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: | 12/31/17 | ||||
Date of reporting period: | 01/01/17 – 12/31/17 | ||||
Item 1. Reports to Stockholders.
(Annual Report for the period 1/1/17 through 12/31/17 is filed herewith)
TIFF Investment Program | ||||
2017 Annual Report | DECEMBER 31, 2017 |
Contents |
About TIFF |
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, 2017. Additional information regarding the performance of the mutual funds described herein has been provided to members via the MAF 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 28, 2018
Copyright © 2018 • 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, 2017 |
Portfolio Management Review (Unaudited) |
After having undergone significant changes in 2016, the manager roster of TIFF Multi-Asset Fund (“MAF” or the “fund”) was relatively stable during 2017. The broad repositioning effort in 2016 was intended to better enable the fund to meet its long-term objective, particularly through the addition of new diversified return streams. 2017 was a year to allow the newly constructed portfolio to work. We are pleased to report that much of the repositioning work proved advantageous in 2017, and MAF outperformed its benchmarks for the full year.
Performance Review
The fund gained 18.24% in calendar year 2017, before the deduction of entry and exit fees. This result substantially exceeded MAF’s primary long-term benchmark of CPI + 5%, which returned 7.21% in 2017. The return also exceeded MAF’s Constructed Index (“CI”), which returned 16.72% for the year. For complete, annualized performance data, including the effects of MAF’s 0.50% entry and exit fees, please see the table on page 4. TIFF Advisory Services, Inc.’s (“TAS”) allocation of capital among the three CI segments accounted for a portion of the fund’s outperformance relative to the CI, but the lion’s share of outperformance was attributable to the alpha generated by MAF’s equity managers as a group.
It was a good year across the world for asset owners as a global synchronous expansion broadened while global central banks continued to pump cash into the system. The expansion benefited virtually all asset classes and pushed broad investment returns higher than most investors had expected, with global stocks (represented by the MSCI All Country World Index, or “ACWI”) up 23.97%, fixed income returns (represented by the Bloomberg Barclays US Aggregate Bond Index) up 3.54% and hedge funds (represented by the Merrill Lynch Factor Model, or “MLFM”) up 6.70%. During the year, MAF maintained a positive, pro-equity position (remaining generally overweight the CI benchmark’s equity allocation target of 65% by 4-6%), primarily because we believed the strengthening global economy and easy money supporting asset prices would outweigh the poor sentiment around US politics and geopolitical friction outside the US. We also believed that US tax legislation promising a deep cut in the corporate tax rate would move toward enactment, benefiting equities. MAF’s equity overweight allowed for an underweight to the diversifying strategies and fixed income segments; diversifiers meaningfully underperformed the CI in 2017. Lastly, our belief that hedge funds would outperform fixed income also worked out.
Looking at MAF’s Equity-Oriented manager roster, with perhaps one exception, there weren’t any dramatic laggards, which enabled the fund’s top performers to shine. The Equity-Oriented category returned 26.25% for the year vs. the CI’s segment benchmark (ACWI) return of 23.97%. China was MAF’s top-performing region in 2017, with each of the fund’s China-focused managers posting returns surpassing 50%. We believe we have an excellent group of equity managers in China who have an edge in a market where three-quarters or so of all trading is done by retail investors. Market returns in China will not likely be this good again for a while, but we do expect manager alpha from MAF’s China managers to remain strong. Overall, MAF’s equity overweight to emerging market (“EM”) managers (vs. the EM weight in ACWI) helped, as did the fund’s underweight to US managers. Every MAF equity manager that was invested for the entire year posted positive double-digit returns, with their average return of about 29% exceeding the ACWI return. It was a good year for equities — and for MAF’s equity managers.
While hedge funds as a group did better than fixed income, MAF’s Diversifying Strategies manager roster did not, as a group, keep up with the CI’s segment benchmark, the MLFM. The MAF segment posted a return of 4.62% for the year, compared with the MLFM return of 6.70%. Tilting MAF’s diversifiers roster away from equity long/short exposure and toward return streams that are uncorrelated with equities and with one another did not prove helpful in this environment. Within the hedge fund universe, equity long/short managers were the strongest in general, and this worked against MAF, as we only had a bit over 40% of Diversifying Strategies allocated to managers with this focus. As a group, MAF’s equity long/short managers slightly lagged peers, up 11% vs. 13% for the equity long/short index managed by Hedge Fund Research Inc. (“HFRI”). The MAF hedge fund managers with a technology focus outperformed while the more generalist strategies did not. Relative value and directional segments, the fund lagged HFRI peers. The good news is that since June 30, 2017, MAF’s diversifying managers as a group nearly kept pace with the MLFM, gaining 2.97% in the last half of 2017 vs. 3.30% for MLFM. At the risk of jinxing them, we note that the performance of MAF’s diversifying managers seems to have stabilized.
MAF’s fixed income segment added value during the year, primarily because the fund was underweight the CI allocation target of 15% throughout the year, and secondarily because our bias was to keep the segment’s duration slightly below the benchmark duration. Many of our investors were probably surprised that in 2017 fixed income securities in general lagged the return of the full CI by so much (the Bloomberg Barclays US Aggregate Bond Index returned 1300 basis points less). MAF’s fixed income return for the year was 2.05%, ahead of the 1.08% return of the CI’s fixed income segment benchmark.
2
TIFF Multi-Asset Fund | December 31, 2017 |
Portfolio Management Review (Unaudited) (continued) |
In sum, 2017 was a good year for MAF. Equities had a great year, and MAF’s equity managers outperformed. Diversifiers performed much better than fixed income, though of course they didn’t keep up with equities. MAF’s overweight to equities was good, and its underweights to diversifiers and fixed income were also very helpful. We wish every year could be like 2017, but we expect such sharply positive returns will likely be much harder to generate going forward.
We referred above to the portfolio repositioning we undertook in the last couple of years or so on MAF’s behalf. We will now explain why we believe the changes can help MAF achieve its investors’ long-term investment goals. First, in September 2015, TIFF Investment Program (“TIP”) board members agreed to change the CI to one that they believed gave MAF the best chance to produce returns of 5% real (above inflation) or more over the long term. The primary change was to increase equity exposure to 65%. While this increase made some shareholders nervous at the time, over long periods equities have been the key driver of investment performance in virtually all portfolios. Today, we see no reason equities won’t continue to lead, especially with bonds starting at such low rates (we remain cautious on fixed income). To be sure, equities will have some poor years, and they are riskier than other asset classes when measured by volatility, but this is also why, over time, they should produce higher returns.
Soon after the 2015 CI shift, we concluded that, with fixed income rates near record lows, bonds would not be as attractive as they have been historically. In our view, bond returns should be lower going forward and the diversification benefit (how much bonds might appreciate when the stock market pulls back) would not likely be as helpful as in the past. Rather than own more longer-dated bonds, we decided to “de-equitize” MAF’s diversifying assets (hedge funds). That way, if equities pulled back, the fund would have less equity exposure and would be better positioned to preserve capital. While this positioning has yet to be tested thoroughly, it gave us the confidence to have MAF carry an above-benchmark weight in Equity-Oriented Assets. This “extra” 5% or so that MAF has invested in equities has contributed nicely to the portfolio, exceeding anything we might have hoped for if we had been more aggressive with equity exposure in MAF’s Diversifying Strategies.
Within our teams, we increased our focus on the different components of MAF’s portfolio and moved away from the generalist model, leading to deeper and more insightful manager discussions and better manager selection and allocation decisions (we believe). This led to a major re-evaluation of our manager roster, and as many of MAF’s investors will recall, in 2016 our team worked very hard and made significant changes to MAF’s portfolio. By the end of that year, we thought we had a good portfolio of complementary managers and told you that in 2017 we would do something even harder — let the portfolio work. Well, in 2017 we did very little to the portfolio. We redeemed from two managers and added one manager in equities and one in diversifiers. Otherwise, we just let everything work. Overall, we are pleased with the results of this past year, and believe that our crisper focus should serve the fund well in the future.
3
TIFF Multi-Asset Fund | December 31, 2017 |
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. MAF segment or category returns reflect the deduction of management fees earned by relevant managers but not the deduction of other fees and expenses of the fund. While the fund is no-load, management fees and other expenses will apply. Please refer to the prospectus for further details. One cannot invest directly in an index, and unmanaged indices do not incur fees and expenses. Manager exposures and the performance described above may be achieved via separate accounts, via funds offered by such managers, or via swap.
The fund may use leverage; invests in illiquid securities, non-US securities, small capitalization stocks, derivatives, and below investment grade bonds; and engages in shortselling. 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.” 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.
Calendar Year 2017 | 3-Year Annualized | 5-Year Annualized | 10-Year Annualized | Annualized Since Inception | Cumulative Since Inception | |||||||||||||||||||
Before Deduction of Entry/Exit Fees | 18.24 | % | 6.67 | % | 6.93 | % | 5.38 | % | 7.94 | % | 469.43 | % | ||||||||||||
After Deduction of Entry/Exit Fees | 17.06 | % | 6.30 | % | 6.71 | % | 5.28 | % | 7.90 | % | 463.77 | % | ||||||||||||
MSCI ACW Index | 23.97 | % | 9.30 | % | 10.80 | % | 4.65 | % | 7.26 | % | 392.15 | % | ||||||||||||
CPI + 5% per annum | 7.21 | % | 6.71 | % | 6.50 | % | 6.69 | % | 7.26 | % | 393.07 | % | ||||||||||||
MAF Constructed Index | 16.72 | % | 6.63 | % | 6.18 | % | 4.14 | % | 7.29 | % | 395.98 | % | ||||||||||||
65/35 Mix | 16.45 | % | 6.91 | % | 7.80 | % | 4.81 | % | 6.96 | % | 362.22 | % |
See Index Descriptions starting on page 68 for details and descriptions of MAF Indices.
Total return assumes dividend reinvestment. MAF’s annualized expense ratio for calendar year 2016 was 1.39% (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, 2016, 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 2017.
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, 2017 |
Performance of a $2,500,000 Investment (Unaudited) | Ten year period ended 12/31/17 |
See Index Descriptions starting on page 68 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 received by the fund, but does not reflect the deduction of taxes that a member subject to tax would pay on fund distributions or the redemption of fund shares.
5
TIFF Multi-Asset Fund | December 31, 2017 |
Summary Schedule of Investments (Unaudited) |
Foreign Common Stocks | 36.3 | % | ||
US Common Stocks | 20.3 | % | ||
Private Investment Funds | 16.2 | % | ||
US Treasury Bills | 12.2 | % | ||
US Treasury Bonds/Notes | 8.2 | % | ||
Repurchase Agreement | 6.3 | % | ||
Exchange-Traded Funds (ETFs) | 2.2 | % | ||
Participation Notes | 0.6 | % | ||
Preferred Stocks | 0.2 | % | ||
Warrants | 0.1 | % | ||
Publicly Traded Limited Partnerships | 0.0 | % | ||
Disputed Claims Receipt | 0.0 | % | ||
Purchased Option Contracts | 0.0 | % | ||
Convertible Bonds | 0.0 | % | ||
Rights | 0.0 | % | ||
Total Investments | 102.6 | % | ||
Securities Sold Short | (2.0 | )% | ||
Liabilities in Excess of Other Assets | (0.6 | )% | ||
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.
6
TIFF Multi-Asset Fund | December 31, 2017 |
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, 2017 to December 31, 2017.
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 7/1/17 | Ending Account Value 12/31/17 | Expenses Paid During the Period* 7/1/17 – 12/31/17 | Beginning Account Value 7/1/17 | Ending Account Value 12/31/17 | Expenses Paid During the Period* 7/1/17 – 12/31/17 | |||||||||||||||||||
1) Actual | $ | 1,000.00 | $ | 1,092.40 | $ | 5.01 | $ | 1,000.00 | $ | 1,092.40 | $ | 4.96 | ||||||||||||
2) Hypothetical | $ | 1,000.00 | $ | 1,020.42 | $ | 4.84 | $ | 1,000.00 | $ | 1,020.47 | $ | 4.79 |
* | Expenses are equal to the fund’s annualized expense ratio of 0.95% (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 0.94%. 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 may be related to interest paid on securities sold short or derivative instruments; dividend expense may be related to dividends paid on securities sold short. |
7
TIFF Multi-Asset Fund | December 31, 2017 |
Financial Highlights |
Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||||||||||||
For a share outstanding throughout each period | |||||||||||||||||||||
Net asset value, beginning of year | $ | 14.12 | $ | 14.25 | $ | 15.31 | $ | 16.26 | $ | 15.80 | |||||||||||
Income (loss) from investment operations | |||||||||||||||||||||
Net investment income (a) | 0.07 | 0.10 | 0.10 | 0.09 | 0.01 | ||||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.48 | 0.51 | (0.38 | ) | 0.05 | 2.15 | |||||||||||||||
Total from investment operations | 2.55 | 0.61 | (0.28 | ) | 0.14 | 2.16 | |||||||||||||||
Less distributions from | |||||||||||||||||||||
Net investment income | (0.75 | ) | (0.04 | ) | (0.20 | ) | (0.11 | ) | (0.17 | ) | |||||||||||
Net realized gains | (1.41 | ) | (0.30 | ) | (0.50 | ) | (0.99 | ) | (1.55 | ) | |||||||||||
Return of capital | — | (0.42 | ) | (0.10 | ) | — | — | ||||||||||||||
Total distributions | (2.16 | ) | (0.76 | ) | (0.80 | ) | (1.10 | ) | (1.72 | ) | |||||||||||
Entry/exit fee per share (a) | 0.02 | 0.02 | 0.02 | 0.01 | 0.02 | ||||||||||||||||
Net asset value, end of year | $ | 14.53 | $ | 14.12 | $ | 14.25 | $ | 15.31 | $ | 16.26 | |||||||||||
Total return (b) | 18.24 | % | 4.45 | % | (1.72 | )% | 1.00 | % | 14.02 | % | |||||||||||
Ratios/supplemental data | |||||||||||||||||||||
Net assets, end of year (000s) | $ | 3,754,026 | $ | 4,126,979 | $ | 4,837,688 | $ | 5,757,318 | $ | 5,770,761 | |||||||||||
Ratio of expenses to average net assets (c) | 0.94 | % | 0.90 | % | 0.85 | % | 1.18 | % | 1.31 | % | |||||||||||
Ratio of expenses to average net assets, excluding interest and dividend expense (c) | 0.93 | % | 0.87 | % | 0.76 | % | 0.85 | % | 0.90 | % | |||||||||||
Ratio of net investment income to average net assets | 0.47 | % | 0.70 | % | 0.68 | % | 0.52 | % | 0.06 | % | |||||||||||
Portfolio turnover | 58 | % | 65 | % | 62 | % | 94 | % | 106 | % |
(a) | Calculation based on average shares outstanding. |
(b) | 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. |
(c) | 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.
8
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Shares | Value | ||||||||
Investments — 102.6% of net assets | |||||||||
Common Stocks — 56.6% | |||||||||
US Common Stocks — 20.3% | |||||||||
Aerospace & Defense — 0.2% | |||||||||
Cavium, Inc. (a) | 337 | $ | 28,251 | ||||||
Esterline Technologies Corp. (a) | 8,729 | 652,056 | |||||||
Honeywell International, Inc. | 6,859 | 1,051,896 | |||||||
Huntington Ingalls Industries, Inc. | 8,485 | 1,999,914 | |||||||
L3 Technologies, Inc. | 395 | 78,151 | |||||||
Lockheed Martin Corp. | 3,000 | 963,150 | |||||||
Northrop Grumman Corp. | 1,190 | 365,223 | |||||||
Raytheon Co. | 1,815 | 340,948 | |||||||
Spirit AeroSystems Holdings, Inc., Class A | 22,256 | 1,941,836 | |||||||
7,421,425 | |||||||||
Airlines — 0.8% | |||||||||
American Airlines Group, Inc. | 46,923 | 2,441,404 | |||||||
Delta Air Lines, Inc. | 419,438 | 23,488,528 | |||||||
JetBlue Airways Corp. (a) | 5,817 | 129,952 | |||||||
Southwest Airlines Co. | 22,495 | 1,472,298 | |||||||
Spirit Airlines, Inc. (a) | 3,076 | 137,958 | |||||||
United Continental Holdings, Inc. (a) | 26,964 | 1,817,373 | |||||||
29,487,513 | |||||||||
Auto Components — 0.1% | |||||||||
BorgWarner, Inc. | 1,563 | 79,854 | |||||||
Dana, Inc. | 9,952 | 318,564 | |||||||
Goodyear Tire & Rubber Co. (The) | 1,581 | 51,082 | |||||||
Lear Corp. | 14,311 | 2,528,769 | |||||||
2,978,269 | |||||||||
Automobiles — 0.1% | |||||||||
Ford Motor Co. | 120,441 | 1,504,308 | |||||||
General Motors Co. | 71,336 | 2,924,063 | |||||||
Thor Industries, Inc. | 2,221 | 334,749 | |||||||
4,763,120 | |||||||||
Beverages — 0.3% | |||||||||
Dr Pepper Snapple Group, Inc. | 40,203 | 3,902,103 | |||||||
PepsiCo, Inc. | 75,877 | 9,099,170 | |||||||
13,001,273 | |||||||||
Biotechnology — 0.4% | |||||||||
Alexion Pharmaceuticals, Inc. (a) | 4,739 | 566,737 | |||||||
Alnylam Pharmaceuticals, Inc. (a) | 3,045 | 386,867 | |||||||
Amgen, Inc. | 6,803 | 1,183,042 | |||||||
Biogen, Inc. (a) | 4,131 | 1,316,013 | |||||||
Celgene Corp. (a) | 16,077 | 1,677,796 | |||||||
Exelixis, Inc. (a) | 40,086 | 1,218,614 | |||||||
Gilead Sciences, Inc. | 40,580 | 2,907,151 | |||||||
Monsanto Co. | 2,286 | 266,959 | |||||||
Regeneron Pharmaceuticals, Inc. (a) | 546 | 205,274 | |||||||
Shire plc | 20,360 | 1,056,040 | |||||||
United Therapeutics Corp. (a) | 9,001 | 1,331,698 | |||||||
Vertex Pharmaceuticals, Inc. (a) | 7,923 | 1,187,341 | |||||||
13,303,532 |
Number of Shares | Value | ||||||||
Building Products — 0.3% | |||||||||
Masco Corp. | 27,098 | $ | 1,190,686 | ||||||
Owens Corning | 22,603 | 2,078,120 | |||||||
USG Corp. (a) | 184,913 | 7,130,245 | |||||||
10,399,051 | |||||||||
Capital Markets — 0.1% | |||||||||
Ameriprise Financial, Inc. | 9,708 | 1,645,215 | |||||||
BlackRock, Inc. | 366 | 188,018 | |||||||
Charles Schwab Corp. (The) | 2,744 | 140,959 | |||||||
Franklin Resources, Inc. | 17,343 | 751,472 | |||||||
Goldman Sachs Group, Inc. (The) | 442 | 112,604 | |||||||
Invesco, Ltd. | 4,821 | 176,159 | |||||||
Morgan Stanley | 8,024 | 421,019 | |||||||
S&P Global, Inc. | 2,429 | 411,473 | |||||||
Stifel Financial Corp. | 1,566 | 93,271 | |||||||
3,940,190 | |||||||||
Chemicals — 1.0% | |||||||||
Axalta Coating Systems, Ltd. (a) | 174,853 | 5,658,243 | |||||||
Cabot Corp. | 7,247 | 446,343 | |||||||
Celanese Corp., Series A | 17,877 | 1,914,269 | |||||||
Chemours Co. (The) | 17,618 | 881,957 | |||||||
DowDuPont, Inc. | 5,843 | 416,138 | |||||||
Eastman Chemical Co. | 11,209 | 1,038,402 | |||||||
Huntsman Corp. | 13,383 | 445,520 | |||||||
Ingevity Corp. (a) | 439 | 30,936 | |||||||
LyondellBasell Industries NV, Class A | 27,655 | 3,050,900 | |||||||
Mosaic Co. (The) | 409,800 | 10,515,468 | |||||||
Scotts Miracle-Gro Co. (The), Class A | 2,302 | 246,291 | |||||||
Sherwin-Williams Co. (The) | 1,898 | 778,256 | |||||||
Valvoline, Inc. | 485,993 | 12,178,985 | |||||||
Westlake Chemical Corp. | 3,163 | 336,954 | |||||||
37,938,662 | |||||||||
Commercial Banks — 0.2% | |||||||||
Bank of the Ozarks, Inc. | 609 | 29,506 | |||||||
Citizens Financial Group, Inc. | 38,635 | 1,621,897 | |||||||
Huntington Bancshares, Inc. | 6,214 | 90,476 | |||||||
KeyCorp | 2,367 | 47,743 | |||||||
PNC Financial Services Group, Inc. (The) | 7,393 | 1,066,736 | |||||||
Regions Financial Corp. | 23,043 | 398,183 | |||||||
Wells Fargo & Co. | 42,873 | 2,601,105 | |||||||
5,855,646 | |||||||||
Communications Equipment — 0.1% | |||||||||
Cisco Systems, Inc. | 26,901 | 1,030,308 | |||||||
F5 Networks, Inc. (a) | 2,155 | 282,779 | |||||||
Juniper Networks, Inc. | 24,100 | 686,850 | |||||||
QUALCOMM, Inc. | 7,598 | 486,424 | |||||||
2,486,361 | |||||||||
Computers & Peripherals — 0.6% | |||||||||
Apple, Inc. | 103,473 | 17,510,736 | |||||||
Diebold Nixdorf, Inc. | 155,082 | 2,535,591 | |||||||
Hewlett Packard Enterprise Co. | 22,989 | 330,122 | |||||||
HP, Inc. | 32,107 | 674,568 |
9
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Shares | Value | ||||||||
Seagate Technology plc | 18,396 | $ | 769,689 | ||||||
Western Digital Corp. | 23,706 | 1,885,338 | |||||||
Xerox Corp. | 1,557 | 45,386 | |||||||
23,751,430 | |||||||||
Construction & Engineering — 0.2% | |||||||||
CalAtlantic Group, Inc. | 408 | 23,007 | |||||||
D.R. Horton, Inc. | 35,873 | 1,832,034 | |||||||
Fluor Corp. | 1,004 | 51,857 | |||||||
Jacobs Engineering Group, Inc. | 10,254 | 676,354 | |||||||
KB Home | 12,905 | 412,315 | |||||||
KBR, Inc. | 26,425 | 524,008 | |||||||
Lennar Corp., Class A | 21,930 | 1,386,853 | |||||||
Lennar Corp., Class B | 438 | 22,636 | |||||||
NVR, Inc. (a) | 124 | 435,019 | |||||||
PulteGroup, Inc. | 43,613 | 1,450,132 | |||||||
Quanta Services, Inc. (a) | 15,583 | 609,451 | |||||||
Toll Brothers, Inc. | 464 | 22,281 | |||||||
7,445,947 | |||||||||
Consumer Finance — 0.1% | |||||||||
Ally Financial, Inc. | 18,925 | 551,853 | |||||||
American Express Co. | 11,255 | 1,117,734 | |||||||
Capital One Financial Corp. | 15,066 | 1,500,272 | |||||||
Discover Financial Services | 10,294 | 791,815 | |||||||
FirstCash, Inc. | 3,345 | 225,620 | |||||||
Synchrony Financial | 30,617 | 1,182,122 | |||||||
5,369,416 | |||||||||
Containers & Packaging — 0.0% | |||||||||
WestRock Co. | 2,381 | 150,503 | |||||||
Diversified Consumer Services — 0.0% | |||||||||
Sotheby’s (a) | 5,527 | 285,193 | |||||||
Diversified Financial Services — 2.2% | |||||||||
Bank of America Corp. | 1,171,568 | 34,584,688 | |||||||
Citigroup, Inc. | 198,180 | 14,746,574 | |||||||
JPMorgan Chase & Co. | 292,595 | 31,290,109 | |||||||
Leucadia National Corp. | 28,364 | 751,362 | |||||||
Moody’s Corp. | 1,649 | 243,409 | |||||||
81,616,142 | |||||||||
Diversified Telecommunication Services — 0.1% | |||||||||
AT&T, Inc. | 15,967 | 620,797 | |||||||
CenturyLink, Inc. | 13,271 | 221,360 | |||||||
Verizon Communications, Inc. | 37,257 | 1,972,013 | |||||||
2,814,170 | |||||||||
Electric Utilities — 0.1% | |||||||||
Edison International | 6,913 | 437,178 | |||||||
Entergy Corp. | 10,242 | 833,596 | |||||||
Exelon Corp. | 28,467 | 1,121,885 | |||||||
PG&E Corp. | 323 | 14,480 | |||||||
2,407,139 | |||||||||
Electrical Equipment — 0.4% | |||||||||
BWX Technologies, Inc. | 169,200 | 10,234,908 |
Number of Shares | Value | ||||||||
Generac Holdings, Inc. (a) | 64,658 | $ | 3,201,864 | ||||||
13,436,772 | |||||||||
Electronic Equipment, Instruments & Components — 0.4% | |||||||||
Arrow Electronics, Inc. (a) | 9,047 | 727,469 | |||||||
Avnet, Inc. | 15,762 | 624,490 | |||||||
Coherent, Inc. (a) | 510 | 143,932 | |||||||
Corning, Inc. | 12,022 | 384,584 | |||||||
FLIR Systems, Inc. | 107,583 | 5,015,520 | |||||||
Knowles Corp. (a) | 549,194 | 8,051,184 | |||||||
14,947,179 | |||||||||
Energy Equipment & Services — 0.1% | |||||||||
Diamond Offshore Drilling, Inc. (a) | 56,253 | 1,045,743 | |||||||
Halliburton Co. | 13,950 | 681,737 | |||||||
Nabors Industries, Ltd. | 16,012 | 109,362 | |||||||
Oceaneering International, Inc. | 11,419 | 241,398 | |||||||
RPC, Inc. | 9,065 | 231,429 | |||||||
Superior Energy Services, Inc. (a) | 16,094 | 154,985 | |||||||
2,464,654 | |||||||||
Food & Staples Retailing — 0.2% | |||||||||
Costco Wholesale Corp. | 10,095 | 1,878,882 | |||||||
CVS Health Corp. | 5,464 | 396,140 | |||||||
Kroger Co. (The) | 85,154 | 2,337,477 | |||||||
Wal-Mart Stores, Inc. | 41,453 | 4,093,484 | |||||||
8,705,983 | |||||||||
Food Products — 0.1% | |||||||||
Archer-Daniels-Midland Co. | 26,145 | 1,047,892 | |||||||
Bunge, Ltd. | 1,259 | 84,454 | |||||||
Conagra Brands, Inc. | 8,067 | 303,884 | |||||||
Dean Foods Co. | 1,116 | 12,901 | |||||||
Hain Celestial Group, Inc. (The) (a) | 2,634 | 111,655 | |||||||
Hershey Co. (The) | 7,942 | 901,497 | |||||||
Ingredion, Inc. | 4,178 | 584,084 | |||||||
Pilgrim’s Pride Corp. (a) | 11,035 | 342,747 | |||||||
Sanderson Farms, Inc. | 8,592 | 1,192,398 | |||||||
Simply Good Foods Co. (The) (a) | 1 | 14 | |||||||
Tyson Foods, Inc., Class A | 6,318 | 512,200 | |||||||
5,093,726 | |||||||||
Health Care Equipment & Supplies — 0.5% | |||||||||
Align Technology, Inc. (a) | 398 | 88,431 | |||||||
Baxter International, Inc. | 47,033 | 3,040,213 | |||||||
Danaher Corp. | 10,613 | 985,099 | |||||||
DexCom, Inc. (a) | 16,123 | 925,299 | |||||||
IDEXX Laboratories, Inc. (a) | 46,584 | 7,284,806 | |||||||
NuVasive, Inc. (a) | 4,851 | 283,735 | |||||||
Stryker Corp. | 50,071 | 7,752,994 | |||||||
20,360,577 | |||||||||
Health Care Providers & Services — 0.5% | |||||||||
Aetna, Inc. | 1,679 | 302,875 | |||||||
Anthem, Inc. | 3,577 | 804,861 | |||||||
Brookdale Senior Living, Inc. (a) | 2,612 | 25,336 | |||||||
Centene Corp. (a) | 5,058 | 510,251 | |||||||
Express Scripts Holding Co. (a) | 16,558 | 1,235,889 |
10
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Shares | Value | ||||||||
Humana, Inc. | 8,378 | $ | 2,078,330 | ||||||
Laboratory Corp. of America Holdings (a) | 4,449 | 709,660 | |||||||
McKesson Corp. | 10,849 | 1,691,902 | |||||||
Patterson Companies, Inc. | 256,400 | 9,263,732 | |||||||
Quest Diagnostics, Inc. | 2,486 | 244,846 | |||||||
UnitedHealth Group, Inc. | 1,102 | 242,947 | |||||||
WellCare Health Plans, Inc. (a) | 843 | 169,536 | |||||||
17,280,165 | |||||||||
Hotels, Restaurants & Leisure — 0.7% | |||||||||
Caesars Entertainment Corp. (a) | 892,900 | 11,295,185 | |||||||
Carnival Corp. | 18,123 | 1,202,823 | |||||||
Hyatt Hotels Corp., Class A (a) | 4,553 | 334,828 | |||||||
ILG, Inc. | 2,592 | 73,820 | |||||||
International Game Technology plc | 1,018 | 26,987 | |||||||
Las Vegas Sands Corp. | 15,946 | 1,108,088 | |||||||
Marriott International, Inc., Class A | 57,643 | 7,823,884 | |||||||
MGM Resorts International | 39,840 | 1,330,258 | |||||||
Papa John’s International, Inc. | 2,071 | 116,204 | |||||||
Royal Caribbean Cruises, Ltd. | 11,539 | 1,376,372 | |||||||
Yum China Holdings, Inc. | 5,143 | 205,823 | |||||||
24,894,272 | |||||||||
Household Durables — 0.0% | |||||||||
Mohawk Industries, Inc. (a) | 1,513 | 417,437 | |||||||
TopBuild Corp. (a) | 799 | 60,516 | |||||||
Tupperware Brands Corp. | 3,883 | 243,464 | |||||||
Whirlpool Corp. | 4,392 | 740,667 | |||||||
1,462,084 | |||||||||
Household Products — 0.2% | |||||||||
Colgate-Palmolive Co. | 84,238 | 6,355,757 | |||||||
Procter & Gamble Co. (The) | 15,031 | 1,381,048 | |||||||
7,736,805 | |||||||||
Independent Power Producers & Energy Traders — 0.1% | |||||||||
AES Corp. (The) | 51,500 | 557,745 | |||||||
Vistra Energy Corp. (a) | 83,782 | 1,534,886 | |||||||
2,092,631 | |||||||||
Industrial Conglomerates — 0.3% | |||||||||
3M Co. | 43,077 | 10,139,034 | |||||||
General Electric Co. | 25,127 | 438,466 | |||||||
10,577,500 | |||||||||
Insurance — 0.5% | |||||||||
Aflac, Inc. | 28,657 | 2,515,511 | |||||||
Allstate Corp. (The) | 21,014 | 2,200,376 | |||||||
American International Group, Inc. | 27,339 | 1,628,858 | |||||||
Berkshire Hathaway, Inc., Class B (a) | 16,982 | 3,366,172 | |||||||
CNO Financial Group, Inc. | 10,582 | 261,270 | |||||||
Everest Re Group, Ltd. | 613 | 135,632 | |||||||
FNF Group | 11,872 | 465,857 | |||||||
Hanover Insurance Group, Inc. (The) | 393 | 42,475 | |||||||
Hartford Financial Services Group, Inc. (The) | 7,804 | 439,209 | |||||||
Lincoln National Corp. | 17,004 | 1,307,098 |
Number of Shares | Value | ||||||||
Loews Corp. | 4,163 | $ | 208,275 | ||||||
Markel Corp. (a) | 320 | 364,522 | |||||||
MBIA, Inc. (a) | 88,761 | 649,731 | |||||||
Prudential Financial, Inc. | 16,982 | 1,952,590 | |||||||
Reinsurance Group of America, Inc. | 3,513 | 547,782 | |||||||
Travelers Companies, Inc. (The) | 8,957 | 1,214,927 | |||||||
Unum Group | 16,292 | 894,268 | |||||||
18,194,553 | |||||||||
Internet & Catalog Retail — 0.6% | |||||||||
Amazon.com, Inc. (a) | 16,638 | 19,457,642 | |||||||
Liberty Expedia Holdings, Inc., Class A (a) | 2,079 | 92,162 | |||||||
Liberty Interactive Corp. QVC Group, Class A (a) | 22,375 | 546,398 | |||||||
Liberty TripAdvisor Holdings, Inc., Class A (a) | 5,472 | 51,574 | |||||||
Liberty Ventures, Series A (a) | 1,337 | 72,519 | |||||||
Priceline.com, Inc. (The) (a) | 887 | 1,541,375 | |||||||
TripAdvisor, Inc. (a) | 3,779 | 130,224 | |||||||
21,891,894 | |||||||||
Internet Software & Services — 1.1% | |||||||||
Akamai Technologies, Inc. (a) | 2,871 | 186,730 | |||||||
Alphabet, Inc., Class A (a) | 16,693 | 17,584,406 | |||||||
Alphabet, Inc., Class C (a) | 3,744 | 3,917,722 | |||||||
ChannelAdvisor Corp. (a) | 237,502 | 2,137,518 | |||||||
CommerceHub, Inc., Series A (a) | 464 | 10,203 | |||||||
CommerceHub, Inc., Series C (a) | 928 | 19,108 | |||||||
eBay, Inc. (a) | 79,524 | 3,001,236 | |||||||
Facebook, Inc., Class A (a) | 52,903 | 9,335,263 | |||||||
IAC/InterActiveCorp (a) | 7,321 | 895,212 | |||||||
Pandora Media, Inc. (a) | 594,873 | 2,867,288 | |||||||
VeriSign, Inc. (a) | 8,062 | 922,615 | |||||||
40,877,301 | |||||||||
IT Services — 0.9% | |||||||||
Alliance Data Systems Corp. | 803 | 203,544 | |||||||
Automatic Data Processing, Inc. | 53,178 | 6,231,930 | |||||||
Cognizant Technology Solutions Corp., Class A | 33,471 | 2,377,110 | |||||||
CoreLogic, Inc. (a) | 8,745 | 404,106 | |||||||
DST Systems, Inc. | 5,762 | 357,647 | |||||||
DXC Technology Co. | 5,930 | 562,757 | |||||||
EPAM Systems, Inc. (a) | 5,164 | 554,769 | |||||||
First Data Corp. (a) | 4,329 | 72,338 | |||||||
Gartner, Inc. (a) | 3,151 | 388,046 | |||||||
Genpact, Ltd. | 4,248 | 134,832 | |||||||
Hackett Group, Inc. (The) | 20,576 | 323,249 | |||||||
International Business Machines Corp. (IBM) | 13,483 | 2,068,562 | |||||||
Mastercard, Inc., Class A | 7,651 | 1,158,055 | |||||||
MAXIMUS, Inc. | 4,564 | 326,691 | |||||||
PayPal Holdings, Inc. (a) | 78,842 | 5,804,348 | |||||||
Science Applications International Corp. | 450 | 34,457 | |||||||
Total System Services, Inc. | 17,658 | 1,396,571 | |||||||
Visa, Inc., Class A | 109,707 | 12,508,792 | |||||||
34,907,804 |
11
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Shares | Value | ||||||||
Leisure Equipment & Products — 0.2% | |||||||||
Acushnet Holdings Corp. | 322,600 | $ | 6,800,408 | ||||||
Brunswick Corp. | 11,642 | 642,871 | |||||||
Vista Outdoor, Inc. (a) | 12,026 | 175,219 | |||||||
7,618,498 | |||||||||
Life Sciences Tools & Services — 0.4% | |||||||||
Agilent Technologies, Inc. | 7,449 | 498,860 | |||||||
AquaVenture Holdings, Ltd. (a) | 1,352 | 20,983 | |||||||
Bio-Rad Laboratories, Inc., Class A (a) | 1,698 | 405,262 | |||||||
Charles River Laboratories International, Inc. (a) | 6,025 | 659,436 | |||||||
PerkinElmer, Inc. | 33,050 | 2,416,616 | |||||||
Waters Corp. (a) | 61,307 | 11,843,899 | |||||||
15,845,056 | |||||||||
Machinery — 0.2% | |||||||||
AGCO Corp. | 698 | 49,858 | |||||||
Caterpillar, Inc. | 2,443 | 384,968 | |||||||
Colfax Corp. (a) | 9,024 | 357,531 | |||||||
Cummins, Inc. | 8,332 | 1,471,765 | |||||||
Graco, Inc. | 6,180 | 279,460 | |||||||
Ingersoll-Rand plc | 8,246 | 735,461 | |||||||
ITT, Inc. | 11,674 | 623,041 | |||||||
Oshkosh Corp. | 9,422 | 856,366 | |||||||
PACCAR, Inc. | 7,890 | 560,821 | |||||||
Timken Co. (The) | 1,288 | 63,305 | |||||||
Welbilt, Inc. (a) | 13,632 | 320,488 | |||||||
5,703,064 | |||||||||
Marine — 0.0% | |||||||||
Kirby Corp. (a) | 1,305 | 87,174 | |||||||
Scorpio Bulkers, Inc. | 18,025 | 133,385 | |||||||
220,559 | |||||||||
Media — 0.9% | |||||||||
AMC Networks, Inc., Class A (a) | 202,384 | 10,944,927 | |||||||
CBS Corp., Class B | 70,300 | 4,147,700 | |||||||
Charter Communications, Inc., Class A (a) | 525 | 176,379 | |||||||
Comcast Corp., Class A | 52,128 | 2,087,726 | |||||||
Discovery Communications, Inc., Series A (a) | 13,519 | 302,555 | |||||||
Iheartmedia, Inc. (a) | 13,262 | 6,631 | |||||||
Liberty Braves Group, Class A (a) | 403 | 8,886 | |||||||
Liberty Braves Group, Class C (a) | 812 | 18,043 | |||||||
Liberty Broadband Corp., Class A (a) | 430 | 36,572 | |||||||
Liberty Broadband Corp., Class C (a) | 1,696 | 144,431 | |||||||
Liberty Media Group, Class A (a) | 1,095 | 35,828 | |||||||
Liberty Media Group, Class C (a) | 1,178 | 40,241 | |||||||
Liberty SiriusXM Group, Class A (a) | 4,783 | 189,694 | |||||||
Liberty SiriusXM Group, Class C (a) | 5,285 | 209,603 | |||||||
Lions Gate Entertainment Corp., Class B (a) | 233,831 | 7,421,796 | |||||||
Live Nation Entertainment, Inc. (a) | 109,713 | 4,670,482 | |||||||
News Corp., Class A | 35,061 | 568,339 | |||||||
Time Warner, Inc. | 4,041 | 369,630 |
Number of Shares | Value | ||||||||
tronc, Inc. (a) | 955 | $ | 16,798 | ||||||
Twenty-First Century Fox, Inc. | 5,416 | 187,015 | |||||||
Viacom, Inc., Class B | 20,742 | 639,061 | |||||||
Walt Disney Co. (The) | 9,847 | 1,058,651 | |||||||
33,280,988 | |||||||||
Metals & Mining — 0.4% | |||||||||
Alcoa Corp. (a) | 40,603 | 2,187,284 | |||||||
Allegheny Technologies, Inc. (a) | 20,711 | 499,964 | |||||||
Compass Minerals International, Inc. | 106,309 | 7,680,825 | |||||||
Freeport-McMoRan, Inc. (a) | 52,397 | 993,447 | |||||||
Reliance Steel & Aluminum Co. | 7,605 | 652,433 | |||||||
Royal Gold, Inc. | 28,346 | 2,327,773 | |||||||
Southern Copper Corp. | 5,192 | 246,360 | |||||||
Steel Dynamics, Inc. | 2,320 | 100,062 | |||||||
14,688,148 | |||||||||
Multi-Utilities — 0.1% | |||||||||
Ameren Corp. | 10,407 | 613,909 | |||||||
Consolidated Edison, Inc. | 787 | 66,856 | |||||||
DTE Energy Co. | 3,348 | 366,472 | |||||||
Public Service Enterprise Group, Inc. | 35,980 | 1,852,970 | |||||||
UGI Corp. | 4,328 | 203,199 | |||||||
3,103,406 | |||||||||
Multiline Retail — 0.0% | |||||||||
Big Lots, Inc. | 3,694 | 207,418 | |||||||
Target Corp. | 662 | 43,196 | |||||||
250,614 | |||||||||
Oil, Gas & Consumable Fuels — 0.6% | |||||||||
Andeavor | 7,000 | 800,380 | |||||||
Apache Corp. | 1,671 | 70,550 | |||||||
Centennial Resource Development, Inc. (a) | 1,823 | 36,095 | |||||||
Chevron Corp. | 5,287 | 661,879 | |||||||
Cloud Peak Energy, Inc. (a) | 416,888 | 1,855,152 | |||||||
ConocoPhillips | 13,345 | 732,507 | |||||||
Devon Energy Corp. | 24,872 | 1,029,701 | |||||||
Energen Corp. (a) | 6,196 | 356,704 | |||||||
Exxon Mobil Corp. | 21,075 | 1,762,713 | |||||||
International Seaways, Inc. (a) | 4,248 | 78,418 | |||||||
Marathon Oil Corp. | 40,577 | 686,969 | |||||||
Marathon Petroleum Corp. | 21,945 | 1,447,931 | |||||||
Murphy Oil Corp. | 941 | 29,218 | |||||||
Newfield Exploration Co. (a) | 1,592 | 50,196 | |||||||
Peabody Energy Corp. (a) | 13,561 | 533,896 | |||||||
Phillips 66 | 2,724 | 275,533 | |||||||
Pioneer Natural Resources Co. | 882 | 152,454 | |||||||
QEP Resources, Inc. (a) | 48,680 | 465,868 | |||||||
SM Energy Co. | 1,490 | 32,899 | |||||||
Southwestern Energy Co. (a) | 120,487 | 672,317 | |||||||
Valero Energy Corp. | 18,849 | 1,732,411 | |||||||
World Fuel Services Corp. | 22,537 | 634,191 | |||||||
WPX Energy, Inc. (a) | 720,700 | 10,140,249 | |||||||
24,238,231 |
12
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Shares | Value | ||||||||
Paper & Forest Products — 0.0% | |||||||||
Louisiana-Pacific Corp. (a) | 4,060 | $ | 106,616 | ||||||
Personal Products — 0.0% | |||||||||
Coty, Inc., Class A | 2,923 | 58,139 | |||||||
Nu Skin Enterprises, Inc. | 2,996 | 204,417 | |||||||
262,556 | |||||||||
Pharmaceuticals — 0.4% | |||||||||
AbbVie, Inc. | 4,976 | 481,229 | |||||||
Bristol-Myers Squibb Co. | 11,383 | 697,550 | |||||||
Catalent, Inc. (a) | 41,819 | 1,717,924 | |||||||
Eli Lilly & Co. | 6,096 | 514,868 | |||||||
Johnson & Johnson | 38,069 | 5,319,001 | |||||||
Merck & Co., Inc. | 34,936 | 1,965,849 | |||||||
Pfizer, Inc. | 71,328 | 2,583,500 | |||||||
13,279,921 | |||||||||
Professional Services — 0.3% | |||||||||
Dun & Bradstreet Corp. (The) | 93,300 | 11,047,653 | |||||||
Robert Half International, Inc. | 7,956 | 441,876 | |||||||
Verisk Analytics, Inc. (a) | 2,996 | 287,616 | |||||||
11,777,145 | |||||||||
Real Estate — 0.1% | |||||||||
CBRE Group, Inc., Class A (a) | 65,746 | 2,847,459 | |||||||
SBA Communications Corp. (a) | 150 | 24,504 | |||||||
2,871,963 | |||||||||
Real Estate Investment Trusts (REITs) — 0.1% | |||||||||
American Tower Corp. | 1,703 | 242,967 | |||||||
Annaly Capital Management, Inc. | 37,466 | 445,471 | |||||||
Boston Properties, Inc. | 822 | 106,885 | |||||||
Crown Castle International Corp. | 1,283 | 142,426 | |||||||
Digital Realty Trust, Inc. | 1,796 | 204,564 | |||||||
Equity Residential | 3,281 | 209,229 | |||||||
GGP, Inc. | 8,602 | 201,201 | |||||||
HCP, Inc. | 16,480 | 429,798 | |||||||
Host Hotels & Resorts, Inc. | 12,589 | 249,892 | |||||||
Prologis, Inc. | 6,382 | 411,703 | |||||||
Public Storage | 1,646 | 344,014 | |||||||
Realty Income Corp. | 4,860 | 277,117 | |||||||
Simon Property Group, Inc. | 2,627 | 451,161 | |||||||
SL Green Realty Corp. | 4,725 | 476,894 | |||||||
Ventas, Inc. | 3,121 | 187,291 | |||||||
Vornado Realty Trust | 1,288 | 100,696 | |||||||
Welltower, Inc. | 2,967 | 189,206 | |||||||
Weyerhaeuser Co. | 5,443 | 191,920 | |||||||
4,862,435 | |||||||||
Road & Rail — 0.1% | |||||||||
Avis Budget Group, Inc. (a) | 3,244 | 142,347 | |||||||
CSX Corp. | 1,646 | 90,546 | |||||||
Hertz Global Holdings, Inc. (a) | 1,080 | 23,868 | |||||||
J.B. Hunt Transport Services, Inc. | 1,480 | 170,170 | |||||||
Kansas City Southern | 10,676 | 1,123,329 | |||||||
Norfolk Southern Corp. | 3,748 | 543,085 |
Number of Shares | Value | ||||||||
Ryder System, Inc. | 744 | $ | 62,623 | ||||||
Union Pacific Corp. | 12,159 | 1,630,522 | |||||||
3,786,490 | |||||||||
Semiconductors & Semiconductor Equipment — 1.1% | |||||||||
Applied Materials, Inc. | 133,075 | 6,802,794 | |||||||
Boeing Co. (The) | 9,521 | 2,807,838 | |||||||
Broadcom, Ltd. | 232 | 59,601 | |||||||
Cirrus Logic, Inc. (a) | 960 | 49,786 | |||||||
Entegris, Inc. | 294,325 | 8,962,196 | |||||||
First Solar, Inc. (a) | 9,570 | 646,167 | |||||||
Intel Corp. | 53,345 | 2,462,405 | |||||||
KLA-Tencor Corp. | 9,117 | 957,923 | |||||||
Lam Research Corp. | 7,967 | 1,466,486 | |||||||
Maxim Integrated Products, Inc. | 911 | 47,627 | |||||||
Micron Technology, Inc. (a) | 80,994 | 3,330,473 | |||||||
NVIDIA Corp. | 1,568 | 303,408 | |||||||
ON Semiconductor Corp. (a) | 4,263 | 89,267 | |||||||
Skyworks Solutions, Inc. | 4,632 | 439,808 | |||||||
Teradyne, Inc. | 6,913 | 289,447 | |||||||
Texas Instruments, Inc. | 73,571 | 7,683,755 | |||||||
Veeco Instruments, Inc. (a) | 9,162 | 136,056 | |||||||
Versum Materials, Inc. | 117,630 | 4,452,296 | |||||||
40,987,333 | |||||||||
Software — 1.1% | |||||||||
Activision Blizzard, Inc. | 15,080 | 954,866 | |||||||
CA, Inc. | 1,708 | 56,842 | |||||||
Cadence Design Systems, Inc. (a) | 27,947 | 1,168,743 | |||||||
Citrix Systems, Inc. (a) | 12,485 | 1,098,680 | |||||||
Dell Technologies, Inc., Class V (a) | 778 | 63,236 | |||||||
Electronic Arts, Inc. (a) | 9,841 | 1,033,895 | |||||||
FireEye, Inc. (a) | 811,928 | 11,529,378 | |||||||
Guidewire Software, Inc. (a) | 3,223 | 239,340 | |||||||
Intuit, Inc. | 21,256 | 3,353,772 | |||||||
Manhattan Associates, Inc. (a) | 5,230 | 259,094 | |||||||
Microsoft Corp. | 217,230 | 18,581,854 | |||||||
Oracle Corp. | 53,045 | 2,507,968 | |||||||
Red Hat, Inc. (a) | 187 | 22,459 | |||||||
Splunk, Inc. (a) | 983 | 81,432 | |||||||
Synopsys, Inc. (a) | 10,164 | 866,379 | |||||||
Zynga, Inc., Class A (a) | 65,691 | 262,764 | |||||||
42,080,702 | |||||||||
Specialty Retail — 0.4% | |||||||||
Advance Auto Parts, Inc. | 968 | 96,500 | |||||||
Bed Bath & Beyond, Inc. | 13,299 | 292,445 | |||||||
Best Buy Co., Inc. | 21,731 | 1,487,922 | |||||||
Foot Locker, Inc. | 11,127 | 521,634 | |||||||
GameStop Corp. | 29,200 | 524,140 | |||||||
Gap, Inc. (The) | 7,158 | 243,801 | |||||||
Lowe’s Companies, Inc. | 13,372 | 1,242,794 | |||||||
Michaels Companies, Inc. (The) (a) | 2,987 | 72,255 | |||||||
Tractor Supply Co. | 8,563 | 640,084 | |||||||
Urban Outfitters, Inc. (a) | 331,900 | 11,636,414 | |||||||
16,757,989 |
13
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Shares | Value | ||||||||
Textiles, Apparel & Luxury Goods — 0.0% | |||||||||
Hanesbrands, Inc. | 14,854 | $ | 310,597 | ||||||
Ralph Lauren Corp. | 1,585 | 164,349 | |||||||
Skechers U.S.A., Inc., Class A (a) | 3,305 | 125,061 | |||||||
600,007 | |||||||||
Thrifts & Mortgage Finance — 0.0% | |||||||||
Fannie Mae (a) | 7,825 | 20,736 | |||||||
Tobacco — 0.3% | |||||||||
Altria Group, Inc. | 24,966 | 1,782,822 | |||||||
Philip Morris International, Inc. | 98,591 | 10,416,139 | |||||||
12,198,961 | |||||||||
Trading Companies & Distributors — 0.1% | |||||||||
HD Supply Holdings, Inc. (a) | 21,274 | 851,598 | |||||||
Herc Holdings, Inc. (a) | 359 | 22,477 | |||||||
NOW, Inc. (a) | 206,694 | 2,279,835 | |||||||
United Rentals, Inc. (a) | 7,966 | 1,369,435 | |||||||
WESCO International, Inc. (a) | 3,308 | 225,440 | |||||||
4,748,785 | |||||||||
Wireless Telecommunication Services — 0.0% | |||||||||
NII Holdings, Inc. (a) | 11,980 | 5,083 | |||||||
Total US Common Stocks (Cost $644,011,033) | 759,634,168 | ||||||||
Foreign Common Stocks — 36.3% | |||||||||
Australia — 0.6% | |||||||||
AGL Energy, Ltd. | 45,952 | 872,065 | |||||||
ALS, Ltd. | 57,396 | 312,807 | |||||||
Alumina, Ltd. | 316,298 | 598,902 | |||||||
Ansell, Ltd. | 4,580 | 86,571 | |||||||
Asaleo Care, Ltd. | 134,746 | 157,385 | |||||||
Aurizon Holdings, Ltd. | 104,134 | 402,586 | |||||||
Australia and New Zealand Banking Group, Ltd. | 14,342 | 320,349 | |||||||
Bendigo & Adelaide Bank, Ltd. | 27,054 | 245,830 | |||||||
BHP Billiton, Ltd. | 30,241 | 696,096 | |||||||
BlueScope Steel, Ltd. | 59,535 | 713,451 | |||||||
Brambles, Ltd. | 18,883 | 148,030 | |||||||
Caltex Australia, Ltd. | 9,345 | 247,854 | |||||||
carsales.com, Ltd. | 23,843 | 268,812 | |||||||
CIMIC Group, Ltd. | 5,375 | 215,541 | |||||||
Cleanaway Waste Management, Ltd. | 407,373 | 474,523 | |||||||
Coca-Cola Amatil, Ltd. | 44,742 | 296,756 | |||||||
Crown Resorts, Ltd. | 40,267 | 408,804 | |||||||
Domain Holdings Australia, Ltd. (a) | 21,162 | 56,635 | |||||||
DuluxGroup, Ltd. | 19,113 | 113,950 | |||||||
Fairfax Media, Ltd. | 211,630 | 128,292 | |||||||
Fortescue Metals Group, Ltd. | 48,604 | 184,693 | |||||||
GUD Holdings, Ltd. | 18,550 | 176,042 | |||||||
Iluka Resources, Ltd. | 14,459 | 114,615 | |||||||
IPH, Ltd. | 24,706 | 105,946 | |||||||
Kogan.com, Ltd. | 63,280 | 331,284 | |||||||
Lend Lease Group | 25,151 | 320,295 | |||||||
Macquarie Group, Ltd. | 2,248 | 174,286 | |||||||
Metcash, Ltd. | 88,829 | 215,723 |
Number of Shares | Value | ||||||||
Mirvac Group – REIT | 51,921 | $ | 94,924 | ||||||
Newcrest Mining, Ltd. | 514,454 | 9,140,705 | |||||||
Orica, Ltd. | 59,387 | 838,048 | |||||||
Origin Energy, Ltd. (a) | 105,722 | 777,527 | |||||||
Qantas Airways, Ltd. | 223,098 | 875,801 | |||||||
QBE Insurance Group, Ltd. – ASE Shares | 115,235 | 958,986 | |||||||
Santos, Ltd. (a) | 16,933 | 71,808 | |||||||
South32, Ltd. – ASX Shares | 243,538 | 662,149 | |||||||
Star Entertainment Grp, Ltd. (The) | 6,825 | 32,269 | |||||||
Stockland – REIT | 64,950 | 227,180 | |||||||
Suncorp Group, Ltd. | 68,443 | 738,178 | |||||||
22,805,698 | |||||||||
Austria — 0.1% | |||||||||
Andritz AG | 2,570 | 145,123 | |||||||
Erste Group Bank AG (a) | 4,057 | 174,958 | |||||||
IMMOFINANZ AG (a) | 1,357,766 | 3,482,438 | |||||||
Oesterreichische Post AG | 5,399 | 242,312 | |||||||
Wienerberger AG | 16,634 | 402,073 | |||||||
4,446,904 | |||||||||
Belgium — 0.1% | |||||||||
Ageas | 1,165 | 56,871 | |||||||
Anheuser-Busch InBev SA/NV | 9,548 | 1,065,011 | |||||||
Galapagos NV (a) | 2,494 | 236,264 | |||||||
Greenyard NV | 3,122 | 75,298 | |||||||
KBC Groep NV | 7,177 | 611,472 | |||||||
Proximus SADP | 4,127 | 135,458 | |||||||
Solvay SA | 4,553 | 632,272 | |||||||
UCB SA | 10,446 | 827,788 | |||||||
3,640,434 | |||||||||
Bermuda — 0.1% | |||||||||
Assured Guaranty, Ltd. | 50,288 | 1,703,255 | |||||||
Golar LNG, Ltd. | 5,087 | 151,643 | |||||||
Marvell Technology Group, Ltd. | 17,400 | 373,578 | |||||||
Signet Jewelers, Ltd. | 2,315 | 130,913 | |||||||
2,359,389 | |||||||||
Brazil — 0.3% | |||||||||
BrasilAgro – Co. Brasileira de Propriedades Agricolas | 179,900 | 677,627 | |||||||
CCR SA | 13,120 | 63,727 | |||||||
Centrais Eletricas Brasileiras SA (a) | 715,300 | 4,054,837 | |||||||
Cia Hering | 85,800 | 661,341 | |||||||
Cia Paranaense de Energia – SPADR | 10,878 | 82,999 | |||||||
Cia Siderurgica Nacional SA (a) | 26,864 | 66,832 | |||||||
Ez Tec Empreendimentos e Participacoes SA | 14,600 | 94,588 | |||||||
Localiza Rent a Car SA | 37,949 | 252,246 | |||||||
Magnesita Refratarios SA | 17,247 | 261,538 | |||||||
Minerva SA | 133,247 | 427,331 | |||||||
MRV Engenharia e Participacoes SA | 28,258 | 127,915 | |||||||
Odontoprev SA | 36,795 | 175,998 | |||||||
Petroleo Brasileiro SA (a) | 52,018 | 266,485 | |||||||
Petroleo Brasileiro SA – ADR (a) | 32,713 | 336,617 | |||||||
Porto Seguro SA | 11,482 | 125,756 |
14
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Shares | Value | ||||||||
Portobello SA | 53,400 | $ | 88,202 | ||||||
SLC Agricola SA | 341,103 | 2,741,142 | |||||||
Sul America SA (UNIT) | 8,557 | 48,060 | |||||||
Tupy SA | 39,593 | 216,114 | |||||||
WEG SA | 21,856 | 158,471 | |||||||
10,927,826 | |||||||||
Canada — 2.6% | |||||||||
Aimia, Inc. | 9,180 | 27,314 | |||||||
Air Canada (a) | 7,782 | 160,221 | |||||||
Altius Minerals Corp. | 7,029 | 83,599 | |||||||
Barrick Gold Corp. – NYSE Shares | 347,041 | 5,021,683 | |||||||
Bear Creek Mining Corp. (a) | 478,091 | 768,293 | |||||||
Cameco Corp. | 834,641 | 7,703,736 | |||||||
Cameco Corp. – TSX Shares | 6,964 | 64,321 | |||||||
Canadian Natural Resources, Ltd. – NYSE Shares | 10,723 | 383,196 | |||||||
Centerra Gold, Inc. (a) | 725,899 | 3,719,005 | |||||||
Denison Mines Corp. (a) | 2,066,459 | 1,134,333 | |||||||
Dundee Corp., Class A (a) | 405,126 | 815,409 | |||||||
Dundee Precious Metals, Inc. (a) | 644,250 | 1,537,590 | |||||||
Fairfax Financial Holdings, Ltd. | 787 | 419,070 | |||||||
First Quantum Minerals, Ltd. | 7,607 | 106,571 | |||||||
Fission Uranium Corp. (a) | 2,181,500 | 1,344,998 | |||||||
Gabriel Resources, Ltd. (a) | 1,962,000 | 655,561 | |||||||
Goldcorp., Inc. | 137,227 | 1,752,389 | |||||||
IMAX Corp. (a) | 322,352 | 7,462,449 | |||||||
Imperial Oil, Ltd. | 14,040 | 438,178 | |||||||
Ivanhoe Mines, Ltd., Class A (a) | 494,216 | 1,667,045 | |||||||
Kinross Gold Corp. – NYSE Shares (a) | 839,708 | 3,627,539 | |||||||
Kinross Gold Corp. – TSX Shares (a) | 87,779 | 378,490 | |||||||
Lundin Gold, Inc. (a) | 849,667 | 3,062,046 | |||||||
Magna International, Inc. | 9,823 | 556,669 | |||||||
Maxar Technologies, Ltd. | 187,404 | 12,053,825 | |||||||
MEG Energy Corp. (a) | 1,214,119 | 4,964,655 | |||||||
New Gold, Inc. (a) | 982,148 | 3,231,267 | |||||||
NexGen Energy, Ltd. (a) | 1,137,052 | 2,903,689 | |||||||
Northern Dynasty Minerals, Ltd. (a) | 2,256,947 | 4,021,926 | |||||||
NOVAGOLD Resources, Inc. (a) | 201,971 | 793,746 | |||||||
Onex Corp. | 2,937 | 215,403 | |||||||
PrairieSky Royalty, Ltd. | 179 | 4,565 | |||||||
Rogers Communications, Inc., Class B | 18,297 | 932,317 | |||||||
Seabridge Gold, Inc. (a) | 229,616 | 2,606,699 | |||||||
Sprott, Inc. | 2,586,058 | 5,019,874 | |||||||
Suncor Energy, Inc. | 15,332 | 562,905 | |||||||
Tahoe Resources, Inc. | 351,863 | 1,687,935 | |||||||
Teck Resources, Ltd., Class B | 8,438 | 220,822 | |||||||
Turquoise Hill Resources, Ltd. (a) | 1,233,341 | 4,230,360 | |||||||
Uranium Participation Corp. (a) | 1,643,208 | 5,529,650 | |||||||
Wheaton Precious Metals Corp. | 286,855 | 6,348,101 | |||||||
98,217,444 | |||||||||
Chile — 0.0% | |||||||||
Antofagasta plc | 71,404 | 968,079 | |||||||
Inversiones La Construccion SA | 9,816 | 183,448 | |||||||
1,151,527 |
Number of Shares | Value | ||||||||
China — 7.1% | |||||||||
Agile Property Holdings, Ltd. | 401,722 | $ | 609,612 | ||||||
Agricultural Bank of China, Ltd., Class H | 136,102 | 63,337 | |||||||
Ajisen China Holdings, Ltd. | 144,000 | 68,516 | |||||||
Alibaba Group Holding, Ltd., ADR (a) | 68,800 | 11,863,184 | |||||||
Aluminum Corp. of China, Ltd., Class H (a) | 93,415 | 66,920 | |||||||
Anhui Conch Cement Co., Ltd., Class A | 1,145,209 | 5,161,920 | |||||||
Anhui Conch Cement Co., Ltd., Class H | 93,937 | 441,773 | |||||||
Anhui Gujing Distillery Co., Ltd. | 38,828 | 219,400 | |||||||
Anhui Zhongding Sealing Parts Co., Ltd., Class A | 452,762 | 1,262,564 | |||||||
Baidu, Inc. – SPADR (a) | 3,662 | 857,677 | |||||||
Bank of China, Ltd., Class A | 6,497,100 | 3,970,838 | |||||||
Baoshan Iron & Steel Co., Ltd. | 1,992,983 | 2,644,144 | |||||||
Baozun, Inc. – ADR (a) | 137,200 | 4,330,032 | |||||||
Beijing Capital Land, Ltd., Class H | 436,000 | 226,561 | |||||||
Changgang Dunxin Enterprise Co., Ltd. (a) (b) (e) | 4,640,000 | 77,206 | |||||||
China Construction Bank Corp., Class A | 8,556,815 | 10,104,401 | |||||||
China Construction Bank Corp., Class H | 219,547 | 201,945 | |||||||
China CYTS Tours Holding Co., Ltd., Class A | 1,341,387 | 4,283,800 | |||||||
China Fortune Land Development Co., Ltd., Class A | 659,471 | 3,178,503 | |||||||
China Jushi Co., Ltd., Class A | 1,161,538 | 2,896,210 | |||||||
China Lilang, Ltd. | 238,000 | 192,137 | |||||||
China Mengniu Dairy Co., Ltd. (a) | 105,000 | 312,181 | |||||||
China Merchants Bank Co., Ltd., Class A | 1,455,445 | 6,482,564 | |||||||
China Merchants Bank Co., Ltd., Class H | 2,093,000 | 8,328,875 | |||||||
China Pacific Insurance Group Co., Ltd. | 607,194 | 3,861,073 | |||||||
China Pioneer Pharma Holdings, Ltd. | 556,809 | 171,854 | |||||||
China Resources Beer Holdings Co., Ltd. | 708,352 | 2,542,349 | |||||||
China Shineway Pharmaceutical Group, Ltd. | 210,690 | 196,570 | |||||||
China Suntien Green Energy Corp., Ltd., Class H | 844,000 | 223,260 | |||||||
China Yurun Food Group, Ltd. (a) | 4,853,000 | 502,578 | |||||||
Consun Pharmaceutical Group, Ltd. | 207,110 | 187,611 | |||||||
Ctrip.com International, Ltd. – ADR (a) | 2,119 | 93,448 | |||||||
Dongjiang Environmental Co., Ltd. | 592,429 | 1,478,359 | |||||||
GoerTek, Inc., Class A | 455,073 | 1,213,156 | |||||||
Goodbaby International Holdings, Ltd. | 28,000 | 15,374 | |||||||
Grandblue Environment Co., Ltd., Class A | 1,676,518 | 4,102,494 | |||||||
Great Wall Motor Co., Ltd., Class H | 722,500 | 827,176 | |||||||
Gree Electric Appliances, Inc. of Zhuhai, Class A | 850,313 | 5,697,877 | |||||||
Greenland Hong Kong Holdings, Ltd. | 340,930 | 135,685 | |||||||
Guangdong Provincial Expressway Development Co., Ltd., Class B | 223,655 | 194,531 | |||||||
Guangshen Railway Co., Ltd., Class H | 4,004,000 | 2,685,646 | |||||||
Guangzhou Baiyun International Airport Co., Ltd., Class A | 2,238,589 | 5,037,135 | |||||||
Haitian International Holdings, Ltd. | 159,454 | 479,546 | |||||||
Hangzhou Robam Appliances Co., Ltd., Class A | 128,607 | 948,261 |
15
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Shares | Value | |||||||
Harbin Electric Co., Ltd., Class H | 75,463 | $ | 31,560 | |||||
Hefei Meiya Optoelectronic Technology, Inc., Class A | 425,621 | 1,259,251 | ||||||
Henan Shuanghui Investment & Development Co., Ltd., Class A | 738,573 | 3,005,247 | ||||||
Hengan International Group Co., Ltd. | 22,246 | 246,917 | ||||||
Hiroca Holdings, Ltd. | 35,649 | 137,452 | ||||||
Hisense Kelon Electrical Holdings Co., Ltd., Class H | 193,893 | 229,021 | ||||||
Hongfa Technology Co., Ltd., Class A | 253,084 | 1,604,747 | ||||||
Hua Hong Semiconductor, Ltd. (c) | 527,000 | 1,115,265 | ||||||
Huadong Medicine Co., Ltd., Class A | 303,193 | 2,511,009 | ||||||
Huaneng Power International, Inc., Class H | 586,000 | 367,339 | ||||||
Huaxin Cement Co., Ltd., Class B | 186,806 | 227,730 | ||||||
Huayu Automotive Systems Co., Ltd., Class A | 1,124,081 | 5,119,057 | ||||||
Industrial Bank Co., Ltd., Class A | 1,138,572 | 2,971,799 | ||||||
Inner Mongolia Yili Industrial Group Co., Ltd., Class A | 1,536,770 | 7,597,989 | ||||||
JA Solar Holdings Co., Ltd. – ADR (a) | 40,219 | 300,034 | ||||||
JD.com, Inc. – ADR (a) | 21,324 | 883,240 | ||||||
Jiangsu Hengrui Medicine Co., Ltd., Class A | 1,057,499 | 11,188,912 | ||||||
Johnson Electric Holdings, Ltd. | 19,732 | 82,704 | ||||||
Kweichow Moutai Co., Ltd., Class A | 81,347 | 8,698,461 | ||||||
Leoch International Technology, Ltd. | 605,148 | 109,969 | ||||||
Li Ning Co., Ltd. (a) | 367,541 | 297,469 | ||||||
Livzon Pharmaceutical Group, Inc. | 67,930 | 692,616 | ||||||
LONGi Green Energy Technology Co., Ltd. | 353,610 | 1,974,206 | ||||||
Lonking Holdings, Ltd. | 1,227,344 | 538,758 | ||||||
Minth Group, Ltd. | 466,000 | 2,804,257 | ||||||
NetEase, Inc. – ADR | 1,939 | 669,091 | ||||||
New Oriental Education & Technology Group, Inc. – SPADR | 19,300 | 1,814,200 | ||||||
Noah Holdings, Ltd. – ADR (a) | 4,034 | 186,694 | ||||||
NVC Lighting Holding, Ltd. | 6,484,000 | 639,004 | ||||||
Ping An Insurance Group Co. of China, Ltd., Class A | 659,054 | 7,078,604 | ||||||
Ping An Insurance Group Co. of China, Ltd., Class H | 1,615,500 | 16,814,430 | ||||||
Poly Real Estate Group Co., Ltd., Class A | 2,057,006 | 4,464,657 | ||||||
Powerlong Real Estate Holdings, Ltd. | 449,000 | 217,132 | ||||||
SAIC Motor Corp., Ltd., Class A | 556,631 | 2,776,968 | ||||||
Shandong Chenming Paper Holdings, Ltd., Class H | 263,345 | 474,150 | ||||||
Shenzhou International Group Holdings, Ltd. | 1,299,835 | 12,346,074 | ||||||
Sichuan Kelun Pharmaceutical Co., Ltd., Class A | 1,038,930 | 3,972,571 | ||||||
Sino-Ocean Group Holding, Ltd. | 944,408 | 649,371 | ||||||
Sinotruk Hong Kong, Ltd. | 605,560 | 681,907 | ||||||
SOHO China, Ltd. | 224,000 | 131,007 | ||||||
TAL Education Group – ADR | 401,952 | 11,941,994 | ||||||
Tasly Pharmaceutical Group Co., Ltd., Class A | 588,808 | 3,218,132 | ||||||
Tencent Holdings, Ltd. | 632,800 | 32,712,585 |
Number of Shares | Value | ||||||||
Tianneng Power International, Ltd. | 370,000 | $ | 383,881 | ||||||
Tingyi Cayman Islands Holding Corp. | 457,746 | 889,735 | |||||||
Tsingtao Brewery Co., Ltd., Class H | 348,600 | 1,796,557 | |||||||
Vipshop Holdings, Ltd. – ADR (a) | 30,418 | 356,499 | |||||||
Want Want China Holdings, Ltd. | 397,529 | 332,600 | |||||||
Weiqiao Textile Co., Ltd., Class H | 173,385 | 98,511 | |||||||
West China Cement, Ltd. (a) | 1,310,054 | 196,179 | |||||||
Wuliangye Yibin Co., Ltd., Class A | 317,289 | 3,890,569 | |||||||
Xiabuxiabu Catering Management China Holdings Co., Ltd. (c) | 111,366 | 223,683 | |||||||
Xingda International Holdings, Ltd. | 169,000 | 59,888 | |||||||
Xinyuan Real Estate Co., Ltd. – ADR | 31,893 | 217,191 | |||||||
Yangzijiang Shipbuilding Holdings, Ltd. | 465,400 | 511,483 | |||||||
Yunda Holding Co., Ltd. | 19,430 | 136,573 | |||||||
Zhangzhou Pientzehuang Pharmaceutical Co., Ltd., Class A | 387,381 | 3,760,039 | |||||||
Zhongsheng Group Holdings, Ltd. | 193,523 | 439,819 | |||||||
266,515,070 | |||||||||
Cyprus — 0.0% | |||||||||
Hellenic Bank plc (a) | 81,733 | 59,821 | |||||||
TCS Group Holding plc – GDR (d) | 68,490 | 1,291,980 | |||||||
1,351,801 | |||||||||
Czech Republic — 0.0% | |||||||||
Philip Morris CR AS | 304 | 236,313 | |||||||
UNIPETROL as | 10,459 | 184,715 | |||||||
421,028 | |||||||||
Denmark — 0.6% | |||||||||
AP Moller – Maersk A/S, Class B | 290 | 505,366 | |||||||
Bang & Olufsen A/S, Class B (a) | 14,370 | 344,705 | |||||||
Carlsberg A/S, Class B | 10,681 | 1,279,331 | |||||||
Coloplast A/S, Class B | 16,786 | 1,331,062 | |||||||
Danske Bank A/S | 14,253 | 554,104 | |||||||
Dfds A/S | 1,752 | 93,452 | |||||||
GN Store Nord (GN Great Nordic) A/S | 51,063 | 1,649,729 | |||||||
H Lundbeck A/S | 3,316 | 168,634 | |||||||
ISS A/S | 3,563 | 137,443 | |||||||
Jyske Bank A/S | 6,613 | 375,298 | |||||||
Nets A/S (a) (c) | 4,857 | 127,746 | |||||||
Novo Nordisk A/S, Class B | 233,558 | 12,552,618 | |||||||
TDC A/S | 39,581 | 243,215 | |||||||
Vestas Wind Systems A/S | 26,318 | 1,804,003 | |||||||
William Demant Holding A/S (a) | 29,660 | 825,667 | |||||||
21,992,373 | |||||||||
Finland — 0.3% | |||||||||
Amer Sports Oyj (a) | 8,858 | 245,373 | |||||||
Kesko Oyj | 3,307 | 179,538 | |||||||
Kone Oyj, Class B | 159,690 | 8,569,162 | |||||||
Neste Oyj | 7,020 | 449,244 | |||||||
Sampo Oyj, Class A | 31,541 | 1,732,717 | |||||||
UPM-Kymmene Oyj | 39,508 | 1,225,868 | |||||||
Valmet Corp. | 3,318 | 65,383 | |||||||
Wartsila Corp. | 4,774 | 300,845 | |||||||
12,768,130 |
16
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Shares | Value | ||||||||
France — 1.5% | |||||||||
Air France-KLM SA (a) | 28,076 | $ | 456,451 | ||||||
Airbus SE | 9,463 | 939,729 | |||||||
Altran Technologies SA | 4,769 | 79,293 | |||||||
Amundi SA (c) | 3,195 | 270,469 | |||||||
Atos Origin SA | 3,817 | 555,606 | |||||||
AXA SA | 18,491 | 548,044 | |||||||
BioMerieux | 428 | 38,349 | |||||||
BNP Paribas SA | 33,140 | 2,471,378 | |||||||
Bouygues SA | 14,805 | 769,099 | |||||||
Capgemini SE | 4,254 | 503,428 | |||||||
Cie Generale des Etablissements Michelin | 5,098 | 730,260 | |||||||
CNP Assurances | 7,247 | 167,221 | |||||||
Compagnie de Saint-Gobain | 12,238 | 673,527 | |||||||
Edenred SA | 14,697 | 425,780 | |||||||
Electricite de France SA | 764,065 | 9,531,567 | |||||||
Elior Group SA (c) | 3,093 | 63,807 | |||||||
Elis SA | 10,335 | 278,557 | |||||||
Engie SA | 38,758 | 665,916 | |||||||
Eurofins Scientific | 1,284 | 781,798 | |||||||
Eutelsat Communications SA | 10,531 | 243,149 | |||||||
Groupe Eurotunnel SE | 53,630 | 689,745 | |||||||
Imerys SA | 904 | 85,160 | |||||||
JCDecaux SA | 6,257 | 252,129 | |||||||
Kering | 181 | 85,328 | |||||||
L’Oreal SA | 42,258 | 9,361,405 | |||||||
Lagardere S.C.A. | 4,103 | 131,447 | |||||||
Legrand SA | 22,643 | 1,740,839 | |||||||
Neopost SA | 6,358 | 182,531 | |||||||
Orange SA (a) | �� | 53,360 | 925,949 | ||||||
Peugeot SA | 64,300 | 1,306,162 | |||||||
Renault SA | 9,639 | 968,795 | |||||||
Rothschild & Co. | 3,032 | 110,975 | |||||||
Safran SA | 2,699 | 277,537 | |||||||
Sanofi SA | 19,060 | 1,641,134 | |||||||
Societe BIC SA | 2,128 | 233,998 | |||||||
Societe Generale SA | 3,833 | 197,620 | |||||||
Technicolor SA | 18,164 | 62,301 | |||||||
Teleperformance | 2,348 | 336,082 | |||||||
Thales SA | 3,345 | 359,958 | |||||||
Total SA | 13,733 | 757,722 | |||||||
Unibail-Rodamco SE – REIT | 541 | 136,292 | |||||||
Vallourec SA (a) | 12,262 | 74,051 | |||||||
Vicat SA | 1,989 | 156,989 | |||||||
Vinci SA | 4,446 | 453,612 | |||||||
Virbac SA (a) | 223 | 33,046 | |||||||
Vivendi SA | 540,860 | 14,543,751 | |||||||
Worldline SA (a) (c) | 7,048 | 341,973 | |||||||
Zodiac Aerospace | 20,637 | 617,303 | |||||||
56,257,262 | |||||||||
Georgia — 0.0% | |||||||||
BGEO Group plc | 981 | 47,013 |
Number of Shares | Value | ||||||||
Germany — 1.9% | |||||||||
Adidas AG | 3,400 | $ | 678,722 | ||||||
Allianz SE | 3,712 | 850,098 | |||||||
AURELIUS Equity Opportunities SE & Co KGaA | 4,925 | 336,639 | |||||||
Aurubis AG | 4,986 | 461,452 | |||||||
Axel Springer AG | 8,116 | 632,379 | |||||||
BASF SE | 16,476 | 1,808,161 | |||||||
Bayer AG | 9,085 | 1,129,947 | |||||||
Bayerische Motoren Werke AG | 7,703 | 800,130 | |||||||
Beiersdorf AG | 4,753 | 557,083 | |||||||
Brenntag AG | 11,577 | 730,293 | |||||||
Commerzbank AG (a) | 5,473 | 82,091 | |||||||
Continental AG | 403 | 108,800 | |||||||
CTS Eventim AG & Co KGaA | 8,379 | 390,005 | |||||||
Deutsche Bank AG | 4,038 | 76,630 | |||||||
Deutsche Boerse AG | 1,334 | 154,630 | |||||||
Deutsche Lufthansa AG | 364,709 | 13,406,769 | |||||||
Deutsche Telekom AG | 55,262 | 980,051 | |||||||
Deutsche Wohnen AG | 122,228 | 5,329,253 | |||||||
Deutz AG | 7,747 | 70,279 | |||||||
E.ON SE | 18,371 | 199,191 | |||||||
Fielmann AG | 2,105 | 185,258 | |||||||
Fresenius Medical Care AG & Co. | 19,361 | 2,039,162 | |||||||
Fresenius SE & Co. KGaA | 2,894 | 225,327 | |||||||
GEA Group AG | 2,494 | 119,585 | |||||||
Gerresheimer AG | 1,257 | 103,906 | |||||||
Hannover Rueck SE | 972 | 121,963 | |||||||
Hochtief AG | 1,996 | 351,789 | |||||||
Infineon Technologies AG | 24,338 | 664,726 | |||||||
Leoni AG | 1,269 | 94,655 | |||||||
Linde AG (a) | 1,294 | 302,714 | |||||||
METRO AG (a) | 2,912 | 58,163 | |||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 3,403 | 737,736 | |||||||
Rheinmetall AG | 2,967 | 376,751 | |||||||
RWE AG (a) | 59,768 | 1,218,776 | |||||||
Salzgitter AG | 4,933 | 280,406 | |||||||
SAP AG | 8,486 | 951,534 | |||||||
Siemens AG | 3,527 | 489,368 | |||||||
Software AG | 4,172 | 234,634 | |||||||
Suedzucker AG | 13,493 | 291,957 | |||||||
Symrise AG | 4,363 | 374,069 | |||||||
Talanx AG (a) | 3,266 | 133,220 | |||||||
TUI AG | 53,849 | 1,114,967 | |||||||
TUI AG – Xetra Shares | 12,387 | 255,120 | |||||||
Vonovia SE | 632,041 | 31,286,101 | |||||||
Wacker Chemie AG | 370 | 71,975 | |||||||
Wacker Neuson SE | 9,018 | 325,138 | |||||||
zooplus AG (a) | 1,633 | 293,763 | |||||||
71,485,366 |
17
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Shares | Value | ||||||||
Greece — 0.2% | |||||||||
Diana Shipping, Inc. (a) | 526,653 | $ | 2,143,478 | ||||||
Ellaktor SA (a) | 5,748 | 11,130 | |||||||
Hellenic Exchanges – Athens Stock Exchange SA Holdings | 14,623 | 92,313 | |||||||
Motor Oil Hellas Corinth Refineries SA | 51,349 | 1,157,070 | |||||||
OPAP SA | 9,537 | 120,007 | |||||||
Piraeus Bank SA (a) | 15,944 | 58,705 | |||||||
Tsakos Energy Navigation, Ltd. | 523,985 | 2,048,781 | |||||||
5,631,484 | |||||||||
Hong Kong — 1.0% | |||||||||
AIA Group, Ltd. | 48,401 | 412,779 | |||||||
Beijing Tong Ren Tang Chinese Medicine Co., Ltd. | 26,833 | 36,470 | |||||||
Cathay Pacific Airways, Ltd. (a) | 353,000 | 547,183 | |||||||
CECEP COSTIN New Materials Group, Ltd. (a) (b) (e) | 1,736,000 | 66,659 | |||||||
China Merchants Land, Ltd. | 1,033,683 | 190,475 | |||||||
China Merchants Port Holdings Co., Ltd. | 29,572 | 77,396 | |||||||
China Mobile, Ltd. | 363,000 | 3,674,375 | |||||||
China Resources Cement Holdings, Ltd. | 1,058,000 | 693,455 | |||||||
China Resources Power Holdings Co., Ltd. | 210,000 | 390,991 | |||||||
CK Asset Holdings, Ltd. | 71,000 | 620,604 | |||||||
CK Hutchison Holdings, Ltd. | 65,139 | 817,819 | |||||||
CLP Holdings, Ltd. | 8,500 | 86,983 | |||||||
Dah Chong Hong Holdings, Ltd. | 401,543 | 186,032 | |||||||
Dairy Farm International Holdings, Ltd. | 13,600 | 106,643 | |||||||
Dawnrays Pharmaceutical Holdings, Ltd. | 47,989 | 26,164 | |||||||
Esprit Holdings, Ltd. (a) | 1,116,399 | 596,739 | |||||||
First Pacific Co., Ltd. | 208,000 | 141,326 | |||||||
Galaxy Entertainment Group, Ltd. | 36,000 | 287,872 | |||||||
Guoco Group, Ltd. | 54,000 | 692,573 | |||||||
Hang Lung Properties, Ltd. | 115,000 | 280,640 | |||||||
Henderson Land Development Co., Ltd. | 146,144 | 963,204 | |||||||
Hong Kong & Shanghai Hotels, Ltd. (The) | 405,417 | 604,966 | |||||||
Hong Kong Exchanges & Clearing, Ltd. | 34,600 | 1,056,826 | |||||||
Hua Han Health Industry Holdings, Ltd. (a) (b) | 7,412,000 | 502,808 | |||||||
Huabao International Holdings, Ltd. | 547,021 | 359,848 | |||||||
i-Cable Communications, Ltd. (a) | 39,811 | 1,171 | |||||||
Jardine Matheson Holdings, Ltd. | 33,292 | 2,021,318 | |||||||
Jardine Strategic Holdings, Ltd. | 32,948 | 1,304,177 | |||||||
K Wah International Holdings, Ltd. | 440,409 | 240,352 | |||||||
Kerry Properties, Ltd. | 55,000 | 247,417 | |||||||
Kingboard Chemical Holdings, Ltd. | 161,000 | 868,766 | |||||||
Kingboard Laminates Holdings, Ltd. | 481,400 | 750,296 | |||||||
Li & Fung, Ltd. | 212,000 | 116,236 | |||||||
Link (The) REIT – REIT | 6,000 | 55,599 | |||||||
Midland Holdings, Ltd. (a) | 917,549 | 265,393 | |||||||
Midland IC&I, Ltd. (a) | 568,613 | 29,464 | |||||||
New World Development Co., Ltd. | 864,635 | 1,299,089 | |||||||
Pacific Basin Shipping, Ltd. (a) | 993,422 | 214,864 | |||||||
PAX Global Technology, Ltd. | 6,633,000 | 2,976,125 | |||||||
Sino Biopharmaceutical, Ltd. | 3,032,000 | 5,365,538 |
Number of Shares | Value | ||||||||
Sino Land Co., Ltd. | 126,000 | $ | 223,078 | ||||||
SmarTone Telecommunications Holdings, Ltd. | 473,442 | 570,438 | |||||||
SSY Group, Ltd. | 483,256 | 297,142 | |||||||
Stella International Holdings, Ltd. | 29,480 | 44,387 | |||||||
Sun Hung Kai Properties, Ltd. | 60,000 | 999,470 | |||||||
TCL Multimedia Technology Holdings, Ltd. | 45,000 | 22,382 | |||||||
Television Broadcasts, Ltd. | 159,602 | 575,310 | |||||||
WH Group, Ltd. (c) | 2,895,500 | 3,263,795 | |||||||
Wheelock & Co., Ltd. | 53,688 | 383,597 | |||||||
35,556,234 | |||||||||
Hungary — 0.0% | |||||||||
OTP Bank plc | 8,412 | 347,477 | |||||||
India — 0.3% | |||||||||
Aptech, Ltd. | 12,087 | 69,045 | |||||||
Axis Bank, Ltd. | 33,463 | 294,961 | |||||||
Balrampur Chini Mills, Ltd. | 209,835 | 437,074 | |||||||
Bank of Baroda | 149,277 | 377,309 | |||||||
Bharti Airtel, Ltd. | 23,273 | 192,975 | |||||||
Bliss Gvs Pharma, Ltd. | 55,101 | 182,195 | |||||||
Century Enka, Ltd. | 19,777 | 102,512 | |||||||
CESC, Ltd. | 44,007 | 722,508 | |||||||
Cosmo Films, Ltd. | 1,510 | 8,770 | |||||||
DCM Shriram, Ltd. | 21,266 | 185,867 | |||||||
Dish TV India, Ltd. (a) | 79,144 | 101,440 | |||||||
Gitanjali Gems, Ltd. | 166,802 | 177,564 | |||||||
Godfrey Phillips India, Ltd. | 3,888 | 60,047 | |||||||
Gravita India, Ltd. | 24,490 | 60,807 | |||||||
HCL Technologies, Ltd. | 17,370 | 243,846 | |||||||
ICICI Bank, Ltd. | 49,302 | 241,941 | |||||||
Idea Cellular, Ltd. (a) | 192,034 | 324,804 | |||||||
IDFC, Ltd. | 211,521 | 208,423 | |||||||
IRB Infrastructure Developers, Ltd. | 187,794 | 700,212 | |||||||
Jammu & Kashmir Bank, Ltd. (The) (a) | 207,635 | 256,468 | |||||||
Jindal Poly Films, Ltd. | 12,348 | 80,465 | |||||||
KEC International, Ltd. | 51,746 | 310,096 | |||||||
Kopran, Ltd. (a) | 32,655 | 34,647 | |||||||
KPIT Technologies, Ltd. | 76,960 | 216,733 | |||||||
Larsen & Toubro Infotech, Ltd. (c) | 11,118 | 193,265 | |||||||
LIC Housing Finance, Ltd. | 33,078 | 291,452 | |||||||
Lupin, Ltd. | 4,699 | 65,210 | |||||||
Man Infraconstruction, Ltd. | 171,053 | 181,975 | |||||||
Merck, Ltd. | 1,226 | 24,838 | |||||||
MOIL, Ltd. | 24,105 | 91,164 | |||||||
Multi Commodity Exchange of India, Ltd. | 4,426 | 63,279 | |||||||
Natco Pharma, Ltd. | 33,467 | 504,842 | |||||||
National Aluminium Co., Ltd. | 298,249 | 400,500 | |||||||
NIIT Technologies, Ltd. | 38,173 | 386,287 | |||||||
NLC India, Ltd. | 116,504 | 200,361 | |||||||
Phillips Carbon Black, Ltd. | 34,744 | 527,609 | |||||||
PNB Gilts, Ltd. | 64,630 | 48,020 | |||||||
Punjab National Bank (a) | 182,145 | 489,384 |
18
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Shares | Value | ||||||||
Radico Khaitan, Ltd. | 24,628 | $ | 113,168 | ||||||
Redington India, Ltd. | 77,177 | 212,064 | |||||||
Rural Electrification Corp., Ltd. | 185,344 | 452,596 | |||||||
Shriram Transport Finance Co., Ltd. | 3,702 | 85,195 | |||||||
Sonata Software, Ltd. | 50,027 | 218,345 | |||||||
Srikalahasthi Pipes, Ltd. | 31,938 | 199,870 | |||||||
State Bank of India | 47,708 | 231,190 | |||||||
Tata Sponge Iron, Ltd. | 20,926 | 321,287 | |||||||
Thirumalai Chemicals, Ltd. | 10,163 | 346,564 | |||||||
Trident, Ltd. | 128,031 | 179,080 | |||||||
Uflex, Ltd. | 32,472 | 247,253 | |||||||
Vardhman Textiles, Ltd. | 4,225 | 92,222 | |||||||
VIP Industries, Ltd. | 37,136 | 203,878 | |||||||
Visaka Industries, Ltd. | 17,320 | 176,877 | |||||||
Wipro, Ltd. | 22,917 | 111,965 | |||||||
12,250,449 | |||||||||
Indonesia — 0.0% | |||||||||
Adaro Energy Tbk PT | 1,676,100 | 229,056 | |||||||
Indo Tambangraya Megah Tbk PT | 177,013 | 269,524 | |||||||
Indosat Tbk PT | 138,038 | 48,819 | |||||||
Media Nusantara Citra Tbk PT | 988,800 | 93,646 | |||||||
Panin Financial Tbk PT (a) | 1,029,200 | 18,753 | |||||||
659,798 | |||||||||
Ireland — 0.2% | |||||||||
Accenture plc, Class A | 3,033 | 464,322 | |||||||
Adient plc | 910 | 71,617 | |||||||
Bank of Ireland Group plc (a) | 13,767 | 117,842 | |||||||
Bank of Ireland Group plc – LSE Shares (a) | 86,151 | 732,867 | |||||||
CRH plc | 2,738 | 98,131 | |||||||
CRH plc – BATS Europe Shares | 5,342 | 192,180 | |||||||
DCC plc | 7,081 | 713,496 | |||||||
Experian plc | 34,691 | 762,412 | |||||||
Irish Bank Resolution Corp., Ltd. (a) (b) (e) | 38,180 | — | |||||||
Irish Continental Group plc | 40,374 | 279,570 | |||||||
Medtronic plc | 1,343 | 108,447 | |||||||
Paddy Power Betfair plc | 5,166 | 612,867 | |||||||
Paddy Power Betfair plc – LSE Shares | 5,516 | 657,003 | |||||||
Permanent TSB Group Holdings plc (a) | 130,222 | 351,563 | |||||||
Ryanair Holdings plc – SPADR (a) | 2,195 | 228,697 | |||||||
5,391,014 | |||||||||
Isle of Man — 0.0% | |||||||||
Playtech plc | 31,932 | 369,905 | |||||||
Italy — 0.3% | |||||||||
A2A SpA | 164,347 | 303,827 | |||||||
Autogrill SpA | 14,838 | 204,503 | |||||||
Banca IFIS SpA | 13,780 | 673,956 | |||||||
Banca Monte dei Paschi di Siena SpA (a) | 2,294 | 10,758 | |||||||
Banco BPM SpA (a) | 277,917 | 870,524 | |||||||
BPER Banca | 6,082 | 30,612 | |||||||
Credito Valtellinese SC (a) | 75,832 | 110,483 | |||||||
Davide Campari-Milano SpA | 21,905 | 169,344 |
Number of Shares | Value | ||||||||
DiaSorin SpA | 1,892 | $ | 167,887 | ||||||
Enel SpA | 136,845 | 841,132 | |||||||
Eni SpA | 14,784 | 244,481 | |||||||
Ferrari NV | 1,847 | 193,741 | |||||||
Finmeccanica SpA | 26,635 | 316,691 | |||||||
Hera SpA | 39,195 | 136,715 | |||||||
Intesa Sanpaolo SpA | 591,409 | 1,961,429 | |||||||
Luxottica Group SpA | 25,741 | 1,577,446 | |||||||
Piaggio & C SpA | 64,033 | 176,497 | |||||||
Poste Italiane SpA (c) | 48,233 | 363,123 | |||||||
Saipem SpA (a) | 119,935 | 547,520 | |||||||
Tamburi Investment Partners SpA | 108,242 | 721,264 | |||||||
UniCredit SpA (a) | 56,373 | 1,050,189 | |||||||
Unione di Banche Italiane SpA | 51,771 | 225,804 | |||||||
10,897,926 | |||||||||
Japan — 8.4% | |||||||||
Aeon Delight Co., Ltd. | 1,000 | 37,373 | |||||||
AEON Financial Service Co., Ltd. | 5,000 | 116,116 | |||||||
Aisin Seiki Co., Ltd. | 5,500 | 309,039 | |||||||
Alfresa Holdings Corp. | 37,000 | 868,411 | |||||||
Amada Holdings Co., Ltd. | 9,000 | 122,368 | |||||||
Amano Corp. | 177,700 | 4,648,371 | |||||||
ANA Holdings, Inc. | 10,000 | 417,345 | |||||||
Aozora Bank, Ltd. | 4,300 | 167,395 | |||||||
Asahi Glass Co., Ltd. | 9,300 | 402,251 | |||||||
Astellas Pharma, Inc. | 47,500 | 603,302 | |||||||
Azbil Corp. | 275,000 | 11,874,748 | |||||||
BML, Inc. | 381,200 | 9,490,366 | |||||||
Bridgestone Corp. | 4,713 | 219,183 | |||||||
Brother Industries, Ltd. | 12,500 | 308,539 | |||||||
Bunka Shutter Co., Ltd. | 405,500 | 3,895,650 | |||||||
Casio Computer Co., Ltd. | 7,300 | 105,048 | |||||||
Citizen Watch Co., Ltd. | 32,900 | 240,085 | |||||||
Coca-Cola Bottlers Japan, Inc. | 3,493 | 127,577 | |||||||
Cosmos Pharmaceutical Corp. | 1,364 | 284,872 | |||||||
Credit Saison Co., Ltd. | 4,700 | 85,543 | |||||||
CyberAgent, Inc. | 8,294 | 323,950 | |||||||
Dai-ichi Life Holdings, Inc. | 64,700 | 1,334,945 | |||||||
Daicel Corp. | 30,800 | 350,501 | |||||||
Daifuku Co., Ltd. | 2,100 | 114,246 | |||||||
Daiwa House Industry Co., Ltd. | 6,700 | 257,394 | |||||||
Daiwa Securities Group, Inc. | 32,318 | 202,818 | |||||||
DMG Mori Co., Ltd. | 10,262 | 211,881 | |||||||
East Japan Railway Co. | 9,400 | 916,416 | |||||||
Fuji Electric Co., Ltd. | 12,000 | 90,266 | |||||||
Fuji Media Holdings, Inc. | 33,900 | 533,189 | |||||||
FUJIFILM Holdings Corp. | 38,300 | 1,563,626 | |||||||
Fujitsu, Ltd. | 121,000 | 857,660 | |||||||
Fukuda Denshi Co., Ltd. | 3,800 | 277,467 | |||||||
Fukuoka Financial Group, Inc. | 15,000 | 84,303 | |||||||
Fukushima Industries Corp. | 46,500 | 2,049,830 | |||||||
Glory, Ltd. | 73,200 | 2,760,967 | |||||||
GungHo Online Entertainment, Inc. | 101,300 | 278,371 |
19
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Shares | Value | |||||||
Hakuhodo DY Holdings, Inc. | 908,100 | $ | 11,813,091 | |||||
Haseko Corp. | 44,700 | 691,854 | ||||||
Hino Motors, Ltd. | 2,500 | 32,430 | ||||||
Hitachi, Ltd. | 361,031 | 2,808,494 | ||||||
Hogy Medical Co., Ltd. | 161,600 | 12,232,971 | ||||||
Hoshizaki Corp. | 600 | 52,973 | ||||||
Hoya Corp. | 700 | 34,978 | ||||||
Idemitsu Kosan Co., Ltd. | 1,100 | 44,019 | ||||||
Inpex Corp. | 5,710 | 71,453 | ||||||
Isetan Mitsukoshi Holdings, Ltd. | 30,900 | 381,920 | ||||||
Isuzu Motors, Ltd. | 11,700 | 195,658 | ||||||
ITOCHU Corp. | 26,900 | 502,245 | ||||||
Japan Airlines Co., Ltd. | 55,490 | 2,171,320 | ||||||
Japan Post Holdings Co., Ltd. | 55,000 | 630,402 | ||||||
Japan Steel Works, Ltd. (The) | 92,800 | 2,979,377 | ||||||
Japan Tobacco, Inc. | 2,817 | 90,730 | ||||||
JFE Holdings, Inc. | 48,200 | 1,158,070 | ||||||
JTEKT Corp. | 13,300 | 228,614 | ||||||
JX Holdings, Inc. | 70,900 | 458,103 | ||||||
Kajima Corp. | 61,000 | 586,260 | ||||||
Kamigumi Co., Ltd. | 97,600 | 2,157,168 | ||||||
Kao Corp. | 15,900 | 1,075,441 | ||||||
Keyence Corp. | 300 | 167,510 | ||||||
Kirin Holdings Co., Ltd. | 53,800 | 1,353,602 | ||||||
Konami Holdings Corp. | 600 | 32,971 | ||||||
Kubota Corp. | 7,100 | 139,030 | ||||||
Kuraray Co., Ltd. | 7,600 | 143,449 | ||||||
Kurita Water Industries, Ltd. | 455,800 | 14,807,809 | ||||||
Kyocera Corp. | 11,800 | 771,023 | ||||||
LIXIL Group Corp. | 22,300 | 602,907 | ||||||
Mabuchi Motor Co., Ltd. | 1,500 | 80,974 | ||||||
Maeda Corp. | 9,400 | 129,265 | ||||||
Marubeni Corp. | 91,100 | 661,493 | ||||||
Marui Group Co., Ltd. | 6,700 | 122,420 | ||||||
Matsumotokiyoshi Holdings Co., Ltd. | 19,800 | 812,519 | ||||||
Mazda Motor Corp. | 23,300 | 312,642 | ||||||
Mebuki Financial Group, Inc. | 88,681 | 375,563 | ||||||
Medipal Holdings Corp. | 7,100 | 139,044 | ||||||
MINEBEA MITSUMI, Inc. | 23,500 | 493,077 | ||||||
Miraca Holdings, Inc. | 278,100 | 11,911,412 | ||||||
Mitsubishi Corp. | 274,100 | 7,575,227 | ||||||
Mitsubishi Estate Co., Ltd. | 48,255 | 838,449 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 12,300 | 353,854 | ||||||
Mitsubishi Heavy Industries, Ltd. | 8,000 | 298,672 | ||||||
Mitsubishi Logistics Corp. | 8,100 | 210,034 | ||||||
Mitsubishi Materials Corp. | 3,700 | 131,727 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 124,823 | 915,876 | ||||||
Mitsui & Co., Ltd. | 521,500 | 8,469,583 | ||||||
Mitsui Chemicals, Inc. | 2,200 | 70,806 | ||||||
Mitsui Fudosan Co., Ltd. | 519,300 | 11,641,638 | ||||||
Mixi, Inc. | 4,800 | 215,607 | ||||||
Mizuho Financial Group, Inc. | 398,200 | 723,295 | ||||||
MS&AD Insurance Group Holdings, Inc. | 54,037 | 1,829,694 | ||||||
Namco Bandai Holdings, Inc. | 393,800 | 12,882,272 |
Number of Shares | Value | |||||||
NEC Corp. | 15,600 | $ | 420,957 | |||||
Nexon Co., Ltd. (a) | 8,308 | 241,432 | ||||||
NGK Insulators, Ltd. | 4,000 | 75,425 | ||||||
NH Foods, Ltd. | 23,000 | 558,915 | ||||||
NHK Spring Co., Ltd. | 27,800 | 305,579 | ||||||
Nikon Corp. | 28,000 | 563,370 | ||||||
Nippon Densetsu Kogyo Co., Ltd. | 7,100 | 153,453 | ||||||
Nippon Electric Glass Co., Ltd. | 14,200 | 542,094 | ||||||
Nippon Express Co., Ltd. | 6,200 | 411,723 | ||||||
Nippon Signal Company, Ltd. | 3,400 | 36,030 | ||||||
Nippon Suisan Kaisha, Ltd. | 38,300 | 200,248 | ||||||
Nippon Telegraph & Telephone Corp. | 52,900 | 2,489,239 | ||||||
Nippon Television Holdings, Inc. | 27,120 | 464,624 | ||||||
Nissan Chemical Industries, Ltd. | 4,100 | 163,388 | ||||||
Nissan Motor Co., Ltd. | 7,300 | 72,802 | ||||||
Nitto Denko Corp. | 900 | 79,996 | ||||||
Nohmi Bosai, Ltd. | 51,300 | 933,046 | ||||||
NOK Corp. | 1,600 | 37,267 | ||||||
Nomura Co., Ltd. | 4,000 | 91,120 | ||||||
Nomura Holdings, Inc. | 87,100 | 514,322 | ||||||
Noritz Corp. | 129,300 | 2,533,568 | ||||||
NTN Corp. | 6,500 | 32,191 | ||||||
NTT Data Corp. | 80,400 | 954,185 | ||||||
NTT DoCoMo, Inc. | 9,500 | 224,407 | ||||||
NTT Urban Development Corp. | 30,700 | 355,410 | ||||||
Obayashi Corp. | 131,300 | 1,587,754 | ||||||
Obic Co., Ltd. | 1,600 | 117,617 | ||||||
OKUMA Corp. | 265,200 | 17,636,355 | ||||||
OMRON Corp. | 2,500 | 148,905 | ||||||
Onward Holdings Co., Ltd. | 22,300 | 193,028 | ||||||
Organo Corp. | 74,000 | 2,160,121 | ||||||
ORIX Corp. | 17,800 | 300,968 | ||||||
Otsuka Corp. | 4,900 | 375,353 | ||||||
Otsuka Holdings Co., Ltd. | 4,000 | 175,172 | ||||||
Pola Orbis Holdings, Inc. | 8,100 | 283,541 | ||||||
Rakuten, Inc. (a) | 8,825 | 80,706 | ||||||
Renesas Electronics Corp. (a) | 26,400 | 305,585 | ||||||
Resona Holdings, Inc. | 267,500 | 1,598,616 | ||||||
Rinnai Corp. | 15,200 | 1,376,197 | ||||||
Rohm Co., Ltd. | 3,100 | 341,522 | ||||||
Ryohin Keikaku Co., Ltd. | 300 | 93,407 | ||||||
Sapporo Holdings, Ltd. | 406,600 | 12,407,459 | ||||||
Sawai Pharmaceutical Co., Ltd. | 1,600 | 71,471 | ||||||
SCSK Corp. | 3,000 | 137,999 | ||||||
Secom Co., Ltd. | 123,800 | 9,349,699 | ||||||
Sega Sammy Holdings, Inc. | 2,400 | 29,737 | ||||||
Sekisui Chemical Co., Ltd. | 5,500 | 110,286 | ||||||
Sekisui Jushi Corp. | 3,100 | 63,015 | ||||||
Senko Group Holdings Co., Ltd. | 7,500 | 54,132 | ||||||
Seven & I Holdings Co., Ltd. | 24,100 | 1,000,984 | ||||||
Seven Bank, Ltd. | 3,067,100 | 10,510,064 | ||||||
Shimamura Co., Ltd. | 1,700 | 186,986 | ||||||
Shimizu Corp. | 72,800 | 751,212 | ||||||
Shinsei Bank, Ltd. | 29,400 | 506,319 |
20
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Shares | Value | |||||||
Shionogi & Co., Ltd. | 4,400 | $ | 237,895 | |||||
Shiseido Co., Ltd. | 11,400 | 549,495 | ||||||
SHO-BOND Holdings Co., Ltd. | 1,100 | 78,223 | ||||||
Sinko Industries, Ltd. | 117,700 | 2,275,837 | ||||||
SK Kaken Co., Ltd. | 58,000 | 6,174,958 | ||||||
SMC Corp. | 200 | 82,357 | ||||||
SoftBank Group Corp. | 8,100 | 639,925 | ||||||
Sojitz Corp. | 48,000 | 147,452 | ||||||
Sompo Holdings, Inc. | 21,200 | 817,342 | ||||||
Sony Corp. | 17,969 | 807,150 | ||||||
Square Enix Holdings Co., Ltd. | 27,290 | 1,295,752 | ||||||
Start Today Co., Ltd. | 13,600 | 413,590 | ||||||
Subaru Corp. | 5,300 | 167,802 | ||||||
SUMCO Corp. | 12,400 | 315,340 | ||||||
Sumitomo Chemical Co., Ltd. | 54,000 | 388,349 | ||||||
Sumitomo Corp. | 15,400 | 261,034 | ||||||
Sumitomo Dainippon Pharma Co., Ltd. | 22,000 | 326,946 | ||||||
Sumitomo Electric Industries, Ltd. | 6,700 | 113,057 | ||||||
Sumitomo Heavy Industries, Ltd. | 2,100 | 88,952 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 34,900 | 1,507,331 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 14,955 | 593,913 | ||||||
Sumitomo Realty & Development Co., Ltd. | 2,476 | 81,269 | ||||||
Sumitomo Warehouse Co., Ltd. (The) | 1,418,000 | 10,226,440 | ||||||
Suntory Beverage & Food, Ltd. | 2,100 | 93,387 | ||||||
Taisei Corp. | 18,900 | 940,089 | ||||||
Takeuchi Manufacturing Co., Ltd. | 451,400 | 10,729,328 | ||||||
TDK Corp. | 4,300 | 343,230 | ||||||
TechnoPro Holdings, Inc. | 1,500 | 81,486 | ||||||
Temp Holdings Co., Ltd. | 6,400 | 160,456 | ||||||
THK Co., Ltd. | 7,900 | 295,914 | ||||||
Toei Co., Ltd. | 108,200 | 10,908,530 | ||||||
Tohoku Electric Power Co., Inc. | 39,400 | 503,979 | ||||||
Tokio Marine Holdings, Inc. | 3,900 | 178,001 | ||||||
Tokyo Broadcasting System Holdings, Inc. | 1,500 | 37,410 | ||||||
Tokyo Electron, Ltd. | 7,400 | 1,325,547 | ||||||
Tokyo Gas Co., Ltd. | 4,300 | 98,197 | ||||||
Toray Industries, Inc. | 51,900 | 489,534 | ||||||
Toshiba Corp. (a) | 43,000 | 120,872 | ||||||
Tosoh Corp. | 48,600 | 1,102,164 | ||||||
Toyo Seikan Kaisha Group Holdings, Ltd. | 26,500 | 425,151 | ||||||
Toyo Suisan Kaisha, Ltd. | 6,000 | 255,868 | ||||||
Toyo Tire & Rubber Co., Ltd. | 5,890 | 121,751 | ||||||
Toyota Boshoku Corp. | 9,500 | 198,166 | ||||||
Toyota Industries Corp. | 7,754 | 498,414 | ||||||
Toyota Motor Corp. | 26,608 | 1,703,863 | ||||||
Toyota Tsusho Corp. | 4,600 | 184,873 | ||||||
TV Asahi Holdings Corp. | 560,100 | 11,243,287 | ||||||
Ushio, Inc. | 4,500 | 64,358 | ||||||
West Japan Railway Co. | 33,400 | 2,436,636 | ||||||
Yamada Denki Co., Ltd. | 71,700 | 394,566 | ||||||
Yamato Holdings Co., Ltd. | 18,000 | 362,372 | ||||||
Zenkoku Hosho Co., Ltd. | 2,653 | 114,279 |
Number of Shares | Value | ||||||||
ZOJIRUSHI Corp. | 139,800 | $ | 1,423,906 | ||||||
314,977,451 | |||||||||
Lebanon — 0.0% | |||||||||
Solidere – GDR (a) (b) (d) | 38,451 | 308,126 | |||||||
Luxembourg — 0.3% | |||||||||
APERAM SA | 2,986 | 153,704 | |||||||
ArcelorMittal (a) | 233,917 | 7,575,449 | |||||||
B&M European Value Retail SA | 33,123 | 188,883 | |||||||
d’Amico International Shipping SA (a) | 677,901 | 209,930 | |||||||
Kernel Holding SA | 88,085 | 1,202,384 | |||||||
Stabilus SA | 6,999 | 629,584 | |||||||
Tenaris SA | 29,904 | 472,043 | |||||||
10,431,977 | |||||||||
Malaysia — 0.1% | |||||||||
AirAsia Berhad | 1,267,427 | 1,050,050 | |||||||
Dufu Technology Corp. Berhad | 387,762 | 112,106 | |||||||
Econpile Holdings Berhad | 336,250 | 100,523 | |||||||
Genting Malaysia Berhad | 327,210 | 455,078 | |||||||
George Kent Malaysia Berhad | 214,375 | 185,594 | |||||||
Hartalega Holdings Berhad | 86,200 | 227,264 | |||||||
Hong Leong Financial Group Berhad | 25,339 | 111,936 | |||||||
Insas Berhad | 482,400 | 111,434 | |||||||
Lii Hen Industries Berhad | 12,800 | 11,364 | |||||||
Malakoff Corp. Berhad | 448,900 | 108,614 | |||||||
Malaysian Pacific Industries Berhad | 59,400 | 185,222 | |||||||
Muhibbah Engineering M Berhad | 60,600 | 42,522 | |||||||
OSK Holdings Berhad | 601,822 | 159,120 | |||||||
Padini Holdings Berhad | 207,627 | 270,389 | |||||||
Sime Darby Berhad | 533,094 | 290,393 | |||||||
Sime Darby Plantation Berhad (a) | 271,394 | 402,363 | |||||||
Sime Darby Property Berhad (a) | 277,494 | 122,051 | |||||||
Supermax Corp. Berhad | 238,688 | 117,669 | |||||||
Top Glove Corp. Berhad | 207,400 | 411,163 | |||||||
TRC Synergy Berhad | 310,677 | 48,365 | |||||||
Uchi Technologies Berhad | 78,496 | 64,159 | |||||||
4,587,379 | |||||||||
Malta — 0.0% | |||||||||
Kindred Group plc | 18,169 | 259,888 | |||||||
Mexico — 0.1% | |||||||||
America Movil SAB de CV, Series L – ADR | 6,216 | 106,604 | |||||||
Cemex SAB de CV – SPADR (a) | 134,950 | 1,012,125 | |||||||
Consorcio ARA SAB de CV, Series C | 642,956 | 250,806 | |||||||
Grupo Carso SAB de CV, Series A | 59,246 | 195,222 | |||||||
Grupo Herdez SAB de CV, Series C | 92,485 | 214,956 | |||||||
Grupo Mexico SAB de CV, Series B | 49,800 | 164,451 | |||||||
Industrias Bachoco SAB de CV, Series B | 28,870 | 137,695 | |||||||
Megacable Holdings SAB de CV (UNIT) | 28,637 | 116,514 | |||||||
Qualitas Controladora SAB de CV | 123,309 | 227,710 | |||||||
Rassini SAB de CV | 37,316 | 132,867 | |||||||
Telesites SAB de CV (a) | 8,652 | 6,565 | |||||||
2,565,515 |
21
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Shares | Value | ||||||||
Monaco — 0.0% | |||||||||
Navios Maritime Acquisition Corp. | 24,537 | $ | 27,236 | ||||||
Scorpio Tankers, Inc. | 172,835 | 527,147 | |||||||
554,383 | |||||||||
Netherlands — 0.4% | |||||||||
ABN AMRO Group NV (c) | 39,385 | 1,267,335 | |||||||
Aegon NV | 31,390 | 200,057 | |||||||
Akzo Nobel NV | 12,021 | 1,051,471 | |||||||
ASM International NV | 3,851 | 260,226 | |||||||
ASML Holding NV | 1,180 | 204,716 | |||||||
ASR Nederland NV | 9,513 | 391,237 | |||||||
Astarta Holding NV (a) | 69,012 | 1,019,668 | |||||||
Boskalis Westminster NV – CVA | 12,420 | 468,145 | |||||||
Gemalto NV | 3,386 | 200,363 | |||||||
HAL Trust | 1,235 | 227,766 | |||||||
Heineken Holding NV | 541 | 53,449 | |||||||
Heineken NV | 11,643 | 1,213,601 | |||||||
ING Groep NV | 26,953 | 495,957 | |||||||
Koninklijke (Royal) KPN NV | 207,740 | 724,748 | |||||||
Koninklijke Ahold Delhaize NV | 36,675 | 804,935 | |||||||
Koninklijke DSM NV | 3,913 | 373,007 | |||||||
Koninklijke Philips NV | 48,733 | 1,843,638 | |||||||
Philips Lighting NV (c) | 9,023 | 331,189 | |||||||
Randstad Holding NV | 14,887 | 913,406 | |||||||
Royal Dutch Shell plc, Class A – BATS Europe Shares | 14,757 | 494,017 | |||||||
Royal Dutch Shell plc, Class A – Quote MTF Shares | 20,103 | 670,413 | |||||||
Royal Dutch Shell plc, Class B | 49,652 | 1,674,609 | |||||||
Yandex NV, Class A (a) | 21,628 | 708,317 | |||||||
15,592,270 | |||||||||
New Zealand — 0.0% | |||||||||
SKY Network Television, Ltd. | 25,497 | 50,757 | |||||||
Spark New Zealand, Ltd. | 44,849 | 115,349 | |||||||
166,106 | |||||||||
Norway — 0.1% | |||||||||
DNB ASA | 15,841 | 292,897 | |||||||
Golden Ocean Group, Ltd. (a) | 72,645 | 589,700 | |||||||
Komplett Bank ASA (a) | 7,520 | 17,402 | |||||||
Leroy Seafood Group ASA | 24,327 | 130,302 | |||||||
Marine Harvest ASA (a) | 32,477 | 549,781 | |||||||
Norsk Hydro ASA | 11,071 | 83,702 | |||||||
Norwegian Finans Holding ASA (a) | 19,566 | 218,999 | |||||||
Salmar ASA | 6,122 | 182,931 | |||||||
Schibsted ASA, Class A | 6,612 | 188,773 | |||||||
Schibsted ASA, Class B | 6,776 | 179,742 | |||||||
Statoil ASA | 20,835 | 445,704 | |||||||
Telenor ASA | 3,160 | 67,689 | |||||||
2,947,622 | |||||||||
Pakistan — 0.0% | |||||||||
Askari Bank, Ltd. | 269,802 | 47,191 | |||||||
Bank of Punjab (The) (a) | 1,278,012 | 94,970 | |||||||
Faysal Bank, Ltd. (a) | 208,756 | 40,163 |
Number of Shares | Value | ||||||||
Honda Atlas Cars Pakistan, Ltd. | 26,323 | $ | 122,355 | ||||||
Indus Motor Co., Ltd. | 5,001 | 76,142 | |||||||
National Bank of Pakistan | 22,767 | 10,017 | |||||||
Pakistan Telecommunication Co., Ltd. | 181,460 | 21,382 | |||||||
SUI Northern Gas Pipeline | 333,624 | 286,241 | |||||||
698,461 | |||||||||
Peru — 0.0% | |||||||||
Alicorp SAA | 64,426 | 210,614 | |||||||
Ferreycorp SAA | 259,829 | 204,337 | |||||||
414,951 | |||||||||
Philippines (The) — 0.1% | |||||||||
ABS-CBN Holdings Corp. – PDR | 700,725 | 484,257 | |||||||
Cebu Air, Inc. | 69,195 | 138,611 | |||||||
Cosco Capital, Inc. | 128,214 | 19,770 | |||||||
DMCI Holdings, Inc. | 827,381 | 238,548 | |||||||
Energy Development Corp. | 148,748 | 17,100 | |||||||
Globe Telecom, Inc. | 9,022 | 343,375 | |||||||
Jollibee Foods Corp. | 37,981 | 192,438 | |||||||
Lopez Holdings Corp. | 2,380,923 | 267,344 | |||||||
Semirara Mining & Power Corp. | 156,785 | 114,940 | |||||||
SM Investments Corp. | 19,546 | 387,119 | |||||||
2,203,502 | |||||||||
Poland — 0.0% | |||||||||
LPP SA | 22 | 56,142 | |||||||
Portugal — 0.0% | |||||||||
EDP – Energias de Portugal SA | 8,288 | 28,688 | |||||||
Galp Energia SGPS SA | 19,858 | 364,814 | |||||||
Sonae SGPS SA | 42,448 | 57,232 | |||||||
450,734 | |||||||||
Puerto Rico — 0.0% | |||||||||
Popular, Inc. | 16,259 | 577,032 | |||||||
Qatar — 0.0% | |||||||||
Barwa Real Estate Co. | 6,334 | 56,348 | |||||||
United Development Co. QSC | 23,860 | 94,044 | |||||||
150,392 | |||||||||
Russia — 1.1% | |||||||||
Aeroflot – Russian Airlines PJSC (b) | 222,381 | 534,587 | |||||||
Bank St Petersburg PJSC | 254,956 | 240,460 | |||||||
Etalon Group, Ltd. – GDR (d) | 762,925 | 2,288,775 | |||||||
Europlan PJSC | 16,996 | 219,713 | |||||||
Evraz plc | 26,199 | 120,179 | |||||||
Federal Grid Co. Unified Energy System PJSC (a) (b) | 2,174,624,534 | 6,112,870 | |||||||
Gazprom PAO (a) (b) | 2,593,636 | 5,841,141 | |||||||
Gazprom PAO – SPADR | 965,124 | 4,256,197 | |||||||
Gazprom PJSC – SPADR | 37,558 | 165,608 | |||||||
Global Ports Investments plc – GDR (a) (d) | 61,491 | 233,825 | |||||||
Lenta, Ltd. (a) (d) | 296,378 | 1,724,920 | |||||||
Lenta, Ltd. – GDR (a) (d) | 36,530 | 212,547 | |||||||
Lukoil PJSC – SPADR | 33,880 | 1,938,111 | |||||||
Magnitogorsk Iron & Steel Works PJSC | 82,194 | 59,827 | |||||||
Mail.Ru Group, Ltd. – GDR (a) | 35,514 | 1,026,355 |
22
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Shares | Value | ||||||||
MD Medical Group Investments plc – GDR | 21,327 | $ | 217,535 | ||||||
MegaFon PJSC – GDR (d) | 6,025 | 55,732 | |||||||
MMC Norilsk Nickel PJSC | 845 | 158,993 | |||||||
MMC Norilsk Nickel PJSC – ADR | 11,063 | 206,441 | |||||||
Moscow Exchange MICEX-RTS PJSC (a) (b) | 820,228 | 1,545,256 | |||||||
NOVATEK OAO – GDR (d) | 922 | 110,789 | |||||||
Polymetal International plc | 8,415 | 104,398 | |||||||
Protek PJSC (a) (b) | 470,855 | 883,194 | |||||||
Rosneft PJSC – GDR | 67,591 | 337,235 | |||||||
RusHydro PJSC (a) (b) | 74,195,507 | 938,722 | |||||||
RusHydro PJSC – ADR | 4,148,798 | 4,979,039 | |||||||
Sberbank of Russia PJSC (b) | 1,240,000 | 4,831,909 | |||||||
Sberbank PAO – SPADR – OTC Shares | 62,761 | 1,062,288 | |||||||
Sistema JSFC – SPGDR – LSE Shares (d) | 15,429 | 64,575 | |||||||
Sistema PJSC FC (b) | 50,742 | 10,667 | |||||||
Sollers PJSC (a) | 18,874 | 203,731 | |||||||
Synergy PJSC (a) | 6,874 | 76,933 | |||||||
TMK PJSC | 5,007 | 6,408 | |||||||
TMK PJSC – GDR (d) | 72,842 | 337,202 | |||||||
United Co. RUSAL plc | 233,782 | 163,719 | |||||||
X5 Retail Group NV – GDR (a) | 11,819 | 446,060 | |||||||
41,715,941 | |||||||||
Singapore — 0.2% | |||||||||
China Yuchai International, Ltd. | 8,460 | 203,040 | |||||||
Genting Singapore plc | 512,000 | 500,314 | |||||||
Geo Energy Resources, Ltd. | 125,631 | 24,843 | |||||||
GL, Ltd. | 69,500 | 43,646 | |||||||
Golden Agri-Resources, Ltd. | 21,763,400 | 6,016,540 | |||||||
Great Eastern Holdings, Ltd. | 30,937 | 639,698 | |||||||
Haw Par Corp., Ltd. | 10,106 | 85,735 | |||||||
Oversea-Chinese Banking Corp. | 31,800 | 293,799 | |||||||
Singapore Airlines, Ltd. | 10,000 | 79,653 | |||||||
Singapore Technologies Engineering, Ltd. | 31,700 | 77,143 | |||||||
United Overseas Bank, Ltd. | 10,412 | 205,401 | |||||||
8,169,812 | |||||||||
South Africa — 0.3% | |||||||||
African Phoenix Investments, Ltd. (a) | 3,640,881 | 178,194 | |||||||
Alexander Forbes Group Holdings, Ltd. | 116,893 | 64,650 | |||||||
Anglo American Platinum, Ltd. (a) | 3,231 | 92,311 | |||||||
ArcelorMittal South Africa, Ltd. (a) | 159,558 | 49,706 | |||||||
Assore, Ltd. | 11,216 | 326,096 | |||||||
Astral Foods, Ltd. | 13,744 | 297,520 | |||||||
Discovery, Ltd. | 33,028 | 496,474 | |||||||
Exxaro Resources, Ltd. | 70,301 | 923,088 | |||||||
Gold Fields, Ltd. | 462,483 | 2,010,617 | |||||||
Gold Fields, Ltd. – SPADR | 39,722 | 170,805 | |||||||
Hosken Consolidated Investments, Ltd. | 49,615 | 557,394 | |||||||
Impala Platinum Holdings, Ltd. (a) | 1,295,644 | 3,385,759 | |||||||
Investec plc | 29,468 | 212,055 | |||||||
Kumba Iron Ore, Ltd. | 16,335 | 500,481 | |||||||
Liberty Holdings, Ltd. | 27,204 | 272,736 | |||||||
Metair Investments, Ltd. | 46,121 | 80,179 |
Number of Shares | Value | ||||||||
MiX Telematics, Ltd. – SPADR | 12,687 | $ | 161,886 | ||||||
Montauk Holdings, Ltd. | 59,559 | 262,262 | |||||||
MTN Group, Ltd. | 6,372 | 70,434 | |||||||
Murray & Roberts Holdings, Ltd. | 70,156 | 68,665 | |||||||
Naspers, Ltd. | 784 | 218,445 | |||||||
Net 1 UEPS Technologies, Inc. (a) | 9,050 | 107,605 | |||||||
Niveus Investments, Ltd. | 43,270 | 34,924 | |||||||
Peregrine Holdings, Ltd. | 28,850 | 59,518 | |||||||
Remgro, Ltd. | 17,826 | 339,987 | |||||||
Reunert, Ltd. | 118 | 688 | |||||||
Sandown Capital Pty, Ltd. (a) | 37,659 | 9,892 | |||||||
Sibanye Gold, Ltd. | 860,900 | 1,091,583 | |||||||
Tongaat Hulett, Ltd. | 7,746 | 71,744 | |||||||
Tsogo Sun Holdings, Ltd. | 68,388 | 135,610 | |||||||
12,251,308 | |||||||||
South Korea — 0.9% | |||||||||
Chong Kun Dang Pharmaceutical Corp. | 4,377 | 565,680 | |||||||
Chongkundang Holdings Corp. | 1,536 | 104,135 | |||||||
CJ O Shopping Co., Ltd. | 1,266 | 272,990 | |||||||
CKD Bio Corp. | 2,634 | 52,461 | |||||||
Daehan Steel Co., Ltd. | 17,592 | 155,588 | |||||||
Daihan Pharmaceutical Co., Ltd. | 5,918 | 226,099 | |||||||
Daou Technology, Inc. | 13,828 | 248,317 | |||||||
DHP Korea Co., Ltd. | 23,814 | 176,129 | |||||||
Dong-A Hwasung Co., Ltd., Class A | 36,645 | 162,063 | |||||||
Dong-Ah Geological Engineering Co., Ltd. | 9,228 | 100,743 | |||||||
Dongwha Pharm Co., Ltd. | 18,996 | 172,708 | |||||||
DY Corp. | 4,164 | 24,989 | |||||||
DY POWER Corp. | 14,530 | 257,270 | |||||||
F&F Co., Ltd. | 6,109 | 239,264 | |||||||
GnCenergy Co., Ltd. | 4,160 | 15,920 | |||||||
GS Home Shopping, Inc. | 469 | 95,030 | |||||||
Hana Financial Group, Inc. | 4,478 | 208,361 | |||||||
HanmiGlobal Co., Ltd. | 3,219 | 26,969 | |||||||
Hansae Yes24 Holdings Co., Ltd. | 3,779 | 38,000 | |||||||
Hanwha Chemical Corp. (a) | 28,424 | 837,487 | |||||||
Hanwha Corp. | 20,823 | 806,237 | |||||||
Hanwha General Insurance Co., Ltd. | 41,061 | 312,028 | |||||||
Hite Jinro Co., Ltd. | 3,564 | 80,167 | |||||||
Hyundai Elevator Co., Ltd. | 1,935 | 98,232 | |||||||
Hyundai Marine & Fire Insurance Co., Ltd. | 11,535 | 505,839 | |||||||
Hyundai Mobis Co., Ltd. | 393 | 96,608 | |||||||
Hyundai Motor Co. | 34,369 | 5,007,041 | |||||||
Hyundai Telecommunication Co., Ltd. | 22,005 | 193,407 | |||||||
JASTECH, Ltd. | 488 | 8,130 | |||||||
Komelon Corp. | 685 | 6,234 | |||||||
Korea Aerospace Industries, Ltd. | 861 | 38,109 | |||||||
Korea Autoglass Corp. | 11,054 | 173,339 | |||||||
Korea Real Estate Investment & Trust Co., Ltd. | 107,351 | 313,911 | |||||||
Korea United Pharm, Inc. | 9,515 | 270,329 | |||||||
Kortek Corp. | 12,675 | 193,337 |
23
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Shares | Value | ||||||||
KT Corp. | 122,697 | $ | 3,466,475 | ||||||
KT Corp. – SPADR (a) | 210,185 | 3,280,988 | |||||||
KT Skylife Co., Ltd. | 1 | 13 | |||||||
Kwangju Bank Co., Ltd. | 17,488 | 195,747 | |||||||
Kyungdong Pharm Co., Ltd. | 2,994 | 62,365 | |||||||
LF Corp. | 10,076 | 294,304 | |||||||
LG Corp. | 2,893 | 245,769 | |||||||
LMS Co., Ltd. | 13,997 | 123,045 | |||||||
Lotte Corp. | 774 | 47,040 | |||||||
LOTTE Himart Co., Ltd. | 7,492 | 482,024 | |||||||
Lotte Shopping Co., Ltd. | 603 | 112,284 | |||||||
Maeil Dairy Industry Co., Ltd. | 535 | 7,749 | |||||||
MAKUS, Inc. | 44,907 | 172,935 | |||||||
Meritz Financial Group, Inc. | 10,814 | 151,967 | |||||||
Meritz Fire & Marine Insurance Co., Ltd. | 22,248 | 488,646 | |||||||
MonAmi Co., Ltd. | 10,990 | 29,260 | |||||||
Nice Total Cash Management Co., Ltd., Class C | 43,024 | 498,401 | |||||||
NS Shopping Co., Ltd. | 12,927 | 196,694 | |||||||
PSK, Inc. | 26,364 | 630,115 | |||||||
S-1 Corp. (a) | 1,412 | 141,195 | |||||||
Samjin Pharmaceutical Co., Ltd. | 6,505 | 217,668 | |||||||
Samsung Electronics Co., Ltd. | 411 | 976,464 | |||||||
Samsung Electronics Co., Ltd. – GDR | 3,748 | 4,485,273 | |||||||
Samsung Fire & Marine Insurance Co., Ltd. | 950 | 236,785 | |||||||
Samsung SDI Co., Ltd. (a) | 249 | 47,279 | |||||||
Seohan Co., Ltd. | 68,983 | 146,186 | |||||||
Seoul Semiconductor Co., Ltd. | 12,258 | 317,844 | |||||||
SFA Engineering Corp. | 12,592 | 454,299 | |||||||
Shinhan Financial Group Co., Ltd. (a) | 17,237 | 795,547 | |||||||
SK Hynix, Inc. (a) | 17,028 | 1,202,326 | |||||||
Sungdo Engineering & Construction Co., Ltd. | 11,424 | 72,940 | |||||||
Systems Technology, Inc. | 2,882 | 77,103 | |||||||
Visang Education, Inc. | 7,070 | 78,602 | |||||||
31,818,483 | |||||||||
Spain — 0.4% | |||||||||
Abertis Infraestructuras SA | 4,747 | 105,624 | |||||||
Acerinox SA | 31,849 | 454,344 | |||||||
ACS, Actividades de Construcciony Servicios SA | 4,782 | 187,101 | |||||||
Amadeus IT Group SA, Class A | 100,957 | 7,266,549 | |||||||
Banco Bilbao Vizcaya Argentaria SA | 46,618 | 396,832 | |||||||
Banco Santander SA | 139,344 | 913,728 | |||||||
Bankia SA | 123,499 | 589,469 | |||||||
Endesa SA | 27,757 | 593,788 | |||||||
Fomento de Construcciones y Contratas SA (a) | 16,558 | 171,052 | |||||||
Gestamp Automocion SA (a) (c) | 11,250 | 80,396 | |||||||
Grifols SA | 7,378 | 215,739 | |||||||
Iberdrola SA | 7,557 | 58,481 | |||||||
Industria de Diseno Textil SA | 14,741 | 512,715 | |||||||
Inmobiliaria Colonial SA | 6,463 | 64,092 | |||||||
Inmobiliaria del Sur SA | 3,498 | 42,759 |
Number of Shares | Value | ||||||||
Mapfre SA | 124,069 | $ | 397,763 | ||||||
Mediaset Espana Comunicacion SA | 26,494 | 297,043 | |||||||
Melia Hotels International SA | 13,729 | 189,189 | |||||||
Realia Business SA (a) | 161,369 | 212,768 | |||||||
Repsol SA | 103,208 | 1,824,060 | |||||||
Viscofan SA | 8,384 | 552,924 | |||||||
15,126,416 | |||||||||
Sri Lanka — 0.0% | |||||||||
Dialog Axiata plc | 2,321,961 | 198,159 | |||||||
Sweden — 0.2% | |||||||||
Assa Abloy AB, Class B | 84,796 | 1,759,552 | |||||||
Atlas Copco AB | 2,705 | 103,459 | |||||||
Boliden AB | 29,965 | 1,020,721 | |||||||
Electrolux AB, Series B | 7,414 | 238,447 | |||||||
Essity AB (a) | 18,715 | 529,989 | |||||||
G5 Entertainment AB | 3,231 | 124,989 | |||||||
Investor AB, Class B | 8,566 | 389,563 | |||||||
Kinnevik AB, Class B | 2,103 | 70,925 | |||||||
Modern Times Group AB, Class B | 7,636 | 320,922 | |||||||
NCC AB | 6,437 | 123,298 | |||||||
Nordea Bank AB | 26,046 | 315,223 | |||||||
Sandvik AB | 44,141 | 771,573 | |||||||
Skandinaviska Enskilda Banken AB | 5,128 | 60,074 | |||||||
Svenska Cellulosa AB (SCA) | 64,639 | 664,722 | |||||||
Svenska Handelsbanken AB | 78,506 | 1,071,648 | |||||||
Swedish Match AB | 5,862 | 230,733 | |||||||
Telefonaktiebolaget LM Ericsson, Class B | 41,699 | 273,348 | |||||||
Volvo AB | 16,998 | 316,272 | |||||||
8,385,458 | |||||||||
Switzerland — 0.7% | |||||||||
ABB, Ltd. – SIX Swiss Exchange | 2,493 | 66,669 | |||||||
Adecco Group AG | 31,269 | 2,389,878 | |||||||
Baloise Holding AG | 1,042 | 162,170 | |||||||
Bucher Industries AG | 102 | 41,360 | |||||||
Cie Financiere Richemont SA | 10,961 | 992,441 | |||||||
Cie Financiere Richemont SA – JSE Shares | 12,444 | 112,252 | |||||||
Coca-Cola HBC AG (a) | 10,688 | 347,650 | |||||||
DKSH Holding AG | 1,274 | 111,436 | |||||||
Garmin, Ltd. | 4,334 | 258,176 | |||||||
Geberit AG | 3,158 | 1,389,559 | |||||||
Georg Fischer AG | 80 | 105,516 | |||||||
Glencore plc (a) | 158,159 | 832,120 | |||||||
Helvetia Holding AG | 722 | 405,862 | |||||||
Holcim, Ltd. (a) | 3,096 | 174,434 | |||||||
IWG plc | 21,018 | 73,030 | |||||||
Logitech International SA | 19,519 | 658,253 | |||||||
Lonza Group AG (a) | 1,323 | 357,388 | |||||||
Nestle SA | 51,796 | 4,450,941 | |||||||
Novartis AG | 34,442 | 2,911,787 | |||||||
Roche Holding AG | 15,469 | 3,912,779 | |||||||
Sika AG | 44 | 348,779 | |||||||
Sonova Holding AG | 4,649 | 725,854 |
24
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Shares | Value | ||||||||
STMicroelectronics NV | 33,559 | $ | 729,654 | ||||||
Swiss Re, Ltd. | 7,426 | 695,124 | |||||||
TE Connectivity, Ltd. | 13,620 | 1,294,445 | |||||||
Temenos Group AG (a) | 2,404 | 307,648 | |||||||
UBS Group AG (a) | 41,361 | 759,976 | |||||||
Zurich Insurance Group AG | 762 | 231,746 | |||||||
24,846,927 | |||||||||
Taiwan — 0.9% | |||||||||
Accton Technology Corp. | 126,000 | 448,400 | |||||||
ACES Electronic Co., Ltd. | 19,000 | 16,044 | |||||||
Acter Co., Ltd. | 49,717 | 343,981 | |||||||
Advanced International Multitech Co., Ltd. | 134,213 | 160,057 | |||||||
Allied Circuit Co., Ltd. | 77,175 | 204,597 | |||||||
Ampire Co., Ltd. | 299,222 | 170,276 | |||||||
Ardentec Corp. | 253,000 | 318,591 | |||||||
Argosy Research, Inc. | 169,000 | 181,010 | |||||||
Avita Corp. | 42,000 | 71,073 | |||||||
Bionime Corp. | 19,905 | 37,120 | |||||||
Bothhand Enterprise, Inc. | 32,000 | 72,530 | |||||||
Bright Led Electronics Corp. | 173,454 | 101,175 | |||||||
Chang Type Industrial Co., Ltd. | 4,630 | 7,406 | |||||||
Charoen Pokphand Enterprise | 173,000 | 372,997 | |||||||
Chia Chang Co., Ltd. | 17,000 | 13,158 | |||||||
Chian Hsing Forging Industrial Co., Ltd. | 69,698 | 188,377 | |||||||
China Man-Made Fiber Corp. (a) | 664,537 | 225,606 | |||||||
Chong Hong Construction Co., Ltd. | 87,397 | 224,920 | |||||||
Chroma ATE, Inc. | 56,000 | 304,515 | |||||||
Chyang Sheng Dyeing & Finishing Co., Ltd. | 193,664 | 158,704 | |||||||
Darfon Electronics Corp. | 203,745 | 202,396 | |||||||
Delta Electronics, Inc. | 36,363 | 175,107 | |||||||
Depo Auto Parts Ind Co., Ltd. | 51,256 | 155,009 | |||||||
E Ink Holdings, Inc. | 226,000 | 363,611 | |||||||
ETREND Hightech Corp. | 73,483 | 80,423 | |||||||
Fuburg Industrial, Ltd. | 11,000 | 15,881 | |||||||
Globe Union Industrial Corp. | 182,514 | 135,385 | |||||||
Grand Pacific Petrochemical | 717,813 | 756,674 | |||||||
GrandTech CG Systems, Inc. | 80,000 | 115,177 | |||||||
Great Wall Enterprise Co., Ltd. | 271,807 | 306,198 | |||||||
Hannstar Board Corp. | 301,602 | 219,064 | |||||||
Hanpin Electron Co., Ltd. | 71,955 | 72,102 | |||||||
Holy Stone Enterprise Co., Ltd. | 16,000 | 60,094 | |||||||
Hon Hai Precision Industry Co., Ltd. – GDR (d) | 25,679 | 161,671 | |||||||
Hotron Precision Electronic Industrial Co., Ltd. | 93,294 | 147,053 | |||||||
Huang Hsiang Construction Corp. | 47,458 | 48,126 | |||||||
International Games System Co., Ltd. | 15,211 | 79,784 | |||||||
Kinik Co. | 115,000 | 335,312 | |||||||
KMC Kuei Meng International, Inc. | 9,000 | 39,287 | |||||||
Lien Hwa Industrial Corp. | 193,000 | 237,195 | |||||||
Meiloon Industrial Co. (a) | 29,000 | 25,638 | |||||||
Mercuries & Associates Holding, Ltd. | 233,000 | 197,499 |
Number of Shares | Value | ||||||||
Nang Kuang Pharmaceutical Co., Ltd. | 25,351 | $ | 31,480 | ||||||
Nishoku Technology, Inc. | 65,097 | 162,503 | |||||||
PChome Online, Inc. | 26,116 | 120,164 | |||||||
Powertech Technology, Inc. | 231,000 | 682,523 | |||||||
Ruentex Industries, Ltd. (a) | 64,642 | 109,809 | |||||||
Sampo Corp. | 234,000 | 103,771 | |||||||
Sanyang Motor Co., Ltd. | 283,590 | 203,792 | |||||||
Sheng Yu Steel Co., Ltd. | 62,602 | 60,403 | |||||||
Sigurd Microelectronics Corp. | 186,000 | 205,630 | |||||||
Sinmag Equipment Corp. | 31,400 | 179,370 | |||||||
Sinon Corp. | 308,377 | 175,027 | |||||||
Sunrex Technology Corp. | 105,473 | 61,295 | |||||||
Syncmold Enterprise Corp. | 75,462 | 160,914 | |||||||
Taiwan PCB Techvest Co., Ltd. | 51,871 | 55,326 | |||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 59,000 | 453,360 | |||||||
Taiwan Semiconductor Manufacturing Co., Ltd. – SPADR | 487,032 | 19,310,819 | |||||||
Taiwan Styrene Monomer | 179,000 | 136,399 | |||||||
Teco Electric and Machinery Co., Ltd. | 235,689 | 225,562 | |||||||
Tripod Technology Corp. | 176,000 | 548,642 | |||||||
TYC Brother Industrial Co., Ltd. | 170,850 | 191,126 | |||||||
United Integrated Services Co., Ltd. | 127,190 | 250,622 | |||||||
Universal Vision Biotechnology Co., Ltd. | 145,935 | 130,149 | |||||||
Walton Advanced Engineering, Inc. | 343,311 | 185,454 | |||||||
Winbond Electronics Corp. | 1,061,525 | 834,546 | |||||||
Wowprime Corp. | 38,773 | 174,836 | |||||||
YC INOX Co., Ltd. | 22,000 | 19,801 | |||||||
Yungtay Engineering Co., Ltd. | 124,000 | 200,115 | |||||||
Zeng Hsing Industrial Co., Ltd. | 33,024 | 143,646 | |||||||
32,666,307 | |||||||||
Thailand — 0.2% | |||||||||
AAPICO Hitech PCL, Class F | 127,749 | 135,236 | |||||||
Advanced Info Service PCL, Class F | 81,712 | 478,889 | |||||||
AgriPure Holdings plc | 137,646 | 7,983 | |||||||
Ananda Development PCL, Class F | 1,391,438 | 251,902 | |||||||
Asia Plus Group Holdings PCL, Class F | 351,196 | 43,105 | |||||||
Bangchak Corp. PCL, Class F | 307,782 | 384,846 | |||||||
Bangkok Bank PCL | 29,869 | 185,103 | |||||||
Bangkok Bank PCL – Foreign Registered Shares | 116,007 | 779,550 | |||||||
BEC World PCL | 115,400 | 46,387 | |||||||
Interhides PCL, Class F | 256,474 | 79,484 | |||||||
Kasikornbank PCL, Class F | 14,200 | 104,136 | |||||||
KGI Securities Thailand PCL | 1,328,295 | 180,964 | |||||||
Kiatnakin Bank PCL, Class F | 80,500 | 195,754 | |||||||
Land and Houses PCL | 390,255 | 125,734 | |||||||
MBK PCL, Class F | 2,162,518 | 1,287,292 | |||||||
Mega Lifesciences PCL, Class F | 151,218 | 204,160 | |||||||
Padaeng Industry PCL, Class F | 278,959 | 192,592 | |||||||
Quality Houses PCL, Class F | 2,760,985 | 274,489 | |||||||
Sansiri PCL, Class F | 9,011,397 | 602,787 | |||||||
Somboon Advance Technology PCL | 291,900 | 195,257 |
25
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Shares | Value | ||||||||
SPCG PCL, Class F | 319,199 | $ | 214,497 | ||||||
Syntec Construction PCL, Class F | 1,013,600 | 172,614 | |||||||
6,142,761 | |||||||||
Turkey — 0.1% | |||||||||
Aksigorta AS (a) | 230,656 | 201,071 | |||||||
Anel Elektrik Proje Taahhut ve Ticaret AS | 103,081 | 102,320 | |||||||
BIM Birlesik Magazalar AS | 6,531 | 134,556 | |||||||
Ford Otomotiv Sanayi AS | 30,193 | 480,153 | |||||||
KOC Holding AS | 87,997 | 429,090 | |||||||
Tekfen Holding AS | 295,487 | 1,325,254 | |||||||
Tofas Turk Otomobil Fabrikasi AS | 13,831 | 120,273 | |||||||
Trakya Cam Sanayii AS | 46,587 | 56,815 | |||||||
Turkiye Garanti Bankasi AS | 26,286 | 74,457 | |||||||
Yatas Yatak ve Yorgan Sanayi ve Ticaret AS (a) | 34,366 | 256,719 | |||||||
3,180,708 | |||||||||
Ukraine — 0.1% | |||||||||
MHP SA – GDR – OTC Shares | 457,053 | 5,254,622 | |||||||
United Kingdom — 4.5% | |||||||||
3i Group plc | 113,398 | 1,397,788 | |||||||
Admiral Group plc | 27,708 | 747,202 | |||||||
Anglo American plc | 69,668 | 1,456,070 | |||||||
Ashtead Group plc | 25,713 | 686,226 | |||||||
ASOS plc (a) | 777 | 70,417 | |||||||
Associated British Foods plc | 6,706 | 254,938 | |||||||
AstraZeneca plc | 5,561 | 381,613 | |||||||
Auto Trader Group plc (c) | 23,627 | 112,156 | |||||||
Aviva plc | 20,220 | 138,184 | |||||||
BAE Systems plc | 90,147 | 693,344 | |||||||
Barclays plc | 859,527 | 2,343,598 | |||||||
Barratt Developments plc | 64,748 | 565,836 | |||||||
BBA Aviation plc | 34,903 | 164,740 | |||||||
Bellway plc | 3,236 | 155,616 | |||||||
Belmond, Ltd., Class A (a) | 53,592 | 656,502 | |||||||
Berkeley Group Holdings plc (UNIT) | 9,029 | 511,277 | |||||||
BHP Billiton plc | 80,275 | 1,643,125 | |||||||
BP plc | 293,416 | 2,069,319 | |||||||
British American Tobacco plc | 1,162 | 78,424 | |||||||
BT Group plc | 3,250,829 | 11,902,707 | |||||||
Bunzl plc | 41,005 | 1,146,577 | |||||||
Burberry Group plc | 12,389 | 299,516 | |||||||
Capita plc | 67,196 | 363,292 | |||||||
Carnival plc | 9,805 | 644,687 | |||||||
Centrica plc | 16,182 | 29,962 | |||||||
Close Brothers Group plc | 10,615 | 207,471 | |||||||
CNH Industrial NV | 97,701 | 1,306,157 | |||||||
Compass Group plc | 72,654 | 1,570,994 | |||||||
ConvaTec Group plc (c) | 199,752 | 552,040 | |||||||
Daily Mail & General Trust plc, Class A | 28,729 | 230,881 | |||||||
Devro plc | 46,851 | 144,776 | |||||||
Diageo plc | 294,134 | 10,764,817 | |||||||
Dialog Semiconductor plc (a) | 11,609 | 359,585 | |||||||
Dixons Carphone plc | 254,407 | 683,335 |
Number of Shares | Value | |||||||
Drax Group plc | 17,498 | $ | 63,673 | |||||
DS Smith plc | 12,602 | 87,646 | ||||||
easyJet plc | 16,957 | 335,187 | ||||||
EI Group plc (a) | 35,539 | 67,781 | ||||||
Ferroglobe plc | 8,489 | 137,522 | ||||||
Ferroglobe plc – ENT (a) (b) (e) | 17,904 | — | ||||||
Fiat Chrysler Automobiles NV (a) | 70,359 | 1,254,544 | ||||||
Fiat Chrysler Automobiles NV – NYSE Shares | 22,528 | 401,899 | ||||||
Flybe Group plc (a) | 637,253 | 271,050 | ||||||
G4S plc | 295,240 | 1,061,351 | ||||||
Gem Diamonds, Ltd. (a) | 124,126 | 118,827 | ||||||
GKN plc | 187,447 | 804,878 | ||||||
GlaxoSmithKline plc | 17,178 | 303,842 | ||||||
GVC Holdings plc | 30,605 | 382,155 | ||||||
Hammerson plc – REIT | 48,077 | 354,868 | ||||||
Hansteen Holdings plc – REIT | 18,728 | 36,150 | ||||||
Hays plc | 277,161 | 678,593 | ||||||
HomeServe plc | 79,647 | 867,965 | ||||||
Howden Joinery Group plc | 121,932 | 767,968 | ||||||
HSBC Holdings plc – LSE Shares | 18,359 | 189,337 | ||||||
HSBC Holdings plc – SEHK Shares | 59,373 | 606,524 | ||||||
Hummingbird Resources plc (a) | 143,127 | 66,194 | ||||||
IG Group Holdings plc | 44,579 | 430,541 | ||||||
IMI plc | 3,899 | 69,795 | ||||||
Inchcape plc | 26,057 | 274,719 | ||||||
Indivior plc (a) | 58,457 | 318,220 | ||||||
Informa plc | 42,034 | 408,897 | ||||||
InterContinental Hotels Group plc | 221,505 | 14,089,133 | ||||||
International Consolidated Airlines Group SA | 1,647,179 | 14,447,039 | ||||||
International Personal Finance plc | 68,550 | 182,774 | ||||||
Intertek Group plc | 96,291 | 6,745,055 | ||||||
ITV plc | 303,642 | 676,027 | ||||||
J D Wetherspoon plc | 8,364 | 142,066 | ||||||
JD Sports Fashion plc | 34,364 | 155,803 | ||||||
John Wood Group plc | 23,870 | 208,634 | ||||||
Jupiter Fund Management plc | 37,282 | 316,177 | ||||||
Just Eat plc (a) | 37,172 | 389,948 | ||||||
Land Securities Group plc – REIT | 10,305 | 139,758 | ||||||
Liberty Global plc, Class A (a) | 24,026 | 861,092 | ||||||
Liberty Global plc, Class C (a) | 27,564 | 932,766 | ||||||
Liberty Global plc LiLAC, Class A (a) | 5,930 | 119,489 | ||||||
Liberty Global plc LiLAC, Class C (a) | 10,117 | 201,227 | ||||||
LivaNova plc (a) | 6,122 | 489,270 | ||||||
Lloyds Banking Group plc | 23,424,125 | 21,449,360 | ||||||
London Stock Exchange Group plc | 2,161 | 110,647 | ||||||
Luceco plc (c) | 50,553 | 75,421 | ||||||
Man Group plc | 61,122 | 170,123 | ||||||
McCarthy & Stone plc (c) | 33,076 | 70,489 | ||||||
Merlin Entertainments plc (c) | 195,466 | 955,517 | ||||||
Michael Kors Holdings, Ltd. (a) | 14,632 | 921,084 | ||||||
Michelmersh Brick Holdings plc | 445,773 | 551,188 | ||||||
Micro Focus International plc – ADR (a) | 5,444 | 182,864 |
26
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Shares | Value | |||||||
Moneysupermarket.com Group plc | 87,323 | $ | 419,465 | |||||
National Express Group plc | 17,007 | 87,250 | ||||||
National Grid plc | 18,242 | 214,289 | ||||||
Nex Group plc | 85,665 | 701,323 | ||||||
Next plc | 6,120 | 374,719 | ||||||
Non-Standard Finance plc (c) | 85,726 | 83,187 | ||||||
Old Mutual plc | 156,269 | 488,718 | ||||||
Pagegroup plc | 60,995 | 382,476 | ||||||
Paragon Group of Co. plc | 53,220 | 351,469 | ||||||
Pendragon plc | 928,863 | 357,759 | ||||||
Persimmon plc | 20,602 | 760,804 | ||||||
Petrofac, Ltd. | 5,109 | 35,164 | ||||||
Pets at Home Group plc | 67,181 | 160,016 | ||||||
Provident Financial plc | 21,426 | 259,624 | ||||||
QinetiQ Group plc | 48,585 | 151,145 | ||||||
Reckitt Benckiser Group plc | 69,714 | 6,511,921 | ||||||
RELX plc | 55,244 | 1,294,241 | ||||||
Rightmove plc | 24,418 | 1,483,033 | ||||||
Rio Tinto plc | 36,756 | 1,939,877 | ||||||
Rio Tinto, Ltd. | 2,908 | 171,619 | ||||||
Rockhopper Exploration plc (a) | 332,981 | 95,363 | ||||||
Rolls Royce Holdings plc – LSE Shares (a) | 72,897 | 829,635 | ||||||
Rolls Royce Holdings plc – ENT (a) (b) | 856,336 | 1,156 | ||||||
Rotork plc | 22,500 | 80,825 | ||||||
Royal Bank of Scotland Group plc (a) | 145,286 | 541,894 | ||||||
Sage Group plc (The) | 936,445 | 10,062,913 | ||||||
Segro plc – REIT | 13,225 | 104,746 | ||||||
Serco Group plc (a) | 283,938 | 378,874 | ||||||
Sky plc (a) | 15,530 | 211,768 | ||||||
Smith & Nephew plc | 41,480 | 717,745 | ||||||
Spectris plc | 15,390 | 514,491 | ||||||
Sports Direct International plc (a) | 14,529 | 73,779 | ||||||
SSP Group plc | 104,859 | 963,517 | ||||||
St James’s Place plc | 23,386 | 386,562 | ||||||
Stagecoach Group plc | 84,965 | 188,116 | ||||||
Standard Chartered plc (a) | 36,086 | 379,747 | ||||||
Standard Life Aberdeen plc | 86,145 | 507,507 | ||||||
TalkTalk Telecom Group plc | 56,142 | 115,829 | ||||||
Taylor Wimpey plc | 240,837 | 670,897 | ||||||
TechnipFMC plc | 2,993 | 92,449 | ||||||
Tesco plc | 410,111 | 1,158,122 | ||||||
Thomas Cook Group plc | 489,993 | 813,070 | ||||||
TP ICAP plc | 2,825 | 20,234 | ||||||
Travis Perkins plc | 1,891 | 39,983 | ||||||
Tungsten Corp. plc (a) | 15,818 | 13,031 | ||||||
Unilever plc | 217,590 | 12,054,394 | ||||||
Vodafone Group plc | 228,192 | 720,875 | ||||||
WH Smith plc | 28,628 | 906,311 | ||||||
William Hill plc | 64,630 | 280,539 | ||||||
Willis Towers Watson plc | 3,976 | 599,143 | ||||||
Worldpay Group plc (c) | 47,374 | 271,507 | ||||||
WPP plc | 60,572 | 1,097,722 | ||||||
170,397,092 |
Number of Shares | Value | ||||||||
Vietnam – 0.0% | |||||||||
Luks Group Vietnam Holdings Co., Ltd. | 1,682,000 | $524,702 | |||||||
Total Foreign Common Stocks (Cost $1,129,021,379) | 1,363,112,179 | ||||||||
Total Common Stocks (Cost $1,773,032,412) | 2,122,746,347 | ||||||||
Participation Notes — 0.6% | |||||||||
HSBC Bank plc, Gree Electric Appliances, Inc., Equity Linked Notes, Expiring 12/04/18 (China) (b) (c) | 103,600 | 694,215 | |||||||
HSBC Bank plc, Hangzhou Robam Appliances Co., Equity Linked Notes, Expiring 06/20/19 (China) (b) (c) | 345,750 | 2,549,328 | |||||||
HSBC Bank plc, Henan Shuanghui Investment & Development Co., Ltd., Equity Linked Notes, Expiring 06/12/23 (China) (b) (c) | 169,400 | 689,287 | |||||||
HSBC Bank plc, Yunda Holding Co., Ltd., Equity Linked Notes, Expiring 09/09/19 (China) (b) (c) | 113,827 | 800,089 | |||||||
HSBC Bank plc, Yunda Holding Co., Ltd., Equity Linked Notes, Expiring 11/23/20 (China) (b) (c) | 58,055 | 408,068 | |||||||
Morgan Stanley Asia Products Limited, Midea Group Co., Ltd., Equity Linked Notes, Expiring 07/03/18 (China) (b) (c) | 222,800 | 1,894,009 | |||||||
UBS AG, Chongqing Brewery Co., Ltd. Equity Linked Notes, Expiring 01/22/18 (China) (b) (c) | 219,073 | 702,088 | |||||||
UBS AG, Hangzhou Hikvision Digital Technology Co., Ltd., Equity Linked Notes, Expiring 07/10/18 (China) (b) (c) | 123,362 | 738,359 | |||||||
UBS AG, Huadong Medicine Group Co., Ltd., Equity Linked Notes, Expiring 12/31/18 (China) (b) (c) | 440,260 | 3,646,181 | |||||||
UBS AG, Midea Group Co., Ltd., Equity Linked Notes, Expiring 12/31/18 (China) (b) (c) | 821,224 | 6,981,174 | |||||||
UBS AG, Yunda Holding Co., Ltd., Equity Linked Notes, Expiring 01/14/19 (China) (b) (c) | 223,486 | 1,570,880 | |||||||
Total Participation Notes (Cost $17,303,650) | 20,673,678 |
Number of Contracts | Value | ||||||||
Right — 0.0% | |||||||||
Tcl Multimedia, Expiring 01/12/18 (Hong Kong) (a) (b) (Cost $0) | 15,000 | $ | 818 | ||||||
Warrants — 0.1% | |||||||||
American International Group, Inc., Expiring 01/19/21 (United States) (a) | 58,319 | 1,056,740 | |||||||
Bank of America Corp., Expiring 10/28/18 (United States) (a) | 31,272 | 66,922 | |||||||
Bank of America Corp., Expiring 01/16/19 (United States) (a) | 94,794 | 1,664,583 | |||||||
Capital One Financial Corp., Expiring 11/14/18 (United States) (a) | 2,192 | 126,018 |
27
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Contracts | Value | |||||||
Citigroup, Inc., Expiring 01/04/19 (United States) (a) | 130,399 | $ | 13,053 | |||||
d’Amico International Shipping SA, Expiring 06/30/22 (Luxembourg) (a) | 228,133 | 18,887 | ||||||
Econpile Holdings Berhad, Expiring 04/30/18 (Malaysia) (a) | 67,250 | 665 | ||||||
JPMorgan Chase & Co., Expiring 10/28/18 (United States) (a) | 4,084 | 271,300 | ||||||
OSK Holdings Berhad, Expiring 07/22/20 (Malaysia) (a) | 126,690 | 5,478 | ||||||
PNC Financial Services Group, Inc. (The), Expiring 12/31/18 (United States) (a) | 5,216 | 405,388 | ||||||
Tamburi Investment Partners SpA, Expiring 06/30/20 (Italy) (a) | 9,533 | 12,925 | ||||||
Wells Fargo & Co., Expiring 10/28/18 (United States) (a) | 9,629 | 265,760 | ||||||
Total Warrants (Cost $2,229,872) | 3,907,719 |
Principal Amount | Value | ||||||||
Convertible Bonds — 0.0% | |||||||||
Industrial — 0.0% | |||||||||
Scorpio Tankers, Inc. 2.375%, 07/01/19 (c) | $ | 58,000 | $ | 52,127 | |||||
Materials — 0.0% | |||||||||
TerraVia Holdings, Inc. 5.000%, 10/01/19 (f) | 501,400 | 46,380 | |||||||
Total Convertible Bonds (Cost $272,666) | 98,507 | ||||||||
US Treasury Bonds/Notes — 8.2% | |||||||||
US Treasury Inflation Indexed Note 1.125%, 01/15/21 | 5,119,375 | 5,272,157 | |||||||
US Treasury Inflation Indexed Note 0.125%, 04/15/21 | 22,064,112 | 21,973,184 | |||||||
US Treasury Inflation Indexed Note 0.625%, 07/15/21 | 34,857,914 | 35,528,421 | |||||||
US Treasury Inflation Indexed Note 0.125%, 01/15/22 | 14,156,993 | 14,099,966 | |||||||
US Treasury Inflation Indexed Note 0.125%, 07/15/22 | 32,715,520 | 32,671,622 | |||||||
US Treasury Note 1.625%, 04/30/19 | 32,810,000 | 32,708,751 | |||||||
US Treasury Note 1.375%, 05/31/20 | 43,470,000 | 42,913,041 | |||||||
US Treasury Note 2.250%, 03/31/21 | 22,753,000 | 22,903,205 | |||||||
US Treasury Note 1.750%, 04/30/22 | 35,267,000 | 34,659,471 | |||||||
US Treasury Note 1.500%, 03/31/23 | 32,900,000 | 31,717,656 | |||||||
US Treasury Note 2.500%, 05/15/24 | 4,300,000 | 4,348,543 | |||||||
US Treasury Note 2.125%, 05/15/25 | 9,640,000 | 9,492,764 | |||||||
US Treasury Note 2.000%, 11/15/26 | 21,760,000 | 21,058,750 | |||||||
Total US Treasury Bonds/Notes (Cost $313,056,951) | 309,347,531 |
Number of Shares | Value | ||||||||
Acquired Funds — 18.4% | |||||||||
Exchange-Traded Funds (ETFs) — 2.2% | |||||||||
Energy Select Sector SPDR Fund | 573,000 | $ | 41,404,980 | ||||||
Financial Select Sector SPDR Fund | 647,000 | 18,057,770 | |||||||
Vanguard S&P 500 ETF | 96,162 | 23,587,577 | |||||||
83,050,327 |
Number of Shares | Value | ||||||||
Private Investment Funds (g) — 16.2% | |||||||||
Adage Capital Partners, LP (a) (b) (e) (h) | $ | 53,294,090 | |||||||
Canyon Value Realization Fund, LP (a) (b) (e) (h) | 90,102,053 | ||||||||
Convexity Capital Offshore, LP (a) (b) (e) (h) | 22,629,370 | ||||||||
Cumulus Fund, Ltd. (a) (b) (e) (h) | 70,379 | 40,979,473 | |||||||
Farallon Capital Institutional Partners, LP (a) (b) (e) (h) | 3,405,870 | ||||||||
GSA Trend Fund, Ltd. (a) (b) (e) (h) | 552,831 | 52,137,201 | |||||||
Honeycomb Partners, LP (a) (b) (e) (h) | 62,845,300 | ||||||||
Hudson Bay International, Ltd. (a) (b) (e) (h) | 22,500 | 24,545,917 | |||||||
Lansdowne Developed Markets Fund, Ltd. (a) (b) (e) (h) | 160,534 | 103,535,686 | |||||||
Latimer Light Partners, LP (a) (b) (e) (h) | 47,706,900 | ||||||||
Man AHL Short Term Trading Limited (a) (b) (e) (h) | 19,713,233 | 20,399,958 | |||||||
OZ Domestic Partners, LP (a) (b) (e) (h) | 177,139 | ||||||||
QVT Roiv Hldgs Onshore, Ltd. (a) (b) (e) (h) | 3,114 | 3,252,901 | |||||||
Soroban Cayman Fund, Ltd. (a) (b) (e) (h) | 29,782 | 55,922,466 | |||||||
Tessera Offshore Fund, Ltd. (a) (b) (e) (h) | 2,500 | 27,021,945 | |||||||
607,956,269 | |||||||||
Total Acquired Funds (Cost $570,713,425) | 691,006,596 | ||||||||
Publicly Traded Limited Partnerships — 0.0% | |||||||||
KKR & Co., LP | 16,716 | 352,039 | |||||||
Lazard, Ltd. | 19,058 | 1,000,545 | |||||||
Total Publicly Traded Limited Partnerships (Cost $1,300,805) | 1,352,584 | ||||||||
Preferred Stocks — 0.2% | |||||||||
Banco ABC Brasil SA, 6.46% (Brazil) | 43,736 | 225,610 | |||||||
Banco do Estado do Rio Grande do Sul SA, 4.75% (Brazil) | 30,792 | 138,367 | |||||||
Bancolombia SA, 3.19% (Colombia) | 19,681 | 195,892 | |||||||
Centrais Eletricas Brasileiras SA, 8.17% (Brazil) | 472,400 | 3,235,332 | |||||||
Cia Ferro Ligas da Bahia – FERBASA, 5.83% (Brazil) | 35,352 | 217,639 | |||||||
Hyundai Motor Co., Ltd., 4.08% (South Korea) | 1,320 | 125,809 | |||||||
Itausa – Investimentos Itau SA, 4.31% (Brazil) | 45,171 | 146,943 | |||||||
Porsche Automobil Holding SE, 1.45% (Germany) | 3,722 | 311,524 | |||||||
Samsung SDI Co., Ltd., 1.34% (South Korea) | 1,341 | 2,614,163 | |||||||
Saraiva SA Livreiros Editores, 4.27% (Brazil) | 55,100 | 70,600 | |||||||
Sberbank of Russia PJSC, 3.15% (Russia) | 92,915 | 307,118 | |||||||
Schaeffler AG, 3.55% (Germany) | 35,654 | 629,379 | |||||||
Transneft PJSC, 4.59% (Russia) | 17 | 52,513 | |||||||
Volkswagen AG, 1.24% (Germany) | 4,013 | 799,750 | |||||||
Total Preferred Stocks (Cost $7,626,796) | 9,070,639 |
28
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Units | Value | ||||||||
Disputed Claims Receipt — 0.0% | |||||||||
AMR Corp. (a) (b) (e) (h) (Cost $0) | 260,322 | $ 400,896 |
Principal Amount | Value | ||||||||
Short-Term Investments — 18.5% | |||||||||
Repurchase Agreement — 6.3% | |||||||||
Fixed Income Clearing Corp. issued on 12/29/17 (proceeds at maturity $235,478,443) (collateralized by US Treasury Inflation Indexed Note, due 04/15/19 with a total par value of $1,960,000 and a total market value $2,057,373 and US Treasury Notes, due 08/15/18 through 12/31/18 with a total par value of $239,305,000 and a total market value of $238,133,383) 0.200%, 01/02/18 | |||||||||
(Cost $235,473,211) | $ | 235,473,211 | $ | 235,473,211 | |||||
US Treasury Bills (i) — 12.2% | |||||||||
US Treasury Bill, due on 02/01/18 (j) | 5,000,000 | 4,995,201 | |||||||
US Treasury Bill, due on 02/15/18 (j) (k) (l) | 50,000,000 | 49,930,313 | |||||||
US Treasury Bill, due on 03/01/18 (l) | 20,000,000 | 19,956,299 | |||||||
US Treasury Bill, due on 03/15/18 (l) | 50,000,000 | 49,871,000 | |||||||
US Treasury Bill, due on 04/12/18 (j) (l) | 100,000,000 | 99,615,278 | |||||||
US Treasury Bill, due on 05/10/18 (l) | 30,000,000 | 29,848,533 | |||||||
US Treasury Bill, due on 05/17/18 (l) | 40,000,000 | 39,787,750 | |||||||
US Treasury Bill, due on 05/31/18 (l) | 30,000,000 | 29,820,269 | |||||||
US Treasury Bill, due on 06/07/18 (l) | 75,000,000 | 74,524,687 | |||||||
US Treasury Bill, due on 06/14/18 (j) (l) | 60,000,000 | 59,604,725 | |||||||
Total US Treasury Bills (Cost $458,039,508) | 457,954,055 | ||||||||
Total Short-Term Investments (Cost $693,512,719) | 693,427,266 | ||||||||
Total Purchased Options — 0.0% (Cost $2,294,863) | 285,670 | ||||||||
Total Investments — 102.6% (Cost $3,381,344,159) | 3,852,318,251 | ||||||||
Liabilities in Excess of Other Assets — (2.6)% | (98,291,881 | ) | |||||||
Net Assets — 100.0% | $3,754,026,370 |
Number of Shares | Value | ||||||||
Securities Sold Short — (2.0)% | |||||||||
Common Stocks — (2.0)% | |||||||||
US Common Stocks — (1.1)% | |||||||||
Aerospace & Defense — (0.1)% | |||||||||
HEICO Corp. | (2,739 | ) | $ | (258,425 | ) | ||||
TransDigm Group, Inc. | (5,836 | ) | (1,602,682 | ) | |||||
(1,861,107 | ) | ||||||||
Air Freight & Logistics — (0.0)% | |||||||||
XPO Logistics, Inc. (a) | (8,688 | ) | (795,734 | ) | |||||
Airlines — (0.0)% | |||||||||
Delta Air Lines, Inc. | (5,081 | ) | (284,536 | ) | |||||
Southwest Airlines Co. | (3,884 | ) | (254,208 | ) | |||||
(538,744) |
Number of Shares | Value | ||||||||
Automobiles — (0.0)% | |||||||||
General Motors Co. | (4,015 | ) | $ | (164,574 | ) | ||||
Tesla Motors, Inc. (a) | (270 | ) | (84,065 | ) | |||||
Thor Industries, Inc. | (198 | ) | (29,843 | ) | |||||
(278,482 | ) | ||||||||
Biotechnology — (0.2)% | |||||||||
Agios Pharmaceuticals, Inc. (a) | (19,772 | ) | (1,130,365 | ) | |||||
Alnylam Pharmaceuticals, Inc. (a) | (4,180 | ) | (531,069 | ) | |||||
BioMarin Pharmaceutical, Inc. (a) | (4,471 | ) | (398,679 | ) | |||||
Gilead Sciences, Inc. | (541 | ) | (38,757 | ) | |||||
Incyte Corp. (a) | (12,070 | ) | (1,143,150 | ) | |||||
Neurocrine Biosciences, Inc. (a) | (20,618 | ) | (1,599,751 | ) | |||||
OPKO Health, Inc. (a) | (37,970 | ) | (186,053 | ) | |||||
Seattle Genetics, Inc. (a) | (5,172 | ) | (276,702 | ) | |||||
(5,304,526 | ) | ||||||||
Building Products — (0.0)% | |||||||||
Owens Corning | (668 | ) | (61,416 | ) | |||||
Capital Markets — (0.0)% | |||||||||
Charles Schwab Corp. (The) | (8,704 | ) | (447,124 | ) | |||||
Stifel Financial Corp. | (3,112 | ) | (185,351 | ) | |||||
(632,475 | ) | ||||||||
Chemicals — (0.0)% | |||||||||
Albemarle Corp. | (309 | ) | (39,518 | ) | |||||
Commercial Banks — (0.1)% | |||||||||
Bank of the Ozarks, Inc. | (16,093 | ) | (779,706 | ) | |||||
Chemical Financial Corp. | (9,998 | ) | (534,593 | ) | |||||
First Republic Bank | (567 | ) | (49,125 | ) | |||||
United Bankshares, Inc. | (7,343 | ) | (255,169 | ) | |||||
(1,618,593 | ) | ||||||||
Communications Equipment — (0.1)% | |||||||||
Arista Networks, Inc. (a) | (454 | ) | (106,953 | ) | |||||
CommScope Holding Co., Inc. (a) | (11,232 | ) | (424,907 | ) | |||||
Palo Alto Networks, Inc. (a) | (497 | ) | (72,035 | ) | |||||
ViaSat, Inc. (a) | (18,731 | ) | (1,402,015 | ) | |||||
(2,005,910 | ) | ||||||||
Computers & Peripherals — (0.0)% | |||||||||
Diebold Nixdorf, Inc. | (1,164 | ) | (19,031 | ) | |||||
Seagate Technology plc | (6,826 | ) | (285,600 | ) | |||||
(304,631 | ) | ||||||||
Containers & Packaging — (0.0)% | |||||||||
Ball Corp. | (10,275 | ) | (388,909 | ) | |||||
Diversified Telecommunication Services — (0.0)% | |||||||||
Frontier Communications Corp. | (27,014 | ) | (182,615 | ) | |||||
Electric Utilities — (0.0)% | |||||||||
FirstEnergy Corp. | (1,960 | ) | (60,015 | ) | |||||
Electronic Equipment, Instruments & Components — (0.0)% | |||||||||
Belden, Inc. | (1,333 | ) | (102,868 | ) | |||||
Coherent, Inc. (a) | (510 | ) | (143,932 | ) | |||||
(246,800) |
29
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Shares | Value | ||||||||
Energy Equipment & Services — (0.0)% | |||||||||
Helmerich & Payne, Inc. | (1,139 | ) | $ | (73,625 | ) | ||||
Nabors Industries, Ltd. | (108,800 | ) | (743,104 | ) | |||||
RPC, Inc. | (6,318 | ) | (161,299 | ) | |||||
(978,028 | ) | ||||||||
Food Products — (0.1)% | |||||||||
Blue Buffalo Pet Products, Inc. (a) | (21,639 | ) | (709,543 | ) | |||||
Post Holdings, Inc. (a) | (10,153 | ) | (804,422 | ) | |||||
TreeHouse Foods, Inc. (a) | (1,612 | ) | (79,730 | ) | |||||
(1,593,695 | ) | ||||||||
Health Care Equipment & Supplies — (0.0)% | |||||||||
NuVasive, Inc. (a) | (4,851 | ) | (283,735 | ) | |||||
Health Care Providers & Services — (0.1)% | |||||||||
Acadia Healthcare Co., Inc. (a) | (14,881 | ) | (485,567 | ) | |||||
Brookdale Senior Living, Inc. (a) | (31,783 | ) | (308,295 | ) | |||||
DexCom, Inc. (a) | (31,842 | ) | (1,827,412 | ) | |||||
Envision Healthcare Corp. (a) | (31,644 | ) | (1,093,617 | ) | |||||
Premier, Inc. (a) | (42,057 | ) | (1,227,644 | ) | |||||
(4,942,535 | ) | ||||||||
Health Care Technology — (0.0)% | |||||||||
Medidata Solutions, Inc. (a) | (4,952 | ) | (313,808 | ) | |||||
Hotels, Restaurants & Leisure — (0.0)% | |||||||||
Domino’s Pizza, Inc. | (1,354 | ) | (255,852 | ) | |||||
International Game Technology plc | (1,018 | ) | (26,987 | ) | |||||
(282,839 | ) | ||||||||
Insurance — (0.0)% | |||||||||
Cincinnati Financial Corp. | (2,646 | ) | (198,371 | ) | |||||
Hanover Insurance Group, Inc. (The) | (393 | ) | (42,475 | ) | |||||
Hartford Financial Services Group, Inc. (The) | (7,804 | ) | (439,209 | ) | |||||
Kemper Corp. | (5,743 | ) | (395,693 | ) | |||||
Travelers Companies, Inc. (The) | (406 | ) | (55,070 | ) | |||||
(1,130,818 | ) | ||||||||
Internet & Catalog Retail — (0.0)% | |||||||||
Liberty Expedia Holdings, Inc. (a) | (457 | ) | (20,259 | ) | |||||
Liberty Interactive Corp. QVC Group (a) | (10,603 | ) | (258,925 | ) | |||||
(279,184 | ) | ||||||||
Internet Software & Services — (0.0)% | |||||||||
eBay, Inc. (a) | (643 | ) | (24,267 | ) | |||||
GoDaddy, Inc. (a) | (4,146 | ) | (208,461 | ) | |||||
Juno Therapeutics, Inc. (a) | (577 | ) | (26,375 | ) | |||||
Pandora Media, Inc. (a) | (52,313 | ) | (252,149 | ) | |||||
Zillow Group, Inc., Class C (a) | (9,612 | ) | (393,322 | ) | |||||
(904,574 | ) | ||||||||
IT Services — (0.0)% | |||||||||
First Data Corp. (a) | (4,329 | ) | (72,338 | ) | |||||
Square, Inc. (a) | (20,447 | ) | (708,897 | ) | |||||
(781,235 | ) | ||||||||
Machinery — (0.1)% | |||||||||
Wabtec Corp. | (14,780 | ) | (1,203,535 | ) | |||||
Welbilt, Inc. (a) | (13,632 | ) | (320,488 | ) | |||||
(1,524,023) |
Number of Shares | Value | ||||||||
Media — (0.0)% | |||||||||
Chesapeake Energy CorpMeredith Corp. | (6,380 | ) | $ | (421,399 | ) | ||||
Comcast Corp. | (644 | ) | (25,792 | ) | |||||
Discovery Communications, Inc., Class A (a) | (7,012 | ) | (156,929 | ) | |||||
(604,120 | ) | ||||||||
Metals & Mining — (0.0)% | |||||||||
Allegheny Technologies, Inc. (a) | (47,013 | ) | (1,134,894 | ) | |||||
Multi-Utilities — (0.0)% | |||||||||
Ameren Corp. | (5,817 | ) | (343,145 | ) | |||||
Black Hills Corp. | (1,436 | ) | (86,318 | ) | |||||
Consolidated Edison, Inc. | (787 | ) | (66,856 | ) | |||||
DTE Energy Co. | (2,242 | ) | (245,409 | ) | |||||
(741,728 | ) | ||||||||
Oil, Gas & Consumable Fuels — (0.1)% | |||||||||
Callon Petroleum Co. (a) | (55,121 | ) | (669,720 | ) | |||||
Centennial Resource Development, Inc. (a) | (17,419 | ) | (344,896 | ) | |||||
Cheniere Energy, Inc. (a) | (27,941 | ) | (1,504,343 | ) | |||||
Chesapeake Energy Corp. (a) | (36,388 | ) | (144,096 | ) | |||||
Chevron Corp. | (461 | ) | (57,713 | ) | |||||
Hess Corp. | (17,799 | ) | (844,919 | ) | |||||
Newfield Exploration Co. (a) | (1,592 | ) | (50,196 | ) | |||||
RSP Permian, Inc. (a) | (1,005 | ) | (40,883 | ) | |||||
SM Energy Co. | (30,900 | ) | (682,272 | ) | |||||
Targa Resources Corp. | (386 | ) | (18,690 | ) | |||||
(4,357,728 | ) | ||||||||
Personal Products — (0.0)% | |||||||||
Coty, Inc., Class A | (46,679 | ) | (928,445 | ) | |||||
Pharmaceuticals — (0.0)% | |||||||||
Allergan plc | (2,335 | ) | (381,959 | ) | |||||
Prestige Brands Holdings, Inc. (a) | (11,661 | ) | (517,865 | ) | |||||
(899,824 | ) | ||||||||
Semiconductors & Semiconductor Equipment — (0.1)% | |||||||||
Advanced Micro Devices, Inc. (a) | (61,205 | ) | (629,187 | ) | |||||
Cree, Inc. (a) | (8,790 | ) | (326,461 | ) | |||||
Cypress Semiconductor Corp. | (20,701 | ) | (315,483 | ) | |||||
Skyworks Solutions, Inc. | (332 | ) | (31,523 | ) | |||||
(1,302,654 | ) | ||||||||
Software — (0.0)% | |||||||||
Dell Technologies, Inc., Class V (a) | (366 | ) | (29,748 | ) | |||||
FireEye, Inc. (a) | (28,091 | ) | (398,892 | ) | |||||
Guidewire Software, Inc. (a) | (3,223 | ) | (239,340 | ) | |||||
ServiceNow, Inc. (a) | (1,408 | ) | (183,589 | ) | |||||
Splunk, Inc. (a) | (983 | ) | (81,432 | ) | |||||
Ultimate Software Group, Inc. (The) (a) | (1,572 | ) | (343,058 | ) | |||||
(1,276,059 | ) | ||||||||
Specialty Retail — (0.1)% | |||||||||
Advance Auto Parts, Inc. | (2,347 | ) | (233,972 | ) | |||||
L Brands, Inc. | (29,944 | ) | (1,803,228 | ) | |||||
Signet Jewelers, Ltd. | (4,692 | ) | (265,333 | ) | |||||
(2,302,533) |
30
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Shares | Value | ||||||||
Textiles, Apparel & Luxury Goods — (0.0)% | |||||||||
Under Armour, Inc. (a) | (52,797 | ) | $ | (761,861 | ) | ||||
Trading Companies & Distributors — (0.0)% | |||||||||
NOW, Inc. (a) | (14,029 | ) | (154,740 | ) | |||||
Total US Common Stocks (Proceeds $39,994,436) | (41,798,535 | ) | |||||||
Foreign Common Stocks — (0.9)% | |||||||||
Australia — (0.1)% | |||||||||
AMP, Ltd. | (183,195 | ) | (740,191 | ) | |||||
Atlassian Corp. plc (a) | (6,936 | ) | (315,727 | ) | |||||
Boral, Ltd. | (104,832 | ) | (635,351 | ) | |||||
Domino’s Pizza Enterprises, Ltd. | (4,937 | ) | (179,839 | ) | |||||
Magellan Financial Group, Ltd. | (12,300 | ) | (258,432 | ) | |||||
Oil Search, Ltd. | (48,377 | ) | (294,290 | ) | |||||
REA Group, Ltd. | (2,165 | ) | (129,259 | ) | |||||
SEEK, Ltd. | (16,393 | ) | (242,649 | ) | |||||
Tabcorp Holdings, Ltd. | (25,238 | ) | (109,775 | ) | |||||
TPG Telecom, Ltd. | (18,221 | ) | (93,367 | ) | |||||
Transurban Group | (8,918 | ) | (86,319 | ) | |||||
Vocus Group, Ltd. | (24,902 | ) | (58,788 | ) | |||||
(3,143,987 | ) | ||||||||
Austria — (0.0)% | |||||||||
ams AG (a) | (3,575 | ) | (323,952 | ) | |||||
Belgium — (0.0)% | |||||||||
Anheuser-Busch InBev SA/NV | (5,349 | ) | (596,643 | ) | |||||
Telenet Group Holding NV (a) | (1,753 | ) | (122,045 | ) | |||||
(718,688 | ) | ||||||||
Bermuda — (0.0)% | |||||||||
Assured Guaranty, Ltd. | (662 | ) | (22,422 | ) | |||||
Everest Re Group, Ltd. | (613 | ) | (135,632 | ) | |||||
(158,054 | ) | ||||||||
Denmark — (0.0)% | |||||||||
AP Moller – Maersk A/S | (205 | ) | (357,241 | ) | |||||
Chr Hansen Holding A/S | (3,976 | ) | (372,892 | ) | |||||
Novozymes A/S | (4,843 | ) | (276,672 | ) | |||||
Pandora A/S | (843 | ) | (91,743 | ) | |||||
(1,098,548 | ) | ||||||||
Finland — (0.0)% | |||||||||
Amer Sports Oyj (a) | (10,572 | ) | (292,851 | ) | |||||
Huhtamaki Oyj | (4,379 | ) | (183,330 | ) | |||||
(476,181 | ) | ||||||||
France — (0.1)% | |||||||||
Accor SA | (4,807 | ) | (247,780 | ) | |||||
Bollore SA | (31,505 | ) | (171,142 | ) | |||||
Edenred SA | (11,656 | ) | (337,680 | ) | |||||
Electricite de France SA | (97,389 | ) | (1,214,910 | ) | |||||
Ipsen SA | (371 | ) | (44,314 | ) | |||||
JCDecaux SA | (3,171 | ) | (127,777 | ) | |||||
Technicolor SA | (22,860 | ) | (78,408 | ) | |||||
(2,222,011) |
Number of Shares | Value | ||||||||
Germany — (0.0)% | |||||||||
GEA Group AG | (11,332 | ) | $ | (543,359 | ) | ||||
Sartorius AG | (2,802 | ) | (267,395 | ) | |||||
Wirecard AG | (3,054 | ) | (340,963 | ) | |||||
Zalando SE (a) (c) | (13,052 | ) | (687,727 | ) | |||||
(1,839,444 | ) | ||||||||
Ireland — (0.1)% | |||||||||
Alkermes plc (a) | (24,205 | ) | (1,324,740 | ) | |||||
Endo International plc (a) | (3,780 | ) | (29,295 | ) | |||||
James Hardie Industries plc | (27,041 | ) | (476,022 | ) | |||||
Perrigo Co. plc | (6,329 | ) | (551,636 | ) | |||||
(2,381,693 | ) | ||||||||
Italy — (0.0)% | |||||||||
BPER Banca | (99,052 | ) | (498,555 | ) | |||||
Brembo SpA | (14,696 | ) | (223,406 | ) | |||||
Buzzi Unicem SpA | (5,853 | ) | (157,960 | ) | |||||
Ferrari NV | (1,608 | ) | (168,672 | ) | |||||
Saipem SpA (a) | (85,266 | ) | (389,251 | ) | |||||
Unione di Banche Italiane SpA | (21,773 | ) | (94,965 | ) | |||||
(1,532,809 | ) | ||||||||
Japan — (0.3)% | |||||||||
Acom Co., Ltd. (a) | (69,900 | ) | (294,741 | ) | |||||
AEON Financial Service Co., Ltd. | (8,000 | ) | (185,785 | ) | |||||
Bank of Kyoto, Ltd. (The) | (1,900 | ) | (98,841 | ) | |||||
Calbee, Inc. | (5,600 | ) | (182,188 | ) | |||||
Chugai Pharmaceutical Co., Ltd. | (2,700 | ) | (138,061 | ) | |||||
Chugoku Electric Power Co., Inc. (The) | (29,200 | ) | (313,449 | ) | |||||
Coca-Cola Bottlers Japan, Inc. | (1,200 | ) | (43,828 | ) | |||||
CyberAgent, Inc. | (3,700 | ) | (144,516 | ) | |||||
FamilyMart Co., Ltd. | (2,500 | ) | (175,078 | ) | |||||
Hokuriku Electric Power Co. | (25,500 | ) | (205,427 | ) | |||||
Isetan Mitsukoshi Holdings, Ltd. | (3,300 | ) | (40,788 | ) | |||||
Kakaku.com, Inc. | (4,000 | ) | (67,647 | ) | |||||
Kansai Paint Co., Ltd. | (21,800 | ) | (566,066 | ) | |||||
Keikyu Corp. | (12,100 | ) | (232,250 | ) | |||||
Kikkoman Corp. | (900 | ) | (36,388 | ) | |||||
Kintetsu Group Holdings Co., Ltd. | (800 | ) | (30,593 | ) | |||||
Kyushu Electric Power Co., Inc. | (29,400 | ) | (307,964 | ) | |||||
M3, Inc. | (3,400 | ) | (119,029 | ) | |||||
Marui Group Co., Ltd. | (7,100 | ) | (129,728 | ) | |||||
MonotaRO Co., Ltd. | (24,400 | ) | (778,501 | ) | |||||
Nagoya Railroad Co., Ltd. | (2,000 | ) | (50,333 | ) | |||||
NGK Spark Plug Co., Ltd. | (18,800 | ) | (457,166 | ) | |||||
Nippon Paint Holdings Co., Ltd. | (21,600 | ) | (680,765 | ) | |||||
Odakyu Electric Railway Co., Ltd. | (16,700 | ) | (356,902 | ) | |||||
Ono Pharmaceutical Co., Ltd. | (11,300 | ) | (262,993 | ) | |||||
Ricoh Co., Ltd. | (31,700 | ) | (294,645 | ) | |||||
Santen Pharmaceutical Co., Ltd. | (18,800 | ) | (295,156 | ) | |||||
Seven Bank, Ltd. | (124,100 | ) | (425,255 | ) | |||||
Shimano, Inc. | (5,800 | ) | (816,063 | ) | |||||
Sony Financial Holdings, Inc. | (27,800 | ) | (492,626 | ) | |||||
Suruga Bank, Ltd. | (30,500 | ) | (652,342 | ) | |||||
Sysmex Corp. | (1,300 | ) | (102,366) |
31
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Number of Shares | Value | ||||||||
T&D Holdings, Inc. | (5,600 | ) | $ | (95,805 | ) | ||||
Toho Gas Co., Ltd. | (1,300 | ) | (35,627 | ) | |||||
Toray Industries, Inc. | (13,700 | ) | (129,222 | ) | |||||
Toyota Industries Corp. | (4,400 | ) | (282,825 | ) | |||||
Yakult Honsha Co., Ltd. | (2,100 | ) | �� | (158,329 | ) | ||||
Yaskawa Electric Corp. | (3,200 | ) | (139,827 | ) | |||||
(9,819,115 | ) | ||||||||
Jordan — (0.0)% | |||||||||
Hikma Pharmaceuticals plc | (2,325 | ) | (35,578 | ) | |||||
Luxembourg — (0.1)% | |||||||||
Eurofins Scientific SE | (392 | ) | (238,680 | ) | |||||
Millicom International Cellular SA | (3,804 | ) | (256,812 | ) | |||||
Tenaris SA | (88,184 | ) | (1,392,009 | ) | |||||
(1,887,501 | ) | ||||||||
Netherlands — (0.0)% | |||||||||
Altice NV (a) | (48,157 | ) | (503,772 | ) | |||||
Boskalis Westminster | (3,870 | ) | (145,871 | ) | |||||
Core Laboratories NV | (241 | ) | (26,402 | ) | |||||
Koninklijke Vopak NV | (9,440 | ) | (414,080 | ) | |||||
OCI NV (a) | (18,717 | ) | (472,146 | ) | |||||
QIAGEN NV (a) | (2,399 | ) | (74,911 | ) | |||||
(1,637,182 | ) | ||||||||
Norway — (0.0)% | |||||||||
Schibsted ASA, Class A | (4,797 | ) | (136,955 | ) | |||||
Yara International ASA | (4,793 | ) | (219,384 | ) | |||||
(356,339 | ) | ||||||||
Portugal — (0.0)% | |||||||||
Banco Comercial Portugues SA (a) | (94,173 | ) | (30,664 | ) | |||||
Singapore — (0.0)% | |||||||||
Keppel Corp., Ltd. | (54,100 | ) | (296,305 | ) | |||||
SATS, Ltd. | (11,000 | ) | (42,693 | ) | |||||
Singapore Press Holdings, Ltd. | (141,200 | ) | (279,407 | ) | |||||
(618,405 | ) | ||||||||
South Africa — (0.0)% | |||||||||
Mediclinic International plc | (3,706 | ) | (32,356 | ) | |||||
Spain — (0.0)% | |||||||||
Bankia SA | (145,837 | ) | (696,089 | ) | |||||
Cellnex Telecom SA (c) | (15,985 | ) | (409,129 | ) | |||||
Tecnicas Reunidas SA | (3,659 | ) | (116,016 | ) | |||||
(1,221,234) |
Number of Shares | Value | ||||||||
Sweden — (0.0)% | |||||||||
Elekta AB (a) | (3,610 | ) | $ | (29,755 | ) | ||||
Hexpol AB | (12,870 | ) | (130,449 | ) | |||||
Telefonaktiebolaget LM Ericsson | (5,510 | ) | (36,120 | ) | |||||
(196,324 | ) | ||||||||
Switzerland — (0.1)% | |||||||||
Credit Suisse Group AG (a) | (12,051 | ) | (214,511 | ) | |||||
Transocean, Ltd. (a) | (27,603 | ) | (294,800 | ) | |||||
Vifor Pharma AG | (3,514 | ) | (450,311 | ) | |||||
Weatherford International plc (a) | (247,224 | ) | (1,030,925 | ) | |||||
(1,990,547 | ) | ||||||||
United Kingdom — (0.1)% | |||||||||
Balfour Beatty plc | (8,104 | ) | (32,479 | ) | |||||
BTG plc (a) | (8,516 | ) | (87,358 | ) | |||||
ConvaTec Group plc (c) | (59,882 | ) | (165,492 | ) | |||||
Ensco plc, Class A | (101,642 | ) | (600,704 | ) | |||||
Greene King plc | (6,494 | ) | (48,643 | ) | |||||
Inmarsat plc | (61,370 | ) | (406,648 | ) | |||||
J Sainsbury plc | (9,518 | ) | (30,986 | ) | |||||
John Wood Group plc | (44,464 | ) | (388,635 | ) | |||||
Just Eat plc (a) | (26,944 | ) | (282,652 | ) | |||||
Merlin Entertainments plc (c) | (17,089 | ) | (83,538 | ) | |||||
Micro Focus International plc | (1,206 | ) | (40,929 | ) | |||||
Petrofac, Ltd. | (12,806 | ) | (88,140 | ) | |||||
Provident Financial plc | (4,929 | ) | (59,726 | ) | |||||
Rightmove plc | (573 | ) | (34,801 | ) | |||||
Tesco plc | (305,391 | ) | (862,401 | ) | |||||
(3,213,132 | ) | ||||||||
Total Foreign Common Stocks (Proceeds $33,447,713) | (34,933,744 | ) | |||||||
Total Common Stocks (Proceeds $73,442,149) | (76,732,279 | ) |
Number of Contracts | Value | ||||||||
Right — (0.0)% | |||||||||
Transurban Group, Expiring 01/24/18 (Australia) (a) (Proceeds $0) | (723 | ) | $(573 | ) | |||||
Total Securities Sold Short (Proceeds $73,442,149) | (76,732,852 | ) |
Financial Futures Contracts
Number of Contracts | Type | Initial Notional Value/(Proceeds) | Notional Value at December 31, 2017 | Unrealized Depreciation | ||||||||||||
Short Financial Futures Contracts | ||||||||||||||||
Foreign Currency-Related | ||||||||||||||||
(331) | March 2018 Japanese Yen | $ | (36,843,680 | ) | $ | (36,881,675 | ) | $(37,995 | ) | |||||||
Equity-Related | ||||||||||||||||
(354) | March 2018 Mini MSCI Emerging Market | (20,211,651 | ) | (20,597,490 | ) | (385,839 | ) | |||||||||
$ | (423,834 | ) |
32
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Forward Currency Contracts
Contract Settlement Date | Counterparty | Contract Amount | Unrealized Depreciation | |||||||||||||
Receive | Deliver | |||||||||||||||
01/17/2018 | Goldman Sachs International | USD 27,000,000 | CNH 191,088,500 | $ | (2,317,919 | ) | ||||||||||
05/04/2018 | Barclays Bank plc | USD 6,000,000 | CNH 42,516,000 | (483,597 | ) | |||||||||||
05/29/2018 | Goldman Sachs International | USD 8,000,000 | CNH 56,540,000 | (610,502 | ) | |||||||||||
07/12/2018 | Goldman Sachs International | USD 6,000,000 | CNH 41,828,400 | (354,561 | ) | |||||||||||
07/27/2018 | Goldman Sachs International | USD 17,000,000 | CNH 117,257,500 | (797,860 | ) | |||||||||||
08/22/2018 | Goldman Sachs International | USD 5,000,000 | CNH 34,145,000 | (174,687 | ) | |||||||||||
10/22/2018 | Goldman Sachs International | USD 9,000,000 | CNH 61,002,000 | (211,847 | ) | |||||||||||
11/19/2018 | Goldman Sachs International | USD 28,232,916 | CNH 191,701,500 | (669,894 | ) | |||||||||||
$ | (5,620,867 | ) |
Swap Contracts
Expiration Date | Counterparty | Pay | Receive | Currency | Payment Frequency Paid/Received | Notional Amount | Unrealized Depreciation | |||||||||||||||||||||
Total Return Swap Contracts | ||||||||||||||||||||||||||||
Long Total Return Swap Contracts | ||||||||||||||||||||||||||||
07/30/2018 | Morgan Stanley Capital Services LLC | 1 Month LIBOR plus 0.35% | Alphas Managed Accounts Platform LXII Limited – KCP Long Segregated Portfolio (e) | USD | Monthly | $ | 217,559,586 | $ | (277,030 | ) | ||||||||||||||||||
07/30/2018 | Morgan Stanley Capital Services LLC | 1 Month LIBOR plus 0.35% | Alphas Managed Accounts Platform LXII Limited – KCP Short Segregated Portfolio (e) | USD | Monthly | 29,999,998 | (38,906 | ) | ||||||||||||||||||||
07/30/2018 | Morgan Stanley Capital Services LLC | 1 Month LIBOR plus 0.28% | Alphas Managed Accounts Platform LXIII Limited – KGCP Long Segregated Portfolio (e) | USD | Monthly | 80,613,396 | (102,603 | ) | ||||||||||||||||||||
07/30/2018 | Morgan Stanley Capital Services LLC | 1 Month LIBOR plus 0.28% | Alphas Managed Accounts Platform LXIII Limited – KGCP Short Segregated Portfolio (e) | USD | Monthly | 30,000,001 | (37,337 | ) | ||||||||||||||||||||
07/30/2018 | Morgan Stanley Capital Services LLC | 1 Month LIBOR plus 0.45% | Alphas Managed Accounts Platform LXV Limited – Clinton Quantitative Segregated Portfolio (e) | USD | Monthly | 96,403,199 | (125,367 | ) | ||||||||||||||||||||
07/30/2018 | Morgan Stanley Capital Services LLC | 1 Month LIBOR plus 0.45% | Alphas Managed Accounts Platform LXVI Limited – Welton Nexus Segregated Portfolio (e) | USD | Monthly | 41,990,715 | (57,270 | ) | ||||||||||||||||||||
$ | (638,513 | ) |
The following table represents the underlying total return swaps and other positions in the KCP Long Segregated Portfolio total return basket swap as of December 31, 2017:
Reference Entity | Units | Net Unrealized Appreciation/ (Depreciation) (m) | Percent of Net Assets (n) | |||||||||
Russell 2000 Index | 32,120 | $ | 11,239,786 | 5.17 | % | |||||||
S&P 500 Index | 115,921 | 64,303,963 | 29.60 | % | ||||||||
S&P Midcap 400 Index | 26,491 | 10,105,620 | 4.65 | % | ||||||||
Cash and other (o) | 131,633,187 | 60.58 | % |
The following table represents underlying total return swaps and other positions in the KGCP Long Segregated Portfolio total return basket swap as of December 31, 2017:
Reference Entity | Units | Net Unrealized Appreciation/ (Depreciation) (m) | Percent of Net Assets (n) | |||||||||
DJ STOXX Large 200 | 12,060 | 99,860 | 0.12 | % | ||||||||
DJ STOXX Small 200 | 9,774 | 690,570 | 0.86 | % | ||||||||
Emerging Markets EMEA Index | 4,101 | 333,306 | 0.41 | % | ||||||||
MSCI Australia NR | 428 | 357,165 | 0.44 | % | ||||||||
MSCI Canada NR Index | 505 | 428,061 | 0.53% |
33
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Reference Entity | Units | Net Unrealized Appreciation/ (Depreciation) (m) | Percent of Net Assets (n) | |||||||||
MSCI China NR | 65,682 | 680,260 | 0.84 | % | ||||||||
MSCI EM Latin America | 2,264 | 197,529 | 0.25 | % | ||||||||
MSCI Emerging Markets | 8,674 | 1,040,593 | 1.29 | % | ||||||||
MSCI Emerging Markets Asia | 12,135 | 2,277,203 | 2.83 | % | ||||||||
MSCI Europe Net Total Return | 37,375 | 1,659,139 | 2.06 | % | ||||||||
MSCI Hong Kong NR Index | 88 | 274,384 | 0.34 | % | ||||||||
MSCI International Denmark Net Index | 131 | 24,668 | 0.03 | % | ||||||||
MSCI International Norway Net Index | 149 | 47,117 | 0.06 | % | ||||||||
MSCI International Sweden Net Index | 159 | 133,531 | 0.17 | % | ||||||||
MSCI Japan NR | 359,225 | 2,066,612 | 2.57 | % | ||||||||
MSCI Singapore NR | 82 | 80,874 | 0.10 | % | ||||||||
MSCI Switzerland NR | 787 | 370,128 | 0.46 | % | ||||||||
MSCI United Kingdom NR | 316 | 964,216 | 1.20 | % | ||||||||
MSCI USA Index | 6,137 | 9,681,135 | 12.02 | % | ||||||||
Russell 2000 Index | 9,116 | 2,072,071 | 2.57 | % | ||||||||
S&P 500 Index | 7,001 | 1,308,892 | 1.63 | % | ||||||||
S&P Midcap 400 Index | 6,141 | 1,574,838 | 1.96 | % | ||||||||
Topix Index | 93,970 | 120,826 | 0.15 | % | ||||||||
Topix Small Index | 40,633 | 217,204 | 0.27 | % | ||||||||
Cash and other (o) | 53,810,611 | 66.84 | % |
The following table represents the underlying total return swaps and other positions in the Clinton Quantitative Segregated Portfolio total return basket swap as of December 31, 2017:
Reference Entity | Units | Net Unrealized Appreciation/ (Depreciation) (m) | Percent of Net Assets (n) | |||||||||
Accton Technology Corp. | 249,483 | $ | 160,031 | 0.17 | % | |||||||
Acer, Inc. | (768,719 | ) | (197,273 | ) | (0.20 | )% | ||||||
Aristocrat Leisure, Ltd. | 189,410 | 328,159 | 0.34 | % | ||||||||
Best Buy Co., Inc. | 17,749 | 155,272 | 0.16 | % | ||||||||
BRF SA | (142,084 | ) | 243,075 | 0.25 | % | |||||||
Capital & Counties Properties plc | (278,203 | ) | (212,692 | ) | (0.22 | )% | ||||||
China Overseas Land & Investment, Ltd. | (817,982 | ) | 157,884 | 0.16 | % | |||||||
China Resources Land, Ltd | (901,982 | ) | 157,673 | 0.16 | % | |||||||
Country Garden Holdings Co., Ltd. | 1,662,596 | 605,227 | 0.63 | % | ||||||||
CyberAgent, Inc. | (61,125 | ) | (487,159 | ) | (0.51 | )% | ||||||
Daiichi Sankyo Co., Ltd. | (102,625 | ) | (242,603 | ) | (0.25 | )% | ||||||
Dentsu, Inc. | (48,945 | ) | 196,274 | 0.20 | % | |||||||
Elite Material Co., Ltd. | 128,902 | (158,391 | ) | (0.16 | )% | |||||||
Freeport-McMoRan, Inc. | 52,741 | 175,002 | 0.18 | % | ||||||||
Galaxy Entertainment Group, Ltd. | 183,468 | 194,978 | 0.20 | % | ||||||||
Gentera SAB de CV | (1,278,357 | ) | 399,092 | 0.41 | % | |||||||
GrubHub, Inc. | (24,697 | ) | (211,372 | ) | (0.22 | )% | ||||||
Grupo Financiero Banorte SAB de CV | 668,212 | (309,403 | ) | (0.32 | )% | |||||||
Grupo Financiero Santander Mexico SAB de CV | 647,047 | (153,352 | ) | (0.16 | )% | |||||||
Haseko Corp. | 56,970 | 202,460 | 0.21 | % | ||||||||
Hitachi, Ltd. | 462,036 | 572,972 | 0.59 | % | ||||||||
JBS SA | (569,280 | ) | (154,681 | ) | (0.16 | )% | ||||||
JM AB | 48,957 | (225,966 | ) | (0.23)% |
34
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Reference Entity | Units | Net Unrealized Appreciation/ (Depreciation) (m) | Percent of Net Assets (n) | |||||||||
Kirin Holdings Co., Ltd. | 60,104 | 219,771 | 0.23 | % | ||||||||
Kyudenko Corp. | (13,290 | ) | (179,240 | ) | (0.19 | )% | ||||||
Localiza Rent a Car SA | 365,793 | 271,745 | 0.28 | % | ||||||||
Lojas Americanas SA | (713,840 | ) | (350,905 | ) | (0.36 | )% | ||||||
Magazine Luiza SA | 32,094 | 210,240 | 0.22 | % | ||||||||
New World Development Co., Ltd. | (2,360,595 | ) | (171,086 | ) | (0.18 | )% | ||||||
Nolato AB | 9,459 | 153,632 | 0.16 | % | ||||||||
OCI Co., Ltd. | 6,780 | 279,957 | 0.29 | % | ||||||||
OPKO Health, Inc. | (155,915 | ) | 201,990 | 0.21 | % | |||||||
Orion Oyj | 36,548 | (205,570 | ) | (0.21 | )% | |||||||
Petkim Petrokimya Holding AS | 522,875 | 179,886 | 0.19 | % | ||||||||
Phison Electronics Corp. | 91,495 | (219,758 | ) | (0.23 | )% | |||||||
Point Plast, Ltd. | 66,942 | (194,916 | ) | (0.20 | )% | |||||||
Qantas Airways, Ltd. | 460,285 | (273,278 | ) | (0.28 | )% | |||||||
Relo Group, Inc. | (26,930 | ) | (211,983 | ) | (0.22 | )% | ||||||
Santos, Ltd. | (586,951 | ) | (591,950 | ) | (0.61 | )% | ||||||
Semiconductor Manufacturing, Inc. | (631,953 | ) | (384,897 | ) | (0.40 | )% | ||||||
Steinhoff International Holding NV | (224,210 | ) | 286,636 | 0.30 | % | |||||||
Sunac China Holdings, Ltd. | 464,722 | (339,107 | ) | (0.35 | )% | |||||||
Suzuki Motor Corp. | 27,509 | 397,539 | 0.41 | % | ||||||||
TIM Participacoes SA | 453,760 | 210,507 | 0.22 | % | ||||||||
TOTO, Ltd. | (23,385 | ) | (331,615 | ) | (0.34 | )% | ||||||
Vale SA | (131,725 | ) | (209,804 | ) | (0.22 | )% | ||||||
Via Varejo SA | 136,125 | 168,948 | 0.18 | % | ||||||||
WW Grainger, Inc. | (9,411 | ) | (189,002 | ) | (0.20 | )% | ||||||
Yaskawa Electric Corp. | (34,760 | ) | (206,004 | ) | (0.21 | )% | ||||||
Zhuzhou CRRC Times Electric Co., Ltd. | (179,928 | ) | (202,374 | ) | (0.21 | )% | ||||||
Cash and other (p) | 96,763,263 | 100.49 | % |
The following table represents the underlying total return swaps and other positions in the Welton Nexus Segregated Portfolio total return basket swap as of December 31, 2017:
Reference Entity | Units | Net Unrealized Appreciation/ (Depreciation) (m) | Percent of Net Assets (n) | |||||||||
Airbus SE | 7,158 | (30,015 | ) | (0.07 | )% | |||||||
Aryzta AG | (28,211 | ) | (60,513 | ) | (0.14 | )% | ||||||
Ashtead Group plc | 51,995 | 64,622 | 0.15 | % | ||||||||
ASOS plc | (15,358 | ) | (106,747 | ) | (0.25 | )% | ||||||
BASF SE | 12,299 | (28,506 | ) | (0.07 | )% | |||||||
BHP Billiton plc | 67,868 | 94,368 | 0.23 | % | ||||||||
Boskalis Westminster | (36,535 | ) | (38,087 | ) | (0.09 | )% | ||||||
Britvic plc | 113,302 | 38,091 | 0.09 | % | ||||||||
Bunzl plc | 38,223 | 28,895 | 0.07 | % | ||||||||
Capital & Counties Properties plc | (321,696 | ) | (169,943 | ) | (0.41 | )% | ||||||
Ceconomy AG | (93,932 | ) | (75,886 | ) | (0.18 | )% | ||||||
Chr Hansen Holding A/S | (9,125 | ) | (37,900 | ) | (0.09 | )% | ||||||
Dignity plc | 15,795 | 41,332 | 0.10 | % | ||||||||
Discovery, Ltd. | (21,798 | ) | (35,289 | ) | (0.08 | )% | ||||||
Ferrexpo plc | 211,696 | 75,451 | 0.18 | % | ||||||||
FirstRand, Ltd. | (45,181 | ) | (41,046 | ) | (0.10 | )% |
35
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
Reference Entity | Units | Net Unrealized Appreciation/ (Depreciation) (m) | Percent of Net Assets (n) | |||||||||
FLSmidth & Co A/S | (15,125 | ) | (36,804 | ) | (0.09 | )% | ||||||
Fortum Oyj | 49,962 | (45,282 | ) | (0.11 | )% | |||||||
Foschini Group, Ltd. | (24,349 | ) | (70,504 | ) | (0.17 | )% | ||||||
GKN plc | (273,003 | ) | (65,283 | ) | (0.16 | )% | ||||||
Greene King plc | (115,416 | ) | (46,876 | ) | (0.11 | )% | ||||||
Hella AG | 11,809 | 36,272 | 0.09 | % | ||||||||
Huhtamaki Oyj | (23,504 | ) | 39,495 | 0.09 | % | |||||||
John Wood Group plc | (86,036 | ) | (32,234 | ) | (0.08 | )% | ||||||
KAZ Minerals plc | 38,697 | 53,455 | 0.13 | % | ||||||||
Koninklijke BAM Groep NV | (139,149 | ) | (35,173 | ) | (0.08 | )% | ||||||
LafargeHolcim, Ltd. | (24,593 | ) | (28,762 | ) | (0.07 | )% | ||||||
Lanxess AG | (17,136 | ) | (33,054 | ) | (0.08 | )% | ||||||
Next plc | 20,646 | 77,766 | 0.19 | % | ||||||||
Omv AG | 12,426 | 42,916 | 0.10 | % | ||||||||
Petrofac, Ltd. | (128,785 | ) | (59,444 | ) | (0.14 | )% | ||||||
Repsol SA – rights | 75,437 | 34,303 | 0.08 | % | ||||||||
Repsol SA | 76,731 | (36,452 | ) | (0.09 | )% | |||||||
Rio Tinto plc | 16,785 | 64,669 | 0.15 | % | ||||||||
RPC, Inc. | 108,590 | 30,598 | 0.07 | % | ||||||||
RSA Insurance Group plc | (95,799 | ) | (29,580 | ) | (0.07 | )% | ||||||
Schaeffler AG | 63,126 | 77,632 | 0.19 | % | ||||||||
Scor SE | (33,880 | ) | 51,718 | 0.12 | % | |||||||
SSAB AB | 178,325 | 94,129 | 0.22 | % | ||||||||
Standard Bank Group, Ltd. | 18,961 | 28,229 | 0.07 | % | ||||||||
Standard Chartered plc | (128,790 | ) | (39,970 | ) | (0.10 | )% | ||||||
Telia Company AB | (307,114 | ) | 33,122 | 0.08 | % | |||||||
Thomas Cook Group plc | (295,819 | ) | (31,550 | ) | (0.08 | )% | ||||||
thyssenkrupp AG | (47,823 | ) | (32,702 | ) | (0.08 | )% | ||||||
Travis Perkins plc | (50,130 | ) | (33,800 | ) | (0.08 | )% | ||||||
Truworths International, Ltd. | (48,183 | ) | (39,489 | ) | (0.09 | )% | ||||||
Weir Group plc | (47,287 | ) | (65,893 | ) | (0.16 | )% | ||||||
Woolworths Holdings, Ltd. | (141,290 | ) | (81,764 | ) | (0.19 | )% | ||||||
Yara International ASA | (29,681 | ) | (39,596 | ) | (0.09 | )% | ||||||
Zalando SE | (25,128 | ) | 39,645 | 0.09 | % | |||||||
Cash and other (p) | 42,394,881 | 101.11 | % |
Options Contracts
Description | Counterparty | Strike Price/ FX Rate/Rate | Expiration Date | Number of Contracts | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Purchased option contracts | ||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||
S&P 500 Index | Jefferies & Co., Inc. | 2,580 | 01/19/2018 | USD 53,900 | $ | 285,670 | $ | 2,294,863 | $ | (2,009,193 | ) |
36
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
ADR | American Depositary Receipt | |
ASE | American Stock Exchange | |
BATS | Better Alternative Trading System | |
CNH | Yuan Renminbi Offshore | |
CVA | Certification Van Aandelen | |
ENT | Entitlement Shares | |
ETF | Exchange-Traded Fund | |
GDR | Global Depositary Receipt | |
JSE | Johannesburg Stock Exchange | |
LIBOR | London Interbank Offered Rate | |
LSE | London Stock 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 | |
SCA | Sociedad en Comandita por Acciónes | |
SEHK | Stock Exchange of Hong Kong | |
SPADR | Sponsored ADR | |
SPDR | Standard & Poor’s Depository Receipt | |
SPGDR | Sponsored GDR | |
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 |
* | Approximately 6% 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 $650,685,962, which represents 17.3% of the fund’s net assets. |
(c) | 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. At December 31, 2017 the aggregate value of these securities was $31,834,054, representing 1% of net assets. |
(d) | 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. |
(e) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(f) | Security in default. |
(g) | Portfolio holdings information of the Private Investment Funds is not available as of December 31, 2017. These positions are therefore grouped into their own industry classification. For any private investments funds structured as a limited partnership, no share value is included as these investments are not unitized. |
37
TIFF Multi-Asset Fund / Schedule of Investments* | December 31, 2017 |
(h) | Restricted Securities. The following restricted securities were held by the fund as of December 31, 2017, and were valued in accordance with the Valuation of Investments as described in Note 2. Such securities generally may be sold only in a privately negotiated transaction with a limited number of purchasers. The fund will bear any costs incurred in connection with the disposition of such securities. The fund monitors the acquisition of restricted securities and, to the extent that a restricted security is illiquid, will limit the purchase of such a restricted security, together with other illiquid securities held by the fund, to no more than 15% of the fund’s net assets. All of the below securities are illiquid, with the exception of GSA Trend Fund, Ltd. and Canyon Value Realization Fund, LP. TIP’s valuation committee has deemed 10% of Canyon Value Realization Fund, LP to be illiquid in accordance with procedures approved by the TIP board of trustees. The below list does not include securities eligible for resale without registration pursuant to Rule 144A under the Securities Act of 1933 that may also be deemed restricted. |
Private Investment Funds | Investment Strategy | Date of Acquisition | Cost | Value | ||||||||||||
Adage Capital Partners, LP | US Equity | 07/01/16 | $ | 40,000,000 | $ | 53,294,090 | ||||||||||
Canyon Value Realization Fund, LP | Multi-Strategy | 12/31/97 – 04/03/06 | 23,797,936 | 90,102,053 | ||||||||||||
Convexity Capital Offshore, LP | Relative Value | 02/16/06 – 04/01/13 | 32,058,353 | 22,629,370 | ||||||||||||
Cumulus Fund, Ltd. | Macro Energy | 09/01/16 – 03/01/17 | 53,000,000 | 40,979,473 | ||||||||||||
Farallon Capital Institutional Partners, LP | Multi-Strategy | 01/01/13 | 2,525,747 | 3,405,870 | ||||||||||||
GSA Trend Fund, Ltd. | Trend Following | 09/01/16 – 12/01/16 | 55,000,000 | 52,137,201 | ||||||||||||
Honeycomb Partners, LP | Long-Short Global | 07/01/16 – 07/01/17 | 51,000,000 | 62,845,300 | ||||||||||||
Hudson Bay International, Ltd. | Relative Value | 07/01/14 | 22,501,946 | 24,545,917 | ||||||||||||
Lansdowne Developed Markets Fund, Ltd. | Long-Short Global | 06/01/06 – 04/01/13 | 67,833,553 | 103,535,686 | ||||||||||||
Latimer Light Partners, LP | Long-Short Global | 10/01/15 – 01/01/16 | 47,479,807 | 47,706,900 | ||||||||||||
Man AHL Short Term Trading Limited | Currency Trading | 08/01/16 | 20,000,000 | 20,399,958 | ||||||||||||
OZ Domestic Partners, LP | Multi-Strategy | 09/30/03 | 782,078 | 177,139 | ||||||||||||
QVT Roiv Hldgs Onshore, Ltd. | Multi-Strategy | 01/05/16 | 3,114,245 | 3,252,901 | ||||||||||||
Soroban Cayman Fund, Ltd. | Long-Short Global | 07/01/16 – 07/01/17 | 48,400,000 | 55,922,466 | ||||||||||||
Tessera Offshore Fund, Ltd. | Long-Short US Small-Cap | 01/01/17 | 25,000,000 | 27,021,945 | ||||||||||||
607,956,269 | ||||||||||||||||
Disputed Claims Receipt | ||||||||||||||||
AMR Corp. | 12/09/13 | — | 400,896 | |||||||||||||
Total (16.2% of Net Assets) | $ | 608,357,165 |
(i) | Treasury bills and discount notes do not pay interest, but rather are purchased at a discount and mature at the stated principal amount. |
(j) | Security or a portion thereof is pledged as collateral for forward currency contracts. |
(k) | Security or a portion thereof is held as initial margin for financial futures contracts. |
(l) | Security or a portion thereof is pledged as collateral for swap contracts. |
(m) | The net unrealized appreciation/depreciation amount represents appreciation/depreciation of the individual total return swaps underlying the MAF investment. |
(n) | The percent of net assets represents the net unrealized appreciation/depreciation of the individual underlying total return swaps as a percent of the ending notional amount of the MAF investment. |
(o) | These balances are predominantly comprised of cash and other immaterial income and expense accruals. |
(p) | These balances are predominantly comprised of cash, the remaining investment positions and immaterial income and expense accruals. |
See accompanying Notes to Financial Statements.
38
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39
TIFF Multi-Asset Fund |
Statement of Assets and Liabilities |
December 31, 2017 | ||||
Assets | ||||
Investments in securities, at value (cost: $3,145,870,948) | $ | 3,616,845,040 | ||
Repurchase agreements (cost: $235,473,211) | 235,473,211 | |||
Total investments (cost: $3,381,344,159) | 3,852,318,251 | |||
Cash denominated in foreign currencies (cost: $16,001,346) | 16,064,940 | |||
Receivables: | ||||
Investment securities sold | 53,777,397 | |||
Dividends and tax reclaims | 2,260,834 | |||
Interest | 780,920 | |||
Prepaid expenses | 85,803 | |||
Total Assets | 3,925,288,145 | |||
Liabilities | ||||
Cash overdraft | 67,376 | |||
Securities sold short, at value (proceeds: $73,442,149) | 76,732,852 | |||
Unrealized depreciation on forward currency contracts | 5,620,867 | |||
Unrealized depreciation on swap contracts | 638,513 | |||
Due to broker for futures variation margin | 132,912 | |||
Foreign currencies sold short, at value (proceeds $1,930) | 1,935 | |||
Payables: | ||||
Investment securities purchased | 30,550,051 | |||
Capital stock redeemed | 29,041,464 | |||
Distributions | 17,443,437 | |||
Money manager fees | 8,899,442 | |||
Investment advisory, administrative fees, and other fees to affiliates | 782,318 | |||
Fund administration fees | 744,365 | |||
Other accrued expense and liabilities | 570,176 | |||
Dividends and interest on securities sold short | 36,067 | |||
Total Liabilities | 171,261,775 | |||
Net Assets | $ | 3,754,026,370 | ||
Shares Outstanding (unlimited authorized shares, par value $0.001) | 258,353,337 | |||
Net Asset Value Per Share | $ | 14.53 | ||
Net Assets Consist of: | ||||
Capital stock | $ | 3,685,147,173 | ||
Distributions in excess of net investment income | (264,557,120 | ) | ||
Accumulated net realized loss on investments, derivatives, and foreign currencies | (127,389,204 | ) | ||
Net unrealized appreciation on investments, derivatives, and foreign currencies | 460,825,521 | |||
$ | 3,754,026,370 |
See accompanying Notes to Financial Statements.
40
TIFF Multi-Asset Fund |
Statement of Operations |
Year Ended December 31, 2017 | ||||
Investment Income | ||||
Dividends (net of foreign withholding taxes of $2,935,506) | $ | 44,928,230 | ||
Interest | 10,578,981 | |||
Other Income | 186,198 | |||
Total Investment Income | 55,693,409 | |||
Expenses | ||||
Money manager fees | 21,282,826 | |||
Investment advisory fees | 8,526,047 | |||
Fund administration fees | 4,872,238 | |||
Administrative fees | 791,783 | |||
Professional fees | 723,591 | |||
Chief compliance officer fees | 214,486 | |||
Dividends and interest | 196,249 | |||
Miscellaneous fees and other | 408,034 | |||
Total Expenses | 37,015,254 | |||
Net Investment Income | 18,678,155 | |||
Net Realized Gain (Loss) from: | ||||
Investments (net of foreign withholding taxes on capital gains of $927,093) | 289,311,504 | |||
Securities sold short | (1,117,763 | ) | ||
Swap contracts | 38,034,442 | |||
Financial futures contracts | 8,136,618 | |||
Forward currency contracts | (1,901,176 | ) | ||
Foreign currency-related transactions | (861,367 | ) | ||
Options written | 54,521 | |||
Net Realized Gain from Investments, Derivatives, and Foreign Currencies | 331,656,779 | |||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||
Investments | 320,315,694 | |||
Securities sold short | (3,290,703 | ) | ||
Swap contracts | 317,329 | |||
Financial futures contracts | (467,738 | ) | ||
Forward currency contracts | (6,370,251 | ) | ||
Foreign currency-related transactions | 736,644 | |||
Net Change in Unrealized Appreciation (Depreciation) on Investments, Derivatives, and Foreign Currencies | 311,240,975 | |||
Net Realized and Unrealized Gain on Investments, Derivatives, and Foreign Currencies | 642,897,754 | |||
Net Increase in Net Assets Resulting from Operations | $ | 661,575,909 |
See accompanying Notes to Financial Statements.
41
TIFF Multi-Asset Fund |
Statements of Changes in Net Assets |
Year Ended December 31, 2017 | Year Ended December 31, 2016 | |||||||
Increase (Decrease) in Net Assets From Operations | ||||||||
Net investment income | $ | 18,678,155 | $ | 30,932,614 | ||||
Net realized gain from investments, derivatives, and foreign currencies | 331,656,779 | 94,584,243 | ||||||
Net change in unrealized appreciation (depreciation) on investments, derivatives, and foreign currencies | 311,240,975 | 57,084,881 | ||||||
Net Increase in Net Assets Resulting from Operations | 661,575,909 | 182,601,738 | ||||||
Distributions | ||||||||
From net investment income | (173,381,717 | ) | (13,850,820 | ) | ||||
From net realized gains | (339,227,808 | ) | (87,100,676 | ) | ||||
Return of capital | — | (121,495,664 | ) | |||||
Decrease in Net Assets Resulting from Distributions | (512,609,525 | ) | (222,447,160 | ) | ||||
Capital Share Transactions | ||||||||
Proceeds from shares sold | 57,853,612 | 86,206,165 | ||||||
Proceeds from distributions reinvested | 460,965,773 | 115,173,284 | ||||||
Entry/exit fees | 5,145,526 | 4,779,031 | ||||||
Cost of shares redeemed | (1,045,883,458 | ) | (877,022,191 | ) | ||||
Net Decrease From Capital Share Transactions | (521,918,547 | ) | (670,863,711 | ) | ||||
Total Decrease in Net Assets | (372,952,163 | ) | (710,709,133 | ) | ||||
Net Assets | ||||||||
Beginning of year | 4,126,978,533 | 4,837,687,666 | ||||||
End of year | $ | 3,754,026,370 | $ | 4,126,978,533 | ||||
Including distributions in excess of net investment income | $ | (264,557,120 | ) | $ | (136,198,171 | ) | ||
Capital Share Transactions (in shares) | ||||||||
Shares sold | 3,768,150 | 6,007,010 | ||||||
Shares reinvested | 30,733,516 | 8,135,478 | ||||||
Shares redeemed | (68,487,106 | ) | (61,171,510 | ) | ||||
Net Decrease | (33,985,440 | ) | (47,029,022 | ) |
See accompanying Notes to Financial Statements.
42
TIFF Multi-Asset Fund |
Statement of Cash Flows |
Year Ended December 31, 2017 | ||||
Cash flows provided by (used in) operating activities | ||||
Net increase (decrease) in net assets resulting from operations | $ | 661,575,909 | ||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||
Investments purchased | (1,906,434,322 | ) | ||
Investments sold | 2,704,767,824 | |||
Purchases to cover securities sold short | (21,028,073 | ) | ||
Securities sold short | 93,352,459 | |||
(Purchase)/Sale of short term investments, net | 50,656,632 | |||
Amortization (accretion) of discount and premium, net | (3,504,677 | ) | ||
Change in unrealized depreciation on swap contracts | (317,329 | ) | ||
(Increase)/decrease in advance purchase of investments | 28,500,000 | |||
(Increase)/decrease in due from broker for futures variation margin | (144,408 | ) | ||
(Increase)/decrease in unrealized appreciation on forward currency contracts | 6,370,251 | |||
(Increase)/decrease in interest receivable | 252,101 | |||
(Increase)/decrease in receivable for dividends and tax reclaims | 1,292,494 | |||
(Increase)/decrease in prepaid expenses | 5,120 | |||
Increase/(decrease) in payable for foreign currencies sold short | 1,535 | |||
Increase/(decrease) in payable for money manager fees | (392,310 | ) | ||
Increase/(decrease) in dividends and interest for securities sold short | 36,067 | |||
Increase/(decrease) in payable for fund administration fees | (970,013 | ) | ||
Increase/(decrease) in other accrued expense and liabilities | (1,703,345 | ) | ||
Increase/(decrease) in payable for investment advisory, administrative fees, and other fees to affiliates | 1,658,886 | |||
Net realized (gain) loss from investments | (289,311,504 | ) | ||
Net realized (gain) loss from securities sold short | 1,117,763 | |||
Net change in unrealized (appreciation) depreciation on securities sold short | 3,290,703 | |||
Net change in unrealized (appreciation) depreciation on investments | (320,315,694 | ) | ||
Net cash provided by (used in) operating activities | 1,008,756,069 | |||
Cash flows provided by (used in) financing activities | ||||
Increase (decrease) in cash overdraft | (133,896 | ) | ||
Distributions paid to shareholders | (34,200,315 | ) | ||
Proceeds from shares sold | 58,224,060 | |||
Payment for shares redeemed | (1,027,933,008 | ) | ||
Net cash provided by (used in) financing activities | (1,004,043,159 | ) | ||
Net increase (decrease) in cash | 4,712,910 | |||
Cash at beginning of year | 11,352,030 | |||
Cash at end of year | $ | 16,064,940 | ||
Non cash financing activities not included herein consist of reinvestment of distributions of: | $ | 460,965,773 | ||
Interest paid: | $ | 30,242 |
See accompanying Notes to Financial Statements.
43
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2017 |
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, 2017, TIP consisted of two mutual funds, TIFF Multi-Asset Fund (“MAF” or the “fund”) and TIFF Short-Term Fund, each of which is diversified, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). The 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
Fair value is defined as the price that the fund could reasonably expect to receive upon selling an asset or pay to transfer a liability in a timely transaction to an independent buyer in the principal or most advantageous market for the asset or liability, respectively. A three-tier fair value hierarchy is utilized to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier fair value hierarchy of inputs is summarized in the three broad levels listed below.
Level 1 — quoted prices in active markets for identical assets and liabilities
Level 2 — other significant observable inputs (including quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 — significant unobservable inputs (including the fund’s own assumptions in determining the fair value of assets and liabilities)
The fund has established a pricing hierarchy to determine the order of pricing sources utilized in valuing its portfolio holdings. The pricing hierarchy has been approved by the TIP board of trustees (the “board”).
Generally, the following valuation policies are applied to securities for which market quotations are readily available. Securities listed on a securities exchange or traded on the National Association of Securities Dealers 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. The fund employs an international fair value pricing 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 TIP Valuation Committee believes that a particular event would materially affect net asset value, further adjustment is considered. Securities which use the international pricing model are typically categorized as Level 2 for the fair value hierarchy and securities that do not use the international pricing model are typically categorized as Level 1.
44
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2017 |
Debt securities are valued at prices that reflect broker/dealer-supplied valuations or are obtained from independent pricing services, which consider such factors as security prices, yields, maturities, and ratings, and are deemed representative of market values at the close of the market. Debt securities valuations are typically categorized as Level 2 for the fair value hierarchy.
Over-the-counter (“OTC”) stocks not quoted on NASDAQ and foreign stocks that are traded OTC are normally valued at prices supplied by independent pricing services if those prices are deemed representative of market values at the close of the first session of the New York Stock Exchange and are typically categorized as Level 2 in the valuation hierarchy.
Short-term debt securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates fair value, and short-term debt securities having a remaining maturity of greater than 60 days are valued at their market value. Short-term debt securities, which include repurchase agreements and US Treasury Bills, are typically categorized as Level 2 in the fair value hierarchy.
Exchange-traded 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). Exchange-traded contracts are typically categorized as Level 1 in the fair value hierarchy and OTC options and futures contracts are typically categorized as Level 2 in the fair value hierarchy.
Forward foreign currency contracts are valued at their respective fair market values and are typically categorized as Level 2 in the fair value hierarchy.
Investments in other open-end funds or trusts are valued at their closing net asset value per share on valuation date, which represents their redeemable value and are typically categorized as Level 1 in the fair value hierarchy.
MAF invests in private investment funds that pursue certain alternative investment strategies. Private investment fund interests held by MAF are generally securities for which market quotations are not readily available. Rather, such interests generally can be sold back to the private investment fund only at specified intervals or on specified dates. The board has approved valuation procedures pursuant to which MAF values its interests in private investment funds at “fair value.” MAF determines the fair value of that private investment fund based on the most recent estimated value provided by the management of the private investment fund, as well as any other relevant information reasonably available at the time MAF values its portfolio including, for example, total returns of indices or exchange-traded funds that track markets to which the private investment fund may be exposed. The fair values of the private investment funds are based on available information and do not necessarily represent the amounts that might ultimately be realized, which depend on future circumstances and cannot be reasonably determined until the investment is actually liquidated. Fair value is intended to represent a good faith approximation of the amount that MAF could reasonably expect to receive from the private investment fund if MAF’s interest in the private investment fund was sold at the time of valuation, based on information reasonably available at the time valuation is made and that MAF believes is reliable. Private investment fund valuations are categorized as Level 3 in the valuation hierarchy.
45
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2017 |
The following is a summary of the inputs used as of December 31, 2017 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*+ | $ | 942,362,854 | $ | 1,180,239,628 | $ | 143,865 | $ | 2,122,746,347 | |||||||||
Participation Notes* | — | 20,673,678 | — | 20,673,678 | |||||||||||||
Rights* | — | 818 | — | 818 | |||||||||||||
Warrants* | 3,869,764 | 37,955 | — | 3,907,719 | |||||||||||||
Convertible Bonds | — | 98,507 | — | 98,507 | |||||||||||||
US Treasury Bonds/Notes | — | 309,347,531 | — | 309,347,531 | |||||||||||||
Exchange-Traded Funds | 83,050,327 | — | — | 83,050,327 | |||||||||||||
Private Investment Funds | — | — | 607,956,269 | 607,956,269 | |||||||||||||
Publicly Traded Limited Partnerships | 1,352,584 | — | — | 1,352,584 | |||||||||||||
Preferred Stocks* | — | 9,070,639 | — | 9,070,639 | |||||||||||||
Purchased Options | 285,670 | — | — | 285,670 | |||||||||||||
Disputed Claims Receipt | — | — | 400,896 | 400,896 | |||||||||||||
Short-Term Investments | — | 693,427,266 | — | 693,427,266 | |||||||||||||
Total Investments in Securities | 1,030,921,199 | 2,212,896,022 | 608,501,030 | 3,852,318,251 | |||||||||||||
Total Assets | $1,030,921,199 | $2,212,896,022 | $608,501,030 | $3,852,318,251 | |||||||||||||
Liabilities | |||||||||||||||||
Common Stocks Sold Short* | $ | (46,130,819 | ) | $ | (30,601,460 | ) | $ | — | $ | (76,732,279 | ) | ||||||
Rights Sold Short* | — | (573 | ) | — | (573 | ) | |||||||||||
Total Securities Sold Short | (46,130,819 | ) | (30,602,033 | ) | — | (76,732,852 | ) | ||||||||||
Financial Futures Contracts – Equity Risk | (385,839 | ) | — | — | (385,839 | ) | |||||||||||
Financial Futures Contracts – Foreign Currency Risk | (37,995 | ) | — | — | (37,995 | ) | |||||||||||
Forward Currency Contracts – Foreign Currency Risk | — | (5,620,867 | ) | — | (5,620,867 | ) | |||||||||||
Swap Contracts – Equity Risk | — | — | (638,513 | ) | (638,513 | ) | |||||||||||
Total Other Financial Instruments | (423,834 | ) | (5,620,867 | ) | (638,513 | ) | (6,683,214 | ) | |||||||||
Total Liabilities | $(46,554,653 | ) | $(36,222,900 | ) | $(638,513 | ) | $(83,416,066 | ) |
* | Securities categorized as Level 2 primarily include listed foreign equities whose value has been adjusted with factors to reflect changes to foreign markets after market close. |
+ | There are securities in this category that have a market value of zero and are categorized as Level 3. |
During the year ended December 31, 2017, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the fund. This does not include transfers between Level 1 investments and Level 2 investments due to the fund utilizing international fair value pricing during the period. In accordance with the fair valuation procedures described earlier within Note 1, international fair value pricing of securities occurs on certain portfolio securities when available. International fair value pricing uses other observable market-based inputs in place of the closing exchange price due to the events occurring after the close of the exchange or market on which the investment is principally traded, causing a change in classification between levels. The fund recognizes transfers into and transfers out of the valuation levels at the beginning of the reporting period.
46
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2017 |
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, 2016 | 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, 2017 | Net Change in Unrealized Appreciation (Depreciation) from Investments still held as of 12/31/17 for the period ended 12/31/17 | |||||||||||||||||||||||||||
Common Stocks* | $ | — | $ | — | $ | (217,092 | ) | $ | — | $ | — | $ | 360,957 | $ | — | $ | 143,865 | $ | (217,092 | ) | ||||||||||||||||
Disputed Claims Receipt | 471,183 | — | (70,287 | ) | — | — | — | — | 400,896 | (70,287 | ) | |||||||||||||||||||||||||
Private Investment Funds | 608,111,181 | 22,107,519 | 33,161,263 | 89,900,000 | (145,323,694 | ) | — | — | 607,956,269 | 33,161,263 | ||||||||||||||||||||||||||
Swap Contracts | (955,842 | ) | 38,034,442 | 317,329 | 10,877,611,060 | (10,915,645,502 | ) | — | — | (638,513 | ) | 4,544,838 | ||||||||||||||||||||||||
Total | $607,626,522 | $60,141,961 | $33,191,213 | $10,967,511,060 | $(11,060,969,196 | ) | $360,957 | $— | $607,862,517 | $37,418,722 |
* | There are Common Stocks categorized as Level 3 that have a market value of zero. |
Securities designated as Level 3 in the fair value hierarchy are valued using methodologies and procedures established by the board, and the TIP Valuation Committee, which was established to serve as an agent of the board. Management is responsible for the execution of these valuation procedures. Transfers to/from, or additions to, Level 3 require a determination of the valuation methodology, including the use of unobservable inputs, by the TIP Valuation Committee.
The TIP Valuation Committee meets no less than quarterly to review the methodologies and significant unobservable inputs currently in use, and to adjust the pricing models as necessary. Any adjustments to the pricing models are documented in the minutes of the TIP Valuation Committee meetings, which are provided to the board on a quarterly basis.
The following is a summary of the procedures and significant unobservable inputs used in Level 3 investments:
Common Stocks and Disputed Claims Receipt. Securities for which market quotations are not readily available or for which available prices are deemed unreliable are valued at their fair value as determined in good faith under procedures established by the board. Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security. On a quarterly basis, the TIP Valuation Committee reviews the valuations in light of current information available about the issuer, security, or market trends to adjust the pricing models, if deemed necessary.
Swap Contracts. The swap contracts held expose MAF to the returns, either positive or negative, of special purpose vehicles (“SPVs”) that hold actively managed portfolios of marketable investments. The SPVs were created by Morgan Stanley Capital Services LLC, the swap counterparty, and are valued daily by the administrators of the SPVs based on the value of the assets held by the SPVs. Although independently received on a daily basis, the fund does not have the transparency to view the underlying inputs which support the value. Significant changes in the value would have direct and proportional changes in the fair value of the security. There is a third-party pricing exception to the quantitative disclosure requirement when prices are not determined by the reporting entity. The fund is exercising this exception and has made a reasonable attempt to obtain quantitative information from the third-party pricing vendors regarding the unobservable inputs used.
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.
47
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2017 |
The valuation techniques and significant observable inputs used in recurring Level 3 fair value measurements of assets were as follows:
As of December 31, 2017 | Fair Value | Valuation Methodology | Significant Unobservable Inputs | Range | Weighted Average | |||||||||||||||
Common Stocks | $ | 143,865 | Last market price | Discount(%) | 50% – 100% | 63.42% | ||||||||||||||
Disputed Claims Receipt | 400,896 | Corporate action model | Future claim awards | 4.01% | 4.01% | |||||||||||||||
Private Investment Funds | 607,956,269 | Adjusted net asset value | Manager estimated returns | (1.40)% – 3.99% | 1.20% | |||||||||||||||
Market returns* | (0.97)% – 0.54% | (0.12)% |
* | Weighted by estimated exposure to chosen indices or exchange-traded funds. |
The following are descriptions of the sensitivity of the Level 3 recurring fair value measurements to changes in the significant unobservable inputs presented in the table above:
Common Stocks and Disputed Claims Receipt. The chart above reflects the methodology and significant unobservable inputs of securities held at period ended December 31, 2017. The discount and estimate of future claims 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 or estimate of future claims 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 ended December 31, 2017. A significant increase (decrease) in the estimates received from the manager of the private investment funds would result in a significantly higher(lower) fair value measurement. A significant increase (decrease) in the market return weighted by estimated exposures to chosen indices would result in a significantly higher 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 | ||||||||||
US Equity (a) | $ | 53,294,090 | quarterly | 60 days | ||||||||
Multi-Strategy (b) | 96,937,963 | daily (93%) | 2 days | |||||||||
Long-Short Global (c) | 270,010,352 | monthly (38%), quarterly (44%), 3 year rolling (18%) | 45 – 90 days | |||||||||
Relative Value (d) | 47,175,287 | quarterly | 65 – 90 days | |||||||||
Macro Energy (e) | 40,979,473 | monthly | 30 days | |||||||||
Trend Following (f) | 52,137,201 | daily | 2 days | |||||||||
Currency Trading (g) | 20,399,958 | daily | 30 days | |||||||||
Long-Short US Small-Cap (h) | 27,021,945 | quarterly | 45 days | |||||||||
Total | $ | 607,956,269 |
(a) | This strategy primarily comprises long positions in US common stock. |
(b) | This strategy primarily comprises capital allocated to various strategies based on risk and return profiles. This strategy includes $6,835,910 of redemption residuals. |
(c) | This strategy primarily comprises long and short positions in global common stocks. |
(d) | This strategy primarily seeks to exploit price differences between similar securities through both long and short positions. |
(e) | This strategy primarily comprises long and short positions in commodity related instruments, with a key input being weather forecasts. |
(f) | This strategy primarily comprises long and short investments in commodity, equity index, currency, and fixed income futures, based on trailing price movements. |
(g) | This strategy primarily comprises long and short positions in currency pairs. |
(h) | This strategy primarily comprises long and short positions in in US small-cap common stocks. |
48
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2017 |
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, 2014 - December 31, 2017), 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.
Dividends from net short-term capital gains and net long-term capital gains of the fund, if any, are normally declared and paid in December, but the fund may make distributions on a more frequent basis in accordance with the distribution requirements of the Code. To the extent that a net realized capital gain could be reduced by a capital loss carryover, such gain will not be distributed. Dividends and distributions are recorded on the ex-dividend date.
Foreign Currency Translation
The books and records of the fund are maintained in US dollars. Foreign currency amounts are translated into US dollars on the following basis:
(i) | the foreign currency value of investments and other assets and liabilities denominated in foreign currency are translated into US dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date; |
(ii) | purchases and sales of investments, income, and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. |
The resulting net realized and unrealized foreign currency gain or loss is included in the Statement of Operations.
The fund does not generally isolate that portion of the results of operations arising as a result of changes in the foreign currency exchange rates from the fluctuations arising from changes in the market prices of securities. Accordingly, such foreign currency gain (loss) is included in net realized and unrealized gain (loss) on investments. However, the fund does isolate the effect of fluctuations in foreign exchange rates when determining the gain or loss upon the sale or maturity of foreign-currency denominated debt obligations pursuant to US federal income tax regulations; such an amount is categorized as foreign currency gain or loss for income tax reporting purposes.
49
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2017 |
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, 2017, the fund invested in derivatives, such as but not limited to futures, currency forwards, purchased and written options, and total return swaps for hedging, liquidity, index exposure, and active management strategies. Derivatives are used for “hedging” when TIFF Advisory Services, Inc. (“TAS”) or a money manager seeks to protect the fund’s investments from a decline in value. Derivative strategies are also used when TAS or a money manager seeks to increase liquidity, implement a cash management strategy, invest in a particular stock, bond or segment of the market in a more efficient or less expensive way, modify the effective duration of the fund’s portfolio investments and/or for purposes of total return. Depending on the purpose for which the derivative instruments are being used, the successful use of derivative instruments may depend on, among other factors, TAS’s or the money manager’s general understanding of how derivative instruments act in relation to referenced securities or markets but also on market conditions, which are out of control of TAS or the money manager.
Cover for Strategies Using Derivative Instruments
Transactions using derivative instruments, including futures contracts, written options and swaps, expose the fund to an obligation to another party and may give rise to a form of leverage. It is the fund’s policy to segregate assets to cover derivative transactions that might be deemed to create leverage under Section 18 of the 1940 Act. In that regard, the fund will not enter into any such transactions unless it has covered such transactions by owning and segregating either (1) an offsetting (“covered”) position in securities, currencies, or other derivative instruments or (2) cash and/or liquid securities with a value sufficient at all times to cover its potential obligations to the extent not covered as provided in (1) above. When the fund is required to segregate cash or liquid securities, it will instruct its custodian as to which cash holdings or liquid assets are to be marked on the books of the fund or its custodian as segregated for purposes of Section 18 of the 1940 Act. The fund will monitor the amount of these segregated assets on a daily basis and will not enter into additional transactions that would require the segregation of cash or liquid securities unless the fund holds a sufficient amount of cash or liquid securities that can be segregated.
Financial Futures Contracts
The fund may use futures contracts, generally in one of three ways: (1) to gain exposures, both long and short, to the total returns of broad equity indices, globally; (2) to gain exposures, both long and short, to the returns of non-dollar currencies relative to the US dollar; and (3) to manage the duration of the fund’s fixed income holdings to targeted levels.
Futures contracts involve varying degrees of risk. Such risks include the imperfect correlation between the price of a derivative and that of the underlying security and the possibility of an illiquid secondary market for these securities. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instrument at a set price for delivery at a future date. At the time a futures contract is purchased or sold, the fund must allocate cash or securities as a deposit payment (“initial margin”). An outstanding futures contract is valued daily, and the payment in cash of “variation margin” will be required, a process known as “marking to the market.” Each day, the fund will be required to provide (or will be entitled to receive) variation margin in an amount equal to any decline (in the case of a long futures position) or increase (in the case of a short futures position) in the contract’s value since the preceding day. The daily variation margin is recorded as a receivable or payable on the Statement of Assets and Liabilities. When the contracts are closed, a realized gain or loss is recorded as net realized gain (loss) from financial futures contracts in the Statement of Operations, equal to the difference between the opening and closing values of the contracts.
50
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2017 |
US futures contracts have been designed by exchanges that have been designated as “contract markets” by the Commodity Futures Trading Commission and such contracts must be executed through a futures commission merchant or brokerage firm that is a member of the relevant contract market. Futures contracts may trade on a number of exchange markets, and through their clearing corporations, the exchanges guarantee performance of the contracts as between the clearing members of the exchange, thereby reducing the risk of counterparty default. Securities designated as collateral for market value on futures contracts are noted in the Schedule of Investments.
Swap Contracts
The fund may use swaps and generally uses them in the following ways: (1) to gain exposures, both long and short, to the total returns of broad equity indices; (2) to gain exposure, both long and short, to the total returns of individual stocks and bonds; and (3) to gain long-term exposures to the total returns of selected investment strategies. While swaps falling into the first and third categories are often held for multiple quarters, if not years, swaps in the second category can at times be held for shorter time periods or adjusted frequently based on the managers’ evolving views of the expected risk/reward of the trade.
The fund maintained six swap contracts in order to indirectly gain exposure to the investment strategies of selected investment advisors. With Morgan Stanley Capital Services LLC as the counterparty, MAF entered into a total return swap with respect to each investment strategy to which it sought exposure. Under each swap, MAF receives the return (or pays, if the return is negative) of a special purpose vehicle that invests in accordance with the applicable strategy and pays one-month Libor + an additional interest rate. The six strategies held at year end are described below.
KCP Long Segregated Portfolio:
The typical portfolio construction is a US focused long portfolio. The long portfolio is passive equity exposure (primarily S&P 500, S&P Midcap 400, and Russell 2000).
KCP Short Segregated Portfolio:
The typical portfolio construction is a US focused short portfolio with specific positions selected by the manager.
KGCP Long Segregated Portfolio:
The typical portfolio construction is a global focused long portfolio. The long portfolio is passive equity exposure (primarily MSCI ACWI and MSCI USA).
KGCP Short Segregated Portfolio:
The typical portfolio construction is a global focused short portfolio with specific positions selected by the manager.
Welton Nexus Segregated Portfolio:
The typical portfolio construction is a market neutral statistical arbitrage strategy in which computers attempt to identify and take advantage of small mispricings between stocks across North America and Europe.
Clinton Quantitative Segregated Portfolio:
The typical portfolio construction is a market neutral statistical arbitrage strategy in which computers attempt to identify and take advantage of small mispricings between stocks across North America, Latin America, Europe and Asia.
Generally, swap agreements are contracts between a fund and another party (the swap counterparty) involving the exchange of payments on specified terms over periods ranging from a few days to multiple years. A swap agreement may be negotiated bilaterally and traded OTC between the two parties (for an uncleared swap) or, in some instances, must be transacted through a Futures Commission Merchant and cleared through a clearinghouse that serves as a central counterparty (for a cleared swap). In a basic swap transaction, the fund agrees with the swap counterparty to exchange the returns (or differentials in rates of return) and/or cash flows earned or realized on a particular “notional amount” or value of predetermined underlying reference instruments. The notional amount is the set dollar or other value selected by the parties to use as the basis on which to calculate the obligations that the parties to a swap agreement have agreed to exchange. The parties typically do not actually exchange the notional amount. Instead they agree to exchange the returns that would be earned or realized if the notional amount were invested in given investments or at given interest rates. Examples of returns that may be exchanged in a swap agreement are those of a particular security, a particular fixed or variable interest rate, a particular non-US currency, or a “basket” of securities representing a particular index or portfolio of securities and other instruments. Swaps can also be based on credit and other events.
A fund will generally enter into swap agreements on a net basis, which means that the two payment streams that are to be made by the fund and its counterparty with respect to a particular swap agreement are netted out, with the fund receiving or paying, as the case may be, only the net difference in the two payments. The fund’s obligations (or rights) under a swap
51
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2017 |
agreement that is entered into on a net basis will generally be the net amount to be paid or received under the agreement based on the relative values of the obligations of each party upon termination of the agreement or at set valuation dates. The fund will accrue its obligations under a swap agreement daily (offset by any amounts the counterparty owes the fund). If the swap agreement does not provide for that type of netting, the full amount of the fund’s obligations will be accrued on a daily basis.
Cleared swaps are subject to mandatory central clearing. Central clearing is designed to reduce counterparty credit risk and increase liquidity compared to bilateral swaps because central clearing interposes the central clearinghouse as the counterparty to each participant’s swap, but it does not eliminate those risks completely and may involve additional costs and risks not involved with uncleared swaps.
Upon entering into a swap agreement, the fund may be required to pledge to the swap counterparty an amount of cash and/or other assets equal to the total net amount (if any) that would be payable by the fund to the counterparty if the swap were terminated on the date in question, including any early termination payments. In certain circumstances, the fund may be required to pledge an additional amount, known as an independent amount, which is typically equal to a specified percentage of the notional amount of the trade. In some instances, the independent amount can be a significant percentage of the notional amount. Likewise, the counterparty may be required to pledge cash or other assets to cover its obligations to the fund, net of the independent amount, if any. However, the amount pledged may not always be equal to or more than the amount due to the other party. Therefore, if a counterparty defaults in its obligations to the fund, the amount pledged by the counterparty and available to the fund may not be sufficient to cover all the amounts due to the fund and the fund may sustain a loss. Other risks may apply if an independent amount has been posted.
The fund records a net receivable or payable for the amount expected to be received or paid in the period. Fluctuations in the value of swap contracts are recorded for financial statement purposes as unrealized appreciation (depreciation) on investments. The swap is valued at fair market value as determined by valuation models developed and approved in accordance with the fund’s valuation procedures. In addition, the fund could be exposed to risk if the counterparties are unable to meet the terms of the contract or if the value of foreign currencies change unfavorably to the US dollar.
Options
The fund generally uses options to hedge a portion (but not all) of the downside risk in its long or short equity positions and also opportunistically to generate total returns. The fund may also engage in writing options, for example, to express a long view on a security. When writing a put option, the risk to the fund is equal to the notional value of the position.
Generally, an option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy a specified security, currency or other instrument (an “underlying instrument”) from the writer of the option (in the case of a call option), or to sell a specified security, currency, or other instrument to the writer of the option (in the case of a put option) at a designated price during the term of the option or at the expiration date of the option. Put and call options that the fund purchases may be traded on a national securities exchange or in the OTC market. All option positions entered into on a national securities exchange are cleared and guaranteed by the Options Clearing Corporation, thereby reducing the risk of counterparty default. There can be no assurance that a liquid secondary market will exist for any option purchased.
As the buyer of a call option, the fund has a right to buy the underlying instrument (e.g., a security) at the exercise price at any time during the option period (for American style options) or at the expiration date (for European style options). The fund may enter into closing sale transactions with respect to call options, exercise them, or permit them to expire unexercised. As the buyer of a put option, the fund has the right to sell the underlying instrument at the exercise price at any time during the option period (for American style options) or at the expiration date (for European style options). Like a call option, the fund may enter into closing sale transactions with respect to put options, exercise them or permit them to expire unexercised. When buying options, the fund’s potential loss is limited to the cost (premium plus transaction costs) of the option.
As the writer of a put option, the fund retains the risk of loss should the underlying instrument decline in value. If the value of the underlying instrument declines below the exercise price of the put option and the put option is exercised, the fund, as the writer of the put option, will be required to buy the instrument at the exercise price. The fund will incur a loss to the extent that the current market value of the underlying instrument is less than the exercise price of the put option net of the premium received by the fund for the sale of the put option. If a put option written by the fund expires unexercised, the fund will realize a gain in the amount of the premium received. As the writer of a put option, the fund may be required to pledge cash and/or other liquid assets at least equal to the value of the fund’s obligation under the written put.
52
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2017 |
The fund may write “covered” call options, meaning that the fund owns the underlying instrument that is subject to the call, or has cash and/or liquid securities with a value at all times sufficient to cover its potential obligations under the option. When the fund writes a covered call option covered by the underlying instrument that is subject to the call, the underlying instruments that are held by the fund and are subject to the call option will be earmarked as segregated on the books of the fund or the fund’s custodian. A fund will be unable to sell the underlying instruments that are subject to the written call option until it either effects a closing transaction with respect to the written call, or otherwise satisfies the conditions for release of the underlying instruments from segregation, for example, by segregating sufficient cash and/or liquid assets necessary to enable the fund to purchase the underlying instrument in the event the call option is exercised by the buyer.
When the fund writes an option, an amount equal to the premium received by the fund is included in the fund’s Statement of Assets and Liabilities as a liability and subsequently marked to market to reflect the current value of the option written. These contracts may also involve market risk in excess of the amounts stated in the Statement of Assets and Liabilities. In addition, the fund could be exposed to risk if the counter-parties are unable to meet the terms of the contract or if the value of foreign currencies change unfavorably to the US dollar. The current market value of a written option is the last sale price on the market on which it is principally traded. If the written option expires unexercised, the fund realizes a gain in the amount of the premium received. If the fund enters into a closing transaction, it recognizes a gain or loss, depending on whether the cost of the purchase is less than or greater than the premium received.
Forward Currency Contracts
At times, the fund enters into forward currency contracts to manage the foreign currency exchange risk to which it is subject in the normal course of pursuing international investment objectives. The primary objective of such transactions is to protect (hedge) against a decrease in the US dollar equivalent value of its foreign securities or the payments thereon that may result from an adverse change in foreign currency exchange rates in advance of pending transaction settlements.
A forward currency contract is an agreement between two parties to buy or sell a specific currency for another at a set price on a future date, which is individually negotiated and privately traded by currency traders and their customers in the interbank market. The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. Forward currency contracts are marked-to-market daily, and the change in value is recorded by the fund as an unrealized gain or loss. The fund may either exchange the currencies specified at the maturity of a forward contract or, prior to maturity, enter into a closing transaction involving the purchase or sale of an offsetting forward contract. Closing transactions with respect to forward contracts are usually performed with the counterparty to the original forward contract. The gain or loss arising from the difference between the US dollar cost of the original contract and the value of the foreign currency in US dollars upon closing a contract is included in net realized gain (loss) from forward currency contracts on the Statement of Operations. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the fund’s Statement of Assets and Liabilities. In addition, the fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the US dollar.
Forward currency contracts held by the fund are fully collateralized by other securities, as disclosed in the accompanying Schedule of Investments. The collateral is evaluated daily to ensure its market value equals or exceeds the current market value of the corresponding forward currency contracts.
Short Selling
At times, the fund sells securities it does not own in anticipation of a decline in the market price of such securities or in order to hedge portfolio positions. The fund generally will borrow the security sold in order to make delivery to the buyer. Upon entering into a short position, the fund records the proceeds as a deposit with broker for securities sold short in its Statement of Assets and Liabilities and establishes an offsetting liability for the securities or foreign currencies sold under the short sale agreement. The cash is retained by the fund’s broker as collateral for the short position. The fund must also post an additional amount of margin of 50% of the value of the short sale. Additional margin may be required as the value of the borrowed security fluctuates. The liability is marked-to-market while it remains open to reflect the current settlement obligation. Until the security or currency is replaced, the fund is required to pay the lender any dividend or interest earned. Such payments are recorded as expenses to the fund. When a closing purchase is entered into by the fund, a gain or loss equal to the difference between the proceeds originally received and the purchase cost is recorded in the Statement of Operations.
In “short selling,” the fund sells borrowed securities or currencies which must at some date be repurchased and returned to the lender. If the market value of securities or currencies sold short increases, the fund may realize losses upon repurchase in amounts which may exceed the liability on the Statement of Assets and Liabilities. Further, in unusual circumstances, the fund may be unable to repurchase securities to close its short position except at prices significantly above those previously quoted in the market.
53
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2017 |
Interest Only Securities
The fund may invest 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, 2017, the fund’s derivative assets and liabilities (by contract type) are as follows:
Assets | Liabilities | |||||||
Derivative Financial Instruments: | ||||||||
Purchased Options | $ | 285,670 | $ | — | ||||
Swap Contracts | — | (638,513 | ) | |||||
Forward Currency Contracts | — | (5,620,867 | ) | |||||
Futures Contracts | — | (423,834 | ) | |||||
Total derivative assets and liabilities | 285,670 | (6,683,214 | ) | |||||
Derivatives not subject to a netting provision or similar arrangement | 285,670 | (423,834 | ) | |||||
Total assets and liabilities subject to a netting provision or similar arrangement | $ | — | $ | (6,259,380 | ) |
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, 2017:
Counterparty | Derivative Liabilities Subject to a Netting Provision or Similar Arrangement | Derivatives Available for Offset | Collateral Pledged | Net Amount | ||||||||||||
Forward Currency Contracts | ||||||||||||||||
Barclays Bank plc | $ | (483,597 | ) | $ | — | $ | 269,741 | $ | (213,856 | ) | ||||||
Goldman Sachs International | (5,137,270 | ) | — | 4,562,646 | (574,624 | ) | ||||||||||
Swap Contracts | ||||||||||||||||
Morgan Stanley Capital Services LLC | (638,513 | ) | — | 638,513 | — | |||||||||||
Total | $ | (6,259,380 | ) | $ | — | $ | 5,470,900 | $ | (788,480 | ) |
54
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2017 |
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, 2017. These derivatives are not accounted for as hedging instruments.
The following table lists the fair values of the fund’s derivative holdings as of December 31, 2017, grouped by contract type and risk exposure category:
Derivative Type | Statement of Assets and Liability and Location | Foreign Currency Risk | Quarterly Average %** | Equity Risk | Quarterly Average %** | Total | |||||||||||||||||||
Asset Derivatives | |||||||||||||||||||||||||
Purchased Options | Investments in securities, at value | $ | — | — | % | $ | 285,670 | 0.02 | % | $ | 285,670 | ||||||||||||||
Swap Contracts | Unrealized appreciation on swap contracts | — | — | % | — | 0.08 | % | — | |||||||||||||||||
Financial Futures Contracts | Due from broker for futures variation margin* | — | 0.03 | % | — | 0.01 | % | — | |||||||||||||||||
Total Value – Assets | $— | $285,670 | $285,670 | ||||||||||||||||||||||
Liability Derivatives | |||||||||||||||||||||||||
Swap Contracts | Unrealized depreciation on swap contracts | $ | — | — | % | $ | (638,513 | ) | 0.08 | % | $ | (638,513 | ) | ||||||||||||
Forward Currency Contracts | Unrealized depreciation on forward currency contracts | (5,620,867 | ) | 0.07 | % | — | — | % | (5,620,867 | ) | |||||||||||||||
Financial Futures Contracts | Due to broker for futures variation margin* | (37,995 | ) | 0.02 | % | (385,839 | ) | 0.01 | % | (423,834 | ) | ||||||||||||||
Total Value – Liabilities | $(5,658,862 | ) | $(1,024,352 | ) | $(6,683,214 | ) |
* | Includes appreciation (depreciation) on the date the contracts are opened through December 31, 2017. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
** | The Quarterly Average% is a representation of the volume of derivative activity. Quarterly Average% was calculated as follows: At each quarter end from and including December 31, 2016 to and including December 31, 2017, the applicable fair value amount was divided by net assets to derive a percentage of net assets for each quarter end. The Quarterly Average% amount represents the average of these five percentages. |
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, 2017, grouped by contract type and risk exposure category.
Derivative Type | Statement of Operations Location | Foreign Currency Risk | Equity Risk | Total | |||||||||||||
Realized Gain (Loss) | |||||||||||||||||
Purchased Options | Net realized gain (loss) from Investments | $ | — | $ | (8,896,744 | ) | $ | (8,896,744 | ) | ||||||||
Written Options | Net realized gain (loss) from Options written | — | 54,521 | 54,521 | |||||||||||||
Swap Contracts | Net realized gain (loss) from Swaps contracts | — | 38,034,442 | 38,034,442 | |||||||||||||
Forward Currency Contracts | Net realized gain (loss) from Forward currency contracts | (1,901,176 | ) | — | (1,901,176 | ) | |||||||||||
Financial Futures Contracts | Net realized gain (loss) from Financial futures contracts | (766,573 | ) | 8,903,191 | 8,136,618 | ||||||||||||
Total Realized Gain (Loss) | $(2,667,749 | ) | $38,095,410 | $35,427,661 |
55
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2017 |
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, 2017, grouped by contract type and risk exposure category.
Derivative Type | Statement of Operations Location | Foreign Currency Risk | Equity Risk | Total | |||||||||||||
Change in Appreciation (Depreciation) | |||||||||||||||||
Purchased Options | Net Change in Unrealized Appreciation (Depreciation) on Investments | $ | — | $ | (2,072,649 | ) | $ | (2,072,649 | ) | ||||||||
Swap Contracts | Net Change in Unrealized Appreciation (Depreciation) on Swap contracts | — | 317,329 | 317,329 | |||||||||||||
Forward Currency Contracts | Net Change in Unrealized Appreciation (Depreciation) on Forward currency contracts | (6,370,251 | ) | — | (6,370,251 | ) | |||||||||||
Financial Futures Contracts | Net Change in Unrealized Appreciation (Depreciation) on Financial futures contracts | (916,331 | ) | 448,593 | (467,738 | ) | |||||||||||
Total Change in Appreciation (Depreciation) | $(7,286,582 | ) | $(1,306,727 | ) | $(8,593,309 | ) |
4. Investment Advisory Agreement, Money Manager Agreements, and Other Transactions with Affiliates
TIP’s board has approved an investment advisory agreement for the fund with TAS, an affiliate of TIP. 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 | % |
Fees for such services paid to TAS by the fund are reflected as investment advisory fees on the Statement of Operations. As of December 31, 2017, $705,029 remained payable and reflected as investment advisory, administrative fees, and other fees to affiliates on the Statement of Assets and Liabilities.
TIP’s board has approved money manager agreements with each of the money managers. Certain money managers will receive fees based in whole or in part 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, 2017 were as follows:
Assets-Based Schedules [a] All paid Monthly | ||||||||||||
Money Manager/Strategy | Minimum | Maximum | Breakpoints | |||||||||
Amundi Pioneer Institutional Asset Management, Inc. – Beta | 0.02 | % | 0.03 | % | YES | |||||||
Fundsmith, LLP | 0.90 | % | — | NO | ||||||||
Green Court Capital Management Limited | 0.60 | % | 0.90 | % | YES | |||||||
Lansdowne Partners (UK) LLP | 0.80 | % | — | NO | ||||||||
Mondrian Investment Partners Limited* | 0.30 | % | 0.43 | % | YES |
Fulcrum Fee Schedules [b] All paid Monthly | ||||||||||||||||||||
Money Manager/Strategy | Floor | Cap | Fulcrum Fee | Benchmark | Excess Return to Achieve Fulcrum fee | |||||||||||||||
AJO, LP – Domestic Large Cap | 0.10 | % | 0.50 | % | 0.30 | % | S&P 500 Index | 2.00 | % | |||||||||||
Marathon Asset Management, LLP – Europe, Australasia, Far East (“EAFE”) | 0.15 | % | 1.60 | % | 0.88 | % | MSCI EAFE Index | 4.24 | % | |||||||||||
Shapiro Capital Management LLC | 0.50 | % | 0.95 | % | 0.73 | % | Russell 2000 Index | 3.25 | % |
56
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2017 |
Blended Asset-Based and Performance-Based Fee Schedules [c] | ||||||||||||||||||||||||||||||||
Asset-Based Portion – All Paid Monthly | Performance-Based Portion – All Paid Annually | |||||||||||||||||||||||||||||||
Money Manager/Strategy | Minimum | Maximum | Breakpoints | Benchmark/Hurdle | Performance Fee | Performance Measurement Period | High Water Mark | Cap | ||||||||||||||||||||||||
AJO, LP – Emerging Markets | — | — | — | MSCI Emerging Markets Small Cap Index (net) | 20.2 | %ˆ | Rolling 60 months | NO | 1.615%xANA | |||||||||||||||||||||||
AQR Capital Management – EAFE | 0.30 | % | — | NO | MSCI EAFE Index (net) | 17 | % | Calendar year | NO | NO | ||||||||||||||||||||||
AQR Capital Management – US | 0.20 | % | — | NO | Russell 1000 Total Return Index (net) | 17 | % | Calendar year | NO | NO | ||||||||||||||||||||||
Glenhill Capital Advisors, LLC** | 0.55 | % | 0.75 | % | YES | Russell 3000 Total Return Index | 15 | % | Calendar year | YES | NO | |||||||||||||||||||||
Hosking Partners LLP | 0.28 | % | — | NO | Blend: 50% MSCI All Country World Index (net dividends reinvested) and 50\% MSCI All Country World Index (gross dividends reinvested) | 18 | %ˆ | Rolling 60 months | NO | NO | ||||||||||||||||||||||
Kopernik Global Investors, LLC | 0.10 | % | — | NO | MSCI All Country World Index (net) | 20 | % | Calendar year | NO | NO | ||||||||||||||||||||||
Mission Value Partners, LLC | 0.25 | % | 1.00 | % | YES | Avg monthly change in CPI over 36 months x 12 + spread of 2%-4% | 10 | %ˆ | Rolling 36 months | NO | 1.00% | |||||||||||||||||||||
SandPointe Asset Management, LLC | 0.20 | % | 0.70 | % | YES | Rate of return equal to 5.00% per annum | 12.5 | %ˆˆ | Calendar year | YES | NO | |||||||||||||||||||||
TB Alternative Assets Ltd | 0.75 | % | — | NO | Blend: 50% MSCI China Index and 50% CSI 300 Index | 15 | % | Calendar year | NO | NO |
(a) | Fee schedules are based on assets under management, irrespective of performance. The fee rate is applied to average net assets. |
(b) | Fee schedules embody the concept of a “fulcrum” fee (i.e., a fee midway between the minimum and the maximum). Actual fees paid to such money managers are proportionately related to performance above or below the fulcrum point. The formula is designed to augment the fee if the portfolio’s excess return (i.e., its actual return less the total return of the portfolio’s benchmark) exceeds a specified level and to reduce the fee if the portfolio’s excess return falls below this level. The fee rate is applied to average net assets. |
(c) | The performance-based portion of the fee schedule is generally based on a specified percentage of the amount by which the return generated by the money manager’s portfolio exceeds the return of the portfolio’s benchmark or a specified percentage of the net appreciation of the manager’s portfolio over a hurdle, in certain cases subject to a high water mark, a performance fee cap, or the recovery of prior years’ losses, if any. Total returns are generally computed over rolling time periods of varying lengths and are in most cases determined gross of fund expenses and fees, except custodian transaction charges and, in certain cases, the asset-based fee and/or performance-based fee applicable to the money manager’s account. |
* | Mondrian Investment Partners Limited ceased managing assets for the fund as of July 2017. |
** | Glenhill Capital Advisors, LLC ceased managing assets for the fund as of June 2017. |
ˆ | Performance-based fees earned on excess return (portfolio over benchmark) expressed as a percentage times average net assets. |
ˆˆ | Percentage represents maximum potential fee rate. |
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 through that entity’s NAV. 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. As of December 31, 2017, $744,365 remained payable and reflected as fund administration fees on the Statement of Assets and Liabilities.
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. As of December 31, 2017, $65,048 remained payable and reflected as investment advisory, administrative fees, and other fees to affiliates on the Statement of Assets and Liabilities.
57
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2017 |
TIP has designated an employee of TAS as its Chief Compliance Officer. 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, 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 received compensation of $49,004 from MAF for the year ended December 31, 2017 for service as independent chair. As of December 31, 2017, $12,241 remained payable and reflected as investment advisory, administrative fees, and other fees to affiliates 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, 2017 were as follows:
Purchases | Sales | |||||||
Non-US Government Securities | $ | 1,720,499,082 | $ | 2,465,120,053 | ||||
US Government Securities | 156,657,019 | 240,054,798 |
6. Federal Tax Information
For federal income tax purposes, the cost of investments owned at December 31, 2017 has been estimated since the final tax characteristic cannot be determined until subsequent to fiscal year end. The cost of securities, the aggregate gross unrealized appreciation/(depreciation), and the net unrealized appreciation/(depreciation) on securities, other than proceeds from securities sold short, at December 31, 2017, are as follows:
Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation) | Tax Cost of Investments | |||||||||||||
Investments in securities | $ | 561,377,175 | $ | (684,397,424 | ) | $ | (123,020,249 | ) | $ | 3,975,052,830 | ||||||
Securities sold short | 2,252,340 | (5,543,043 | ) | (3,290,703 | ) | (73,442,149 | ) |
Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation) | Tax Cost of Derivatives | |||||||||||||
Purchased option contracts | — | — | — | 285,670 | ||||||||||||
Financial futures contracts | — | — | — | (423,834 | ) | |||||||||||
Forward currency contracts | — | — | — | (5,620,867 | ) | |||||||||||
Swap contracts | — | — | — | (638,513 | ) |
The difference between the tax cost of securities and the cost of securities for GAAP purposes is primarily due to the tax treatment of wash sale losses, mark to market on derivatives and tax adjustments related to holding offsetting positions such as constructive sales and straddles.
Dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are considered either temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital account based on their federal tax-basis treatment; temporary differences do not require reclassification.
During the year ended December 31, 2017, the fund made the following reclassifications primarily due to foreign currency gains/(losses), swap gains/(losses), TIPs gains/(losses), foreign capital gains tax, earnings and profits distributed to shareholders on redemption, real estate investment trusts, passive foreign investment companies, and investment partnerships.
Undistributed/ (Distribution in Excess of) Net Investment Income | Accumulated Realized Gain/(Losses) | Paid in Capital | ||||||
$26,344,614 | $(50,836,477) | $24,491,863 |
At December 31, 2017, 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
58
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2017 |
from wash sales, Alpha swap transactions, partnership income, passive foreign investment companies, financial futures transactions, forward currency contracts, purchased option contracts, constructive sales, and straddle deferral.
Undistributed Ordinary Income | Undistributed Capital Gains | (Accumulated Capital and Other Losses) | Unrealized Appreciation/ (Depreciation)(a) | |||||||||
$142,898,501 | $53,924,383 | $ — | $(127,943,687) |
(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, 2017 and December 31, 2016 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.
2017 | 2016 | |||||||||||||||||||||||||||
Ordinary Income | Long-Term Capital gain | Return of Capital | Total | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total | |||||||||||||||||||||
$415,609,451 | $ | 97,000,074 | $ | — | $ | 512,609,525 | $ | 40,709,969 | $ | 60,241,527 | $ | 121,495,664 | $ | 222,447,160 |
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.
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, 2017:
Counterparty | Assets Subject to a Netting Provision or Similar Arrangement | Liabilities Available for Offset | Collateral Received | Net Amount | ||||||||||||
Fixed Income Clearing Corp. | $ | 235,473,211 | $ | — | $ | (235,473,211 | ) | $ | — | |||||||
Total | $ | 235,473,211 | $ | — | $ | (235,473,211 | ) | $ | — |
Please see Note 3, Derivatives and Other Financial Instruments, for further discussion of netting provisions and similar arrangements.
59
TIFF Multi-Asset Fund / Notes to Financial Statements | December 31, 2017 |
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.
As of April 11, 2017, MAF has adopted a new Systematic Withdrawal Plan. Under the plan, members have the option of redeeming up to 6% of the value of their account each fiscal year without paying the 0.50% exit fee normally assessed on redemptions, subject to certain conditions. Members that elect to take this withdrawal enhancement will be required to reinvest their quarterly dividends and distributions.
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 US, a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries.
The fund invests in small capitalization stocks. These investments may entail different risks than larger capitalizations stocks, including potentially lesser degrees of liquidity.
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.
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Report of Independent Registered Public Accounting Firm |
To the Board of Trustees of TIFF Investment Program and Shareholders of TIFF Multi-Asset Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of TIFF Multi-Asset Fund (one of the funds constituting TIFF Investment Program, referred to hereafter as the “Fund”) as of December 31, 2017, the related statements of operations and cash flows for the year ended December 31, 2017, the statements of changes in net assets for each of the two years in the period ended December 31, 2017, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2017 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2017, 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 ended December 31, 2017 and the financial highlights for each of the five years in the period ended December 31, 2017 in conformity with accounting principles generally accepted in the United States of America.
The financial statements as of and for the year ended December 31, 2015 and the financial highlights for each of the years ended on or prior to December 31, 2015 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated February 29, 2016 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2017 by correspondence with the custodian, transfer agents, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 28, 2018
We have served as the auditor of one or more investment companies in TIFF Investment Program since 2016.
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TIFF Multi-Asset Fund | December 31, 2017 |
Proxy Voting Policy and Voting Record
A description of the policies and procedures that TIP uses to determine how to vote proxies relating to portfolio securities is available on TIFF’s website at http://www.tiff.org and without charge, upon request, by calling 800-984-0084. This information is also available on the website of the US Securities and Exchange Commission (“SEC”) at http://www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities during the most recent 12-month year ended June 30 is also available on the websites noted above and without charge, upon request, by calling 800-984-0084.
Quarterly Reporting
TIP files its complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. TIP’s Form N-Q is available without charge, upon request, by calling 800-984-0084. This information is also available on the website of the SEC at http://www.sec.gov. TIP’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. In addition TIP’s portfolio holdings are available on a monthly basis on the TIFF website at http://www.tiff.org.
Tax Information Notice
For federal income tax purposes, the following information is furnished with respect to the distributions of MAF, if any, paid during the taxable year ended December 31, 2017.
Qualified dividend income of $39,010,672 represents distributions paid from investment company taxable income for the year ended December 31, 2017, which may be subject to a maximum tax rate of 20%, for those members subject to federal income taxation on fund distributions, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The distributions paid represent the maximum amount that may be considered qualified dividend income.
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TIFF Multi-Asset Fund | December 31, 2017 |
During an in-person meeting held on September 21, 2017 (the “September Meeting”), the board of trustees of TIFF Investment Program (“TIP”), all of whom are not “interested persons” of TIP (the “board” or “trustees”), as that term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”), evaluated and approved a money manager agreement between TIP and AQR Capital Management, LLC (“AQR”), a new money manager managing assets on behalf of TIFF Multi-Asset Fund (“Multi-Asset Fund” or “MAF”). Also, at the September Meeting, the board evaluated and approved the amendment to the money manager agreement to amend and restate the fee schedule with Hosking Partners LLP (“Hosking”), a money manager managing assets on behalf of Multi-Asset Fund.
Consideration of the Money Manager Agreement between TIP and AQR
During the September Meeting, the board evaluated and approved the money manager agreement for Multi-Asset Fund (the “money manager agreement”) with a new money manager, AQR. In this regard, the board requested and considered a wide range of information from AQR and TIFF Advisory Services, Inc. (“TAS”), the advisor to Multi-Asset Fund, in advance of the September Meeting, and at the September Meeting the trustees reviewed this information with TAS staff and separately in executive session with the trustees’ independent legal counsel. Among other matters, the board considered information regarding AQR’s personnel and services, investment strategies and philosophies and portfolio management, including the experience of AQR’s investment personnel. The board also considered AQR’s potential portfolio holdings, fees and expenses, and the performance of certain other accounts that had been managed by AQR’s investment professionals. The board noted that the proposed management fee for each of the investment strategies to be implemented by AQR on behalf of Multi-Asset Fund did not include breakpoints that would enable Multi-Asset Fund to benefit from economies of scale, but did include a performance fee which aligned AQR’s interests with those of Multi-Asset Fund. Information about AQR’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 AQR, 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 AQR.
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 AQR’s responses to a questionnaire prepared by the trustees’ independent counsel requesting information necessary for the trustees’ evaluation of the money manager agreement with AQR. In addition, during the September Meeting, TAS staff (1) reviewed the process undertaken and due diligence performed in assessing AQR as a possible money manager for Multi-Asset Fund, and (2) responded to additional questions from the board regarding, among other things, AQR’s compliance program, including information about AQR’s compliance staffing and the level of resources dedicated to AQR’s compliance functions.
The board also considered a number of additional factors in evaluating the money manager agreement with AQR on behalf of Multi-Asset Fund. The board considered the advisory services AQR was expected to provide to MAF; the potential benefits of including AQR as a money manager to MAF; operational matters related to the implementation of AQR’s investment strategies and related risks, and other information deemed relevant.
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 AQR. The board based its evaluation on the material factors presented to it at the September 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 AQR in connection with providing services to Multi-Asset Fund; (3) the nature, quality, and extent of the services expected to be performed by AQR; and (4) the nature and expected effects of adding AQR as a money manager of Multi-Asset Fund. The board did not specifically consider the profitability of AQR expected to result from its relationship with Multi-Asset Fund because AQR is not affiliated with TAS or TIP, except by virtue of serving as a money manager, and the fees to be paid to AQR were negotiated on an arm’s-length basis in a competitive marketplace.
In arriving at its decision to approve the money manager agreement with AQR, 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
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to be relevant, the board unanimously voted to approve the money manager agreement with AQR for Multi-Asset Fund. Prior to the 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 AQR 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 money manager agreement with AQR was desirable and in the best interests of Multi-Asset Fund and its members.
Consideration of the Amendment to the Money Manager Agreement to Amend and Restate the Fee Schedule with Hosking
During the September Meeting, the board evaluated and approved the amendment to the money manager agreement with Hosking for Multi-Asset Fund (the “Amendment”) in order to amend and restate the fee schedule. In considering the Amendment at the September Meeting, the board took into account information it had received in connection with its annual review of TIP’s investment advisory and money manager agreements and fees on June 28-29, 2017 (the “Annual Review”), including information with respect to the money manager agreement with Hosking. The board noted that, at that time, it had approved the continuance of the money manager agreement between TIP, on behalf of Multi-Asset Fund, and Hosking for another one-year term commencing July 1, 2017.
In connection with the Annual Review, the board had requested and considered a wide range of information from TAS and Hosking of the type it regularly considers when determining whether to continue Multi-Asset Fund’s money manager agreements as in effect from year to year. In approving the Amendment at the September Meeting, the board considered the same factors and information that it considered in approving the continuance of the money manager agreement with Hosking at the Annual Review, as well as such other information as the board considered appropriate. During the Annual Review, the board considered information regarding Hosking’s personnel and services, investment mandate, investment strategies and philosophies, portfolio management, performance, and fees and expenses. Information about Hosking’s brokerage practices was also provided, including allocation methodologies, best execution policies, commission rates, and soft dollar program. In addition, the board considered information with respect to the compliance, risk management, and administration of Hosking, 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 Hosking.
The board noted that the purpose of the Amendment was to amend and restate the fee schedule included in the current money manager agreement with Hosking for Multi-Asset Fund, and that otherwise the terms of Hosking’s current money manager agreement remained unchanged since its review and approval as part of the Annual Review. The board also noted that TAS recommended approval of the Amendment, which primarily revised the calculation method for the performance fee component of the fee schedule, so that for the first five years after funding, the assumed return for years prior to the funding date was equal to the benchmark return. The Amendment also revised the methodology for calculating performance fees upon withdrawal from the account. In this regard the board considered the materials provided by TAS discussing the changes and their potential impact, including their impact to fees over the life of the agreement and, in particular, at the time of a withdrawal of assets from the account. The board also noted that the TAS materials included a representation from Hosking that the change to the fee schedule would not result in any changes to the nature, quality, or extent of investment advisory services to be provided to Multi-Asset Fund by Hosking.
At the September Meeting, the board also noted that in connection with the Annual Review, the board (1) 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 a money manager agreement; and (2) reviewed Hosking’s responses to a questionnaire prepared by the trustees’ independent counsel requesting information necessary for the trustees’ evaluation of the money manager agreement with Hosking.
The board noted the information received at regular meetings throughout the year related to the services rendered by Hosking concerning the management of Multi-Asset Fund’s portfolio. The board’s evaluation of the services provided by Hosking took into account the board’s knowledge and familiarity gained as board members regarding the scope and quality of Hosking’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 Hosking. Consistent with the approach taken by the board at the Annual Review, (1) the board did not specifically consider the profitability or expected profitability of Hosking
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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 to Multi-Asset Fund, and the fees to be paid to Hosking were negotiated on an arm’s-length basis in a competitive marketplace, and (2) the board noted that the Amendment with Hosking did not include breakpoints that would enable Multi-Asset Fund to benefit from economies of scale, but did include a performance fee which aligned Hosking’s interests with those of Multi-Asset Fund.
The board based its evaluation on the material factors presented to it at the September Meeting and at the Annual Review and discussed above, including: (1) the terms of the Amendment; (2) the reasonableness of the money manager’s fees in light of the nature and quality of the services expected to be provided and any additional benefits to be received by Hosking in connection with providing services to Multi-Asset Fund in the future; (3) the nature, quality, and extent of the services expected to be performed by Hosking; (4) the overall organization, skills, and experience of Hosking in managing the existing portfolio for Multi-Asset Fund; and (5) the contribution of Hosking towards the overall performance of Multi-Asset Fund.
In arriving at its decision to approve the Amendment, 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 Amendment. 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 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 was desirable and in the best interests of Multi-Asset Fund and its members.
Approval of Money Manager Agreements
During an in-person meeting held on December 1, 2017 (the “December Meeting”), the board of trustees of TIFF Investment Program (“TIP”), all of whom are not “interested persons” of TIP (the “board” or “trustees”), as that term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”), evaluated and approved (i) an amended and restated fee schedule with respect to the existing money manager agreement between TIP, on behalf of TIFF Multi-Asset Fund (“Multi-Asset Fund” or “MAF”) and AJO, LP (“AJO”) to reflect a voluntary fee concession, and (ii) the assumption of the existing money manager agreement between MAF and Amundi Smith Breeden, LLC (“ASB”), necessitated by an upcoming merger between ASB and one of its sister subsidiaries.
Consideration of the Amended and Restated Fee Schedule with AJO
During the December Meeting, the board evaluated and approved the amendment to the money manager agreement with AJO for Multi-Asset Fund (the “Amendment”) in order to amend and restate the fee schedule with respect to the small-cap emerging markets mandate. In considering the Amendment at the December Meeting, the board took into account information it had received in connection with its annual review of TIP’s investment advisory and money manager agreements and fees on June 28-29, 2017 (the “Annual Review”), including information with respect to the money manager agreement with AJO. The board noted that, at that time, it had approved the continuance of the money manager agreement between TIP, on behalf of Multi-Asset Fund, and AJO for another one-year term commencing July 1, 2017.
In connection with the Annual Review, the board had requested and considered a wide range of information from TIFF Advisory Services, Inc. (“TAS”), the advisor to Multi-Asset Fund, and AJO of the type it regularly considers when determining whether to continue MAF’s money manager agreements as in effect from year to year. In approving the Amendment at the December Meeting, the board considered the same factors and information that it considered in approving the continuance of the money manager agreement with AJO at the Annual Review, as well as such other information as the board considered appropriate. During the Annual Review, the board considered information regarding AJO’s personnel and services, investment mandate, investment strategies and philosophies, portfolio management, performance, and fees and expenses. Information about AJO’s brokerage practices was also provided, including allocation methodologies, best execution policies, commission rates, and soft dollar program. In addition, the board considered information with respect to the compliance, risk management, and administration of AJO, 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 AJO.
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TIFF Multi-Asset Fund | December 31, 2017 |
The board noted that the purpose of the Amendment was to amend and restate the fee schedule included in the current money manager agreement with AJO for MAF, and that otherwise the terms of AJO’s current money manager agreement remained unchanged since its review and approval as part of the Annual Review. The board also noted that TAS recommended approval of the Amendment, which revised the calculation method for the performance fee component of the fee schedule to permanently reduce fees. In this regard the board considered the materials provided by TAS discussing this change and its potential impact. The board also noted that TAS materials included a statement that AJO confirmed that the change to the fee schedule would not result in any changes to the nature, quality, or extent of investment advisory services to be provided to MAF by AJO.
At the December Meeting, the board also noted that in connection with the Annual Review, the board (1) 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 a money manager agreement; and (2) reviewed AJO’s responses to a questionnaire prepared by the trustees’ independent counsel requesting information necessary for the trustees’ evaluation of the money manager agreement with AJO.
The board noted the information received at regular meetings throughout the year related to the services rendered by AJO concerning the management of MAF’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, (1) the board did not specifically consider the profitability or expected profitability of AJO resulting from its relationship with MAF because AJO is not affiliated with TAS or TIP, except by virtue of serving as a money manager to MAF, and the fees to be paid to AJO were negotiated on an arm’s-length basis in a competitive marketplace, and (2) the board noted that the Amendment with AJO did not include breakpoints that would enable MAF to benefit from economies of scale, but did include a performance fee which aligned AJO’s interests with those of MAF.
The board based its evaluation on the material factors presented to it at the December Meeting and at the Annual Review and discussed above, including (1) the terms of the Amendment; (2) the reasonableness of the money manager’s fees in light of the nature and quality of the services expected to be provided and any additional benefits to be received by AJO in connection with providing services to MAF in the future; (3) the nature, quality and extent of the services expected to be performed by AJO; (4) the overall organization, skills and experience of AJO in managing the existing portfolio for MAF; and (5) the contribution of AJO towards the overall performance of MAF.
In arriving at its decision to approve the Amendment, 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 Amendment. 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 was reasonable, fair, and in the best interests of MAF and its members, and that the fees provided in the agreement were fair and reasonable. In the board’s view, approving the Amendment was desirable and in the best interests of MAF and its members.
Consideration of the Assumption of the Money Manager Agreement between TIP and ASB
During the December Meeting, the board evaluated and approved the assumption of the money manager agreement with ASB for Multi-Asset Fund (the “Assumption”) such that, effective with ASB’s merger into an existing Amundi Pioneer institutional investment manager, the current money manager agreement in effect between ASB and TIP would be assumed in its entirety by Amundi Pioneer Institutional Asset Management, Inc. (“APIAM”), effective January 1, 2018. APIAM replaced ASB as money manager for MAF as of this date and the merger resulted in the transfer of MAF’s money manager agreement with ASB to APIAM by operation of law. In considering the Assumption at the December Meeting, the board took into account information it had received in connection with the Annual Review, including information with respect to the existing money manager agreement with ASB. The board noted that, at that time, it had approved the continuance of the money manager agreement between TIP, on behalf of Multi-Asset Fund, and ASB for another one-year term commencing July 1, 2017.
In connection with the Annual Review, the board had requested and considered a wide range of information from TAS and ASB of the type it regularly considers when determining whether to continue MAF’s money manager agreements as in effect from
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TIFF Multi-Asset Fund | December 31, 2017 |
year to year. In approving the Assumption at the December Meeting, the board considered the same factors and information that it considered in approving the continuance of the money manager agreement with ASB at the Annual Review, as well as such other information as the board considered appropriate. During the Annual Review, the board considered information regarding ASB’s personnel and services, investment mandate, investment strategies and philosophies, portfolio management, performance, and fees and expenses. Information about ASB’s brokerage practices was also provided, including allocation methodologies, best execution policies, commission rates, and soft dollar program. In addition, the board considered information with respect to the compliance, risk management, and administration of ASB, 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 ASB.
The board noted that the purpose of the Assumption was to permit, effective with the merger of ASB into a sister subsidiary, for the current money manager agreement between TIP, on behalf of MAF, and ASB to be assumed in its entirety by that sister subsidiary. The board noted that the need for the Assumption arose as a result of a corporate reorganization in the wake of the acquisition of another investment adviser by the parent company of ASB, and that other than replacing all references to ASB with references to the sister subsidiary, the terms of ASB’s current money manager agreement remained unchanged since its review and approval as part of the Annual Review. In this regard the board considered the materials provided by TAS discussing the Assumption, related legal matters, and its potential impact. The board also noted that TAS materials included a statement that ASB represented the merger underlying the Assumption was not expected to result in any change in the nature, quality or extent of the advisory services that ASB currently provides to MAF, or in the personnel or management teams responsible for providing those services.
At the December Meeting, the board also noted that in connection with the Annual Review, the board (1) 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 a money manager agreement; and (2) reviewed ASB’s responses to a questionnaire prepared by the trustees’ independent counsel requesting information necessary for the trustees’ evaluation of the money manager agreement with ASB.
The board noted the information received at regular meetings throughout the year related to the services rendered by ASB concerning the management of MAF’s portfolio. The board’s evaluation of the services provided by ASB took into account the board’s knowledge and familiarity gained as board members regarding the scope and quality of ASB’s investment management capabilities. The board concluded that, overall, it was satisfied with the nature, quality, and extent of the services currently being provided by ASB, and expected to be provided by APIAM. Consistent with the approach taken by the board at the Annual Review, (1) the board did not specifically consider the profitability or expected profitability of ASB or APIAM resulting from their relationship with MAF because neither ASB or APIAM is affiliated with TAS or TIP, except by virtue of serving as a money manager to MAF, and the fees to be paid to ASB or expected to be paid to APIAM were negotiated on an arm’s-length basis in a competitive marketplace, and (2) the board noted that the fee schedules in the money manager agreement included a breakpoint that would enable MAF to benefit from economies of scale.
The board based its evaluation on the material factors presented to it at the Annual Review and discussed above, including (1) the terms of the Assumption; (2) the reasonableness of the money manager’s fees in light of the nature and quality of the services expected to be provided and any additional benefits expected to be received by APIAM in connection with providing services to MAF in the future; (3) the nature, quality, and extent of the services expected to be performed by APIAM; (4) the overall organization, skills and experience of ASB in managing the existing portfolio for MAF; and (5) the contribution of ASB towards the overall performance of MAF.
In arriving at its decision to approve the Assumption, 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 Assumption. Prior to a vote being taken, the board met separately in executive session to discuss the appropriateness of the Assumption 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 Assumption was reasonable, fair, and in the best interests of MAF and its members, and that the fees provided in the agreement were fair and reasonable. In the board’s view, approving the Assumption was desirable and in the best interests of MAF and its members.
* * *
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TIFF Multi-Asset Fund | December 31, 2017 |
Index Descriptions (Unaudited) |
65/35 Mix, calculated by TAS, consists of 65% MSCI All Country World Index and 35% Bloomberg 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.
Bloomberg Barclays US Aggregate Bond Index tracks the broad US bond market.
BofA Merrill Lynch US 6-Month Treasury Bill Index tracks the current 6-month US Treasury bill.
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.
CSI 300 Index tracks 300 stocks traded in the Shanghai and Shenzhen stock exchanges.
HFRI Fund Weighted Composite tracks returns, net of all fees, of over 2,000 single-manager hedge funds.
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 Bloomberg 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.
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.
One cannot invest directly in an index, and unmanaged indices do not incur fees and expenses.
68
TIFF Multi-Asset Fund | December 31, 2017 |
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.
MSCI All Country World Index tracks large-capitalization stocks worldwide.
MSCI China Index tracks large and mid-cap segments of the China equity universe across China H shares, B shares, P chips, and foreign listings and is comprised of 150 constituents.
MSCI EAFE Index tracks developed markets in Europe, Australasia, and the Far East.
MSCI Emerging Markets Index tracks freely tradable emerging market stocks.
MSCI USA Index tracks primarily large and mid-cap segments of the US market.
Russell 1000 Index tracks the largest 1,000 US companies.
Russell 2000 Index tracks small-capitalization US stocks.
Russell 3000 Index tracks the largest 3,000 US companies.
S&P 500 Index tracks primarily large-capitalization US stocks.
S&P Midcap 400 Index tracks primarily mid-capitalization US stocks.
One cannot invest directly in an index, and unmanaged indices do not incur fees and expenses.
69
TIFF Short-Term Fund | December 31, 2017 |
Strategy Overview
As it seeks to track closely, gross of fees and expenses, the BofA Merrill Lynch US 6-Month Treasury Bill Index, TIFF Short-Term Fund (“STF”) invests almost exclusively in US Treasury bills. Very small fractions of STF’s capital not appropriate for investment in T-bills for administrative reasons are invested routinely in repurchase agreement transactions fully collateralized by US Treasury obligations. Short-term (6-month) US Treasury debt yielded approximately 1.5% as of December 31, 2017. The Federal Reserve raised its target range for the Federal Funds rate three times in 2017, starting at the range of 0.50% – 0.75% and ending at the range of 1.25% – 1.50% in December 2017. If short-term yields remain constant or continue to rise, STF should remain a positive expected return investment, though there can be no assurance that returns will be positive.
Performance Review
The short-term Treasury market produced low yields during 2017 as the Federal Reserve Board continued its longstanding low interest rate policy in an effort to spur economic growth. Just as in 2016, the Federal Reserve Board continued to gradually raise the federal funds target interest rate with rate hikes at the March, June and December 2017 Federal Open Market Committee meetings. As would be expected in such an environment, STF produced a positive return of 0.64%, for the year ended December 31, 2017. 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 TIFF Advisory Services, Inc.’s effort to keep duration, or interest rate sensitivity, close to that of STF’s performance benchmark, the BofA Merrill Lynch US 6-Month Treasury Bill Index. The benchmark index, which has no rebalancing or administrative costs, returned 0.95% 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.
70
TIFF Short-Term Fund | December 31, 2017 |
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.
Calendar Year 2017 | 3-Year Annualized | 5-Year Annualized | 10-Year Annualized | Annualized Since Inception | Cumulative Since Inception | |||||||||||||||||||
Short-Term Fund | 0.64 | % | 0.22 | % | 0.07 | % | 0.36 | % | 2.64 | % | 85.04 | % | ||||||||||||
BofA ML US 6-Month T-Bill* | 0.95 | % | 0.62 | % | 0.43 | % | 0.71 | % | 2.83 | % | 93.31 | % |
Total return assumes dividend reinvestment. STF’s annualized expense ratio for calendar year 2016 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, 2016, which are expected to vary over time. The expense ratio is expressed as a percentage of average net assets. The expense ratio will differ for 2017.
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. |
Performance of a $50,000 Investment (Unaudited) | Ten year period ended 12/31/17 |
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.
71
TIFF Short-Term Fund | December 31, 2017 |
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, 2017 to December 31, 2017.
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 7/1/17 | Ending Account Value 12/31/17 | Expenses Paid During the Period* 7/1/17 – 12/31/17 | ||||||||||
1) Actual | $ | 1,000.00 | $ | 1,004.60 | $ | 1.21 | ||||||
2) Hypothetical | $ | 1,000.00 | $ | 1,024.00 | $ | 1.22 |
* | Expenses are equal to the fund’s annualized expense ratio of 0.24% (calculated over a six-month period, which may differ from the fund’s actual expense ratio for the full year), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
Summary Schedule of Investments (Unaudited) |
US Treasury Bills | 97.6 | % | ||
Repurchase Agreement | 1.8 | % | ||
Total Investments | 99.4 | % | ||
Other Assets in Excess of Liabilities | 0.6 | % | ||
Net Assets | 100.0 | % |
See accompanying Notes to Financial Statements.
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TIFF Short-Term Fund | December 31, 2017 |
Financial Highlights |
Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2015 | Year Ended December 31, 2014 | Year Ended December 31, 2013 | |||||||||||||||||
For a share outstanding throughout each period | |||||||||||||||||||||
Net asset value, beginning of year | $ | 9.86 | $ | 9.86 | $ | 9.87 | $ | 9.89 | $ | 9.90 | |||||||||||
Income (loss) from investment operations | |||||||||||||||||||||
Net investment income (loss) | 0.06 | 0.01 | (0.01 | ) | (0.03 | ) | (0.01 | ) | |||||||||||||
Net realized and unrealized gain (loss) on investments | 0.00 | (a) | 0.00 | (a) | 0.00 | (a) | 0.01 | 0.00 | (a) | ||||||||||||
Total from investment operations | 0.06 | 0.01 | (0.01 | ) | (0.02 | ) | (0.01 | ) | |||||||||||||
Less distributions from | |||||||||||||||||||||
Net investment income | (0.06 | ) | (0.01 | ) | — | — | — | ||||||||||||||
Total distributions | (0.06 | ) | (0.01 | ) | — | — | — | ||||||||||||||
Net asset value, end of year | $ | 9.86 | $ | 9.86 | $ | 9.86 | $ | 9.87 | $ | 9.89 | |||||||||||
Total return (b) | 0.64 | % | 0.13 | % | (0.10 | )% | (0.20 | )% | (0.10 | )% | |||||||||||
Ratios/supplemental data | |||||||||||||||||||||
Net assets, end of year (000s) | $ | 84,612 | $ | 83,729 | $ | 97,168 | $ | 104,383 | $ | 148,294 | |||||||||||
Ratio of expenses to average net assets, after waivers | 0.23 | % | 0.24 | % | 0.22 | % | 0.35 | % | 0.20 | % | |||||||||||
Ratio of net investment income (loss) to average net assets | 0.63 | % | 0.15 | % | (0.09 | )% | (0.28 | )% | (0.11 | )% | |||||||||||
Portfolio turnover (c) | — | % | — | % | — | % | — | % | — | % |
(a) | Rounds to less than $0.01. |
(b) | Total return assumes dividend reinvestment. |
(c) | Because the fund holds primarily securities with maturities at the time of acquisition of one year or less, and such securities are excluded by definition from the calculation of portfolio turnover, the fund’s portfolio turnover rate was 0% of the average value of its portfolio. |
See accompanying Notes to Financial Statements.
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TIFF Short-Term Fund | December 31, 2017 |
Principal Amount | Value | ||||||||
Investments — 99.4% of net assets | |||||||||
Short-Term Investments — 99.4% | |||||||||
Repurchase Agreement — 1.8% | |||||||||
Fixed Income Clearing Corp. issued on 12/29/17 (proceeds at maturity $1,511,612) (collateralized by US Treasury Inflation Indexed Note, due 04/15/19 with a total par value of $1,470,000 and a total market value of $1,543,030) 0.200%, 01/02/18 | |||||||||
(Cost $1,511,579) | $ | 1,511,579 | $ | 1,511,579 | |||||
US Treasury Bills (a) — 97.6% | |||||||||
US Treasury Bill, due on 02/01/18 | 19,000,000 | 18,981,766 | |||||||
US Treasury Bill, due on 03/15/18 | 2,000,000 | 1,994,840 | |||||||
US Treasury Bill, due on 04/12/18 | 7,000,000 | 6,973,069 | |||||||
US Treasury Bill, due on 04/19/18 | 5,000,000 | 4,979,343 | |||||||
US Treasury Bill, due on 05/03/18 | 7,000,000 | 6,967,238 |
Principal Amount | Value | |||||||
US Treasury Bill, due on 05/10/18 | $ | 13,000,000 | $ | 12,934,364 | ||||
US Treasury Bill, due on 06/07/18 | 12,000,000 | 11,923,950 | ||||||
US Treasury Bill, due on 06/14/18 | 10,000,000 | 9,934,121 | ||||||
US Treasury Bill, due on 06/21/18 | 8,000,000 | 7,943,522 | ||||||
Total US Treasury Bills — 97.6% (Cost $82,647,906) | 82,632,213 | |||||||
Total Short-Term Investments (Cost $84,159,485) | 84,143,792 | |||||||
Total Investments — 99.4% (Cost $84,159,485) | 84,143,792 | |||||||
Other Assets in Excess of Liabilities — 0.6% | 467,887 | |||||||
Net Assets — 100.0% | $84,611,679 |
(a) | Treasury bills do not pay interest, but rather are purchased at a discount and mature at the stated principal amount. |
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TIFF Short-Term Fund |
Statement of Assets and Liabilities |
December 31, 2017 | ||||
Assets | ||||
Investments in securities, at value (cost: $82,647,906) | $ | 82,632,213 | ||
Repurchase agreements (cost: $1,511,579) | 1,511,579 | |||
Total investments (cost: $84,159,485) | 84,143,792 | |||
Receivables: | ||||
Capital stock sold | 821,354 | |||
Interest | 25 | |||
Prepaid expenses | 2,033 | |||
Total Assets | 84,967,204 | |||
Liabilities | ||||
Payables: | ||||
Capital stock redeemed | 290,250 | |||
Accrued professional fees | 45,218 | |||
Accrued fund administration fees | 10,631 | |||
Accrued expenses and other liabilities | 3,231 | |||
Distributions | 3,114 | |||
Investment advisory, administrative fees, and other fees to affiliates | 3,081 | |||
Total Liabilities | 355,525 | |||
Net Assets | $ | 84,611,679 | ||
Shares Outstanding (unlimited authorized shares, par value $0.001) | 8,583,204 | |||
Net Asset Value Per Share | $ | 9.86 | ||
Net Assets Consist of: | ||||
Capital stock | $ | 84,639,438 | ||
Accumulated net investment income | 555 | |||
Accumulated net realized loss on investments | (12,621 | ) | ||
Net unrealized depreciation on investments | (15,693 | ) | ||
$ | 84,611,679 |
See accompanying Notes to Financial Statements.
76
TIFF Short-Term Fund |
Statement of Operations |
Year Ended December 31, 2017 | ||||
Investment Income | ||||
Interest | $ | 699,256 | ||
Total Investment Income | 699,256 | |||
Expenses | ||||
Fund administration fees | 65,971 | |||
Professional fees | 51,377 | |||
Investment advisory fees | 24,482 | |||
Shareholder Registration fees | 24,214 | |||
Administrative fees | 8,160 | |||
Chief compliance officer fees | 4,452 | |||
Miscellaneous fees and other | 9,456 | |||
Total Expenses | 188,112 | |||
Net Investment Income | 511,144 | |||
Net Realized Loss from Investments | (11,710 | ) | ||
Net Change in Unrealized Depreciation on Investments | (13,633 | ) | ||
Net Realized and Unrealized Loss on Investments | (25,343 | ) | ||
Net Increase in Net Assets Resulting from Operations | $ | 485,801 |
See accompanying Notes to Financial Statements.
77
TIFF Short-Term Fund |
Statements of Changes in Net Assets |
Year Ended December 31, 2017 | Year Ended December 31, 2016 | |||||||
Increase (Decrease) in Net Assets From Operations | ||||||||
Net investment income | $ | 511,144 | $ | 113,287 | ||||
Net realized gain (loss) from investments | (11,710 | ) | 2,151 | |||||
Net change in unrealized appreciation (depreciation) on investments | (13,633 | ) | 5,660 | |||||
Net Increase in Net Assets Resulting from Operations | 485,801 | 121,098 | ||||||
Distributions | ||||||||
From net investment income | (511,479 | ) | (112,397 | ) | ||||
Decrease in Net Assets Resulting from Distributions | (511,479 | ) | (112,397 | ) | ||||
Capital Share Transactions | ||||||||
Proceeds from shares sold | 119,822,916 | 80,812,812 | ||||||
Proceeds from distributions reinvested | 492,539 | 110,071 | ||||||
Cost of shares redeemed | (119,406,680 | ) | (94,370,572 | ) | ||||
Net Increase (Decrease) From Capital Share Transactions | 908,775 | (13,447,689 | ) | |||||
Total Increase (Decrease) in Net Assets | 883,097 | (13,438,988 | ) | |||||
Net Assets | ||||||||
Beginning of year | 83,728,582 | 97,167,570 | ||||||
End of year | $ | 84,611,679 | $ | 83,728,582 | ||||
Including undistributed net investment income | $ | 555 | $ | 890 | ||||
Capital Share Transactions (in shares) | ||||||||
Shares sold | 12,146,994 | 8,188,822 | ||||||
Shares reinvested | 49,953 | 11,164 | ||||||
Shares redeemed | (12,104,879 | ) | (9,564,288 | ) | ||||
Net Increase (Decrease) | 92,068 | (1,364,302 | ) |
See accompanying Notes to Financial Statements.
78
TIFF Short-Term Fund |
Statement of Cash Flows |
Year Ended December 31, 2017 | ||||
Cash flows provided by (used in) operating activities | ||||
Net increase (decrease) in net assets resulting from operations | $ | 485,801 | ||
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 | 390,559 | |||
Amortization (accretion) of discount and premium, net | (696,042 | ) | ||
(Increase)/decrease in interest receivable | (20 | ) | ||
(Increase)/decrease in prepaid expenses | (597 | ) | ||
Increase/(decrease) in accrued expenses and other liabilities | (6,765 | ) | ||
Increase/(decrease) in payable for investment advisory, administrative fees, and other fees to affiliates | 491 | |||
Net realized (gain) loss from investments | 11,710 | |||
Net change in unrealized (appreciation) depreciation on investments | 13,633 | |||
Net cash provided by (used in) operating activities | 198,770 | |||
Cash flows provided by (used in) financing activities | ||||
Distributions paid to shareholders | (18,152 | ) | ||
Proceeds from shares sold | 119,100,562 | |||
Payment for shares redeemed | (119,281,180 | ) | ||
Net cash provided by (used in) financing activities | (198,770 | ) | ||
Net increase (decrease) in cash | — | |||
Cash at beginning of year | — | |||
Cash at end of year | $ | — | ||
Non cash financing activities not included herein consist of reinvestment of distributions of: | $ | 492,539 |
See accompanying Notes to Financial Statements.
79
TIFF Short-Term Fund / Notes to Financial Statements | December 31, 2017 |
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, 2017, TIP consisted of two mutual funds, TIFF Multi-Asset Fund and TIFF Short-Term Fund (“STF” or the “fund”), each of which is diversified, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). The 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
Fair value is defined as the price that the fund could reasonable expect to receive upon selling an asset or pay to transfer a liability in a timely transaction to an independent buyer in the principal or most advantageous market for the asset or liability, respectively. A three-tier fair value hierarchy is utilized to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier fair value hierarchy of inputs is summarized in the three broad levels listed below.
Level 1 — quoted prices in active markets for identical assets and liabilities
Level 2 — other significant observable inputs (including quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 — significant unobservable inputs (including the fund’s own assumptions in determining the fair value of assets and liabilities)
Short-term debt securities having a remaining maturity of less than 60 days are valued at amortized cost using straight-line amortization, which approximates fair value, and short-term debt securities having a remaining maturity of greater than 60 days are valued at their market value. Short-term debt securities are typically categorized as Level 2 in the fair value hierarchy.
During the year ended December 31, 2017, all of the fund’s investments were valued using Level 2 inputs and, as a result, there were no transfers between any of the fair value hierarchy levels that had a significant impact to the fund.
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.
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TIFF Short-Term Fund / Notes to Financial Statements | December 31, 2017 |
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, 2014 - December 31, 2017), 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 (the “board”) has approved an investment advisory agreement with TIFF Advisory Services, Inc. (“TAS”), an affiliate of TIP. 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 | % |
Fees for such services paid to TAS by the fund are reflected as investment advisory fees on the Statement of Operations. As of December 31, 2017, $2,117 remained payable and reflected as investment advisory, administrative fees, and other fees to affiliates on the Statement of Assets and Liabilities.
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. As of December 31, 2017, accrued fund administrative fees reflects the payable amount to State Street on the Statement of Assets and Liabilities.
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. As of December 31, 2017, $705 remained payable and reflected as investment advisory, administrative fees, and other fees to affiliates on the Statement of Assets and Liabilities.
TIP has designated an employee of TAS as its Chief Compliance Officer. 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.
81
TIFF Short-Term Fund / Notes to Financial Statements | December 31, 2017 |
TIP’s board, 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 received compensation of $996 from STF for the year ended December 31, 2017 for service as independent chair. As of December 31, 2017, $259 remained payable and reflected as investment advisory, administrative fees, and other fees to affiliates 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, 2017 are as follows:
Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Depreciation | Cost | |||||||||
$0 | $(15,693) | $15,693 | $84,159,485 |
Dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are considered either temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences do not require reclassification.
During the year ended December 31, 2017, no reclassifications were necessary:
Undistributed/ (Distribution in Excess of) Net Investment Income | Accumulated Realized Gain/(Losses) | Paid in Capital | ||||||
$— | $— | $— |
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. During the years ended December 31, 2017 and December 31, 2016, there were no such differences.
Undistributed (Distribution in Excess of) Ordinary Income | Undistributed Capital Gains | (Accumulated Capital and Other Losses) | Unrealized Appreciation/ (Depreciation) | Qualified Late-year Losses | ||||||||||||
$555 | $— | $(12,621) | $(15,693) | $— |
The amount and character of tax basis distributions paid during the years ended December 31, 2017 and December 31, 2016 are detailed below.
2017 | 2016 | |||||||||||||||||||||||||||
Ordinary Income | Long-Term Capital gain | Return of Capital | Total | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total | |||||||||||||||||||||
$511,479 | $ | — | $ | — | $ | 511,479 | $ | 112,397 | $ | — | $ | — | $ | 112,397 |
5. Repurchase Agreements
The fund will engage in repurchase transactions under the terms of master repurchase agreements with parties approved by TAS.
In a repurchase agreement, the fund buys securities from a counterparty (e.g., typically a member bank of the Federal Reserve system or a securities firm that is a primary or reporting dealer in US Government securities) with the agreement that the counterparty will repurchase them at the same price plus interest at a later date. In certain instances, the fund may enter into repurchase agreements with one counterparty, but face another counterparty at settlement. Repurchase agreements may be characterized as loans secured by the underlying securities. Such transactions afford an opportunity for the fund to earn a return on available cash at minimal market risk, although the fund may be subject to various delays and risks of loss if the counterparty becomes subject to a proceeding under the US Bankruptcy Code or is otherwise unable to meet its obligation to repurchase the securities. Securities pledged as collateral for repurchase agreements are held by the custodial bank until maturity of the repurchase agreements. Provisions of the repurchase agreements and the procedures adopted by the fund
82
TIFF Short-Term Fund / Notes to Financial Statements | December 31, 2017 |
require that the market value of the collateral, including accrued interest thereon, be at least equal to the value of the securities sold or purchased in order to protect against loss in the event of default by the counterparty.
Counterparty | Assets Subject to a Netting Provision or Similar Arrangement | Liabilities Available for Offset | Collateral Received | Net Amount | ||||||||||||
Fixed Income Clearing Corp. | $ | 1,511,579 | $ | — | $ | (1,511,579 | ) | $ | — | |||||||
Total | $ | 1,511,579 | $ | — | $ | (1,511,579 | ) | $ | — |
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.
From time to time, a fund may have members that hold significant portions of the fund’s outstanding shares. Investment activities of such members could have a material impact on the fund. As of December 31, 2017, TAS, the advisor to the fund, owned 37% of STF.
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.
83
Report of Independent Registered Public Accounting Firm |
To the Board of Trustees of TIFF Investment Program and Shareholders of TIFF Short-Term Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of TIFF Short-Term Fund (one of the funds constituting TIFF Investment Program, referred to hereafter as the “Fund”) as of December 31, 2017, the related statements of operations and cash flows for the year ended December 31, 2017, the statements of changes in net assets for each of the two years in the period ended December 31, 2017, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2017 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2017, 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 ended December 31, 2017 and the financial highlights for each of the five years in the period ended December 31, 2017 in conformity with accounting principles generally accepted in the United States of America.
The financial statements as of and for the year ended December 31, 2015 and the financial highlights for each of the years ended on or prior to December 31, 2015 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated February 29, 2016 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2017 by correspondence with the custodian and broker. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 28, 2018
We have served as the auditor of one or more investment companies in TIFF Investment Program since 2016.
84
TIFF Short-Term Fund | December 31, 2017 |
Additional Information (Unaudited) |
Proxy Voting Policy and Voting Record
A description of the policies and procedures that TIP uses to determine how to vote proxies relating to portfolio securities is available on TIFF’s website at http://www.tiff.org and without charge, upon request, by calling 800-984-0084. This information is also available on the website of the US Securities and Exchange Commission (“SEC”) at http://www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities during the most recent 12-month year ended June 30 is also available on the websites noted above and without charge, upon request, by calling 800-984-0084.
Quarterly Reporting
TIP files its complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. TIP’s Form N-Q is available without charge, upon request, by calling 800-984-0084. This information is also available on the website of the SEC 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.
85
Trustees and Principal Officers (Unaudited) |
The board of TIP comprises experienced institutional investors, including current or former senior officers of leading endowments and foundations. Among the responsibilities of the board 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. A copy is available upon request without charge by calling 800-984-0084. This information is also available on the website of the SEC 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 Partner, Impact Investments, Athena Capital Advisors, LLC, an independent registered investment advisor (2016 – present); Managing Director, Holos Consulting LLC, a consultant to foundations and non-profit organizations (2009 – present); Chair of the Board of Trustees of The Janus Funds (2008 – present); 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: Mutual Fund Directors Forum. | |
Craig R. Carnaroli | ||
Born 1963 Trustee since January 2012 2 funds overseen | Principal Occupation(s) During the Past Five Years: Executive Vice President, University of Pennsylvania. Other Directorships: University City District; University City Science Center; Philadelphia Industrial Development Corporation; Visit Philadelphia; The Connelly Foundation. | |
Amy B. Robinson | ||
Born 1967 Trustee since September 2013 2 funds overseen | Principal Occupation(s) During the Past Five Years: Vice President, Chief Financial Officer and Chief Administrative Officer, The Kresge Foundation. Other Directorships: Member of the Detroit Riverfront Conservancy Audit Committee, Non-Trustee Advisor to the UAW Retiree Medical Benefits Trust Audit Committee, Member of Financial Accounting Standards Board (FASB) Not-For-Profit Advisory Committee. | |
Mark L. Baumgartner | ||
Born 1969 Trustee since September 2016 2 funds overseen | Principal Occupation(s) During the Past Five Years: Chief Investment Officer, Institute for Advanced Study, a private, independent academic institution (2014 – present); Direct of Asset Allocation and Risk, Ford Foundation (2009 – 2013). Other Directorships: Trustee, YMCA Retirement Fund. |
86
Trustees and Principal Officers (Unaudited) |
Principal Officers
Katherine M. Billings | ||
Born 1980 CFO and Treasurer since July 2017 | Principal Occupation(s) During the Past Five Years: Vice President/Treasurer, TIFF Advisory Services, Inc. (June 2017 – present), and prior to that Director, among other positions, PricewaterhouseCoopers (2002 – 2017). | |
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., and Advisor to the Board, Catholic Investment Services, Inc. | |
Zane T. Hamid | ||
Born 1981 Vice President since December 2017 | Principal Occupation(s) During the Past Five Years: Vice President (2017 – present) and Deputy Head of Fund Operations (2013 – present). | |
Kelly A. Lundstrom | ||
Born 1964 Vice President since September 2006 | Principal Occupation(s) During the Past Five Years: Vice President, TIFF Advisory Services, Inc. | |
Christian A. Szautner | ||
Born 1972 Vice President, Chief Legal Officer, Anti-Money Laundering Compliance Officer, and Secretary since June 2017, CCO since July 2008 | Principal Occupation(s) During the Past Five Years: Vice President/Chief Compliance Officer, TIFF Advisory Services, Inc., General Counsel — Regulatory, Assistant Secretary, TIFF Advisory Services, Inc. (June 2017 – present). | |
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). | |
Robert J. Zion | ||
Born 1961 Vice President and COO since March 2017, Assistant Treasurer since July 2017 | Principal Occupation(s) During the Past Five Years: Vice President/Chief Operating Officer, TIFF Advisory Services, Inc. (Feb 2017 – present); Chief Operating Officer, among other positions, Hirtle Callaghan & Co. (1991 – 2017). |
87
TIFF Investment Program |
MONEY MANAGERS AND ACQUIRED FUND (“AF”) MANAGERS
TIFF Multi-Asset Fund
Adage Management, LLC (AF)
AHL Partners LLP (AF)
AJO, LP
AJO, LP (AF)
Amundi Pioneer Institutional Asset Management, Inc.
AQR Capital Management
Canyon Capital Advisors LLC (AF)
City Financial Investment Company Limited
(“Cumulus”) (AF)
Convexity Capital Management LP (AF)
Farallon Capital Management, LLC (AF)
Fundsmith, LLP
Glenhill Capital Advisors, LLC
Green Court Capital Management Limited
GSA Capital Ltd. (AF)
Honeycomb Asset Management LP (AF)
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)
Marathon Asset Management, LLP
Mission Value Partners, LLC
Mondrian Investment Partners Limited
Och-Ziff Capital Management Group (AF)
QVT Financial LP (AF)
RK Capital Management, LLC (“Tessera”) (AF)
SandPointe Asset Management, LLC
Shapiro Capital Management LLC
Soroban Capital Partners, LP (AF)
TB Alternative Assets Ltd. (“Trustbridge”)
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
PricewaterhouseCoopers LLP
2001 Market Street
Suite 1800
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, 2017, 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 current independent auditors, PricewaterhouseCoopers LLP, for the audit of the Registrant’s annual financial statements for the fiscal years ended December 31, 2017 and 2016 were $165,815 and $154,100. |
(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. No such fees were billed by PricewaterhouseCoopers LLP to the Registrant for the fiscal years ended December 31, 2017 or 2016. |
(c) | TAX FEES: The aggregate fees billed to the Registrant for professional services rendered by PricewaterhouseCoopers LLP, for the fiscal year ended December 31, 2017 were $61,000. These fees were for tax compliance, tax advice, and tax planning, including excise tax distribution and tax return review services. No such fees were billed by PricewaterhouseCoopers LLP for the fiscal year ended 2016. |
(d) | ALL OTHER FEES: No such fees were billed to the Registrant for the fiscal years ended December 31, 2017 or 2016. |
(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 PricewaterhouseCoopers 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, 2017 and 2016 were $284,835 and $205,955. |
(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. Investments.
Included in Item 1.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. 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.
(a)(4) 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 | February 28, 2018 |
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 | February 28, 2018 |
By (Signature and Title) | /s/ Katherine M. Billings | |
Katherine M. Billings, Treasurer and Chief Financial Officer | ||
Date | February 28, 2018 | |