US Treasury bonds paying a fixed rate of interest). The index also includes a return on cash lent to facilitate the short transactions. The “breakeven” rate of inflation is the level of inflation required for TIPS to approximate the performance of nominal US Treasury bonds with equivalent duration. The index is rebalanced monthly.
Barclays US Government Inflation-Linked Bond Index. The Barclays US Government Inflation-Linked Bond Index measures the performance of the US Treasury Inflation Protected Securities (“TIPS”) market. The index includes TIPS with one or more years remaining to maturity on the index rebalancing date (the last calendar day of each month) and total outstanding issue size of $500 million or more. Bonds must be capital-indexed and linked to an eligible inflation index. The bonds are denominated in US dollars and pay coupon and principal in US dollars. The notional coupon of a bond must be fixed or zero and the bond must settle on or before the monthly rebalancing date to be eligible for the index.
Barclays US High Yield 2% Issuer Capped Bond Index. The Barclays US High Yield 2% Issuer Capped Bond Index covers the US dollar-denominated, non-investment grade, fixed-rate, taxable corporate bond market. To be eligible for this index, bonds must also have at least one year to final maturity and at least $150 million outstanding par value. This index limits issuer exposures to 2% of the total market value of the index, and any excess market value is redistributed to the issuers below the cap on a pro rata basis. The index is rebalanced monthly.
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Portfolio Management Review (Unaudited) (continued) |
Performance Review (continued)
MAF’s 2014 return relative to the 65/35 Mix was meaningful, at -3.8%. Most of the shortfall (approximately 2.5%) was attributable to MAF’s US Treasury debt positions, which managed to lose money in a year when the Barclays US Aggregate Bond Index gained 6.0%. Unlike the Barclays index — which comprises mostly intermediate- to long-dated Treasuries, corporates, and securitized bonds — MAF’s fixed income holdings were concentrated in short-term Treasury bills and Treasury Inflation-Protected Securities (TIPS), both outright and in breakeven, or hedged, form. This posture, emphasizing shorter duration holdings, caused MAF to miss out on most of the gains associated with declining interest rates during 2014, and the TIPS Breakeven position experienced outright losses as inflation expectations diminished. Another 0.9% of MAF’s return shortfall was attributable to the different forms of equity allocations in MAF compared to the 65/35 Mix. The entire equity drag (and then some) came from MAF’s underweight to US stocks during the year. US stocks comprised roughly 20% of MAF’s assets throughout 2014, compared with closer to one third of the 65/35 Mix. This difference in exposures is partly a policy decision and partly a strategic decision. From a policy standpoint, MAF’s portfolio is significantly more diversified across asset classes and strategies than the 65/35 Mix, and those diversifying allocations necessarily reduce the amount of capital left for the basic mix of equities and fixed income. TAS believes that diversification has helped the fund over the years, but it certainly did not do so in 2014. From a strategic standpoint, TAS’s asset allocation framework is valuation sensitive, and thus favored non-US stocks over more fully priced US ones throughout 2014. The S&P 500 Index returned 13.7% in 2014, outperforming almost all of the diversifying segments to which TAS allocated capital, specifically non-US stocks (MSCI All Country World Index ex-USA, which returned -3.9%) high yield bonds (Barclays US High Yield 2% Issuer Capped Index, which returned +2.5%), and especially commodities (Bloomberg Commodity Index Total Return, which returned -17.0%), with the one exception being global Real Estate Investment Trusts, or REITs (the FTSE EPRA/NAREIT Developed Index returned +15.9%).
Bloomberg Commodity Index Total Return. The Bloomberg Commodity Index Total Return comprises futures contracts on 22 exchange-traded physical commodities. The index reflects the return on fully collateralized futures positions and on cash collateral invested in 13-week US Treasury bills. Futures contracts are rolled prior to maturity. The index is subject to certain diversification rules, which are applied annually, and is re-balanced annually on a price-percentage basis in order to maintain diversified commodities exposure over time.
BofA Merrill Lynch US 6-Month Treasury Bill Index. The BofA Merrill Lynch US 6-Month Treasury Bill Index comprises a single issue purchased at the beginning of the month and held for a full month. At the end of the month, that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury bill that matures closest to, but not beyond, six months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date. While the index will often hold the Treasury bill issued at the most recent or prior 6-month auction, it is also possible for a seasoned 6-month or 1-year bill to be selected.
MSCI All Country World Index ex-USA. The MSCI All Country World Index ex-USA captures large and mid cap representation across 22 of 23 Developed Markets countries (excluding the US) and 23 Emerging Markets countries. With 1,840 constituents, the index covers approximately 85% of the global equity opportunity set outside the US.
FTSE EPRA/NAREIT Developed Index. The FTSE EPRA/NAREIT Developed Index is a free float-adjusted market capitalization weighted index that is designed to measure the performance of listed real estate companies and REITS in developed markets worldwide, principally North America, Europe and Asia. The European Public Real Estate Association (EPRA) represents the European public real estate sector. The National Association of Real Estate Investment Trusts (NAREIT) is the trade association for REITs and publicly traded real estate companies in the US.
S&P 500 Index. The S&P 500 Index includes 500 companies in leading industries of the US economy, capturing 75% coverage of US equities. The S&P 500 Index is maintained by the S&P Index Committee, based on published guidelines governing additions to and removal from the index. Criteria for index additions include US companies, market capitalization in excess of $4 billion, public float, financial viability, adequate liquidity and reasonable price, sector representation, and company type. Criteria for index removals include violating or no longer meeting one or more criteria for index inclusion.
See additional index descriptions on pages 4 and 5.
One cannot invest directly in an index, and unmanaged indices do not incur fees and expenses.
3
Performance data quoted represent past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. Total return assumes reinvestment of dividends. Performance data for the most recent month-end and additional performance information may be obtained by visiting TIFF's website at www.tiff.org. While the fund is no-load, management fees and other expenses will apply. Please refer to the prospectus for further details.
The fund may use leverage; invests in illiquid securities, non-US securities, small capitalization stocks, derivatives, below investment grade bonds, and real-estate oriented investments; and engages in short-selling. Non-US securities may entail political, economic, and currency risks different from those of US securities and may be issued by entities adhering to different accounting standards than those governing US issuers. Small capitalization stocks may entail different risks than larger capitalization stocks, including potentially lesser degrees of liquidity. The fund or certain of its money managers invest routinely and, at times, significantly in derivatives, certain of which are deemed by the SEC to be highly speculative. Short selling of securities may increase the potential for loss if a manager has difficulty covering a short position. Leverage may accelerate the velocity and magnitude of potential losses. Not more than 20% of the fund's assets may be invested in debt obligations rated below investment grade (i.e., having a rating lower than BBB by Standard & Poor's or Baa by Moody's) or unrated but deemed to be of similar quality. Bonds rated below investment grade are commonly referred to as “junk bonds.” Investors should be aware of the risks involved with investing in REITs and real estate securities, such as declines in the value of real estate and increased susceptibility to adverse economic or regulatory developments. As a multi-manager fund, the fund may experience higher transaction costs than a fund managed by a single manager and the fund may not be able to combine money managers such that their styles are complementary.
Fund Performance (Unaudited) | Total return for the periods ended 12/31/14 |
Calendar Year 2014 | 3-Year Annualized | 5-Year Annualized | 10-Year Annualized | Annualized Since Inception | Cumulative Since Inception | |||||||||||||||||||
Before Deduction of Entry/Exit Fees | 1.00 | % | 9.50 | % | 7.87 | % | 7.48 | % | 8.14 | % | 369.18 | % | ||||||||||||
After Deduction of Entry/Exit Fees | 0.01 | % | 9.14 | % | 7.66 | % | 7.37 | % | 8.08 | % | 364.51 | % | ||||||||||||
MSCI ACW Index* | 4.16 | % | 14.10 | % | 9.17 | % | 6.09 | % | 6.95 | % | 276.95 | % | ||||||||||||
CPI + 5% per annum** | 5.79 | % | 6.39 | % | 6.77 | % | 7.22 | % | 7.35 | % | 305.78 | % | ||||||||||||
MAF Constructed Index*** | 1.68 | % | 7.45 | % | 6.4 | % | 5.78 | % | 7.39 | % | 309.05 | % | ||||||||||||
65/35 Mix**** | 4.81 | % | 10.11 | % | 7.85 | % | 5.99 | % | 6.97 | % | 278.31 | % |
Total return assumes dividend reinvestment. MAF’s annualized expense ratio for calendar year 2013 was 1.97% (a regulatory mandate requires the use in this report of the same expense ratio as that appearing in the latest fund prospectus). The expense ratio reflects fund expenses for the year ended December 31, 2013, which are expected to vary over time. The expense ratio is expressed as a percentage of average net assets. The annualized expense ratio has been restated here and in the prospectus to show an estimate of what the fund's expenses would have been in 2013 had certain money manager and acquired fund changes that occurred during and after 2013 been in effect for all of 2013. The expense ratio may differ for 2014.
Commencement of operations was March 31, 1995. The fund assesses entry and exit fees of 0.50%, expressed as a percentage of the purchase or redemption amount, which fees are retained by the fund. Total return before deductions of entry and exit fees assumes there were no purchases or redemptions during the period. Total return after deductions of entry and exit fees assumes a single purchase of shares at the beginning of the period and a single redemption of shares at the end of the period.
4
** | The CPI (Consumer Price Index — All Urban Consumers) is a widely recognized measure of US inflation, representing changes in the prices paid by consumers for a representative basket of goods and services. CPI + 5% per annum was selected as the primary benchmark for MAF because, in the opinion of TIP’s trustees, it reflects the two-fold objectives of maintaining an endowment’s purchasing power (i.e., keeping pace with inflation) while complying with the 5% payout requirement to which most MAF members are subject. |
*** | At December 31, 2014, the Constructed Index comprised segment benchmarks at the following weights: 51% MSCI All Country World Index; 6% Barclays US High Yield 2% Issuer Capped Bond Index; 5% Bloomberg Commodity Index Total Return; 5% FTSE EPRA/NAREIT Developed Index; 10% Barclays US Government Inflation-Linked Bond Index; 10% Barclays US Breakeven Inflation Aggregate Index; and 13% BofA Merrill Lynch US 6-Month Treasury Bill Index. Performance of the Constructed Index generated after June 30, 2009, is reduced by 20 basis points (or 0.20%) per annum, prorated monthly. This reduction reflects an estimate of the costs of investing in the Constructed Index's segments through index funds or other instruments and is designed to facilitate a comparison of passive investment strategies with active portfolio management. (One cannot invest directly in an index and unmanaged indices do not incur fees and expenses.) The reported performance of the Constructed Index would increase in the absence of a 20 basis point reduction. The allocations, segment weights, and segment benchmarks of the Constructed Index have varied over time and the performance presented for the Constructed Index reflects the allocations, segment weights, and segment benchmarks that were in place at the time the performance was generated. |
Performance of a $2,500,000 Investment (Unaudited) | Ten year period ended 12/31/14 |
Past performance is not a guarantee of future results.
The fund's performance assumes the reinvestment of all dividends and distributions and includes the effects of the current 0.50% entry and exit fees received by the fund, but does not reflect the deduction of taxes that a member subject to tax would pay on fund distributions or the redemption of fund shares.
5
Manager Allocation Changes
MAF’s roster of external managers changed materially during 2014 as TAS replaced retiring external managers and sought to diversify MAF’s strategies in order to enhance its long-term performance prospects. In Q1, a change to the mandate for a portion of the capital managed by London-based Marathon Asset Management resulted in a transition from a global equity strategy to a strategy of pursuing emerging market stocks. TAS believed that the excess return opportunity for Marathon in emerging markets was both significant and complementary to MAF’s other active equity strategies. Given the reasonable valuations TAS perceived in some emerging markets at the time, TAS sought to increase actively managed exposure in those regions.
Two of MAF’s external managers decided during Q1 to retire at or around quarter-end, liquidate their portfolios, and return capital to outside investors. Having struggled to attract sufficient capital and to attract and retain top-flight staff — despite generating returns that TAS viewed as well within the range of expectations — Sam Morland decided to wind down OVS Capital. Over the two-plus years during which OVS managed assets for MAF, MAF’s account compounded at a rate that exceeded the annualized volatility of its monthly returns. The second retirement announcement came from Bob Karr at Joho Capital, manager of a fund in which MAF had long been invested. After 17-plus years of compounding clients’ capital and his own at pleasing rates, Bob decided to return capital to outside investors and convert Joho, an Asia-focused shop, to a family office.
At or around the end of Q2, MAF’s roster of managers showed two important transitions. First, MAF invested 3% of its capital in a hedge fund managed by New York-based Hudson Bay Capital. Founded in 2005 by Sander Gerber, Hudson Bay pursues investment returns that generally tend to be uncorrelated with financial markets through a multi-strategy, relative value approach. The strategies are run with the intent to remain indifferent to market movements, reflected in the fund’s historical correlation to equities at close to zero. The addition of this manager helped replace some of the exposures that departed MAF in Q1, particularly some of the relative value exposures pursued by OVS. Additionally, the Hudson Bay allocation reduced the equity sensitivity of MAF’s illiquid positions. The other change involved London-based Sleep, Zakaria & Co., which shut its doors during the second quarter. Nick Sleep and Qais Zakaria posted truly admirable returns as stewards of The Nomad Investment Partnership, in which MAF was invested.
Other than a small additional allocation to MAF’s TIPS mandate with Amundi Smith Breeden (increasing the TIPS allocation from 5% to 8%), the only other manager allocation made in Q3 was to SummerHaven Investment Management, a manager new to MAF. SummerHaven, based in New Haven, Connecticut, was founded in 2009 by Geert Rouwenhorst, a Yale professor, and Ashraf Rizvi, who had previously led commodities trading at UBS. Their flagship fund, the SummerHaven Commodities Fund (SCF), is a diversified portfolio of long futures contracts in commodities with low inventories. SummerHaven’s research shows that commodities with little available inventory have tended to exhibit high future price volatility, and investors willing to absorb that volatility have the potential to earn a higher rate of return than an investor would normally receive from allocating to a basket of commodities. Their research also shows that the diversification of an equally weighted portfolio of low-inventory commodities has generated volatility and correlation characteristics on par with widely followed commodity indices, resulting in a better risk-adjusted return than the traditional more highly concentrated commodity futures indexes. Of course, there can be no assurance that SCF will perform in line with SummerHaven’s research, however, since the strategy’s launch in 2009 it has consistently outperformed the more widely used Bloomberg Commodity Index.
Two significant manager allocations occurred in Q4, as did one manager termination. A subsequent investment into SCF in Q4 brought the total allocation to 3.5% of MAF’s assets. The capital for the SCF allocation came from a full redemption from the PIMCO Commodity Real Return Strategy Fund. Since 2008, PIMCO’s fund offered MAF a reasonable exposure to commodities that satisfied the tax, liquidity, and affiliation constraints imposed by mutual fund rules. However, the excess return over the collateral-adjusted Bloomberg Commodity Index was small. TAS believes SummerHaven’s investment philosophy, research capabilities, and smaller firm size give the firm a slight advantage over PIMCO that may lead to better risk-adjusted returns. While not significantly changing the commodities weight in MAF (about 5%), the move concentrates the commodities segment in SummerHaven’s actively managed portfolio.
6
Manager Allocation Changes (continued)
Also in Q4, TAS added Kopernik Global Investors to MAF’s roster of equity managers in the final days of 2014 at an initial weight of almost 4%. David Iben, whose highly successful investment career spans 30-plus years, founded Kopernik in July 2013 to pursue a value-oriented investment approach with broad flexibility as to how to define, and where to find, value. Kopernik’s investment process is index agnostic resulting in an investment portfolio that, although at times well-diversified in the number of stocks, is often concentrated in themes, industries, and/or countries. As of year-end, Kopernik had significant allocations to emerging markets and to asset-heavy businesses, including mining and infrastructure companies. When allocating capital to a new manager, TAS often reduces other equity exposure by selling passive investments or by full or partial redemptions from other equity managers pursuing similar strategies. In this case, TAS decided to allow the Kopernik allocation to increase MAF’s equity exposure (from 50% to 54% of assets). Two factors drove this decision: (1) there was a desire to increase risk in MAF, and the distressed prices at which many Kopernik portfolio companies trade offer unusual risk/reward ratios; and (2) Kopernik’s portfolio contained very few overlapping positions with MAF’s other equity managers’ portfolios, allowing for potential diversification benefits. The capital was raised by reducing MAF’s TIPS Breakeven position. TAS also believes that Kopernik’s portfolio has the potential under many circumstances to be at least as good an inflation hedge as a TIPS Breakeven position, while offering, in TAS’s view, a higher return opportunity. Of course, there’s no free lunch: TAS expects the Kopernik allocation to be much more volatile than the Breakeven exposure, and it could suffer significant drawdowns or permanent losses of capital should the market continue to see less value in these names than Kopernik sees or should Kopernik’s analysis prove to be flawed.
Summary Schedule of Investments (Unaudited) |
Foreign Common Stocks | 25.8% | |||
US Common Stocks | 22.3% | |||
Private Investment Funds | 17.2% | |||
US Treasury Bonds/Notes | 12.1% | |||
US Treasury Bills | 9.7% | |||
Repurchase Agreement Used for Cash Management Purposes | 7.4% | |||
Exchange-Traded Funds (ETFs) | 6.7% | |||
Mortgage-Backed Securities | 1.5% | |||
Asset-Backed Securities | 0.9% | |||
Preferred Stocks | 0.3% | |||
Participation Notes | 0.2% | |||
Publicly Traded Limited Partnership | 0.1% | |||
Warrants | 0.0% | |||
Corporate Bonds | 0.0% | |||
Total Investments | 104.2% | |||
Securities Sold Short | (2.3)% | |||
Liabilities in Excess of Other Assets | (4.2)% | |||
Net Assets | 100.0% |
Fund holdings and sector weightings are subject to change and should not be considered a recommendation to buy or sell any security. Please refer to the Schedule of Investments for complete holdings information. Current and future holdings are subject to risk. Diversification does not ensure a profit or protect against loss in declining markets.
7
Fund Expenses (Unaudited) |
As a shareholder of a fund, you incur two types of costs: (1) transaction costs, including entry and exit fees; and (2) ongoing costs, including management fees and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2014 to December 31, 2014.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as entry fees or exit fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Including Interest and Dividend Expense** | Excluding Interest and Dividend Expense** | |||||||||||||||||||||||
Beginning Account Value 7/1/14 | Ending Account Value 12/31/14 | Expense Paid During the Period* 7/1/14 – 12/31/14 | Beginning Account Value 7/1/14 | Ending Account Value 12/31/14 | Expense Paid During the Period* 7/1/14 – 12/31/14 | |||||||||||||||||||
1) Actual | $ | 1,000.00 | $ | 971.40 | $ | 5.22 | $ | 1,000.00 | $ | 971.40 | $ | 3.93 | ||||||||||||
2) Hypothetical | $ | 1,000.00 | $ | 1,019.91 | $ | 5.35 | $ | 1,000.00 | $ | 1,021.22 | $ | 4.02 |
* | Expenses are equal to the fund’s annualized expense ratio of 1.05% (calculated over a six-month period, which may differ from the fund’s actual expense ratio for the full year), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Excluding interest and dividend expense, expenses incurred by the fund were 0.79%. The expense ratios do not include the fees and expenses associated with investments made in acquired funds; such fees and expenses are reflected in the acquired funds' total return. |
** | Interest expense is interest paid on securities sold short and reverse repurchase agreements (see Note 7); dividend expense is dividends paid on securities sold short. |
8
Financial Highlights |
Year Ended December 31, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | |||||||||||||||||
For a share outstanding throughout each period | |||||||||||||||||||||
Net asset value, beginning of year | $ | 16.26 | $ | 15.80 | $ | 14.54 | $ | 15.55 | $ | 14.39 | |||||||||||
Income (loss) from investment operations | |||||||||||||||||||||
Net investment income (a) | 0.09 | 0.01 (b) | 0.17 | 0.26 | 0.19 | ||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.05 | 2.15 | 1.84 | (0.54 | ) | 1.67 | |||||||||||||||
Total from investment operations | 0.14 | 2.16 | 2.01 | (0.28 | ) | 1.86 | |||||||||||||||
Less distributions from | |||||||||||||||||||||
Net investment income | (0.11 | ) | (0.17 | ) | (0.30 | ) | (0.07 | ) | (0.70 | ) | |||||||||||
Net realized gains | (0.99 | ) | (1.55 | ) | (0.47 | ) | (0.54 | ) | (0.01 | ) | |||||||||||
Return of capital | — | — | — | (0.13 | ) | — | |||||||||||||||
Total distributions | (1.10 | ) | (1.72 | ) | (0.77 | ) | (0.74 | ) | (0.71 | ) | |||||||||||
Entry/exit fee per share (a) | 0.01 | 0.02 | 0.02 | 0.01 | 0.01 | ||||||||||||||||
Net asset value, end of year | $ | 15.31 | $ | 16.26 | $ | 15.80 | $ | 14.54 | $ | 15.55 | |||||||||||
Total return (c) | 1.00 | % | 14.02 | % | 14.00 | % | (1.70 | )% | 13.18 | % | |||||||||||
Ratios/supplemental data | |||||||||||||||||||||
Net assets, end of year (000s) | $ | 5,757,318 | $ | 5,770,761 | $ | 4,923,265 | $ | 4,164,070 | $ | 3,876,799 | |||||||||||
Ratio of expenses to average net assets, before waivers (d) | 1.18 | % | 1.31 | % | 0.94 | % | 0.67 | % | 0.81 | % | |||||||||||
Ratio of expenses to average net assets, after waivers (d) | 1.18 | % | 1.31 | %(b) | 0.94 | % | 0.67 | % | 0.81 | % | |||||||||||
Ratio of expenses to average net assets, excluding interest and dividend expense (d) | 0.85 | % | 0.90 | % | 0.81 | % | 0.61 | % | 0.76 | % | |||||||||||
Ratio of net investment income to average net assets | 0.52 | % | 0.06 | %(b) | 1.07 | % | 1.66 | % | 1.28 | % | |||||||||||
Portfolio turnover | 94 | % | 106 | % | 54 | % | 42 | % | 48 | % |
(a) | Calculation based on average shares outstanding. |
(b) | Net of fees and expenses waived. An expense waiver was in place for only a portion of 2013. The impact of the fee waiver as a ratio to average net assets was 0.00%. |
(c) | Total return assumes dividend reinvestment and includes the effects of entry and exit fees received by the fund; however, it does not reflect the deduction of such fees from a member's purchase or redemption transaction. Therefore, a member's total return for the period, assuming a purchase at the beginning of the period and a redemption at the end of the period, would be lower by the amount of entry and exit fees paid by the member. |
(d) | The expense ratio does not include the fees and expenses associated with investments made in acquired funds; such fees and expenses are reflected in the acquired funds' total return. |
See accompanying Notes to Financial Statements.
9
Number of Shares | Value | ||||||||
Investments — 104.2% of net assets | |||||||||
Common Stocks — 48.1% | |||||||||
US Common Stocks — 22.3% | |||||||||
Aerospace & Defense — 0.3% | |||||||||
Exelis, Inc. | 560,482 | $ | 9,825,250 | ||||||
General Dynamics Corp. | 5,710 | 785,810 | |||||||
Lockheed Martin Corp. | 13,700 | 2,638,209 | |||||||
Northrop Grumman Corp. | 7,600 | 1,120,164 | |||||||
14,369,433 | |||||||||
Air Freight & Logistics — 0.2% | |||||||||
FedEx Corp. | 61,200 | 10,627,992 | |||||||
Airlines — 0.9% | |||||||||
American Airlines Group, Inc. | 122,964 | 6,594,559 | |||||||
AMR Corp. (a) (b) (c) (d) | 260,322 | 538,867 | |||||||
Delta Air Lines, Inc. | 707,180 | 34,786,184 | |||||||
SkyWest, Inc. | 215,957 | 2,867,909 | |||||||
Southwest Airlines Co. | 64,000 | 2,708,480 | |||||||
United Continental Holdings, Inc. (a) | 91,225 | 6,102,040 | |||||||
53,598,039 | |||||||||
Automobiles — 0.1% | |||||||||
General Motors Co. | 175,272 | 6,118,746 | |||||||
Beverages — 0.2% | |||||||||
Constellation Brands, Inc., Class A (a) | 64,316 | 6,313,902 | |||||||
Dr Pepper Snapple Group, Inc. | 28,700 | 2,057,216 | |||||||
Monster Beverage Corp. (a) | 22,100 | 2,394,535 | |||||||
10,765,653 | |||||||||
Biotechnology — 0.1% | |||||||||
Biogen Idec, Inc. (a) | 7,700 | 2,613,765 | |||||||
Celgene Corp. (a) | 11,200 | 1,252,832 | |||||||
Gilead Sciences, Inc. (a) | 33,500 | 3,157,710 | |||||||
7,024,307 | |||||||||
Building Products — 0.2% | |||||||||
USG Corp. (a) | 327,700 | 9,172,323 | |||||||
Capital Markets — 0.7% | |||||||||
Goldman Sachs Group, Inc. (The) | 162,166 | 31,432,636 | |||||||
Northern Trust Corp. | 111,900 | 7,542,060 | |||||||
38,974,696 | |||||||||
Chemicals — 0.6% | |||||||||
Air Products & Chemicals, Inc. | 37,411 | 5,395,788 | |||||||
Axiall Corp. | 238,000 | 10,107,860 | |||||||
Calgon Carbon Corp. (a) | 346,100 | 7,191,958 | |||||||
CF Industries Holdings, Inc. | 5,800 | 1,580,732 | |||||||
LyondellBasell Industries NV, Class A | 24,100 | 1,913,299 | |||||||
WR Grace & Co. (a) | 93,022 | 8,873,369 | |||||||
35,063,006 | |||||||||
Commercial Banks — 0.5% | |||||||||
Huntington Bancshares Inc. | 89,660 | 943,223 | |||||||
Wells Fargo & Co. | 470,001 | 25,765,455 | |||||||
26,708,678 | |||||||||
Commercial Services & Supplies — 0.4% | |||||||||
ADT Corp. (The) | 286,685 | 10,386,598 | |||||||
Covanta Holding Corp. | 80,010 | 1,761,020 |
Number of Shares | Value | ||||||||
Interface, Inc. | 106,983 | $ | 1,762,010 | ||||||
KAR Auction Services, Inc. | 195,933 | 6,789,078 | |||||||
20,698,706 | |||||||||
Computers & Peripherals — 0.5% | |||||||||
Apple, Inc. | 73,500 | 8,112,930 | |||||||
EMC Corp. | 209,400 | 6,227,556 | |||||||
Hewlett-Packard Co. | 67,200 | 2,696,736 | |||||||
SanDisk Corp. | 109,904 | 10,768,394 | |||||||
Western Digital Corp. | 21,900 | 2,424,330 | |||||||
30,229,946 | |||||||||
Construction & Engineering — 0.0% | |||||||||
Layne Christensen Co. (a) | 212,596 | 2,028,166 | |||||||
Consumer Finance — 0.4% | |||||||||
Ally Financial, Inc. (a) | 25,600 | 604,672 | |||||||
American Express Co. | 175,314 | 16,311,215 | |||||||
Capital One Financial Corp. | 29,400 | 2,426,970 | |||||||
Discover Financial Services | 34,100 | 2,233,209 | |||||||
21,576,066 | |||||||||
Containers & Packaging — 0.3% | |||||||||
Avery Dennison Corp. | 194,600 | 10,095,848 | |||||||
Sealed Air Corp. | 230,324 | 9,772,647 | |||||||
19,868,495 | |||||||||
Diversified Financial Services — 0.7% | |||||||||
Citigroup, Inc. | 28,000 | 1,515,080 | |||||||
JPMorgan Chase & Co. | 583,459 | 36,512,864 | |||||||
Moody's Corp. | 19,350 | 1,853,924 | |||||||
39,881,868 | |||||||||
Diversified Telecommunication Services — 0.6% | |||||||||
AT&T, Inc. | 188,300 | 6,324,997 | |||||||
CenturyLink, Inc. | 51,900 | 2,054,202 | |||||||
Level 3 Communications, Inc. (a) | 278,180 | 13,736,528 | |||||||
Verizon Communications, Inc. | 203,600 | 9,524,408 | |||||||
31,640,135 | |||||||||
Electric Utilities — 0.1% | |||||||||
Edison International | 34,000 | 2,226,320 | |||||||
Entergy Corp. | 13,600 | 1,189,728 | |||||||
3,416,048 | |||||||||
Electronic Equipment, Instruments & Components — 0.3% | |||||||||
Checkpoint Systems, Inc. (a) | 374,426 | 5,140,869 | |||||||
Corning, Inc. | 103,400 | 2,370,962 | |||||||
Knowles Corp. (a) | 419,394 | 9,876,729 | |||||||
17,388,560 | |||||||||
Energy Equipment & Services — 0.1% | |||||||||
Baker Hughes, Inc. | 17,600 | 986,832 | |||||||
Cameron International Corp. (a) | 42,500 | 2,122,875 | |||||||
Halliburton Co. | 42,900 | 1,687,257 | |||||||
Nabors Industries, Ltd. | 128,700 | 1,670,526 | |||||||
6,467,490 | |||||||||
Food & Staples Retailing — 0.8% | |||||||||
Kroger Co. (The) | 36,400 | 2,337,244 | |||||||
Smart & Final Stores, Inc. (a) | 207,594 | 3,265,454 | |||||||
Sysco Corp. | 208,400 | 8,271,396 | |||||||
Wal-Mart Stores, Inc. | 328,036 | 28,171,732 |
10
Number of Shares | Value | ||||||||
Whole Foods Market, Inc. | 46,827 | $ | 2,361,017 | ||||||
44,406,843 | |||||||||
Food Products — 0.5% | |||||||||
Archer-Daniels-Midland Co. | 33,800 | 1,757,600 | |||||||
Bunge, Ltd. | 18,500 | 1,681,835 | |||||||
ConAgra Foods, Inc. | 97,900 | 3,551,812 | |||||||
Ingredion, Inc. | 85,000 | 7,211,400 | |||||||
Kraft Foods Group, Inc. | 68,466 | 4,290,080 | |||||||
Mondelez International, Inc. | 238,000 | 8,645,350 | |||||||
Tyson Foods, Inc., Class A | 52,500 | 2,104,725 | |||||||
29,242,802 | |||||||||
Health Care Equipment & Supplies — 0.1% | |||||||||
Baxter International, Inc. | 97,900 | 7,175,091 | |||||||
Health Care Providers & Services — 0.7% | |||||||||
Aetna, Inc. | 23,110 | 2,052,861 | |||||||
AmerisourceBergen Corp. | 25,200 | 2,272,032 | |||||||
BioScrip, Inc. (a) | 294,069 | 2,055,542 | |||||||
Cardinal Health, Inc. | 28,900 | 2,333,097 | |||||||
CIGNA Corp. | 17,400 | 1,790,634 | |||||||
Community Health Systems, Inc. (a) | 88,940 | 4,795,645 | |||||||
Express Scripts Holding Co. (a) | 30,900 | 2,616,303 | |||||||
HCA Holdings, Inc. (a) | 28,400 | 2,084,276 | |||||||
Humana, Inc. | 10,000 | 1,436,300 | |||||||
McKesson Corp. | 12,000 | 2,490,960 | |||||||
UnitedHealth Group, Inc. | 95,800 | 9,684,422 | |||||||
VCA Antech, Inc. (a) | 153,743 | 7,498,046 | |||||||
41,110,118 | |||||||||
Health Care Technology — 0.1% | |||||||||
Allscripts Healthcare Solutions, Inc. (a) | 403,577 | 5,153,678 | |||||||
Hotels, Restaurants & Leisure — 0.5% | |||||||||
Carnival Corp. | 175,700 | 7,964,481 | |||||||
Jamba, Inc. (a) | 74,037 | 1,117,218 | |||||||
La Quinta Holdings, Inc. (a) | 219,900 | 4,850,994 | |||||||
McDonald's Corp. | 53,800 | 5,041,060 | |||||||
Wyndham Worldwide Corp. | 8,000 | 686,080 | |||||||
Yum! Brands, Inc. | 101,500 | 7,394,275 | |||||||
27,054,108 | |||||||||
Household Durables — 0.3% | |||||||||
Toll Brothers, Inc. (a) | 190,600 | 6,531,862 | |||||||
WCI Communities, Inc. (a) | 285,200 | 5,584,216 | |||||||
Whirlpool Corp. | 12,900 | 2,499,246 | |||||||
14,615,324 | |||||||||
Household Products — 0.1% | |||||||||
Procter & Gamble Co. (The) | 55,100 | 5,019,059 | |||||||
Independent Power Producers & Energy Traders — 0.0% | |||||||||
AES Corp. (The) | 113,600 | 1,564,272 | |||||||
Industrial Conglomerates — 0.1% | |||||||||
General Electric Co. | 273,800 | 6,918,926 | |||||||
Insurance — 0.5% | |||||||||
Allstate Corp. (The) | 37,200 | 2,613,300 | |||||||
American International Group, Inc. | 48,600 | 2,722,086 | |||||||
Assurant, Inc. | 13,970 | 955,967 | |||||||
Everest Re Group, Ltd. | 51,900 | 8,838,570 |
Number of Shares | Value | ||||||||
Loews Corp. | 215,000 | $ | 9,034,300 | ||||||
Travelers Companies, Inc. (The) | 23,700 | 2,508,645 | |||||||
Unum Group | 32,000 | 1,116,160 | |||||||
27,789,028 | |||||||||
Internet & Catalog Retail — 0.5% | |||||||||
Amazon.com, Inc. (a) | 75,397 | 23,399,459 | |||||||
Expedia, Inc. | 23,300 | 1,988,888 | |||||||
Netflix, Inc. (a) | 17,018 | 5,813,519 | |||||||
31,201,866 | |||||||||
Internet Software & Services — 0.3% | |||||||||
ChannelAdvisor Corp. (a) | 28,900 | 623,662 | |||||||
Google, Inc., Class A (a) | 6,031 | 3,200,411 | |||||||
LinkedIn Corp. (a) | 47,948 | 11,014,135 | |||||||
Twitter, Inc. (a) | 26,592 | 953,855 | |||||||
VeriSign, Inc. (a) | 26,900 | 1,533,300 | |||||||
17,325,363 | |||||||||
IT Services — 0.6% | |||||||||
Cognizant Technology Solutions Corp. (a) | 90,404 | 4,760,675 | |||||||
Computer Sciences Corp. | 23,400 | 1,475,370 | |||||||
International Business Machines Corp. (IBM) | 86,626 | 13,898,275 | |||||||
Lionbridge Technologies, Inc. (a) | 508,525 | 2,924,019 | |||||||
Mastercard, Inc. | 24,600 | 2,119,536 | |||||||
Visa, Inc., Class A | 34,123 | 8,947,050 | |||||||
Western Union Co. (The) | 119,100 | 2,133,081 | |||||||
36,258,006 | |||||||||
Leisure Equipment & Products — 0.0% | |||||||||
Polaris Industries, Inc. | 13,400 | 2,026,616 | |||||||
Life Sciences Tools & Services — 0.2% | |||||||||
PerkinElmer, Inc. | 204,050 | 8,923,106 | |||||||
Machinery — 0.3% | |||||||||
Actuant Corp. | 303,000 | 8,253,720 | |||||||
Lindsay Corp. | 107,600 | 9,225,624 | |||||||
17,479,344 | |||||||||
Media — 1.9% | |||||||||
Cablevision Systems Corp. | 620,436 | 12,805,799 | |||||||
CBS Corp., Class B | 72,552 | 4,015,028 | |||||||
Comcast Corp., Class A | 699,938 | 40,603,403 | |||||||
Gray Television, Inc. (a) | 336,158 | 3,764,970 | |||||||
Live Nation, Inc. (a) | 243,338 | 6,353,555 | |||||||
McGraw-Hill Companies, Inc. (The) | 25,200 | 2,242,296 | |||||||
News Corp., Class A (a) | 74,700 | 1,172,043 | |||||||
Sinclair Broadcast Group, Inc. | 418,620 | 11,453,443 | |||||||
Twenty-First Century Fox, Inc. | 161,632 | 6,207,477 | |||||||
Walt Disney Co. (The) | 237,155 | 22,337,629 | |||||||
110,955,643 | |||||||||
Metals & Mining — 0.4% | |||||||||
Alcoa, Inc. | 86,200 | 1,361,098 | |||||||
Compass Minerals International, Inc. | 104,600 | 9,082,418 | |||||||
Freeport-McMoRan Copper & Gold, Inc. | 19,700 | 460,192 | |||||||
Newmont Mining Corp. | 298,597 | 5,643,483 | |||||||
TimkenSteel Corp. | 221,855 | 8,215,291 | |||||||
24,762,482 |
11
Number of Shares | Value | ||||||||
Multiline Retail — 0.1% | |||||||||
Kohl's Corp. | 35,200 | $ | 2,148,608 | ||||||
Macy's, Inc. | 38,100 | 2,505,075 | |||||||
4,653,683 | |||||||||
Office Electronics — 0.0% | |||||||||
Xerox Corp. | 156,300 | 2,166,318 | |||||||
Oil, Gas & Consumable Fuels — 0.7% | |||||||||
Chesapeake Energy Corp. | 551,100 | 10,785,027 | |||||||
Harvest Natural Resources, Inc. (a) | 443,434 | 802,615 | |||||||
Marathon Petroleum Corp. | 26,800 | 2,418,968 | |||||||
Murphy Oil Corp. | 90,700 | 4,582,164 | |||||||
Peabody Energy Corp. | 857,363 | 6,635,990 | |||||||
Phillips 66 | 11,900 | 853,230 | |||||||
Tesoro Corp. | 29,600 | 2,200,760 | |||||||
Valero Energy Corp. | 46,400 | 2,296,800 | |||||||
WPX Energy, Inc. (a) | 626,700 | 7,288,521 | |||||||
37,864,075 | |||||||||
Pharmaceuticals — 0.5% | |||||||||
Merck & Co., Inc. | 86,000 | 4,883,940 | |||||||
Mylan, Inc. (a) | 9,800 | 552,426 | |||||||
Pfizer, Inc. | 561,757 | 17,498,731 | |||||||
Zoetis, Inc. | 92,700 | 3,988,881 | |||||||
26,923,978 | |||||||||
Real Estate — 0.0% | |||||||||
CBRE Group, Inc. (a) | 42,560 | 1,457,680 | |||||||
Real Estate Investment Trusts (REITs) — 3.2% | |||||||||
Agree Realty Corp. | 173,200 | 5,384,788 | |||||||
Alexander's, Inc. | 27,768 | 12,139,614 | |||||||
Brandywine Realty Trust | 416,700 | 6,658,866 | |||||||
CBL & Associates Properties, Inc. | 1,586,500 | 30,809,830 | |||||||
CorEnergy Infrastructure Trust, Inc. | 588,000 | 3,810,240 | |||||||
Douglas Emmett, Inc. | 330,800 | 9,394,720 | |||||||
Gramercy Property Trust, Inc. | 1,119,500 | 7,724,550 | |||||||
Highwoods Properties, Inc. | 151,167 | 6,693,675 | |||||||
Mack-Cali Realty Corp. | 130,300 | 2,483,518 | |||||||
Mid-America Apartment Communities, Inc. | 94,500 | 7,057,260 | |||||||
National Health Investors, Inc. | 51,200 | 3,581,952 | |||||||
Outfront Media, Inc. | 933,803 | 25,063,273 | |||||||
SL Green Realty Corp. | 112,600 | 13,401,652 | |||||||
Starwood Property Trust, Inc. | 440,164 | 10,229,411 | |||||||
Starwood Waypoint Residential Trust | 29,165 | 769,081 | |||||||
Ventas, Inc. | 134,100 | 9,614,970 | |||||||
Vornado Realty Trust | 189,700 | 22,329,587 | |||||||
Washington Prime Group, Inc. | 493,400 | 8,496,348 | |||||||
185,643,335 | |||||||||
Road & Rail — 0.0% | |||||||||
Union Pacific Corp. | 12,400 | 1,477,212 | |||||||
Semiconductors & Semiconductor Equipment — 0.4% | |||||||||
Cabot Microelectronics Corp. (a) | 52,700 | 2,493,764 | |||||||
Entegris, Inc. (a) | 703,200 | 9,289,272 | |||||||
Intel Corp. | 101,500 | 3,683,435 | |||||||
Lam Research Corp. | 29,500 | 2,340,530 | |||||||
Micron Technology, Inc. (a) | 67,500 | 2,363,175 |
Number of Shares | Value | ||||||||
SunEdison, Inc. (a) | 213,389 | $ | 4,163,219 | ||||||
24,333,395 | |||||||||
Software — 0.6% | |||||||||
Cadence Design Systems, Inc. (a) | 316,938 | 6,012,314 | |||||||
Microsoft Corp. | 321,260 | 14,922,527 | |||||||
MicroStrategy, Inc., Class A (a) | 25,953 | 4,214,767 | |||||||
Oracle Corp. | 171,800 | 7,725,846 | |||||||
SolarWinds, Inc. (a) | 85,171 | 4,244,071 | |||||||
37,119,525 | |||||||||
Specialty Retail — 1.0% | |||||||||
Aaron's, Inc. | 372,100 | 11,375,097 | |||||||
Best Buy Co., Inc. | 7,900 | 307,942 | |||||||
CST Brands, Inc. | 140,000 | 6,105,400 | |||||||
Destination XL Group, Inc. (a) | 388,843 | 2,123,083 | |||||||
Dick's Sporting Goods, Inc. | 180,687 | 8,971,110 | |||||||
GameStop Corp. | 15,800 | 534,040 | |||||||
L Brands, Inc. | 214,520 | 18,566,706 | |||||||
Office Depot, Inc. (a) | 710,267 | 6,090,539 | |||||||
Pep Boys-Manny Moe & Jack (The) (a) | 525,305 | 5,158,495 | |||||||
59,232,412 | |||||||||
Textiles, Apparel & Luxury Goods — 0.4% | |||||||||
Nike, Inc. | 260,955 | 25,090,823 | |||||||
Thrifts & Mortgage Finance — 0.1% | |||||||||
Ladder Capital Corp., Class A (a) | 201,538 | 3,952,160 | |||||||
Washington Mutual, Inc. (a) (c) (d) | 33,600 | — | |||||||
3,952,160 | |||||||||
Tobacco — 0.1% | |||||||||
Altria Group, Inc. | 21,300 | 1,049,451 | |||||||
Lorillard, Inc. | 34,900 | 2,196,606 | |||||||
Philip Morris International, Inc. | 7,300 | 594,585 | |||||||
3,840,642 | |||||||||
Trading Companies & Distributors — 0.1% | |||||||||
NOW, Inc. (a) | 261,400 | 6,725,822 | |||||||
United Rentals, Inc. (a) | 6,800 | 693,668 | |||||||
7,419,490 | |||||||||
Total US Common Stocks (Cost $1,083,133,566) | 1,285,774,756 | ||||||||
Foreign Common Stocks — 25.8% | |||||||||
Argentina — 0.0% | |||||||||
Cresud SACIF y A – SPADR | 10,500 | 105,945 | |||||||
Australia — 0.5% | |||||||||
ALS, Ltd. | 43,103 | 186,510 | |||||||
Alumina, Ltd. (a) | 283,761 | 411,210 | |||||||
Amcor, Ltd. | 14,977 | 164,814 | |||||||
Ansell, Ltd. | 3,243 | 59,202 | |||||||
BHP Billiton, Ltd. | 13,380 | 317,488 | |||||||
BlueScope Steel, Ltd. (a) | 71,727 | 324,804 | |||||||
Coca-Cola Amatil, Ltd. | 75,634 | 572,356 | |||||||
Fairfax Media, Ltd. | 319,696 | 226,378 | |||||||
Goodman Fielder, Ltd. | 229,149 | 119,746 | |||||||
Iluka Resources, Ltd. | 38,737 | 186,215 | |||||||
Metcash, Ltd. | 109,495 | 164,657 | |||||||
Mineral Resources, Ltd. | 518,800 | 3,175,398 | |||||||
Newcrest Mining, Ltd. (a) | 1,075,701 | 9,578,732 |
12
Number of Shares | Value | ||||||||
Orica, Ltd. | 16,420 | $ | 251,649 | ||||||
Premier Investments, Ltd. | 7,652 | 61,115 | |||||||
QBE Insurance Group, Ltd. – ASE Shares | 311,306 | 2,823,670 | |||||||
SAI Global, Ltd. | 50,820 | 164,870 | |||||||
Santos, Ltd. | 13,123 | 88,663 | |||||||
Scentre Group (a) | 1,387,459 | 3,945,297 | |||||||
Sigma Pharmaceuticals, Ltd. | 314,238 | 188,449 | |||||||
Toll Holdings, Ltd. | 66,682 | 317,381 | |||||||
Transpacific Industries Group, Ltd. | 325,818 | 228,171 | |||||||
Westfield Corp. – REIT | 970,405 | 7,094,847 | |||||||
30,651,622 | |||||||||
Austria — 0.0% | |||||||||
Andritz AG | 4,887 | 268,572 | |||||||
Oesterreichische Post AG | 10,266 | 500,530 | |||||||
Wienerberger AG | 30,912 | 425,839 | |||||||
1,194,941 | |||||||||
Belgium — 0.0% | |||||||||
Ageas, Strip VVPR (a) (d) | 1,966 | 2 | |||||||
Anheuser-Busch InBev NV | 17,355 | 1,953,023 | |||||||
1,953,025 | |||||||||
Brazil — 0.3% | |||||||||
B2W Cia Digital (a) | 256,156 | 2,146,656 | |||||||
Brasil Pharma SA (a) (d) | 736,483 | 719,516 | |||||||
BrasilAgro – Co. Brasileira de Propriedades Agricolas | 10,600 | 36,267 | |||||||
CCR SA | 411,100 | 2,360,537 | |||||||
Centrais Eletricas Brasileiras SA – ADR (a) | 9,413 | 27,015 | |||||||
EDP – Energias do Brasil SA | 1,093,600 | 3,663,600 | |||||||
Grupo BTG Pactual (UNIT) | 106,400 | 1,116,299 | |||||||
LPS Brasil Consultoria de Imoveis SA | 433,300 | 1,047,336 | |||||||
MRV Engenharia e Participacoes SA | 1,196,000 | 3,345,214 | |||||||
SLC Agricola SA | 103,400 | 546,302 | |||||||
Totvs SA | 226,100 | 2,974,946 | |||||||
17,983,688 | |||||||||
Canada — 1.0% | |||||||||
Barrick Gold Corp. | 585,502 | 6,294,146 | |||||||
Cameco Corp. – NYSE Shares | 575,895 | 9,450,437 | |||||||
Centerra Gold, Inc. | 585,287 | 3,042,807 | |||||||
Dominion Diamond Corp. (a) | 241,317 | 4,334,053 | |||||||
Dundee Corp., Class A (a) | 144,408 | 1,592,242 | |||||||
Dundee Precious Metals, Inc. (a) | 733,383 | 1,729,617 | |||||||
Gabriel Resources, Ltd. (a) | 1,466,000 | 498,425 | |||||||
Ivanhoe Mines, Ltd., Class A (a) | 1,176,200 | 1,032,642 | |||||||
Kinross Gold Corp. (a) | 1,820,885 | 5,134,896 | |||||||
Kirkland Lake Gold, Inc. (a) | 209,298 | 603,502 | |||||||
Lundin Gold, Inc. (a) | 900,000 | 3,230,332 | |||||||
Magna International, Inc. | 19,700 | 2,141,193 | |||||||
Maple Leaf Foods, Inc. – TSE Shares | 183,448 | 3,074,309 | |||||||
Northern Dynasty Minerals, Ltd. (a) | 202,302 | 82,033 | |||||||
NOVAGOLD Resources, Inc. (a) | 1,064,190 | 3,139,361 | |||||||
Silver Standard Resources, Inc. (a) | 461,957 | 2,312,095 | |||||||
Sprott, Inc. | 1,568,934 | 3,295,059 | |||||||
Tahoe Resources, Inc. | 162,877 | 2,264,128 | |||||||
Turquoise Hill Resources, Ltd. (a) | 937,500 | 2,906,250 |
Number of Shares | Value | ||||||||
Uranium Participation Corp. (a) | 741,100 | $ | 3,285,131 | ||||||
59,442,658 | |||||||||
Chile — 0.1% | |||||||||
Cia Cervecerias Unidas SA | 327,567 | 3,048,601 | |||||||
Cia Cervecerias Unidas SA – ADR | 5,694 | 105,624 | |||||||
Quinenco SA (d) | 1,291,703 | 2,766,143 | |||||||
Sociedad Quimica y Minera de Chile SA – SPADR | 91,718 | 2,190,226 | |||||||
8,110,594 | |||||||||
China — 1.1% | |||||||||
Ajisen China Holdings, Ltd. | 2,399,000 | 1,826,136 | |||||||
Alibaba Group Holding, Ltd. (a) | 11,888 | 1,235,639 | |||||||
Baidu, Inc. – SPADR (a) | 19,905 | 4,537,743 | |||||||
Belle International Holdings, Ltd. | 2,561,000 | 2,863,724 | |||||||
China Mengniu Dairy Co., Ltd. | 761,000 | 3,120,488 | |||||||
China Resources Enterprise, Ltd. | 2,680,228 | 5,598,124 | |||||||
China Vanke Co, Ltd. (a) | 2,737,000 | 6,060,072 | |||||||
China XD Plastics Co., Ltd. (a) | 196,637 | 1,067,739 | |||||||
China Yurun Food Group, Ltd. (a) | 13,074,000 | 5,302,400 | |||||||
Daphne International Holdings, Ltd. | 2,988,000 | 1,083,939 | |||||||
Goodbaby International Holdings, Ltd. | 40,000 | 13,889 | |||||||
Griffin Mining, Ltd. (a) | 346,188 | 160,304 | |||||||
Guangshen Railway Co, Ltd. | 6,692,000 | 3,245,667 | |||||||
Guangzhou R&F Properties Co. Ltd. (a) | 4,620,400 | 5,638,214 | |||||||
Li Ning Co., Ltd. (a) | 4,246,000 | 2,034,061 | |||||||
Mindray Medical International, Ltd. – ADR | 191,828 | 5,064,259 | |||||||
Nam Tai Property, Inc. | 67,097 | 318,711 | |||||||
Shimao Property Holdings Ltd. | 3,065,500 | 6,831,972 | |||||||
Shui On Land, Ltd. | 3,548,333 | 843,154 | |||||||
Travelsky Technology, Ltd. | 695,000 | 746,740 | |||||||
Tsingtao Brewery Co., Ltd., Class H | 392,000 | 2,656,455 | |||||||
Wumart Stores, Inc. | 1,800,000 | 1,537,184 | |||||||
61,786,614 | |||||||||
Colombia — 0.0% | |||||||||
Bancolombia SA – SPADR | 39,700 | 1,900,836 | |||||||
Czech Republic — 0.0% | |||||||||
Komercni Banka AS | 5,074 | 1,045,315 | |||||||
Denmark — 0.2% | |||||||||
Carlsberg A/S, Class B | 11,271 | 875,256 | |||||||
Coloplast A/S, Class B | 38,445 | 3,235,806 | |||||||
Danske Bank A/S | 7,040 | 189,479 | |||||||
GN Store Nord (GN Great Nordic) A/S | 55,490 | 1,207,975 | |||||||
Novo Nordisk A/S, Class B | 33,844 | 1,431,994 | |||||||
Topdanmark A/S (a) | 8,760 | 284,923 | |||||||
Vestas Wind Systems A/S (a) | 65,058 | 2,350,184 | |||||||
William Demant Holding A/S (a) | 11,509 | 873,556 | |||||||
10,449,173 | |||||||||
Finland — 0.2% | |||||||||
Cargotec Oyj, Class B | 3,528 | 107,970 | |||||||
Metso Oyj | 21,749 | 648,681 | |||||||
Outokumpu Oyj (a) | 1,989 | 11,301 | |||||||
Sampo Oyj, Class A | 60,725 | 2,847,371 |
13
Number of Shares | Value | ||||||||
Tikkurila Oyj (d) | 350,726 | $ | 6,149,222 | ||||||
UPM-Kymmene Oyj | 125,186 | 2,055,639 | |||||||
Wartsila Corp. | 8,809 | 395,296 | |||||||
12,215,480 | |||||||||
France — 1.1% | |||||||||
Air France-KLM SA (a) | 63,827 | 610,717 | |||||||
Airbus Group NV | 14,372 | 713,817 | |||||||
Areva SA (a) | 112,714 | 1,234,413 | |||||||
AXA SA | 34,148 | 788,701 | |||||||
BNP Paribas SA | 24,559 | 1,443,192 | |||||||
Carrefour SA | 7,183 | 218,234 | |||||||
Christian Dior SA | 35,200 | 6,014,169 | |||||||
Edenred SA | 18,503 | 513,775 | |||||||
Electricite de France SA | 95,812 | 2,630,889 | |||||||
Eurofins Scientific | 2,560 | 651,860 | |||||||
GDF Suez, Strip VVPR (a) (d) | 9,765 | 12 | |||||||
Groupe Eurotunnel SA | 67,376 | 869,730 | |||||||
Hermes International | 1,994 | 711,009 | |||||||
Imerys SA | 1,718 | 126,692 | |||||||
Lafarge SA | 171,800 | 12,057,670 | |||||||
Legrand SA | 27,356 | 1,432,056 | |||||||
Neopost SA | 9,950 | 564,738 | |||||||
SA des Ciments Vicat | 3,643 | 262,620 | |||||||
Safran SA | 147,625 | 9,086,166 | |||||||
Sanofi SA | 104,255 | 9,501,376 | |||||||
Technip SA | 1,848 | 110,351 | |||||||
Thales SA | 6,173 | 333,071 | |||||||
Total SA | 133,932 | 6,905,430 | |||||||
Vallourec SA | 8,610 | 235,111 | |||||||
Vivendi SA (a) | 350,300 | 8,738,289 | |||||||
65,754,088 | |||||||||
Germany — 1.0% | |||||||||
Adidas AG | 206,834 | 14,415,958 | |||||||
Alstria Office AG – REIT (a) | 719,134 | 8,945,989 | |||||||
Axel Springer AG | 2,520 | 151,978 | |||||||
BASF SE | 20,226 | 1,709,779 | |||||||
Bayerische Motoren Werke AG | 14,000 | 1,520,454 | |||||||
Brenntag AG | 3,956 | 222,602 | |||||||
CTS Eventim AG | 15,075 | 448,051 | |||||||
Deutsche Annington Immobilien SE | 356,992 | 12,143,246 | |||||||
Deutsche Telekom AG | 506,242 | 8,114,185 | |||||||
E.ON AG | 29,149 | 500,546 | |||||||
Fielmann AG | 3,851 | 263,421 | |||||||
Fresenius Medical Care AG & Co. | 28,925 | 2,164,772 | |||||||
GEA Group AG | 4,744 | 210,049 | |||||||
Gerresheimer AG | 1,819 | 98,374 | |||||||
Hannover Rueckversicherung AG | 2,172 | 197,015 | |||||||
SAP AG | 93,578 | 6,616,478 | |||||||
Symrise AG | 8,013 | 485,940 | |||||||
TUI AG – Xetra Shares | 21,773 | 360,884 | |||||||
TUI AG – LSE Shares (a) | 60,578 | 973,439 | |||||||
59,543,160 | |||||||||
Greece — 0.0% | |||||||||
Tsakos Energy Navigation, Ltd. | 230,263 | 1,607,236 |
Number of Shares | Value | ||||||||
Hong Kong — 0.9% | |||||||||
Cheung Kong Holdings, Ltd. | 780,000 | $ | 13,035,221 | ||||||
China Mobile, Ltd. | 505,000 | 5,945,663 | |||||||
Esprit Holdings, Ltd. | 577,000 | 689,635 | |||||||
First Pacific Co., Ltd. | 198,000 | 195,193 | |||||||
Guoco Group, Ltd. | 90,000 | 1,053,868 | |||||||
Hang Lung Properties, Ltd. | 1,069,200 | 2,979,741 | |||||||
Hong Kong & Shanghai Hotels, Ltd. (The) | 52,522 | 77,562 | |||||||
Hopewell Holdings, Ltd. (d) | 2,163,000 | 7,888,773 | |||||||
Hutchison Whampoa, Ltd. | 88,000 | 1,008,606 | |||||||
Jardine Matheson Holdings, Ltd. | 12,800 | 778,896 | |||||||
Melco International Development, Ltd. | 6,699,000 | 14,683,334 | |||||||
Shangri-La Asia Ltd. | 484,600 | 665,577 | |||||||
Yingde Gases | 1,528,000 | 1,070,653 | |||||||
50,072,722 | |||||||||
India — 0.1% | |||||||||
Axis Bank, Ltd. – GDR | 131,211 | 5,117,229 | |||||||
Indonesia — 0.1% | |||||||||
Bank Mandiri Persero Tbk PT | 3,405,100 | 2,939,110 | |||||||
Perusahaan Gas Negara (Persero) Tbk PT | 5,944,700 | 2,863,461 | |||||||
XL Axiata Tbk PT | 1,615,000 | 629,635 | |||||||
6,432,206 | |||||||||
Ireland — 0.2% | |||||||||
CRH plc | 4,829 | 114,698 | |||||||
DCC plc | 15,501 | 851,937 | |||||||
Experian plc | 57,905 | 976,725 | |||||||
Governor & Co. of the Bank of Ireland (The) (a) | 4,422,433 | 1,648,911 | |||||||
Independent News & Media plc (a) | 421,481 | 68,826 | |||||||
Irish Bank Resolution Corp., Ltd. (a) (d) | 38,180 | — | |||||||
Irish Continental Group plc | 76,772 | 300,303 | |||||||
Paddy Power plc | 10,538 | 877,191 | |||||||
Ryanair Holdings plc (a) | 322,199 | 3,813,453 | |||||||
Seagate Technology plc | 27,100 | 1,802,150 | |||||||
10,454,194 | |||||||||
Israel — 0.1% | |||||||||
Check Point Software Technologies, Ltd. (a) | 7,000 | 549,990 | |||||||
Teva Pharmaceutical Industries, Ltd. – SPADR | 94,300 | 5,423,193 | |||||||
5,973,183 | |||||||||
Italy — 0.6% | |||||||||
Davide Campari-Milano SpA | 20,831 | 129,318 | |||||||
Eni SpA | 273,639 | 4,779,163 | |||||||
ERG SpA | 156,584 | 1,753,367 | |||||||
Exor SpA | 225,079 | 9,182,620 | |||||||
Immobiliare Grande Distribuzione SIIQ SpA – REIT | 6,977,340 | 5,433,862 | |||||||
Intesa Sanpaolo SpA | 85,605 | 247,642 | |||||||
Luxottica Group SpA | 33,308 | 1,823,534 | |||||||
Luxottica Group SpA – SPADR | 4,764 | 259,495 | |||||||
Piaggio & C SpA (a) (d) | 2,547,596 | 7,387,006 | |||||||
Saipem SpA (a) | 58,494 | 614,322 |
14
Number of Shares | Value | ||||||||
Telecom Italia SpA | 1,224,793 | $ | 1,023,725 | ||||||
UniCredit SpA | 81,713 | 520,798 | |||||||
33,154,852 | |||||||||
Japan — 7.8% | |||||||||
Alfresa Holdings Corp. | 73,900 | 893,112 | |||||||
Asahi Diamond Industrial Co., Ltd. | 1,918,800 | 20,012,676 | |||||||
Asatsu-DK, Inc. | 235,700 | 5,604,683 | |||||||
Astellas Pharma, Inc. | 49,100 | 683,355 | |||||||
Azbil Corp. | 804,200 | 18,594,855 | |||||||
Bank of Yokohama, Ltd. (The) | 66,000 | 358,214 | |||||||
Bit-isle, Inc. | 141,900 | 585,691 | |||||||
BML, Inc. | 557,900 | 14,798,734 | |||||||
Canon, Inc. | 151,300 | 4,805,572 | |||||||
Chiba Bank, Ltd. (The) | 70,000 | 459,430 | |||||||
Dai-ichi Life Insurance Co., Ltd. (The) | 128,700 | 1,952,985 | |||||||
Daiichikosho Co., Ltd. | 811,400 | 21,971,336 | |||||||
Dentsu, Inc. | 18,500 | 778,544 | |||||||
Duskin Co., Ltd. | 980,100 | 14,403,739 | |||||||
East Japan Railway Co. | 21,400 | 1,603,302 | |||||||
FUJIFILM Holdings Corp. | 77,000 | 2,323,766 | |||||||
Fujitsu, Ltd. | 244,000 | 1,299,754 | |||||||
Goldcrest Co., Ltd. | 57,500 | 1,065,629 | |||||||
Hakuhodo DY Holdings, Inc. | 1,480,000 | 14,185,716 | |||||||
Hitachi Metals, Ltd. | 16,000 | 272,476 | |||||||
Hitachi, Ltd. | 324,000 | 2,370,792 | |||||||
Hogy Medical Co, Ltd. | 160,000 | 7,296,910 | |||||||
Honda Motor Co, Ltd. | 282,800 | 8,223,738 | |||||||
Hoshizaki Electric Co., Ltd. | 432,600 | 20,762,435 | |||||||
Isetan Mitsukoshi Holdings, Ltd. | 80,600 | 988,098 | |||||||
Japan Digital Laboratory Co, Ltd. | 57,200 | 769,044 | |||||||
Japan Steel Works, Ltd. (The) | 1,867,000 | 6,629,549 | |||||||
Japan Tobacco, Inc. | 22,600 | 620,553 | |||||||
JFE Holdings, Inc. | 58,600 | 1,304,347 | |||||||
Kamigumi Co, Ltd. | 122,000 | 1,085,016 | |||||||
Kao Corp. | 40,100 | 1,581,928 | |||||||
Kewpie Corp. | 1,001,500 | 18,641,311 | |||||||
Kinden Corp. | 25,000 | 253,152 | |||||||
Kirin Holdings Co., Ltd. | 79,400 | 983,539 | |||||||
Kurita Water Industries, Ltd. | 1,052,400 | 21,986,043 | |||||||
LIXIL Group Corp. | 23,200 | 490,635 | |||||||
Marui Group Co., Ltd. | 77,700 | 702,709 | |||||||
Meiko Network Japan Co., Ltd. | 804,400 | 8,178,095 | |||||||
Miraca Holdings, Inc. | 370,300 | 15,957,895 | |||||||
Mitsubishi Corp. | 179,600 | 3,293,841 | |||||||
Mitsubishi Estate Co., Ltd. | 201,700 | 4,268,850 | |||||||
Mitsubishi Heavy Industries, Ltd. | 187,000 | 1,033,955 | |||||||
Mitsubishi Logistics Corp. | 35,000 | 506,015 | |||||||
Mitsubishi UFJ Financial Group, Inc. | 310,800 | 1,703,539 | |||||||
Mitsui & Co. Ltd. | 168,200 | 2,248,526 | |||||||
Mizuho Financial Group, Inc. | 623,700 | 1,048,002 | |||||||
MS&AD Insurance Group Holdings | 70,900 | 1,684,007 | |||||||
Nakanishi, Inc. | 400,200 | 16,980,461 | |||||||
Namco Bandai Holdings, Inc. | 35,900 | 761,992 | |||||||
Nintendo Co., Ltd. | 6,100 | 635,750 | |||||||
Nippon Building Fund, Inc. | 1,000 | 5,010,164 | |||||||
Nippon Meat Packers, Inc. | 33,000 | 721,814 |
Number of Shares | Value | ||||||||
Nippon Suisan Kaisha, Ltd. (a) | 84,000 | $ | 260,849 | ||||||
Nippon Telegraph & Telephone Corp. | 44,300 | 2,279,590 | |||||||
NKSJ Holdings, Inc. | 25,400 | 638,303 | |||||||
NSD Co., Ltd. | 164,300 | 2,406,564 | |||||||
NTT Data Corp. | 40,100 | 1,499,018 | |||||||
NTT DoCoMo, Inc. | 210,200 | 3,076,939 | |||||||
Obayashi Corp. | 191,000 | 1,227,557 | |||||||
Onward Holdings Co., Ltd. | 59,000 | 355,006 | |||||||
Organo Corp. | 538,000 | 2,141,057 | |||||||
Otsuka Holdings Co., Ltd. | 23,500 | 704,810 | |||||||
Resona Holdings, Inc. | 248,400 | 1,253,703 | |||||||
Sanrio Co., Ltd. | 624,000 | 15,520,252 | |||||||
Sanshin Electronics Co, Ltd. | 160,500 | 1,097,610 | |||||||
Secom Co., Ltd. | 357,400 | 20,533,382 | |||||||
Sega Sammy Holdings, Inc. | 24,300 | 311,755 | |||||||
Sekisui House Reit, Inc. – REIT (a) | 3,000 | 3,473,869 | |||||||
Sekisui House, Ltd. | 311,100 | 4,074,725 | |||||||
Seven & I Holdings Co., Ltd. | 51,800 | 1,868,463 | |||||||
Seven Bank, Ltd. | 3,901,800 | 16,421,780 | |||||||
Shimizu Corp. | 59,000 | 401,742 | |||||||
Shiseido Co., Ltd. | 32,800 | 459,311 | |||||||
SK Kaken Co, Ltd. | 64,000 | 4,955,329 | |||||||
Sumitomo Chemical Co., Ltd. | 382,000 | 1,512,434 | |||||||
Sumitomo Electric Industries, Ltd. | 67,900 | 847,177 | |||||||
Sumitomo Forestry Co., Ltd. | 32,500 | 318,461 | |||||||
Sumitomo Mitsui Financial Group, Inc. | 63,900 | 2,308,867 | |||||||
Tohoku Electric Power Co., Inc. | 53,500 | 621,479 | |||||||
TOKAI Corp. – Gifu | 260,700 | 7,774,292 | |||||||
Tokyo Gas Co., Ltd. | 88,000 | 474,862 | |||||||
Toyo Seikan Group Holdings, Ltd. | 48,900 | 603,253 | |||||||
Toyo Suisan Kaisha, Ltd. | 438,800 | 14,168,495 | |||||||
Toyota Industries Corp. | 20,800 | 1,062,824 | |||||||
Toyota Motor Corp. | 43,300 | 2,700,213 | |||||||
Wacoal Holdings Corp. | 1,300,000 | 13,093,589 | |||||||
West Japan Railway Co. | 92,000 | 4,359,507 | |||||||
Yahoo Japan Corp. | 5,689,400 | 20,529,657 | |||||||
Yamada Denki Co., Ltd. | 84,500 | 282,036 | |||||||
Yamato Holdings Co., Ltd. | 54,300 | 1,069,190 | |||||||
ZOJIRUSHI Corp. | 1,213,000 | 7,545,867 | |||||||
449,610,091 | |||||||||
Lebanon — 0.0% | |||||||||
Solidere – GDR | 1,170 | 13,513 | |||||||
Luxembourg — 0.1% | |||||||||
ArcelorMittal SA – EN Amsterdam Shares | 44,944 | 486,799 | |||||||
Kernel Holding SA (a) | 19,473 | 154,560 | |||||||
MHP SA – GDR | 405,179 | 3,727,647 | |||||||
Millicom International Cellular SA | 17,642 | 1,312,050 | |||||||
O'Key Group SA – GDR | 242,616 | 1,065,084 | |||||||
Oriflame Cosmetics SA – SDR | 2,064 | 28,536 | |||||||
6,774,676 | |||||||||
Malaysia — 0.3% | |||||||||
AirAsia Berhad | 4,473,200 | 3,470,799 | |||||||
AMMB Holdings Berhad | 1,644,600 | 3,099,762 |
15
Number of Shares | Value | ||||||||
Genting Berhad | 3,812,600 | $ | 9,665,312 | ||||||
16,235,873 | |||||||||
Mexico — 0.3% | |||||||||
America Movil SAB de CV, Series L – ADR | 213,963 | 4,745,699 | |||||||
Fibra Uno Administracion SA de CV – REIT | 1,560,400 | 4,600,688 | |||||||
Grupo Comercial Chedraui SA de CV | 1,048,200 | 3,088,385 | |||||||
Grupo Financiero Santander Mexico SAB de CV – ADR | 262,500 | 2,719,500 | |||||||
15,154,272 | |||||||||
Netherlands — 0.7% | |||||||||
Akzo Nobel NV | 9,792 | 679,023 | |||||||
ASML Holding NV | 2,903 | 311,018 | |||||||
Astarta Holding NV (a) | 1,016 | 5,708 | |||||||
Heineken NV | 21,294 | 1,512,711 | |||||||
Koninklijke (Royal) KPN NV | 241,178 | 760,381 | |||||||
Koninklijke (Royal) Philips Electronics NV | 440,834 | 12,799,686 | |||||||
Koninklijke Ahold NV | 525,764 | 9,345,999 | |||||||
Koninklijke Boskalis Westminster NV – CVA | 26,129 | 1,428,512 | |||||||
OCI NV (a) | 139,400 | 4,837,927 | |||||||
Randstad Holding NV | 3,465 | 166,637 | |||||||
Royal Dutch Shell plc, Class A – Quote MTF Shares | 168,332 | 5,630,244 | |||||||
Royal Dutch Shell plc, Class B | 31,165 | 1,070,640 | |||||||
Yandex NV (a) | 124,851 | 2,242,324 | |||||||
40,790,810 | |||||||||
New Zealand — 0.0% | |||||||||
Telecom Corp. of New Zealand, Ltd. | 72,396 | 175,409 | |||||||
Norway — 0.0% | |||||||||
DNB ASA | 68,026 | 1,003,000 | |||||||
Schibsted ASA | 12,212 | 776,224 | |||||||
StatoilHydro ASA | 35,544 | 622,888 | |||||||
2,402,112 | |||||||||
Peru — 0.0% | |||||||||
Cia de Minas Buenaventura SA – ADR | 163,248 | 1,560,651 | |||||||
Philippines (The) — 0.2% | |||||||||
Energy Development Corp. | 22,190,600 | 4,044,464 | |||||||
Lopez Holdings Corp. | 11,189,728 | 1,672,176 | |||||||
Philippine Long Distance Telephone Co. – SPADR | 47,000 | 2,974,630 | |||||||
8,691,270 | |||||||||
Poland — 0.1% | |||||||||
Globe Trade Centre SA (a) | 1,736,400 | 2,632,531 | |||||||
Russia — 0.6% | |||||||||
Etalon Group Ltd. – GDR | 600,452 | 1,200,904 | |||||||
Federal Grid Co. Unified Energy System JSC (a) (c) | 3,583,721,132 | 2,623,284 | |||||||
Gazprom OAO – SPADR | 2,167,432 | 9,818,467 | |||||||
Globaltrans Investment plc – SPGDR | 44,306 | 223,745 | |||||||
LSR Group – GDR | 52,029 | 81,165 | |||||||
Lukoil OAO – SPADR – LSE Shares | 46,387 | 1,836,876 | |||||||
Lukoil OAO – SPADR – OTC Shares | 46,516 | 1,783,889 | |||||||
Mobile Telesystems OJSC (a) (c) | 634,160 | 1,754,997 |
Number of Shares | Value | ||||||||
Moscow Exchange OAO (c) | 1,557,656 | $ | 1,517,305 | ||||||
Protek OJSC (a) | 18,800 | 11,985 | |||||||
RusHydro JSC – ADR | 2,218,647 | 2,052,965 | |||||||
Sberbank of Russia – SPADR – LSE Shares | 480,246 | 1,859,993 | |||||||
Sberbank of Russia – SPADR – OTC Shares | 1,938,141 | 7,787,985 | |||||||
32,553,560 | |||||||||
Singapore — 0.4% | |||||||||
CapitaLand, Ltd. | 1,295,100 | 3,217,795 | |||||||
DBS Group Holdings, Ltd. | 18,882 | 291,584 | |||||||
Golden Agri-Resources, Ltd. | 9,719,000 | 3,370,545 | |||||||
Great Eastern Holdings, Ltd. | 23,000 | 415,632 | |||||||
GuocoLeisure, Ltd. | 147,000 | 98,998 | |||||||
SembCorp Industries, Ltd. | 1,253,000 | 4,201,900 | |||||||
Singapore Telecommunications, Ltd. | 1,719,000 | 5,045,897 | |||||||
United Overseas Bank, Ltd. | 227,014 | 4,197,003 | |||||||
20,839,354 | |||||||||
South Africa — 0.1% | |||||||||
African Bank Investments, Ltd. (a) (c) (d) | 3,640,881 | — | |||||||
Impala Platinum Holdings, Ltd. (a) | 262,275 | 1,709,046 | |||||||
MTN Group, Ltd. | 118,815 | 2,254,727 | |||||||
Standard Bank Group, Ltd. | 227,043 | 2,790,208 | |||||||
6,753,981 | |||||||||
South Korea — 0.8% | |||||||||
Hana Financial Group, Inc. | 170,822 | 4,934,782 | |||||||
Hyundai Mobis Co., Ltd. | 16,367 | 3,483,492 | |||||||
Hyundai Motor Co. | 34,269 | 5,202,662 | |||||||
KB Financial Group, Inc. | 77,454 | 2,529,600 | |||||||
Kolon Industries, Inc. | 55,143 | 2,423,414 | |||||||
KT Corp. | 36,043 | 1,019,854 | |||||||
KT Corp. – SPADR | 220,588 | 3,114,702 | |||||||
LG Uplus Corp. | 262,570 | 2,729,910 | |||||||
Lotte Shopping Co., Ltd. | 21,818 | 5,390,590 | |||||||
S-1 Corp. | 39,055 | 2,525,125 | |||||||
Samsung Electronics Co., Ltd. | 6,624 | 7,962,393 | |||||||
Shinhan Financial Group Co., Ltd. | 158,760 | 6,370,050 | |||||||
47,686,574 | |||||||||
Spain — 0.5% | |||||||||
Acciona SA (a) | 6,913 | 464,125 | |||||||
Acerinox SA | 48,771 | 729,089 | |||||||
Banco Santander SA | 155,094 | 1,296,869 | |||||||
Ferrovial SA | 242,900 | 4,786,022 | |||||||
Iberdrola SA | 731,358 | 4,920,704 | |||||||
Lar Espana Real Estate socimi SA – REIT (a) | 438,990 | 4,871,175 | |||||||
Mediaset Espana Comunicacion SA (a) | 41,620 | 519,786 | |||||||
Realia Business SA (a) | 3,750,300 | 2,314,261 | |||||||
Telefonica SA | 398,893 | 5,705,751 | |||||||
Viscofan SA | 15,189 | 806,064 | |||||||
26,413,846 | |||||||||
Sweden — 0.3% | |||||||||
Assa Abloy AB, Class B | 50,073 | 2,646,203 | |||||||
Modern Times Group AB, Class B | 14,192 | 450,316 |
16
Number of Shares | Value | ||||||||
Nordea Bank AB | 44,281 | $ | 511,424 | ||||||
Svenska Handelsbanken AB, Class A | 41,584 | 1,941,671 | |||||||
Swedish Match AB | 29,057 | 906,318 | |||||||
Telefonaktiebolaget LM Ericsson, Class B | 536,308 | 6,495,193 | |||||||
TeliaSonera AB | 519,692 | 3,342,112 | |||||||
16,293,237 | |||||||||
Switzerland — 0.7% | |||||||||
ABB, Ltd. – SIX Swiss Exchange (a) | 362,462 | 7,666,686 | |||||||
Adecco SA (a) | 14,362 | 983,854 | |||||||
Cie Financiere Richemont SA | 20,126 | 1,782,707 | |||||||
Geberit AG | 5,833 | 1,982,248 | |||||||
Glencore Xstrata plc (a) | 171,309 | 788,492 | |||||||
Helvetia Holding AG | 325 | 154,139 | |||||||
Logitech International SA | 40,899 | 553,206 | |||||||
Nestle SA | 77,420 | 5,675,005 | |||||||
Novartis AG | 78,083 | 7,181,097 | |||||||
Roche Holding AG | 8,867 | 2,403,316 | |||||||
Sonova Holding AG | 3,870 | 567,315 | |||||||
Syngenta AG | 16,775 | 5,386,460 | |||||||
UBS Group AG (a) | 48,984 | 842,020 | |||||||
Zurich Insurance Group AG (a) | 11,088 | 3,472,128 | |||||||
39,438,673 | |||||||||
Taiwan — 0.4% | |||||||||
ChipMOS TECHNOLOGIES Bermuda, Ltd. | 66,971 | 1,561,764 | |||||||
Delta Electronics, Inc. | 430,000 | 2,555,025 | |||||||
MediaTek, Inc. | 202,000 | 2,940,701 | |||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 2,117,229 | 9,342,762 | |||||||
Yungtay Engineering Co., Ltd. | 2,421,000 | 6,045,617 | |||||||
22,445,869 | |||||||||
Thailand — 0.2% | |||||||||
Bangkok Bank PCL | 597,300 | 3,558,383 | |||||||
Krung Thai Bank PCL | 2,651,500 | 1,829,454 | |||||||
PTT PCL | 207,000 | 2,038,541 | |||||||
Thanachart Capital PCL | 3,674,000 | 3,545,578 | |||||||
10,971,956 | |||||||||
Turkey — 0.2% | |||||||||
KOC Holding AS | 296,363 | 1,565,388 | |||||||
Tupras Turkiye Petrol Rafinerileri AS | 97,329 | 2,298,154 | |||||||
Turkiye Garanti Bankasi AS | 1,413,984 | 5,665,753 | |||||||
9,529,295 | |||||||||
United Arab Emirates — 0.1% | |||||||||
Emaar Malls Group PJSC (a) | 3,379,563 | 2,465,860 | |||||||
United Kingdom — 4.5% | |||||||||
3i Group plc | 148,402 | 1,031,367 | |||||||
Admiral Group plc | 39,138 | 801,493 | |||||||
AMEC plc | 435,727 | 5,702,783 | |||||||
Anglo American plc – JSE Shares | 83,223 | 1,551,881 | |||||||
Aon plc | 105,800 | 10,033,014 | |||||||
Atrium European Real Estate, Ltd. (a) | 2,359,572 | 11,675,212 | |||||||
BAE Systems plc | 177,095 | 1,292,799 | |||||||
Barclays plc | 406,291 | 1,527,452 | |||||||
Barratt Developments plc | 33,077 | 240,867 | |||||||
Belmond, Ltd. (a) | 182,127 | 2,252,911 |
Number of Shares | Value | |||||||
Berendsen plc | 17,141 | $ | 292,261 | |||||
Betfair Group plc (a) | 35,253 | 859,215 | ||||||
BG Group plc | 374,919 | 4,990,446 | ||||||
BHP Billiton plc | 40,119 | 858,138 | ||||||
BP plc | 1,385,708 | 8,798,887 | ||||||
British American Tobacco plc | 2,210 | 120,078 | ||||||
British Sky Broadcasting Group plc | 28,847 | 401,499 | ||||||
BT Group plc | 5,030,269 | 31,225,715 | ||||||
Bunzl plc | 74,464 | 2,029,878 | ||||||
Cable & Wireless Communications plc | 662,100 | 508,291 | ||||||
Capita plc | 124,114 | 2,080,049 | ||||||
Carnival plc | 22,476 | 1,014,833 | ||||||
Centrica plc | 26,344 | 113,383 | ||||||
Clarkson plc | 25,836 | 762,617 | ||||||
Close Brothers Group plc | 7,647 | 176,356 | ||||||
CNH Industrial NV – ISE Shares | 101,665 | 819,563 | ||||||
Compass Group plc | 140,829 | 2,400,336 | ||||||
Daily Mail & General Trust plc, Class A | 65,363 | 839,278 | ||||||
Delphi Automotive plc | 30,500 | 2,217,960 | ||||||
Devro plc | 81,411 | 385,099 | ||||||
Diageo plc | 354,370 | 10,163,739 | ||||||
G4S plc | 307,290 | 1,322,444 | ||||||
GlaxoSmithKline plc | 352,890 | 7,550,099 | ||||||
GVC Holdings plc | 19,392 | 145,424 | ||||||
Hays plc | 269,356 | 603,375 | �� | |||||
Homeserve plc | 148,987 | 779,000 | ||||||
HSBC Holdings plc – LSE Shares | 646,349 | 6,108,310 | ||||||
HSBC Holdings plc – SEHK Shares | 57,676 | 548,346 | ||||||
ICAP plc | 127,469 | 889,117 | ||||||
IG Group Holdings plc | 67,316 | 750,306 | ||||||
IMI plc | 7,415 | 145,158 | ||||||
Inchcape plc | 44,554 | 498,655 | ||||||
Indivior plc (a) | 30,632 | 71,328 | ||||||
Informa plc | 62,653 | 457,172 | ||||||
International Consolidated Airlines Group SA (a) | 3,923,282 | 29,319,382 | ||||||
International Personal Finance plc | 130,357 | 901,758 | ||||||
Intertek Group plc | 53,303 | 1,932,173 | ||||||
ITV plc | 540,533 | 1,800,713 | ||||||
Jupiter Fund Management plc | 68,795 | 386,229 | ||||||
Lloyds Banking Group plc (a) | 31,137,857 | 36,769,646 | ||||||
Merlin Entertainments plc (e) | 177,023 | 1,092,871 | ||||||
Michael Page International plc | 26,141 | 165,979 | ||||||
Millennium & Copthorne Hotels plc | 18,931 | 173,066 | ||||||
Moneysupermarket.com Group plc | 123,996 | 447,866 | ||||||
National Express Group plc | 32,345 | 124,266 | ||||||
Northgate plc | 19,952 | 188,753 | ||||||
Old Mutual plc | 903,128 | 2,689,234 | ||||||
Petrofac, Ltd. | 6,701 | 72,677 | ||||||
Provident Financial plc | 39,250 | 1,493,916 | ||||||
Punch Taverns plc (a) | 926,090 | 1,757,761 | ||||||
Reckitt Benckiser Group plc | 29,312 | 2,364,640 | ||||||
Reed Elsevier plc | 954,396 | 16,237,525 | ||||||
Rexam plc | 96,665 | 679,583 | ||||||
Rightmove plc | 53,457 | 1,861,108 | ||||||
Rio Tinto plc | 19,666 | 906,063 | ||||||
Rolls Royce Hldgs plc (a) (d) | 5,653,170 | 8,811 |
17
Number of Shares | Value | ||||||||
Rolls-Royce Holdings plc – LSE Shares (a) | 60,105 | $ | 809,678 | ||||||
SABMiller plc | 61,734 | 3,222,505 | |||||||
Serco Group plc | 161,389 | 401,345 | |||||||
Smith & Nephew plc | 12,929 | 237,369 | |||||||
Smiths Group plc | 32,056 | 542,551 | |||||||
Spectris plc | 22,556 | 735,446 | |||||||
Stagecoach Group plc | 148,085 | 850,167 | |||||||
Standard Chartered plc | 21,097 | 316,392 | |||||||
Tesco plc | 2,059,065 | 5,991,722 | |||||||
Thomas Cook Group plc (a) | 421,406 | 829,679 | |||||||
Unilever plc | 275,383 | 11,186,268 | |||||||
Vodafone Group plc | 196,572 | 673,546 | |||||||
Weir Group plc (The) | 154,501 | 4,422,118 | |||||||
WH Smith plc | 33,492 | 698,772 | |||||||
WPP plc | 49,536 | 1,027,683 | |||||||
260,355,395 | |||||||||
Vietnam — 0.0% | |||||||||
Luks Group Vietnam Holdings Co, Ltd. | 1,682,000 | 527,780 | |||||||
Total Foreign Common Stocks (Cost $1,464,710,668) | 1,485,265,349 | ||||||||
Total Common Stocks (Cost $2,547,844,234) | 2,771,040,105 | ||||||||
Participation Notes — 0.2% | |||||||||
HSBC Bank, plc, Axis Bank, Ltd. Equity Linked Notes, Expiring 07/21/17 (India) (a) (c) | 330,835 | 2,610,535 | |||||||
HSBC Bank, plc, Bank of Baroda, Ltd., Equity Linked Notes, Expiring 06/30/16 (India) (a) (c) | 201,328 | 3,433,812 | |||||||
HSBC Bank, plc, Bharti Airtel, Ltd., Equity Linked Notes, Expiring 08/01/16 (India) (a) (c) | 434,959 | 2,413,279 | |||||||
HSBC Bank, plc, CESC, Ltd., Equity Linked Notes, Expiring 03/31/17 (India) (a) (c) | 369,033 | 3,892,500 | |||||||
Total Participation Notes (Cost $9,346,740) | 12,350,126 |
Principal Amount | Value | ||||||||
Corporate Bonds — 0.0% | |||||||||
Consumer, Cyclical — 0.0% | |||||||||
BB Liquidating, Inc. (c) (d) (f) 9.000%, 09/01/12 (Cost $213,716) | $ | 344,000 | $ | — | |||||
Asset-Backed Securities — 0.9% | |||||||||
ACE Securities Corp. Home Equity Loan Trust, Ser. 2005-HE7, Class A2D (FRN) (STEP) 0.485%, 11/25/35 | 226,088 | 220,485 | |||||||
American Homes 4 Rent | |||||||||
Ser. 2014-SFR2, Class E (e) 6.231%, 10/17/36 | 910,000 | 909,723 | |||||||
Ser. 2014-SFR3, Class E (e) 6.418%, 12/17/36 | 1,730,000 | 1,752,502 | |||||||
American Residential Properties, Inc | |||||||||
Ser. 2014-SFR1, Class E (e) 4.082%, 09/17/31 | 1,509,000 | 1,497,652 |
Principal Amount | Value | |||||||||||||||
Ser. 2014-SFR1, Class F (e) 4.582%, 09/17/31 | $ | 3,859,000 | $ | 3,838,343 | ||||||||||||
AmeriCredit Automobile Receivables Trust | ||||||||||||||||
Ser. 2010-4, Class D 4. 2.00%, 11/08/16 | 150,000 | 150,923 | ||||||||||||||
Ser. 2011-3, Class D 4.040%, 07/10/17 | 560,000 | 570,062 | ||||||||||||||
Carrington Mortgage Loan Trust, Ser. 2005-NC5, Class A2 (FRN) (STEP) 0.490%, 10/25/35 | 47,233 | 47,090 | ||||||||||||||
Chase Issuance Trust, Ser. 2013-A9, Class A (FRN) 0.581%, 11/16/20 | 1,520,000 | 1,522,955 | ||||||||||||||
Citibank Credit Card Issuance Trust | ||||||||||||||||
Ser. 2013-A7, Class A7 (FRN) 0.592%, 09/10/20 | 325,000 | 324,928 | ||||||||||||||
Ser. 2013-A12, Class A12 (FRN) 0.462%, 11/07/18 | 1,020,000 | 1,018,901 | ||||||||||||||
Colony American Homes | ||||||||||||||||
Ser. 2014-1A, Class E (e) 3.050%, 05/17/31 | 6,850,000 | 6,553,477 | ||||||||||||||
Ser. 2014-2A, Class E (FRN) (e) 3.362%, 07/17/31 | 3,615,000 | 3,511,575 | ||||||||||||||
Ser. 2014-2A, Class F (FRN) (e) 3.512%, 07/17/31 | 3,910,000 | 3,659,881 | ||||||||||||||
Countrywide Asset-Backed Certificates | ||||||||||||||||
Ser. 2004-1, Class 3A (FRN) (STEP) 0.730%, 04/25/34 | 293,688 | 273,778 | ||||||||||||||
Ser. 2004-12, Class MV3 (FRN) (STEP) 0.815%, 03/25/35 | 2,400,000 | 2,359,205 | ||||||||||||||
Discover Card Execution Note Trust, Ser. 2014-A1, Class A1 (FRN) 0.591%, 07/15/21 | 679,000 | 680,469 | ||||||||||||||
DSLA Mortgage Loan Trust, Ser. 2004-AR3, Class B2 (FRN) (STEP) 1.264%, 07/19/44 | 64,804 | 55,877 | ||||||||||||||
GSAA Home Equity Trust, Ser. 2006-20, Class 2A1A (FRN) (STEP) 0.220%, 12/25/46 | 1,811,703 | 1,213,036 | ||||||||||||||
GSAA Trust | ||||||||||||||||
Ser. 2006-5, Class 2A2 (FRN) (STEP) 0.350%, 03/25/36 | 1,191,626 | 719,781 | ||||||||||||||
Ser. 2006-5, Class 2A3 (FRN) (STEP) 0.440%, 03/25/36 | 3,054,907 | 2,099,210 | ||||||||||||||
Ser. 2006-9, Class A4A (FRN) (STEP) 0.410%, 06/25/36 | 7,244,146 | 4,201,887 | ||||||||||||||
HSI Asset Securitization Corp. Trust, Ser. 2006-OPT2, Class 2A3 (FRN) (STEP) 0.360%, 01/25/36 | 199,307 | 198,088 | ||||||||||||||
Invitation Homes Trust | ||||||||||||||||
Ser. 2013-SFR1, Class E (FRN) (e) 2.900%, 12/17/30 | 2,920,000 | 2,777,606 | ||||||||||||||
Ser. 2014-SFR1, Class F (e) 3.912%, 06/17/31 | 2,662,000 | 2,582,494 | ||||||||||||||
Ser. 2014-SFR2, Class E (e) 3.572%, 09/17/31 | 2,030,000 | 1,909,012 | ||||||||||||||
Long Beach Mortgage Loan Trust, Ser. 2005-WL1, Class M2 (FRN) (STEP) 0.995%, 06/25/35 | 1,530,264 | 1,518,643 |
18
Principal Amount | Value | ||||||||
Morgan Stanley ABS Capital I, Inc. Trust | |||||||||
Ser. 2002-HE3, Class A2 (FRN) (STEP) 1.250%, 03/25/33 | $ | 86,940 | $ | 83,927 | |||||
Ser. 2005-HE6, Class A2C (FRN) (STEP) 0.490%, 11/25/35 | 329,204 | 321,880 | |||||||
Progress Residential Trust Program | |||||||||
Ser. 2014-SFR1, Class E (e) 4.312%, 10/17/31 | 560,000 | 558,825 | |||||||
Ser. 2014-SFR1, Class F (e) 4.862%, 10/17/31 | 1,290,000 | 1,295,514 | |||||||
Soundview Home Equity Loan Trust, Ser. 2005-OPT3, Class A4 (FRN) (STEP) 0.470%, 11/25/35 | 540,642 | 536,451 | |||||||
Starwood Waypoint Residential Trust, Ser. 2014, Class E (d) (e) 4.457%, 01/17/32 | 4,570,000 | 4,590,391 | |||||||
Total Asset-Backed Securities (Cost $53,284,981) | 53,554,571 | ||||||||
Mortgage-Backed Securities – Private Issuers — 1.3% | |||||||||
American Home Mortgage Investment Trust | |||||||||
Ser. 2004-1, Class 4A (FRN) 2.327%, 04/25/44 | 50,052 | 47,373 | |||||||
Ser. 2005-1, Class 6A (FRN) 2.327%, 06/25/45 | 262,000 | 255,232 | |||||||
Banc of America Commercial Mortgage, Inc. | |||||||||
Ser. 2005-3, Class A3A 4.621%, 07/10/43 | 643,365 | 643,819 | |||||||
Ser. 2006-6, Class A2 5.309%, 10/10/45 | 116,116 | 116,158 | |||||||
Banc of America Funding Corp., Ser. 2004-B, Class 1A2 (FRN) 2.669%, 12/20/34 | 101,779 | 85,147 | |||||||
Bear Stearns ALT-A Trust | |||||||||
Ser. 2005-10, Class 11A1 (FRN) (STEP) 0.670%, 01/25/36 | 2,793,253 | 2,139,428 | |||||||
Ser. 2006-1, Class 21A2 (FRN) 2.482%, 02/25/36 | 1,283,982 | 947,897 | |||||||
Ser. 2006-2, Class 11A1 (FRN) (STEP) 0.610%, 04/25/36 | 1,631,384 | 1,202,125 | |||||||
Ser. 2006-6, Class 31A1 (FRN) 2.653%, 11/25/36 | 393,256 | 311,111 | |||||||
CHL Mortgage Pass-Through Trust, Ser. 2005-HYB9, Class 1A1 (FRN) 2.319%, 02/20/36 | 2,215,758 | 1,841,800 | |||||||
COMM 2012-CCRE1 Mortgage Trust, Ser. 2012-CR1, Class A3 3.391%, 05/15/45 | 1,052,000 | 1,094,192 | |||||||
COMM 2012-LC4 Mortgage Trust, Ser. 2012-LC4, Class A4 3.288%, 12/10/44 | 1,973,000 | 2,039,731 | |||||||
COMM 2014-CCRE17 Mortgage Trust, Ser. 2014-CR17, Class D (e) 4.800%, 05/10/47 | 427,000 | 411,790 | |||||||
Connecticut Avenue Securities | |||||||||
Ser. 2013-C01, Class M2 (FRN) 5.420%, 10/25/23 | 4,679,238 | 5,060,549 | |||||||
Ser. 2014-C01, Class M2 4.570%, 01/25/24 | 980,000 | 1,008,514 | |||||||
Ser. 2014-C02, Class 1M2 2.770%, 05/25/24 | 2,400,000 | 2,098,694 |
Principal Amount | Value | ||||||||
Ser. 2014-C02, Class 2M2 2.770%, 05/25/24 | $ | 845,000 | $ | 744,239 | |||||
Countrywide Alternative Loan Trust | |||||||||
Ser. 2005-56, Class 1A1 (FRN) (STEP) 0.900%, 11/25/35 | 5,034,708 | 4,344,943 | |||||||
Ser. 2005-59, Class 1A1 (FRN) (STEP) 0.495%, 11/20/35 | 4,184,444 | 3,359,271 | |||||||
Ser. 2006-24, Class A22 6.000%, 06/25/36 | 2,060,272 | 1,846,867 | |||||||
Ser. 2006-HY11, Class A1 (FRN) (STEP) 0.290%, 06/25/36 | 2,914,840 | 2,475,667 | |||||||
Countrywide Home Loan Mortgage Pass Through Trust, Ser. 2006-3, Class 3A1 (FRN) (STEP) 0.420%, 02/25/36 | 2,960,923 | 2,493,648 | |||||||
CSMC Mortgage-Backed Trust, Ser. 2007-4, Class 2A3 6.000%, 06/25/37 | 1,206,684 | 1,113,371 | |||||||
Deutsche Alt A Securities, Inc., Ser. 2005-5, Class 2A4 5.500%, 11/25/35 | 583,563 | 495,245 | |||||||
Fannie Mae Connecticut Avenue Securities | |||||||||
Ser. 2014-C03, Class 1M2 (FRN) 3.170%, 07/25/24 | 1,825,000 | 1,648,617 | |||||||
Ser. 2014-C04, Class 2M2 (FRN) (d) 5.155%, 11/25/24 | 3,800,000 | 3,854,192 | |||||||
First Horizon Alternative Mortgage Securities Trust | |||||||||
Ser. 2006-AA2, Class 2A1 (FRN) 2.202%, 05/25/36 | 746,907 | 595,867 | |||||||
Ser. 2006-AA5, Class A1 (FRN) 2.233%, 09/25/36 | 2,664,711 | 2,092,670 | |||||||
Harborview Mortgage Loan Trust | |||||||||
Ser. 2004-7, Class 2A2 (FRN) 2.258%, 11/19/34 | 48,928 | 45,416 | |||||||
Ser. 2005-9, Class 2A1A (FRN) (STEP) 0.506%, 06/20/35 | 58,496 | 55,836 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust | |||||||||
Ser. 2006-LDP7, Class A3B (VRN) 5.875%, 04/15/45 | 745,083 | 743,851 | |||||||
Ser. 2012-C6, Class A3 3.507%, 05/15/45 | 2,000,000 | 2,089,338 | |||||||
Ser. 2014-C20, Class D (VRN) (e) 4.572%, 07/15/47 | 660,000 | 610,221 | |||||||
JP Morgan Mortgage Trust, Ser. 2007-S3, Class 1A64 7.500%, 08/25/37 | 980,422 | 877,694 | |||||||
Luminent Mortgage Trust, Ser. 2006-2, Class A1A (FRN) (STEP) 0.370%, 02/25/46 | 1,894,653 | 1,427,536 | |||||||
MASTR Adjustable Rate Mortgages Trust, Ser. 2006-2, Class 4A1 (FRN) 2.628%, 02/25/36 | 252,613 | 248,090 | |||||||
ML-CFC Commercial Mortgage Trust, Ser. 2007-8, Class A3 (VRN) 5.886%, 08/12/49 | 1,500,000 | 1,636,041 | |||||||
RALI Trust | |||||||||
Ser. 2006-QA4, Class A (FRN) (STEP) 0.350%, 05/25/36 | 2,402,642 | 1,933,985 | |||||||
Ser. 2006-QA5, Class 1A1 (FRN) (STEP) 0.350%, 07/25/36 | 2,016,076 | 1,322,203 |
19
Principal Amount | Value | ||||||||
Ser. 2007-QO4, Class A1A (FRN) (STEP) 0.360%, 05/25/47 | $ | 425,089 | $ | 348,738 | |||||
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2005-15, Class 2A1 (FRN) 2.521%, 07/25/35 | 4,749,622 | 4,094,008 | |||||||
Structured Agency Credit Risk | |||||||||
Ser. 2013-DN1, Class M2 (FRN) 7.320%, 07/25/23 | 630,000 | 755,012 | |||||||
Ser. 2013-DN2, Class M2 (FRN) 4.405%, 11/25/23 | 805,000 | 813,054 | |||||||
Ser. 2014-DN4, Class M3 4.720%, 10/25/24 | 2,470,000 | 2,435,875 | |||||||
Ser. 2014-HQ2, Class M2 (FRN) 2.370%, 09/25/24 | 2,190,000 | 2,138,839 | |||||||
Ser. 2014-HQ2, Class M3 3.920%, 09/25/24 | 895,000 | 816,742 | |||||||
Ser. 2014-HQ3, Class M3 4.920%, 10/25/24 | 1,075,000 | 1,061,893 | |||||||
Structured Asset Mortgage Investments, Inc. | |||||||||
Ser. 2005-AR8, Class A2 (FRN) 1.595%, 02/25/36 | 1,916,947 | 1,672,782 | |||||||
Ser. 2006-AR3, Class A2 (FRN) 2.760%, 02/25/36 | 2,796,127 | 1,995,445 | |||||||
Wachovia Bank Commercial Mortgage Trust, Ser. 2005-C20, Class AMFX (VRN) 5.179%, 07/15/42 | 2,033,000 | 2,075,947 | |||||||
Wells Fargo Commercial Mortgage | |||||||||
Ser. 2013-LC12, Class A4 4.218%, 07/15/46 | 855,000 | 933,604 | |||||||
Ser. 2014-LC16, Class D (e) 3.938%, 08/15/50 | 1,350,000 | 1,157,873 | |||||||
Total Mortgage-Backed Securities – Private Issuers (Cost $70,225,909) | 75,658,180 | ||||||||
Mortgage-Backed Securities – US Government Agency Obligations — 0.2% | |||||||||
FHLMC | |||||||||
Pool #781697 (FRN) 2.357%, 07/01/34 | 96,242 | 102,791 | |||||||
Ser. 2004-2763, Class KS (FRN) (IO) 6.489%, 10/15/18 | 95,519 | 2,688 | |||||||
Ser. 2005-2922, Class SE (FRN) (IO) 6.589%, 02/15/35 | 164,355 | 25,984 | |||||||
Ser. 2005-2934, Class HI (IO) 5.000%, 02/15/20 | 20,027 | 1,749 | |||||||
Ser. 2005-2934, Class KI (IO) 5.000%, 02/15/20 | 9,132 | 720 | |||||||
Ser. 2005-2965, Class SA (FRN) (IO) 5.889%, 05/15/32 | 371,239 | 61,307 | |||||||
Ser. 2005-2967, Class JI (IO) 5.000%, 04/15/20 | 9,951 | 860 | |||||||
Ser. 2005-2980, Class SL (FRN) (IO) 6.539%, 11/15/34 | 213,857 | 54,621 | |||||||
Ser. 2005-2981, Class SU (FRN) (IO) 7.639%, 05/15/30 | 193,149 | 50,306 | |||||||
Ser. 2005-3031, Class BI (FRN) (IO) 6.529%, 08/15/35 | 644,205 | 144,816 | |||||||
Ser. 2005-3065, Class DI (FRN) (IO) 6.459%, 04/15/35 | 569,216 | 119,912 | |||||||
Ser. 2006-3114, Class GI (FRN) (IO) 6.439%, 02/15/36 | 955,584 | 224,196 |
Principal Amount | Value | ||||||||
Ser. 2007-3308, Class S (FRN) (IO) 7.039%, 03/15/32 | $ | 366,400 | $ | 83,840 | |||||
Ser. 2008-3424, Class XI (FRN) (IO) 6.409%, 05/15/36 | 295,319 | 42,536 | |||||||
Ser. 2008-3489, Class SD (FRN) (IO) 7.639%, 06/15/32 | 195,569 | 41,586 | |||||||
Ser. 2010-3685, Class EI (IO) 5.000%, 03/15/19 | 223,002 | 13,047 | |||||||
Ser. 2010-3731, Class IO (IO) 5.000%, 07/15/19 | 112,117 | 6,809 | |||||||
Ser. 2011-3882, Class AI (IO) 5.000%, 06/15/26 | 770,242 | 56,161 | |||||||
FHLMC Strip | |||||||||
Ser. 2004-227, Class IO (IO) 5.000%, 12/01/34 | 69,170 | 12,133 | |||||||
Ser. 2005-233, Class 5 (IO) 4.500%, 09/15/35 | 12,282 | 1,518 | |||||||
FNMA | |||||||||
Pool #685563 (FRN) 2.435%, 01/01/33 | 143,256 | 153,699 | |||||||
Pool #834928 (FRN) 1.940%, 07/01/35 | 1,394,254 | 1,476,155 | |||||||
Pool #841068 (FRN) 2.485%, 11/01/34 | 577,768 | 618,014 | |||||||
Pool #847637 (FRN) 2.616%, 01/01/34 | 90,670 | 97,273 | |||||||
Ser. 2004-31, Class SG (FRN) (IO) 6.931%, 08/25/33 | 119,509 | 12,137 | |||||||
Ser. 2004-49, Class SQ (FRN) (IO) 6.881%, 07/25/34 | 136,478 | 32,129 | |||||||
Ser. 2004-51, Class SX (FRN) (IO) 6.951%, 07/25/34 | 245,550 | 48,173 | |||||||
Ser. 2004-64, Class SW (FRN) (IO) 6.881%, 08/25/34 | 563,241 | 115,998 | |||||||
Ser. 2004-66, Class SE (FRN) (IO) 6.331%, 09/25/34 | 416,208 | 88,559 | |||||||
Ser. 2005-12, Class SC (FRN) (IO) 6.581%, 03/25/35 | 378,483 | 62,250 | |||||||
Ser. 2005-45, Class SR (FRN) (IO) 6.551%, 06/25/35 | 355,309 | 70,637 | |||||||
Ser. 2005-65, Class KI (FRN) (IO) 6.831%, 08/25/35 | 1,125,464 | 223,545 | |||||||
Ser. 2005-89, Class S (FRN) (IO) 6.531%, 10/25/35 | 2,338,449 | 493,088 | |||||||
Ser. 2006-3, Class SA (FRN) (IO) 5.981%, 03/25/36 | 211,752 | 39,098 | |||||||
Ser. 2007-75, Class JI (FRN) (IO) 6.376%, 08/25/37 | 546,334 | 85,350 | |||||||
Ser. 2007-85, Class SI (FRN) (IO) 6.291%, 09/25/37 | 214,918 | 37,725 | |||||||
Ser. 2008-86, Class IO (IO) 4.500%, 03/25/23 | 196,598 | 10,847 | |||||||
Ser. 2008-87, Class AS (FRN) (IO) 7.481%, 07/25/33 | 865,246 | 190,953 | |||||||
Ser. 2010 Pool #AE5528 6.000%, 11/01/22 | 722,152 | 778,452 | |||||||
Ser. 2010 Pool #AE5529 7.000%, 11/01/22 | 464,711 | 509,434 | |||||||
Ser. 2010-37, Class GI (IO) 5.000%, 04/25/25 | 468,377 | 23,665 | |||||||
Ser. 2010-65, Class IO (IO) 5.000%, 09/25/20 | 293,610 | 22,140 | |||||||
Ser. 2010-68, Class SJ (FRN) (IO) 6.381%, 07/25/40 | 212,988 | 42,102 | |||||||
Ser. 2010-105, Class IO (IO) 5.000%, 08/25/20 | 228,663 | 17,885 |
20
Principal Amount | Value | ||||||||
Ser. 2010-121, Class IO (IO) 5.000%, 10/25/25 | $ | 613,489 | $ | 41,835 | |||||
Ser. 2011-69, Class AI (IO) 5.000%, 05/25/18 | 1,663,454 | 93,871 | |||||||
Ser. 2011-88, Class WI (IO) 3.500%, 09/25/26 | 557,604 | 61,718 | |||||||
Ser. 2011-124, Class IC (IO) 3.500%, 09/25/21 | 1,292,590 | 94,014 | |||||||
Ser. 2012-126, Class SJ (FRN) (IO) 4.831%, 11/25/42 | 2,385,803 | 404,899 | |||||||
FNMA Strip, Ser. 2005-365, Class 4 (IO) 5.000%, 04/25/36 | 10,690 | 1,512 | |||||||
GNMA | |||||||||
Ser. 2003-11, Class S (FRN) (IO) 6.389%, 02/16/33 | 610,856 | 95,719 | |||||||
Ser. 2011-94, Class IS (FRN) (IO) 6.539%, 06/16/36 | 377,675 | 54,570 | |||||||
Ser. 2011-135, Class QI (IO) 4.500%, 06/16/41 | 502,217 | 81,149 | |||||||
Ser. 2011-157, Class SG (FRN) (IO) 6.435%, 12/20/41 | 2,517,584 | 583,315 | |||||||
Ser. 2011-167, Class IO (IO) 5.000%, 12/16/20 | 1,691,258 | 108,318 | |||||||
Ser. 2012-34, Class KS (FRN) (IO) 5.889%, 03/16/42 | 1,240,065 | 276,293 | |||||||
Ser. 2012-69, Class QI (IO) 4.000%, 03/16/41 | 992,201 | 135,442 | |||||||
Ser. 2012-101, Class AI (IO) 3.500%, 08/20/27 | 499,750 | 52,083 | |||||||
Ser. 2012-103, Class IB (IO) 3.500%, 04/20/40 | 705,861 | 90,995 | |||||||
Total Mortgage-Backed Securities – US Government Agency Obligations (Cost $7,876,309) | 8,472,621 | ||||||||
US Treasury Bonds/Notes — 12.1% | |||||||||
US Treasury Inflation Indexed Bond (g) 0.375%, 07/15/23 | 24,753,448 | 24,473,041 | |||||||
US Treasury Inflation Indexed Bond (g) 2.375%, 01/15/25 | 15,620,528 | 18,339,468 | |||||||
US Treasury Inflation Indexed Bond 2.000%, 01/15/26 | 837,459 | 959,676 | |||||||
US Treasury Inflation Indexed Bond 2.375%, 01/15/27 | 4,179,983 | 5,002,591 | |||||||
US Treasury Inflation Indexed Bond 1.750%, 01/15/28 | 28,336,000 | 32,079,441 | |||||||
US Treasury Inflation Indexed Bond (g) 2.500%, 01/15/29 | 40,349,104 | 50,067,548 | |||||||
US Treasury Inflation Indexed Bond 3.375%, 04/15/32 | 12,802,363 | 18,157,348 | |||||||
US Treasury Inflation Indexed Bond 2.125%, 02/15/40 | 48,196,441 | 62,474,636 | |||||||
US Treasury Inflation Indexed Bond 0.750%, 02/15/42 | 8,028,570 | 7,800,888 | |||||||
US Treasury Inflation Indexed Bond 1.375%, 02/15/44 | 24,639,068 | 27,886,423 | |||||||
US Treasury Inflation Indexed Note (g) 0.500%, 04/15/15 | 17,421,630 | 17,194,330 | |||||||
US Treasury Inflation Indexed Note 2.000%, 01/15/16 | 2,308,994 | 2,343,089 | |||||||
US Treasury Inflation Indexed Note 0.125%, 04/15/16 | 55,252,109 | 55,083,756 |
Principal Amount | Value | |||||||
US Treasury Inflation Indexed Note 2.625%, 07/15/17 | $ | 4,582,760 | $ | 4,912,861 | ||||
US Treasury Inflation Indexed Note 1.625%, 01/15/18 | 3,286,976 | 3,441,822 | ||||||
US Treasury Inflation Indexed Note 0.125%, 04/15/18 | 10,796,082 | 10,755,597 | ||||||
US Treasury Inflation Indexed Note 1.375%, 07/15/18 | 9,800,235 | 10,264,982 | ||||||
US Treasury Inflation Indexed Note (g) (h) 2.125%, 01/15/19 | 26,796,547 | 28,793,721 | ||||||
US Treasury Inflation Indexed Note (h) 0.125%, 04/15/19 | 102,084,867 | 100,960,300 | ||||||
US Treasury Inflation Indexed Note 1.375%, 01/15/20 | 1,339,645 | 1,406,104 | ||||||
US Treasury Inflation Indexed Note (h) 1.250%, 07/15/20 | 1,959,840 | 2,056,913 | ||||||
US Treasury Inflation Indexed Note 1.125%, 01/15/21 | 4,341,920 | 4,510,508 | ||||||
US Treasury Inflation Indexed Note (g) 0.625%, 07/15/21 | 29,394,045 | 29,763,763 | ||||||
US Treasury Inflation Indexed Note (g) 0.125%, 07/15/22 | 42,769,319 | 41,670,020 | ||||||
US Treasury Inflation Indexed Note (g) 0.125%, 01/15/23 | 68,512,752 | 66,248,611 | ||||||
US Treasury Inflation Indexed Note 0.125%, 07/15/24 | 73,905,217 | 71,174,198 | ||||||
Total US Treasury Bonds/Notes (Cost $707,711,121) | 697,821,635 |
Number of Shares | Value | ||||||||
Acquired Funds — 23.9% | |||||||||
Exchange-Traded Funds (ETFs) — 6.7% | |||||||||
Vanguard Emerging Markets Stock Index Fund | 3,183,796 | $ | 80,518,199 | ||||||
Vanguard FTSE All-World ex-US ETF | 644,654 | 30,208,486 | |||||||
Vanguard FTSE Developed Markets ETF | 4,348,618 | 164,725,650 | |||||||
Vanguard FTSE Emerging Markets ETF | 2,730,874 | 109,289,577 | |||||||
384,741,912 | |||||||||
Private Investment Funds (i) — 17.2% | |||||||||
Canyon Value Realization Fund, LP (a) (b) (c) (d) | 73,900,427 | ||||||||
Convexity Capital Offshore, LP (a) (b) (c) (d) | 76,157,284 | ||||||||
Farallon Capital Institutional Partners, LP (a) (b) (c) (d) | 178,056,390 | ||||||||
Hudson Bay International, Ltd. (a) (b) (c) (d) | 1,800,000 | 173,034,547 | |||||||
Lansdowne Developed Markets Fund, Ltd. (a) (b) (c) (d) | 304,275 | 179,569,228 | |||||||
Lone Cascade, LP, Class J (a) (b) (c) (d) | 28,725,349 | ||||||||
Lone Picea, LP, Class E (a) (b) (c) (d) | 5,232,656 | ||||||||
Lone Redwood, LP (a) (b) (c) (d) | 14,284,075 | ||||||||
OZ Domestic Partners, LP (a) (b) (c) (d) | 596,662 | ||||||||
QVT Onshore, LP (a) (b) (c) (d) | 70,892,630 |
21
Number of Shares | Value | ||||||||
SummerHaven Commodity Offshore Fund, Ltd. (a) (b) (c) (d) | 2,114,798 | $ | 191,876,032 | ||||||
992,325,280 | |||||||||
Total Acquired Funds (Cost $1,204,427,350) | 1,377,067,192 | ||||||||
Publicly Traded Limited Partnership — 0.1% | |||||||||
Cedar Fair, LP (Cost $4,887,865) | 96,579 | 4,619,374 | |||||||
Preferred Stocks — 0.3% | |||||||||
Alpargatas SA, 3.880% (Brazil) | 753,000 | 2,034,132 | |||||||
Centrais Eletricas Brasileiras SA, 22.390% (Brazil) | 1,700,000 | 4,940,025 | |||||||
Petroleo Brasileiro SA, 11.520% (Brazil) | 530,400 | 2,009,928 | |||||||
Vale SA, 9.430% (Brazil) | 623,500 | 4,524,306 | |||||||
Volkswagen AG, 2.270% (Germany) | 6,940 | 1,550,201 | |||||||
Total Preferred Stocks (Cost $23,750,111) | 15,058,592 |
Number of Contracts | Value | ||||||||
Warrants — 0.0% | |||||||||
Brasil Pharma SA, Expiring 06/24/16 (Brazil) (a) (d) | 73,766 | $ | 1,943 | ||||||
Northern Dynasty Minerals Ltd., Expiring 04/13/15 (United States) (a) (b) (c) | 5,439,672 | 2,106,948 | |||||||
Total Warrants (Cost $2,019,988) | 2,108,891 |
Principal Amount | Value | ||||||||
Short-Term Investments — 17.1% | |||||||||
Repurchase Agreement Used for Cash Management Purposes — 7.4% | |||||||||
Fixed Income Clearing Corp. issued on 12/31/14 (proceeds at maturity $424,102,057) (collateralized by US Treasury Notes and US Treasury Bonds, due 04/15/18 through 11/15/43 with a total principal value of $428,980,000 and a total market value of $432,588,739) 0.000%, 01/02/15 | |||||||||
(Cost $424,102,057) | $ | 424,102,057 | $ | 424,102,057 | |||||
US Treasury Bills (j) — 9.7% | |||||||||
US Treasury Bill, due on 01/22/15 | 5,000,000 | 4,999,844 | |||||||
US Treasury Bill, due on 04/02/15 (h) | 120,000 | 119,988 | |||||||
US Treasury Bill, due on 05/14/15 | 100,000,000 | 99,980,700 | |||||||
US Treasury Bill, due on 05/21/15 | 100,000,000 | 99,977,800 | |||||||
US Treasury Bill, due on 05/28/15 (h) | 100,000,000 | 99,973,600 | |||||||
US Treasury Bill, due on 06/04/15 | 20,000,000 | 19,994,060 | |||||||
US Treasury Bill, due on 06/25/15 | 100,000,000 | 99,957,700 | |||||||
US Treasury Bill, due on 07/02/15 | 100,000,000 | 99,939,700 | |||||||
US Treasury Bill, due on 12/10/15 | 30,000,000 | 29,938,020 | |||||||
Total US Treasury Bills (Cost $554,859,206) | 554,881,412 | ||||||||
Total Short-Term Investments (Cost $978,961,263) | 978,983,469 | ||||||||
Total Investments — 104.2% (Cost $5,610,549,587) | 5,996,734,756 | ||||||||
Liabilities in Excess of Other Assets — (4.2)% | (239,417,039 | ) | |||||||
Net Assets — 100.0% | $ | 5,757,317,717 |
Number of Shares | Value | ||||||||
Securities Sold Short — (2.3)% | |||||||||
Common Stocks — (2.3)% | |||||||||
US Common Stocks — (1.1)% | |||||||||
Hotels, Restaurants & Leisure — (0.2)% | |||||||||
Marriott International Inc. | (107,100 | ) | $ | (8,357,013 | ) | ||||
Real Estate Investment Trusts (REITs) — (0.9)% | |||||||||
Alexandria Real Estate Equities, Inc. | (42,900 | ) | (3,806,946 | ) | |||||
Essex Property Trust, Inc. | (20,200 | ) | (4,173,320 | ) | |||||
Federal Realty Investment Trust | (27,700 | ) | (3,696,842 | ) | |||||
Health Care REIT, Inc. | (56,000 | ) | (4,237,520 | ) | |||||
Hospitality Properties Trust | (204,900 | ) | (6,351,900 | ) | |||||
Medical Properties Trust, Inc. | (469,500 | ) | (6,469,710 | ) | |||||
National Retail Properties, Inc. | (91,000 | ) | (3,582,670 | ) | |||||
Realty Income Corp. | (71,000 | ) | (3,387,410 | ) | |||||
Ryman Hospitality Properties, Inc. | (73,317 | ) | (3,866,739 | ) | |||||
Senior Housing Properties Trust | (324,200 | ) | (7,168,062 | ) | |||||
Weingarten Realty Investors | (177,000 | ) | (6,180,840 | ) | |||||
(52,921,959 | ) | ||||||||
Total US Common Stocks (Proceeds $57,646,892) | (61,278,972 | ) | |||||||
Foreign Common Stocks — (1.2)% | |||||||||
Canada — (0.6)% | |||||||||
First National Financial Corp. | (167,508 | ) | (3,389,665 | ) | |||||
Genworth MI Canada, Inc. | (219,100 | ) | (6,973,935 | ) | |||||
Home Capital Group, Inc. | (349,200 | ) | (14,424,263 | ) | |||||
RioCan Real Estate Investment Trust – REIT | (475,409 | ) | (10,815,166 | ) | |||||
(35,603,029 | ) | ||||||||
Japan — (0.2)% | |||||||||
Daiwa Office Investment Corp. – REIT | (600 | ) | (3,347,474 | ) | |||||
Nippon Prologis REIT, Inc. – REIT | (1,400 | ) | (3,035,101 | ) | |||||
Sumitomo Realty & Development Co., Ltd. (a) | (34,000 | ) | (1,158,226 | ) | |||||
United Urban Investment Corp. – REIT | (2,100 | ) | (3,298,545 | ) | |||||
(10,839,346 | ) | ||||||||
Singapore — 0.0% | |||||||||
CapitaCommerical Trust | (388,500 | ) | (514,256 | ) | |||||
United Kingdom — (0.4)% | |||||||||
British Land Co. plc | (550,811 | ) | (6,616,938 | ) | |||||
Derwent London plc – REIT | (73,496 | ) | (3,432,792 | ) | |||||
Great Portland Estates plc – REIT | (310,700 | ) | (3,550,907 | ) | |||||
Persimmon plc (a) | (441,600 | ) | (10,802,391 | ) | |||||
(24,403,028 | ) | ||||||||
Total Foreign Common Stocks (Proceeds $61,069,240) | (71,359,659 | ) | |||||||
Total Common Stocks (Proceeds $118,716,132) | (132,638,631 | ) | |||||||
Total Securities Sold Short (Proceeds $118,716,132) | $ | (132,638,631 | ) |
22
Financial Futures Contracts
Number of Contracts | Type | Initial Notional Value/(Proceeds) | Notional Value at December 31, 2014 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long Financial Futures Contracts | ||||||||||||||||
Interest Rate-Related | ||||||||||||||||
12 | March 2015 5-Year US Treasury Note | $ | 1,427,842 | $ | 1,427,156 | $ | (686 | ) | ||||||||
9 | March 2015 30-Year US Treasury Bond | 1,273,804 | 1,301,062 | 27,258 | ||||||||||||
26,572 | ||||||||||||||||
Short Financial Futures Contracts | ||||||||||||||||
Interest Rate-Related | ||||||||||||||||
(1,007) | March 2015 10-Year US Treasury Note | (127,377,087 | ) | (127,684,454 | ) | (307,367 | ) | |||||||||
(588) | March 2015 5-Year US Treasury Note | (69,956,747 | ) | (69,930,656 | ) | 26,091 | ||||||||||
(392) | March 2015 Ultra Long US Treasury Bond | (62,493,505 | ) | (64,753,500 | ) | (2,259,995 | ) | |||||||||
(259) | March 2015 30-Year US Treasury Bond | (36,682,087 | ) | (37,441,687 | ) | (759,600 | ) | |||||||||
(94) | March 2015 5-Year Interest Rate Swap | (9,536,721 | ) | (9,571,844 | ) | (35,123 | ) | |||||||||
(73) | March 2015 10-Year Interest Rate Swap | (7,662,989 | ) | (7,735,719 | ) | (72,730 | ) | |||||||||
(7) | June 2015 90-Day Eurodollar | (1,707,983 | ) | (1,742,387 | ) | (34,404 | ) | |||||||||
(3,443,128 | ) | |||||||||||||||
Foreign Currency-Related | ||||||||||||||||
(696) | March 2015 Japanese Yen | (73,754,969 | ) | (72,636,300 | ) | 1,118,669 | ||||||||||
Equity-Related | ||||||||||||||||
(291) | March 2015 S&P 500 e-Mini Index | (29,585,413 | ) | (29,862,420 | ) | (277,007 | ) | |||||||||
$ | (2,574,894 | ) |
Forward Currency Contracts
Contract Settlement Date | Contract Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
Counterparty | Receive | Deliver | ||||||||||||||
01/05/2015 | Barclays Bank plc | USD 1,263,559 | CHF 1,250,546 | $ | 5,718 | |||||||||||
01/05/2015 | Barclays Bank plc | USD 813,583 | EUR 669,676 | 3,241 | ||||||||||||
01/05/2015 | Deutsche Bank AG London | USD 814,109 | SGD 1,076,971 | 1,086 | ||||||||||||
01/07/2015 | State Street Bank and Trust Co. | USD 932,271 | JPY 111,398,655 | 2,236 | ||||||||||||
01/30/2015 | State Street Bank and Trust Co. | AUD 4,398,500 | USD 3,667,971 | (83,566 | ) | |||||||||||
01/30/2015 | State Street Bank and Trust Co. | USD 3,877,762 | AUD 4,398,500 | 293,357 | ||||||||||||
$ | 222,072 |
Swap Contracts
Expiration Date | Counterparty | Pay | Receive | Currency | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Total Return Swap Contracts | ||||||||||||||||||||||||
Long Total Return Swap Contracts | ||||||||||||||||||||||||
11/02/2015 | Bank of America Merrill Lynch | 1 Month LIBOR plus a specified spread | DFL, Ltd. (d) | USD | $ | 5,152,249 | $ | (638,344 | ) | |||||||||||||||
11/02/2015 | Bank of America Merrill Lynch | 1 Month LIBOR plus a specified spread | Unitech, Ltd. (d) | USD | 2,246,511 | (260,918 | ) | |||||||||||||||||
12/03/2015 | Bank of America Merrill Lynch | 1 Month LIBOR plus a specified spread | BR Malls Participacoes SA (d) | USD | 4,033,266 | (364,293 | ) | |||||||||||||||||
12/03/2015 | Bank of America Merrill Lynch | 1 Month LIBOR plus a specified spread | Multiplan Empreendimentos Imobiliarios SA (d) | USD | 2,014,414 | (122,027 | ) | |||||||||||||||||
12/03/2015 | Bank of America Merrill Lynch | 1 Month LIBOR plus a specified spread | PDG Realty SA (d) | USD | 5,205,121 | (1,018,229 | ) | |||||||||||||||||
12/07/2015 | Bank of America Merrill Lynch | 1 Month LIBOR plus a specified spread | Housing Development & Infrastructure, Ltd. (d) | USD | 2,661,015 | (429,094 | ) | |||||||||||||||||
12/07/2015 | Bank of America Merrill Lynch | 1 Month LIBOR plus a specified spread | Housing Development & Infrastructure, Ltd. (d) | USD | 495,780 | (79,985 | ) | |||||||||||||||||
(2,912,890 | ) | |||||||||||||||||||||||
$ | (2,912,890 | ) |
23
ADR | American Depositary Receipt | |
ASE | American Stock Exchange | |
AUD | Australian Dollar | |
CHF | Swiss franc | |
CVA | Certification Van Aandelen | |
EN | Euronext | |
ETF | Exchange-Traded Fund | |
EUR | Euro | |
FHLMC | Freddie Mac | |
FNMA | Fannie Mae | |
FRN | Floating Rate Note. Rate disclosed represents the effective rate as of December 31, 2014. | |
FTSE | Financial Times Stock Exchange | |
GDR | Global Depositary Receipt | |
GNMA | Ginnie Mae | |
IO | Interest-Only Security | |
ISE | Italian Stock Exchange | |
JPY | Japanese Yen | |
JSE | Johannesburg Stock Exchange | |
LIBOR | London Interbank Offered Rate |
LSE | London Stock Exchange | |
MTF | Multilateral Trading Facility | |
NYSE | New York Stock Exchange | |
OTC | Over-the-Counter | |
REIT | Real Estate Investment Trust | |
SDR | Swedish Depositary Receipts | |
SEHK | Stock Exchange of Hong Kong | |
SGD | Singapore Dollar | |
SPADR | Sponsored ADR | |
SPGDR | Sponsored GDR | |
STEP | A bond that pays an initial coupon rate for the first period, and a higher coupon rate for the following periods. | |
TSE | Toronto Stock Exchange | |
UNIT | A security with an attachment to buy shares, bonds, or other types of securities at a specific price before a predetermined date. | |
USD | US Dollar | |
VRN | Variable Rate Note. Rate disclosed represents the effective rate as of December 31, 2014. | |
VVPR | Verminderde Voorheffing Précompte Réduit (France dividend coupon) |
* | Approximately 13% of the fund's total investments are maintained to cover “senior securities transactions” which may include, but are not limited to forwards, TBAs, options, and futures. These securities are marked-to-market daily and reviewed against the value of the fund's “senior securities” holdings to maintain proper coverage for the transactions. |
(a) | Non income-producing security. |
(b) | Restricted Securities. The following restricted securities were held by the fund as of December 31, 2014, and were valued in accordance with the Valuation of Investments as described in Note 2. Such securities generally may be sold only in a privately negotiated transaction with a limited number of purchasers. The fund will bear any costs incurred in connection with the disposition of such securities. The fund monitors the acquisition of restricted securities and, to the extent that a restricted security is illiquid, will limit the purchase of such a restricted security, together with other illiquid securities held by the fund, to no more than 15% of the fund's net assets. All of the below securities are illiquid, with the exception of Canyon Value Realization Fund, LP and SummerHaven Commodity Offshore Fund, Ltd. TIP’s valuation committee has deemed 10% of Canyon Value Realization Fund, LP and 5% of SummerHaven Commodity Offshore Fund, Ltd. to be illiquid in accordance with procedures approved by the TIP board of trustees. The below list does not include securities eligible for resale without registration pursuant to Rule 144A under the Securities Act of 1933 that may also be deemed restricted. |
Private Investment Funds | Investment Strategy | Date of Acquisition | Cost | Value | ||||||||||||
Canyon Value Realization Fund, LP | Multi-Strategy | 12/31/97 – 04/03/06 | $ | 23,797,936 | $ | 73,900,427 | ||||||||||
Convexity Capital Offshore, LP | Relative Value | 02/16/06 – 04/01/13 | 72,000,000 | 76,157,284 | ||||||||||||
Farallon Capital Institutional Partners, LP | Multi-Strategy | 04/01/95 – 01/01/13 | 117,746,138 | 178,056,390 | ||||||||||||
Hudson Bay International, Ltd. | Relative Value | 07/01/14 | 180,000,000 | 173,034,547 | ||||||||||||
Lansdowne Developed Markets Fund, Ltd. | Long-Short Global | 06/01/06 – 04/01/13 | 106,000,000 | 179,569,228 | ||||||||||||
Lone Cascade, LP, Class J | Global Equity | 01/03/12 – 01/01/13 | 17,456,184 | 28,725,349 | ||||||||||||
Lone Picea, LP, Class E | Long-Short Global | 01/02/09 – 01/01/13 | 4,377,877 | 5,232,656 | ||||||||||||
Lone Redwood, LP | Long-Short Global | 12/29/98 | 2,642,691 | 14,284,075 | ||||||||||||
OZ Domestic Partners, LP | Multi-Strategy | 09/30/03 | 782,078 | 596,662 | ||||||||||||
QVT Onshore, LP | Multi-Strategy | 03/01/12 | 59,961,981 | 70,892,630 | ||||||||||||
SummerHaven Commodity Offshore Fund, Ltd. | Commodity Futures | 09/30/14 – 11/14/14 | 210,000,000 | 191,876,032 | ||||||||||||
992,325,280 | ||||||||||||||||
Common Stock | ||||||||||||||||
AMR Corp. | 12/09/13 | — | 538,867 | |||||||||||||
Warrants | ||||||||||||||||
Northern Dynasty Minerals, Ltd. | 12/30/14 | 2,019,998 | 2,106,948 | |||||||||||||
Total (17.3% of Net Assets) | $ | 994,971,095 |
24
(c) | Security is valued in good faith under procedures established by the board of trustees. The aggregate amount of securities fair valued amounts to $1,013,216,807, which represents 17.6% of the fund's net assets. |
(d) | Illiquid Security. An illiquid security is a security that cannot be disposed of within seven days in the ordinary course of business at approximately the amount the fund has valued such security for the purposes of calculating the fund's net asset value. |
(e) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. These securities have been determined to be liquid in accordance with procedures approved by the board of trustees. |
(f) | Security in default. |
(g) | Security or a portion thereof is held as collateral by the counterparty for reverse repurchase agreements. See Note 7 to the Notes to Financial Statements. |
(h) | Security or a portion thereof is held as initial margin for financial futures. |
(i) | Portfolio holdings information of the Private Investment Funds is not available as of December 31, 2014. These positions are therefore grouped into their own industry classification. |
(j) | Treasury bills and discount notes do not pay interest, but rather are purchased at a discount and mature at the stated principal amount. |
See accompanying Notes to Financial Statements.
25
Statement of Assets and Liabilities |
December 31, 2014 | ||||
Assets | ||||
Investments in securities, at value (cost: $5,186,447,530) | $ | 5,572,632,699 | ||
Repurchase agreements (cost: $424,102,057) | 424,102,057 | |||
Total investments (cost: $5,610,549,587) | 5,996,734,756 | |||
Deposits with brokers for securities sold short | 117,779,838 | |||
Cash | 20,805 | |||
Cash denominated in foreign currencies (cost: $42,555,097) | 41,424,521 | |||
Total Cash | 41,445,326 | |||
Unrealized appreciation on forward currency contracts | 305,638 | |||
Receivables: | ||||
Investment securities sold | 32,310,255 | |||
Interest | 2,599,743 | |||
Dividends and tax reclaims | 4,755,848 | |||
Capital stock sold | 3,260,000 | |||
Total Assets | 6,199,191,404 | |||
Liabilities | ||||
Securities sold short, at value (proceeds: $118,716,132) | 132,638,631 | |||
Reverse repurchase agreements (Note 7) | 61,059,976 | |||
Due to broker for futures variation margin | 209,741 | |||
Foreign currencies sold short, at value (proceeds $17,574,992) | 17,261,805 | |||
Swap contracts, at value | 2,912,890 | |||
Unrealized depreciation on forward currency contracts | 83,566 | |||
Payables: | ||||
Investment securities purchased | 128,971,113 | |||
Capital stock redeemed | 87,160,619 | |||
Money manager fees | 5,505,544 | |||
Accrued expenses and other liabilities | 4,503,441 | |||
Investment advisory and administrative fees | 1,113,561 | |||
Dividends and interest on securities sold short | 452,800 | |||
Total Liabilities | 441,873,687 | |||
Net Assets | $ | 5,757,317,717 | ||
Shares Outstanding (unlimited authorized shares, par value $0.001) | 376,094,672 | |||
Net Asset Value Per Share | $ | 15.31 | ||
Net Assets Consist of: | ||||
Capital stock | $ | 5,571,402,202 | ||
Distributions in excess of net investment income | (118,798,171 | ) | ||
Accumulated net realized loss on investments | (61,278,916 | ) | ||
Net unrealized appreciation on investments and foreign currencies | 365,992,602 | |||
$ | 5,757,317,717 |
See accompanying Notes to Financial Statements.
26
Statement of Operations |
Year Ended December 31, 2014 | ||||
Investment Income | ||||
Dividends (net of foreign withholding taxes of $3,125,208) | $ | 81,793,924 | ||
Interest | 18,961,841 | |||
Total Investment Income | 100,755,765 | |||
Expenses | ||||
Money manager fees | 27,738,807 | |||
Dividends and interest on securities sold short | 19,172,998 | |||
Investment advisory fees | 12,064,689 | |||
Fund administration fees | 5,562,214 | |||
Miscellaneous fees and other | 2,975,912 | |||
Administrative fees | 1,184,965 | |||
Professional fees | 638,445 | |||
Chief compliance officer fees | 183,621 | |||
Interest (Note 7) | 147,624 | |||
Total Expenses | 69,669,275 | |||
Net Investment Income | 31,086,490 | |||
Net Realized Gain (Loss) from: | ||||
Investments (net of foreign withholding taxes on capital gains of $256,475) | 353,407,675 | |||
Securities sold short | (1,863,297 | ) | ||
Swap contracts | 1,813,683 | |||
Financial futures contracts | (3,359,079 | ) | ||
Forward currency contracts and foreign currency-related transactions | 504,582 | |||
Options written | 9,112 | |||
Net Realized Gain | 350,512,676 | |||
Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies | (329,586,481 | ) | ||
Net Realized and Unrealized Gain on Investments and Foreign Currencies | 20,926,195 | |||
Net Increase in Net Assets Resulting from Operations | $ | 52,012,685 |
See accompanying Notes to Financial Statements.
27
Statements of Changes in Net Assets |
Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||
Increase (Decrease) in Net Assets From Operations | ||||||||
Net investment income | $ | 31,086,490 | $ | 3,113,493 | ||||
Net realized gain (loss) on investments and foreign currencies | 350,512,676 | 544,940,417 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (329,586,481 | ) | 165,745,288 | |||||
Net Increase in Net Assets Resulting from Operations | 52,012,685 | 713,799,198 | ||||||
Distributions | ||||||||
From net investment income | (40,216,890 | ) | (56,704,714 | ) | ||||
From net realized gains | (365,201,808 | ) | (526,374,526 | ) | ||||
Decrease in Net Assets Resulting from Distributions | (405,418,698 | ) | (583,079,240 | ) | ||||
Capital Share Transactions | ||||||||
Proceeds from shares sold | 338,228,844 | 679,683,709 | ||||||
Proceeds from distributions reinvested | 274,089,568 | 402,040,472 | ||||||
Entry/exit fees | 3,084,608 | 5,214,748 | ||||||
Cost of shares redeemed | (275,439,958 | ) | (370,162,866 | ) | ||||
Net Increase From Capital Share Transactions | 339,963,062 | 716,776,063 | ||||||
Total Increase (Decrease) in Net Assets | (13,442,951 | ) | 847,496,021 | |||||
Net Assets | ||||||||
Beginning of year | 5,770,760,668 | 4,923,264,647 | ||||||
End of year | $ | 5,757,317,717 | $ | 5,770,760,668 | ||||
Including distributions in excess of net investment income | $ | (118,798,171 | ) | $ | (126,070,825 | ) | ||
Capital Share Transactions (in shares) | ||||||||
Shares sold | 20,795,529 | 40,718,046 | ||||||
Shares reinvested | 17,736,438 | 24,831,665 | ||||||
Shares redeemed | (17,233,959 | ) | (22,356,339 | ) | ||||
Net Increase | 21,298,008 | 43,193,372 |
See accompanying Notes to Financial Statements.
28
Statement of Cash Flows |
Year Ended December 31, 2014 | ||||
Cash flows provided by (used in) operating activities | ||||
Net increase (decrease) in net assets from operations | $ | 52,012,685 | ||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||
Investments purchased | (3,803,936,443 | ) | ||
Investments sold | 3,709,851,694 | |||
Purchases to cover securities sold short | (1,030,128,700 | ) | ||
Securities sold short | 386,968,981 | |||
(Purchase)/Sale of short term investments, net | 640,122,732 | |||
Amortization/(accretion) of discount and premium, net | 7,797,398 | |||
(Increase)/decrease in deposit with brokers for securities sold short | 44,577,524 | |||
(Increase)/decrease in deposit with brokers for collateral | 37,000,000 | |||
(Increase)/decrease in due from broker for futures variation margin | (125,580 | ) | ||
(Increase)/decrease in unrealized appreciation on forward currency contracts | (466,801 | ) | ||
(Increase)/decrease in interest receivable | 1,629,926 | |||
(Increase)/decrease in receivable for dividends and tax reclaims | 672,286 | |||
(Increase)/decrease in receivable for closed swap contracts, net | (1,271,773 | ) | ||
Increase/(decrease) in payable for foreign currencies sold short | (31,850,694 | ) | ||
Increase/(decrease) in payable for money manager fees | (1,742,813 | ) | ||
Increase/(decrease) in dividends and interest for securities sold short | (5,920,763 | ) | ||
Increase/(decrease) in accrued expenses and other liabilities | 3,323,165 | |||
Increase/(decrease) in payable for investment advisory and adminstrative fees | 6,254 | |||
Net realized (gain) loss from investments | (351,544,378 | ) | ||
Net change in unrealized (appreciation) depreciation on investments | 333,591,518 | |||
Net cash provided by (used in) operating activities | (9,433,782 | ) | ||
Cash flows provided by (used in) financing activities | ||||
Distributions paid to shareholders | (131,329,130 | ) | ||
Proceeds from shares sold | 336,668,487 | |||
Payment for shares redeemed | (190,730,741 | ) | ||
Increase (decrease) in reverse repurchase agreements | (29,691,947 | ) | ||
Net cash provided by (used in) financing activities | (15,083,331 | ) | ||
Net decrease in cash | (24,517,113 | ) | ||
Cash at beginning of year | 65,962,439 | |||
Cash at end of year | $ | 41,445,326 | ||
Non cash financing activities not included herein consist of reinvestment of distributions of: | $ | 274,089,568 | ||
Interest Paid: | $ | (146,882 | ) |
See accompanying Notes to Financial Statements.
29
1. Organization
On December 16, 2014, TIFF Investment Program, Inc. was reorganized from a Maryland corporation to a Delaware statutory trust (the “Reorganization”). TIFF Investment Program, Inc. (“TIP Inc.”) was originally organized as a Maryland corporation on December 23, 1993 and registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, or mutual fund. On September 11, 2014, TIFF Investment Program (“TIP”) was organized as a statutory trust under Delaware law and the Board of Directors of TIP Inc. and the Board of Trustees of TIP approved the Reorganization, subject to the approval of the members of TIP Inc. At a special meeting of the members of TIP Inc. held on December 9, 2014, members voted to approve the Reorganization. As part of the Reorganization, TIP assumed TIP Inc.’s Registration under the 1940 Act and each series of TIP, TIFF Multi-Asset Fund (“MAF” or “the fund”) and TIFF Short-Term Fund (“STF”), assumed the assets and liabilities of the corresponding series of TIP Inc. As of December 31, 2014, TIP consisted of two mutual funds, MAF and STF. The financial statements and notes presented here relate only to MAF.
Investment Objective
The fund’s investment objective is to attain a growing stream of current income and appreciation of principal that at least offset inflation.
2. Summary of Significant Accounting Policies
The fund operates as a diversified investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services — Investment Companies.
The preparation of financial statements in conformity with US generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, the reported amounts of increases and decreases in net assets from operations during the reported period, and disclosure of contingent assets and liabilities at the date of the financial statements. Actual results could differ from these estimates.
Valuation of Investments
Generally, the following valuation policies are applied to securities for which market quotations are readily available. Securities listed on a securities exchange or traded on the National Association of Securities Dealers National Market System (“NASDAQ”) for which market quotations are readily available are valued at their last quoted sales price on the principal exchange on which they are traded or at the NASDAQ official closing price, respectively, on the valuation date or, if there is no such reported sale on the valuation date, at the most recently quoted bid price, or asked price in the case of securities sold short. Debt securities are valued at prices that reflect broker/dealer-supplied valuations or are obtained from independent pricing services, which consider such factors as security prices, yields, maturities, and ratings, and are deemed representative of market values at the close of the market. Over-the-counter (“OTC”) stocks not quoted on NASDAQ and foreign stocks that are traded OTC are normally valued at prices supplied by independent pricing services if those prices are deemed representative of market values at the close of the first session of the New York Stock Exchange. Short-term debt securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates fair value, and short-term debt securities having a remaining maturity of greater than 60 days are valued at their market value. Exchange-traded and OTC options and futures contracts are valued at the last posted settlement price or, if there were no sales that day for a particular position, at the closing bid price (closing ask price in the case of open short futures and written option sales contracts). Forward foreign currency exchange contracts are valued at their respective fair market values. Investments in other open-end funds or trusts are valued at their closing net asset value per share on valuation date, which represents their redeemable value. The fund has established a pricing hierarchy to determine the order of pricing sources utilized in valuing its portfolio holdings. The pricing hierarchy has been approved by the TIP board of trustees.
The fund employs a fair value model to adjust prices to reflect events affecting the values of certain portfolio securities that occur between the close of trading on the principal market for such securities (foreign exchanges and OTC markets) and the time at which the net asset value of the fund is determined. If the fund’s valuation committee believes that a particular event would materially affect net asset value, further adjustment is considered.
30
MAF invests in private investment funds that pursue certain alternative investment strategies. Private investment fund interests held by MAF are generally securities for which market quotations are not readily available. Rather, such interests generally can be sold back to the private investment fund only at specified intervals or on specified dates. The TIP board of trustees has approved valuation procedures pursuant to which MAF values its interests in private investment funds at “fair value.” If a private investment fund does not provide a value to MAF on a timely basis, MAF determines the fair value of that private investment fund based on the most recent estimated value provided by the management of the private investment fund, as well as any other relevant information reasonably available at the time MAF values its portfolio including, for example, total returns of indices or exchange-traded funds that track markets to which the private investment fund may be exposed. The fair values of the private investment funds are based on available information and do not necessarily represent the amounts that might ultimately be realized, which depend on future circumstances and cannot be reasonably determined until the investment is actually liquidated. Fair value is intended to represent a good faith approximation of the amount that MAF could reasonably expect to receive from the private investment fund if MAF’s interest in the private investment fund was sold at the time of valuation, based on information reasonably available at the time valuation is made and that MAF believes is reliable.
Securities for which market quotations are not readily available or for which available prices are deemed unreliable are valued at their fair value as determined in good faith under procedures established by TIP’s board of trustees. Such procedures use fundamental valuation methods, which may include, but are not limited to, the analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security. Determination of fair value involves subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant.
Fair value is defined as the price that the fund would receive upon selling an asset or pay to transfer a liability in a timely transaction to an independent buyer in the principal or most advantageous market for the asset or liability, respectively. A three-tier hierarchy is utilized to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
Level 1 — quoted prices in active markets for identical assets and liabilities
Level 2 — other significant observable inputs (including quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 — significant unobservable inputs (including the fund’s own assumptions in determining the fair value of assets and liabilities)
31
The following is a summary of the inputs used as of December 31, 2014, in valuing the fund’s assets and liabilities carried at fair value:
TIFF Multi-Asset Fund
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | |||||||||||||||||
Common Stocks*+ | $ | 1,436,878,213 | $ | 1,333,623,025 | $ | 538,867 | $ | 2,771,040,105 | |||||||||
Participation Notes* | — | 12,350,126 | — | 12,350,126 | |||||||||||||
Corporate Bonds+ | — | — | — | — | |||||||||||||
Asset-Backed Securities | — | 53,554,571 | — | 53,554,571 | |||||||||||||
Mortgage-Backed Securities | — | 84,130,801 | — | 84,130,801 | |||||||||||||
US Treasury Bonds/Notes | 697,821,635 | — | — | 697,821,635 | |||||||||||||
Exchange-Traded Funds and Mutual Funds | 384,741,912 | — | — | 384,741,912 | |||||||||||||
Private Investment Funds | — | — | 992,325,280 | 992,325,280 | |||||||||||||
Publicly Traded Limited Partnerships | 4,619,374 | — | — | 4,619,374 | |||||||||||||
Preferred Stocks* | — | 15,058,592 | — | 15,058,592 | |||||||||||||
Warrants | — | 2,108,891 | — | 2,108,891 | |||||||||||||
Short-Term Investments | 978,983,469 | — | — | 978,983,469 | |||||||||||||
Total Investments in Securities | 3,503,044,603 | 1,500,826,006 | 992,864,147 | 5,996,734,756 | |||||||||||||
Financial Futures Contracts – Interest Rate Risk | 53,349 | — | — | 53,349 | |||||||||||||
Financial Futures Contracts – Foreign Currency Risk | 1,118,669 | — | — | 1,118,669 | |||||||||||||
Forward Currency Contracts – Foreign Currency Risk | 305,638 | — | — | 305,638 | |||||||||||||
Total Other Financial Instruments | 1,477,656 | — | — | 1,477,656 | |||||||||||||
Total Assets | $ | 3,504,522,259 | $ | 1,500,826,006 | $ | 992,864,147 | $ | 5,998,212,412 | |||||||||
Liabilities | |||||||||||||||||
Common Stocks Sold Short* | $ | (96,882,001 | ) | $ | (35,756,630 | ) | $ | — | $ | (132,638,631 | ) | ||||||
Financial Futures Contracts – Interest Rate Risk | (3,469,905 | ) | — | — | (3,469,905 | ) | |||||||||||
Financial Futures Contracts – Equity Risk | (277,007 | ) | — | — | (277,007 | ) | |||||||||||
Forward Currency Contracts – Foreign Currency Risk | (83,566 | ) | — | — | (83,566 | ) | |||||||||||
Swap Contracts – Equity Risk | — | (2,912,890 | ) | — | (2,912,890 | ) | |||||||||||
Total Other Financial Instruments | (3,830,478 | ) | (2,912,890 | ) | — | (6,743,368 | ) | ||||||||||
Total Liabilities | $ | (100,712,479 | ) | $ | (38,669,520 | ) | $ | — | $ | (139,381,999 | ) |
* | Securities categorized as Level 2 primarily include listed foreign equities or participation notes whose values have been adjusted with factors to reflect changes to foreign markets after market close. |
+ | There are securities in this category that have a market value of zero and are categorized as Level 3. |
32
The fund recognizes transfers into and transfers out of the valuation levels at the beginning of the reporting period. The fund had no transfers between Level 1 and Level 2 of the fair value hierarchy during the year ended December 31, 2014.
The following is a reconciliation of investments in securities for which significant unobservable inputs (Level 3) were used in determining value:
Investments in Securities | Balance as of December 31, 2013 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of December 31, 2014 | Net Change in Unrealized Appreciation (Depreciation) from Investments still held as of 12/31/14 for the year ended 12/31/14 | |||||||||||||||||||||||||||
Common Stocks* | $ | 3,165,515 | $ | — | $ | (3,646,158 | ) | $ | 3,368,169 | $ | (2,664,065 | ) | $ | 315,406 | $ | — | $ | 538,867 | $ | (3,646,158 | ) | |||||||||||||||
Private Investment Funds | 844,862,924 | 66,518,070 | (100,153,841 | ) | 391,959,528 | (210,861,401 | ) | — | — | 992,325,280 | (19,195,982 | ) | ||||||||||||||||||||||||
Corporate Bonds* | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Total | $ | 848,028,439 | $ | 66,518,070 | $ | (103,799,999 | ) | $ | 395,327,697 | $ | (213,525,466 | ) | $ | 315,406 | $ | — | $ | 992,864,147 | $ | 22,842,142 |
* | There are Common Stocks and Corporate Bonds categorized as Level 3 that have a market value of zero. |
Securities designated as Level 3 in the fair value hierarchy are valued using methodologies and procedures established by the TIP board of trustees, and the TIP Valuation Committee, which was established to serve as an agent of the Board. Management is responsible for the execution of these valuation procedures. Transfers to/from, or additions to, Level 3 require a determination of the valuation methodology, including the use of unobservable inputs, by the TIP Valuation Committee.
The TIP Valuation Committee meets no less than quarterly to review the methodologies and significant unobservable inputs currently in use, and to adjust the pricing models as necessary. Any adjustments to the pricing models are documented in the minutes of the TIP Valuation Committee meetings, which are provided to the TIP board of trustees on a quarterly basis.
The following is a summary of the procedures and significant unobservable inputs used in Level 3 investments:
Common Stocks and Corporate Bonds. Securities for which market quotations are not readily available or for which available prices are deemed unreliable are valued at their fair value as determined in good faith under procedures established by the TIP board of trustees. Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security. On a quarterly basis, the TIP Valuation Committee reviews the valuations in light of current information available about the issuer, security or market trends to adjust the pricing models, if deemed necessary.
Private Investment Funds. Private investment funds are valued at fair value using net asset values received on monthly statements, adjusted for the most recent estimated value or performance provided by the management of the private investment fund. In most cases, values are adjusted further by the total returns of indices or exchange-traded funds that track markets to which the private investment fund is fully or partially exposed, as determined by the TIP Valuation Committee upon review of information provided by the private investment fund. On a quarterly basis, the TIP Valuation Committee compares the valuations as determined by the pricing models at each month-end during the quarter to statements provided by management of the private investment funds in order to recalibrate the market exposures, the indices or exchange-traded funds used in the pricing models as necessary.
33
The valuation techniques and significant observable inputs used in recurring Level 3 fair value measurements of assets were as follows:
As of December 31, 2014 | Fair Value | Valuation Methodology | Significant Unobservable Inputs | Range | Weighted Average | |||||||||||||||
Common Stocks and Corporate Bonds | $ | — | Last market price | Discount(%) | 100% | 100% | ||||||||||||||
538,867 | Corporate action model | Future claim awards | — | — | ||||||||||||||||
Private Investment Funds | 992,325,280 | Adjusted net asset value | Manager estimates | (5.52)% – 2.65% | (0.91)% | |||||||||||||||
Market returns* | (3.98)% – 0.00% | (1.11)% |
* | Weighted by estimated exposure to chosen indices or exchange-traded funds. |
The following are descriptions of the sensitivity of the Level 3 reoccurring fair value measurements to changes in the significant unobservable inputs presented in the table above:
Common Stocks and Corporate Bonds. The technique and unobservable inputs in the above chart reflect the technique and significant unobservable inputs of securities held at period end. The discount for lack of marketability used to determine fair value may include other factors such as liquidity or credit risk. An increase (decrease) in the discount would result in a lower or higher fair value measurement.
Private Investment Funds. The range of management estimates and market returns reflected in the above chart identify the range of estimates and returns used in valuing the private investment funds at period end. A significant increase (decrease) in the estimates received from the management of the private investment funds would result in a significantly higher or lower fair value measurement. A significant increase (decrease) in the market return weighted by estimated exposures to chosen indices would result in a significantly higher or lower fair value measurement.
The table below details the fund’s ability to redeem from private investment funds that are classified as Level 3 assets. The private investment funds in this category generally impose a “lockup” or “gating” provision, which may restrict the timing, amount, or frequency of redemptions. All or a portion of the interests in these privately offered funds generally are deemed to be illiquid.
Fair Value | Redemption Frequency | Redemption Notice Period | ||||||||||
Multi-Strategy (a) (b) | $ | 323,446,109 | daily, quarterly, annually | 2 – 65 days | ||||||||
Relative Value (c) | 249,191,831 | quarterly | 65 – 90 days | |||||||||
Long-Short Global (d) | 199,085,959 | monthly | 30 – 90 days | |||||||||
Commodity Futures (e) | 191,876,032 | daily | 1 day | |||||||||
Global Equity (f) | 28,725,349 | quarterly | 30 days | |||||||||
Total | $ | 992,325,280 |
(a) | This strategy entails the construction of portfolios primarily comprising capital allocated to various strategies based on risk and return profiles. |
(b) | This strategy includes $596,662 of illiquid investments in liquidation. The fund expects to receive distributions on a bi-monthly basis over the next one to three years. |
(c) | This strategy entails the construction of portfolios seeking to exploit price differences between similar securities through both long and short positions. |
(d) | This strategy entails the construction of portfolios primarily comprising long and short positions in global common stocks. |
(e) | This strategy entails the construction of portfolios that seek exposure to the commodities markets primarily through futures contracts. |
(f) | This strategy entails the construction of portfolios primarily comprising long positions in global common stocks. |
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Investment Transactions and Investment Income
Securities transactions are recorded on the trade date (the date on which the buy or sell order is executed) for financial reporting purposes. Interest income and expenses are recorded on an accrual basis. The fund accretes discounts or amortizes premiums using the yield-to-maturity method on a daily basis, except for mortgage-backed securities that record paydowns. The fund recognizes paydown gains and losses for such securities and reflects them in investment income. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities that are recorded as soon after the ex-dividend date as the fund, using reasonable diligence, becomes aware of such dividends. Non-cash dividends, if any, are recorded at the fair market value of the securities received. The fund uses the specific identification method for determining realized gain or loss on sales of securities and foreign currency transactions.
Income Taxes
There is no provision for federal income or excise tax since the fund has elected to be taxed as a regulated investment company (“RIC”) and intends to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to RICs and to distribute substantially all of its taxable income. The fund may be subject to foreign taxes on income, gains on investments, or currency repatriation. The fund accrues such taxes, as applicable, as a reduction of the related income and realized and unrealized gain as and when such income is earned and gains are recognized.
The fund evaluates tax positions taken or expected to be taken in the course of preparing the fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authorities. Tax positions not deemed to meet the more-likely-than-not threshold are recorded as tax benefits or expenses in the current year. Management has analyzed the fund’s tax positions taken or to be taken on federal income tax returns for all open tax years (tax years ended December 31, 2011 – December 31, 2014), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
As an open-end management investment company incorporated in the state of Maryland, but using the Pennslyvania address of its advisor, the fund may be subject to the Pennsylvania Franchise Tax, through the date of the reorganization. This franchise tax is assessed on average net assets for the tax year. The accrual for this tax is included on the Statement of Assets and Liabilities in Accrued expenses and other liabilities, and on the Statement of Operations in Miscellaneous fees and other.
Expenses
Expenses directly attributable to MAF are charged to the fund’s operations; expenses that are applicable to all TIP funds are allocated based on the relative average daily net assets of each TIP fund.
Dividends to Members
It is the fund’s policy to declare dividends from net investment income quarterly and distributions from capital gains at least annually.
MAF has adopted a managed distribution policy that aims, on a best efforts basis, to distribute approximately 5% of the fund’s net assets in the form of dividends and distributions each year. Pursuant to this policy, the fund may make distributions that are ultimately characterized as return of capital.
Dividends from net short-term capital gains and net long-term capital gains of the fund, if any, are normally declared and paid in December, but the fund may make distributions on a more frequent basis in accordance with the distribution requirements of the Code. To the extent that a net realized capital gain could be reduced by a capital loss carryover, such gain will not be distributed. Dividends and distributions are recorded on the ex-dividend date.
Foreign Currency Translation
The books and records of the fund are maintained in US dollars. Foreign currency amounts are translated into US dollars on the following basis:
(i) | the foreign currency value of investments and other assets and liabilities denominated in foreign currency are translated into US dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date; |
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(ii) | purchases and sales of investments, income, and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. |
The resulting net realized and unrealized foreign currency gain or loss is included in the Statement of Operations.
The fund does not generally isolate that portion of the results of operations arising as a result of changes in the foreign currency exchange rates from the fluctuations arising from changes in the market prices of securities. Accordingly, such foreign currency gain (loss) is included in net realized and unrealized gain (loss) on investments. However, the fund does isolate the effect of fluctuations in foreign exchange rates when determining the gain or loss upon the sale or maturity of foreign-currency denominated debt obligations pursuant to US federal income tax regulations; such an amount is categorized as foreign currency gain or loss for income tax reporting purposes.
Net realized gains and losses from foreign currency-related transactions represent net gains and losses from sales and maturities of forward currency contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions, and the difference between the amount of net investment income accrued and the US dollar amount actually received.
Net Asset Value
The net asset value per share is calculated on a daily basis by dividing the assets of the fund, less its liabilities, by the number of outstanding shares of the fund.
3. Derivatives and Other Financial Instruments
During the year ended December 31, 2014, the fund invested in derivatives, such as but not limited to futures, purchased and written options, and total return swaps for hedging, liquidity, index exposure, and active management strategies. Derivatives are used for “hedging” when TIFF Advisory Services, Inc. (“TAS”) or a money manager seeks to protect the fund’s investments from a decline in value. Derivative strategies are also used when TAS or a money manager seeks to increase liquidity, implement a cash management strategy, invest in a particular stock, bond or segment of the market in a more efficient or less expensive way, modify the effective duration of the fund’s portfolio investments and/or for purposes of total return. Depending on the purpose for which the derivative instruments are being used, the successful use of derivative instruments may depend on, among other factors, TAS or the money manager’s ability to predict and understand relevant market movements.
Cover for Strategies Using Derivative Instruments
Transactions using derivative instruments, including futures contracts, written options and swaps, expose the fund to an obligation to another party and may give rise to a form of leverage. It is the fund’s policy to segregate assets to cover derivative transactions that might be deemed to create leverage under Section 18 of the 1940 Act. In that regard, the fund will not enter into any such transactions unless it has covered such transactions by owning and segregating either (1) an offsetting (“covered”) position in securities, currencies, or other derivative instruments or (2) cash and/or liquid securities with a value sufficient at all times to cover its potential obligations to the extent not covered as provided in (1) above. When the fund is required to segregate cash or liquid securities, it will instruct its custodian as to which cash holdings or liquid assets are to be marked on the books of the fund or its custodian as segregated for purposes of Section 18 of the 1940 Act. The fund will monitor the amount of these segregated assets on a daily basis and will not enter into additional transactions that would require the segregation of cash or liquid securities unless the fund holds a sufficient amount of cash or liquid securities that can be segregated.
Financial Futures Contracts
The fund uses futures contracts primarily in three ways: (1) to gain long-term exposures, both long and short, to the total returns of broad equity indices, primarily in developed markets; (2) to gain long-term exposures, both long and short, to the returns of non-dollar currencies relative to the US dollar; and (3) to manage the duration of the fund’s fixed income holdings to targeted levels. While trades here may be opportunistic in order to rebalance or otherwise adjust the fund’s exposures, generally the fund’s holdings of futures at the end of the year are indicative of the types, number, and magnitude of positions held throughout the year. The fund’s trading in futures tends to be centered around the quarterly roll periods and within the duration-hedging activities.
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Futures contracts involve varying degrees of risk. Such risks include the imperfect correlation between the price of a derivative and that of the underlying security and the possibility of an illiquid secondary market for these securities. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instrument at a set price for delivery at a future date. At the time a futures contract is purchased or sold, the fund must allocate cash or securities as a deposit payment (“initial margin”). An outstanding futures contract is valued daily, and the payment in cash of “variation margin” will be required, a process known as “marking to the market.” Each day the fund will be required to provide (or will be entitled to receive) variation margin in an amount equal to any decline (in the case of a long futures position) or increase (in the case of a short futures position) in the contract’s value since the preceding day. The daily variation margin is recorded as a receivable or payable on the Statement of Assets and Liabilities. When the contracts are closed, a realized gain or loss is recorded as net realized gain (loss) from financial futures contracts in the Statement of Operations, equal to the difference between the opening and closing values of the contracts.
US futures contracts have been designed by exchanges that have been designated as “contract markets” by the Commodity Futures Trading Commission (“CFTC”) and such contracts must be executed through a futures commission merchant or brokerage firm that is a member of the relevant contract market. Futures contracts trade on a number of exchange markets, and through their clearing corporations the exchanges guarantee performance of the contracts as between the clearing members of the exchange, thereby reducing the risk of counterparty default. Securities designated as collateral for market value on futures contracts are noted in the Schedule of Investments.
Swap Contracts
The fund uses swaps primarily in two ways: (1) to gain long-term exposures, both long and short, to the total returns of broad equity indices such as emerging markets; and (2) to gain short- or long-term exposure, both long and short, to the total returns of individual stocks and bonds, often as components of relative value strategies. While swaps falling into the first category are often held for multiple quarters, if not years, swaps in the second category can at times be held for shorter time periods or adjusted frequently based on the managers’ evolving views of the expected risk/reward of the trade, resulting at times in numerous swap transactions in a given day. The fund’s holdings of swaps at the end of the year are indicative of the types of positions held throughout the year. The number and magnitude of these positions declined throughout the period due to the liquidation of an account that was managed by a former money manager to the fund, however, the number and magnitude of the positions held at the end of the period are expected to be indicative of the number and magnitude of the positions during the upcoming period.
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The fund will generally enter into swap agreements on a net basis, which means that the two payment streams that are to be made by the fund and its counterparty are netted, with the fund receiving or paying, as the case may be, only the net difference in the two payments. If the counterparty is obligated to pay the net amount to the fund, the fund is exposed to credit risk in the event of non-performance by the counterparty. If the fund is obligated to pay the net amount, the fund’s risk of loss is that net amount.
Upon entering into a swap agreement, the fund may be required to pledge to the swap counterparty an amount of cash and/or other assets equal to the total net amount (if any) that would be payable by the fund to the counterparty if the swap were terminated on the date in question, including any early termination payments. In certain circumstances, the fund may be required to pledge an additional amount, known as an independent amount, which is typically equal to a specified percentage of the notional amount of the trade. Likewise, the counterparty may be required to pledge cash or other assets to cover its obligations to the fund, net of the independent amount, if any. However, the amount pledged may not always be equal to or more than the amount due to the other party. Therefore, if a counterparty defaults in its obligations to the fund, the amount pledged by the counterparty and available to the fund may not be sufficient to cover all the amounts due to the fund and the fund may sustain a loss. This risk will be greater if an independent amount applies.
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The fund records a net receivable or payable for the amount expected to be received or paid in the period. Fluctuations in the value of swap contracts are recorded for financial statement purposes as unrealized appreciation (depreciation) on investments. The swap is valued at fair market value as determined by valuation models developed and approved in accordance with the fund’s valuation procedures. Swap contracts may also involve market risk in excess of the unrealized gain or loss reflected in the fund’s Statement of Assets and Liabilities. In addition, the fund could be exposed to risk if the counterparties are unable to meet the terms of the contract or if the value of foreign currencies change unfavorably to the US dollar.
Equity or Total Return Swaps. An equity swap or total return swap is an agreement between two parties under which the parties agree to make payments to each other so as to replicate the economic consequences that would apply had a purchase or short sale of the underlying security taken place. For example, one party agrees to pay the other party the total return earned or realized on the notional amount of an underlying equity security and any dividends declared with respect to that equity security. Similarly, such payments may be based on the performance of an index. In return the other party would make payments, typically at a spread to a floating rate, calculated based on the notional amount.
Options
The fund generally uses options to hedge a portion (but not all) of the downside risk in its long equity and equity relative value positions and also opportunistically to generate total returns. The fund may also engage in writing options, for example, to express a long view on a stock by writing a put option. When writing a put option, the risk to the fund is equal to the notional value of the position. The fund did not hold options at the end of the year, however, both written and purchased options were held during the year.
Generally, an option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy a specified security, currency or other instrument (an “underlying instrument”) from the writer of the option (in the case of a call option), or to sell a specified security, currency, or other instrument to the writer of the option (in the case of a put option) at a designated price during the term of the option or at the expiration date of the option. Put and call options that the fund purchases may be traded on a national securities exchange or in the OTC market. All option positions entered into on a national securities exchange are cleared and guaranteed by the Options Clearing Corporation, thereby reducing the risk of counterparty default. There can be no assurance that a liquid secondary market will exist for any option purchased.
As the buyer of a call option, the fund has a right to buy the underlying instrument (e.g., a security) at the exercise price at any time during the option period (for American style options) or at the expiration date (for European style options). The fund may enter into closing sale transactions with respect to call options, exercise them, or permit them to expire unexercised. As the buyer of a put option, the fund has the right to sell the underlying instrument at the exercise price at any time during the option period (for American style options) or at the expiration date (for European style options). Like a call option, the fund may enter into closing sale transactions with respect to put options, exercise them or permit them to expire unexercised. When buying options, the fund’s potential loss is limited to the cost (premium plus transaction costs) of the option.
As the writer of a put option, the fund retains the risk of loss should the underlying instrument decline in value. If the value of the underlying instrument declines below the exercise price of the put option and the put option is exercised, the fund, as the writer of the put option, will be required to buy the instrument at the exercise price. The fund will incur a loss to the extent that the current market value of the underlying instrument is less than the exercise price of the put option. However, the loss will be offset at least in part by the premium received from the sale of the put. If a put option written by the fund expires unexercised, the fund will realize a gain in the amount of the premium received. As the writer of a put option, the fund may be required to pledge cash and/or other liquid assets at least equal to the value of the fund’s obligation under the written put.
The fund may write “covered” call options, meaning that the fund owns the underlying instrument that is subject to the call or has cash and/or liquid securities with a value at all times sufficient to cover its potential obligations under the option. When the fund writes a covered call option, any underlying instruments that are held by the fund and are subject to the call option will be earmarked as segregated on the books of the fund or the fund’s custodian. A fund will be unable to sell the underlying instruments that are subject to the written call option until it either effects a closing transaction with respect to the written call, or otherwise satisfies the conditions for release of the underlying instruments from segregation, for example, by
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segregating sufficient cash and/or liquid assets necessary to enable the fund to purchase the underlying instrument in the event the call option is exercised by the buyer.
When the fund writes an option, an amount equal to the premium received by the fund is included in the fund’s Statement of Assets and Liabilities as a liability and subsequently marked to market to reflect the current value of the option written. These contracts may also involve market risk in excess of the amounts stated in the Statement of Assets and Liabilities. In addition, the fund could be exposed to risk if the counter-parties are unable to meet the terms of the contract or if the value of foreign currencies change unfavorably to the US dollar. The current market value of a written option is the last sale price on the market on which it is principally traded. If the written option expires unexercised, the fund realizes a gain in the amount of the premium received. If the fund enters into a closing transaction, it recognizes a gain or loss, depending on whether the cost of the purchase is less than or greater than the premium received.
For the year ended December 31, 2014, the fund had the following transactions in written options.
Number of Contracts | Premiums Received | |||||||
Options outstanding at December 31, 2013 | 214,820 | $ | 96,135 | |||||
Options written | — | — | ||||||
Options terminated in closing purchase transactions | (21,600 | ) | (20,817 | ) | ||||
Options expired | — | — | ||||||
Options assigned | (193,220 | ) | (75,318 | ) | ||||
Options outstanding at December 31, 2014 | — | $ | — |
Forward Currency Contracts
The fund enters into forward currency contracts to manage the foreign currency exchange risk to which it is subject in the normal course of pursuing international investment objectives. The primary objective of such transactions is to protect (hedge) against a decrease in the US dollar equivalent value of its foreign securities or the payments thereon that may result from an adverse change in foreign currency exchange rates in advance of pending transaction settlements. The fund’s holdings of forward currency contracts at the end of the year are indicative of the types of positions held throughout the year. The number and magnitude of these positions declined throughout the period due to the liquidation of an account that was managed by a former money manager to the fund, however, the number and magnitude of the positions held at the end of the period are expected to be indicative of the number and magnitude of the positions during the upcoming period.
A forward currency contract is an agreement between two parties to buy or sell a specific currency for another at a set price on a future date, which is individually negotiated and privately traded by currency traders and their customers in the interbank market. The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. Forward currency contracts are marked-to-market daily, and the change in value is recorded by the fund as an unrealized gain or loss. The fund may either exchange the currencies specified at the maturity of a forward contract or, prior to maturity, enter into a closing transaction involving the purchase or sale of an offsetting forward contract. Closing transactions with respect to forward contracts are usually performed with the counterparty to the original forward contract. The gain or loss arising from the difference between the US dollar cost of the original contract and the value of the foreign currency in US dollars upon closing a contract is included in net realized gain (loss) from forward currency contracts on the Statement of Operations. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the fund’s Statement of Assets and Liabilities. In addition, the fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the US dollar.
Forward currency contracts held by the fund are fully collateralized by other securities, as disclosed in the accompanying Schedule of Investments. The collateral is evaluated daily to ensure its market value equals or exceeds the current market value of the corresponding forward currency contracts.
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Short Selling
The fund sells securities it does not own in anticipation of a decline in the market price of such securities or in order to hedge portfolio positions. The fund generally will borrow the security sold in order to make delivery to the buyer. Upon entering into a short position, the fund records the proceeds as a deposit with broker for securities sold short in its Statement of Assets and Liabilities and establishes an offsetting liability for the securities or foreign currencies sold under the short sale agreement. The cash is retained by the fund’s broker as collateral for the short position. The fund must also post an additional amount of margin of 50% of the value of the short sale. Additional margin may be required as the value of the borrowed security fluctuates. The liability is marked-to-market while it remains open to reflect the current settlement obligation. Until the security or currency is replaced, the fund is required to pay the lender any dividend or interest earned. Such payments are recorded as expenses to the fund. When a closing purchase is entered into by the fund, a gain or loss equal to the difference between the proceeds originally received and the purchase cost is recorded in the Statement of Operations.
In “short selling,” the fund sells borrowed securities or currencies which must at some date be repurchased and returned to the lender. If the market value of securities or currencies sold short increases, the fund may realize losses upon repurchase in amounts which may exceed the liability on the Statement of Assets and Liabilities. Further, in unusual circumstances, the fund may be unable to repurchase securities to close its short position except at prices significantly above those previously quoted in the market.
Further discussion of short selling US Government securities can be found in Note 7, Repurchase and Reverse Repurchase Agreements.
Interest Only Securities
The fund invests in interest only securities (IOs), which entitle the holder to the interest payments in a pool of mortgages, Treasury bonds, or other bonds. With respect to mortgage-backed IOs, if the underlying mortgage assets experience greater than anticipated prepayments of principal, a portfolio may fail to recoup fully its initial investment in an IO. The fair market value of these securities is volatile in response to changes in interest rates.
Derivative Disclosure
The fund is a party to agreements which include netting provisions or other similar arrangements. While the terms and conditions of these agreements may vary, all transactions under each such agreement constitute a single contractual relationship, and each party’s obligation to make any payments, deliveries, or other transfers in respect of any transaction under such agreement may be applied against the other party’s obligations under such agreement and netted. A default by a party in performance with respect to one transaction under such an agreement would give the other party the right to terminate all transactions under such agreement and calculate one net amount owed from the defaulting party to the other. The fund is required to disclose positions held at year-end that were entered into pursuant to agreements that allow the fund to net the counterparty’s obligations against those of the fund in the event of a default by the counterparty.
At December 31, 2014, the fund’s derivative assets and liabilities (by contract type) are as follows:
Assets | Liabilities | |||||||
Derivative Financial Instruments: | ||||||||
Warrants | $ | 2,108,891 | $ | — | ||||
Swap Contracts | — | (2,912,890 | ) | |||||
Forward Currency Contracts | 305,638 | (83,566 | ) | |||||
Financial Futures Contracts | 1,172,018 | (3,746,912 | ) | |||||
Total derivative assets and liabilities | 3,586,547 | (6,743,368 | ) | |||||
Derivatives not subject to a netting provision or similar arrangement | 3,280,909 | (3,746,912 | ) | |||||
Total assets and liabilities subject to a netting provision or similar arrangement | $ | 305,638 | $ | (2,996,456 | ) |
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The following table presents the fund’s derivative assets net of amounts available for offset under a netting provision or similar arrangement and net of the related collateral (excluding any independent amounts) received by the fund as of December 31, 2014:
Counterparty | Derivative Assets Subject to a Netting Provision or Similar Arrangement | Derivatives Available for Offset | Collateral Received | Net Amount | ||||||||||||
Forward Currency Contracts | ||||||||||||||||
Barclays Bank plc | $ | 8,959 | $ | — | $ | — | $ | 8,959 | ||||||||
Deutsche Bank AG | 1,086 | — | — | 1,086 | ||||||||||||
State Street Bank & Trust Co. | 295,593 | (83,566 | ) | — | 212,027 | |||||||||||
Total | $ | 305,638 | $ | (83,566 | ) | $ | — | $ | 222,072 |
The following table presents the fund’s derivative liabilities net of amounts available for offset under a netting provision or similar arrangement and net of the related collateral (excluding any independent amounts) pledged by the fund as of December 31, 2014:
Counterparty | Derivative Liabilities Subject to a Netting Provision or Similar Arrangement | Derivatives Available for Offset | Collateral Pledged | Net Amount | ||||||||||||
Forward Currency Contracts | ||||||||||||||||
State Street Bank & Trust Co. | $ | (83,566 | ) | $ | 83,566 | $ | — | $ | — | (a) | ||||||
Swap Contracts | ||||||||||||||||
Bank of America Merrill Lynch | (2,912,890 | ) | — | 2,912,890 | — | (a) | ||||||||||
Total | $ | (2,996,456 | ) | $ | 83,566 | $ | 2,912,890 | $ | — |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown here due to overcollateralization. |
Please see Note 7, Repurchase and Reverse Repurchase Agreements, for further discussion of netting provisions and similar arrangements.
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The following tables provide quantitative disclosure about fair value amounts of and gains and losses on the fund’s derivative instruments grouped by contract type and primary risk exposure category, as of December 31, 2014. These derivatives are not accounted for as hedging instruments. The period-end notional amounts disclosed in the Schedule of Investments are representative of the fund’s derivative activity throughout the reporting period.
The following table lists the fair values of the fund’s derivative holdings as of December 31, 2014, grouped by contract type and risk exposure category.
Derivative Type | Balance Sheet Location | Interest Rate Risk | Foreign Currency Risk | Equity Risk | Total | ||||||||||||||||
Asset Derivatives | |||||||||||||||||||||
Warrants | Investments, at value | $ | — | $ | — | $ | 2,108,891 | $ | 2,108,891 | ||||||||||||
Forward Currency Contracts | Unrealized appreciation on forward currency contracts | — | 305,638 | — | 305,638 | ||||||||||||||||
Financial Futures Contracts | Variation margin* | 53,349 | 1,118,669 | — | 1,172,018 | ||||||||||||||||
Total Value – Assets | $ | 53,349 | $ | 1,424,307 | $ | 2,108,891 | $ | 3,586,547 | |||||||||||||
Liability Derivatives | |||||||||||||||||||||
Swap Contracts | Swap contracts, at value | — | — | (2,912,890 | ) | (2,912,890 | ) | ||||||||||||||
Forward Currency Contracts | Unrealized depreciation on forward currency contracts | — | (83,566 | ) | — | (83,566 | ) | ||||||||||||||
Financial Futures Contracts | Variation margin* | (3,469,905 | ) | — | (277,007 | ) | (3,746,912 | ) | |||||||||||||
Total Value – Liabilities | $ | (3,469,905 | ) | $ | (83,566 | ) | $ | (3,189,897 | ) | $ | (6,743,368 | ) |
* | Cumulative appreciation (depreciation) of futures contracts is reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
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The following table lists the amounts of gains or losses included in net increase in net assets resulting from operations for the period ended December 31, 2014, grouped by contract type and risk exposure.
Derivative Type | Income Statement Location | Interest Rate Risk | Foreign Currency Risk | Equity Risk | Total | ||||||||||||||||
Realized Gain (Loss) | |||||||||||||||||||||
Rights | Net realized gain (loss) from Investments | $ | — | $ | — | $ | (15,804 | ) | $ | (15,804 | ) | ||||||||||
Warrants | Net realized gain (loss) from Investments | — | — | 200,208 | 200,208 | ||||||||||||||||
Purchased Options | Net realized gain (loss) from Investments | — | — | 310,121 | 310,121 | ||||||||||||||||
Written Options | Net realized gain (loss) from Options Written | — | — | 9,112 | 9,112 | ||||||||||||||||
Swap Contracts | Net realized gain (loss) from Swap contracts | — | — | 1,813,683 | 1,813,683 | ||||||||||||||||
Forward Currency Contracts | Net realized gain (loss) from Forward currency contracts | — | (94,018 | ) | — | (94,018 | ) | ||||||||||||||
Financial Futures Contracts | Net realized gain (loss) from Financial futures contracts | (12,194,093 | ) | 6,241,148 | 3,756,120 | (2,196,825 | ) | ||||||||||||||
Total Realized Gain (Loss) | $ | (12,194,093 | ) | $ | 6,147,130 | $ | 6,073,440 | $ | 26,477 |
The following table lists the change in unrealized appreciation (depreciation) included in net increase in net assets resulting from operations for the period ended December 31, 2014, grouped by contract type and risk exposure category.
Derivative Type | Income Statement Location | Interest Rate Risk | Foreign Currency Risk | Equity Risk | Total | ||||||||||||||||
Change in Appreciation (Depreciation) | |||||||||||||||||||||
Warrants | Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies | $ | — | $ | — | $ | 88,787 | $ | 88,787 | ||||||||||||
Purchased Options | Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies | — | — | (119,156 | ) | (119,156 | ) | ||||||||||||||
Written Options | Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies | — | — | (16,813 | ) | (16,813 | ) | ||||||||||||||
Swap Contracts | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | — | — | (6,002,716 | ) | (6,002,716 | ) | ||||||||||||||
Forwards Currency Contracts | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | — | 466,801 | — | 466,801 | ||||||||||||||||
Financial Futures Contracts | Change in unrealized appreciation (depreciation) on Investments and Foreign Currencies | (4,089,083 | ) | (780,356 | ) | 5,338,322 | 468,883 | ||||||||||||||
Total Change in Appreciation (Depreciation) | $ | (4,089,083 | ) | $ | (313,555 | ) | $ | (711,576 | ) | $ | (5,114,214 | ) |
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4. Investment Advisory Agreement, Money Manager Agreements, and Other Transactions with Affiliates
TIP’s board of trustees has approved an investment advisory agreement for the fund with TAS. The fund pays TAS a monthly fee calculated by applying the annual rates set forth below to the fund’s average daily net assets for the month:
Assets | ||||
On the first $1 billion | 0.25 | % | ||
On the next $1 billion | 0.23 | % | ||
On the next $1 billion | 0.20 | % | ||
On the remainder (> $3 billion) | 0.18 | % |
TIP’s board of trustees has approved money manager agreements with each of the money managers. Certain money managers will receive annual management fees equal to a stated percentage of the value of fund assets under management by such money manager that is adjusted upward or downward, usually proportionately, to reflect actual investment performance over the applicable time period relative to a chosen benchmark rate of return or is otherwise based on performance of the money manager’s portfolio. Other money managers will receive management fees equal to a specified percentage per annum of the assets under management by such money manager with a single rate or on a descending scale. Money managers who provided services to the fund and their fees as a percent of assets managed during the year ended December 31, 2014, were as follows:
Minimum | Maximum | Annualized Effective Fee Rate | ||||||||||
AJO, LP (a) | 0.10 | % | 0.50 | % | 0.40 | % | ||||||
Amundi Smith Breeden LLC – Beta (b) | 0.02 | % | 0.03 | % | 0.03 | % | ||||||
Amundi Smith Breeden LLC – High Alpha (c) | 0.25 | % | (c) | 0.65 | % | |||||||
Amundi Smith Breeden LLC – Low Alpha (a) | 0.10 | % | 0.85 | % | 0.43 | % | ||||||
Brookfield Investment Management Inc. (a) | 0.50 | % | 2.50 | % | 1.99 | % | ||||||
Glenhill Capital Advisors, LLC (d) | 0.55 | % | (d) | 0.66 | % | |||||||
Kopernik Global Investors, LLC (b) | 0.50 | % | 0.65 | % | 0.55 | % | ||||||
Lansdowne Partners (UK) LLP (b) | 0.80 | % | 0.80 | % | 0.80 | % | ||||||
Marathon Asset Management, LLP – ACWI (a) (e) | 0.15 | % | 1.60 | % | 0.41 | % | ||||||
Marathon Asset Management, LLP – EAFE (a) | 0.15 | % | 1.60 | % | 0.47 | % | ||||||
Marathon Asset Management, LLP – EM (e) (f) | 0.35 | % | (f) | 0.35 | % | |||||||
Mission Value Partners, LLC (g) | 0.25 | % | (g) | 1.61 | % | |||||||
Mondrian Investment Partners Limited (b) | 0.30 | % | 0.43 | % | 0.31 | % | ||||||
OVS Capital Management LLP (h) | 0.50 | % | (h) | 1.13 | % | |||||||
Shapiro Capital Management LLC (a) | 0.50 | % | 0.95 | % | 0.84 | % | ||||||
Southeastern Asset Management, Inc. (b) | 0.75 | % | 1.00 | % | 0.75 | % |
(a) | Money manager receives a fee that is based on performance. The effective fee may fall outside of the minimum and maximum range because performance fees may be based on either assets or performance from a period other than the period covered by this report. |
(b) | Money manager receives a fee that is based on assets under management, irrespective of performance. For those money managers whose fee agreements include breakpoints, the minimum and maximum reflect the last level and the first level of the breakpoints, respectively. |
(c) | Amundi Smith Breeden High Alpha Account’s compensation entails an asset-based fee schedule with breakpoints of 0.30% and 0.25%, and a performance fee, pursuant to which Amundi Smith Breeden will receive up to 10% of a performance accrual account which accumulates 20% of the net appreciation or depreciation earned over a specific hurdle generated by the portfolio for each calendar month. |
(d) | Glenhill’s compensation entails an asset-based fee schedule with breakpoints between 0.55% and 0.75%, and a performance fee, pursuant to which Glenhill will receive 15% of the amount of appreciation generated by the portfolio over a specified hurdle, subject to a high-water mark. |
(e) | Marathon ceased managing assets in its All Country World (“ACWI”) portfolio on March 31, 2014. Marathon commenced managing its Emerging Markets (“EM”) portfolio on April 1, 2014. |
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(f) | Marathon’s compensation for its EM account entails an asset based fee of 0.35% per year and a performance fee, pursuant to which Marathon will receive 20% of the amount of appreciation generated by the portfolio over a specified hurdle, subject to a high water mark. |
(g) | Mission Value Partners’ compensation entails an asset-based fee schedule with breakpoints between 0.25% and 1.00%, and a performance fee. Pursuant to the performance fee agreement, Mission Value Partners will receive up to 1.00% of the amount by which the annualized return generated by the portfolio exceeds that of its hurdle, measured over a rolling thirty-six month period, multiplied by the average daily net asset value of such assets over the same thirty-six month period. |
(h) | OVS ceased managing assets for MAF as of May 8, 2014. Prior to that date, OVS’s compensation entailed an asset-based fee that was dependent, in part, on total assets OVS invested for MAF and assets that OVS managed for other clients, and ranged between 0.50% and 1.50% per year. Additionally, OVS received a performance fee that ranged between 10% and 15% of the amount of appreciation above a specified hurdle generated by the portfolio provided the dollar amount of prior year losses, if any, has been recovered. As with the asset-based fee, the performance fee varied within the range depending in part on total assets OVS invests for MAF and assets that OVS manages for other clients. The effective fee rate shown here is not annualized, but instead reflects the fee rate for the actual period during which OVS managed assets for MAF. Had the effective fee rate been annualized, it would have been 3.18%. |
TAS entered an agreement with State Street Global Markets (SSGM) pursuant to which SSGM may act from time to time as a trading advisor with respect to a portion of the fund’s assets. SSGM provided such services through July 9, 2014 and may again provide such services in the future. For these services, the fund paid 0.01% on the month-end balance of such fund assets. SSGM does not provide investment advice or exercise discretion over the fund’s assets. Fees for such services paid to SSGM are reflected as money manager fees on the Statement of Operations.
With respect to MAF’s investments in other registered investment companies, private investment funds, exchange-traded funds, and other acquired funds, MAF bears its ratable share of each such entity’s expenses, including its share of the management and performance fees, if any, charged by such entity. MAF’s share of management and performance fees charged by such entities is in addition to fees paid by MAF to TAS and the money managers.
Pursuant to a series of agreements, State Street Bank and Trust Company (“State Street”) earns a fee for providing core fund administration, fund accounting, domestic custody, and transfer agent services. Fees paid for non-core services rendered by State Street include, but are not limited to, foreign custody and transactional fees, which are based upon assets of the fund and/or on transactions entered into by the fund during the period, and out-of-pocket expenses. Fees for such services paid to State Street by the fund are reflected as fund administration fees on the Statement of Operations.
TAS provides certain administrative services to the fund under a Services Agreement. For these services, the fund pays a monthly fee calculated by applying an annual rate of 0.02% to the fund’s average daily net assets for the month. Fees for such services paid to TAS by the fund are reflected as administrative fees on the Statement of Operations.
TIP has designated an employee of TAS as its Chief Compliance Officer (“CCO”). For these services provided to TIP, which include the monitoring of TIP’s compliance program pursuant to Rule 38a-1 under the 1940 Act, TIP reimburses TAS. MAF pays a pro rata portion of such costs based on its share of TIP’s net assets.
TIP’s board of trustees, all of whom are considered “disinterested trustees” as defined in the 1940 Act, serve as volunteers and receive no fees or salary for their service as board members. The independent chair of the board of trustees, received compensation of $48,989 from MAF for the year ended December 31, 2014, for service as independent chair.
5. Investment Transactions
Cost of investment securities purchased and proceeds from sales of investment securities, other than short-term investments, during the year ended December 31, 2014, were as follows:
Purchases | Sales | |||||||
Non-US Government Securities | $ | 3,588,712,559 | $ | 3,189,802,837 | ||||
US Government Securities | $ | 1,295,024,382 | $ | 820,042,398 |
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6. Federal Tax Information
For federal income tax purposes, the cost of investments, the aggregate gross unrealized appreciation/(depreciation) and the net unrealized appreciation/(depreciation) of investment securities, other than proceeds from securities sold short, at December 31, 2014, are as follows:
Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation) | Cost | |||||||||
$605,072,272 | $(461,720,912) | $143,351,360 | $5,853,383,396 |
The difference between the tax cost of investments and the cost of investments for US GAAP purposes is primarily due to the tax treatment of wash sale losses, income/losses from underlying partnerships, distributions from real estate investment trusts, and marked-to-market of investments in passive foreign investment companies.
Dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from US GAAP. These “book/tax” differences are considered either temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital account based on their federal tax-basis treatment; temporary differences do not require reclassification.
During the year ended December 31, 2014, the fund made the following reclassifications primarily due to foreign currency gains/(losses), swap gains/(losses), and the tax treatment of investments in real estate investment trusts, passive foreign investment companies, investment partnerships, and regulated investment companies:
Undistributed/ (Distribution in Excess of) Net Investment Income | Accumulated Realized Gain/(Losses) | Paid in Capital | ||||||
$16,403,054 | $(16,403,054) | $ — |
At December 31, 2014, the components of distributable earnings/(accumulated losses) on a tax basis detailed below differ from the amounts reflected in the fund’s Statement of Assets and Liabilities by temporary book/tax differences, largely arising from wash sales, partnership income, passive foreign investment companies, financial futures transactions, and forward currency contracts.
Undistributed (Distribution in Excess of) Ordinary Income | Undistributed Capital Gains | (Accumulated Capital and Other Losses) | Unrealized Appreciation/ (Depreciation) (a) | |||||||||
$30,704,833 | $31,028,166 | $ —(b) | $124,182,516 |
(a) | Includes unrealized appreciation on investments, short sales, derivatives, and foreign currency-denominated assets and liabilities, if any. |
(b) | Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), the fund is permitted to carry forward any new capital losses for an unlimited period. Additionally, such capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than considered short-term under previous law. |
MAF did not carry forward any capital losses incurred prior to the Act, and the fund did not incur additional capital losses subject to the Act.
In addition, the fund can elect to defer qualified late year losses incurred after October 31, 2014 but before December 31, 2014, which are deemed to arise on the first business day of the following year. MAF did not have any late year losses.
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The amount and character of tax basis distributions paid during the years ended December 31, 2013 and December 31, 2014, are detailed below. Certain differences exist from the amounts reflected in the fund’s Statement of Changes in Net Assets primarily due to the character of foreign currency gains/(losses) and net short-term capital gains treated as ordinary income for tax purposes.
2014 | 2013 | |||||||||||||||||||||||||||
Ordinary Income | Long-Term Capital gain | Return of Capital | Total | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total | |||||||||||||||||||||
$136,978,211 | $ | 268,440,487 | $ | — | $ | 405,418,698 | $ | 196,852,485 | $ | 386,226,755 | $ | — | $ | 583,079,240 |
7. Repurchase and Reverse Repurchase Agreements
The fund will engage in repurchase and reverse repurchase transactions under the terms of master repurchase agreements with parties approved by TAS or the relevant money manager.
In a repurchase agreement, the fund buys securities from a counterparty (e.g., typically a member bank of the Federal Reserve system or a securities firm that is a primary or reporting dealer in US Government securities) with the agreement that the counterparty will repurchase them at the same price plus interest at a later date. In certain instances, the fund may enter into repurchase agreements with one counterparty, but face another counterparty at settlement. Repurchase agreements may be characterized as loans secured by the underlying securities. Such transactions afford an opportunity for the fund to earn a return on available cash at minimal market risk, although the fund may be subject to various delays and risks of loss if the counterparty becomes subject to a proceeding under the US Bankruptcy Code or is otherwise unable to meet its obligation to repurchase the securities. In transactions that are considered to be collateralized fully, the securities underlying a repurchase agreement will be marked to market every business day so that the value of such securities is at least equal to the repurchase price thereof, including accrued interest. Certain transactions are not considered to be collateralized fully either because the value of the securities received from the counterparty is less than the repurchase price thereof or the fund elects to use the securities received for another purpose and therefore does not maintain a perfected security interest in the securities. In some instances, the collateral obtained as part of the repurchase agreement may then be borrowed to settle a short sale trade. Such transactions afford an opportunity for the fund to pay or receive the market return on the security received as collateral in the repurchase agreement. At the end of the repurchase agreement, the fund is obligated to return this borrowed collateral to the counterparty and thus will close out the short position by buying back the collateral in the market.
In a reverse repurchase agreement, the fund sells US Government securities and simultaneously agrees to repurchase them at an agreed-upon price and date. The difference between the amount the fund receives for the securities and the additional amount it pays on repurchase is deemed to be a payment of interest. Reverse repurchase agreements create leverage, a speculative factor, but will not be considered borrowings for the purposes of limitations on borrowings. When a fund enters into a reverse repurchase agreement, it must segregate on its or its custodian’s books cash and/or liquid securities in an amount equal to the amount of the fund’s obligation (cost) to repurchase the securities, including accrued interest.
If the counterparty defaults on its obligation to repurchase the underlying securities at a time when the value of these securities has declined, the fund may incur a loss upon their disposition. In addition, although the Bankruptcy Code provides protection for most repurchase agreements (generally, those that are collateralized fully), in the event that the other party to a repurchase agreement becomes bankrupt, the fund may experience delay or be prevented from exercising its right to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the fund seeks to assert this right. In addition, to the extent that the value of the securities received from the counterparty on a repurchase transaction is less than the repurchase price, the fund may suffer a loss of that amount in the event of the bankruptcy of the counterparty. Finally, it is possible that the fund may not be able to substantiate its interest in the underlying securities.
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The difference between the amount the fund receives for the securities and the additional amount it pays on repurchase is deemed to be a payment of interest. Open reverse repurchase agreements at December 31, 2014, were as follows:
Description | Face Value | |||
Barclays Capital, Inc., 0.35%, dated 12/30/14, to be repurchased on 01/06/15 at $61,064,132 | $ | 61,059,976 |
For the year ended December 31, 2014, the average balance outstanding was $103,021,240 and the average interest rate was 0.11%.
The following table presents the fund’s repurchase agreements net of amounts available for offset and net of the related collateral received as of December 31, 2014:
Counterparty | Assets Subject to a Netting Provision or Similar Arrangement | Liabilities Available for Offset | Collateral | Net Amount | ||||||||||||
Fixed Income Clearing Corp. | $ | 424,102,057 | $ | — | $ | 424,102,057 | $ | — | ||||||||
Total | $ | 424,102,057 | $ | — | $ | 424,102,057 | $ | — |
The following table presents the fund’s reverse repurchase agreements net of amounts available for offset and net of the related collateral pledged by the fund as of December 31, 2014:
Counterparty | Liabilities Subject to a Netting Provision or Similar Arrangement | Assets Available for Offset | Collateral Pledged | Net Amount | ||||||||||||
Barclays Capital, Inc. | $ | 61,059,976 | $ | — | $ | (61,059,976 | ) | $ | — | |||||||
Total | $ | 61,059,976 | $ | — | $ | (61,059,976 | ) | $ | — |
Please see Note 3, Derivatives and Other Financial Instruments, for further discussion of netting provisions and similar arrangements.
8. Capital Share Transactions
While there are no sales commissions (loads) or 12b-1 fees, MAF assesses entry and exit fees of 0.50% of capital invested or redeemed. These fees, which are paid to the fund directly, not to TAS or other vendors supplying services to the fund, are designed, in part, to protect non-transacting members from bearing the transaction costs, including market impact, that may arise from a transacting member’s purchases, exchanges, and redemptions of MAF shares. They are also designed to encourage investment only by members with a long-term investment horizon. Further, they are designed to discourage market timing or other inappropriate short-term trading by members. The entry and exit fees are assessed irrespective of the length of time a member’s shares are held. These fees are deducted from the amount invested or redeemed; they cannot be paid separately. Entry and exit fees may be waived at TAS’s discretion when the purchase or redemption will not result in significant transaction costs for the fund (e.g., for transactions involving in-kind purchases and redemptions). Such fees are retained by the fund and included in proceeds from shares sold or deducted from distributions for redemptions.
9. Concentration of Risks
MAF may engage in transactions with counterparties, including but not limited to repurchase and reverse repurchase agreements, forward contracts, futures and options, and total return, credit default, interest rate, and currency swaps. The fund may be subject to various delays and risks of loss if the counterparty becomes insolvent or is otherwise unable to meet its obligations.
The fund engages multiple external money managers, each of which manages a portion of the fund’s assets. A multi-manager fund entails the risk, among others, that the advisor may not be able to (1) identify and retain money managers who achieve superior investment returns relative to similar investments; (2) combine money managers in the fund such that their investment styles are complementary; or (3) allocate cash among the money managers to enhance returns and reduce volatility or risk of loss relative to a fund with a single manager.
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The fund invests in private investment funds that entail liquidity risk to the extent they are difficult to sell or convert to cash quickly at favorable prices.
The fund invests in fixed income securities issued by banks and other financial companies, the market values of which may change in response to interest rate fluctuations. Although the fund generally maintains a diversified portfolio, the ability of the issuers of the fund’s portfolio securities to meet their obligations may be affected by changing business and economic conditions in a specific industry, state, or region.
The fund invests in US Government securities. Because of the rising US Government debt burden, it is possible that the US Government may not be able to meet its financial obligations or that securities issued or backed by the US Government may experience credit downgrades. Such a credit event may adversely affect the financial markets.
The fund invests in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the United States, a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries.
The fund invests in asset-backed and mortgage-backed securities. These investments may involve credit risk, prepayment risk, possible illiquidity and default, as well as increased susceptibility to adverse economic conditions.
10. Indemnifications
In the normal course of business, the fund enters into contracts that provide general indemnifications. The fund’s maximum exposure under these arrangements is dependent on future claims that may be made against the fund and, therefore, cannot be established; however, based on experience, the risk of loss from such claims is considered remote.
11. Subsequent Events
Management has evaluated the possibility of subsequent events and has determined that there are no material events that would require disclosure in the fund’s financial statements.
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To the Board of Trustees and Shareholders of
TIFF Investment Program
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of TIFF Multi-Asset Fund (one of the series constituting TIFF Investment Program) (the “Fund”) as of December 31, 2014, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2014, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of TIFF Multi-Asset Fund (one of the series constituting TIFF Investment Program) at December 31, 2014, the results of its operations and its cash flows for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Philadelphia, Pennsylvania
February 27, 2015
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Additional Information (Unaudited) |
Proxy Voting Policy and Voting Record
A description of the policies and procedures that TIP uses to determine how to vote proxies relating to portfolio securities is available on TIFF’s website at http://www.tiff.org and without charge, upon request, by calling 800-984-0084. This information is also available on the website of the US Securities and Exchange Commission (“SEC”) at http://www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities during the most recent 12-month year ended June 30 is also available on the websites noted above and without charge, upon request, by calling 800-984-0084.
Quarterly Reporting
TIP files its complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. TIP’s Form N-Q is available without charge, upon request, by calling 800-984-0084. This information is also available on the website of the US Securities and Exchange Commission at http://www.sec.gov. TIP’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. In addition TIP’s portfolio holdings are available on a monthly basis on the TIFF website at http://www.tiff.org.
Tax Information Notice
For federal income tax purposes, the following information is furnished with respect to the distributions of MAF, if any, paid during the taxable year ended December 31, 2014.
Qualified dividend income of $52,005,322 represents distributions paid from investment company taxable income for the year ended December 31, 2014, which may be subject to a maximum tax rate of 20% for those members subject to federal income taxation on fund distributions, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The distributions paid represent the maximum amount that may be considered qualified dividend income.
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Approval of Money Manager Agreements (Unaudited) |
Approval of New Money Manager Agreement with Kopernik Global Investors, LLC
During an in-person meeting held on December 11, 2014, the board of trustees of TIP, all of whom are not “interested persons” of TIP (the “Board” or “trustees”), as that term is defined in the 1940 Act, evaluated and approved on behalf of TIFF Multi-Asset Fund (“Multi-Asset Fund” or the “Fund”) a money manager agreement between TIP and Kopernik Global Investors, LLC (“Kopernik”), a new money manager managing assets on behalf of Multi-Asset Fund, effective December 16, 2014.
Consideration of Money Manager Agreement by the Board
In considering the money manager agreement with Kopernik for Multi-Asset Fund, the Board requested and considered a wide range of information from TAS and Kopernik in advance of the meeting. The Board considered information regarding Kopernik’s personnel and services, investment strategies and philosophies, portfolio management, potential portfolio holdings, and fees and expenses. The Board also considered the performance of other accounts that had been managed by Kopernik’s investment professionals. Information about Kopernik’s proposed brokerage practices was also provided, including proposed allocation methodologies, best execution policies, and soft dollar arrangements. The Board considered information with respect to the compliance and administration of Kopernik, including, but not limited to, its code of ethics and business continuity procedures, as well as information concerning any material violations of such compliance program, the background of the individual serving as the chief compliance officer, and disclosure about regulatory examinations or other inquiries and litigation proceedings affecting Kopernik, of which there were none.
The Board also considered a memorandum from its independent counsel setting forth the Board’s fiduciary duties and responsibilities under the 1940 Act and state law and the factors the Board should consider in its evaluation of the money manager agreement. The Board also reviewed Kopernik’s responses to a questionnaire prepared by the trustees’ independent counsel requesting information necessary for the trustees’ evaluation of the money manager agreement, as well as responses to additional questions posed by the Board regarding Kopernik’s expected investment opportunities and strategies, performance benchmarks, investment professionals, “key man” risk, and proposed fee schedule.
The Board considered a number of additional factors in evaluating the money manager agreement with Kopernik on behalf of Multi-Asset Fund. The Board considered information describing the anticipated impact of adding Kopernik as a money manager to Multi-Asset Fund; the advisory services Kopernik was expected to provide to the Fund; the potential benefits of including Kopernik as a money manager to the Fund; and other information deemed relevant. The potential benefits of adding Kopernik as a money manager of Multi-Asset Fund were identified as: (1) the addition of a new investment philosophy and unique value-oriented investment approach; (2) active management style; (3) an approach that complements the investment strategies of certain other Multi-Asset Fund money managers, leaving little overlap in exposures; and (4) historical performance records and experience of Kopernik’s investment professionals and their reputations in the industry. The Board noted that Kopernik was founded in mid-2013 and considered the start-up risks associated with this relationship.
The Board concluded that, overall, it was satisfied with the nature, extent, and quality of the services expected to be provided under the money manager agreement with Kopernik. The Board did not specifically consider the profitability of Kopernik expected to result from its relationship with the Fund because Kopernik is not affiliated with TAS or TIP except by virtue of serving as a money manager, and the fees to be paid to Kopernik were negotiated on an arm’s-length basis in a competitive marketplace.
The Board based its evaluation on the material factors presented to it at the meeting and discussed above, including: (1) the terms of the agreement; (2) the reasonableness of the money manager’s fees in light of the nature and quality of the services to be provided and any additional benefits to be received by Kopernik in connection with providing services to the Fund; (3) the nature, quality, and extent of the services expected to be performed by Kopernik; and (4) the expected effects of adding Kopernik as a money manager of Multi-Asset Fund. The Board considered the experience of Kopernik’s investment personnel. The Board noted that Kopernik’s proposed fee schedule included breakpoints that could enable the Fund to benefit from economies of scale. The Board further noted that, under the fee schedule, the breakpoints could be triggered by an
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Approval of New Money Manager Agreement with Kopernik Global Investors, LLC (continued)
increase in Multi-Asset Fund’s assets as well as an increase in the assets of any other funds or other accounts advised by TAS or its affiliates that are managed by Kopernik or its affiliates.
In arriving at its decision to approve the money manager agreement with Kopernik, the Board did not single out any one factor or group of factors as being more important than the other factors, but considered all of these factors together with a view toward future long-term considerations. After carefully considering the information summarized above and all factors deemed to be relevant, the Board voted to approve the money manager agreement with Kopernik for Multi-Asset Fund. Prior to a vote being taken, the Board met separately in executive session to discuss the appropriateness of the agreement and other considerations.
In their deliberations with respect to these matters, the trustees were advised by their independent legal counsel. The trustees weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the consideration of investment advisory contracts. The trustees concluded that the money manager agreement with Kopernik was reasonable, fair, and in the best interests of the Fund and its members, and that the fees provided in the agreement were fair and reasonable. In the Board’s view, approving the money manager agreement with Kopernik was desirable and in the best interests of Multi-Asset Fund and its members.
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Strategy Overview
As it seeks to track closely, gross of fees and expenses, the BofA Merrill Lynch US 6-Month Treasury Bill Index, the fund invests almost exclusively in US Treasury bills. Very small fractions of STF’s capital not susceptible to investment in T-bills for administrative reasons get invested routinely in repurchase agreement transactions fully collateralized by US Treasury obligations, with such holdings constituting customarily a small portion of STF’s net assets.
Although short-term (6-month) US Treasury debt is currently yielding well under 0.1%, there is some expectation in the marketplace that the Federal Reserve may raise short-term rates sometime in 2015. If this were to occur, STF could see an increase in its returns, though there can be no assurance that returns will be positive.
Performance Review
The short-term Treasury market produced extremely low yields again during 2014 as the Federal Reserve Board continued its longstanding low interest rate policy in an effort to spur economic growth. As would be expected in such an environment, TIFF Short-Term Fund (STF) produced a negative return of -0.20%, for the year ended December 31, 2014. As has been noted before in this space, STF’s administrative and rebalancing costs contribute (negatively) to reported performance. The rebalancing portion of these costs results from TAS’s effort to keep duration, or interest rate sensitivity, in line with that of the fund’s performance benchmark, the BofA Merrill Lynch US 6-Month Treasury Bill Index. In 2014, market yields were simply not high enough to outweigh the fund’s ongoing costs. The benchmark index, which has no rebalancing or administrative costs, returned 0.12% for the year. STF was able to keep performance from declining more than -0.20% in the face of ongoing costs primarily through the method used by TAS’s staff to continually rebalance the fund. Staff has the discretion to “roll” holdings not precisely when the benchmark’s constituent securities “roll” but a bit more opportunistically, taking anticipated trading costs and cash on hand plus other variables into account.
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Performance data quoted represent past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 610-684-8200 or visiting www.tiff.org. While the fund is no-load, management fees and other expenses will apply. Please refer to the prospectus for further details.
Prior to July 2004, the fund employed a different investment approach and manager than those currently employed. Investments in debt securities typically decrease in value when interest rates rise although the risk is less for short-term debt securities than long-term debt securities.
Fund Performance (Unaudited) | Total return for the periods ended 12/31/14 |
Calendar Year 2014 | 3-Year Annualized | 5-Year Annualized | 10-Year Annualized | Annualized Since Inception | Cumulative Since Inception | |||||||||||||||||||
Short-Term Fund | -0.20 | % | -0.10 | % | -0.06 | % | 1.54 | % | 3.00 | % | 83.81 | % | ||||||||||||
BofA ML US 6-Month T-Bill* | 0.12 | % | 0.16 | % | 0.22 | % | 1.86 | % | 3.16 | % | 89.78 | % |
Total return assumes dividend reinvestment. STF’s annualized expense ratio for calendar year 2013 is 0.20% (a regulatory mandate requires the use in this report of the same expense ratio as shown in the latest fund prospectus). The expense ratio reflects fund expenses for the year ended December 31, 2013, which are expected to vary over time. The expense ratio is expressed as a percentage of average net assets. The expense ratio may differ for 2014.
Commencement of operations was May 31, 1994.
* | The BofA Merrill Lynch US 6-Month Treasury Bill Index comprises a single issue purchased at the beginning of the month and held for a full month. At the end of the month, that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, six months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date. While the index will often hold the Treasury Bill issued at the most recent or prior 6-month auction, it is also possible for a seasoned 6-month or 1-year Bill to be selected. One cannot invest directly in an index. |
Note: Performance data for periods prior to 2005 reflects an expense waiver. Without the expense waiver, total returns would have been lower for those periods.
Performance of a $50,000 Investment (Unaudited) | Ten year period ended 12/31/14 |
Past performance is not a guarantee of futures results.
The fund’s performance assumes the reinvestment of all dividends and distributions, but does not reflect the deduction of taxes that a member subject to tax would pay on fund distributions or the redemption of fund shares.
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Fund Expenses (Unaudited) |
As a shareholder of a fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2014 to December 31, 2014.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Beginning Account Value 7/1/14 | Ending Account Value 12/31/14 | Expense Paid During the Period* 7/1/14 – 12/31/14 | ||||||||||
1) Actual | $ | 1,000.00 | $ | 998.00 | $ | 2.57 | ||||||
2) Hypothetical | $ | 1,000.00 | $ | 1,022.63 | $ | 2.60 |
* | Expenses are equal to the fund’s annualized expense ratio of 0.51% (calculated over a six-month period, which may differ from the fund’s actual expense ratio for the full year), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
Summary Schedule of Investments (Unaudited) |
US Treasury Bills | 97.7 | % | ||
Repurchase Agreement Used for Cash Management Purposes | 8.5 | % | ||
Total Investments | 106.2 | % | ||
Liabilities in Excess of Other Assets | (6.2 | )% | ||
Net Assets | 100.0 | % |
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Financial Highlights |
Year Ended December 31, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | |||||||||||||||||
For a share outstanding throughout each period | |||||||||||||||||||||
Net asset value, beginning of year | $ | 9.89 | $ | 9.90 | $ | 9.90 | $ | 9.90 | $ | 9.90 | |||||||||||
Income (loss) from investment operations | |||||||||||||||||||||
Net investment income (loss) | (0.03 | ) | (0.01 | ) | (0.01 | ) | (0.01 | ) | 0.00 | (a) | |||||||||||
Net realized and unrealized gain on investments | 0.01 | 0.00 | (a) | 0.01 | 0.01 | 0.00 | (a) | ||||||||||||||
Total from investment operations | (0.02 | ) | (0.01 | ) | (0.00 | ) | (0.00 | ) | 0.00 | ||||||||||||
Less distributions from | |||||||||||||||||||||
Net investment income | — | — | — | — | (0.00 | )(a) | |||||||||||||||
Net asset value, end of year | $ | 9.87 | $ | 9.89 | $ | 9.90 | $ | 9.90 | $ | 9.90 | |||||||||||
Total return (b) | (0.20 | )% | (0.10 | )% | 0.00 | %(c) | 0.00 | %(d) | 0.03 | % | |||||||||||
Ratios/supplemental data | |||||||||||||||||||||
Net assets, end of year (000s) | $ | 104,383 | $ | 148,294 | $ | 136,549 | $ | 159,290 | $ | 208,986 | |||||||||||
Ratio of expenses to average net assets | 0.35 | % | 0.20 | % | 0.20 | % | 0.18 | % | 0.16 | % | |||||||||||
Ratio of net investment income (loss) to average net assets | (0.28 | )% | (0.11 | )% | (0.09 | )% | (0.06 | )% | 0.01 | % | |||||||||||
Portfolio turnover (e) | — | % | — | % | — | % | — | % | — | % |
(a) | Rounds to less than $0.01. |
(b) | Total return assumes dividend reinvestment. |
(c) | The actual return is (0.001)%, which rounds to (0.00)%. |
(d) | Rounds to less than 0.01%. |
(e) | Because the fund holds primarily securities with maturities at the time of acquisition of one year or less, and such securities are excluded by definition from the calculation of portfolio turnover, the fund’s portfolio turnover rate was 0% of the average value of its portfolio. |
Schedule of Investments |
Principal Amount | Value | ||||||||
Investments — 106.2% of net assets | |||||||||
Short-Term Investments — 106.2% | |||||||||
Repurchase Agreement Used for Cash Management Purposes — 8.5% | |||||||||
Fixed Income Clearing Corp. issued on 12/31/14 (proceeds at maturity $8,893,752) (collateralized by US Treasury Notes, due 04/15/18 through 01/31/19 with a total principal value of $8,985,000 and a total market value of $9,076,013) 0.000%, 01/02/15 | |||||||||
(Cost $8,893,752) | $ | 8,893,752 | $ | 8,893,752 | |||||
US Treasury Bills(a) — 97.7% | |||||||||
US Treasury Bill, due on 04/30/15 | 9,000,000 | 8,998,677 | |||||||
US Treasury Bill, due on 05/07/15 | 10,000,000 | 9,998,440 | |||||||
US Treasury Bill, due on 05/14/15 | 10,000,000 | 9,998,070 | |||||||
US Treasury Bill, due on 05/21/15 | 2,000,000 | 1,999,556 |
Principal Amount | Value | |||||||
US Treasury Bill, due on 06/04/15 | $ | 24,000,000 | $ | 23,992,872 | ||||
US Treasury Bill, due on 06/11/15 | 22,000,000 | 21,993,642 | ||||||
US Treasury Bill, due on 06/18/15 | 10,000,000 | 9,996,060 | ||||||
US Treasury Bill, due on 06/25/15 | 3,000,000 | 2,998,731 | ||||||
US Treasury Bill, due on 07/02/15 | 4,000,000 | 3,997,588 | ||||||
US Treasury Bill, due on 12/10/15 | 8,000,000 | 7,983,472 | ||||||
Total US Treasury Bills (Cost $101,953,154) | 101,957,108 | |||||||
Total Short-Term Investments (Cost $110,846,906) | 110,850,860 | |||||||
Total Investments — 106.2% (Cost $110,846,906) | 110,850,860 | |||||||
Liabilities in Excess of Other Assets — (6.2)% | (6,467,365 | ) | ||||||
Net Assets — 100.0% | $ | 104,383,495 |
(a) | Treasury bills do not pay interest, but rather are purchased at a discount and mature at the stated principal amount. |
See accompanying Notes to Financial Statements.
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Statement of Assets and Liabilities |
December 31, 2014 | ||||
Assets | ||||
Investments in securities, at value (cost: $101,953,154) | $ | 101,957,108 | ||
Repurchase agreements (cost: $8,893,752) | 8,893,752 | |||
Total investments (cost: $110,846,906) | 110,850,860 | |||
Receivables: | ||||
Investment securities sold | 999,874 | |||
Total Assets | 111,850,734 | |||
Liabilities | ||||
Payables: | ||||
Investment securities purchased | 3,997,697 | |||
Capital stock redeemed | 3,260,000 | |||
Accrued taxes | 120,000 | |||
Accrued expenses and other liabilities | 86,189 | |||
Investment advisory and administrative fees | 3,353 | |||
Total Liabilities | 7,467,239 | |||
Net Assets | $ | 104,383,495 | ||
Shares Outstanding (unlimited authorized shares, par value $0.001) | 10,579,745 | |||
Net Asset Value Per Share | $ | 9.87 | ||
Net Assets Consist of: | ||||
Capital stock | $ | 104,379,541 | ||
Accumulated net investment loss | — | |||
Accumulated net realized loss on investments | — | |||
Net unrealized appreciation on investments | 3,954 | |||
$ | 104,383,495 |
See accompanying Notes to Financial Statements.
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Statement of Operations |
Year Ended December 31, 2014 | ||||
Investment Income | ||||
Interest | $ | 76,309 | ||
Total Investment Income | 76,309 | |||
Expenses | ||||
Fund administration fees | 110,195 | |||
Professional fees | 61,205 | |||
Investment advisory fees | 33,008 | |||
Administrative fees | 11,003 | |||
Chief compliance officer fees | 3,177 | |||
Miscellaneous fees and other: | ||||
Taxes | 120,000 | |||
Registration fees | 29,714 | |||
Miscellaneous fees and other | 12,233 | |||
Total Expenses | 380,535 | |||
Net Investment Loss | (304,226 | ) | ||
Net Realized Gain (Loss) from: | ||||
Investments | 22,797 | |||
Net Realized Gain | 22,797 | |||
Net Change in Unrealized Appreciation (Depreciation) on Investments | (8,542 | ) | ||
Net Realized and Unrealized Gain on Investments | 14,255 | |||
Net Decrease in Net Assets Resulting from Operations | $ | (289,971 | ) |
See accompanying Notes to Financial Statements.
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Statement of Changes in Net Assets |
Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||
Increase (Decrease) in Net Assets From Operations | ||||||||
Net investment loss | $ | (304,226 | ) | $ | (149,551 | ) | ||
Net realized gain on investments | 22,797 | 18,876 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (8,542 | ) | 2,645 | |||||
Net Decrease in Net Assets Resulting from Operations | (289,971 | ) | (128,030 | ) | ||||
Distributions | ||||||||
From net investment income | — | — | ||||||
Decrease in Net Assets Resulting from Distributions | — | — | ||||||
Capital Share Transactions | ||||||||
Proceeds from shares sold | 140,681,400 | 254,477,564 | ||||||
Proceeds from distributions reinvested | — | — | ||||||
Cost of shares redeemed | (184,301,645 | ) | (242,605,117 | ) | ||||
Net Increase (Decrease) From Capital Share Transactions | (43,620,245 | ) | 11,872,447 | |||||
Total Increase (Decrease) in Net Assets | (43,910,216 | ) | 11,744,417 | |||||
Net Assets | ||||||||
Beginning of year | 148,293,711 | 136,549,294 | ||||||
End of year | $ | 104,383,495 | $ | 148,293,711 | ||||
Including accumulated net investment income (loss) | $ | — | $ | — | ||||
Capital Share Transactions (in shares) | ||||||||
Shares sold | 14,228,272 | 25,713,417 | ||||||
Shares reinvested | — | — | ||||||
Shares redeemed | (18,638,013 | ) | (24,514,174 | ) | ||||
Net Increase (Decrease) | (4,409,741 | ) | 1,199,243 |
See accompanying Notes to Financial Statements.
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Statement of Cash Flows |
Year Ended December 31, 2014 | ||||
Cash flows provided by (used in) operating activities | ||||
Net increase (decrease) in net assets resulting from operations | $ | (289,971 | ) | |
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||
(Purchase)/Sale of short term investments, net | 40,727,726 | |||
Increase in accrued taxes | 120,000 | |||
Increase in accrued expenses and other liabilities | 11,516 | |||
Decrease in investment advisory and administrative fees payable | (1,668 | ) | ||
Net realized (gain) loss from investments | (22,797 | ) | ||
Net change in unrealized (appreciation) depreciation on investments | 8,542 | |||
Net cash provided by (used in) operating activities | 40,553,348 | |||
Cash flows provided by (used in) financing activities | ||||
Proceeds from shares sold | 140,681,400 | |||
Payment for shares redeemed | (181,234,748 | ) | ||
Net cash provided by (used in) financing activities | (40,553,348 | ) | ||
Net increase (decrease) in cash | — | |||
Cash at beginning of year | — | |||
Cash at end of year | $ | — |
See accompanying Notes to Financial Statements.
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1. Organization
On December 16, 2014, TIFF Investment Program, Inc. was reorganized from a Maryland corporation to a Delaware statutory trust (the “Reorganization”). TIFF Investment Program, Inc. (“TIP Inc.”) was originally organized as a Maryland corporation on December 23, 1993 and registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, or mutual fund. On September 11, 2014, TIFF Investment Program (“TIP”) was organized as a statutory trust under Delaware law and the Board of Directors of TIP Inc. and the Board of Trustees of TIP approved the Reorganization, subject to the approval of the members of TIP Inc. At a special meeting of the members of TIP Inc. held on December 9, 2014, members voted to approve the Reorganization. As part of the Reorganization, each series of TIP, TIFF Multi-Asset Fund (“MAF”) and TIFF Short-Term Fund (“STF” or “the fund”), assumed the assets and liabilities of the corresponding series of TIP Inc. As of December 31, 2014, TIP consisted of two mutual funds, MAF and STF. The financial statements and notes presented here relate only to STF.
Investment Objective
STF’s investment objective is to attain as high a rate of current income as is consistent with ensuring that the fund’s risk of principal loss does not exceed that of a portfolio invested in six-month US Treasury bills.
2. Summary of Significant Accounting Policies
The fund operates as a diversified investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services — Investment Companies.
The preparation of financial statements in conformity with US generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, the reported amounts of increases and decreases in net assets from operations during the reported period, and disclosure of contingent assets and liabilities at the date of the financial statements. Actual results could differ from these estimates.
Valuation of Investments
Short-term debt securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates fair value, and short-term debt securities having a remaining maturity of greater than 60 days are valued at their market value.
Fair value is defined as the price that the fund would receive upon selling an asset or pay to transfer a liability in a timely transaction to an independent buyer in the principal or most advantageous market for the asset or liability, respectively. A three-tier hierarchy is utilized to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
Level 1 — quoted prices in active markets for identical assets and liabilities
Level 2 — other significant observable inputs (including quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 — significant unobservable inputs (including the fund’s own assumptions in determining the fair value of assets and liabilities)
During the year ending December 31, 2014, all of the fund’s investments were valued using Level 1 inputs, and as a result, there were no transfers between any of the fair value hierarchy levels.
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Investment Transactions and Investment Income
Securities transactions are recorded on the trade date (the date on which the buy or sell order is executed) for financial reporting purposes. Interest income and expenses are recorded on an accrual basis. The fund accretes discounts or amortizes premiums using the yield-to-maturity method on a daily basis.
Income Taxes
There is no provision for federal income or excise tax since the fund has elected to be taxed as a regulated investment company (“RIC”) and intends to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to RICs and to distribute substantially all of its taxable income.
The fund evaluates tax positions taken or expected to be taken in the course of preparing the fund tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authorities. Tax positions not deemed to meet the more-likely-than-not threshold are recorded as tax benefits or expenses in the current year. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2011 - December 31, 2014), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
As an open-end management investment company incorporated in the state of Maryland, but using the Pennsylvania address of its advisor, the fund may be subject to the Pennsylvania Franchise Tax, through the date of the reorganization. This franchise tax is assessed on average net assets for the tax year. The accrual for this tax is included on the Statement of Assets and Liabilities in Accrued taxes, and on the Statement of Operations in Taxes.
Expenses
Expenses directly attributable to STF are charged to that fund’s operations; expenses that are applicable to all TIP funds are allocated among them based on the relative average daily net assets of each TIP fund.
Dividends to Members
It is the policy of the fund to declare dividends, if any, from net investment income monthly and capital gains distributions at least annually.
Dividends from net short-term capital gains and net long-term capital gains of the fund, if any, are normally declared and paid in December, but the fund may make distributions on a more frequent basis in accordance with the distribution requirements of the Code. To the extent that a net realized capital gain could be reduced by a capital loss carryover, such gain will not be distributed. Dividends and distributions are recorded on the ex-dividend date.
Net Asset Value
The net asset value per share is calculated on a daily basis by dividing the fund’s assets, less its liabilities, by the number of outstanding shares of the fund.
3. Investment Advisory and Other Agreements, and Other Transactions with Affiliates
TIP’s board of trustees has approved an investment advisory agreement with TAS. The fund pays TAS a monthly fee calculated by applying the annual rates set forth below to the fund’s average daily net assets for the month:
Assets | ||||
On the first $1 billion | 0.03 | % | ||
On the next $1 billion | 0.02 | % | ||
On the remainder (> $2 billion) | 0.01 | % |
Pursuant to a series of agreements, State Street Bank and Trust Company (“State Street”) earns a fee for providing core fund administration, fund accounting, custody, and transfer agent services. Fees paid for non-core services rendered by State Street include, but are not limited to, transactions entered into by the fund during the period, and out-of-pocket expenses. Fees for such services paid to State Street by the fund are reflected as fund administration fees on the Statement of Operations.
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TAS provides certain administrative services to TIP under a Services Agreement. For these services, the fund pays a monthly fee calculated by applying an annual rate of 0.01% to the fund’s average daily net assets for the month. Fees for such services paid to TAS by the fund are reflected as administrative fees on the Statement of Operations.
TIP has designated an employee of TAS as its Chief Compliance Officer (“CCO”). For these services provided to TIP, which include the monitoring of TIP’s compliance program pursuant to Rule 38a-1 under the 1940 Act, TIP reimburses TAS. STF pays a pro rata portion of such costs based on its share of TIP’s net assets.
TIP’s board of trustees, all of whom are considered “disinterested trustees” as defined in the 1940 Act, serve as volunteers and receive no fees or salary for their service as board members. The independent chair of the board of trustees, received compensation of $1,011 from STF for the year ended December 31, 2014, for service as independent chair.
4. Federal Tax Information
For federal income tax purposes, the cost of investments owned at December 31, 2014, has been estimated since the final tax characteristic cannot be determined until fiscal year end. The cost of investments, the aggregate gross unrealized appreciation/(depreciation) and the net unrealized appreciation/(depreciation) on investment securities, at December 31, 2014, are as follows:
Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation) | Cost | |||||||||
$5,510 | $(1,556) | $3,954 | $110,846,906 |
Dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from US GAAP. These “book/tax” differences are considered either temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences do not require reclassification.
During the year ended December 31, 2014, the fund made the following reclassifications primarily due to the tax treatment of net operating loss:
Undistributed/ (Distribution in Excess of) Net Investment Income | Accumulated Realized Gain/(Losses) | Paid in Capital | ||||||
$304,226 | $165,240 | $(469,466) |
The components of distributable earnings/(accumulated losses) on a tax basis detailed below could differ from the amounts reflected in the fund’s Statement of Assets and Liabilities by temporary book/tax differences.
Undistributed (Distribution in Excess of) Ordinary Income | Undistributed Capital Gains | (Accumulated Capital and Other Losses) | Unrealized Appreciation/ (Depreciation) | |||||||||
$ — | $ — | $ —(a) | $3,954 |
(a) | Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), the fund is permitted to carry forward any new capital losses for an unlimited period. Additionally, such capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than considered short-term under previous law. |
Short-Term Fund's capital loss carryovers of $188,037 were incurred prior to the Regulated Investment Company Modernization Act of 2010 (the “Act”). Thus, they will retain their character as short-term losses until they expire on December 31, 2014. The fund utilized $22,797 of capital loss carryovers, and the remaining $165,430 of capital loss carryovers expired.
Certain differences can occur from the amounts reflected in the fund’s Statements of Changes in Net Assets primarily due to the character of net short-term capital gains treated as ordinary income for tax purposes. During the years ended December 31, 2014 and December 31, 2013, there were no such differences.
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5. Repurchase Agreements
The fund will engage in repurchase transactions with parties approved by TAS.
In a repurchase agreement, the fund buys securities from a counterparty (e.g., typically a member bank of the Federal Reserve system or a securities firm that is a primary or reporting dealer in US Government securities) with the agreement that the counterparty will repurchase them at the same price plus interest at a later date. In certain instances, the fund may enter into repurchase agreements with one counterparty, but face another counterparty at settlement. Repurchase agreements may be characterized as loans secured by the underlying securities. Such transactions afford an opportunity for the fund to earn a return on available cash at minimal market risk, although the fund may be subject to various delays and risks of loss if the counterparty becomes subject to a proceeding under the US Bankruptcy Code or is otherwise unable to meet its obligation to repurchase the securities. Securities pledged as collateral for repurchase agreements are held by the custodial bank until maturity of the repurchase agreements. Provisions of the repurchase agreements and the procedures adopted by the fund require that the market value of the collateral, including accrued interest thereon, be at least equal to the value of the securities sold or purchased in order to protect against loss in the event of default by the counterparty.
6. Concentration of Risks
The fund may engage in transactions with counterparties, including but not limited to repurchase agreements. The fund may be subject to various delays and risks of loss if the counterparty becomes insolvent or is otherwise unable to meet its obligations.
The fund invests in US Government securities. Because of the rising US Government debt burden, it is possible that the US Government may not be able to meet its financial obligations or that securities issued or backed by the US Government may experience credit downgrades. Such a credit event may adversely affect the financial markets.
7. Indemnifications
In the normal course of business, the fund enters into contracts that provide general indemnifications. The fund’s maximum exposure under these arrangements is dependent on future claims that may be made against the fund and, therefore, cannot be established; however, based on experience, the risk of loss from such claims is considered remote.
8. Subsequent Events
Management has evaluated the possibility of subsequent events and has determined that there are no material events that would require disclosure in the fund’s financial statements.
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To the Board of Trustees and Shareholders of
TIFF Investment Program
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of TIFF Short-Term Fund (one of the series constituting TIFF Investment Program) (the “Fund”) as of December 31, 2014, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2014, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of TIFF Short-Term Fund (one of the series constituting TIFF Investment Program) at December 31, 2014, the results of its operations and its cash flows for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Philadelphia, Pennsylvania
February 27, 2015
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Additional Information (Unaudited) |
Proxy Voting Policy and Voting Record
A description of the policies and procedures that TIP uses to determine how to vote proxies relating to portfolio securities is available on TIFF’s website at http://www.tiff.org and without charge, upon request, by calling 800-984-0084. This information is also available on the website of the US Securities and Exchange Commission (“SEC”) at http://www.sec.gov. Information regarding how the TIP fund voted proxies relating to portfolio securities during the most recent 12-month year ended June 30 is also available on the websites noted above and without charge, upon request, by calling 800-984-0084.
Quarterly Reporting
TIP files its complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. TIP’s Form N-Q is available without charge, upon request, by calling 800-984-0084. This information is also available on the website of the US Securities and Exchange Commission at http://www.sec.gov. TIP’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. In addition TIP’s portfolio holdings are available on a monthly basis on the TIFF website at http://www.tiff.org.
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Member Meeting (Unaudited) |
A special meeting of members of TIFF Investment Program, Inc. (“TIP Inc.”) was held on December 9, 2014. At the meeting, the following matters were voted on and approved by the members, as reported below.
Proposal 1
Elect directors of TIP Inc.
Number of Votes* Voted:
Craig R. Carnaroli
For | Against | Abstain | Broker Non-Votes | |||||||||
3,330,890,612.96 | 6,741,667.45 | 5,723,265.13 | 0 |
William F. McCalpin
For | Against | Abstain | Broker Non-Votes | |||||||||
3,330,890,612.96 | 6,741,667.45 | 5,723,265.13 | 0 |
N.P. “Narv” Narvekar
For | Against | Abstain | Broker Non-Votes | |||||||||
3,330,890,612.96 | 6,741,667.45 | 5,723,265.13 | 0 |
Amy B. Robinson
For | Against | Abstain | Broker Non-Votes | |||||||||
3,330,890,612.96 | 6,741,667.45 | 5,723,265.13 | 0 |
Proposal 2
Approve the Agreement and Plan of Reorganization and Liquidation that provides for the reorganization of TIP Inc. into TIP, a newly formed Delaware statutory trust.
Number of Votes* Voted:
For | Against | Abstain | Broker Non-Votes | |||||||||
3,270,676,743.13 | 6,741,667.45 | 65,937,134.96 | 0 |
* | Members were entitled to one vote for each dollar, and a proportionate fraction of a vote for each fraction of a dollar, of the net asset value per share of each share of common stock of MAF or STF held by such member on the record date for the meeting. |
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The board of trustees of TIP comprises experienced institutional investors, including current or former senior officers of leading endowments and foundations. Among the responsibilities of the board of trustees are approving the selection of the investment advisor and money managers for TIP; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees; and electing TIP officers.
Each trustee serves the fund until his or her termination, or until the trustee’s retirement, resignation, or death, or otherwise as specified in TIP’s Bylaws. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is 170 N. Radnor Chester Road, Suite 300, Radnor, PA, 19087.
The Statement of Additional Information has additional information regarding the board of trustees. A copy is available upon request without charge by calling 800-984-0084. This information is also available on the website of the US Securities and Exchange Commission at http://www.sec.gov.
Independent Trustees
William McCalpin | ||
Born 1957 Trustee since February 2008 Board Chair since 2008 2 funds overseen | Principal Occupation(s) During the Past Five Years: Chief Executive Officer, Imprint Capital Advisors LLC, an investment advisory firm (2013 – present); Managing Director, Holos Consulting LLC, a consultant to foundations and non-profit organizations (2009 – present). Chair of the Board of Trustees of The Janus Funds (2008 – present). Other Directorships: The Janus Funds, FB Heron Foundation. | |
N.P. “Narv” Narvekar | ||
Born 1962 Trustee since January 2010 2 funds overseen | Principal Occupation(s) During the Past Five Years: President and CEO, The Columbia Investment Management Company, which manages Columbia University’s endowment. Other Directorships: The Chapin School. | |
Craig R. Carnaroli | ||
Born 1963 Trustee since January 2012 2 funds overseen | Principal Occupation(s) During the Past Five Years: Executive Vice President, University of Pennsylvania Other Directorships: University City District; University City Science Center; Philadelphia Industrial Development Corporation, Visit Philadelphia; The Connelly Foundation. | |
Amy B. Robinson | ||
Born 1967 Trustee since September 2013 2 funds overseen | Principal Occupation(s) During the Past Five Years: Vice President and Chief Financial Officer, The Kresge Foundation. Other Directorships: Foundation Financial Officers Group, Mt. Clemens Montessori Academy, Member of the Detroit Riverfront Conservancy Audit Committee. Advisor to the UAW Retiree Medical Benefits Trust Audit Committee. |
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Principal Officers
Richard J. Flannery | ||
Born 1957 President and CEO since September 2003 | Principal Occupation(s) During the Past Five Years: CEO, TIFF Advisory Services, Inc.; President and CEO, TIFF Investment Program Directorships: TIFF Advisory Services, Inc., Mercy Investment Services, Inc., The Nelson Foundation. | |
Laurence H. Lebowitz | ||
Born 1960 Vice President and CIO since September 2010 | Principal Occupation(s) During the Past Five Years: President/Chief Investment Officer, TIFF Advisory Services, Inc. (2010 – present). Chairman/Managing Director, HBK Capital Management (1992 – 2009). Directorships: TIFF Advisory Services, Inc. | |
Dawn I. Lezon | ||
Born 1965 CFO and Treasurer since January 2009 (Vice President and Assistant Treasurer, September 2006 – December 2008) | Principal Occupation(s) During the Past Five Years: Vice President/Treasurer, TIFF Advisory Services, Inc. | |
Kelly A. Lundstrom | ||
Born 1964 Vice President since September 2006 | Principal Occupation(s) During the Past Five Years: Vice President, TIFF Advisory Services, Inc. | |
Richelle S. Maestro | ||
Born 1957 Vice President and Chief Legal Officer since March 2006, Secretary since December 2011 | Principal Occupation(s) During the Past Five Years: Vice President/General Counsel, TIFF Advisory Services, Inc. Secretary, TIFF Advisory Services, Inc. (2011 – present) | |
Christian A. Szautner | ||
Born 1972 CCO since July 2008 | Principal Occupation(s) During the Past Five Years: Vice President/Chief Compliance Officer, TIFF Advisory Services, Inc. |
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TIFF Investment Program
MONEY MANAGERS AND ACQUIRED FUND (“AF”) MANAGERS
TIFF Multi-Asset Fund
AJO, LP
Amundi Smith Breeden LLC
Brookfield Investment Management Inc.
Canyon Capital Advisors LLC (AF)
Convexity Capital Management LP (AF)
Farallon Capital Management, LLC (AF)
Glenhill Capital Advisors, LLC
Hudson Bay Capital Management LP (AF)
Kopernik Global Investors, LLC
Lansdowne Partners (UK), LLP
Lansdowne Partners Limited (AF)
Lone Pine Capital LLC (AF)
Marathon Asset Management, LLP
Mission Value Partners, LLC
Mondrian Investment Partners Limited
Och-Ziff Capital Management Group (AF)
QVT Financial LP (AF)
Shapiro Capital Management LLC
Southeastern Asset Management, Inc.
SummerHaven Investment Management, LLC (AF)
TIFF Advisory Services, Inc.
TIFF Short-Term Fund
TIFF Advisory Services, Inc.
ADVISOR TIFF Advisory Services, Inc. |
170 N. Radnor Chester Road
Suite 300
Radnor, PA 19087
phone 610-684-8200
fax 610-684-8210
CUSTODIAN
ACCOUNTING AGENT
TRANSFER AGENT
DIVIDEND DISBURSING AGENT
FUND ADMINISTRATOR
State Street Bank and Trust Company
One Iron Street
Boston, MA 02210
FUND DISTRIBUTOR
Foreside Fund Services, LLC
3 Canal Plaza
Suite 100
Portland, ME 04101
FUND COUNSEL
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
Ernst & Young LLP
One Commerce Square
Suite 700
2005 Market Street
Philadelphia, PA 19103
Investors should consider the investment objectives, risks and charges and expenses of a fund carefully before investing. The prospectus contains this and other information about the funds. A prospectus may be obtained by contacting TIFF at 800-984-0084 or by visiting TIFF’s website at www.tiff.org. Please read the prospectus carefully before investing. The SEC does not approve or disapprove of the securities mentioned in this report. Mutual fund investing involves risk. Principal loss is possible.
Item 2. Code of Ethics
The Registrant has adopted a Code of Ethics that applies to the Chief Executive Officer and Chief Financial Officer pursuant to the Sarbanes-Oxley Act of 2002. For the year ended December 31, 2014, there were no amendments or waivers granted from any provision of the Code of Ethics. A copy of the Registrant’s Code of Ethics is filed with this Form N-CSR under item 12 (a)(1).
Item 3. Audit Committee Financial Expert.
The Registrant’s Board of Directors has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The audit committee financial experts serving on the Registrant’s audit committee are Craig R. Carnaroli and Amy B. Robinson, each of whom is “independent” as defined in Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) | AUDIT FEES: The aggregate fees billed for professional services rendered by the Registrant’s independent auditors, Ernst & Young LLP, for the audit of the Registrant’s annual financial statements for the fiscal years ended December 31, 2014 and 2013 were $148,965 and $151,685, respectively. |
(b) | AUDIT-RELATED FEES: Audit-Related Fees are for assurance and related services by the Registrant’s independent accountant that are reasonably related to the performance of the audit or review of the Registrant’s financial statements, but are not reported as audit fees. Fees billed by Ernst &Young LLP to the Registrant for fiscal years ended December 31, 2014 and 2013 were $3,700 and $3,600, respectively. These fees were for the review of the Registrant’s semi-annual report. |
(c) | TAX FEES: The aggregate fees billed to the Registrant for professional services rendered by Ernst & Young LLP, for the fiscal years ended December 31, 2014 and 2013 were $86,350 and $87,760, respectively. These fees were for tax compliance, tax advice, and tax planning, including excise tax distribution and tax return review services. |
(d) | ALL OTHER FEES: No such fees were billed to the Registrant for the fiscal years ended December 31, 2014 or 2013. |
(e) | (1) AUDIT COMMITTEE PRE-APPROVAL POLICY: The Registrant's audit committee has delegated the authority to pre-approve the provision of audit and non-audit services to the chair of the audit committee; provided, however, that such pre-approval of audit or non-audit services is subject to ratification by the full audit committee at their next regularly scheduled audit committee meeting. |
(2) | Not applicable. |
(f) | Not applicable. |
(g) | In addition to amounts reported in (a) through (d) above, the aggregate non-audit fees billed by Ernst & Young LLP for services rendered to the Registrant, and to the Registrant’s Investment Adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for the fiscal years ended December 31, 2014 and 2013 were $261,766 and $205,497, respectively. |
(h) | The Registrant’s audit committee of the Board of Directors has considered the provision of non-audit services rendered to or paid for by the Registrant’s Investment Adviser to be compatible with maintaining the principal accounting firm’s independence. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Included in Item 1.
Item 7. Disclosure of Proxy Voting Policies and Procedure for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
During the reporting period, there were no material changes to the procedures by which members may recommend nominees to the Registrant’s board of directors.
Item 11. Controls and Procedures.
(a) The Registrant's Chief Executive Officer and Chief Financial Officer concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))) (the “1940 Act”) were effective as of a date within 90 days prior to the filing date of this report (the "Evaluation Date"), based on their evaluation of the effectiveness of the Registrant's disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)) as of the Evaluation Date.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the Registrant’s most recent fiscal quarter of the period covered by this report that have materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Exhibits
(a)(1) Code of Ethics as described in item 2 is attached.
(a)(2) Certification of Chief Executive Officer and Chief Financial Officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is attached hereto as Exhibit 99.CERT.
(a)(3) Not applicable to this filing.
(b) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule 30a-2(b), under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a – 14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) is attached hereto as Exhibit 99.906.CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | TIFF Investment Program | |
By (Signature and Title) | /s/ Richard J. Flannery | |
Richard J. Flannery, President and Chief Executive Officer | ||
Date | 03/04/2015 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Richard J. Flannery | |
Richard J. Flannery, President and Chief Executive Officer | ||
Date | 03/04/2015 |
By (Signature and Title) | /s/ Dawn I. Lezon | |
Dawn I. Lezon, Treasurer and Chief Financial Officer | ||
Date | 03/04/2015 |