<PAGE> 1
Commonfund Institutional Funds
CIF Short Duration Fund Semi-Annual Report
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October 31, 2000
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C
I
F
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<PAGE> 2
COMMONFUND INSTITUTIONAL FUNDS
CIF SHORT DURATION FUND
PORTFOLIO OF INVESTMENTS OCTOBER 31, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PAR VALUE DESCRIPTION VALUE
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CORPORATE DEBT 33.3%
<S> <C> <C>
$ 250,000 AT&T Corp. $ 250,008
6.609% due 06/14/2001
400,000 Bankboston Corp. (FRN) 398,650
6.881% due 07/14/2003
250,000 British Telecommunications PLC 249,653
6.853% due 10/09/2001
195,000 Caterpillar Financial Services Corp. (FRN) 195,058
6.890% due 12/10/2001
309,000 Ford Motor Credit Co. (FRN) 307,670
6.845% due 02/13/2003
300,000 General Electric Capital Corp. 299,254
6.020% due 05/04/2001
150,000 General Electric Capital Corp. 150,676
7.380% due 05/23/2001
300,000 Grand Metropolitan Investment Corp. 303,876
8.625% due 08/15/2001
310,000 Inter-American Development Bank 297,236
6.950% due 06/16/2001
300,000 International Lease Finance Corp. 299,742
6.780% due 09/05/2001
400,000 Kellogg Co. 396,680
6.125% due 08/06/2001
300,000 Key Bank NA (FRN) 300,014
6.664% due 07/30/2001
200,000 Lehman Brothers Holdings Inc.(FRN) 199,808
7.169% due 04/04/2003
250,000 Merrill Lynch & Co. Inc.(FRN) 250,000
6.861% due 08/01/2002
250,000 Merrill Lynch & Co. Inc.(FRN) 250,193
6.973% due 03/25/2002
250,000 Monument Global Managed Fund - 144A (FRN) 250,000
6.910% due 09/26/2003
300,000 Morgan Stanley Dean Witter & Co. (FRN) 300,232
6.890% due 02/21/2003
300,000 Nationsbank Corp. (FRN) 300,621
6.581% due 07/16/2001
300,000 Salomon Smith Barney Holdings (FRN) 299,774
7.009% due 04/28/2003
125,000 SBC Communications Inc. - 144A 125,002
6.684% due 05/15/2001
250,000 Unilever NV 250,000
6.880% due 10/24/2002
250,000 U.S. Bancorp 250,617
6.941% due 02/03/2003
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TOTAL CORPORATE DEBT
(COST $ 5,923,282) 5,924,764
</TABLE>
See Notes to the Financial Statements.
1
<PAGE> 3
COMMONFUND INSTITUTIONAL FUNDS
CIF SHORT DURATION FUND
PORTFOLIO OF INVESTMENTS OCTOBER 31, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PAR VALUE DESCRIPTION VALUE
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COMMERCIAL PAPER 32.9%
<S> <C> <C>
$ 300,000 American Honda Finance $ 297,990
6.520% due 11/08/2000
300,000 Apreco Inc. 297,233
6.510% due 11/09/2000
250,000 Avon Capital Corp. 248,695
6.480% due 11/16/2000
300,000 Boeing Capital Corp. 298,167
6.470% due 11/20/2000
200,000 Clorox Company 198,922
6.470% due 11/17/2000
300,000 Enron Funding Corp. 298,213
6.500% due 11/08/2000
250,000 Fleet Funding Corp. 248,375
6.500% due 11/08/2000
300,000 Florida Progress Corp. 296,971
6.490% due 11/14/2000
275,000 Fortune Brands 272,974
6.470% due 12/05/2000
280,000 KFW International Finance 278,888
6.500% due 11/15/2000
270,000 Merck & Co., Inc. 268,059
6.470% due 11/29/2000
300,000 MetLife Inc. 298,490
6.470% due 11/03/2000
275,000 National Rural Utilities 274,007
6.500% due 11/13/2000
275,000 Park Avenue Receivables 273,508
6.510% due 11/16/2000
275,000 PPG Industries Inc. 273,215
6.490% due 11/28/2000
300,000 Schering Corp. 298,495
6.450% due 11/15/2000
275,000 Statoil 273,560
6.500% due 11/14/2000
275,000 SunTrust Banks Inc. 273,268
6.480% due 11/21/2000
287,000 Variable Funding Capital Corp. 285,695
6.550% due 11/20/2000
300,000 Verizon Global Funding 299,133
6.500% due 11/10/2000
300,000 Wal-Mart Stores Inc. 298,277
6.460% due 11/17/2000
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TOTAL COMMERCIAL PAPER
(AMORTIZED COST $ 5,852,135) 5,852,135
</TABLE>
See Notes to the Financial Statements.
2
<PAGE> 4
COMMONFUND INSTITUTIONAL FUNDS
CIF SHORT DURATION FUND
PORTFOLIO OF INVESTMENTS OCTOBER 31, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PAR VALUE DESCRIPTION VALUE
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ASSET BACKED SECURITIES 23.6%
<S> <C> <C>
$ 250,000 ANRC Auto Owner Trust $ 250,388
7.000% due 03/17/2003
145,927 Capital Auto Receivables Asset Trust - Series 1999-1 145,371
5.580% due 06/15/2002
100,000 Chase Manhattan Credit Card Master Trust 1996 - 3A 100,149
7.040% due 02/15/2005
250,000 Citibank Credit Card Master Trust I - Series 1999-3 250,041
6.880% due 03/15/2004
200,000 Citibank NA 2000-A2 200,000
6.850% due 11/07/2005
149,373 Daimler Chrysler Auto Trust 2000 - A - A2 149,337
6.760% due 01/06/2003
125,000 Daimler Chrysler Auto Trust 2000-B-A2 125,382
7.300% due 04/15/2003
100,000 Fleet Credit Card Master Trust II - Series 2000-A-A 100,152
6.750% due 07/15/2005
250,000 Ford Credit Auto Owner Trust 2000 - C -A3 250,445
7.130% due 09/15/2002
247,180 GGP-Homart - 144A 247,427
7.030% due 06/10/2003
148,601 Harley-Davidson Eaglemark Motorcycle Trust 148,739
6.880% due 08/15/2004
103,303 Harley-Davidson Eaglemark Motorcycle Trust 103,302
7.200% due 09/15/2004
125,000 Honda Auto Lease Trust 124,534
6.650% due 07/15/2005
106,029 Honda Auto Receivables Owner Trust - Series 1999-1-A3 105,311
5.300% due 09/15/2002
250,000 MBNA Master Credit Card Trust - Series 1996-A (FRN) 250,800
6.830% due 07/15/2005
100,000 Nissan Auto Receivables Owner Trust 99,679
6.470% due 09/15/2003
250,000 Nissan Auto Receivables Owner Trust 250,575
7.150% due 12/16/2002
300,000 Onyx Acceptance Auto Trust 300,543
7.050% due 05/15/2003
150,000 Peco Energy 150,701
7.300% due 09/01/2004
250,000 Toyota Auto Receivables Owner Trust 250,508
7.120% due 12/15/2002
86,258 USAA Auto Loan Grantor Trust - Series 1998-1-A 85,676
5.800% due 01/15/2005
250,000 USAA Auto Owner Trust 2000-1 250,312
6.900% due 04/15/2003
250,000 World Omni Auto Lease Securitization Trust 2000 - A 250,433
7.050% due 07/05/2002
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TOTAL ASSET BACKED SECURITIES
(COST $4,378,886) 4,189,805
</TABLE>
See Notes to the Financial Statements.
3
<PAGE> 5
COMMONFUND INSTITUTIONAL FUNDS
CIF SHORT DURATION FUND
PORTFOLIO OF INVESTMENTS OCTOBER 31, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PAR VALUE DESCRIPTION VALUE
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U.S. GOVERNMENT AND AGENCY OBLIGATIONS 5.4%
<S> <C> <C>
$ 356,018 Fannie Mae $ 353,530
6.500% due 12/01/2000
300,000 Federal Farm Credit Bank 300,526
6.930% due 07/03/2001
200,000 SLM Student Loan Trust - Series 1999-2 A2L (FRN) 199,668
6.918% due 04/25/2011
110,001 SLM Student Loan Trust - Series 2000-1-A1L (FRN) 110,048
6.850% due 10/27/2008
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TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS (COST $ 764,223) 963,772
SOVEREIGN DEBT OBLIGATIONS 1.7%
300,000 Quebec Province (FRN) 299,614
6.375% due 10/25/2001
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TOTAL SOVEREIGN DEBT OBLIGATIONS
(COST $ 298,937) 299,614
CERTIFICATES OF DEPOSIT 1.4%
125,000 BayerHypo Vereinsbank AG - Yankee 125,346
7.250% due 05/14/2001
125,000 Citibank NA 125,364
7.410% due 05/30/2001
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TOTAL CERTIFICATES OF DEPOSIT
(COST $ 249,863) 250,710
TOTAL INVESTMENTS AT MARKET VALUE
98.3% (COST $17,467,326) 17,480,800
OTHER ASSETS IN EXCESS OF LIABILITIES 1.7% 293,192
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NET ASSETS 100.0% $ 17,773,992
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</TABLE>
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FOOTNOTES TO PORTFOLIO OF INVESTMENTS:
144A Security exempt from registration under Rule 144A of the Securities Act
of 1933. This security may be resold in transactions exempt from
registration, to qualified institutional buyers. At October 31, 2000,
these securities amounted to $ 622,429 or 3.5% of net assets.
Yankee Dollar-denominated bonds in the U.S. issued by foreign banks and
corporations.
FRN Floating rate note
See Notes to the Financial Statements.
4
<PAGE> 6
COMMONFUND INSTITUTIONAL FUNDS
CIF SHORT DURATION FUND
STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2000 (UNAUDITED)
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<TABLE>
<S> <C>
ASSETS:
Investments at value (cost $17,467,326) ....................... $17,480,800
Cash .......................................................... 421,819
Receivable for expense reimbursement .......................... 20,172
Interest receivable ........................................... 112,984
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Total Assets ............................................ 18,035,775
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LIABILITIES:
Payable for investments purchased ............................. 200,000
Advisory fee payable .......................................... 2,960
Accrued expenses and other payables ........................... 58,823
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Total Liabilities ....................................... 261,783
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NET ASSETS ......................................................... $17,773,992
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NET ASSETS CONSIST OF:
Capital stock, $0.001 par value ............................... 1,771
Paid-in capital ............................................... 17,731,800
Undistributed net investment income ........................... 4,806
Accumulated net realized gain on investments sold ............. 22,141
Net unrealized appreciation of investments .................... 13,474
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TOTAL NET ASSETS ................................................... $17,773,992
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SHARES OUTSTANDING (UNLIMITED SHARES AUTHORIZED, $0.001 PAR VALUE).. 1,771,247
NET ASSET VALUE
Redemption and offering price per share ....................... $ 10.03
===========
</TABLE>
See Notes to Financial Statements.
5
<PAGE> 7
COMMONFUND INSTITUTIONAL FUNDS
CIF SHORT DURATION FUND
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED OCTOBER 31, 2000 (UNAUDITED)
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<TABLE>
<S> <C>
INVESTMENT INCOME
Interest ................................................ $ 530,332
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Total investment income .............................. 530,332
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EXPENSES
Advisory fees ........................................... 15,800
Professional fees ....................................... 30,165
Directors' fees and expenses ............................ 21,114
Insurance fees .......................................... 11,060
Registration fees ....................................... 8,815
Printing and postage fees ............................... 3,268
Custodian and fund accounting fees ...................... 1,954
Administration fees ..................................... 416
Miscellaneous ........................................... 1,399
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Total expenses before reimbursement ................. 93,991
Less expense reimbursements .......................... (73,322)
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Total expenses net of expense reimbursements ......... 20,669
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NET INVESTMENT INCOME ........................................ 509,663
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NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
Net realized gain on investments sold ................... 22,141
Net change in unrealized appreciation of investments .... 13,474
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NET INCREASE IN NET
ASSETS RESULTING FROM OPERATIONS ........................ $ 545,278
=========
</TABLE>
See Notes to Financial Statements.
6
<PAGE> 8
COMMONFUND INSTITUTIONAL FUNDS
CIF SHORT DURATION FUND
STATEMENTS OF CHANGES IN NET ASSETS
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<TABLE>
<CAPTION>
SIX MONTHS ENDED
OCTOBER 31, 2000
(UNAUDITED)
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<S> <C>
NET ASSETS AT BEGINNING OF PERIOD .......................... $ 10,200,000
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INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income ................................. 509,663
Net realized gain on investments sold ................. 22,141
Net change in unrealized appreciation of investments .. 13,474
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Net increase in net assets resulting from operations .. 545,278
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DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ................................. 504,857
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Total distributions ................................ 504,857
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CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares ..................... 9,013,714
Issued to shareholders in reinvestment of distributions 504,857
Cost of shares repurchased ............................ (1,985,000)
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Net increase from capital share transactions ....... 7,533,571
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Total increase in net assets ....................... 7,573,992
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NET ASSETS AT END OF PERIOD ................................ $ 17,773,992
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Undistributed net investment income ........................ $ 4,806
============
OTHER INFORMATION:
SHARE TRANSACTIONS:
SHARES OUTSTANDING AT BEGINNING OF PERIOD .................. 1,020,000
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Sold .................................................. 898,154
Issued to shareholders in reinvestment of distributions 50,356
Repurchased ........................................... (197,263)
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Net increase in shares outstanding .................... 751,247
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SHARES OUTSTANDING AT END OF PERIOD ........................ 1,771,247
============
</TABLE>
See Notes to Financial Statements.
7
<PAGE> 9
COMMONFUND INSTITUTIONAL FUNDS
CIF SHORT DURATION FUND
FINANCIAL HIGHLIGHTS - FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
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<TABLE>
<CAPTION>
SIX MONTHS ENDED
OCTOBER 31, 2000
(UNAUDITED)
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<S> <C>
Net Asset Value, beginning of period ...................... $ 10.00
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Income from Investment Operations:
Net investment income ................................. 0.29
Net realized and unrealized gain
on investments ....................................... 0.03
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Total from Investment Operations: ................. 10.32
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Less Distributions:
Dividends from net investment income .................. 0.29
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Total distributions ............................... 0.29
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Net increase in net asset value ........................... 0.03
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Net Asset Value, end of period ............................ $ 10.03
==========
Total Return ...................................... 3.28% ** (a)
RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period (000's) ......................... $ 17,774
Ratios to average net assets:
Net investment income (after reimbursement
and waiver of certain operating expenses) ............. 6.98% *
Net investment income (before reimbursement
and waiver of certain operating expenses) ............. 6.10% *
Operating expenses (after reimbursement
and waiver of certain operating expenses) ............. 0.25% *
Operating expenses (before reimbursement
and waiver of certain operating expenses) ............. 1.13% *
Portfolio Turnover Rate ............................... 41.76% **
</TABLE>
* Annualized
** Not Annualized
(a) Total return would have been lower had certain expenses not been
reimbursed and waived.
See Notes to Financial Statements.
8
<PAGE> 10
COMMONFUND INSTITUTIONAL FUNDS
CIF SHORT DURATION FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
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1. ORGANIZATION
Commonfund Institutional Funds (the "Company") was established as a Delaware
business trust under an Agreement and Declaration of Trust dated August 7, 1999
and is registered under the Investment Company Act of 1940, as amended (the
"1940 Act"), as an open-end, diversified management investment company. The
Company currently consists of one series, CIF Short Duration Fund (the "Fund"),
which commenced operations on May 1, 2000. The Fund seeks current income from
interest and price appreciation consistent with liquidity and capital
preservation. There can be no assurance that the Fund will achieve its
investment objective. Net asset value of the Fund is expected to fluctuate
modestly in response to changes in interest rates.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions at
the date of the financial statements. Actual results could differ from those
estimates.
The following is a summary of significant accounting policies which are in
conformity with generally accepted accounting principles consistently followed
by the Company in the preparation of its financial statements:
SECURITY VALUATION: Corporate debt securities and debt securities of the U.S.
Government and its agencies (other than short-term investments, which mature in
less than sixty days) are valued by an independent pricing service approved by
the Board of Trustees which utilizes market quotations and transactions,
quotations from dealers and various relationships among securities in
determining value. If not valued by a pricing service, such securities are
valued at prices obtained from independent brokers. Investments with prices that
cannot be readily obtained are carried at fair value as determined in good faith
under consistently applied procedures established by and under the supervision
of the Board of Trustees. Short-term investments that mature in 60 days or less
are valued at amortized cost.
SECURITY TRANSACTIONS AND INVESTMENT INCOME: Security transactions are recorded
as of trade date. Realized gains and losses from security transactions are
determined on the basis of identified cost. Interest income, including
amortization of premium and accretion of discount on securities, is accrued
daily. Dividend income is recorded on the ex-dividend date.
FEDERAL TAXES: The Fund intends to continue to qualify as a "regulated
investment company" under Subchapter M of the Internal Revenue Code of 1986, as
amended. By so qualifying, the Company will not be subject to Federal income
taxes to the extent that it distributes all of its taxable income and net
realized gains, if any, for its fiscal year. In addition, by distributing during
each calendar year substantially all of its net investment income, capital gains
and certain other amounts, if any, the Company will not be subject to Federal
excise tax. Therefore, no Federal income tax provision is required.
DISTRIBUTIONS TO SHAREHOLDERS: Dividends to shareholders resulting from net
investment income are recorded on the ex-dividend date and paid monthly. Net
realized capital gains, if any are distributed at least annually. Income and
capital gains distributions are determined in accordance with income tax
regulations which may differ from generally accepted accounting principles.
These differences are primarily due to differing book and tax treatments in the
timing of the recognition of gains or losses, including "Post-October Losses"
and losses deferred due to wash sales; and permanent differences due to
differing treatments for paydown gains/losses on certain securities, foreign
currency transactions, market discount, and non-taxable dividends. Any taxable
income or gain remaining at fiscal year end is distributed in the following
year. Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to paid in capital. Undistributed
net investment income may include temporary book and tax basis differences which
will reverse in a subsequent period. Permanent book-tax differences, if any, are
not included in ending undistributed net investment income for the purposes of
calculating net investment income per share in the Financial Highlights.
9
<PAGE> 11
COMMONFUND INSTITUTIONAL FUNDS
COMMONFUND SHORT DURATION FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
3. INVESTMENT ADVISORY FEES AND OTHER RELATED PARTY TRANSACTIONS.
The Company has retained the services of Commonfund Asset Management Company,
Inc. ("COMANCO"), an indirect wholly owned subsidiary of The Commonfund for
Non-profit Organizations ("Commonfund"), as investment adviser. COMANCO
exercises overall responsibility for supervision of the investment management
program for the Fund but has contracted out the day-to-day management of the
investment operations of the Fund to sub-advisers. As compensation for the
services rendered by COMANCO under the investment advisory agreement with the
Company, COMANCO receives a fee from the Fund, which is computed daily and paid
monthly, equal to an annual fee of 0.19% of the Fund's average daily net assets.
COMANCO has retained the services of Wellington Management Company, LLP and
Western Asset Management Company as investment sub-advisers to the Fund. As
compensation for their services, each sub-adviser receives a fee paid by COMANCO
that is based on the average daily net assets of the Fund.
The Company has retained the services of Investors Bank & Trust Company ("IBT")
as the transfer agent, dividend disbursing agent, custodian and fund accounting
agent for the Fund. For these services, IBT will receive a fee from the Fund,
which is computed daily and paid monthly, at an annual rate of 0.0235% of the
average daily net assets of the Fund up to $10 billion and 0.0185% of such net
assets in excess of $10 billion. In addition, the Company has retained IBT as
administrator of the Fund. For its services as administrator, IBT will receive a
fee from the Fund, which is computed daily and paid monthly, at an annual rate
of 0.005% of the average daily net assets of the Fund up to $10 billion and
0.0025% of such net assets in excess of $10 billion. Certain officers of the
Company are also officers of IBT.
The Company has entered into a distribution agreement with Commonfund
Securities, Inc. ("Commonfund Securities"), an indirect wholly owned subsidiary
of Commonfund, to serve as principal distributor for shares of the Fund. COMANCO
has agreed to pay Commonfund Securities for services rendered to the Company.
The Fund will pay each trustee, other than Robert L. Bovinette, who is Chair of
the Board of Trustees of the investment adviser, an annual fee of $8,000 plus
reimbursement of out-of-pocket expenses.
4. PRINCIPAL SHAREHOLDERS
At October 31, 2000, 79.76% of the outstanding shares of the Fund were held by
three shareholders, each holding in excess of 10% of the Fund's outstanding
shares. Investment activities of these shareholders could have a material effect
on the Fund.
5. EXPENSE LIMITATIONS
COMANCO has contractually agreed that it will waive its fee or reimburse the
Fund for expenses through at least October 31, 2001, to the extent necessary to
maintain the Fund's total operating expenses at not more than 0.25% of the
average daily net assets of the Fund. Such waiver and/or reimbursement is
determined on an annual basis. COMANCO has undertaken to pay all organizational
expenses of the Company.
10