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:
Kristin H. Ives, Esq.
Stradley Ronon Stevens & Young, LLP
2005 Market Street, Suite 2600
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: | 12/31/2015 | |
Date of reporting period: | 1/1/15 – 12/31/15 |
Item 1. Reports to Stockholders.
(Annual Report for the period 1/1/15 through 12/31/15 is filed herewith)
TIFF Investment Program | ||||
2015 Annual Report | DECEMBER 31, 2015 | |||
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, 2015. 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 29, 2016
Copyright © 2016 • All rights reserved • This report is intended for institutional investors only and may not be reproduced or distributed without written permission from TIFF.
TIFF Multi-Asset Fund | December 31, 2015 |
Portfolio Management Review (Unaudited) |
What’s NEW
TIFF experienced two important changes during 2015. Jay Willoughby became TAS’s and TIP’s Chief Investment Officer, and TIFF Multi-Asset Fund (MAF) reconfigured and updated its Constructed Index (CI).
Jay’s initial focus on MAF has been to understand its mission, review its positioning, and analyze potential improvements. We are pleased to share the following message from Jay.
Our investment team will continue to focus on manager selection during these challenging times. Warren Buffett suggests not swinging at every pitch but rather waiting for the “fat pitch” before taking a swing. We will try to do just that, keeping our allocations near the CI weights. We are working hard to upgrade our manager roster by selectively adding a few new names and removing some in which we have less conviction. This will be true in both the equity-oriented and diversifying strategies portions of the portfolio. In fixed income, we will emphasize liquidity and quality during this spell of low rates and higher volatility.
I look forward to the coming year at TIFF and learning more about our members. As always, our focus will be on generating the investment returns necessary to support our members’ charitable missions.
Jay L. Willoughby
On October 1, 2015, MAF’s new CI, a blended benchmark and policy portfolio, took effect. The primary substantive changes were an increase in overall equity exposure designed to increase the probability of the fund achieving its performance objective across market cycles. In addition, the new CI offers a more balanced set of investments outside of equities (e.g., the return of conventional bonds to the CI and a reduction in the CI’s inflation-oriented positions). The updated CI remains a blended index. As of October 1, 2015, it consists of three broad categories, each assigned a weight and a benchmark by TAS:
The goal is to provide a policy portfolio and benchmark for MAF that is simpler, more durable, more flexible, and more easily understood by MAF’s investing organizations than prior versions of the CI. Details on the makeup, rationale, and category benchmarks for the updated CI are available at www.tiff.org and in MAF’s prospectus.
See Index Descriptions on pages 62-63 for details and descriptions of MAF Indices.
2
TIFF Multi-Asset Fund | December 31, 2015 |
Portfolio Management Review (Unaudited) (continued) |
What has NOT Changed
MAF’s strategy has not changed. The fund seeks to achieve its long-term target return of CPI + 5% and, in our view, a portfolio pursuing CPI + 5% must, over the long-term, have a high structural allocation to equity-oriented assets. Equity-oriented assets are intended to be the primary long-term driver of portfolio returns. Diversifying strategies (hedge funds and other investments offering diversification relative to equities and fixed income assets) are intended to generate meaningful returns while reducing equity market sensitivity. Finally, fixed income assets (including cash) are intended to help maintain value in periods of unforeseen inflation or in deflationary or flight-to-quality environments. TAS believes the CI is a relevant performance benchmark for both short- and long-term periods and that MAF’s asset mix is an appropriate long-term asset mix for non-profit organizations that seek to maintain the inflation-adjusted value of their assets while distributing 5% of these assets annually.
Performance Review
2015 was a tough year across many investable markets, with most regional equity and credit markets, as well as many commodities, producing moderate to severely negative returns on the year. The few asset classes that had positive performance on the year, for instance some nominal US bonds, US equities and US REITs, barely produced positive gains. Given MAF’s global mandate and substantial allocation to equity markets, it is not surprising that MAF’s absolute performance in 2015 was disappointing, returning -1.72% for the year, before the deduction of entry and exit fees. This performance substantially lagged MAF’s primary long-term benchmark of CPI + 5%, which returned 5.76% in 2015. The return did however outperform MAF’s constructed index (CI), which returned -2.00% for the year, by 0.28%. For complete, annualized performance data, including the effects of MAF’s 0.50% entry and exit fees, please see the table on page 4.
As stated, MAF’s substantial allocation to equities throughout the year was a driver of negative returns in 2015, with the MSCI All Country World (ACW) Index returning -2.4% in 2015. MAF’s small allocation to commodity futures also hurt absolute performance as most commodities traded lower throughout the year (Bloomberg Commodity Index Total Return was down -24.6% for the year), with oil recently trading below $30/barrel. One asset class bright spot on the year was MAF’s allocation to a laddered bond portfolio of shorter dated nominal US Treasury bonds; a position MAF initiated midway through the year.
Asset allocation tilts relative to the CI were a slight drag on performance for the year. One major negative contributor was MAF’s allocation to commodity futures in Q4. MAF’s new CI, which became effective on October 1 2015, does not have an exposure to commodity futures. As the asset class experienced double digit negative returns for the quarter, any long allocation to the asset class was bound to hurt performance. Fortunately, MAF’s two commodity managers in aggregate performed well and were able to protect against some of the loss. On the positive side, MAF’s overweight to Japanese equities added value on the year as Japanese equities substantially outperformed the broad equity market.
Despite its disappointing absolute performance, MAF did outperform the CI, before the deduction of entry and exit fees, although it lagged CI after taking into account the entry and exit fees that an investor who invested and redeemed during the year would have paid. The CI returned -2.00% for the year. MAF’s outperformance relative to the CI was mainly driven by MAF managers and acquired funds in aggregate adding value for the year. The positive manager excess return was not broad in nature but concentrated in some of MAF’s larger allocations. Managers that favored growth over value, US over non-US, and/or larger capitalization over smaller capitalization companies generally added value in 2015, while those that had the opposite bias generally underperformed.
Somewhat surprisingly, the positive manager excess return came in a year when the ACW’s index of value-oriented stocks underperformed its growth stock counterpart in 10 of the 12 months. For the calendar year, value lagged growth by 8%. TAS believes that value stocks (i.e., stocks with attractive current valuations) will, over the long run, tend to outperform stocks with attractive growth characteristics. Thus, MAF tends to have more exposure to managers and strategies targeting companies with attractive valuations. TAS’s analysis of value vs. growth returns in developed market global equities over the last 40 years shows a meaningful edge for value, and TAS does not expect to see this market dynamic materially changing. Additionally, MAF had the headwind of TAS’s decision to allocate capital more towards the non-US market, specifically the emerging markets (for the third year in a row, emerging markets lagged the MSCI ACWI) and smaller cap stocks over large cap.
3
TIFF Multi-Asset Fund | December 31, 2015 |
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 12/31/15 |
Calendar Year 2015 | 3-Year Annualized | 5-Year Annualized | 10-Year Annualized | Annualized Since Inception | Cumulative Since Inception | |||||||||||||||||||
Before Deduction of Entry/Exit Fees | -1.72 | % | 4.21 | % | 4.87 | % | 6.11 | % | 7.64 | % | 361.11 | % | ||||||||||||
After Deduction of Entry/Exit Fees | -2.72 | % | 3.86 | % | 4.66 | % | 6.01 | % | 7.59 | % | 356.52 | % | ||||||||||||
MSCI All Country World Index | -2.36 | % | 7.69 | % | 6.09 | % | 4.76 | % | 6.48 | % | 268.04 | % | ||||||||||||
CPI + 5% per annum | 5.76 | % | 6.04 | % | 6.61 | % | 6.94 | % | 7.27 | % | 329.16 | % | ||||||||||||
MAF Constructed Index | -2.00 | % | 2.94 | % | 3.72 | % | 4.55 | % | 6.92 | % | 300.87 | % | ||||||||||||
65/35 Mix | -1.17 | % | 5.59 | % | 5.35 | % | 5.06 | % | 6.56 | % | 273.87 | % |
See Index Descriptions on pages 62-63 for details and descriptions of MAF Indices.
Total return assumes dividend reinvestment. MAF’s annualized expense ratio for calendar year 2014 was 1.71% (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, 2014, 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 2015.
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
TIFF Multi-Asset Fund | December 31, 2015 |
Performance of a $2,500,000 Investment (Unaudited) | Ten year period ended 12/31/15 |
See Index Descriptions on pages 62-63 for details and descriptions of MAF Indices.
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, 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
TIFF Multi-Asset Fund | December 31, 2015 |
Manager Allocation Changes
TAS continually evaluates and reviews MAF’s external manager and investment fund roster, as well as other investment opportunities available to the fund. Among the factors that must be considered is MAF’s limitation on investments in illiquid securities. All mutual funds, including MAF, are prohibited from investing more than 15% of their assets in illiquid investments (those that cannot be sold in the ordinary course within seven days at approximately the price at which they are being carried on the fund’s books). This limitation frequently comes into play when evaluating investments and redemptions within the Diversifying Strategies category, such as long/short hedge funds. Such funds often permit investors to redeem their interests on a monthly or less frequent basis and, therefore, are generally considered illiquid. Due to its ongoing review of MAF’s investment opportunities, TAS caused MAF to substantially redeem from several external managers and investment funds whose performance, processes and/or team no longer met TAS’s evolving criteria. Certain of these redemption proceeds will be received over time and, until received, will still be reflected on the fund’s books as illiquid investments. MAF also redeemed from one long/short fund that was closed to new capital and unlikely to reopen, in TAS’s opinion, and was less than one-half of 1% of MAF’s net assets and could not grow.
One significant manager allocation occurred in 2Q. MAF allocated 6% of its capital to a London-based global long-only equity manager, Hosking Partners. Founded in 2013 by Jeremy Hosking, Hosking Partners invests based on the capital cycle: seeking to exploit the inverse relationship between the supply of capital in an industry and the long-term return on equity invested in the industry. Hosking Partners’ investment philosophy and portfolio construction strategy results in a large number of holdings which express a limited number of investment concepts. TAS knows founder Jeremy Hosking well through MAF’s long-term relationship with his prior firm, Marathon Asset Management, and believes Hosking is highly motivated to generate excess returns as an independent firm. Hosking Partners thus represented a unique opportunity to invest with a manager TAS knew well implementing a strategy that was successfully managed for over two decades, but in a structure with more flexibility given the firm’s lower level of assets under management. For the year, the allocation was a positive contributor to performance.
Three manager allocations occurred in 3Q: an allocation to Fundsmith, an allocation to AJO’s small-cap emerging markets strategy, and an allocation to Latimer Light. Founded in 2010 by Terry Smith, a long-standing member of the financial industry, Fundsmith manages a global long-only equity strategy that pursues investment returns from buying high-quality businesses at attractive valuations. These businesses usually have distinct competitive advantages, such as strong brands and sustainable, unleveraged returns. Partial redemptions from two of MAF’s global equity managers funded this investment.
TAS expanded MAF’s long-standing relationship with AJO by adding an allocation to AJO’s emerging markets small-cap strategy. MAF’s relationship with AJO dates back to the 1990s and, until now, has been focused on a strategy investing in large-cap US equities. Arup Datta, formerly of Numeric Investors, will manage the emerging markets small-cap strategy and construct the portfolio as AJO’s other portfolios are constructed: using quantitative factors such as valuation, momentum, and management quality. TAS views AJO’s plan to limit assets in this strategy to a number well below that of other funds in the same area as a competitive advantage. TAS funded this strategy by reducing passive emerging markets equity exposure.
Also in 3Q, TAS added an equity long/short hedge fund, Latimer Light, to MAF’s illiquid roster. Scott Phillips, previously a very successful analyst at Lone Pine, a firm with which MAF has had a relationship since 1997, founded Latimer Light and launched the fund on October 1, 2015. Latimer Light invests primarily in US securities across market capitalizations and targets long investment returns in growth-oriented businesses. Companies with competitive threats, weak management teams, excess leverage, or inappropriately high valuations will be targeted shorts. The fund’s small size should allow it to establish significant positions in small- and mid-cap securities on both the long and the short sides. Additionally, as a day-one investor, MAF secured attractive business terms. TAS funded Latimer Light using partial redemptions from two other hedge funds. In the very short term, Fundsmith, AJO Emerging Markets and Latimer Light produced mixed results during 4Q performance.
In 4Q, TAS freed up a significant percentage of illiquid capacity in MAF by redeeming in full from Farallon Capital (a 4% position in MAF). Additionally, TAS reduced MAF’s position with one of its commodity managers by 1%, initiated a full redemption from Amundi Smith Breeden’s securitized credit portfolio (a 2% position in MAF), and materially reduced MAF’s TIPS exposure. We expect to deploy this capital into higher expected return strategies in 2016.
6
TIFF Multi-Asset Fund | December 31, 2015 |
Summary Schedule of Investments (Unaudited) |
Foreign Common Stocks | 32.8 | % | ||
US Common Stocks | 29.1 | % | ||
Private Investment Funds | 17.7 | % | ||
US Treasury Bonds/Notes | 7.8 | % | ||
Repurchase Agreement | 3.9 | % | ||
Exchange-Traded Funds (ETFs) | 2.8 | % | ||
US Treasury Bills | 2.1 | % | ||
Mortgage-Backed Securities | 1.6 | % | ||
Asset-Backed Securities | 0.7 | % | ||
Preferred Stocks | 0.5 | % | ||
Participation Notes | 0.1 | % | ||
Publicly Traded Limited Partnerships | 0.1 | % | ||
Warrants | 0.1 | % | ||
Disputed Claims Receipt | 0.0 | % | ||
Convertible Bonds | 0.0 | % | ||
Corporate Bonds | 0.0 | % | ||
Rights | 0.0 | % | ||
Total Investments | 99.3 | % | ||
Securities Sold Short | (1.9 | )% | ||
Other Assets in Excess of Liabilities | 2.6 | % | ||
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.
See accompanying Notes to Financial Statements.
7
TIFF Multi-Asset Fund | December 31, 2015 |
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, 2015 to December 31, 2015.
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 7/1/15 | Ending Account Value 12/31/15 | Expense Paid During the Period* 7/1/15 – 12/31/15 | Beginning Account Value 7/1/15 | Ending Account Value 12/31/15 | Expense Paid During the Period* 7/1/15 – 12/31/15 | |||||||||||||||||||
1) Actual | $ | 1,000.00 | $ | 961.40 | $ | 3.96 | $ | 1,000.00 | $ | 961.40 | $ | 3.61 | ||||||||||||
2) Hypothetical | $ | 1,000.00 | $ | 1,021.17 | $ | 4.08 | $ | 1,000.00 | $ | 1,021.53 | $ | 3.72 |
* | Expenses are equal to the fund’s annualized expense ratio of 0.80% (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 0.73%. 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
TIFF Multi-Asset Fund | December 31, 2015 |
Financial Highlights |
Year Ended December 31, 2015 | Year Ended December 31, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||||||||
For a share outstanding throughout each period | ||||||||||||||||||||
Net asset value, beginning of year | $ | 15.31 | $ | 16.26 | $ | 15.80 | $ | 14.54 | $ | 15.55 | ||||||||||
Income (loss) from investment operations | ||||||||||||||||||||
Net investment income (a) | 0.10 | 0.09 | 0.01 | (b) | 0.17 | 0.26 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.38 | ) | 0.05 | 2.15 | 1.84 | (0.54 | ) | |||||||||||||
Total from investment operations | (0.28 | ) | 0.14 | 2.16 | 2.01 | (0.28 | ) | |||||||||||||
Less distributions from | ||||||||||||||||||||
Net investment income | (0.20 | ) | (0.11 | ) | (0.17 | ) | (0.30 | ) | (0.07 | ) | ||||||||||
Net realized gains | (0.50 | ) | (0.99 | ) | (1.55 | ) | (0.47 | ) | (0.54 | ) | ||||||||||
Return of capital | (0.10 | ) | — | — | — | (0.13 | ) | |||||||||||||
Total distributions | (0.80 | ) | (1.10 | ) | (1.72 | ) | (0.77 | ) | (0.74 | ) | ||||||||||
Entry/exit fee per share (a) | 0.02 | 0.01 | 0.02 | 0.02 | 0.01 | |||||||||||||||
Net asset value, end of year | $ | 14.25 | $ | 15.31 | $ | 16.26 | $ | 15.80 | $ | 14.54 | ||||||||||
Total return (c) | (1.72 | )% | 1.00 | % | 14.02 | % | 14.00 | % | (1.70 | )% | ||||||||||
Ratios/supplemental data | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 4,837,688 | $ | 5,757,318 | $ | 5,770,761 | $ | 4,923,265 | $ | 4,164,070 | ||||||||||
Ratio of expenses to average net assets, before waivers (d) | 0.85 | % | 1.18 | % | 1.31 | % | 0.94 | % | 0.67 | % | ||||||||||
Ratio of expenses to average net assets, after waivers (d) | 0.85 | % | 1.18 | % | 1.31 | %(b) | 0.94 | % | 0.67 | % | ||||||||||
Ratio of expenses to average net assets, excluding interest and dividend expense (d) | 0.76 | % | 0.85 | % | 0.90 | % | 0.81 | % | 0.61 | % | ||||||||||
Ratio of net investment income to average net assets | 0.68 | % | 0.52 | % | 0.06 | %(b) | 1.07 | % | 1.66 | % | ||||||||||
Portfolio turnover | 62 | % | 94 | % | 106 | % | 54 | % | 42 | % |
(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
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2015 |
Number of Shares | Value | ||||||||
Investments — 99.3% of net assets | |||||||||
Common Stocks — 61.9% | |||||||||
US Common Stocks — 29.1% | |||||||||
Aerospace & Defense — 0.2% | |||||||||
Boeing Co. (The) | 3,520 | $ | 508,957 | ||||||
General Dynamics Corp. | 18,120 | 2,488,963 | |||||||
NII Holdings, Inc. (a) | 47,880 | 241,794 | |||||||
Northrop Grumman Corp. | 13,272 | 2,505,886 | |||||||
Raytheon Co. | 3,471 | 432,244 | |||||||
United Technologies Corp. | 43,800 | 4,207,866 | |||||||
10,385,710 | |||||||||
Air Freight & Logistics — 0.2% | |||||||||
FedEx Corp. | 51,358 | 7,651,828 | |||||||
Airlines — 1.3% | |||||||||
Alaska Air Group, Inc. | 11,442 | 921,195 | |||||||
American Airlines Group, Inc. | 230,267 | 9,751,808 | |||||||
Delta Air Lines, Inc. | 793,794 | 40,237,418 | |||||||
SkyWest, Inc. | 191,058 | 3,633,923 | |||||||
Southwest Airlines Co. | 49,869 | 2,147,359 | |||||||
United Continental Holdings, Inc. (a) | 108,086 | 6,193,328 | |||||||
62,885,031 | |||||||||
Auto Components — 0.1% | |||||||||
Goodyear Tire & Rubber Co. (The) | 68,538 | 2,239,136 | |||||||
Automobiles — 0.1% | |||||||||
Ford Motor Co. | 117,136 | 1,650,446 | |||||||
General Motors Co. | 78,377 | 2,665,602 | |||||||
Harley-Davidson, Inc. | 4,160 | 188,822 | |||||||
Thor Industries, Inc. | 1,887 | 105,955 | |||||||
4,610,825 | |||||||||
Beverages — 0.3% | |||||||||
Constellation Brands, Inc., Class A | 25,473 | 3,628,374 | |||||||
Dr Pepper Snapple Group, Inc. | 26,154 | 2,437,553 | |||||||
PepsiCo, Inc. | 97,290 | 9,721,217 | |||||||
15,787,144 | |||||||||
Biotechnology — 0.2% | |||||||||
Amgen, Inc. | 19,840 | 3,220,627 | |||||||
Baxalta, Inc. | 74,483 | 2,907,071 | |||||||
Biogen, Inc. (a) | 1,277 | 391,209 | |||||||
Dynavax Technologies Corp. (a) | 44,435 | 1,073,550 | |||||||
Gilead Sciences, Inc. | 33,500 | 3,389,865 | |||||||
10,982,322 | |||||||||
Building Products — 0.1% | |||||||||
Masco Corp. | 17,694 | 500,740 | |||||||
USG Corp. (a) | 157,635 | 3,828,954 | |||||||
4,329,694 | |||||||||
Capital Markets — 0.5% | |||||||||
Bank of New York Mellon Corp. (The) | 6,782 | 279,554 | |||||||
Charles Schwab Corp. (The) | 35,805 | 1,179,059 | |||||||
Goldman Sachs Group, Inc. (The) | 85,166 | 15,349,468 | |||||||
Morgan Stanley | 23,703 | 753,992 | |||||||
Northern Trust Corp. | 55,401 | 3,993,858 |
Number of Shares | Value | ||||||||
NorthStar Asset Management Group, Inc. | 177,000 | $ | 2,148,780 | ||||||
23,704,711 | |||||||||
Chemicals — 0.7% | |||||||||
Air Products & Chemicals, Inc. | 80,531 | 10,477,888 | |||||||
Axiall Corp. | 326,300 | 5,025,020 | |||||||
Calgon Carbon Corp. | 364,000 | 6,279,000 | |||||||
CF Industries Holdings, Inc. | 44,430 | 1,813,188 | |||||||
LyondellBasell Industries NV, Class A | 27,275 | 2,370,198 | |||||||
Mosaic Co. (The) | 219,700 | 6,061,523 | |||||||
Scotts Miracle-Gro Co. (The), Class A | 7,774 | 501,501 | |||||||
Sherwin-Williams Co. (The) | 4,886 | 1,268,406 | |||||||
WR Grace & Co. (a) | 21,121 | 2,103,440 | |||||||
35,900,164 | |||||||||
Commercial Banks — 0.4% | |||||||||
Citizens Financial Group, Inc. | 30,406 | 796,333 | |||||||
Huntington Bancshares Inc. | 75,873 | 839,155 | |||||||
Regions Financial Corp. | 23,119 | 221,942 | |||||||
SunTrust Banks, Inc. | 54,972 | 2,355,001 | |||||||
Wells Fargo & Co. | 309,636 | 16,831,813 | |||||||
21,044,244 | |||||||||
Commercial Services & Supplies — 0.3% | |||||||||
ADT Corp. (The) | 255,385 | 8,422,597 | |||||||
CyrusOne, Inc. | 67,500 | 2,527,875 | |||||||
Tyco International plc | 96,466 | 3,076,301 | |||||||
Viad Corp. | 15,296 | 431,806 | |||||||
14,458,579 | |||||||||
Communications Equipment — 0.1% | |||||||||
Cisco Systems, Inc. | 31,635 | 859,049 | |||||||
Juniper Networks, Inc. | 76,232 | 2,104,003 | |||||||
2,963,052 | |||||||||
Computers & Peripherals — 0.9% | |||||||||
Apple, Inc. | 351,107 | 36,957,523 | |||||||
EMC Corp. | 123,357 | 3,167,808 | |||||||
Hewlett Packard Enterprise Co. | 16,116 | 244,963 | |||||||
HP, Inc. | 16,116 | 190,814 | |||||||
Seagate Technology plc | 29,758 | 1,090,928 | |||||||
Western Digital Corp. | 12,700 | 762,635 | |||||||
42,414,671 | |||||||||
Construction & Engineering — 0.1% | |||||||||
Fluor Corp. | 2,558 | 120,789 | |||||||
Jacobs Engineering Group, Inc. (a) | 12,902 | 541,239 | |||||||
KBR, Inc. | 55,656 | 941,699 | |||||||
Layne Christensen Co. (a) | 149,287 | 785,250 | |||||||
2,388,977 | |||||||||
Consumer Finance — 0.2% | |||||||||
American Express Co. | 34,489 | 2,398,710 | |||||||
Capital One Financial Corp. | 31,451 | 2,270,133 | |||||||
Synchrony Financial (a) | 165,805 | 5,042,130 | |||||||
9,710,973 | |||||||||
Containers & Packaging — 0.1% | |||||||||
Ball Corp. | 84,141 | 6,119,575 | |||||||
WestRock Co. | 10,828 | 493,973 | |||||||
6,613,548 |
10
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2015 |
Number of Shares | Value | ||||||||
Diversified Consumer Services — 0.3% | |||||||||
Houghton Mifflin Harcourt Co. (a) | 612,590 | $ | 13,342,210 | ||||||
Sotheby’s | 24,845 | 640,007 | |||||||
13,982,217 | |||||||||
Diversified Financial Services — 1.2% | |||||||||
Bank of America Corp. | 477,593 | 8,037,890 | |||||||
Citigroup, Inc. | 255,243 | 13,208,825 | |||||||
CME Group, Inc. | 21,295 | 1,929,327 | |||||||
JPMorgan Chase & Co. | 473,638 | 31,274,317 | |||||||
Leucadia National Corp. | 5,553 | 96,567 | |||||||
Moody’s Corp. | 10,732 | 1,076,849 | |||||||
Voya Financial, Inc. | 43,760 | 1,615,182 | |||||||
57,238,957 | |||||||||
Diversified Telecommunication Services — 0.4% | |||||||||
AT&T, Inc. | 110,127 | 3,789,470 | |||||||
Level 3 Communications, Inc. (a) | 194,729 | 10,585,468 | |||||||
Verizon Communications, Inc. | 89,716 | 4,146,674 | |||||||
Vonage Holdings Corp. (a) | 17,572 | 100,863 | |||||||
18,622,475 | |||||||||
Electric Utilities — 0.2% | |||||||||
Duke Energy Corp. | 86,617 | 6,183,588 | |||||||
Edison International | 6,013 | 356,030 | |||||||
Entergy Corp. | 34,103 | 2,331,281 | |||||||
Exelon Corp. | 4,550 | 126,353 | |||||||
8,997,252 | |||||||||
Electrical Equipment — 0.1% | |||||||||
BWX Technologies, Inc. | 220,300 | 6,998,931 | |||||||
Electronic Equipment, Instruments & Components — 0.2% | |||||||||
Dolby Laboratories, Inc., Class A | 142,479 | 4,794,418 | |||||||
FLIR Systems, Inc. | 35,000 | 982,450 | |||||||
Knowles Corp. (a) | 350,694 | 4,674,751 | |||||||
10,451,619 | |||||||||
Energy Equipment & Services — 0.1% | |||||||||
Ensco plc, Class A | 128,802 | 1,982,263 | |||||||
Halliburton Co. | 3,180 | 108,247 | |||||||
Helmerich & Payne, Inc. | 17,710 | 948,371 | |||||||
National Oilwell Varco, Inc. | 112,200 | 3,757,578 | |||||||
6,796,459 | |||||||||
Food & Staples Retailing — 0.9% | |||||||||
Costco Wholesale Corp. | 29,173 | 4,711,439 | |||||||
CVS Health Corp. | 4,877 | 476,824 | |||||||
Kroger Co. (The) | 79,630 | 3,330,923 | |||||||
Pricesmart, Inc. | 3,135 | 260,174 | |||||||
Smart & Final Stores, Inc. (a) | 319,032 | 5,809,573 | |||||||
SUPERVALU, Inc. (a) | 927,898 | 6,291,148 | |||||||
Wal-Mart Stores, Inc. | 371,529 | 22,774,728 | |||||||
Walgreens Boots Alliance, Inc. | 1,360 | 115,811 | |||||||
Whole Foods Market, Inc. | 30,909 | 1,035,452 | |||||||
44,806,072 | |||||||||
Food Products — 0.3% | |||||||||
Bunge, Ltd. | 19,973 | 1,363,756 | |||||||
JM Smucker Co. (The) | 64,786 | 7,990,705 |
Number of Shares | Value | ||||||||
Tyson Foods, Inc., Class A | 90,117 | $ | 4,805,940 | ||||||
14,160,401 | |||||||||
Health Care Equipment & Supplies — 0.7% | |||||||||
CR Bard, Inc. | 42,788 | 8,105,758 | |||||||
Halyard Health, Inc. (a) | 253,900 | 8,482,799 | |||||||
IDEXX Laboratories, Inc. (a) | 111,102 | 8,101,558 | |||||||
Stryker Corp. | 89,071 | 8,278,259 | |||||||
32,968,374 | |||||||||
Health Care Providers & Services — 0.6% | |||||||||
Aetna, Inc. | 3,099 | 335,064 | |||||||
Anthem, Inc. | 4,926 | 686,882 | |||||||
Brookdale Senior Living, Inc. (a) | 120,400 | 2,222,584 | |||||||
Cardinal Health, Inc. | 28,900 | 2,579,903 | |||||||
HCA Holdings, Inc. (a) | 14,500 | 980,635 | |||||||
Joint Corp. (The) (a) | 202,762 | 1,210,489 | |||||||
McKesson Corp. | 12,000 | 2,366,760 | |||||||
Quest Diagnostics, Inc. | 5,400 | 384,156 | |||||||
Tenet Healthcare Corp. (a) | 202,158 | 6,125,387 | |||||||
UnitedHealth Group, Inc. | 41,700 | 4,905,588 | |||||||
VCA Antech, Inc. (a) | 95,743 | 5,265,865 | |||||||
27,063,313 | |||||||||
Health Care Technology — 0.3% | |||||||||
Allscripts Healthcare Solutions, Inc. (a) | 880,746 | 13,545,874 | |||||||
Hotels, Restaurants & Leisure — 0.8% | |||||||||
Boyd Gaming Corp. (a) | 10,873 | 216,047 | |||||||
Carnival Corp. | 74,106 | 4,037,295 | |||||||
Darden Restaurants, Inc. | 31,600 | 2,011,024 | |||||||
Dunkin’ Brands Group, Inc. | 171,541 | 7,305,931 | |||||||
Hyatt Hotels Corp., Class A (a) | 38,500 | 1,810,270 | |||||||
Interval Leisure Group, Inc. | 6,820 | 106,460 | |||||||
La Quinta Holdings, Inc. (a) | 301,100 | 4,097,971 | |||||||
MGM Resorts International (a) | 407,468 | 9,257,673 | |||||||
Wyndham Worldwide Corp. | 15,160 | 1,101,374 | |||||||
Wynn Resorts, Ltd. | 77,700 | 5,376,063 | |||||||
Yum! Brands, Inc. | 40,245 | 2,939,897 | |||||||
38,260,005 | |||||||||
Household Durables — 0.2% | |||||||||
Mohawk Industries, Inc. (a) | 3,936 | 745,439 | |||||||
Toll Brothers, Inc. (a) | 172,880 | 5,756,904 | |||||||
TopBuild Corp. (a) | 1,966 | 60,494 | |||||||
WCI Communities, Inc. (a) | 112,200 | 2,499,816 | |||||||
9,062,653 | |||||||||
Household Products — 0.2% | |||||||||
Colgate-Palmolive Co. | 84,238 | 5,611,935 | |||||||
Edgewell Personal Care Co. | 1,534 | 120,220 | |||||||
Energizer Holdings, Inc. | 1,534 | 52,248 | |||||||
Procter & Gamble Co. (The) | 62,278 | 4,945,496 | |||||||
10,729,899 | |||||||||
Independent Power Producers & Energy Traders — 0.1% | |||||||||
AES Corp. (The) | 177,316 | 1,696,914 | |||||||
NRG Energy, Inc. | 23,335 | 274,653 | |||||||
Talen Energy Corp. (a) | 732,100 | 4,560,983 | |||||||
6,532,550 |
11
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2015 |
Number of Shares | Value | ||||||||
Industrial Conglomerates — 0.3% | |||||||||
3M Co. | 40,667 | $ | 6,126,077 | ||||||
General Electric Co. | 230,100 | 7,167,615 | |||||||
13,293,692 | |||||||||
Insurance — 0.5% | |||||||||
Allstate Corp. (The) | 37,200 | 2,309,748 | |||||||
American International Group, Inc. | 172,317 | 10,678,485 | |||||||
Berkshire Hathaway, Inc., Class B (a) | 18,966 | 2,504,271 | |||||||
Everest Re Group, Ltd. | 17,904 | 3,278,043 | |||||||
Lincoln National Corp. | 9,820 | 493,553 | |||||||
Loews Corp. | 8,301 | 318,758 | |||||||
Markel Corp. (a) | 873 | 771,165 | |||||||
MBIA, Inc. (a) | 321,070 | 2,080,534 | |||||||
Travelers Companies, Inc. (The) | 23,269 | 2,626,139 | |||||||
25,060,696 | |||||||||
Internet & Catalog Retail — 1.0% | |||||||||
Amazon.com, Inc. (a) | 56,127 | 37,935,678 | |||||||
Blue Nile, Inc. (a) | 11,516 | 427,589 | |||||||
Liberty Interactive Corp. QVC Group (a) | 32,870 | 898,008 | |||||||
Liberty TripAdvisor Holdings, Inc. (a) | 10,045 | 304,765 | |||||||
Liberty Ventures, Series A (a) | 9,009 | 406,396 | |||||||
Priceline.com, Inc. (a) | 4,724 | 6,022,864 | |||||||
TripAdvisor, Inc. (a) | 10,110 | 861,878 | |||||||
46,857,178 | |||||||||
Internet Software & Services — 1.2% | |||||||||
Alphabet, Inc., Class C (a) | 15,023 | 11,400,654 | |||||||
Alphabet, Inc., Class A (a) | 29,930 | 23,285,839 | |||||||
ChannelAdvisor Corp. (a) | 237,502 | 3,289,403 | |||||||
Cornerstone OnDemand, Inc. (a) | 100,686 | 3,476,687 | |||||||
eBay, Inc. (a) | 138,016 | 3,792,680 | |||||||
LinkedIn Corp. (a) | 30,083 | 6,771,082 | |||||||
Pandora Media, Inc. (a) | 216,859 | 2,908,079 | |||||||
Twitter, Inc. (a) | 15,770 | 364,918 | |||||||
VeriSign, Inc. (a) | 23,374 | 2,041,953 | |||||||
57,331,295 | |||||||||
IT Services — 1.7% | |||||||||
Accenture plc, Class A | 138,302 | 14,452,559 | |||||||
Alliance Data Systems Corp. (a) | 2,940 | 813,116 | |||||||
Automatic Data Processing, Inc. | 87,467 | 7,410,204 | |||||||
Cognizant Technology Solutions Corp. (a) | 14,043 | 842,861 | |||||||
CoreLogic, Inc. (a) | 29,146 | 986,884 | |||||||
EPAM Systems, Inc. (a) | 13,944 | 1,096,277 | |||||||
Gartner Group, Inc. (a) | 21,726 | 1,970,548 | |||||||
Genpact, Ltd. (a) | 45,068 | 1,125,799 | |||||||
Hackett Group, Inc. (The) | 56,657 | 910,478 | |||||||
International Business Machines Corp. (IBM) | 63,327 | 8,715,062 | |||||||
Lionbridge Technologies, Inc. (a) | 536,955 | 2,636,449 | |||||||
Mastercard, Inc. | 35,296 | 3,436,418 | |||||||
PayPal Holdings, Inc. (a) | 89,050 | 3,223,610 | |||||||
Visa, Inc., Class A | 464,656 | 36,034,073 | |||||||
83,654,338 |
Number of Shares | Value | ||||||||
Life Sciences Tools & Services — 0.3% | |||||||||
Bio-Rad Laboratories, Inc. (a) | 4,493 | $ | 622,999 | ||||||
PerkinElmer, Inc. | 114,750 | 6,147,158 | |||||||
Waters Corp. (a) | 61,307 | 8,250,696 | |||||||
15,020,853 | |||||||||
Machinery — 0.2% | |||||||||
Actuant Corp. | 141,846 | 3,398,630 | |||||||
Graco, Inc. | 6,440 | 464,131 | |||||||
Hyster-Yale Materials Handling, Inc. | 34,221 | 1,794,891 | |||||||
Lindsay Corp. | 81,400 | 5,893,360 | |||||||
PACCAR, Inc. | 6,305 | 298,857 | |||||||
11,849,869 | |||||||||
Media — 1.7% | |||||||||
Cablevision Systems Corp. | 67,232 | 2,144,701 | |||||||
Charter Communications, Inc. (a) | 2,620 | 479,722 | |||||||
Comcast Corp., Class A | 648,803 | 36,611,953 | |||||||
Discovery Communications, Inc., Series A (a) | 51,114 | 1,363,721 | |||||||
Discovery Communications, Inc., Series C (a) | 7,518 | 189,604 | |||||||
Iheartmedia, Inc. (a) | 28,167 | 25,350 | |||||||
Liberty Broadband Corp., Class A (a) | 6,437 | 332,471 | |||||||
Liberty Broadband Corp., Class C (a) | 6,428 | 333,356 | |||||||
Liberty Media Corp., Class A (a) | 18,672 | 732,876 | |||||||
Liberty Media Corp., Class C (a) | 20,160 | 767,693 | |||||||
Live Nation, Inc. (a) | 255,738 | 6,283,483 | |||||||
Nexstar Broadcasting Group, Inc., Class A | 58,942 | 3,459,895 | |||||||
Sinclair Broadcast Group, Inc. | 58,646 | 1,908,341 | |||||||
Starz – Liberty Capital (a) | 7,227 | 242,104 | |||||||
Tribune Media Co. | 14,513 | 490,685 | |||||||
Tribune Publishing Co. | 2,471 | 22,783 | |||||||
Viacom, Inc. | 256,917 | 10,574,704 | |||||||
Walt Disney Co. (The) | 154,340 | 16,218,047 | |||||||
82,181,489 | |||||||||
Metals & Mining — 0.2% | |||||||||
Compass Minerals International, Inc. | 70,800 | 5,329,116 | |||||||
Newmont Mining Corp. | 40,238 | 723,881 | |||||||
Royal Gold, Inc. | 59,272 | 2,161,650 | |||||||
TimkenSteel Corp. | 233,255 | 1,954,677 | |||||||
10,169,324 | |||||||||
Multiline Retail — 0.1% | |||||||||
Dollar Tree, Inc. (a) | 14,291 | 1,103,551 | |||||||
Kohl’s Corp. | 29,645 | 1,411,991 | |||||||
Macy’s, Inc. | 9,771 | 341,790 | |||||||
2,857,332 | |||||||||
Office Electronics — 0.0% | |||||||||
Xerox Corp. | 156,300 | 1,661,469 | |||||||
Oil, Gas & Consumable Fuels — 0.4% | |||||||||
Chesapeake Energy Corp. | 323,782 | 1,457,019 | |||||||
Cloud Peak Energy, Inc. (a) | 478,669 | 995,632 | |||||||
CONSOL Energy, Inc. | 481,301 | 3,802,278 | |||||||
Marathon Petroleum Corp. | 44,750 | 2,319,840 | |||||||
Murphy Oil Corp. | 32,649 | 732,970 |
12
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2015 |
Number of Shares | Value | ||||||||
Peabody Energy Corp. | 97,472 | $ | 748,585 | ||||||
Tesoro Corp. | 29,246 | 3,081,651 | |||||||
Valero Energy Corp. | 36,672 | 2,593,077 | |||||||
WPX Energy, Inc. (a) | 820,500 | 4,709,670 | |||||||
20,440,722 | |||||||||
Paper & Forest Products — 0.0% | |||||||||
International Paper Co. | 16,673 | 628,572 | |||||||
Louisiana-Pacific Corp. (a) | 11,011 | 198,308 | |||||||
826,880 | |||||||||
Personal Products — 0.0% | |||||||||
Coty, Inc., Class A | 7,841 | 200,965 | |||||||
Estee Lauder Companies, Inc. (The), Class A | 5,553 | 488,997 | |||||||
689,962 | |||||||||
Pharmaceuticals — 0.9% | |||||||||
Bristol-Myers Squibb Co. | 9,650 | 663,824 | |||||||
Johnson & Johnson | 158,289 | 16,259,446 | |||||||
Merck & Co., Inc. | 66,049 | 3,488,708 | |||||||
Pfizer, Inc. | 512,386 | 16,539,820 | |||||||
Valeant Pharmaceuticals International, Inc. (a) | 48,035 | 4,882,758 | |||||||
41,834,556 | |||||||||
Professional Services — 0.1% | |||||||||
Robert Half International, Inc. | 13,920 | 656,189 | |||||||
Towers Watson & Co., Class A | 11,576 | 1,487,053 | |||||||
Verisk Analytics, Inc. (a) | 7,986 | 613,963 | |||||||
2,757,205 | |||||||||
Real Estate — 0.1% | |||||||||
CBRE Group, Inc. (a) | 172,892 | 5,978,605 | |||||||
Real Estate Investment Trusts (REITs) — 4.2% | |||||||||
Alexander’s, Inc. | 27,645 | 10,618,721 | |||||||
Boston Properties, Inc. | 40,500 | 5,165,370 | |||||||
Brandywine Realty Trust | 796,600 | 10,881,556 | |||||||
Camden Property Trust | 47,300 | 3,630,748 | |||||||
Care Capital Properties, Inc. | 251,373 | 7,684,473 | |||||||
CBL & Associates Properties, Inc. | 1,114,800 | 13,790,076 | |||||||
Digital Realty Trust, Inc. | 34,300 | 2,593,766 | |||||||
Equity Residential | 90,700 | 7,400,213 | |||||||
Gramercy Property Trust | 429,347 | 3,314,559 | |||||||
Hersha Hospitality Trust | 215,375 | 4,686,560 | |||||||
Highwoods Properties, Inc. | 132,967 | 5,797,361 | |||||||
Host Hotels & Resorts, Inc. | 299,700 | 4,597,398 | |||||||
Hudson Pacific Properties, Inc. | 220,528 | 6,205,658 | |||||||
iStar, Inc. (a) | 223,700 | 2,624,001 | |||||||
Kilroy Realty Corp. | 96,000 | 6,074,880 | |||||||
NorthStar Realty Finance Corp. | 386,950 | 6,589,759 | |||||||
Outfront Media, Inc. | 635,103 | 13,864,298 | |||||||
Prologis, Inc. | 264,000 | 11,330,880 | |||||||
Simon Property Group, Inc. | 17,000 | 3,305,480 | |||||||
SL Green Realty Corp. | 206,906 | 23,376,240 | |||||||
Starwood Property Trust, Inc. | 605,117 | 12,441,206 | |||||||
Ventas, Inc. | 133,300 | 7,522,119 | |||||||
Vornado Realty Trust | 190,500 | 19,042,380 |
Number of Shares | Value | ||||||||
Welltower, Inc. | 161,700 | $ | 11,000,451 | ||||||
203,538,153 | |||||||||
Real Estate Management & Development — 0.1% | |||||||||
TRI Pointe Group, Inc. (a) | 383,400 | 4,857,678 | |||||||
Road & Rail — 0.0% | |||||||||
Avis Budget Group, Inc. (a) | 9,012 | 327,046 | |||||||
Hertz Global Holdings, Inc. (a) | 13,557 | 192,916 | |||||||
Kansas City Southern | 3,958 | 295,544 | |||||||
Ryder System, Inc. | 2,716 | 154,350 | |||||||
969,856 | |||||||||
Semiconductors & Semiconductor Equipment — 0.5% | |||||||||
Cabot Microelectronics Corp. (a) | 104,400 | 4,570,632 | |||||||
Entegris, Inc. (a) | 594,400 | 7,887,688 | |||||||
Intel Corp. | 172,155 | 5,930,740 | |||||||
Micron Technology, Inc. (a) | 137,790 | 1,951,106 | |||||||
Texas Instruments, Inc. | 47,178 | 2,585,826 | |||||||
22,925,992 | |||||||||
Software — 0.9% | |||||||||
Activision Blizzard, Inc. | 27,601 | 1,068,435 | |||||||
CA, Inc. | 73,486 | 2,098,760 | |||||||
Citrix Systems, Inc. (a) | 29,501 | 2,231,751 | |||||||
Electronic Arts, Inc. (a) | 29,736 | 2,043,458 | |||||||
Microsoft Corp. | 357,480 | 19,832,990 | |||||||
MicroStrategy, Inc., Class A (a) | 56,181 | 10,072,692 | |||||||
Oracle Corp. | 105,631 | 3,858,700 | |||||||
Symantec Corp. | 104,300 | 2,190,300 | |||||||
43,397,086 | |||||||||
Specialty Retail — 1.3% | |||||||||
Aaron’s, Inc. | 40,600 | 909,034 | |||||||
Bed Bath & Beyond, Inc. (a) | 40,281 | 1,943,558 | |||||||
Best Buy Co., Inc. | 70,237 | 2,138,717 | |||||||
Cabela’s, Inc. (a) | 196,400 | 9,177,772 | |||||||
CST Brands, Inc. | 76,800 | 3,005,952 | |||||||
Destination XL Group, Inc. (a) | 498,882 | 2,753,829 | |||||||
Dick’s Sporting Goods, Inc. | 350,585 | 12,393,180 | |||||||
L Brands, Inc. | 233,564 | 22,380,102 | |||||||
Lowe’s Companies, Inc. | 13,848 | 1,053,002 | |||||||
Office Depot, Inc. (a) | 347,733 | 1,961,214 | |||||||
Staples, Inc. | 97,919 | 927,293 | |||||||
Tractor Supply Co. | 24,383 | 2,084,746 | |||||||
60,728,399 | |||||||||
Textiles, Apparel & Luxury Goods — 0.5% | |||||||||
Coach, Inc. | 32,980 | 1,079,436 | |||||||
Hanesbrands, Inc. | 36,938 | 1,087,085 | |||||||
Nike, Inc. | 373,506 | 23,344,125 | |||||||
25,510,646 | |||||||||
Thrifts & Mortgage Finance — 0.1% | |||||||||
BankUnited, Inc. | 5,707 | 205,794 | |||||||
Fannie Mae (a) | 438,026 | 718,363 | |||||||
Ladder Capital Corp., Class A | 254,188 | 3,157,015 | |||||||
Washington Mutual, Inc. (b) (c) | 33,600 | — | |||||||
WMIH Corp. (a) | 19 | 49 | |||||||
4,081,221 |
13
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2015 |
Number of Shares | Value | ||||||||
Tobacco — 0.3% | |||||||||
Altria Group, Inc. | 45,657 | $ | 2,657,694 | ||||||
Philip Morris International, Inc. | 131,539 | 11,563,594 | |||||||
14,221,288 | |||||||||
Trading Companies & Distributors — 0.1% | |||||||||
NOW, Inc. (a) | 214,198 | 3,388,612 | |||||||
W.W. Grainger, Inc. | 15,299 | 3,099,425 | |||||||
6,488,037 | |||||||||
Transportation Infrastructure — 0.0% | |||||||||
Macquarie Infrastructure Corp. | 3,660 | 265,716 | |||||||
Total US Common Stocks (Cost $1,380,866,909) | 1,407,737,197 | ||||||||
Foreign Common Stocks — 32.8% | |||||||||
Australia — 0.6% | |||||||||
ALS, Ltd. | 68,571 | 187,064 | |||||||
Alumina, Ltd. | 227,202 | 189,275 | |||||||
BHP Billiton, Ltd. | 10,708 | 139,100 | |||||||
BlueScope Steel, Ltd. | 89,307 | 284,335 | |||||||
Brambles, Ltd. | 50,218 | 420,228 | |||||||
Coca-Cola Amatil, Ltd. | 61,827 | 416,697 | |||||||
Dexus Property Group – REIT | 497,200 | 2,696,059 | |||||||
DuluxGroup, Ltd. | 6,164 | 29,666 | |||||||
Fairfax Media, Ltd. | 281,270 | 187,289 | |||||||
GUD Holdings, Ltd. | 8,058 | 49,582 | |||||||
Iluka Resources, Ltd. | 31,969 | 141,460 | |||||||
Metcash, Ltd. (a) | 158,870 | 185,385 | |||||||
Newcrest Mining, Ltd. (a) | 898,656 | 8,495,059 | |||||||
Orica, Ltd. | 37,168 | 415,766 | |||||||
Premier Investments, Ltd. | 5,858 | 60,221 | |||||||
QBE Insurance Group, Ltd. – ASE Shares | 175,451 | 1,596,183 | |||||||
SAI Global, Ltd. | 26,927 | 81,782 | |||||||
Santos, Ltd. | 26,551 | 70,272 | |||||||
Scentre Group | 1,113,932 | 3,375,845 | |||||||
Sigma Pharmaceuticals, Ltd. | 88,691 | 55,531 | |||||||
Transpacific Industries Group, Ltd. | 475,567 | 271,830 | |||||||
Westfield Corp. – REIT | 1,301,577 | 8,954,199 | |||||||
28,302,828 | |||||||||
Austria — 0.2% | |||||||||
Andritz AG | 4,887 | 237,041 | |||||||
CA Immobilien Anlagen AG (a) | 490,900 | 8,950,440 | |||||||
Erste Group Bank AG (a) | 11,258 | 351,848 | |||||||
IMMOFINANZ AG (a) | 409,832 | 932,542 | |||||||
Oesterreichische Post AG | 10,266 | 374,288 | |||||||
Raiffeisen Bank International AG (a) | 20,212 | 295,723 | |||||||
Wienerberger AG | 30,912 | 573,174 | |||||||
11,715,056 | |||||||||
Belgium — 0.1% | |||||||||
Anheuser-Busch InBev NV | 17,355 | 2,143,777 | |||||||
Groupe Bruxelles Lambert SA | 4,239 | 362,430 | |||||||
2,506,207 |
Number of Shares | Value | ||||||||
Bermuda — 0.0% | |||||||||
Signet Jewelers, Ltd. | 5,093 | $ | 629,953 | ||||||
Brazil — 0.3% | |||||||||
B2W Cia Digital (a) | 222,756 | 852,240 | |||||||
BrasilAgro – Co. Brasileira de Propriedades Agricolas | 116,200 | 328,631 | |||||||
CCR SA | 379,800 | 1,196,553 | |||||||
Centrais Eletricas Brasileiras SA (a) | 683,900 | 964,192 | |||||||
Cia Energetica de Minas Gerais – SPADR | 780,321 | 1,170,482 | |||||||
EDP – Energias do Brasil SA | 727,800 | 2,201,085 | |||||||
Grupo BTG Pactual (UNIT) | 273,300 | 1,030,721 | |||||||
Localiza Rent a Car SA | 40,087 | 250,394 | |||||||
LPS Brasil Consultoria de Imoveis SA (c) | 433,300 | 245,082 | |||||||
MRV Engenharia e Participacoes SA | 1,343,400 | 2,938,505 | |||||||
Natura Cosmeticos SA | 97,184 | 573,122 | |||||||
Odontoprev SA | 102,065 | 243,201 | |||||||
Oi SA (a) | 27,054 | 16,703 | |||||||
SLC Agricola SA | 280,800 | 1,169,328 | |||||||
Tim Participacoes SA | 522,220 | 889,185 | |||||||
Totvs SA | 261,000 | 2,035,255 | |||||||
16,104,679 | |||||||||
Canada — 1.3% | |||||||||
Aimia, Inc. | 47,819 | 325,198 | |||||||
Barrick Gold Corp. | 814,306 | 6,009,578 | |||||||
Barrick Gold Corp. | 32,471 | 240,300 | |||||||
Bombardier, Inc., Class B (a) | 123,932 | 120,018 | |||||||
Cameco Corp. | 700,841 | 8,641,370 | |||||||
Canadian Natural Resources, Ltd. | 29,564 | 645,678 | |||||||
Denison Mines Corp. (a) | 62,000 | 31,365 | |||||||
Dominion Diamond Corp. | 271,246 | 2,774,847 | |||||||
Dundee Corp., Class A (a) | 379,872 | 1,251,873 | |||||||
Dundee Precious Metals, Inc. (a) | 1,043,636 | 965,422 | |||||||
Fairfax Financial Holdings, Ltd. | 730 | 346,567 | |||||||
Gabriel Resources, Ltd. (a) | 1,962,000 | 198,511 | |||||||
Goldcorp, Inc. | 226,155 | 2,614,352 | |||||||
Imperial Oil, Ltd. | 36,945 | 1,203,643 | |||||||
Ivanhoe Mines, Ltd., Class A (a) | 3,943,251 | 1,738,370 | |||||||
Kinross Gold Corp. (a) | 3,314,584 | 6,032,543 | |||||||
Kirkland Lake Gold, Inc. (a) | 95,199 | 332,994 | |||||||
Lundin Gold, Inc. (a) (c) | 900,000 | 2,471,634 | |||||||
Magna International, Inc. | 20,690 | 839,186 | |||||||
MEG Energy Corp. (a) | 284,392 | 1,648,351 | |||||||
New Gold, Inc. (a) | 575,382 | 1,334,886 | |||||||
Northern Dynasty Minerals, Ltd. – NYSE Shares (a) (c) | 202,302 | 62,147 | |||||||
Northern Dynasty Minerals, Ltd. – TSX Shares (a) (c) | 5,439,672 | 1,651,125 | |||||||
NOVAGOLD Resources, Inc. (a) | 477,960 | 2,012,212 | |||||||
Onex Corp. | 11,056 | 677,726 | |||||||
Rogers Communications, Inc., Class B | 46,117 | 1,590,448 | |||||||
Silver Standard Resources, Inc. (a) | 364,657 | 1,888,923 |
14
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2015 |
Number of Shares | Value | ||||||||
Silver Wheaton Corp. | 153,129 | $ | 1,901,862 | ||||||
Sprott, Inc. | 2,565,690 | 4,413,054 | |||||||
Suncor Energy, Inc. | 34,197 | 882,790 | |||||||
Tahoe Resources, Inc. | 188,269 | 1,628,662 | |||||||
Turquoise Hill Resources, Ltd. (a) | 929,683 | 2,361,395 | |||||||
Uranium Participation Corp. (a) | 1,157,505 | 4,291,393 | |||||||
63,128,423 | |||||||||
Chile — 0.2% | |||||||||
Administradora de Fondos de Pensiones Habitat SA | 62,097 | 71,247 | |||||||
Antofagasta plc | 95,745 | 656,097 | |||||||
Cia Cervecerias Unidas SA (c) | 275,182 | 3,091,813 | |||||||
Cia Sud Americana de Vapores SA (a) | 17,593,995 | 339,569 | |||||||
Quinenco SA (c) | 1,255,935 | 2,211,091 | |||||||
Sociedad Quimica y Minera de Chile SA – SPADR | 57,203 | 1,087,429 | |||||||
7,457,246 | |||||||||
China — 1.2% | |||||||||
361 Degrees International, Ltd. | 845,000 | 315,642 | |||||||
Agile Property Holdings, Ltd. | 2,478,000 | 1,375,877 | |||||||
Ajisen China Holdings, Ltd. (c) | 2,806,000 | 1,241,332 | |||||||
Anhui Expressway Co., Ltd. | 204,000 | 173,138 | |||||||
Baidu, Inc. – SPADR (a) | 26,233 | 4,959,086 | |||||||
Bank of Chongqing Co., Ltd. | 631,000 | 567,239 | |||||||
Baoye Group Co., Ltd. | 72,000 | 48,676 | |||||||
Beijing Capital Land, Ltd. | 1,620,000 | 738,507 | |||||||
Biostime International Holdings, Ltd. | 500,500 | 1,028,352 | |||||||
Boer Power Holdings, Ltd. | 45,000 | 80,929 | |||||||
Cabbeen Fashion, Ltd. | 123,000 | 66,157 | |||||||
Central China Real Estate, Ltd. | 309,000 | 64,826 | |||||||
Central China Securities Co., Ltd. | 1,455,000 | 791,480 | |||||||
Changgang Dunxin Enterprise Co., Ltd. | 2,308,000 | 228,580 | |||||||
China Communications Services Corp., Ltd., Class H | 1,152,000 | 431,347 | |||||||
China Creative Home Group, Ltd. | 2,176,000 | 195,553 | |||||||
China Dongxiang Group Co., Ltd. | 1,852,000 | 441,172 | |||||||
China Lesso Group Holdings, Ltd. | 1,623,000 | 1,125,065 | |||||||
China Lilang, Ltd. | 512,000 | 377,672 | |||||||
China Mengniu Dairy Co., Ltd. | 1,614,000 | 2,610,063 | |||||||
China Resources Beer Holdings Co., Ltd. | 1,706,228 | 3,640,371 | |||||||
China Shineway Pharmaceutical Group, Ltd. | 51,000 | 64,543 | |||||||
China XD Plastics Co., Ltd. (a) | 217,505 | 961,372 | |||||||
China Yurun Food Group, Ltd. (a) | 12,225,000 | 2,594,261 | |||||||
CNOOC, Ltd. | 1,552,052 | 1,595,299 | |||||||
Coland Holdings, Ltd. | 30,000 | 49,830 | |||||||
Concord Medical Services Holdings, Ltd. – SPADR | 7,473 | 36,169 | |||||||
CSG Holding Co., Ltd. | 844,000 | 778,838 | |||||||
Ctrip.com International, Ltd. – ADR (a) | 5,688 | 263,525 | |||||||
Daphne International Holdings, Ltd. (a) (c) | 3,276,000 | 545,781 | |||||||
Fantasia Holdings Group Co., Ltd. | 2,559,000 | 301,249 | |||||||
Goodbaby International Holdings, Ltd. (a) | 431,383 | 157,644 | |||||||
Griffin Mining, Ltd. (a) | 1,096,994 | 430,471 |
Number of Shares | Value | ||||||||
Guangdong Yueyun Transportation Co., Ltd., Class H | 254,000 | $ | 191,176 | ||||||
Guangshen Railway Co., Ltd. | 5,764,000 | 2,859,730 | |||||||
Guangzhou R&F Properties Co., Ltd. | 1,133,200 | 1,384,688 | |||||||
HNA Infrastructure Company, Ltd. | 63,000 | 79,356 | |||||||
Hua Hong Semiconductor, Ltd. (a) (d) | 1,007,000 | 971,485 | |||||||
JD.com, Inc. – ADR (a) | 38,840 | 1,253,173 | |||||||
Johnson Electric Holdings, Ltd. | 52,338 | 179,191 | |||||||
Lansen Pharmaceutical Holdings, Ltd. | 452,000 | 123,753 | |||||||
Lenovo Group, Ltd. | 137,479 | 138,535 | |||||||
Li Ning Co., Ltd. (a) | 6,294,666 | 3,399,781 | |||||||
Mindray Medical International, Ltd. – ADR | 135,854 | 3,684,361 | |||||||
Nam Tai Property, Inc. | 104,993 | 607,909 | |||||||
NetEase, Inc. – ADR | 5,608 | 1,016,394 | |||||||
Peak Sport Products Co., Ltd. | 1,492,000 | 414,684 | |||||||
Powerlong Real Estate Holdings, Ltd. | 960,000 | 202,182 | |||||||
Qingdao Port International Co., Ltd. (d) | 769,000 | 341,658 | |||||||
Shenzhou International Group Holdings, Ltd. | 128,199 | 733,369 | |||||||
TCL Communication Technology Holdings, Ltd., Class C | 727,000 | 532,508 | |||||||
Tiangong International Co., Ltd. | 108,000 | 9,019 | |||||||
Tianneng Power International, Ltd. (a) | 1,502,000 | 1,256,606 | |||||||
Times Property Holdings, Ltd. | 235,000 | 81,723 | |||||||
Travelsky Technology, Ltd., Class H, Class H | 567,000 | 930,470 | |||||||
Tsingtao Brewery Co., Ltd., Class H | 424,017 | 1,909,094 | |||||||
Universal Health International Group Holding, Ltd. | 3,540,000 | 1,361,437 | |||||||
Vipshop Holdings, Ltd. – ADR (a) | 21,283 | 324,991 | |||||||
Want Want China Holdings, Ltd. | 2,586,496 | 1,913,184 | |||||||
Weiqiao Textile Co., Ltd. | 1,066,350 | 498,566 | |||||||
Wumart Stores, Inc. (a) | 1,817,000 | 1,445,817 | |||||||
Wuxi Little Swan Co., Ltd. | 95,700 | 227,959 | |||||||
Xingda International Holdings, Ltd. | 1,263,000 | 256,788 | |||||||
Xinhua Winshare Publishing and Media Co., Ltd. | 570,000 | 515,858 | |||||||
XTEP International Holdings, Ltd. | 1,714,500 | 911,007 | |||||||
Yuzhou Properties Co., Ltd. | 1,056,000 | 282,760 | |||||||
Zhejiang Expressway Co., Ltd., Class H | 820,000 | 982,814 | |||||||
59,302,072 | |||||||||
Colombia — 0.0% | |||||||||
Bancolombia SA – SPADR | 67,400 | 1,802,950 | |||||||
Grupo Nutresa SA | 15,169 | 107,723 | |||||||
1,910,673 | |||||||||
Cyprus — 0.0% | |||||||||
Global Ports Investments plc (a) | 124,189 | 402,840 | |||||||
Hellenic Bank Public Co., Ltd. (a) | 144,183 | 197,431 | |||||||
600,271 | |||||||||
Czech Republic — 0.0% | |||||||||
Komercni Banka AS | 4,357 | 863,352 | |||||||
Denmark — 0.5% | |||||||||
AP Moeller – Maersk A/S | 381 | 494,731 | |||||||
Bang & Olufsen A/S, Class B (a) | 39,662 | 473,382 | |||||||
Carlsberg A/S, Class B | 13,541 | 1,197,227 |
15
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2015 |
Number of Shares | Value | ||||||||
Coloplast A/S, Class B | 38,445 | $ | 3,103,149 | ||||||
Danske Bank A/S | 7,040 | 188,080 | |||||||
GN Store Nord (GN Great Nordic) A/S | 70,642 | 1,281,312 | |||||||
ISS A/S | 54,651 | 1,971,147 | |||||||
Novo Nordisk A/S, Class B | 152,097 | 8,742,594 | |||||||
Topdanmark A/S (a) | 8,760 | 249,215 | |||||||
Vestas Wind Systems A/S | 49,859 | 3,481,044 | |||||||
William Demant Holding A/S (a) | 12,118 | 1,150,830 | |||||||
22,332,711 | |||||||||
Finland — 0.4% | |||||||||
Amer Sports Oyj | 5,965 | 173,183 | |||||||
Kone Oyj, Class B | 159,690 | 6,714,227 | |||||||
Metso Oyj | 16,981 | 378,109 | |||||||
Nokian Renkaat Oyj | 48,617 | 1,726,885 | |||||||
Sampo Oyj, Class A (c) | 62,969 | 3,191,656 | |||||||
Tikkurila Oyj (c) | 377,244 | 6,567,258 | |||||||
UPM-Kymmene Oyj | 7,249 | 134,257 | |||||||
Valmet Corp. | 9,215 | 88,746 | |||||||
Wartsila Corp. | 8,809 | 399,453 | |||||||
19,373,774 | |||||||||
France — 0.7% | |||||||||
Air France-KLM SA (a) | 82,086 | 624,777 | |||||||
Airbus Group SE | 14,372 | 964,986 | |||||||
Areva SA (a) | 311,834 | 1,836,555 | |||||||
AXA SA | 34,148 | 933,560 | |||||||
BNP Paribas SA | 24,559 | 1,390,138 | |||||||
Edenred SA | 26,316 | 495,820 | |||||||
Electricite de France SA | 434,206 | 6,378,660 | |||||||
Elis SA | 4,799 | 79,414 | |||||||
Engie SA (c) | 9,765 | 11 | |||||||
Eurazeo SA | 2,885 | 198,548 | |||||||
Eurofins Scientific | 2,560 | 893,139 | |||||||
Groupe Eurotunnel SE | 115,146 | 1,428,986 | |||||||
Iliad SA | 1,046 | 249,555 | |||||||
Imerys SA | 1,718 | 119,845 | |||||||
JCDecaux SA | 4,736 | 181,283 | |||||||
L’Oreal SA | 42,258 | 7,109,512 | |||||||
Legrand SA | 45,337 | 2,558,858 | |||||||
Neopost SA | 11,764 | 287,097 | |||||||
Renault SA | 4,177 | 418,724 | |||||||
Rothschild & Co | 8,423 | 214,968 | |||||||
SA des Ciments Vicat | 3,643 | 219,090 | |||||||
Sanofi SA | 51,705 | 4,411,769 | |||||||
Schneider Electric SE | 7,289 | 415,006 | |||||||
Societe BIC SA | 4,735 | 779,101 | |||||||
Societe Generale SA | 5,305 | 244,706 | |||||||
Technip SA | 2,720 | 134,357 | |||||||
Thales SA | 6,173 | 462,553 | |||||||
Total SA | 7,627 | 339,675 | |||||||
Vallourec SA | 8,969 | 83,265 | |||||||
Zodiac Aerospace | 11,086 | 264,239 | |||||||
33,718,197 | |||||||||
Georgia — 0.0% | |||||||||
Bank of Georgia Holdings plc | 47,558 | 1,332,540 |
Number of Shares | Value | ||||||||
Germany — 1.7% | |||||||||
Adidas AG | 79,576 | $ | 7,754,056 | ||||||
Alstria Office AG – REIT (a) | 559,334 | 7,460,101 | |||||||
Aurelius AG | 5,047 | 262,983 | |||||||
Axel Springer AG | 13,357 | 742,793 | |||||||
BASF SE | 20,226 | 1,546,273 | |||||||
Bayer AG | 3,007 | 377,262 | |||||||
Bayerische Motoren Werke AG | 14,000 | 1,474,459 | |||||||
Brenntag AG | 11,155 | 582,205 | |||||||
Commerzbank AG (a) | 15,110 | 156,441 | |||||||
Continental AG | 1,122 | 272,327 | |||||||
CTS Eventim AG | 15,075 | 601,394 | |||||||
Deutsche Bank AG | 7,433 | 182,436 | |||||||
Deutsche Telekom AG | 107,372 | 1,942,767 | |||||||
Deutz AG | 21,521 | 86,138 | |||||||
E.ON SE | 65,323 | 632,184 | |||||||
Fielmann AG | 3,851 | 283,184 | |||||||
Fresenius Medical Care AG & Co. | 28,925 | 2,436,982 | |||||||
GEA Group AG | 4,744 | 191,166 | |||||||
Gerresheimer AG | 2,391 | 187,010 | |||||||
Hannover Rueckversicherung AG | 2,172 | 248,953 | |||||||
Leoni AG | 3,523 | 138,422 | |||||||
SAP AG | 58,102 | 4,627,894 | |||||||
Symrise AG | 8,013 | 531,554 | |||||||
TAG Immobilien AG | 224,700 | 2,804,972 | |||||||
TLG Immobilien AG | 57,787 | 1,084,073 | |||||||
TUI AG | 60,578 | 1,074,736 | |||||||
TUI AG – Xetra Shares | 21,773 | 396,117 | |||||||
Vonovia SE | 1,344,675 | 41,650,913 | |||||||
Wacker Neuson SE | 38,852 | 597,209 | |||||||
zooplus AG (a) | 2,501 | 397,049 | |||||||
80,724,053 | |||||||||
Greece — 0.1% | |||||||||
Aegean Airlines SA | 32,566 | 241,549 | |||||||
Alpha Bank AE (a) | 11,346 | 30,546 | |||||||
Costamare, Inc. | 24,912 | 259,583 | |||||||
Diana Shipping, Inc. (a) | 351,662 | 1,529,730 | |||||||
Ellaktor SA (a) | 13,821 | 21,738 | |||||||
Hellenic Exchanges – Athens Stock Exchange SA Holdings | 40,352 | 232,185 | |||||||
Motor Oil Hellas Corinth Refineries SA | 116,160 | 1,254,311 | |||||||
OPAP SA | 91,715 | 806,382 | |||||||
Piraeus Bank SA (a) | 1,187 | 358 | |||||||
Safe Bulkers, Inc. | 519,789 | 421,029 | |||||||
Tsakos Energy Navigation, Ltd. | 154,802 | 1,226,032 | |||||||
6,023,443 | |||||||||
Hong Kong — 1.5% | |||||||||
AIA Group, Ltd. | 96,787 | 576,614 | |||||||
AMVIG Holdings, Ltd. | 14,000 | 5,810 | |||||||
CECEP COSTIN New Materials Group, Ltd. | 1,847,000 | 218,680 | |||||||
Cheung Kong Property Holdings, Ltd. | 631,484 | 4,102,085 | |||||||
China Everbright, Ltd. | 898,000 | 2,047,708 | |||||||
China High Speed Transmission Equipment Group Co., Ltd. (a) | 2,090,000 | 1,670,494 |
16
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2015 |
Number of Shares | Value | ||||||||
China Merchants Holdings International Co., Ltd. | 170,133 | $ | 537,445 | ||||||
China Mobile, Ltd. | 216,500 | 2,426,410 | |||||||
China Resources Power Holdings Co., Ltd. | 840,062 | 1,614,891 | |||||||
China South City Holdings, Ltd. | 1,034,000 | 229,873 | |||||||
CK Hutchison Holdings, Ltd. | 556,875 | 7,460,076 | |||||||
Dairy Farm International Holdings, Ltd. | 5,700 | 34,591 | |||||||
Dawnrays Pharmaceutical Holdings, Ltd. | 496,000 | 383,327 | |||||||
Esprit Holdings, Ltd. | 2,230,397 | 2,447,388 | |||||||
First Pacific Co., Ltd. | 370,000 | 245,082 | |||||||
Golden Meditech Holdings, Ltd. | 2,108,000 | 340,628 | |||||||
Guoco Group, Ltd. | 93,000 | 1,016,630 | |||||||
Hang Lung Properties, Ltd. | 1,061,700 | 2,408,015 | |||||||
Henderson Land Development Co., Ltd. | 32,724 | 199,205 | |||||||
Hong Kong & Shanghai Hotels, Ltd. (The) | 918,010 | 1,022,371 | |||||||
Hongkong Land Holdings Ltd. | 535,400 | 3,733,660 | |||||||
Hopewell Holdings, Ltd. | 977,000 | 3,502,574 | |||||||
Huabao International Holdings, Ltd. | 1,511,708 | 549,314 | |||||||
Hysan Development Co., Ltd. | 604,400 | 2,473,871 | |||||||
Jardine Matheson Holdings, Ltd. | 91,961 | 4,464,997 | |||||||
Jardine Strategic Holdings, Ltd. | 88,080 | 2,399,085 | |||||||
Ju Teng International Holdings, Ltd. | 1,192,000 | 566,265 | |||||||
Lee & Man Paper Manufacturing, Ltd. | 2,338,000 | 1,299,736 | |||||||
Man Wah Holdings, Ltd. | 482,129 | 564,435 | |||||||
Melco International Development, Ltd. | 3,940,000 | 5,864,530 | |||||||
Midland Holdings, Ltd. (a) | 2,700,437 | 1,087,864 | |||||||
New World Development, Ltd. | 1,613,523 | 1,585,296 | |||||||
Pacific Basin Shipping, Ltd. | 1,184,151 | 257,972 | |||||||
Real Nutriceutical Group, Ltd. | 5,702,000 | 588,590 | |||||||
Road King Infrastructure, Ltd. | 157,000 | 136,527 | |||||||
Seaspan Corp. | 82,954 | 1,311,503 | |||||||
Shangri-La Asia Ltd. | 2,700,900 | 2,647,164 | |||||||
Skyworth Digital Holdings, Ltd. | 2,774,000 | 1,794,094 | |||||||
SmarTone Telecommunications Holdings, Ltd. | 1,498,495 | 2,275,484 | |||||||
Stella International Holdings, Ltd. | 113,605 | 281,060 | |||||||
Swire Properties, Ltd. | 1,779,100 | 5,102,166 | |||||||
TCC International Holdings, Ltd. | 632,000 | 116,002 | |||||||
Television Broadcasts, Ltd. | 204,292 | 839,549 | |||||||
Tianjin Development Holdings, Ltd. | 492,000 | 295,220 | |||||||
Tianjin Port Development Holdings, Ltd. | 3,438,000 | 567,735 | |||||||
Truly International Holdings, Ltd. | 1,954,000 | 467,067 | |||||||
Wheelock & Co., Ltd. | 134,877 | 568,486 | |||||||
Yuexiu Transport Infrastructure, Ltd. | 660,000 | 412,943 | |||||||
74,740,512 | |||||||||
Hungary — 0.0% | |||||||||
OTP Bank plc | 23,285 | 480,160 | |||||||
India — 0.4% | |||||||||
Andhra Bank | 758,388 | 743,890 | |||||||
Axis Bank, Ltd. – GDR | 63,607 | 2,140,376 | |||||||
Dishman Pharmaceuticals & Chemicals, Ltd. | 182,722 | 936,679 |
Number of Shares | Value | ||||||||
FDC Ltd. | 20,209 | $ | 70,427 | ||||||
GHCL, Ltd. | 172,259 | 347,105 | |||||||
Grasim Industries, Ltd. | 5,487 | 309,883 | |||||||
Great Eastern Shipping Co., Ltd. (The) | 6,469 | 35,981 | |||||||
HCL Technologies, Ltd. | 39,771 | 514,669 | |||||||
Hindustan Petroleum Corp., Ltd. | 118,193 | 1,496,198 | |||||||
ICICI Bank, Ltd. | 44,673 | 175,012 | |||||||
Idea Cellular, Ltd. | 101,068 | 218,330 | |||||||
IFCI, Ltd. | 2,105,357 | 873,775 | |||||||
Infosys, Ltd. – SPADR | 61,100 | 1,023,425 | |||||||
Inox Leisure, Ltd. (a) | 21,724 | 77,945 | |||||||
JK Tyre & Industries, Ltd. | 93,942 | 157,002 | |||||||
Jubilant Life Sciences, Ltd. | 246,164 | 1,522,107 | |||||||
Karnataka Bank, Ltd. (The) | 587,099 | 1,079,964 | |||||||
LIC Housing Finance, Ltd. | 42,347 | 324,041 | |||||||
Man Industries India, Ltd. | 130,096 | 188,170 | |||||||
Manali Petrochemicals, Ltd. | 114,564 | 51,185 | |||||||
Manappuram Finance, Ltd. | 3,224,365 | 1,423,491 | |||||||
NIIT Technologies, Ltd. | 46,311 | 404,130 | |||||||
Rajesh Exports, Ltd. | 197,690 | 2,024,968 | |||||||
RSWM, Ltd. | 33,325 | 182,850 | |||||||
Rural Electrification Corp., Ltd. | 505,292 | 1,720,395 | |||||||
Srikalahasthi Pipes, Ltd. | 10,157 | 40,285 | |||||||
Syndicate Bank | 173,800 | 229,312 | |||||||
UCO Bank | 179,110 | 123,463 | |||||||
Uflex, Ltd. | 141,310 | 389,632 | |||||||
Union Bank of India | 821,327 | 1,824,050 | |||||||
Vardhman Textiles, Ltd. | 10,031 | 125,584 | |||||||
Zee Entertainment Enterprises, Ltd. | 42,274 | 278,972 | |||||||
21,053,296 | |||||||||
Indonesia — 0.1% | |||||||||
Adaro Energy Tbk PT | 10,813,900 | 398,497 | |||||||
Bank Mandiri Persero Tbk PT | 2,376,700 | 1,577,720 | |||||||
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT | 4,704,500 | 256,751 | |||||||
Bank Pembangunan Daerah Jawa Timur Tbk PT | 1,579,100 | 49,897 | |||||||
Elnusa Tbk PT | 3,922,400 | 69,639 | |||||||
Indo Tambangraya Megah Tbk PT | 538,100 | 222,015 | |||||||
Indosat Tbk PT (a) | 382,972 | 152,429 | |||||||
Salim Ivomas Pratama Tbk PT | 1,488,400 | 35,814 | |||||||
Tambang Batubara Bukit Asam Persero Tbk PT | 1,240,000 | 401,918 | |||||||
XL Axiata Tbk PT (a) | 2,166,000 | 571,067 | |||||||
3,735,747 | |||||||||
Ireland — 0.2% | |||||||||
Bank of Ireland (a) | 1,142,768 | 421,934 | |||||||
CRH plc | 5,208 | 151,168 | |||||||
CRH plc – BATS Europe Shares | 14,101 | 407,592 | |||||||
DCC plc | 14,519 | 1,205,614 | |||||||
Experian plc | 67,775 | 1,197,618 | |||||||
Governor & Co. of the Bank of Ireland (The) (a) | 4,422,433 | 1,620,816 | |||||||
Irish Bank Resolution Corp., Ltd. (a) (b) (c) | 38,180 | — | |||||||
Irish Continental Group plc | 76,772 | 453,692 | |||||||
Paddy Power plc | 15,337 | 2,048,273 |
17
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2015 |
Number of Shares | Value | ||||||||
Permanent TSB Group Holdings plc (a) | 125,348 | $ | 625,954 | ||||||
Ryanair Holdings plc – SPADR | 1,892 | 163,582 | |||||||
8,296,243 | |||||||||
Israel — 0.2% | |||||||||
Teva Pharmaceutical Industries, Ltd. – SPADR | 113,933 | 7,478,562 | |||||||
Italy — 0.6% | |||||||||
Banca IFIS SpA | 21,046 | 655,195 | |||||||
Banca Monte dei Paschi di Siena SpA (a) | 207,207 | 273,662 | |||||||
Banca Popolare dell’Emilia Romagna SC | 62,043 | 471,682 | |||||||
Banca Popolare di Milano Scarl | 1,655,412 | 1,630,612 | |||||||
Banco Popolare SC (a) | 117,080 | 1,605,460 | |||||||
Brembo SpA | 2,944 | 142,126 | |||||||
Credito Valtellinese SC (a) | 629,337 | 743,525 | |||||||
Davide Campari-Milano SpA | 20,831 | 179,362 | |||||||
Eni SpA | 184,410 | 2,731,878 | |||||||
ERG SpA | 101,012 | 1,357,824 | |||||||
Exor SpA | 132,089 | 5,977,872 | |||||||
Ferrari NV (a) | 43,569 | 2,091,312 | |||||||
Interpump Group SpA | 7,350 | 113,920 | |||||||
Intesa Sanpaolo SpA | 232,633 | 775,272 | |||||||
Luxottica Group SpA | 51,355 | 3,347,802 | |||||||
Luxottica Group SpA – SPADR | 4,764 | 308,993 | |||||||
Piaggio & C SpA (c) | 1,747,665 | 4,394,766 | |||||||
Saipem SpA (a) | 69,777 | 560,906 | |||||||
Tamburi Investment Partners SpA | 136,642 | 500,206 | |||||||
Telecom Italia SpA (a) | 385,058 | 485,333 | |||||||
UniCredit SpA | 284,096 | 1,564,791 | |||||||
Unione di Banche Italiane SpA | 73,867 | 490,589 | |||||||
30,403,088 | |||||||||
Japan — 9.2% | |||||||||
Alfresa Holdings Corp. | 73,900 | 1,461,917 | |||||||
Asahi Diamond Industrial Co., Ltd. | 1,625,100 | 17,436,426 | |||||||
Asatsu-DK, Inc. | 322,200 | 7,803,257 | |||||||
Ashikaga Holdings Co., Ltd. | 97,286 | 378,508 | |||||||
Astellas Pharma, Inc. | 10,600 | 150,565 | |||||||
Azbil Corp. | 652,100 | 16,700,243 | |||||||
Bank of Yokohama, Ltd. (The) | 67,000 | 410,101 | |||||||
BML, Inc. | 517,100 | 15,523,247 | |||||||
Bridgestone Corp. | 22,538 | 771,743 | |||||||
Canon, Inc. | 82,400 | 2,497,487 | |||||||
Chiba Bank, Ltd. (The) | 71,000 | 503,385 | |||||||
Coca-Cola East Japan Co., Ltd. | 32,920 | 529,276 | |||||||
Cosmos Pharmaceutical Corp. | 4,990 | 786,011 | |||||||
CyberAgent, Inc. | 6,307 | 260,505 | |||||||
Dai-ichi Life Insurance Co., Ltd. (The) | 133,800 | 2,220,112 | |||||||
Daibiru Corp. | 288,600 | 2,381,834 | |||||||
Daiichikosho Co., Ltd. | 596,000 | 23,590,904 | |||||||
Dainippon Sumitomo Pharma Co., Ltd. | 75,400 | 887,198 | |||||||
Daiwa Securities Group, Inc. | 111,210 | 679,941 | |||||||
Dentsu, Inc. | 7,500 | 410,530 | |||||||
DMG Mori Co., Ltd. | 16,900 | 196,266 | |||||||
Duskin Co., Ltd. | 82,000 | 1,490,441 |
Number of Shares | Value | |||||||
East Japan Railway Co. | 21,400 | $ | 2,011,219 | |||||
Fuji Media Holdings, Inc. | 61,100 | 720,366 | ||||||
FUJIFILM Holdings Corp. | 77,900 | 3,244,588 | ||||||
Fujitsu, Ltd. | 221,000 | 1,099,998 | ||||||
GLP J – REIT | 2,600 | 2,515,376 | ||||||
Hakuhodo DY Holdings, Inc. | 1,201,200 | 12,980,972 | ||||||
Hitachi, Ltd. | 367,525 | 2,079,336 | ||||||
Hogy Medical Co., Ltd. | 391,200 | 19,648,579 | ||||||
Honda Motor Co., Ltd. | 174,800 | 5,600,861 | ||||||
Hoshizaki Electric Co., Ltd. | 259,000 | 16,097,404 | ||||||
Isetan Mitsukoshi Holdings, Ltd. | 48,600 | 632,331 | ||||||
Japan Airlines Co., Ltd. | 57,822 | 2,070,691 | ||||||
Japan Digital Laboratory Co., Ltd. | 79,800 | 1,083,449 | ||||||
Japan Display, Inc. (a) | 37,842 | 109,405 | ||||||
Japan Post Holdings Co., Ltd. (a) | 81,500 | 1,264,591 | ||||||
Japan Rental Housing Investments, Inc. – REIT | 2,200 | 1,552,910 | ||||||
Japan Steel Works, Ltd. (The) | 1,847,000 | 6,467,676 | ||||||
Japan Tobacco, Inc. | 32,559 | 1,195,473 | ||||||
JFE Holdings, Inc. | 64,600 | 1,015,363 | ||||||
kabu.com Securities Co., Ltd. | 33,600 | 104,687 | ||||||
Kamigumi Co., Ltd. | 103,000 | 886,605 | ||||||
Kao Corp. | 30,700 | 1,575,413 | ||||||
Kinden Corp. | 8,000 | 101,999 | ||||||
Kirin Holdings Co., Ltd. | 136,000 | 1,840,271 | ||||||
Kurita Water Industries, Ltd. | 839,900 | 17,583,724 | ||||||
LIXIL Group Corp. | 52,581 | 1,166,979 | ||||||
Makita Corp. | 25,000 | 1,436,733 | ||||||
Marui Group Co., Ltd. | 65,500 | 1,064,212 | ||||||
Miraca Holdings, Inc. | 301,000 | 13,274,271 | ||||||
Mitsubishi Corp. | 217,300 | 3,610,100 | ||||||
Mitsubishi Estate Co., Ltd. | 97,344 | 2,017,643 | ||||||
Mitsubishi Heavy Industries, Ltd. | 187,000 | 816,821 | ||||||
Mitsubishi Logistics Corp. | 44,000 | 580,341 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 171,860 | 1,063,623 | ||||||
Mitsui & Co., Ltd. | 514,100 | 6,105,865 | ||||||
Mitsui Fudosan Co., Ltd. | 192,600 | 4,826,069 | ||||||
Mizuho Financial Group, Inc. | 963,100 | 1,922,573 | ||||||
MS&AD Insurance Group Holdings | 84,472 | 2,470,332 | ||||||
Nakanishi, Inc. | 385,100 | 15,039,539 | ||||||
Namco Bandai Holdings, Inc. | 1,014,800 | 21,323,000 | ||||||
NEC Corp. | 171,000 | 543,145 | ||||||
Nintendo Co., Ltd. | 6,200 | 853,503 | ||||||
Nippon Building Fund, Inc. | 1,700 | 8,120,052 | ||||||
Nippon Meat Packers, Inc. | 19,000 | 372,638 | ||||||
Nippon Suisan Kaisha, Ltd. | 98,100 | 544,973 | ||||||
Nippon Telegraph & Telephone Corp. | 88,900 | 3,529,493 | ||||||
Nippon Television Holdings, Inc. | 12,120 | 220,572 | ||||||
NKSJ Holdings, Inc. | 26,600 | 870,067 | ||||||
Nomura Holdings, Inc. | 117,200 | 651,362 | ||||||
NTT Data Corp. | 40,100 | 1,937,128 | ||||||
NTT Urban Development Corp. | 39,500 | 379,581 | ||||||
Obayashi Corp. | 205,000 | 1,891,267 | ||||||
Onward Holdings Co., Ltd. | 59,000 | 361,985 | ||||||
Organo Corp. | 538,000 | 2,120,571 | ||||||
Otsuka Holdings Co., Ltd. | 23,900 | 845,502 | ||||||
Rakuten, Inc. | 35,851 | 413,154 |
18
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2015 |
Number of Shares | Value | ||||||||
Resona Holdings, Inc. | 335,900 | $ | 1,630,412 | ||||||
Rinnai Corp. | 18,500 | 1,637,856 | |||||||
Sanrio Co., Ltd. | 170,700 | 3,996,460 | |||||||
Sanshin Electronics Co., Ltd. | 71,400 | 745,102 | |||||||
Secom Co., Ltd. | 290,500 | 19,658,018 | |||||||
Sega Sammy Holdings, Inc. | 6,900 | 64,436 | |||||||
Sekisui House, Ltd. | 5,000 | 84,021 | |||||||
Seven & I Holdings Co., Ltd. | 52,500 | 2,393,760 | |||||||
Seven Bank, Ltd. | 1,752,300 | 7,670,204 | |||||||
Shimizu Corp. | 60,000 | 488,909 | |||||||
Shiseido Co., Ltd. | 27,400 | 566,992 | |||||||
SK Kaken Co., Ltd. | 64,000 | 6,076,358 | |||||||
SoftBank Group Corp. | 49,200 | 2,479,402 | |||||||
Square Enix Holdings Co., Ltd. | 51,643 | 1,245,576 | |||||||
Sumitomo Chemical Co., Ltd. | 365,000 | 2,094,815 | |||||||
Sumitomo Electric Industries, Ltd. | 39,300 | 553,752 | |||||||
Sumitomo Forestry Co., Ltd. | 20,800 | 280,086 | |||||||
Sumitomo Mitsui Financial Group, Inc. | 51,700 | 1,950,243 | |||||||
Sumitomo Mitsui Trust Holdings, Inc. | 239,747 | 905,127 | |||||||
Sumitomo Realty & Development Co., Ltd. | 161,000 | 4,587,364 | |||||||
Takeda Pharmaceutical Co., Ltd. | 76,600 | 3,813,409 | |||||||
Toei Co., Ltd. | 1,255,000 | 12,287,426 | |||||||
Tohoku Electric Power Co., Inc. | 75,900 | 948,830 | |||||||
TOKAI Corp. – Gifu | 243,200 | 6,949,179 | |||||||
Tokyo Electron, Ltd. | 13,300 | 798,174 | |||||||
Toyo Seikan Kaisha Group Holdings, Ltd. | 64,500 | 1,193,094 | |||||||
Toyo Suisan Kaisha, Ltd. | 21,000 | 730,979 | |||||||
Toyo Tire & Rubber Co., Ltd. | 15,701 | 309,608 | |||||||
Toyota Industries Corp. | 21,874 | 1,168,988 | |||||||
Toyota Motor Corp. | 76,867 | 4,718,100 | |||||||
TV Asahi Holdings Corp. | 608,300 | 10,504,121 | |||||||
Wacoal Holdings Corp. | 1,042,000 | 12,444,262 | |||||||
West Japan Railway Co. | 39,900 | 2,752,237 | |||||||
Yahoo Japan Corp. | 4,676,400 | 19,005,184 | |||||||
Yamada Denki Co., Ltd. | 86,100 | 372,346 | |||||||
Yamato Holdings Co., Ltd. | 51,900 | 1,099,995 | |||||||
ZOJIRUSHI Corp. | 356,000 | 5,046,824 | |||||||
444,177,927 | |||||||||
Lebanon — 0.0% | |||||||||
Solidere – GDR | 43,856 | 460,488 | |||||||
Luxembourg — 0.2% | |||||||||
ArcelorMittal SA – EN Amsterdam Shares | 44,944 | 187,794 | |||||||
Kernel Holding SA | 68,562 | 839,073 | |||||||
MHP SA – GDR | 408,978 | 3,803,495 | |||||||
Millicom International Cellular SA | 27,085 | 1,542,699 | |||||||
O’Key Group SA – GDR (c) | 417,023 | 834,046 | |||||||
7,207,107 | |||||||||
Malaysia — 0.3% | |||||||||
AirAsia Berhad | 6,831,935 | 2,047,472 | |||||||
AMMB Holdings Berhad | 1,319,500 | 1,389,899 | |||||||
Berjaya Sports Toto Berhad | 256,269 | 182,100 | |||||||
Genting Berhad | 2,237,400 | 3,812,246 |
Number of Shares | Value | ||||||||
Genting Malaysia Berhad | 1,217,811 | $ | 1,240,373 | ||||||
Heveaboard Berhad | 1,200,100 | 451,291 | |||||||
Hong Leong Financial Group Berhad | 68,927 | 223,395 | |||||||
Matrix Concepts Holdings Berhad | 131,100 | 76,019 | |||||||
OSK Holdings Berhad | 531,550 | 201,725 | |||||||
Padini Holdings Berhad | 397,400 | 173,099 | |||||||
Pharmaniaga Berhad (c) | 47,200 | 69,942 | |||||||
Protasco Berhad | 222,800 | 83,409 | |||||||
Supermax Corp. Berhad | 615,100 | 463,627 | |||||||
Teo Seng Capital Berhad | 48,300 | 16,961 | |||||||
Top Glove Corp. Berhad | 903,400 | 2,856,605 | |||||||
13,288,163 | |||||||||
Mexico — 0.2% | |||||||||
Alpek SAB de CV | 45,900 | 64,185 | |||||||
America Movil SAB de CV, Series L – ADR | 123,761 | 1,740,080 | |||||||
Cemex SAB de CV – SPADR (a) | 306,299 | 1,706,085 | |||||||
Consorcio ARA SAB de CV, Series C | 1,774,093 | 617,631 | |||||||
Controladora Vuela Cia de Aviacion SAB de CV – ADR (a) | 23,896 | 410,055 | |||||||
Fibra Uno Administracion SA de CV – REIT | 993,800 | 2,190,633 | |||||||
Grupo Aeroportuario del Centro Norte Sab de CV – ADR (a) | 20,568 | 790,840 | |||||||
Grupo Aeroportuario del Pacifico SAB de CV – ADR | 1,969 | 173,823 | |||||||
Grupo Carso SAB de CV, Series A | 162,274 | 677,927 | |||||||
Grupo Comercial Chedraui SA de CV | 418,401 | 1,107,757 | |||||||
Grupo Herdez SAB de CV, Series C | 87,328 | 222,393 | |||||||
Industrias Bachoco SAB de CV – ADR | 1,724 | 84,872 | |||||||
Megacable Holdings SAB de CV (UNIT) | 74,678 | 277,272 | |||||||
Prologis Property Mexico SA de CV – REIT (a) | 218,300 | 330,594 | |||||||
10,394,147 | |||||||||
Netherlands — 0.7% | |||||||||
Akzo Nobel NV | 18,808 | 1,256,252 | |||||||
ASML Holding NV | 2,903 | 258,705 | |||||||
Astarta Holding NV (a) | 107,819 | 948,418 | |||||||
Boskalis Westminster NV – CVA | 21,443 | 873,531 | |||||||
Delta Lloyd NV | 8,368 | 49,156 | |||||||
HAL Trust | 3,539 | 633,232 | |||||||
Heineken Holding NV | 3,271 | 250,757 | |||||||
Heineken NV | 21,294 | 1,817,410 | |||||||
Koninklijke (Royal) KPN NV | 541,182 | 2,043,520 | |||||||
Koninklijke (Royal) Philips Electronics NV | 513,366 | 13,052,545 | |||||||
Koninklijke Ahold NV | 145,720 | 3,076,602 | |||||||
OCI NV (a) | 88,551 | 2,179,991 | |||||||
Randstad Holding NV | 3,545 | 220,516 | |||||||
Royal Dutch Shell plc, Class A – BATS Europe Shares | 948 | 21,298 | |||||||
Royal Dutch Shell plc, Class A – Quote MTF Shares | 32,494 | 744,398 | |||||||
Royal Dutch Shell plc, Class B | 49,495 | 1,130,183 | |||||||
Yandex NV (a) | 372,702 | 5,858,875 | |||||||
34,415,389 |
19
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2015 |
Number of Shares | Value | ||||||||
New Zealand — 0.0% | |||||||||
Spark New Zealand, Ltd. | 62,464 | $ | 140,787 | ||||||
Norway — 0.0% | |||||||||
DNB ASA | 29,575 | 363,974 | |||||||
Schibsted ASA, Class A | 12,212 | 400,821 | |||||||
Schibsted ASA, Class B (a) | 12,212 | 387,651 | |||||||
StatoilHydro ASA | 35,544 | 497,129 | |||||||
1,649,575 | |||||||||
Pakistan — 0.0% | |||||||||
DG Khan Cement Co., Ltd. | 608,000 | 854,352 | |||||||
Hub Power Co., Ltd. (The) | 105,000 | 102,642 | |||||||
Pakistan Oilfields, Ltd. | 83,000 | 213,686 | |||||||
Pakistan Telecommunication Co., Ltd. | 205,000 | 32,270 | |||||||
Pioneer Cement, Ltd. | 100,500 | 86,730 | |||||||
1,289,680 | |||||||||
Panama — 0.0% | |||||||||
Copa Holdings SA | 4,702 | 226,918 | |||||||
Peru — 0.0% | |||||||||
Cia de Minas Buenaventura SA – ADR (a) | 130,788 | 559,773 | |||||||
Philippines (The) — 0.3% | |||||||||
ABS-CBN Holdings Corp. – PDR | 2,395,840 | 3,187,983 | |||||||
Ayala Corp. | 124,006 | 1,988,065 | |||||||
Cosco Capital, Inc. | 1,136,300 | 197,616 | |||||||
DMCI Holdings, Inc. | 1,430,984 | 418,358 | |||||||
Energy Development Corp. | 16,609,100 | 2,179,826 | |||||||
Jollibee Foods Corp. | 121,127 | 563,034 | |||||||
Lopez Holdings Corp. (c) | 12,355,467 | 1,730,565 | |||||||
Philippine Long Distance Telephone Co. – SPADR | 35,300 | 1,509,075 | |||||||
SM Investments Corp. | 36,125 | 661,675 | |||||||
12,436,197 | |||||||||
Poland — 0.0% | |||||||||
Bank Pekao SA | 10,616 | 387,102 | |||||||
Cyfrowy Polsat SA (a) | 32,502 | 172,524 | |||||||
559,626 | |||||||||
Russia — 0.8% | |||||||||
Acron JSC (a) (b) | 2,913 | 150,852 | |||||||
Aeroflot – Russian Airlines PJSC (a) (b) | 617,500 | 473,858 | |||||||
Aeroflot – Russian Airlines PJSC MOEX (a) | 309,629 | 237,604 | |||||||
CTC Media, Inc. | 11,849 | 21,921 | |||||||
Etalon Group, Ltd. – GDR | 761,837 | 1,363,688 | |||||||
Federal Grid Co. Unified Energy System PJSC (a) (b) | 4,843,007,830 | 3,888,935 | |||||||
Gazprom – SPADR | 53,663 | 198,928 | |||||||
Gazprom PAO (b) | 626,286 | 1,168,326 | |||||||
Gazprom PAO – SPADR | 1,997,645 | 7,331,357 | |||||||
Global Ports Investments plc – GDR (a) (c) | 403,439 | 1,311,177 | |||||||
Globaltrans Investment plc – SPGDR (a) | 72,288 | 328,910 | |||||||
Highland Gold Mining, Ltd. | 643,313 | 540,642 | |||||||
LSR Group PJSC – GDR | 16,313 | 32,498 | |||||||
Lukoil PJSC – SPADR | 82,867 | 2,654,954 |
Number of Shares | Value | ||||||||
MD Medical Group Investments plc – GDR | 6,137 | $ | 32,219 | ||||||
MMC Norilsk Nickel PJSC – ADR | 5,327 | 67,104 | |||||||
Mobile Telesystems PJSC (b) | 439,423 | 1,263,147 | |||||||
Moscow Exchange MICEX-RTS PJSC (b) | 1,203,892 | 1,507,791 | |||||||
NOVATEK OAO – GDR | 1,361 | 111,567 | |||||||
Protek OJSC (a) (b) (c) | 832,753 | 697,516 | |||||||
Rosneft Oil Co. – GDR | 32,719 | 113,436 | |||||||
Rushydro PJSC – ADR | 6,616,921 | 6,285,195 | |||||||
Sberbank PAO – SPADR – LSE Shares | 342,435 | 1,982,699 | |||||||
Sberbank PAO – SPADR – OTC Shares | 1,198,562 | 6,990,938 | |||||||
Sistema JSFC – SPGDR – LSE Shares (e) | 22,381 | 131,988 | |||||||
38,887,250 | |||||||||
Singapore — 0.3% | |||||||||
China Xlx Fertiliser, Ltd. | 788,000 | 316,908 | |||||||
China Yuchai International, Ltd. | 14,338 | 154,277 | |||||||
DBS Group Holdings, Ltd. | 5,882 | 68,863 | |||||||
GL, Ltd. | 112,200 | 69,174 | |||||||
Golden Agri-Resources, Ltd. | 16,263,800 | 3,874,533 | |||||||
Great Eastern Holdings, Ltd. | 69,410 | 990,731 | |||||||
Haw Par Corp., Ltd. | 5,900 | 34,385 | |||||||
SembCorp Industries, Ltd. | 920,900 | 1,970,590 | |||||||
Singapore Technologies Engineering, Ltd. | 1,411,600 | 2,980,537 | |||||||
Singapore Telecommunications, Ltd. | 948,400 | 2,440,779 | |||||||
United Overseas Bank, Ltd. | 173,814 | 2,392,842 | |||||||
15,293,619 | |||||||||
South Africa — 0.3% | |||||||||
African Bank Investments, Ltd. (a) (b) (c) | 3,640,881 | — | |||||||
Anglo American Platinum, Ltd. (a) | 23,910 | 283,557 | |||||||
Astral Foods, Ltd. | 40,853 | 306,007 | |||||||
Discovery Holdings, Ltd. | 17,425 | 149,381 | |||||||
Gold Fields, Ltd. | 12,412 | 34,373 | |||||||
Grindrod, Ltd. | 700,790 | 511,156 | |||||||
Hosken Consolidated Investments, Ltd. | 153,325 | 1,142,676 | |||||||
Impala Platinum Holdings, Ltd. (a) | 1,139,369 | 1,830,731 | |||||||
Imperial Holdings, Ltd. | 150,331 | 1,149,878 | |||||||
Lewis Group, Ltd. | 70,697 | 250,040 | |||||||
Liberty Holdings, Ltd. | 171,568 | 1,277,104 | |||||||
Montauk Holdings, Ltd. (a) | 184,042 | 123,562 | |||||||
MTN Group, Ltd. | 123,033 | 1,054,739 | |||||||
Naspers, Ltd. | 2,175 | 297,378 | |||||||
Niveus Investments, Ltd. | 112,923 | 145,333 | |||||||
Raubex Group, Ltd. | 125,902 | 137,034 | |||||||
Remgro, Ltd. | 44,983 | 712,619 | |||||||
Reunert, Ltd. | 141,993 | 627,619 | |||||||
Santam, Ltd. | 11,035 | 135,365 | |||||||
Sibanye Gold, Ltd. | 919,940 | 1,386,441 | |||||||
Standard Bank Group, Ltd. | 191,388 | 1,398,614 | |||||||
Telkom SA SOC, Ltd. | 114,543 | 472,572 | |||||||
13,426,179 |
20
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2015 |
Number of Shares | Value | ||||||||
South Korea — 1.6% | |||||||||
ASIA Holdings Co., Ltd. (a) | 1,180 | $ | 102,403 | ||||||
Avatec Co., Ltd. (a) | 32,814 | 186,391 | |||||||
C&S Asset Management Co., Ltd. | 10,093 | 45,584 | |||||||
Chungdahm Learning, Inc. | 2,031 | 20,883 | |||||||
CJ Hellovision Co., Ltd. (a) | 43,740 | 468,488 | |||||||
CJ O Shopping Co., Ltd. (a) | 2,936 | 475,971 | |||||||
Crown Confectionery Co., Ltd. (a) | 1,884 | 862,231 | |||||||
Daewon Pharmaceutical Co., Ltd. (a) | 18,103 | 269,956 | |||||||
Daou Data Corp. (a) | 69,612 | 915,459 | |||||||
Daou Technology, Inc. (a) | 114,901 | 2,106,267 | |||||||
DK UIL Co., Ltd. (a) | 21,086 | 220,131 | |||||||
Dongbu HiTek Co., Ltd. (a) | 15,329 | 184,204 | |||||||
Doosan Corp. (a) | 10,642 | 799,552 | |||||||
DY Corp. (a) | 56,546 | 335,133 | |||||||
e-LITECOM Co., Ltd. (a) | 26,848 | 376,991 | |||||||
Easy Bio, Inc. (a) | 357,567 | 1,715,631 | |||||||
Global & Yuasa Battery Co., Ltd. (a) | 12,518 | 434,608 | |||||||
GS Holdings Corp. (a) | 19,118 | 818,222 | |||||||
GS Home Shopping, Inc. (a) | 3,125 | 444,015 | |||||||
GS Retail Co., Ltd. (a) | 43,433 | 1,981,387 | |||||||
Hana Financial Group, Inc. | 138,442 | 2,772,553 | |||||||
Hanwha Chemical Corp. (a) | 85,895 | 1,972,153 | |||||||
Hanwha Corp. (a) | 31,740 | 1,051,212 | |||||||
Hite Jinro Co., Ltd. (a) | 49,090 | 975,397 | |||||||
HS R&A Co., Ltd. (a) | 7,776 | 256,054 | |||||||
HwaSung Industrial Co., Ltd. (a) | 23,759 | 242,106 | |||||||
Hyundai Engineering Plastics Co, Ltd. (a) | 12,600 | 117,219 | |||||||
Hyundai Marine & Fire Insurance Co., Ltd. (a) | 38,689 | 1,187,056 | |||||||
Hyundai Mobis Co., Ltd. (a) | 11,338 | 2,366,247 | |||||||
Hyundai Motor Co. | 53,484 | 6,739,274 | |||||||
Il Dong Pharmaceutical Co., Ltd. (a) | 72,525 | 1,545,069 | |||||||
Interpark Holdings Corp. (a) | 102,893 | 956,106 | |||||||
KB Financial Group, Inc. (a) | 79,044 | 2,220,825 | |||||||
Kia Motors Corp. (a) | 7,083 | 315,518 | |||||||
Komelon Corp. | 51,717 | 366,102 | |||||||
Korea United Pharm, Inc. (a) | 11,364 | 167,280 | |||||||
Korean Reinsurance Co. (a) | 5,304 | 63,696 | |||||||
KT Corp. (a) | 228,989 | 5,502,590 | |||||||
KT Corp. – SPADR | 197,270 | 2,349,486 | |||||||
KT Skylife Co., Ltd. (a) | 19,763 | 290,136 | |||||||
LG Corp. (a) | 19,115 | 1,145,025 | |||||||
LG Uplus Corp. (a) | 250,420 | 2,209,598 | |||||||
Lotte Shopping Co., Ltd. (a) | 19,045 | 3,739,205 | |||||||
Mcnex Co., Ltd. (a) | 8,776 | 227,579 | |||||||
Moorim Paper Co., Ltd. (a) (c) | 106,844 | 274,592 | |||||||
Nice Total Cash Management Co., Ltd., Class C (a) | 15,927 | 86,379 | |||||||
OCI Materials Co., Ltd. (a) | 19,142 | 1,884,865 | |||||||
Pulmuone Co., Ltd. (a) | 3,169 | 499,717 | |||||||
S-1 Corp. (a) | 22,732 | 1,918,896 | |||||||
Samjin Pharmaceutical Co., Ltd. (a) | 22,938 | 451,353 | |||||||
Samsung Electronics Co., Ltd. | 7,391 | 7,892,343 | |||||||
Samsung SDI Co., Ltd. (a) | 693 | 66,545 | |||||||
Sebang Co., Ltd. (a) | 1,883 | 26,946 |
Number of Shares | Value | ||||||||
Shinhan Financial Group Co., Ltd. (a) | 175,100 | $ | 5,893,408 | ||||||
Shinsegae Engineering & Construction Co., Ltd. (a) | 8,695 | 309,313 | |||||||
Simmtech Holdings Co., Ltd. (a) | 167,910 | 351,230 | |||||||
SK Hynix, Inc. (a) | 85,129 | 2,197,750 | |||||||
SK Telecom Co., Ltd. | 9,318 | 1,708,047 | |||||||
Tongyang Life Insurance Co., Ltd. (a) | 56,604 | 559,563 | |||||||
UniTest, Inc. | 15,138 | 113,357 | |||||||
WiSoL Co., Ltd. | 41,854 | 552,236 | |||||||
Wooree Lighting Co., Ltd. (a) | 79,146 | 235,392 | |||||||
YeaRimDang Publishing Co., Ltd. (a) | 80,730 | 339,951 | |||||||
Yuhan Corp. (a) | 7,220 | 1,669,561 | |||||||
78,572,437 | |||||||||
Spain — 0.4% | |||||||||
Abengoa SA | 42,731 | 18,889 | |||||||
Acerinox SA | 50,344 | 510,570 | |||||||
Amadeus IT Holding SA, Class A | 184,157 | 8,109,035 | |||||||
Banco Bilbao Vizcaya Argentaria SA | 22,152 | 161,545 | |||||||
Banco Santander SA | 48,933 | 240,238 | |||||||
Fomento de Construcciones y Contratas SA (a) | 70,394 | 533,304 | |||||||
Grifols SA | 10,182 | 468,737 | |||||||
Iberdrola SA | 415,290 | 2,944,123 | |||||||
Inditex SA | 40,686 | 1,396,191 | |||||||
Inmobiliaria Colonial SA (a) | 83,928 | 58,295 | |||||||
Inmobiliaria del Sur SA | 9,609 | 81,185 | |||||||
Mediaset Espana Comunicacion SA | 41,620 | 450,782 | |||||||
Realia Business SA (a) | 1,106,378 | 916,993 | |||||||
Telefonica SA | 228,936 | 2,526,915 | |||||||
Viscofan SA | 15,189 | 916,392 | |||||||
19,333,194 | |||||||||
Sweden — 0.4% | |||||||||
Assa Abloy AB | 171,687 | 3,595,930 | |||||||
Investment Kinnevik AB | 5,024 | 154,011 | |||||||
Investor AB, Class B | 15,073 | 554,569 | |||||||
Modern Times Group AB, Class B | 14,192 | 362,108 | |||||||
Nordea Bank AB | 44,281 | 483,179 | |||||||
Sandvik AB | 42,576 | 368,759 | |||||||
Svenska Handelsbanken AB | 151,779 | 2,003,476 | |||||||
Swedish Match AB | 10,817 | 382,700 | |||||||
Telefonaktiebolaget LM Ericsson, Class B | 553,664 | 5,363,179 | |||||||
TeliaSonera AB | 797,920 | 3,967,878 | |||||||
17,235,789 | |||||||||
Switzerland — 0.7% | |||||||||
ABB, Ltd. – SIX Swiss Exchange (a) | 229,364 | 4,071,221 | |||||||
Adecco SA (a) | 16,573 | 1,137,965 | |||||||
Cie Financiere Richemont SA | 20,126 | 1,445,718 | |||||||
Garmin, Ltd. | 11,742 | 436,450 | |||||||
Geberit AG | 5,833 | 1,961,918 | |||||||
Glencore Xstrata plc (a) | 276,336 | 367,685 | |||||||
Helvetia Holding AG | 325 | 183,004 | |||||||
LafargeHolcim, Ltd. (a) | 111,417 | 5,638,641 | |||||||
Logitech International SA | 40,899 | 626,064 | |||||||
Luxoft Holding, Inc. (a) | 2,175 | 167,758 | |||||||
Nestle SA | 46,547 | 3,450,234 |
21
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2015 |
Number of Shares | Value | ||||||||
Novartis AG | 49,783 | $ | 4,255,281 | ||||||
Oriflame Holding AG (a) | 2,064 | 33,146 | |||||||
Pargesa Holding SA | 6,868 | 432,679 | |||||||
Roche Holding AG | 11,726 | 3,231,546 | |||||||
Sonova Holding AG | 4,632 | 588,015 | |||||||
Syngenta AG | 11,116 | 4,363,075 | |||||||
UBS Group AG | 62,682 | 1,206,246 | |||||||
Zurich Insurance Group AG (a) | 6,600 | 1,684,052 | |||||||
35,280,698 | |||||||||
Taiwan — 1.0% | |||||||||
Ability Enterprise Co., Ltd. (a) | 123,000 | 87,181 | |||||||
AcBel Polytech, Inc. | 295,000 | 206,754 | |||||||
Accton Technology Corp. | 333,000 | 321,644 | |||||||
Alpha Networks, Inc. | 707,000 | 364,439 | |||||||
Apex Biotechnology Corp. | 55,000 | 78,521 | |||||||
Ardentec Corp. | 903,000 | 649,667 | |||||||
Basso Industry Corp. | 510,000 | 965,980 | |||||||
Boardtek Electronics Corp. | 1,064,000 | 1,077,244 | |||||||
Charoen Pokphand Enterprise | 316,000 | 220,885 | |||||||
Cheng Loong Corp. | 343,000 | 118,371 | |||||||
Chia Chang Co., Ltd. | 52,000 | 39,331 | |||||||
Chimei Materials Technology Corp. | 309,000 | 190,748 | |||||||
China Man-Made Fiber Corp. (a) | 398,000 | 103,655 | |||||||
China Metal Products | 86,000 | 68,644 | |||||||
ChipMOS TECHNOLOGIES Bermuda, Ltd. | 56,135 | 1,111,473 | |||||||
Chlitina Holding, Ltd. | 10,000 | 104,340 | |||||||
Chroma ATE, Inc. | 411,000 | 796,194 | |||||||
Cleanaway Co., Ltd. | 86,000 | 456,195 | |||||||
Compeq Manufacturing Co., Ltd. | 2,450,000 | 1,634,929 | |||||||
Delta Electronics, Inc. | 542,043 | 2,543,950 | |||||||
Dynapack International Technology Corp. | 182,000 | 266,451 | |||||||
Elite Material Co., Ltd. | 135,000 | 234,893 | |||||||
Eurocharm Holdings Co, Ltd. | 94,900 | 289,114 | |||||||
Farglory Land Development Co., Ltd. | 492,000 | 511,670 | |||||||
Getac Technology Corp. | 1,564,000 | 949,873 | |||||||
Global Lighting Technologies, Inc. | 206,000 | 464,242 | |||||||
Grand Ocean Retail Group, Ltd. | 365,000 | 307,630 | |||||||
Great Wall Enterprise Co., Ltd. | 276,000 | 173,277 | |||||||
Holiday Entertainment Co., Ltd. | 222,000 | 360,787 | |||||||
Hon Hai Precision Industry Co., Ltd. – GDR | 64,755 | 329,331 | |||||||
Hong YI Fiber Industry Co. | 1,729,000 | 1,224,890 | |||||||
Huang Hsiang Construction Corp. | 76,000 | 56,339 | |||||||
Hung Poo Real Estate Development Corp. | 95,000 | 61,718 | |||||||
I-Sheng Electric Wire & Cable Co., Ltd. | 26,000 | 26,622 | |||||||
Innolux Corp. | 6,866,000 | 2,058,613 | |||||||
ITEQ Corp. | 153,000 | 102,711 | |||||||
KEE TAI Properties Co., Ltd. | 599,000 | 287,814 | |||||||
Kindom Construction Corp. | 890,000 | 444,252 | |||||||
King Yuan Electronics Co., Ltd. | 778,000 | 507,600 | |||||||
Lemtech Holdings Co., Ltd. | 97,000 | 255,992 | |||||||
Longwell Co. | 119,000 | 104,559 | |||||||
MediaTek, Inc. | 204,000 | 1,541,701 |
Number of Shares | Value | ||||||||
Mega Financial Holding Co., Ltd. | 2,559,167 | $ | 1,646,932 | ||||||
Micro-Star International Co., Ltd. | 603,000 | 856,940 | |||||||
Microlife Corp. | 14,000 | 37,639 | |||||||
Mirle Automation Corp. | 172,000 | 183,420 | |||||||
Netronix, Inc. | 162,000 | 285,387 | |||||||
Powertech Technology, Inc. | 615,000 | 1,212,020 | |||||||
Sampo Corp. | 464,000 | 167,905 | |||||||
SCI Pharmtech, Inc. | 167,000 | 470,459 | |||||||
ShenMao Technology, Inc. | 19,000 | 13,344 | |||||||
Shieh Yih Machinery Industry Co., Ltd. | 99,000 | 36,097 | |||||||
Shin Zu Shing Co., Ltd. | 114,000 | 437,670 | |||||||
St Shine Optical Co., Ltd. | 79,000 | 1,578,105 | |||||||
Sunrex Technology Corp. | 778,426 | 370,170 | |||||||
TaiDoc Technology Corp. | 126,000 | 405,541 | |||||||
Taiflex Scientific Co., Ltd. | 343,000 | 394,018 | |||||||
Taiwan PCB Techvest Co., Ltd. | 466,000 | 461,118 | |||||||
Taiwan Semiconductor Co., Ltd. | 380,000 | 395,862 | |||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 1,829,229 | 7,893,263 | |||||||
Taiwan Semiconductor Manufacturing Co., Ltd. – SPADR | 77,782 | 1,769,541 | |||||||
Teco Electric and Machinery Co., Ltd. | 3,156,732 | 2,511,519 | |||||||
Test Rite International Co., Ltd. | 385,000 | 244,786 | |||||||
Walsin Technology Corp. | 812,000 | 490,600 | |||||||
Wan Hai Lines, Ltd. | 860,000 | 474,901 | |||||||
Wisdom Marine Lines Co., Ltd. (a) | 122,000 | 134,062 | |||||||
Yulon Nissan Motor Co., Ltd. | 15,000 | 126,982 | |||||||
Yungshin Construction & Development Co., Ltd. | 219,000 | 191,152 | |||||||
YungShin Global Holding Corp. | 129,000 | 188,589 | |||||||
Yungtay Engineering Co., Ltd. (c) | 2,109,000 | 3,041,070 | |||||||
47,719,316 | |||||||||
Thailand — 0.3% | |||||||||
Advanced Info Service PCL | 177,287 | 748,857 | |||||||
Advanced Information Technology PCL | 167,200 | 130,099 | |||||||
Asia Plus Group Holdings PCL | 2,126,100 | 206,790 | |||||||
Bangkok Bank PCL | 166,958 | 716,827 | |||||||
Bangkok Bank PCL – Foreign Reg | 735,600 | 3,158,266 | |||||||
Bangkok Expressway & Metro PCL (a) | 4,755,724 | 679,468 | |||||||
Kasikornbank PCL | 271,700 | 1,128,780 | |||||||
KGI Securities Thailand PCL | 1,641,017 | 155,962 | |||||||
Land & Houses PCL | 1,076,867 | 275,314 | |||||||
MBK PCL, Class F | 7,226,490 | 2,851,637 | |||||||
Quality Houses PCL, Class F | 14,528,634 | 928,605 | |||||||
Sansiri PCL | 13,366,300 | 564,590 | |||||||
Seafco PCL Foreign Reg | 1,222,600 | 326,163 | |||||||
Syntec Construction PCL, Class F | 2,458,800 | 195,419 | |||||||
Thai Vegetable Oil PCL, Class F | 485,900 | 302,464 | |||||||
Thanachart Capital PCL | 420,700 | 426,721 | |||||||
Tipco Asphalt PCL | 700 | 788 | |||||||
Vanachai Group PCL | 2,107,500 | 831,638 | |||||||
13,628,388 | |||||||||
Turkey — 0.2% | |||||||||
Aksa Akrilik Kimya Sanayii AS | 137,718 | 493,696 | |||||||
Albaraka Turk Katilim Bankasi AS | 557,762 | 252,435 |
22
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2015 |
Number of Shares | Value | ||||||||
Celebi Hava Servisi AS | 24,050 | $ | 295,022 | ||||||
EGE Seramik Sanayi ve Ticaret AS | 97,414 | 133,203 | |||||||
GSD Holding AS | 232,517 | 82,903 | |||||||
Is Yatirim Menkul Degerler AS | 111,954 | 44,142 | |||||||
KOC Holding AS | 243,473 | 912,360 | |||||||
Koza Altin Isletmeleri AS | 139,298 | 586,421 | |||||||
Saf Gayrimenkul Yatirim Ortakligi AS – REIT | 650,146 | 175,983 | |||||||
Tofas Turk Otomobil Fabrikasi AS | 193,592 | 1,257,753 | |||||||
Turkiye Garanti Bankasi AS | 1,325,311 | 3,235,012 | |||||||
7,468,930 | |||||||||
Ukraine — 0.0% | |||||||||
MHP SA – GDR | 44,954 | 416,856 | |||||||
United Arab Emirates — 0.1% | |||||||||
Al Waha Capital PJSC (c) | 612,644 | 359,613 | |||||||
Emaar Malls Group PJSC (a) | 2,561,586 | 1,918,123 | |||||||
RAK Properties PJSC | 336,245 | 49,908 | |||||||
2,327,644 | |||||||||
United Kingdom — 5.5% | |||||||||
3i Group plc | 239,493 | 1,688,036 | |||||||
Admiral Group plc | 39,138 | 951,965 | |||||||
AMEC Foster Wheeler plc | 348,316 | 2,199,432 | |||||||
Anglo American plc – JSE Shares | 199,463 | 881,879 | |||||||
Anglo American plc – LSE Shares | 278,187 | 1,225,654 | |||||||
Aon plc | 53,360 | 4,920,326 | |||||||
Associated British Foods plc | 14,984 | 737,560 | |||||||
AstraZeneca plc | 5,776 | 390,509 | |||||||
Atrium European Real Estate, Ltd. (a) | 2,232,495 | 8,642,070 | |||||||
Aviva plc | 50,817 | 383,976 | |||||||
BAE Systems plc | 177,095 | 1,303,380 | |||||||
Barclays plc | 983,007 | 3,181,678 | |||||||
Barratt Developments plc | 33,077 | 303,110 | |||||||
Belmond, Ltd. (a) | 172,814 | 1,641,733 | |||||||
Berendsen plc | 27,623 | 436,843 | |||||||
Betfair Group plc | 25,493 | 1,462,903 | |||||||
BG Group plc | 264,674 | 3,838,120 | |||||||
BHP Billiton plc | 40,119 | 450,421 | |||||||
BP plc | 1,109,277 | 5,780,380 | |||||||
British American Tobacco plc | 2,210 | 122,741 | |||||||
British Land Co. plc – REIT | 343,438 | 3,953,041 | |||||||
BT Group plc | 4,990,071 | 34,487,422 | |||||||
Bunzl plc | 74,464 | 2,056,979 | |||||||
Cable & Wireless Communications plc | 829,585 | 900,966 | |||||||
Capita plc | 124,114 | 2,208,268 | |||||||
Carnival plc | 19,781 | 1,123,117 | |||||||
Centrica plc | 26,344 | 84,617 | |||||||
Close Brothers Group plc | 7,647 | 150,470 | |||||||
CNH Industrial NV – ISE Shares | 491,684 | 3,351,627 | |||||||
Compass Group plc | 140,829 | 2,437,440 | |||||||
Daily Mail & General Trust plc, Class A | 79,711 | 818,704 | |||||||
Delphi Automotive plc | 9,185 | 787,430 | |||||||
Devro plc | 92,653 | 396,138 | |||||||
Diageo plc | 470,707 | 12,836,410 | |||||||
Dixons Carphone plc | 77,250 | 567,734 | |||||||
Enterprise Inns plc (a) | 193,122 | 316,400 | |||||||
Fiat Chrysler Automobiles NV (a) | 50,965 | 701,770 |
Number of Shares | Value | |||||||
G4S plc | 307,290 | $ | 1,020,626 | |||||
Gem Diamonds, Ltd. | 289,600 | 561,188 | ||||||
GlaxoSmithKline plc | 288,829 | 5,833,767 | ||||||
GVC Holdings plc | 19,392 | 132,505 | ||||||
Hansteen Holdings plc – REIT | 108,130 | 183,388 | ||||||
Hays plc | 335,637 | 717,915 | ||||||
HomeServe plc | 141,830 | 864,008 | ||||||
Howden Joinery Group plc | 168,518 | 1,307,495 | ||||||
HSBC Holdings plc – LSE Shares | 423,137 | 3,339,158 | ||||||
HSBC Holdings plc – SEHK Shares | 62,856 | 497,676 | ||||||
ICAP plc | 204,556 | 1,535,588 | ||||||
IG Group Holdings plc | 67,316 | 792,589 | ||||||
IMI plc | 7,415 | 93,543 | ||||||
Inchcape plc | 29,312 | 337,017 | ||||||
Informa plc | 62,653 | 565,763 | ||||||
InterContinental Hotels Group plc | 216,097 | 8,385,350 | ||||||
International Consolidated Airlines Group SA | 1,975,423 | 17,630,353 | ||||||
International Personal Finance plc | 130,357 | 554,442 | ||||||
Intertek Group plc | 53,303 | 2,179,925 | ||||||
ITV plc | 518,245 | 2,111,693 | ||||||
John Wood Group plc | 18,421 | 165,187 | ||||||
Jupiter Fund Management plc | 68,795 | 454,856 | ||||||
Just Eat plc (a) | 69,276 | 503,870 | ||||||
Liberty Global plc, Class A (a) | 99,416 | 4,211,262 | ||||||
Liberty Global plc, Class C (a) | 86,131 | 3,511,561 | ||||||
Liberty Global plc LiLAC, Class A (a) | 10,490 | 433,971 | ||||||
Liberty Global plc LiLAC, Class C (a) | 4,054 | 174,322 | ||||||
Lloyds Banking Group plc | 32,712,904 | 35,209,531 | ||||||
Merlin Entertainments plc (d) | 233,683 | 1,566,012 | ||||||
Michael Kors Holdings, Ltd. (a) | 55,154 | 2,209,469 | ||||||
Michael Page International plc | 122,655 | 875,103 | ||||||
Michelmersh Brick Holdings plc | 1,500,781 | 2,069,308 | ||||||
Millennium & Copthorne Hotels plc | 18,931 | 129,107 | ||||||
Moneysupermarket.com Group plc | 123,996 | 669,762 | ||||||
National Express Group plc | 32,345 | 158,629 | ||||||
Next plc | 8,956 | 960,075 | ||||||
Noble Corp. plc | 76,470 | 806,759 | ||||||
Non-Standard Finance plc (a) (d) | 51,933 | 64,883 | ||||||
Non-Standard Finance plc – ENT (a) (b) (c) | 92,849 | — | ||||||
Northgate plc | 19,952 | 115,704 | ||||||
Old Mutual plc – JSE Shares | 619,342 | 1,656,667 | ||||||
Old Mutual plc – LSE Shares | 197,374 | 519,666 | ||||||
Paragon Group of Co. plc | 147,371 | 764,811 | ||||||
Petrofac, Ltd. | 9,716 | 113,838 | ||||||
Pets at Home Group plc | 123,747 | 501,306 | ||||||
Provident Financial plc | 39,250 | 1,943,994 | ||||||
Reckitt Benckiser Group plc | 88,404 | 8,137,494 | ||||||
RELX plc | 87,093 | 1,526,953 | ||||||
Rexam plc | 96,665 | 857,477 | ||||||
Rightmove plc | 49,529 | 2,993,574 | ||||||
Rio Tinto plc | 34,922 | 1,017,720 | ||||||
Rolls Royce Holdings plc – LSE Shares (a) | 175,144 | 1,482,501 | ||||||
Royal Bank of Scotland Group plc (a) | 129,848 | 574,471 | ||||||
Sage Group plc (The) | 808,445 | 7,188,176 |
23
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2015 |
Number of Shares | Value | ||||||||
Serco Group plc (a) | 485,039 | $ | 675,112 | ||||||
Sky plc | 28,847 | 471,964 | |||||||
Smith & Nephew plc | 35,175 | 622,589 | |||||||
Spectris plc | 22,556 | 597,799 | |||||||
SSP Group plc | 201,380 | 963,091 | |||||||
St James’s Place plc | 12,137 | 179,014 | |||||||
Stagecoach Group plc | 148,085 | 644,714 | |||||||
Standard Chartered plc | 178,632 | 1,481,990 | |||||||
TalkTalk Telecom Group plc | 60,251 | 191,994 | |||||||
Telit Communications plc (a) | 87,335 | 274,896 | |||||||
Tesco plc (a) | 754,409 | 1,660,388 | |||||||
Thomas Cook Group plc (a) | 421,406 | 749,079 | |||||||
Tungsten Corp. plc (a) | 72,257 | 39,728 | |||||||
Unilever plc | 306,990 | 13,144,628 | |||||||
Vodafone Group plc | 402,392 | 1,301,547 | |||||||
Weir Group plc (The) | 96,307 | 1,416,583 | |||||||
WH Smith plc | 33,492 | 873,033 | |||||||
WPP plc | 49,536 | 1,140,205 | |||||||
266,361,611 | |||||||||
Vietnam — 0.0% | |||||||||
Luks Group Vietnam Holdings Co., Ltd. | 1,682,000 | 566,450 | |||||||
Total Foreign Common Stocks (Cost $1,663,556,592) | 1,585,537,224 | ||||||||
Total Common Stocks (Cost $3,044,423,501) | 2,993,274,421 | ||||||||
Participation Notes — 0.1% | |||||||||
HSBC Bank, plc, Axis Bank, Ltd. Equity Linked Notes, Expiring 07/21/17 (India) (a) (b) | 151,844 | 1,025,847 | |||||||
HSBC Bank, plc, Bank of Baroda, Ltd., Equity Linked Notes, Expiring 06/30/16 (India) (a) (b) | 519,407 | 1,218,418 | |||||||
HSBC Bank, plc, Bharti Airtel, Ltd., Equity Linked Notes, Expiring 08/01/16 (India) (a) (b) | 377,396 | 1,920,110 | |||||||
HSBC Bank, plc, CESC, Ltd., Equity Linked Notes, Expiring 03/31/17 (India) (a) (b) | 305,415 | 2,365,120 | |||||||
Total Participation Notes (Cost $6,848,761) | 6,529,495 |
Principal Amount | Value | ||||||||
Convertible Bonds — 0.0% | |||||||||
Energy — 0.0% | |||||||||
Chesapeake Energy Corp. 2.250%, 12/15/38 | $ | 800,000 | $ | 267,000 | |||||
Chesapeake Energy Corp. – Company Guarantee 2.500%, 05/15/37 | 822,000 | 386,340 | |||||||
Chesapeake Energy Corp. – Contingent Convertible Senior Note 2.500%, 05/15/37 | 150,000 | 70,500 | |||||||
Total Energy (Cost $783,729) | 723,840 | ||||||||
Total Convertible Bonds (Cost $783,729) | 723,840 |
Principal Amount | Value | ||||||||
Corporate Bonds — 0.0% | |||||||||
Energy — 0.0% | |||||||||
Chesapeake Energy Corp. 6.500%, 08/15/17 | $ | 230,000 | $ | 115,000 | |||||
Chesapeake Energy Corp. 7.250%, 12/15/18 | 700,000 | 276,500 | |||||||
Total Energy (Cost $545,399) | 391,500 | ||||||||
Total Corporate Bonds (Cost $545,399) | 391,500 | ||||||||
Asset-Backed Securities — 0.7% | |||||||||
American Homes 4 Rent | |||||||||
Ser. 2014-SFR2, Class E (d) 6.231%, 10/17/36 | 580,000 | 584,789 | |||||||
Ser. 2014-SFR3, Class E (d) 6.418%, 12/17/36 | 1,730,000 | 1,765,113 | |||||||
Ser. 2015-SFR1, Class E (d) 5.639%, 04/17/52 | 1,400,000 | 1,350,344 | |||||||
Ser. 2015-SFR1, Class XS (IO)(VRN) (b) (c) (f) (g) 0.000%, 04/17/52 | 4,284,247 | — | |||||||
Ser. 2015-SFR2, Class XS (IO)(VRN) (b) (c) (f) (g) 0.000%, 10/17/45 | 11,186,325 | 11 | |||||||
American Residential Properties Trust | |||||||||
Ser. 2014-SFR1, Class E (FRN) (d) 4.271%, 09/17/31 | 1,509,000 | 1,489,590 | |||||||
Ser. 2014-SFR1, Class F (FRN) (d) 4.771%, 09/17/31 | 3,859,000 | 3,715,557 | |||||||
Colony American Homes | |||||||||
Ser. 2014-2A, Class E (FRN) (d) 3.620%, 07/17/31 | 1,615,000 | 1,560,262 | |||||||
Ser. 2014-2A, Class F (FRN) (d) 3.768%, 07/17/31 | 3,910,000 | 3,722,441 | |||||||
GSAA Home Equity Trust | |||||||||
Ser. 2006-5, Class 2A2 (FRN) 0.602%, 03/25/36 | 1,107,925 | 657,665 | |||||||
Ser. 2006-5, Class 2A3 (FRN) 0.692%, 03/25/36 | 2,805,596 | 1,886,162 | |||||||
Ser. 2006-9, Class A4A (FRN) (STEP) 0.662%, 06/25/36 | 6,639,957 | 3,562,581 | |||||||
Ser. 2006-20, Class 2A1A (FRN) (STEP) 0.472%, 12/25/46 | 1,654,123 | 1,082,361 | |||||||
Invitation Homes Trust | |||||||||
Ser. 2013-SFR1, Class E (FRN) (d) 3.068%, 12/17/30 | 895,000 | 846,850 | |||||||
Ser. 2014-SFR1, Class F (FRN) (d) 4.101%, 06/17/31 | 3,672,000 | 3,528,494 | |||||||
Ser. 2014-SFR3, Class F (FRN) (d) 5.360%, 12/17/31 | 900,000 | 890,951 | |||||||
Ser. 2015-SFR3, Class F (FRN) (d) 5.101%, 08/17/32 | 2,600,000 | 2,536,819 | |||||||
Progress Residential Trust Program | |||||||||
Ser. 2014-SFR1, Class F (FRN) (d) 5.051%, 10/17/31 | 1,290,000 | 1,265,075 | |||||||
Ser. 2015-SFR1, Class F (FRN) (d) 4.710%, 02/17/32 | 1,180,000 | 1,139,644 | |||||||
Starwood Waypoint Residential Trust, Ser. 2014, Class E (FRN) (d) 4.651%, 01/17/32 | 4,570,000 | 4,539,355 | |||||||
Total Asset-Backed Securities (Cost $36,966,164) | 36,124,064 |
24
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2015 |
Principal Amount | Value | ||||||||
Mortgage-Backed Securities – Private Issuers — 1.5% | |||||||||
Bear Stearns ALT-A Trust | |||||||||
Ser. 2005-10, Class 11A1 (FRN) (STEP) 0.922%, 01/25/36 | $ | 2,388,096 | $ | 1,888,061 | |||||
Ser. 2006-1, Class 21A2 (FRN) 2.577%, 02/25/36 | 1,164,043 | 843,921 | |||||||
Ser. 2006-6, Class 31A1 (FRN) 2.760%, 11/25/36 | 366,888 | 278,156 | |||||||
CHL Mortgage Pass-Through Trust, Ser. 2005-HYB9, Class 1A1 (FRN) 2.564%, 02/20/36 | 1,829,357 | 1,582,106 | |||||||
Citigroup Commercial Mortgage Trust, Ser. 2014-GC25, Class D (d) 3.548%, 10/10/47 | 1,295,000 | 939,650 | |||||||
COMM Mortgage Trust | |||||||||
Ser. 2014-UBS5, Class D (d) 3.495%, 09/10/47 | 1,215,000 | 898,842 | |||||||
Ser. 2014-UBS6, Class D (VRN) (d) 3.966%, 12/10/47 | 638,000 | 499,761 | |||||||
Ser. 2015-CR25, Class D (VRN) 3.798%, 08/10/48 | 1,415,000 | 1,059,156 | |||||||
Ser. 2015-PC1, Class D (VRN) 4.443%, 07/10/50 | 2,110,000 | 1,637,639 | |||||||
Connecticut Avenue Securities | |||||||||
Ser. 2013-C01, Class M2 (FRN) 5.672%, 10/25/23 | 4,492,238 | 4,655,417 | |||||||
Ser. 2014-C02, Class 1M2 (FRN) 3.022%, 05/25/24 | 3,875,000 | 3,403,085 | |||||||
Ser. 2014-C03, Class 1M2 (FRN) 3.422%, 07/25/24 | 1,745,000 | 1,582,294 | |||||||
Ser. 2014-C04, Class 1M2 (FRN) 5.322%, 11/25/24 | 2,815,000 | 2,868,032 | |||||||
Ser. 2015-C01, Class 1M2 (FRN) 4.722%, 02/25/25 | 980,000 | 949,933 | |||||||
Ser. 2015-C02, Class 1M2 (FRN) 4.221%, 05/25/25 | 3,220,000 | 3,059,615 | |||||||
Ser. 2015-C02, Class 2M2 (FRN) 4.422%, 05/25/25 | 2,400,000 | 2,279,298 | |||||||
Ser. 2015-C03, Class 1M2 (FRN) 5.422%, 07/25/25 | 2,685,000 | 2,671,168 | |||||||
Ser. 2015-C04, Class 1M2 (FRN) 6.122%, 04/25/28 | 1,470,000 | 1,497,563 | |||||||
Ser. 2015-C04, Class 2M2 (FRN) 5.972%, 04/25/28 | 1,385,000 | 1,401,313 | |||||||
Countrywide Alternative Loan Trust | |||||||||
Ser. 2005-56, Class 1A1 (FRN) (STEP) 1.152%, 11/25/35 | 4,559,971 | 3,856,662 | |||||||
Ser. 2005-59, Class 1A1 (FRN) (STEP) 0.743%, 11/20/35 | 3,781,515 | 3,047,261 | |||||||
Ser. 2006-24, Class A22 6.000%, 06/25/36 | 1,787,537 | 1,626,663 | |||||||
Ser. 2006-HY11, Class A1 (FRN) (STEP) 0.542%, 06/25/36 | 2,489,593 | 2,168,718 | |||||||
Countrywide Home Loan Mortgage Pass Through Trust, Ser. 2006-3, Class 3A1 (FRN) (STEP) 0.672%, 02/25/36 | 2,536,616 | 2,156,088 | |||||||
CSMC Mortgage-Backed Trust, Ser. 2007-4, Class 2A3 6.000%, 06/25/37 | 936,627 | 866,993 | |||||||
First Horizon Alternative Mortgage Securities Trust | |||||||||
Ser. 2006-AA2, Class 2A1 (FRN) 2.325%, 05/25/36 | 701,864 | 565,152 |
Principal Amount | Value | ||||||||
Ser. 2006-AA5, Class A1 (FRN) 2.243%, 09/25/36 | $ | 2,383,337 | $ | 1,948,399 | |||||
GS Mortgage Securities Trust, Ser. 2015-GC28, Class D (VRN) (d) 4.329%, 02/10/48 | 1,380,000 | 1,068,921 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Ser. 2014-C20, Class D (VRN) (d) 4.572%, 07/15/47 | 660,000 | 520,752 | |||||||
JPMBB Commercial Mortgage Securities Trust, Ser. 2015-C31, Class D (VRN) 4.119%, 08/15/48 | 1,380,000 | 1,026,671 | |||||||
Luminent Mortgage Trust, Ser. 2006-2, Class A1A (FRN) (STEP) 0.622%, 02/25/46 | 1,738,945 | 1,188,314 | |||||||
RALI Trust | |||||||||
Ser. 2006-QA4, Class A (FRN) 0.602%, 05/25/36 | 2,228,225 | 1,728,617 | |||||||
Ser. 2006-QA5, Class 1A1 (FRN) (STEP) 0.602%, 07/25/36 | 1,892,252 | 1,201,296 | |||||||
Ser. 2007-QO4, Class A1A (FRN) (STEP) 0.612%, 05/25/47 | 375,043 | 291,819 | |||||||
Structured Adjustable Rate Mortgage Loan Trust, Ser. 2005-15, Class 2A1 (FRN) 2.567%, 07/25/35 | 3,353,616 | 2,859,185 | |||||||
Structured Agency Credit Risk, Ser. 2013-DN1, Class M2 (FRN) 7.572%, 07/25/23 | 630,000 | 719,304 | |||||||
Structured Asset Mortgage Investments, Inc. | |||||||||
Ser. 2005-AR8, Class A2 (FRN) 1.594%, 02/25/36 | 1,705,279 | 1,442,372 | |||||||
Ser. 2006-AR3, Class A2 (FRN) 2.708%, 02/25/36 | 2,227,003 | 1,605,625 | |||||||
Wells Fargo Commercial Mortgage | |||||||||
Ser. 2014-LC16, Class D (d) 3.938%, 08/15/50 | 1,350,000 | 1,081,336 | |||||||
Ser. 2015-C26, Class D (d) 3.586%, 02/15/48 | 1,050,000 | 781,385 | |||||||
Ser. 2015-C27, Class D (d) 3.768%, 02/15/48 | 966,000 | 743,098 | |||||||
Ser. 2015-C28, Class D (VRN) 4.139%, 05/15/48 | 2,020,000 | 1,574,448 | |||||||
Ser. 2015-C29, Class D (VRN) 4.225%, 06/15/48 | 710,000 | 557,869 | |||||||
Ser. 2015-LC22, Class D (VRN) 4.539%, 09/15/58 | 1,680,000 | 1,373,363 | |||||||
Ser. 2015-NXS2, Class D (VRN) 4.252%, 07/15/58 | 1,955,000 | 1,540,458 | |||||||
Ser. 2015-SG1, Class D (VRN) 4.471%, 12/15/47 | 735,000 | 600,828 | |||||||
WFRBS Commercial Mortgage, Ser. 2014-LC14, Class D (VRN) (d) 4.586%, 03/15/47 | 693,750 | 594,010 | |||||||
Total Mortgage-Backed Securities – Private Issuers (Cost $70,614,908) | 72,730,617 | ||||||||
Mortgage-Backed Securities – US Government Agency Obligations — 0.1% | |||||||||
FHLMC | |||||||||
Ser. 2005-2922, Class SE (FRN) (IO) 6.420%, 02/15/35 | 83,555 | 14,849 |
25
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2015 |
Principal Amount | Value | |||||||
Ser. 2005-2965, Class SA (FRN) (IO) 5.720%, 05/15/32 | $ | 178,816 | $ | 26,878 | ||||
Ser. 2005-2980, Class SL (FRN) (IO) 6.370%, 11/15/34 | 108,276 | 24,217 | ||||||
Ser. 2005-2981, Class SU (FRN) (IO) 7.470%, 05/15/30 | 149,572 | 30,848 | ||||||
Ser. 2005-3031, Class BI (FRN) (IO) 6.360%, 08/15/35 | 583,949 | 135,950 | ||||||
Ser. 2005-3065, Class DI (FRN) (IO) 6.290%, 04/15/35 | 504,372 | 103,506 | ||||||
Ser. 2006-3114, Class GI (FRN) (IO) 6.270%, 02/15/36 | 513,558 | 112,057 | ||||||
Ser. 2007-3308, Class S (FRN) (IO) 6.870%, 03/15/32 | 170,136 | 36,460 | ||||||
Ser. 2008-3424, Class XI (FRN) (IO) 6.240%, 05/15/36 | 150,792 | 26,885 | ||||||
Ser. 2008-3489, Class SD (FRN) (IO) 7.470%, 06/15/32 | 92,674 | 19,011 | ||||||
Ser. 2010-3685, Class EI (IO) 5.000%, 03/15/19 | 71,114 | 3,028 | ||||||
Ser. 2010-3731, Class IO (IO) 5.000%, 07/15/19 | 36,649 | 1,657 | ||||||
Ser. 2011-3882, Class AI (IO) 5.000%, 06/15/26 | 295,430 | 19,585 | ||||||
FHLMC Strip, Ser. 2004-227, Class IO (IO) 5.000%, 12/01/34 | 31,343 | 6,505 | ||||||
FNMA | ||||||||
Ser. 2004-31, Class SG (FRN) (IO) 6.678%, 08/25/33 | 45,037 | 3,042 | ||||||
Ser. 2004-49, Class SQ (FRN) (IO) 6.628%, 07/25/34 | 68,852 | 12,309 | ||||||
Ser. 2004-51, Class SX (FRN) (IO) 6.698%, 07/25/34 | 135,406 | 27,085 | ||||||
Ser. 2004-64, Class SW (FRN) (IO) 6.628%, 08/25/34 | 277,935 | 53,458 | ||||||
Ser. 2004-66, Class SE (FRN) (IO) 6.078%, 09/25/34 | 203,172 | 34,871 | ||||||
Ser. 2005-12, Class SC (FRN) (IO) 6.328%, 03/25/35 | 181,419 | 34,991 | ||||||
Ser. 2005-45, Class SR (FRN) (IO) 6.298%, 06/25/35 | 207,104 | 36,973 | ||||||
Ser. 2005-65, Class KI (FRN) (IO) 6.578%, 08/25/35 | 547,953 | 99,609 | ||||||
Ser. 2005-89, Class S (FRN) (IO) 6.278%, 10/25/35 | 1,155,888 | 201,050 | ||||||
Ser. 2006-3, Class SA (FRN) (IO) 5.728%, 03/25/36 | 101,462 | 16,322 | ||||||
Ser. 2007-75, Class JI (FRN) (IO) 6.123%, 08/25/37 | 253,441 | 43,353 | ||||||
Ser. 2007-85, Class SI (FRN) (IO) 6.038%, 09/25/37 | 164,487 | 23,439 | ||||||
Ser. 2008-86, Class IO (IO) 4.500%, 03/25/23 | 64,466 | 3,027 | ||||||
Ser. 2008-87, Class AS (FRN) (IO) 7.228%, 07/25/33 | 414,749 | 89,672 | ||||||
Ser. 2010-37, Class GI (IO) 5.000%, 04/25/25 | 138,563 | 5,076 | ||||||
Ser. 2010-65, Class IO (IO) 5.000%, 09/25/20 | 113,987 | 7,790 | ||||||
Ser. 2010-68, Class SJ (FRN) (IO) 6.128%, 07/25/40 | 176,361 | 34,073 | ||||||
Ser. 2010-105, Class IO (IO) 5.000%, 08/25/20 | 116,117 | 7,684 | ||||||
Ser. 2010-121, Class IO (IO) 5.000%, 10/25/25 | 225,383 | 12,590 |
Principal Amount | Value | ||||||||
Ser. 2011-69, Class AI (IO) 5.000%, 05/25/18 | $ | 506,649 | $ | 19,624 | |||||
Ser. 2011-88, Class WI (IO) 3.500%, 09/25/26 | 258,859 | 26,617 | |||||||
Ser. 2011-124, Class IC (IO) 3.500%, 09/25/21 | 556,926 | 30,970 | |||||||
Ser. 2012-126, Class SJ (FRN) (IO) 4.578%, 11/25/42 | 2,109,473 | 296,308 | |||||||
GNMA | |||||||||
Ser. 2003-11, Class S (FRN) (IO) 6.206%, 02/16/33 | 295,384 | 43,045 | |||||||
Ser. 2011-94, Class IS (FRN) (IO) 6.356%, 06/16/36 | 181,717 | 22,871 | |||||||
Ser. 2011-135, Class QI (IO) 4.500%, 06/16/41 | 259,097 | 40,752 | |||||||
Ser. 2011-157, Class SG (FRN) (IO) 6.198%, 12/20/41 | 2,152,530 | 476,077 | |||||||
Ser. 2011-167, Class IO (IO) 5.000%, 12/16/20 | 596,808 | 32,130 | |||||||
Ser. 2012-34, Class KS (FRN) (IO) 5.706%, 03/16/42 | 1,125,847 | 232,771 | |||||||
Ser. 2012-69, Class QI (IO) 4.000%, 03/16/41 | 852,866 | 115,598 | |||||||
Ser. 2012-101, Class AI (IO) 3.500%, 08/20/27 | 394,617 | 46,628 | |||||||
Ser. 2012-103, Class IB (IO) 3.500%, 04/20/40 | 605,084 | 74,641 | |||||||
Total Mortgage-Backed Securities – US Government Agency Obligations (Cost $2,535,170) | 2,765,882 | ||||||||
US Treasury Bonds/Notes — 7.8% | |||||||||
US Treasury Inflation Indexed Note 0.125%, 04/15/16 | 16,162,800 | 16,099,878 | |||||||
US Treasury Inflation Indexed Note 2.625%, 07/15/17 | 4,590,280 | 4,794,391 | |||||||
US Treasury Inflation Indexed Note 0.125%, 04/15/18 | 10,813,739 | 10,792,901 | |||||||
US Treasury Inflation Indexed Note 1.375%, 07/15/18 | 12,794,336 | 13,245,963 | |||||||
US Treasury Inflation Indexed Note (h) 2.125%, 01/15/19 | 15,509,060 | 16,411,331 | |||||||
US Treasury Inflation Indexed Note 0.125%, 04/15/19 | 21,049,692 | 20,926,088 | |||||||
US Treasury Inflation Indexed Note 1.375%, 01/15/20 | 1,341,829 | 1,394,838 | |||||||
US Treasury Inflation Indexed Note 0.125%, 04/15/20 | 6,093,780 | 6,016,103 | |||||||
US Treasury Inflation Indexed Note 1.250%, 07/15/20 | 1,963,062 | 2,041,406 | |||||||
US Treasury Inflation Indexed Note 1.125%, 01/15/21 | 6,958,464 | 7,173,835 | |||||||
US Treasury Inflation Indexed Note 0.625%, 07/15/21 | 15,227,546 | 15,327,469 | |||||||
US Treasury Inflation Indexed Note 0.125%, 07/15/22 | 32,496,449 | 31,508,850 | |||||||
US Treasury Note 0.625%, 07/15/16 | 33,100,000 | 33,102,582 | |||||||
US Treasury Note 0.500%, 03/31/17 | 33,300,000 | 33,147,819 | |||||||
US Treasury Note 0.625%, 04/30/18 | 33,580,000 | 33,148,430 | |||||||
US Treasury Note 1.625%, 04/30/19 | 32,850,000 | 33,041,187 | |||||||
US Treasury Note 1.375%, 05/31/20 | 33,380,000 | 32,900,162 |
26
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2015 |
Principal Amount | Value | |||||||
US Treasury Note 2.250%, 03/31/21 | $ | 32,390,000 | $ | 33,047,906 | ||||
US Treasury Note 1.750%, 04/30/22 | 33,750,000 | 33,209,460 | ||||||
Total US Treasury Bonds/Notes (Cost $382,260,639) | 377,330,599 |
Number of Shares | Value | ||||||||
Acquired Funds — 20.5% | |||||||||
Exchange-Traded Funds (ETFs) — 2.8% | |||||||||
CBRE Clarion Global Real Estate Income Fund | 36,100 | $ | 275,804 | ||||||
iShares MSCI Emerging Markets Index Fund | 95,334 | 3,068,801 | |||||||
Vanguard FTSE Developed Markets ETF | 3,598,618 | 132,141,253 | |||||||
135,485,858 | |||||||||
Private Investment Funds (i) — 17.7% | |||||||||
Canyon Value Realization Fund, LP (a) (b) (c) (j) | 73,498,147 | ||||||||
Convexity Capital Offshore, LP (a) (b) (c) (j) | 599,125 | 56,900,349 | |||||||
Farallon Capital Institutional Partners, LP (a) (b) (c) (j) | 180,619,171 | ||||||||
Hudson Bay International, Ltd. (a) (b) (c) (j) | 1,575,143 | 149,001,817 | |||||||
Lansdowne Developed Markets Fund, Ltd. (a) (b) (c) (j) | 258,634 | 179,081,853 | |||||||
Latimer Light Partners, LP (a) (b) (c) (j) | 400,000 | 38,447,248 | |||||||
Lone Cascade, LP, Class J (a) (b) (c) (j) | 28,355,546 | ||||||||
OZ Domestic Partners, LP (a) (b) (c) (j) | 482,788 | ||||||||
QVT Onshore, LP (a) (b) (c) (j) | 39,842,622 | ||||||||
SummerHaven Commodity Offshore Fund, Ltd. (a) (b) (c) (j) | 1,409,865 | 108,937,009 | |||||||
855,166,550 | |||||||||
Total Acquired Funds (Cost $832,041,865) | 990,652,408 | ||||||||
Publicly Traded Limited Partnerships — 0.1% | |||||||||
Apollo Global Management LLC | 98,878 | 1,500,968 | |||||||
Cedar Fair, LP | 20,673 | 1,154,381 | |||||||
KKR & Co., LP | 45,568 | 710,405 | |||||||
Lazard Ltd. | 51,709 | 2,327,422 | |||||||
Total Publicly Traded Limited Partnerships (Cost $6,429,851) | 5,693,176 | ||||||||
Preferred Stocks — 0.5% | |||||||||
Alpargatas SA, 13.78% (Brazil) (c) | 1,008,200 | 1,809,905 | |||||||
Banco Bradesco SA, 7.26% (Brazil) | 45,480 | 219,064 | |||||||
Banco do Estado do Rio Grande do Sul SA, 15.86% (Brazil) | 619,200 | 908,110 | |||||||
Bancolombia SA, 3.98% (Colombia) | 37,521 | 252,392 | |||||||
Braskem SA, 2.24% (Brazil) | 275,000 | 1,867,740 | |||||||
Centrais Eletricas Brasileiras SA, 1.03% (Brazil) | 2,134,300 | 5,503,340 | |||||||
Cia Brasileira de Distribuicao, 3.20% (Brazil) | 63,099 | 664,137 | |||||||
Embotelladora Andina SA, 3.15% (Chile) | 59,628 | 171,958 | |||||||
Fannie Mae, 0.00% (United States) | 639,800 | 2,239,300 |
Number of Shares | Value | |||||||
Hyundai Motor Co., Ltd., 1.00% (South Korea) | 5,573 | $ | 495,291 | |||||
Hyundai Motor Co., Ltd., 1.00% (South Korea) | 8,778 | 767,597 | ||||||
LG Electronics, Inc., 1.58% (South Korea) | 1,316 | 31,988 | ||||||
Porsche Automobil Holding SE, 4.16% (Germany) | 10,277 | 556,894 | ||||||
Rolls Royce Holdings plc, 0.00% (United Kingdom) (b) (c) | 14,363,123 | 21,174 | ||||||
Samsung Electronics Co., Ltd., 1.98% (South Korea) | 3,929 | 3,636,252 | ||||||
Samsung SDI Co., Ltd., 1.43% (South Korea) | 999 | 62,377 | ||||||
Sberbank of Russia, 0.61% (Russia) | 824,991 | 857,722 | ||||||
Vale SA, 9.81% (Brazil) | 509,100 | 1,305,644 | ||||||
Volkswagen AG, 3.81% (Germany) | 7,622 | 1,104,196 | ||||||
Total Preferred Stocks (Cost $31,488,046) | 22,475,081 |
Number of Contracts | Value | ||||||||
Rights — 0.0% | |||||||||
Banco Bradesco SA, Expiring 02/05/16 (Brazil) (a) (c) | 1,489 | $ | 695 | ||||||
Realia Business SA, Expiring 12/30/16 (Spain) (a) | 1,106,378 | 108,212 | |||||||
Ubi Banca, Expiring 01/12/16 (Italy) (a) | 73,867 | — | |||||||
Total Rights (Cost $0) | 108,907 |
Number of Units | Value | ||||||||
Disputed Claims Receipt — 0.0% | |||||||||
AMR Corp. (a) (b) (c) (j) (Cost $0) | 260,322 | $ | 426,928 |
Number of Contracts | Value | ||||||||
Warrants — 0.1% | |||||||||
American International Group, Inc., Expiring 01/19/21 (United States) (a) | 52,999 | $ | 1,259,256 | ||||||
Bank of America Corp., Expiring 01/16/19 (United States) (a) | 260,525 | 1,513,650 | |||||||
Capital One Financial Corp., Expiring 11/14/18 (United States) (a) | 6,327 | 198,352 | |||||||
OSK Holdings Berhad, Expiring 07/22/20 (Malaysia) (a) | 132,887 | 9,595 | |||||||
Tamburi Investment Partners SpA, Expiring 06/30/20 (Italy) (a) | 34,160 | 15,202 | |||||||
Total Warrants (Cost $3,217,837) | 2,996,055 |
Principal Amount | Value | ||||||||
Short-Term Investments — 6.0% | |||||||||
Repurchase Agreement — 3.9% | |||||||||
Fixed Income Clearing Corp. issued on 12/31/2015 (proceeds at maturity $188,972,344) (collateralized by US Treasury Notes, due 06/30/22 through 11/15/24 with a total par value of $192,040,000 and a total market value of $192,752,937) 0.030%, 01/04/16 | |||||||||
(Cost $188,972,344) | $ | 188,972,344 | $ | 188,972,344 | |||||
US Treasury Bills (k) — 2.1% | |||||||||
US Treasury Bill, due on 03/03/16 (h) | 340,000 | 339,940 | |||||||
US Treasury Bill, due on 03/17/16 | 50,000,000 | 49,989,850 | |||||||
US Treasury Bill, due on 05/05/16 | 20,000,000 | 19,978,580 |
27
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2015 |
Principal Amount | Value | |||||||
US Treasury Bill, due on 05/12/16 (h) | $ | 10,000,000 | $ | 9,988,410 | ||||
US Treasury Bill, due on 06/23/16 (h) | 120,000 | 119,733 | ||||||
US Treasury Bill, due on 06/30/16 | 20,000,000 | 19,952,100 | ||||||
Total US Treasury Bills (Cost $100,355,219) | 100,368,613 | |||||||
Total Short-Term Investments (Cost $289,327,563) | 289,340,957 | |||||||
Total Investments — 99.3% (Cost $4,707,483,433) | 4,801,563,930 | |||||||
Other Assets in Excess of Liabilities — 0.7% | 36,123,736 | |||||||
Net Assets — 100.0% | $ | 4,837,687,666 |
Number of Shares | Value | ||||||||
Securities Sold Short — (1.9)% | |||||||||
Common Stocks — (1.9)% | |||||||||
US Common Stocks — (0.5)% | |||||||||
Real Estate Investment Trusts (REITs) — (0.5)% | |||||||||
DCT Industrial Trust, Inc. | (69,500 | ) | $ | (2,597,215 | ) | ||||
Extra Space Storage, Inc. | (33,400 | ) | (2,946,214 | ) | |||||
LTC Properties, Inc. | (121,400 | ) | (5,237,196 | ) | |||||
Milestone Apartments | (99,500 | ) | (1,082,225 | ) | |||||
National Retail Properties, Inc. | (47,300 | ) | (1,894,365 | ) | |||||
Public Storage | (11,700 | ) | (2,898,090 | ) | |||||
Realty Income Corp. | (15,100 | ) | (779,613 | ) | |||||
Regency Centers Corp. | (5,700 | ) | (388,284 | ) | |||||
Seritage Growth Properties | (120,400 | ) | (4,842,488 | ) | |||||
(22,665,690 | ) | ||||||||
Total US Common Stocks (Proceeds $21,306,702) | (22,665,690 | ) | |||||||
Foreign Common Stocks — (1.5)% | |||||||||
Australia — (0.1)% | |||||||||
Goodman Group – REIT | (1,146,800 | ) | (5,192,062 | ) | |||||
Canada — (0.5)% | |||||||||
First National Financial Corp. | (167,508 | ) | (2,715,332 | ) |
Number of Shares | Value | ||||||||
Genworth MI Canada, Inc. | (117,200 | ) | $ | (2,253,032 | ) | ||||
H & R Real Estate Investment Trust – REIT | (394,100 | ) | (5,710,562 | ) | |||||
Home Capital Group, Inc. | (377,000 | ) | (7,334,567 | ) | |||||
RioCan Real Estate Investment Trust – REIT | (475,510 | ) | (8,141,094 | ) | |||||
(26,154,587 | ) | ||||||||
Japan — (0.4)% | |||||||||
Fibra Uno Administracion SA de CV – REIT | (2,358,900) | (5,199,722) | |||||||
Global One Real Estate Investment Corp. – REIT | (700 | ) | (2,509,581 | ) | |||||
Industrial & Infrastructure Fund Investment Corp. – REIT | (400 | ) | (1,908,846 | ) | |||||
Japan Hotel REIT Investment Corp. – REIT | (3,700 | ) | (2,734,837 | ) | |||||
Orix JREIT, Inc. – REIT | (1,900 | ) | (2,458,599 | ) | |||||
United Urban Investment Corp. – REIT | (1,900 | ) | (2,577,096 | ) | |||||
(17,388,681 | ) | ||||||||
Singapore — (0.1)% | |||||||||
Mapletree Industrial Trust – REIT | (1,206,239 | ) | (1,292,392 | ) | |||||
Suntec Real Estate Investment Trust – REIT | (2,201,700 | ) | (2,392,856 | ) | |||||
(3,685,248 | ) | ||||||||
United Kingdom — (0.4)% | |||||||||
British Land Co. plc – REIT | (560,239 | ) | (6,448,465 | ) | |||||
Derwent London plc – REIT | (72,869 | ) | (3,936,598 | ) | |||||
Persimmon plc (a) | (259,500 | ) | (7,749,681 | ) | |||||
(18,134,744 | ) | ||||||||
Total Foreign Common Stocks (Proceeds $73,518,609) | (70,555,322 | ) | |||||||
Total Common Stocks (Proceeds $94,825,311) | (93,221,012 | ) | |||||||
Total Securities Sold Short (Proceeds $94,825,311) | $ | (93,221,012 | ) |
Financial Futures Contracts
Number of Contracts | Type | Initial Notional Value/(Proceeds) | Notional Value at December 31, 2015 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long Financial Futures Contracts | ||||||||||||||||
Interest Rate-Related | ||||||||||||||||
50 | March 2016 10-Year US Treasury Note | $ | 6,313,800 | $ | 6,295,313 | $ | (18,487 | ) | ||||||||
Equity-Related | ||||||||||||||||
603 | March 2016 S&P 500 e-Mini Index | 60,778,748 | 61,367,310 | 588,562 | ||||||||||||
452 | March 2016 Mini MSCI EAFE | 37,742,260 | 38,379,320 | 637,060 | ||||||||||||
142 | March 2016 Mini MSCI Emerging Market | 5,478,428 | 5,591,250 | 112,822 | ||||||||||||
1,338,444 | ||||||||||||||||
1,319,957 | ||||||||||||||||
Short Financial Futures Contracts | ||||||||||||||||
Interest Rate-Related | ||||||||||||||||
(184) | March 2016 10-Year Interest Rate Swap | (18,704,290 | ) | (18,793,875 | ) | (89,585 | ) | |||||||||
(63) | March 2016 5-Year Interest Rate Swap | (6,356,679 | ) | (6,353,156 | ) | 3,523 | ||||||||||
(86,062 | ) | |||||||||||||||
Foreign Currency-Related | ||||||||||||||||
(1,335) | March 2016 Japanese Yen | (137,885,443 | ) | (139,048,594 | ) | (1,163,151 | ) | |||||||||
$ | 70,744 |
28
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2015 |
Swap Contracts
Expiration Date | Counterparty | Pay | Receive | Currency | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Total Return Swap Contracts | ||||||||||||||||||||||||
Long Total Return Swap Contracts | ||||||||||||||||||||||||
05/16/2016 | Bank of America Merrill Lynch | 1 Month LIBOR plus a specified spread | PDG Realty SA | USD | $ | 15,948 | $ | (426 | ) | |||||||||||||||
11/09/2016 | Bank of America Merrill Lynch | 1 Month LIBOR plus a specified spread | PDG Realty SA | USD | 209,393 | 12,031 | ||||||||||||||||||
12/02/2016 | Bank of America Merrill Lynch | 1 Month LIBOR plus a specified spread | DFL, Ltd. | USD | 752,809 | (8,321 | ) | |||||||||||||||||
01/03/2017 | Bank of America Merrill Lynch | 1 Month LIBOR plus a specified spread | BR Malls Participacoes SA | USD | 2,094,762 | (432,358 | ) | |||||||||||||||||
$ | (429,074 | ) |
ADR | American Depositary Receipt | |
ASE | American Stock Exchange | |
BATS | Better Alternative Trading System | |
CVA | Certification Van Aandelen | |
EAFE | Europe, Australasia, and Far East | |
EN | Euronext | |
ENT | Entitlement Shares | |
ETF | Exchange-Traded Fund | |
FHLMC | Freddie Mac | |
FNMA | Fannie Mae | |
FRN | Floating Rate Note. Rate disclosed represents the effective rate as of December 31, 2015. | |
FTSE | Financial Times Stock Exchange | |
GDR | Global Depositary Receipt | |
GNMA | Ginnie Mae | |
IO | Interest-Only Security | |
ISE | Italian Stock Exchange | |
JSE | Johannesburg Stock Exchange | |
LIBOR | London Interbank Offered Rate |
LSE | London Stock Exchange | |
MOEX | Moscow Exchange | |
MSCI | Morgan Stanley Capital International | |
MTF | Multilateral Trading Facility | |
NYSE | New York Stock Exchange | |
OTC | Over-the-Counter | |
PDR | Philippine Depositary Receipt | |
REIT | Real Estate Investment Trust | |
SEHK | Stock Exchange of Hong Kong | |
SPADR | Sponsored ADR | |
SPGDR | Sponsored GDR | |
STEP | A bond that pays an initial coupon rate for the first period, and a higher coupon rate for the following periods. | |
TSX | 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, 2015. |
* | Approximately 8% of the fund’s total investments are maintained to cover “senior securities transactions” which may include, but are not limited to forwards, TBAs, options, and futures. These securities are marked-to-market daily and reviewed against the value of the fund’s “senior securities” holdings to maintain proper coverage for the transactions. |
(a) | Non income-producing security. |
(b) | Security is valued in good faith under procedures established by the board of trustees. The aggregate amount of securities fair valued amounts to $871,294,583, which represents 18.0% of the fund’s net assets. |
(c) | Illiquid Security. An illiquid security is a security that cannot be disposed of within seven days in the ordinary course of business at approximately the amount the fund has valued such security for the purposes of calculating the fund’s net asset value. |
(d) | 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. |
(e) | Security exempt from registration under Regulation S of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to investors outside the United States. |
(f) | Zero coupon bond. |
(g) | 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 illiquid in accordance with procedures approved by the board of trustees. |
(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, 2015. These positions are therefore grouped into their own industry classification. |
29
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2015 |
(j) | Restricted Securities. The following restricted securities were held by the fund as of December 31, 2015, 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 | $ | 73,498,147 | ||||||||||
Convexity Capital Offshore, LP | Relative Value | 02/16/06 – 04/01/13 | 72,000,000 | 56,900,349 | ||||||||||||
Farallon Capital Institutional Partners, LP | Multi-Strategy | 04/01/95 – 04/01/13 | 117,746,138 | 180,619,171 | ||||||||||||
Hudson Bay International, Ltd. | Relative Value | 07/01/14 | 157,514,251 | 149,001,817 | ||||||||||||
Lansdowne Developed Markets Fund, Ltd. | Long-Short Global | 06/01/06 – 04/01/13 | 96,049,493 | 179,081,853 | ||||||||||||
Latimer Light Partners, LP | Long-Short Global | 10/01/15 | 40,000,000 | 38,447,248 | ||||||||||||
Lone Cascade, LP, Class J | Global Equity | 01/03/12 – 01/01/13 | 17,456,184 | 28,355,546 | ||||||||||||
OZ Domestic Partners, LP | Multi-Strategy | 09/30/03 | 782,078 | 482,788 | ||||||||||||
QVT Onshore, LP | Multi-Strategy | 03/01/12 | 29,980,949 | 39,842,622 | ||||||||||||
SummerHaven Commodity Offshore Fund, Ltd. | Commodity Futures | 09/30/14 – 11/14/14 | 139,506,735 | 108,937,009 | ||||||||||||
855,166,550 | ||||||||||||||||
Disputed Claims Receipt | ||||||||||||||||
AMR Corp. | 12/09/13 | — | 426,928 | |||||||||||||
Total (17.7% of Net Assets) | $ | 855,593,478 |
(k) | 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.
30
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31
TIFF Multi-Asset Fund |
Statement of Assets and Liabilities |
December 31, 2015 | ||||
Assets | ||||
Investments in securities, at value (cost: $4,518,511,089) | $ | 4,612,591,586 | ||
Repurchase agreements (cost: $188,972,344) | 188,972,344 | |||
Total investments (cost: $4,707,483,433) | 4,801,563,930 | |||
Cash | 185,936 | |||
Cash denominated in foreign currencies (cost: $85,407,752) | 82,107,142 | |||
Total Cash | 82,293,078 | |||
Deposits with brokers for securities sold short | 69,620,640 | |||
Swap contracts, at value | 12,031 | |||
Receivables: | ||||
Investment securities sold | 13,183,635 | |||
Dividends and tax reclaims | 5,937,215 | |||
Interest | 1,261,045 | |||
Prepaid expenses | 67,748 | |||
Total Assets | 4,973,939,322 | |||
Liabilities | ||||
Securities sold short, at value (proceeds: $94,825,311) | 93,221,012 | |||
Foreign currencies sold short, at value (proceeds $29,464,312) | 28,892,409 | |||
Due to broker for futures variation margin | 1,561,237 | |||
Swap contracts, at value | 441,105 | |||
Payables: | ||||
Money manager fees | 6,649,229 | |||
Investment securities purchased | 2,254,396 | |||
Accrued expenses and other liabilities | 1,825,848 | |||
Investment advisory and administrative fees | 964,389 | |||
Dividends and interest on securities sold short | 442,031 | |||
Total Liabilities | 136,251,656 | |||
Net Assets | $ | 4,837,687,666 | ||
Shares Outstanding (unlimited authorized shares, par value $0.001) | 339,367,799 | |||
Net Asset Value Per Share | $ | 14.25 | ||
Net Assets Consist of: | ||||
Capital stock | $ | 4,974,329,402 | ||
Distributions in excess of net investment income | (139,286,384 | ) | ||
Accumulated net realized loss on investments | (89,855,017 | ) | ||
Net unrealized appreciation on investments and foreign currencies | 92,499,665 | |||
$ | 4,837,687,666 |
See accompanying Notes to Financial Statements.
32
TIFF Multi-Asset Fund |
Statement of Operations |
Year Ended December 31, 2015 | ||||
Investment Income | ||||
Dividends (net of foreign withholding taxes of $3,416,490) | $ | 77,409,713 | ||
Interest | 6,116,204 | |||
Total Investment Income | 83,525,917 | |||
Expenses | ||||
Money manager fees | 23,136,664 | |||
Investment advisory fees | 11,290,953 | |||
Fund administration fees | 5,338,817 | |||
Dividends and interest on securities sold short | 4,449,440 | |||
Administrative fees | 1,098,995 | |||
Professional fees | 476,473 | |||
Chief compliance officer fees | 197,995 | |||
Interest (Note 7) | 117,857 | |||
Miscellaneous fees and other | 328,981 | |||
Total Expenses | 46,436,175 | |||
Net Investment Income | 37,089,742 | |||
Net Realized Gain (Loss) from: | ||||
Investments (net of foreign withholding taxes on capital gains of $115,329) | 171,100,233 | |||
Securities sold short | (5,716,169 | ) | ||
Swap contracts | (14,583,748 | ) | ||
Financial futures contracts | 6,630,113 | |||
Forward currency contracts and foreign currency-related transactions | (1,457,850 | ) | ||
Net Realized Gain | 155,972,579 | |||
Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies | (273,492,937 | ) | ||
Net Realized and Unrealized Loss on Investments and Foreign Currencies | (117,520,358 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (80,430,616 | ) |
See accompanying Notes to Financial Statements.
33
TIFF Multi-Asset Fund |
Statements of Changes in Net Assets |
Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||
Increase (Decrease) in Net Assets From Operations | ||||||||
Net investment income | $ | 37,089,742 | $ | 31,086,490 | ||||
Net realized gain (loss) on investments and foreign currencies | 155,972,579 | 350,512,676 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (273,492,937 | ) | (329,586,481 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (80,430,616 | ) | 52,012,685 | |||||
Distributions | ||||||||
Return of capital | (33,800,548 | ) | — | |||||
From net investment income | (70,719,253 | ) | (40,216,890 | ) | ||||
From net realized gains | (171,416,627 | ) | (365,201,808 | ) | ||||
Decrease in Net Assets Resulting from Distributions | (275,936,428 | ) | (405,418,698 | ) | ||||
Capital Share Transactions | ||||||||
Proceeds from shares sold | 193,844,603 | 338,228,844 | ||||||
Proceeds from distributions reinvested | 165,935,356 | 274,089,568 | ||||||
Entry/exit fees | 5,615,932 | 3,084,608 | ||||||
Cost of shares redeemed | (928,658,898 | ) | (275,439,958 | ) | ||||
Net Increase (Decrease) From Capital Share Transactions | (563,263,007 | ) | 339,963,062 | |||||
Total Increase (Decrease) in Net Assets | (919,630,051 | ) | (13,442,951 | ) | ||||
Net Assets | ||||||||
Beginning of year | 5,757,317,717 | 5,770,760,668 | ||||||
End of year | $ | 4,837,687,666 | $ | 5,757,317,717 | ||||
Including distributions in excess of net investment income | $ | (139,286,384 | ) | $ | (118,798,171 | ) | ||
Capital Share Transactions (in shares) | ||||||||
Shares sold | 12,539,747 | 20,795,529 | ||||||
Shares reinvested | 11,398,382 | 17,736,438 | ||||||
Shares redeemed | (60,665,002 | ) | (17,233,959 | ) | ||||
Net Increase (Decrease) | (36,726,873 | ) | 21,298,008 |
See accompanying Notes to Financial Statements.
34
TIFF Multi-Asset Fund |
Statement of Cash Flows |
Year Ended December 31, 2015 | ||||
Cash flows provided by (used in) operating activities | ||||
Net increase (decrease) in net assets resulting from operations | $ | (80,430,616 | ) | |
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||
Investments purchased | (3,085,548,976 | ) | ||
Investments sold | 3,357,309,992 | |||
Purchases to cover securities sold short | (135,669,611 | ) | ||
Securities sold short | 106,062,621 | |||
(Purchase)/Sale of short term investments, net | 690,013,625 | |||
Amortization (accretion) of discount and premium, net | 4,804,479 | |||
(Increase)/decrease in deposit with brokers for securities sold short | 48,159,198 | |||
(Increase)/decrease in due from broker for futures variation margin | 1,351,496 | |||
(Increase)/decrease in unrealized appreciation on forward currency contracts | 222,072 | |||
(Increase)/decrease in interest receivable | 1,338,698 | |||
(Increase)/decrease in receivable for dividends and tax reclaims | (1,181,367 | ) | ||
(Increase)/decrease in prepaid expenses | (67,748 | ) | ||
Increase/(decrease) in payable for foreign currencies sold short | 11,630,604 | |||
Increase/(decrease) in payable for money manager fees | 1,143,685 | |||
Increase/(decrease) in dividends and interest for securities sold short | (10,769 | ) | ||
Increase/(decrease) in accrued expenses and other liabilities | (2,677,593 | ) | ||
Increase/(decrease) in payable for investment advisory and administrative fees | (149,172 | ) | ||
Net realized (gain) loss from investments | (165,384,064 | ) | ||
Net change in unrealized (appreciation) depreciation on investments | 274,094,058 | |||
Net cash provided by (used in) operating activities | 1,025,010,612 | |||
Cash flows provided by (used in) financing activities | ||||
Distributions paid to shareholders | (110,001,072 | ) | ||
Proceeds from shares sold | 198,078,665 | |||
Payment for shares redeemed | (1,011,180,477 | ) | ||
Increase (decrease) in reverse repurchase agreements | (61,059,976 | ) | ||
Net cash provided by (used in) financing activities | (984,162,860 | ) | ||
Net increase (decrease) in cash | 40,847,752 | |||
Cash at beginning of year | 41,445,326 | |||
Cash at end of year | $ | 82,293,078 | ||
Non cash financing activities not included herein consist of reinvestment of distributions of: | $ | 165,935,356 | ||
Interest paid: | $ | (119,044 | ) |
See accompanying Notes to Financial Statements.
35
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2015 |
1. Organization
TIFF Investment Program (“TIP”) is a no-load, open-end management investment company that seeks to improve the net investment returns of its members through two investment vehicles, each with its own investment objective and policies. TIP was originally incorporated under Maryland law on December 23, 1993, and was reorganized, effective December 16, 2014, as a Delaware statutory trust. As of December 31, 2015, TIP consisted of two mutual funds, TIFF Multi-Asset Fund (“MAF” or the “fund”) and TIFF Short-Term Fund (“STF”), each of which is diversified, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). 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.
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
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TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2015 |
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 could reasonably expect to receive upon selling an asset or pay to transfer a liability in a timely transaction to an independent buyer in the principal or most advantageous market for the asset or liability, respectively. A three-tier 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)
37
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2015 |
The following is a summary of the inputs used as of December 31, 2015, 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*+ | $ | 1,567,289,929 | $ | 1,425,984,492 | $ | — | $ | 2,993,274,421 | |||||||||
Participation Notes* | — | 6,529,495 | — | 6,529,495 | |||||||||||||
Convertible Bonds | — | 723,840 | — | 723,840 | |||||||||||||
Corporate Bonds | — | 391,500 | — | 391,500 | |||||||||||||
Asset-Backed Securities | — | 36,124,064 | — | 36,124,064 | |||||||||||||
Mortgage-Backed Securities | — | 75,496,499 | — | 75,496,499 | |||||||||||||
US Treasury Bonds/Notes | 377,330,599 | — | — | 377,330,599 | |||||||||||||
Exchange-Traded Funds and Mutual Funds | 135,485,858 | — | — | 135,485,858 | |||||||||||||
Private Investment Funds | — | — | 855,166,550 | 855,166,550 | |||||||||||||
Publicly Traded Limited Partnerships | 5,693,176 | — | — | 5,693,176 | |||||||||||||
Preferred Stocks* | 2,239,300 | 20,235,781 | — | 22,475,081 | |||||||||||||
Rights | — | 108,907 | — | 108,907 | |||||||||||||
Disputed Claims Receipt | 426,928 | 426,928 | |||||||||||||||
Warrants | 2,971,258 | 24,797 | — | 2,996,055 | |||||||||||||
Short-Term Investments | 289,340,957 | — | — | 289,340,957 | |||||||||||||
Total Investments in Securities | 2,380,351,077 | 1,565,619,375 | 855,593,478 | 4,801,563,930 | |||||||||||||
Financial Futures Contracts – Interest Rate Risk | 3,523 | — | — | 3,523 | |||||||||||||
Financial Futures Contracts – Equity Risk | 1,338,444 | — | — | 1,338,444 | |||||||||||||
Swap Contracts – Equity Risk | — | 12,031 | — | 12,031 | |||||||||||||
Total Other Financial Instruments | 1,341,967 | 12,031 | — | 1,353,998 | |||||||||||||
Total Assets | $ | 2,381,693,044 | $ | 1,565,631,406 | $ | 855,593,478 | $ | 4,802,917,928 | |||||||||
Liabilities | |||||||||||||||||
Common Stocks Sold Short* | $ | (54,019,999 | ) | $ | (39,201,013 | ) | $ | — | $ | (93,221,012 | ) | ||||||
Financial Futures Contracts – Interest Rate Risk | (108,072 | ) | — | — | (108,072 | ) | |||||||||||
Financial Futures Contracts – Foreign Currency Risk | (1,163,151 | ) | — | — | (1,163,151 | ) | |||||||||||
Swap Contracts – Equity Risk | — | (441,105 | ) | — | (441,105 | ) | |||||||||||
Total Other Financial Instruments | (1,271,223 | ) | (441,105 | ) | — | (1,712,328 | ) | ||||||||||
Total Liabilities | $ | (55,291,222 | ) | $ | (39,642,118 | ) | $ | — | $ | (94,933,340 | ) |
* | Securities categorized as Level 2 primarily include listed foreign equities 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. |
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, 2015.
38
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2015 |
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, 2014 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers in to Level 3 | Transfers out of Level 3 | Balance as of December 31, 2015 | Net Change in Unrealized Appreciation (Depreciation) from Investments still held as of 12/31/15 for the period ended 12/31/15 | ||||||||||||||||||||||||||||||
Common Stocks* | $ | 538,867 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 538,867 | $ | — | $ | — | ||||||||||||||||||||
Disputed Claims Receipt | — | — | — | (111,939 | ) | — | — | 538,867 | — | 426,928 | (111,939 | ) | ||||||||||||||||||||||||||||
Private Investment Funds | 992,325,280 | — | 25,579,894 | (37,227,608 | ) | 40,000,000 | (165,511,016 | ) | — | — | 855,166,550 | (24,731,445 | ) | |||||||||||||||||||||||||||
Corporate Bond* | — | — | (213,716 | ) | 213,716 | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Total | $ | 992,864,147 | $ | — | $ | 25,366,178 | $ | (37,125,831 | ) | $ | 40,000,000 | $ | (165,511,016 | ) | $ | 538,867 | $ | 538,867 | $ | 855,593,478 | $ | (24,843,384 | ) |
* | 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 of trustees. 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, Corporate Bonds and Disputed Claims Receipt. Securities for which market quotations are not readily available or for which available prices are deemed unreliable are valued at their fair value as determined in good faith under procedures established by the 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.
39
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2015 |
The valuation techniques and significant observable inputs used in recurring Level 3 fair value measurements of assets were as follows:
As of December 31, 2015 | Fair Value | Valuation Methodology | Significant Unobservable Inputs | Range | Weighted Average | |||||||||||||||
Common Stocks | $ | — | Last market price | Discount(%) | 100% | 100% | ||||||||||||||
Disputed Claims Receipt | 426,928 | Corporate action model | Future claim awards | — | — | |||||||||||||||
Private Investment Funds | 855,166,550 | Adjusted net asset value | Manager estimates | (4.52)% – 0.59% | (0.28 | )% | ||||||||||||||
Market returns* | (1.15)% – 1.11% | (0.49 | )% |
* | 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 Disputed Claims Receipt. The methodology and unobservable inputs in the above chart reflect the methodology 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 manager estimates and market returns reflected in the above chart identify the range of estimates and returns used in valuing the private investment funds at period end. A significant increase (decrease) in the estimates received from the manager 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) | $ | 294,442,728 | daily, quarterly, annually | 2 – 65 days | ||||||||
Long-Short Global (c) | 217,529,101 | quarterly, semi-annually, 3 year rolling | 45 – 90 days | |||||||||
Relative Value (d) | 205,902,166 | quarterly | 65 – 90 days | |||||||||
Commodity Futures (e) | 108,937,009 | daily | 1 day | |||||||||
Global Equity (f) | 28,355,546 | quarterly | 30 days | |||||||||
Total | $ | 855,166,550 |
(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 $482,788 of illiquid investments in liquidation. The fund expects to receive distributions on a bi-monthly basis over the next one to three years. |
(c) | This strategy entails the construction of portfolios primarily comprising long and short positions in global common stocks. |
(d) | This strategy entails the construction of portfolios seeking to exploit price differences between similar securities through both long and short positions. |
(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. |
40
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2015 |
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. Inflation (deflation) adjustments on inflation-protected securities are included in interest 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, 2012 - December 31, 2015), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
Expenses
Expenses directly attributable to MAF are charged to the fund’s operations; expenses that are applicable to all TIP funds are allocated based on the relative average daily net assets of each TIP fund.
Dividends to Members
It is the fund’s policy to declare dividends from net investment income quarterly and distributions from capital gains at least annually.
MAF has adopted a managed distribution policy that aims, on a best efforts basis, to distribute approximately 5% of the fund’s net assets in the form of dividends and distributions each year. Pursuant to this policy, the fund may make distributions that are ultimately characterized as return of capital.
Dividends from net short-term capital gains and net long-term capital gains of the fund, if any, are normally declared and paid in December, but the fund may make distributions on a more frequent basis in accordance with the distribution requirements of the Code. To the extent that a net realized capital gain could be reduced by a capital loss carryover, such gain will not be distributed. Dividends and distributions are recorded on the ex-dividend date.
Foreign Currency Translation
The books and records of the fund are maintained in US dollars. Foreign currency amounts are translated into US dollars on the following basis:
(i) | the foreign currency value of investments and other assets and liabilities denominated in foreign currency are translated into US dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date; |
(ii) | purchases and sales of investments, income, and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. |
The resulting net realized and unrealized foreign currency gain or loss is included in the Statement of Operations.
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TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2015 |
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, 2015, the fund invested in derivatives, such as but not limited to futures 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’s 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 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.
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.
42
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2015 |
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; and (2) to gain short- or long-term exposure, both long and short, to the total returns of individual stocks and bonds. 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. The fund’s holdings of swaps at the end of the year are indicative of the types of positions held throughout the year.
Generally, swap agreements are contracts between a fund and another party (the swap counterparty) involving the exchange of payments on specified terms over periods ranging from a few days to multiple years. A swap agreement may be negotiated bilaterally and traded OTC between the two parties (for an uncleared swap) or, in some instances, must be transacted through a Futures Commission Merchant and cleared through a clearinghouse that serves as a central counterparty (for a cleared swap). In a basic swap transaction, the fund agrees with the swap counterparty to exchange the returns (or differentials in rates of return) and/or cash flows earned or realized on a particular “notional amount” or value of predetermined underlying reference instruments. The notional amount is the set dollar or other value selected by the parties to use as the basis on which to calculate the obligations that the parties to a swap agreement have agreed to exchange. The parties typically do not actually exchange the notional amount. Instead they agree to exchange the returns that would be earned or realized if the notional amount were invested in given investments or at given interest rates. Examples of returns that may be exchanged in a swap agreement are those of a particular security, a particular fixed or variable interest rate, a particular non-US currency, or a “basket” of securities representing a particular index. Swaps can also be based on credit and other events.
A fund will generally enter into swap agreements on a net basis, which means that the two payment streams that are to be made by the fund and its counterparty with respect to a particular swap agreement are netted out, with the fund receiving or paying, as the case may be, only the net difference in the two payments. The fund’s obligations (or rights) under a swap agreement that is entered into on a net basis will generally be the net amount to be paid or received under the agreement based on the relative values of the obligations of each party upon termination of the agreement or at set valuation dates. The fund will accrue its obligations under a swap agreement daily (offset by any amounts the counterparty owes the fund). If the swap agreement does not provide for that type of netting, the full amount of the fund’s obligations will be accrued on a daily basis.
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.
43
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2015 |
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.
Cleared swaps are subject to mandatory central clearing. Central clearing is designed to reduce counterparty credit risk and increase liquidity compared to bilateral swaps because central clearing interposes the central clearinghouse as the counterparty to each participant’s swap, but it does not eliminate those risks completely and may involve additional costs and risks not involved with uncleared swaps.
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 or short equity positions and also opportunistically to generate total returns. The fund may also engage in writing options, for example, to express a long view on a security. When writing a put option, the risk to the fund is equal to the notional value of the position. The fund did not hold options during the reporting 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
44
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2015 |
fund will realize a gain in the amount of the premium received. As the writer of a put option, the fund may be required to pledge cash and/or other liquid assets at least equal to the value of the fund’s obligation under the written put.
The fund may write “covered” call options, meaning that the fund owns the underlying instrument that is subject to the call or has cash and/or liquid securities with a value at all times sufficient to cover its potential obligations under the option. When the fund writes a covered call option, any underlying instruments that are held by the fund and are subject to the call option will be earmarked as segregated on the books of the fund or the fund’s custodian. A fund will be unable to sell the underlying instruments that are subject to the written call option until it either effects a closing transaction with respect to the written call, or otherwise satisfies the conditions for release of the underlying instruments from segregation, for example, by segregating sufficient cash and/or liquid assets necessary to enable the fund to purchase the underlying instrument in the event the call option is exercised by the buyer.
When the fund writes an option, an amount equal to the premium received by the fund is included in the fund’s Statement of Assets and Liabilities as a liability and subsequently marked to market to reflect the current value of the option written. These contracts may also involve market risk in excess of the amounts stated in the Statement of Assets and Liabilities. In addition, the fund could be exposed to risk if the counter-parties are unable to meet the terms of the contract or if the value of foreign currencies change unfavorably to the US dollar. The current market value of a written option is the last sale price on the market on which it is principally traded. If the written option expires unexercised, the fund realizes a gain in the amount of the premium received. If the fund enters into a closing transaction, it recognizes a gain or loss, depending on whether the cost of the purchase is less than or greater than the premium received.
Forward Currency Contracts
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.
A forward currency contract is an agreement between two parties to buy or sell a specific currency for another at a set price on a future date, which is individually negotiated and privately traded by currency traders and their customers in the interbank market. The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. Forward currency contracts are marked-to-market daily, and the change in value is recorded by the fund as an unrealized gain or loss. The fund may either exchange the currencies specified at the maturity of a forward contract or, prior to maturity, enter into a closing transaction involving the purchase or sale of an offsetting forward contract. Closing transactions with respect to forward contracts are usually performed with the counterparty to the original forward contract. The gain or loss arising from the difference between the US dollar cost of the original contract and the value of the foreign currency in US dollars upon closing a contract is included in net realized gain (loss) from forward currency contracts on the Statement of Operations. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the fund’s Statement of Assets and Liabilities. In addition, the fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the US dollar.
Forward currency contracts held by the fund are fully collateralized by other securities, as disclosed in the accompanying Schedule of Investments. The collateral is evaluated daily to ensure its market value equals or exceeds the current market value of the corresponding forward currency contracts.
Short Selling
The fund sells securities it does not own in anticipation of a decline in the market price of such securities or in order to hedge portfolio positions. The fund generally will borrow the security sold in order to make delivery to the buyer. Upon entering into a short position, the fund records the proceeds as a deposit with broker for securities sold short in its Statement of Assets and Liabilities and establishes an offsetting liability for the securities or foreign currencies sold under the short sale agreement. The cash is retained by the fund’s broker as collateral for the short position. The fund must also post an additional amount of margin of 50% of the
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TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2015 |
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.
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 agreements 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, 2015, the fund’s derivative assets and liabilities (by contract type) are as follows:
Assets | Liabilities | |||||||
Derivative Financial Instruments: | ||||||||
Warrants | $ | 2,996,055 | $ | — | ||||
Swap Contracts | 12,031 | (441,105 | ) | |||||
Financial Futures Contracts | 1,341,967 | (1,271,223 | ) | |||||
Total derivative assets and liabilities | 4,350,053 | (1,712,328 | ) | |||||
Derivatives not subject to a netting provision or similar arrangement | 4,338,022 | (1,271,223 | ) | |||||
Total assets and liabilities subject to a netting provision or similar arrangement | $ | 12,031 | $ | (441,105 | ) |
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TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2015 |
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, 2015:
Counterparty | Derivative Assets Subject to a Netting Provision or Similar Arrangement | Derivatives Available for Offset | Collateral Received | Net Amount | ||||||||||||
Swaps | ||||||||||||||||
Bank of America Merrill Lynch | $ | 12,031 | $ | (12,031 | ) | $ | — | $ | — | |||||||
Total | $ | 12,031 | $ | (12,031 | ) | $ | — | $ | — |
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, 2015:
Counterparty | Derivative Liabilities Subject to a Netting Provision or Similar Arrangement | Derivatives Available for Offset | Collateral Pledged | Net Amount | ||||||||||||
Swaps | ||||||||||||||||
Bank of America Merrill Lynch | $ | (441,105 | ) | $ | 12,031 | $ | 429,074 | $ | — | (a) | ||||||
Total | $ | (441,105 | ) | $ | 12,031 | $ | 429,074 | $ | — |
(a) | In some instances, the actual collateral received and/or pledged may be more than the amount shown here due to overcollateralization. |
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, 2015. 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, 2015, grouped by contract type and risk exposure category.
Derivative Type | Balance Sheet Location | Interest Rate Risk | Foreign Currency Risk | Equity Risk | Total | ||||||||||||||||
Asset Derivatives | |||||||||||||||||||||
Rights | Investments, at value | $ | — | $ | — | $ | 108,907 | $ | 108,907 | ||||||||||||
Warrants | Investments, at value | — | — | 2,996,055 | 2,996,055 | ||||||||||||||||
Swap Contracts | Swap contracts, at value | — | — | 12,031 | 12,031 | ||||||||||||||||
Financial Futures Contracts | Variation margin* | 3,523 | — | 1,338,444 | 1,341,967 | ||||||||||||||||
Total Value – Assets | $ | 3,523 | $ | — | $ | 4,455,437 | $ | 4,458,960 | |||||||||||||
Liability Derivatives | |||||||||||||||||||||
Swap Contracts | Swap contracts, at value | — | — | (441,105 | ) | (441,105 | ) | ||||||||||||||
Financial Futures Contracts | Variation margin* | (108,072 | ) | (1,163,151 | ) | — | (1,271,223 | ) | |||||||||||||
Total Value – Liabilities | $ | (108,072 | ) | $ | (1,163,151 | ) | $ | (441,105 | ) | $ | (1,712,328 | ) |
* | 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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TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2015 |
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, 2015, grouped by contract type and risk exposure category.
Derivative Type | Income Statement Location | Interest Rate Risk | Foreign Currency Risk | Equity Risk | Total | ||||||||||||||||
Realized Gain (Loss) | |||||||||||||||||||||
Rights | Net realized gain (loss) from Investments | $ | — | $ | — | $ | (67,187 | ) | $ | (67,187 | ) | ||||||||||
Warrants | Net realized gain (loss) from Investments | — | — | 266,568 | 266,568 | ||||||||||||||||
Swap Contracts | Net realized gain (loss) from Swaps contracts | — | — | (14,583,748 | ) | (14,583,748 | ) | ||||||||||||||
Forward Currency Contracts | Net realized gain (loss) from Forward currency contracts | — | 238,144 | — | 238,144 | ||||||||||||||||
Financial Futures Contracts | Net realized gain (loss) from Financial futures contracts | (4,184,933 | ) | 2,191,050 | 8,623,996 | 6,630,113 | |||||||||||||||
Total Realized Gain (Loss) | $ | (4,184,933 | ) | $ | 2,429,194 | $ | (5,760,371 | ) | $ | (7,516,110 | ) |
The following table lists the change in unrealized appreciation (depreciation) included in net increase in net assets resulting from operations for the year ended December 31, 2015, 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) | |||||||||||||||||||||
Rights | Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies | $ | — | $ | — | $ | 108,907 | $ | 108,907 | ||||||||||||
Warrants | Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies | — | — | (310,685 | ) | (310,685 | ) | ||||||||||||||
Swap Contracts | Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies | — | — | 2,483,816 | 2,483,816 | ||||||||||||||||
Forward Currency Contracts | Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies | — | (222,072 | ) | — | (222,072 | ) | ||||||||||||||
Financial Futures Contracts | Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies | 3,312,007 | (2,281,820 | ) | 1,615,451 | 2,645,638 | |||||||||||||||
Total Change in Appreciation (Depreciation) | $ | 3,312,007 | $ | (2,503,892 | ) | $ | 3,897,489 | $ | 4,705,604 |
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TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2015 |
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 fee terms during the year ended December 31, 2015, were as follows:
Minimum | Maximum | |||||||
AJO, LP (a) | 0.10 | % | 0.50 | % | ||||
AJO, LP – EM (a) | 0.00 | % | 1.62 | % | ||||
Amundi Smith Breeden LLC – Beta (b) | 0.02 | % | 0.03 | % | ||||
Amundi Smith Breeden LLC – High Alpha (c) | 0.25 | % | (c) | |||||
Amundi Smith Breeden LLC – Low Alpha (a) | 0.10 | % | 0.85 | % | ||||
Brookfield Investment Management Inc. (a) | 0.50 | % | 2.50 | % | ||||
Fundsmith, LLP (b) | 0.90 | % | 0.90 | % | ||||
Glenhill Capital Advisors, LLC (d) | 0.65 | % | (d) | |||||
Hosking Partners LLP (e) | 0.28 | % | (e) | |||||
Kopernik Global Investors, LLC (b) | 0.50 | % | 0.65 | % | ||||
Lansdowne Partners (UK) LLC (b) | 0.80 | % | 0.80 | % | ||||
Marathon Asset Management, LLP – EM (f) | 0.35 | % | (f) | |||||
Marathon Asset Management, LLP – EAFE (a) | 0.15 | % | 1.60 | % | ||||
Mission Value Partners, LLC (g) | 0.25 | % | (g) | |||||
Mondrian Investment Partners Limited (b) | 0.30 | % | 0.43 | % | ||||
Shapiro Capital Management LLC (a) | 0.50 | % | 0.95 | % | ||||
Southeastern Asset Management, Inc. (b) | 0.75 | % | 0.75 | % |
(a) | Money manager receives a fee that is based on performance. |
(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 0.75% and 0.55%, 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. |
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TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2015 |
(e) | Currently Hosking’s compensation entails an asset-based fee of 0.28%, and a performance fee, pursuant to which Hosking will receive 18% of the amount by which the annualized return generated by the portfolio exceeds that of a specified benchmark, measured over a rolling sixty month period, multiplied by the average daily net asset value of the portfolio over the same sixty month period. Prior to August 1, 2015, compensation entailed an asset-based fee schedule with break points of 0.33% and 0.28% and a performance fee of 20%. |
(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 by which the annualized return generated by the portfolio exceeds that of a specified benchmark, measured over a rolling thirty-six month period, multiplied by the average net asset value of the portfolio over the same thirty-six month period, subject to a high-water mark. |
(g) | Mission Value Partners’ compensation entails an asset-based fee schedule with breakpoints between 1.00% and 0.25%, and a performance fee. For the performance fee, Mission Value Partners will receive the lesser of (i) 10% of the amount by which the annualized return generated by the portfolio exceeds that of a specified benchmark plus a spread, measured over a rolling thirty-six month period, or (ii)1.00%, multiplied by the average daily net asset value of the portfolio over the same thirty-six month period. |
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 $47,864 from MAF for the year ended December 31, 2015, for service as independent chair. As of December 31, 2015, $12,284 remained payable on the Statement of Assets and Liabilities.
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, 2015, were as follows:
Purchases | Sales | |||||||
Non-US Government Securities | $ | 2,768,237,521 | $ | 2,808,069,902 | ||||
US Government Securities | $ | 310,590,192 | $ | 603,987,076 |
50
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2015 |
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) on investment securities, other than proceeds from securities sold short, at December 31, 2015, are as follows:
Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation) | Cost | |||||||||
$513,738,191 | $(648,026,934) | $(134,288,743) | $4,935,852,672 |
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, 2015, 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 | ||||||
$13,141,298 | $(13,132,053) | $(9,245) |
At December 31, 2015, 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) | |||||||||
$ — | $ — | $ — | $(136,641,736) |
(a) | Includes unrealized appreciation on investments, short sales, derivatives, and foreign currency-denominated assets and liabilities, if any. |
The amount and character of tax basis distributions paid during the years ended December 31, 2015 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.
2015 | 2014 | |||||||||||||||||||||||||||
Ordinary Income | Long-Term Capital gain | Return of Capital | Total | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total | |||||||||||||||||||||
$95,211,799 | $ | 146,924,081 | $ | 33,800,548 | $ | 275,936,428 | $ | 136,978,211 | $ | 268,440,487 | $ | — | $ | 405,418,698 |
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TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2015 |
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.
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. 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.
If the counterparty defaults on its obligation to repurchase the underlying securities at a time when the value of these securities has declined, the fund may incur a loss upon their disposition. In addition, although the Bankruptcy Code provides protection for most repurchase agreements (generally, those that are collateralized fully), in the event that the other party to a repurchase agreement becomes bankrupt, the fund may experience delay or be prevented from exercising its right to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the fund seeks to assert this right. In addition, to the extent that the value of the securities received from the counterparty on a repurchase transaction is less than the repurchase price, the fund may suffer a loss of that amount in the event of the bankruptcy of the counterparty. Finally, it is possible that the fund may not be able to substantiate its interest in the underlying securities.
The difference between the amount the fund receives for the securities and the additional amount it pays on repurchase is deemed to be a payment of interest. As of December 31, 2015, there were no open reverse repurchase agreements.
For the year ended December 31, 2015, the average balance outstanding was $47,753,575 and the average interest rate was 0.24%.
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, 2015:
Counterparty | Assets Subject to a Netting Provision or Similar Arrangement | Liabilities Available for Offset | Collateral | Net Amount | ||||||||||||
Fixed Income Clearing Corp. | $ | 188,972,344 | $ | — | $ | (188,972,344 | ) | $ | — | |||||||
Total | $ | 188,972,344 | $ | — | $ | (188,972,344 | ) | $ | — |
Please see Note 3, Derivatives and Other Financial Instruments, for further discussion of netting provisions and similar arrangements.
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TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2015 |
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.
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.
53
Report of Independent Registered Public Accounting Firm
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, 2015, 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, 2015, 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, 2015, 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 29, 2016
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TIFF Multi-Asset Fund | December 31, 2015 |
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 SEC’s website at http://www.sec.gov. TIP’s Form N-Q may be reviewed and copied at the SEC’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. Certain portfolio holdings on the TIFF website may be reported in the aggregate, rather than on an individual basis, or otherwise in an abbreviated format.
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, 2015.
Qualified dividend income of $51,356,503 represents distributions paid from investment company taxable income for the year ended December 31, 2015, 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 American Taxpayer Relief Act of 2012. The distributions paid represent the maximum amount that may be considered qualified dividend income.
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TIFF Multi-Asset Fund | December 31, 2015 |
Approval of Money Manager Agreements (Unaudited) |
Approval of Money Manager Agreements
During an in-person meeting held on September 9, 2015, 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”) (i) a money manager agreement between TIP and Fundsmith, LLP (“Fundsmith”), a new money manager managing assets on behalf of Multi-Asset Fund; (ii) an amended and restated money manager agreement with AJO, LP (“AJO”), an existing money manager; (iii) an amendment to the money manager agreement and fee schedule with Hosking Partners LLP (“Hosking”), an existing money manager; and (iv) a new money manager agreement with Amundi Smith Breeden, LLC (“Amundi Smith Breeden”), an existing money manager.
Approval of New Money Manager Agreement with Fundsmith, LLP
At the meeting held on September 9, 2015, the trustees evaluated and approved a new money manager agreement (the “money manager agreement”) with Fundsmith, a new money manager managing assets on behalf of Multi-Asset Fund, which became effective on September 30, 2015.
In considering the money manager agreement with Fundsmith for Multi-Asset Fund, the Board requested and considered a wide range of information from TIFF Advisory Services, Inc. (“TAS” or the “adviser”) and Fundsmith in advance of the meeting. The Board considered information regarding Fundsmith’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 Fundsmith’s investment professionals both during their time at Fundsmith and with their previous employers. Information about Fundsmith’s proposed brokerage practices was also provided, including proposed allocation methodologies and best execution policies. In addition, the Board considered information with respect to the compliance and administration of Fundsmith, including, but not limited to, its code of ethics and business continuity procedures, as well as information concerning any material violations of such compliance programs, the background of the individual serving as the chief compliance officer, and disclosure about regulatory examinations or other inquiries and litigation proceedings affecting Fundsmith.
The Board also considered a memorandum from its independent counsel setting forth the Board’s fiduciary duties and responsibilities under the 1940 Act and applicable state law and the factors the Board should consider in its evaluation of the money manager agreement. The Board also reviewed Fundsmith’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 Fundsmith’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 Fundsmith on behalf of Multi-Asset Fund. The Board considered information describing the anticipated impact of adding Fundsmith as a money manager to Multi-Asset Fund; the advisory services Fundsmith was expected to provide to the Fund; the potential benefits of including Fundsmith as a money manager to the Fund; and other information deemed relevant. The potential benefits of adding Fundsmith as a money manager of Multi-Asset Fund were identified as: (1) the addition of an intuitive and well-defined investment strategy of allocating capital to high-quality and predictable businesses in stable sectors; (2) active management style with daily liquidity; (3) low turnover approach to trading; and (4) performance records achieved by other accounts managed by Fundsmith’s investment professionals and their reputations and experience in the industry. The Board noted certain risks, including recent positive performance of the sector/style; the decentralized structure of the small investment team; and significant asset growth since the launch of the strategy.
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TIFF Multi-Asset Fund | December 31, 2015 |
Approval of New Money Manager Agreement with Fundsmith, LLP (continued)
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 Fundsmith. The Board did not specifically consider the profitability of Fundsmith expected to result from its relationship with the Fund because Fundsmith is not affiliated with TAS or TIP except by virtue of serving as a money manager, and the fees to be paid to Fundsmith 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 Fundsmith in connection with providing services to the Fund; (3) the nature, quality, and extent of the services expected to be performed by Fundsmith; and (4) the expected effects of adding Fundsmith as a money manager of Multi-Asset Fund. The Board considered the experience of Fundsmith’s investment personnel. The Board also noted that the proposed management fee did not include breakpoints but was comparable to other global long-only equity managers and was consistent with the terms Fundsmith offered to other investors.
In arriving at its decision to approve the money manager agreement with Fundsmith, 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 unanimously voted to approve the money manager agreement with Fundsmith 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 Fundsmith 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 and, therefore, approving the money manager agreement with Fundsmith was desirable and in the best interests of Multi-Asset Fund and its members.
Approval of Amended and Restated Money Manager Agreement with AJO, LP
During the in-person meeting held on September 9, 2015, TAS recommended that the Board evaluate and approve an amended and restated money manager agreement (the “amended agreement”) to enable AJO to manage a new emerging markets investment mandate for Multi-Asset Fund, effective September 23, 2015.
In considering the amended agreement with AJO for Multi-Asset Fund, the trustees noted that in connection with their annual review of TIP’s investment advisory arrangements and fees (the “Annual Review”) on June 25-26, 2015, they had approved the continuance of the previous agreement between TIP, on behalf of Multi-Asset Fund, and AJO for another one-year term commencing July 1, 2015. In connection with the Annual Review, the Board requested and considered a wide range of information of the type they regularly consider when determining whether to continue the Fund’s money manager agreements as in effect from year to year. TAS staff indicated at the Annual Review that it was considering AJO for an emerging markets mandate and that additional information would be provided at a subsequent meeting. A discussion of the Board’s consideration of the previous agreement with AJO at the Annual Review is included in TIP’s semi-annual report for the period ended June 30, 2015.
In approving the amended agreement at the September 9, 2015 meeting, the Board considered the information provided and the factors considered in connection with the review of the previous agreement at the Annual Review, as well as such other information as the Board considered appropriate. The Board also considered a memorandum and related materials from TAS and a memorandum from its independent counsel setting forth the Board’s fiduciary duties and responsibilities under the 1940 Act and applicable state law and the factors the Board should consider in its evaluation of the amended agreement. The Board noted that TAS recommended the addition of a new small-cap emerging market equities mandate as an opportunity to
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TIFF Multi-Asset Fund | December 31, 2015 |
Approval of Amended and Restated Money Manager Agreement with AJO, LP (continued)
diversify Multi-Asset Fund’s existing fundamental, long-oriented emerging market equity managers and to replace passive emerging-market exposure in the Fund with active management.
The Board considered a number of additional factors in evaluating the amended agreement with AJO. The Board considered information deemed relevant, including the memorandum from TAS explaining the proposed addition of the emerging markets account, why AJO’s quantitative investing approach was attractive, and information related to the key differences between the broader emerging markets sector and the emerging markets small-cap sector, including geographic revenue drivers and relevant index performance. The trustees took into account that, due to the strategies’ inception date of January 2013, the performance track records of AJO’s emerging market strategies were fairly limited. However, the Board noted that performance has been good in both absolute and relative terms against the benchmark and peer universes. The trustees also considered the other revisions to the amended agreement, which were made in order to conform the amended agreement to the Fund’s current standard form of money manager agreement. The Board also noted the information received at regular meetings throughout the year related to the services rendered by AJO concerning the management of Multi-Asset Fund’s portfolio. The Board’s evaluation of the services provided by AJO took into account the board’s knowledge and familiarity gained as Board members regarding the scope and quality of AJO’s investment management capabilities. The Board concluded that, overall, it was satisfied with the nature, quality, and extent of the services currently being provided, and expected to be provided, by AJO. Consistent with the approach taken by the Board at the Annual Review, the Board did not specifically consider the profitability or expected profitability of AJO resulting from its relationship with Multi-Asset Fund because AJO is not affiliated with TAS or TIP, except by virtue of serving as a money manager, and the fees to be paid to AJO 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 Annual Review and at the meeting held on September 9, 2015, and discussed above, including: (1) the terms of the previous agreement and the amended agreement; (2) the reasonableness of AJO’s fees in light of the nature and quality of the services provided and any additional benefits received by AJO in connection with providing services to Multi-Asset Fund; (3) the nature, quality, and extent of the services performed and expected to be performed by AJO; (4) the overall organization, skills, and experience of AJO; and (5) the contribution and expected contribution of AJO towards the overall performance of Multi-Asset Fund. The Board also considered the fact that, because the Fund is an existing client of AJO, it would receive a discount on the proposed fee. Further, the Board considered AJO’s skills and experience in managing emerging market mandates and portfolios similar in nature to the proposed new emerging markets account. In arriving at its decision, the Board did not single out any one factor or group of factors as being more important than the other factors, but considered all of these factors together with a view toward past and future long-term considerations.
After carefully considering the information summarized above and all factors deemed to be relevant, the trustees unanimously voted to approve the amended agreement with AJO. Prior to a vote being taken to approve the amended agreement, the trustees met separately in executive session to discuss the appropriateness of the amended 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 amended agreement with AJO was reasonable, fair, and in the best interests of Multi-Asset Fund and its members, and that the fees provided in such amended agreement were fair and reasonable.
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TIFF Multi-Asset Fund | December 31, 2015 |
Approval of the Amendment to the Money Manager Agreement and Fee Schedule with Hosking Partners LLP
At the meeting held on September 9, 2015, the Board evaluated and approved an amendment to the money manager agreement and fee schedule with Hosking, which included a reduction in both the asset based fee and the performance fee and also changed the benchmark used for the calculation of the performance fee to a blended benchmark. The proposed changes required that the Board consider and approve an amendment to the existing money manager agreement between Multi-Asset Fund and Hosking (the “amendment”), which would be applied with effect from August 1, 2015.
In considering the amendment with Hosking for Multi-Asset Fund, the trustees requested and considered information from TAS and Hosking received in advance of the meeting. Hosking had proposed a reduction in the base fee and the performance fee it receives pursuant to the existing money manager agreement initially approved at the March 30, 2015, meeting (the “initial approval”). In connection with the initial approval, the Board requested and considered a wide range of information of the type it regularly considers when determining whether to approve a new money manager agreement. The Board took into account Hosking’s representations that it proposed the reduction in order to bring Multi-Asset Fund’s fees to the same levels paid by a new client of Hosking and that there would be no change to the nature, quality, or extent of investment advisory services to be provided by Hosking, as well as the information provided and the factors considered in connection with the initial approval. It was noted that Hosking had been managing assets for Multi-Asset Fund for just a short period of time but TAS staff and the Board continued to have confidence in Hosking’s capabilities and in the services expected to be provided by Hosking. Consistent with the approach taken by the Board in respect of the initial approval, the Board did not specifically consider the profitability or expected profitability of Hosking resulting from its relationship with Multi-Asset Fund because Hosking is not affiliated with TAS or TIP, except by virtue of serving as a money manager, and the fees to be paid to Hosking were negotiated on an arm’s length basis in a competitive market place.
After carefully considering the information summarized above and all factors deemed to be relevant, the Board unanimously voted to approve the amendment with Hosking for Multi-Asset Fund. Prior to a vote being taken, the Board met separately in executive session to discuss the appropriateness of the amendment 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 amendment with Hosking was reasonable, fair, and in the best interests of Multi-Asset Fund and its members, and that the fees provided in the agreement were fair and reasonable. In the Board’s view, approving the amendment with Hosking was desirable and in the best interests of Multi-Asset Fund and its members.
Approval of the New Money Manager Agreement with Amundi Smith Breeden LLC
At the meeting held on September 9, 2015, the Board evaluated and approved a new money manager agreement for Multi-Asset Fund with Amundi Smith Breeden, which became effective on November 12, 2015 (“new money manager agreement”). The Board was asked to approve the new money manager agreement in anticipation of a proposed initial public offering of Amundi Group, the parent company of Amundi Smith Breeden, which was expected to result in a change of control of Amundi Smith Breeden and the assignment and termination of the current money manager agreement between Amundi Smith Breeden and Multi-Asset Fund.
In considering a new money manager agreement with Amundi Smith Breeden for Multi-Asset Fund, which would become effective upon the proposed change of control in Amundi Smith Breeden’s parent company, the Board noted that in connection with the Annual Review, they had approved the continuance of the current money manager agreement between TIP, on behalf of Multi-Asset Fund, and Amundi Smith Breeden for another one-year-term commencing July 1, 2015. In connection with the Annual Review, the Board had requested and considered a wide range of information from TAS and Amundi Smith Breeden. In approving the new money manager agreement with Amundi Smith Breeden, the Board considered the same factors and information that it considered in approving the current agreement at the Annual Review, as well as such other information as the Board considered appropriate. The Board noted that the change of control at Amundi Smith Breeden was not expected to result in any changes in the nature, quality, or extent of services to be provided by Amundi Smith Breeden; was not expected to result in any changes to the investment advisory or
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TIFF Multi-Asset Fund | December 31, 2015 |
Approval of the New Money Manager Agreement with Amundi Smith Breeden LLC (continued)
other services provided to Multi-Asset Fund, or to the personnel providing such services; and was not expected to affect Amundi Smith Breeden’s ability to meet its obligations under the new money manager agreement.
The Board also noted the information received at regular meetings throughout the year related to the services rendered by Amundi Smith Breeden concerning the management of Multi-Asset Fund’s portfolio. The Board’s evaluation of the services provided by Amundi Smith Breeden took into account the Board’s knowledge and familiarity gained as Board members regarding the scope and quality of Amundi Smith Breeden’s investment management capabilities. The Board concluded that, overall, it was satisfied with the nature, quality, and extent of the services currently being provided, and expected to be provided, by Amundi Smith Breeden. Consistent with the approach taken by the Board at the Annual Review, the Board did not specifically consider the profitability or expected profitability of Amundi Smith Breeden resulting from its relationship with Multi-Asset Fund because Amundi Smith Breeden is not affiliated with TAS or TIP, except by virtue of serving as a money manager, and the fees to be paid to Amundi Smith Breeden 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 Annual Review and as discussed above, including: (1) the terms of the new money manager agreement; (2) the reasonableness of Amundi Smith Breeden’s fees in light of the nature and quality of the services provided and any additional benefits received by Amundi Smith Breeden in connection with providing services to Multi-Asset Fund; (3) the nature, quality, and extent of the services performed by Amundi Smith Breeden; (4) the overall organization, skills, and experience of Amundi Smith Breeden in managing the existing portfolios for Multi-Asset Fund; and (5) the contribution and expected contribution of Amundi Smith Breeden towards the overall performance of Multi-Asset Fund. In arriving at its decision, the Board did not single out any one factor or group of factors as being more important than the other factors, but considered all of these factors together with a view toward past and future long-term considerations. Based upon its review, the Board concluded that the new money manager agreement with Amundi Smith Breeden was reasonable, fair, and in the best interests of Multi-Asset Fund and its members, and that the fees provided in such new money manager agreement were fair and reasonable.
After carefully considering the information summarized above and all factors deemed to be relevant, the trustees unanimously voted to approve the new money manager agreement with Amundi Smith Breeden. Prior to a vote being taken, the trustees met separately in executive session to discuss the appropriateness of the new money manager 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 review of investment advisory contracts.
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TIFF Multi-Asset Fund | December 31, 2015 |
Index Descriptions |
Merrill Lynch Factor Model® (“MLFM”) is a model established by Merrill Lynch International that is designed to provide a high correlation to hedge fund beta, which is the component of the performance of a relatively diversified group of hedge funds comprising the HFRI Fund Weighted Composite Index (“HFRI”) that may be correlated to and replicated by non-hedge fund, transparent market measures such as the 6 factors that comprise the MLFM. (The HFRI is designed to reflect hedge fund industry performance through an equally weighted composite of over 2,000 constituent funds.) The MLFM implements an investment strategy intended to track the aggregated performance of the hedge fund universe with liquid, publicly traded components. Using a rules-based, discretion-free algorithm the MLFM allocates long and short exposures to the S&P 500 Total Return Index, the Russell 2000 Total Return Index, the MSCI EAFE US Dollar Net Total Return Index, the MSCI Emerging Markets US Dollar Net Total Return Index, the Euro currency (represented by the EUR-USD Spot Exchange Rate) and cash (represented by the one-month USD LIBOR). On a monthly basis the weights of the components are recalculated using a methodology designed to maximize correlation with the HFRI. Weightings for all of the factors may be negative, except with respect to the MSCI Emerging Markets US Dollar Net Total Return Index. The MLFM was launched in June 2006.
The MLFM is not comprised of any hedge fund or group of hedge funds. There is no guarantee that the MLFM will successfully provide the risk/return characteristics of a broad universe of hedge funds, as measured by HFRI or any other hedge fund benchmark, or achieve a high correlation with the HFRI or with hedge fund beta generally. Performance differences between the MLFM and HFRI are expected to be material at times. Source of MLFM: BofA Merrill Lynch, used with permission. BofA Merrill Lynch is licensing the BofA Merrill Lynch indices “as is,” makes no warranties regarding same, does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the BofA Merrill Lynch indices or any data included in, related to, or derived therefrom, assumes no liability in connection with their use, and does not sponsor, endorse, or recommend TIFF or any of its products or services.
Barclays US Intermediate Treasury Index includes all publicly issued US Treasury securities that have a remaining maturity greater than or equal to 1 year and less than 10 years, are rated investment grade, and have $250 million or more of outstanding face value.
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.
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.
HFRI Fund Weighted Composite Index is a global, equal-weighted index of over 2,000 single-manager funds. Constituent funds report monthly performance, net of all fees, in US dollars and have a minimum of $50 million under management or a 12-month track record of active performance. The index does not include hedge funds of funds.
MSCI EAFE Index (MSCI EAFE US Dollar Net Total Return Index) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets in Europe, Australasia, and the Far East. The index excludes the US and Canada. The MSCI EAFE Index consists of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom.
65/35 Mix, calculated by TAS, consists of 65% MSCI All Country World Index and 35% Barclays US Aggregate Bond Index. Weights are rebalanced by TAS at each month-end; those from July 1, 2009, through December 31, 2015, reflected quarter-end rebalancing.
One cannot invest directly in an index, and unmanaged indices do not incur fees and expenses.
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TIFF Multi-Asset Fund | December 31, 2015 |
Index Descriptions (continued) |
MSCI Emerging Markets Index (MSCI Emerging Markets US Dollar Net Total Return Index) is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance of emerging markets. The emerging markets are Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Russia, Qatar, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates.
Russell 2000 Index (Russell 2000 Total Return Index) is a market capitalization weighted index that measures the performance of the small-cap segment of the US equity universe. The index is a subset of the Russell 3000 Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership.
S&P 500 Index (S&P 500 Total Return 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.
MSCI All Country World IndexSM is a free-float adjusted market capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. Unlike certain other broad-based indices, the number of stocks included in the MSCI All Country World Index is not fixed and may vary to enable the index to continue to reflect the primary home markets of the constituent countries. MSCI All Country World Index returns include reinvested dividends, gross of foreign withholding taxes through December 31, 2000 and net of foreign withholding tax thereafter.
Consumer Price Index + 5% per annum is based on the Consumer Price Index-All Urban Consumers (CPI- U), a widely recognized measure of US inflation that represents 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 TIFF Multi-Asset Fund because, in the opinion of TIP’s directors, 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 TIFF members are subject.
The MAF Constructed Index (CI) is a blended index now comprised of three broad investment categories, weighted according to policy norms, with each category assigned a benchmark selected by TAS. Effective October 1, 2015, the CI is comprised of the following investment categories and weights: equity-oriented assets (65%), diversifying strategies (hedge funds and other) (20%), and fixed income (including cash)(15%). The benchmarks for the investment categories are MSCI All Country World Index for equity, Merrill Lynch Factor Model for diversifying strategies, and 2/3 Barclays US Intermediate Treasury Index and 1/3 BofA Merrill Lynch US 6-Month Treasury Bill Index for the fixed income category. Performance of the CI generated from July 1, 2009, through September 30, 2015, was reduced by 20 basis points (or 0.20%) per annum, prorated monthly. This reduction reflected an estimate of the costs of investing in the CI’s asset segments through index funds or other instruments. (One cannot invest directly in an index and unmanaged indices do not incur fees and expenses.) The reported performance of the CI would increase in the absence of a 20 basis point reduction. CI weights are rebalanced by TAS at each month-end; those from July 1, 2009, through December 31, 2015, reflected quarter-end rebalancing. Actual weights in MAF tend to vary over time. Historical performance for the CI is not adjusted when the composition of the CI changes. Therefore, past performance reflects the allocations, segment weights, and segment benchmarks that were in place at the time the performance was generated. TAS has changed the composition of the CI over time, including the most recent change (effective October 1, 2015) from a CI comprised of various asset segments to a CI comprised of three broad categories. In the past TAS has changed the CI policy norms (or weights), asset segments, and segment benchmarks. TAS’s on-going review of the CI may cause TAS to make additional changes in the future.
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 pass-throughs), ABS, and CMBS sectors. This index is a component of the US Universal index in its entirety.
One cannot invest directly in an index, and unmanaged indices do not incur fees and expenses.
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TIFF Short-Term Fund | December 31, 2015 |
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.
Short-term (6-month) US Treasury debt is currently yielding just under 0.5%, as it has been since the Federal Reserve’s December rate hike. If short-term yields remain constant or continue to rise, STF should return to a positive expected return investment, though there can be no assurance that returns will be positive.
Performance Review
The short-term Treasury market produced extremely low yields during 2015 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 slightly negative return of -0.10%, for the year ended December 31, 2015. As 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. The Federal Reserve Board raised the federal funds target rate slightly, for the first time in seven years, at the December Federal Open Market Committee meeting. The market started pricing in this expected rate hike in the latter part of the year, which STF sought to take advantage of, when practical, by rolling into higher yielding securities. Still, market yields for the majority of the year were simply not high enough to outweigh the fund’s ongoing costs. The benchmark index, which has no rebalancing or administrative costs, returned 0.22% for the year. 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. STF was then able to continue to hold the highest yielding securities.
64
TIFF Short-Term Fund | December 31, 2015 |
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 12/31/15 |
Calendar Year 2015 | 3-Year Annualized | 5-Year Annualized | 10-Year Annualized | Annualized Since Inception | Cumulative Since Inception | |||||||||||||||||||
Short-Term Fund | -0.10 | % | -0.13 | % | -0.08 | % | 1.24 | % | 2.85 | % | 83.62 | % | ||||||||||||
BofA ML US 6-Month T-Bill* | 0.22 | % | 0.17 | % | 0.19 | % | 1.57 | % | 3.02 | % | 90.20 | % |
Total return assumes dividend reinvestment. STF’s annualized expense ratio for calendar year 2014 is 0.24% (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, 2014, 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 2014 after eliminating a nonrecurring expense that will not apply in future periods. The expense ratio will differ for 2015.
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 12/31/15 |
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.
65
TIFF Short-Term Fund | December 31, 2015 |
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, 2015 to December 31, 2015.
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 7/1/15 | Ending Account Value 12/31/15 | Expense Paid During the Period* 7/1/15 – 12/31/15 | ||||||||||
1) Actual | $ | 1,000.00 | $ | 1,000.00 | $ | 1.11 | ||||||
2) Hypothetical | $ | 1,000.00 | $ | 1,024.10 | $ | 1.12 |
* | Expenses are equal to the fund’s annualized expense ratio of 0.22% (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 | 98.7 | % | ||
Repurchase Agreement | 1.4 | % | ||
Total Investments | 100.1 | % | ||
Liabilities in Excess of Other Assets | (0.1 | )% | ||
Net Assets | 100.0 | % |
66
TIFF Short-Term Fund | December 31, 2015 |
Financial Highlights |
Year Ended December 31, 2015 | Year Ended December 31, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | |||||||||||||||||
For a share outstanding throughout each period | |||||||||||||||||||||
Net asset value, beginning of year | $ | 9.87 | $ | 9.89 | $ | 9.90 | $ | 9.90 | $ | 9.90 | |||||||||||
Income (loss) from investment operations | |||||||||||||||||||||
Net investment income (loss) | (0.01 | ) | (0.03 | ) | (0.01 | ) | (0.01 | ) | (0.01 | ) | |||||||||||
Net realized and unrealized gain on investments | 0.00 | (a) | 0.01 | 0.00 (a) | 0.01 | 0.01 | |||||||||||||||
Total from investment operations | (0.01 | ) | (0.02 | ) | (0.01 | ) | (0.00 | ) | (0.00 | ) | |||||||||||
Net asset value, end of year | $ | 9.86 | $ | 9.87 | $ | 9.89 | $ | 9.90 | $ | 9.90 | |||||||||||
Total return (b) | (0.10 | )% | (0.20 | )% | (0.10 | )% | (0.00 | )%(c) | 0.00 | %(d) | |||||||||||
Ratios/supplemental data | |||||||||||||||||||||
Net assets, end of year (000s) | $ | 97,168 | $ | 104,383 | $ | 148,294 | $ | 136,549 | $ | 159,290 | |||||||||||
Ratio of expenses to average net assets, after waivers | 0.22 | % | 0.35 | % | 0.20 | % | 0.20 | % | 0.18 | % | |||||||||||
Ratio of net investment loss to average net assets | (0.09 | )% | (0.28 | )% | (0.11 | )% | (0.09 | )% | (0.06 | )% | |||||||||||
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 — 100.1% of net assets | |||||||||
Short-Term Investments — 100.1% | |||||||||
Repurchase Agreement — 1.4% | |||||||||
Fixed Income Clearing Corp. issued on 12/31/15 (proceeds at maturity $1,350,079) (collateralized by US Treasury Notes, due 06/30/22 through 11/15/24 with a total par value of $1,380,000 and a total market value of $1,384,614) 0.030%, 01/04/16 | |||||||||
(Cost $1,350,079) | $ | 1,350,079 | $ | 1,350,079 | |||||
US Treasury Bills (a) — 98.7% | |||||||||
US Treasury Bill, due on 03/17/16 | 14,000,000 | 13,997,158 | |||||||
US Treasury Bill, due on 03/31/16 | 3,000,000 | 2,998,734 | |||||||
US Treasury Bill, due on 04/21/16 | 20,000,000 | 19,987,560 | |||||||
US Treasury Bill, due on 04/28/16 | 28,000,000 | 27,976,536 | |||||||
US Treasury Bill, due on 05/12/16 | 1,000,000 | 998,841 |
Principal Amount | Value | |||||||
US Treasury Bill, due on 06/09/16 | $ | 16,000,000 | $ | 15,968,624 | ||||
US Treasury Bill, due on 06/16/16 | 12,000,000 | 11,974,692 | ||||||
US Treasury Bill, due on 06/30/16 | 2,000,000 | 1,995,210 | ||||||
Total US Treasury Bills — 98.7% (Cost $95,905,075) | 95,897,355 | |||||||
Total Short-Term Investments (Cost $97,255,154) | 97,247,434 | |||||||
Total Investments — 100.1% (Cost $97,255,154) | 97,247,434 | |||||||
Liabilities in Excess of Other Assets — (0.1)% | (79,864 | ) | ||||||
Net Assets — 100.0% | $ | 97,167,570 |
(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.
67
TIFF Short-Term Fund |
Statement of Assets and Liabilities |
December 31, 2015 | ||||
Assets | ||||
Investments in securities, at value (cost: $95,905,075) | $ | 95,897,355 | ||
Repurchase agreements (cost: $1,350,079) | 1,350,079 | |||
Total investments (cost: $97,255,154) | 97,247,434 | |||
Receivables: | ||||
Interest | 1 | |||
Prepaid expenses | 1,233 | |||
Total Assets | 97,248,668 | |||
Liabilities | ||||
Payables: | ||||
Accrued professional fees | 54,474 | |||
Accrued fund administration fees | 23,297 | |||
Investment advisory and administrative fees | 3,205 | |||
Accrued expenses and other liabilities | 122 | |||
Total Liabilities | 81,098 | |||
Net Assets | $ | 97,167,570 | ||
Shares Outstanding (unlimited authorized shares, par value $0.001) | 9,855,438 | |||
Net Asset Value Per Share | $ | 9.86 | ||
Net Assets Consist of: | ||||
Capital stock | $ | 97,178,352 | ||
Accumulated net investment income (loss) | — | |||
Accumulated net realized gain (loss) on investments | (3,062 | ) | ||
Net unrealized depreciation on investments | (7,720 | ) | ||
$ | 97,167,570 |
See accompanying Notes to Financial Statements.
68
TIFF Short-Term Fund |
Statement of Operations |
Year Ended December 31, 2015 | ||||
Investment Income | ||||
Interest | $ | 121,846 | ||
Total Investment Income | 121,846 | |||
Expenses | ||||
Fund administration fees | 77,711 | |||
Professional fees | 64,664 | |||
Investment advisory fees | 29,256 | |||
Registration fees | 22,891 | |||
Administrative fees | 9,752 | |||
Chief compliance officer fees | 3,522 | |||
Miscellaneous fees and other | 4,534 | |||
Total Expenses | 212,330 | |||
Net Investment Loss | (90,484 | ) | ||
Net Realized Gain (Loss) from: | ||||
Investments | 31,310 | |||
Net Realized Gain | 31,310 | |||
Net Change in Unrealized Appreciation (Depreciation) on Investments | (11,674 | ) | ||
Net Realized and Unrealized Gain on Investments | 19,636 | |||
Net Decrease in Net Assets Resulting from Operations | $ | (70,848 | ) |
See accompanying Notes to Financial Statements.
69
TIFF Short-Term Fund |
Statements of Changes in Net Assets |
Year Ended December 31, 2015 | Year Ended December 31, 2014 | |||||||
Increase (Decrease) in Net Assets From Operations | ||||||||
Net investment loss | $ | (90,484 | ) | $ | (304,226 | ) | ||
Net realized gain on investments | 31,310 | 22,797 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (11,674 | ) | (8,542 | ) | ||||
Net Decrease in Net Assets Resulting from Operations | (70,848 | ) | (289,971 | ) | ||||
Distributions | ||||||||
From net investment income | — | — | ||||||
Decrease in Net Assets Resulting from Distributions | — | — | ||||||
Capital Share Transactions | ||||||||
Proceeds from shares sold | 75,976,275 | 140,681,400 | ||||||
Proceeds from distributions reinvested | — | — | ||||||
Cost of shares redeemed | (83,121,352 | ) | (184,301,645 | ) | ||||
Net Decrease From Capital Share Transactions | (7,145,077 | ) | (43,620,245 | ) | ||||
Total Decrease in Net Assets | (7,215,925 | ) | (43,910,216 | ) | ||||
Net Assets | ||||||||
Beginning of year | 104,383,495 | 148,293,711 | ||||||
End of year | $ | 97,167,570 | $ | 104,383,495 | ||||
Including accumulated net investment income (loss) | $ | — | $ | — | ||||
Capital Share Transactions (in shares) | ||||||||
Shares sold | 7,702,464 | 14,228,272 | ||||||
Shares reinvested | — | — | ||||||
Shares redeemed | (8,426,771 | ) | (18,638,013 | ) | ||||
Net Decrease | (724,307 | ) | (4,409,741 | ) |
See accompanying Notes to Financial Statements.
70
TIFF Short-Term Fund |
Statement of Cash Flows |
Year Ended December 31, 2015 | ||||
Cash flows provided by (used in) operating activities | ||||
Net increase (decrease) in net assets resulting from operations | $ | (70,848 | ) | |
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 | 10,625,239 | |||
(Increase)/decrease in interest receivable | (1 | ) | ||
(Increase)/decrease in prepaid expenses | (1,233 | ) | ||
Increase/(decrease) in accrued expenses and other liabilities | (128,296 | ) | ||
Increase/(decrease) in payable for investment advisory and administrative fees | (148 | ) | ||
Net realized (gain) loss from investments | (31,310 | ) | ||
Net change in unrealized (appreciation) depreciation on investments | 11,674 | |||
Net cash provided by (used in) operating activities | 10,405,077 | |||
Cash flows provided by (used in) financing activities | ||||
Distributions paid to shareholders | — | |||
Proceeds from shares sold | 75,976,275 | |||
Payment for shares redeemed | (86,381,352 | ) | ||
Net cash provided by (used in) financing activities | (10,405,077 | ) | ||
Net increase (decrease) in cash | — | |||
Cash at beginning of year | — | |||
Cash at end of year | $ | — |
See accompanying Notes to Financial Statements.
71
TIFF Short-Term Fund / Notes to Financial Statements | December 31, 2015 |
1. Organization
TIFF Investment Program (“TIP”) is a no-load, open-end management investment company that seeks to improve the net investment returns of its members through two investment vehicles, each with its own investment objective and policies. TIP was originally incorporated under Maryland law on December 23, 1993, and was reorganized, effective December 16, 2014, as a Delaware statutory trust. As of December 31, 2015, TIP consisted of two mutual funds, TIFF Multi-Asset Fund (“MAF”) and TIFF Short-Term Fund (“STF” or the “fund”), each of which is diversified, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). The 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, 2015, 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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TIFF Short-Term Fund / Notes to Financial Statements | December 31, 2015 |
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, 2012 - December 31, 2015), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
Expenses
Expenses directly attributable to STF are charged to that fund’s operations; expenses that are applicable to all TIP funds are allocated among them based on the relative average daily net assets of each TIP fund.
Dividends to Members
It is the policy of the fund to declare dividends, if any, from net investment income monthly and capital gains distributions at least annually.
Dividends from net short-term capital gains and net long-term capital gains of the fund, if any, are normally declared and paid in December, but the fund may make distributions on a more frequent basis in accordance with the distribution requirements of the Code. To the extent that a net realized capital gain could be reduced by a capital loss carryover, such gain will not be distributed. Dividends and distributions are recorded on the ex-dividend date.
Net Asset Value
The net asset value per share is calculated on a daily basis by dividing the fund’s assets, less its liabilities, by the number of outstanding shares of the fund.
3. Investment Advisory and Other Agreements, and Other Transactions with Affiliates
TIP’s board of 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.
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.
73
TIFF Short-Term Fund / Notes to Financial Statements | December 31, 2015 |
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 $855 from STF for the year ended ended December 31, 2015, for service as independent chair. As of December 31, 2015, $216 remained payable on the Statement of Assets and Liabilities.
4. Federal Tax Information
For federal income tax purposes, the cost of investments, the aggregate gross unrealized appreciation/(depreciation) and the net unrealized appreciation/(depreciation) on investment securities, at December 31, 2015, are as follows:
Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation) | Cost | |||||||||
$7,391 | $(15,111) | $(7,720) | $95,905,075 |
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 | ||||||
$90,484 | $(34,372) | $(56,112) |
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) | Qualified Late-year losses | ||||||||||||
$ — | $ — | $ — | $(7,720) | $(3,062 | )(a) |
(a) | Qualified late-year losses (Late-year Ordinary losses and Post-October Capital losses) incurred after October 31, 2015 and within the taxable year, are deemed to arise on the first day of the fund’s next taxable year. The fund has Post-October capital losses listed above as of December 31, 2015. |
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, 2015 and December 31, 2014, there were no such differences.
74
TIFF Short-Term Fund / Notes to Financial Statements | December 31, 2015 |
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.
75
Report of Independent Registered Public Accounting Firm
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, 2015, 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, 2015, 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, 2015, 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 29, 2016
76
TIFF Short-Term Fund | December 31, 2015 |
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 December 31 is also available on the websites noted above and without charge, upon request, by calling 800-984-0084.
Quarterly Reporting
TIP files its complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. TIP’s Form N-Q is available without charge, upon request, by calling 800-984-0084. This information is also available on the website of the US Securities and Exchange Commission at http://www.sec.gov. TIP’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. In addition TIP’s portfolio holdings are available on a monthly basis on the TIFF website at http://www.tiff.org.
77
Trustees and Principal Officers (Unaudited) |
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 Agreement and Declaration of Trust. 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 F. McCalpin | ||
Born 1957 Trustee since February 2008 Board Chair since 2008 2 funds overseen | Principal Occupation(s) During the Past Five Years: Managing Director, Holos Consulting LLC, a consultant to foundations and non-profit organizations (2009 – present); Chair of the Board of Trustees of The Janus Funds (2008 – present); Trustee of The Janus Funds (2002 – present) (58 funds overseen). Formerly, Chief Executive Officer, Imprint Capital Advisors, LLC, an investment advisor exclusively focused on impact investing (2013 – 2015). Other Directorships: FB Heron Foundation. | |
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. | |
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. | |
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, Member of Financial Accounting Standards Board (FASB) Not-For-Profit Advisory Committee. |
78
Trustees and Principal Officers (Unaudited) |
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., The Nelson Foundation. Investment Committee member, Financial Industry Regulatory Authority (FINRA), and Compensation Committee member, Mercy Investment 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. | |
Jay L. Willoughby | ||
Born 1958 Chief Investment Officer since December 2015 | Principal Occupation(s) During the Past Five Years: Chief Investment Officer, TIFF Advisory Services, Inc. (2015 – present); CIO, Alaska Permanent Fund Corp., a sovereign wealth fund of the State of Alaska (2011 – 2015); Co-Managing Partner, Ironbound Capital Management, a global long-short equity hedge fund (2006 – 2011). |
79
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)
Fundsmith, LLP
Glenhill Capital Advisors, LLC
Hosking Partners LLP
Hudson Bay Capital Management LP (AF)
Kopernik Global Investors, LLC
Lansdowne Partners (UK), LLP
Lansdowne Partners Limited (AF)
Latimer Light Capital, LP (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, 2015, 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 Trustees 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, 2015 and 2014 were $152,965 and $148,965, 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, 2015 and 2014 were $3,700 and $3,700, 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, 2015 and 2014 were $77,495 and $86,350, 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, 2015 or 2014. |
(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, 2015 and 2014 were $242,235 and $261,766, respectively. |
(h) | The Registrant’s audit committee of the Board of Trustees 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 trustees.
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 | 2/29/16 |
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 | 2/29/16 |
By (Signature and Title) | /s/ Dawn I. Lezon | ||
Dawn I. Lezon, Treasurer and Chief Financial Officer | |||
Date | 2/29/16 |