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SEMI-ANNUAL REPORT
June 30, 1996 TIFF
(Unaudited) INVESTMENT Investment management
PROGRAM for foundations
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LETTER FROM THE PRESIDENT
February 29, 1996
Dear TIP Member:
We are pleased to present the Annual Report to Members of the TIFF Investment
Program, Inc. (TIP). As you know, TIP is a family of multi-manager, commingled
funds open exclusively to private and community foundations and other 501(c)(3)
organizations.
TIP administers six Funds at present: Multi-Asset, International Equity,
Emerging Markets, U.S. Equity, Bond, and Short-Term. All of TIP's Funds enable
member foundations to delegate to TIP responsibility for the time-intensive
tasks of selecting money managers and other vendors. The Multi-Asset Fund goes
beyond this by providing Members with an opportunity to also delegate to TIP
responsibility for the all-important task of asset allocation. A seventh Fund,
the TIFF Global Equity Fund, will commence operations as soon as adequate
capital commitments have been received.
We are very gratified by the favorable reception that TIP has received from
the not-for-profit community. We are engaged in active discussions with
numerous organizations throughout the United States that have expressed interest
in learning more about TIP, and would welcome the opportunity to discuss this
exciting new initiative with other eligible investors.
For further information about the TIFF Investment Program, please call us at
800-984-0084.
Sincerely,
David A. Salem
President
CONTENTS
TIFF MULTI-ASSET FUND
PERFORMANCE GRAPH............................................... 1
STATEMENT OF NET ASSETS......................................... 2
TIFF INTERNATIONAL EQUITY FUND
PERFORMANCE GRAPH............................................... 6
STATEMENT OF NET ASSETS......................................... 7
TIFF EMERGING MARKETS FUND
PERFORMANCE GRAPH.............................................. 11
STATEMENT OF NET ASSETS........................................ 12
TIFF U.S. EQUITY FUND
PERFORMANCE GRAPH.............................................. 17
STATEMENT OF NET ASSETS........................................ 18
TIFF BOND FUND
PERFORMANCE GRAPH.............................................. 23
STATEMENT OF NET ASSETS........................................ 24
TIFF SHORT-TERM FUND
PERFORMANCE GRAPH............................................... 27
STATEMENT OF NET ASSETS......................................... 28
STATEMENT OF OPERATIONS........................................... 29
STATEMENT OF CHANGES IN NET ASSETS................................ 31
FINANCIAL HIGHLIGHTS.............................................. 34
NOTES TO FINANCIAL STATEMENTS..................................... 40
TIFF Multi-Asset Fund June 30, 1996
GRAPH
Policy Considerations: The Fund is designed as a core vehicle for that portion
of an organization's endowment committed to marketable, as distinct from
privately traded, assets. Its return objective is to produce a five percent
inflation-adjusted return with sufficient consistency to induce its holders to
"stay the course": to adhere to investment policies that comport better with
their goal of preserving endowment purchasing power than do policies that place
more emphasis on controlling short-term volatility. The Fund seeks to
outperform its benchmark through three means: (1) active security selection
within asset class segments; (2) periodic shifting of assets among these
segments; and (3) judicious use of other commingled investment vehicles. The
first and second tools are wielded not by TIP's directors but rather by outside
money managers that they select. Some of these managers are specialists chosen
for their perceived ability to add value within a specific segment (e.g.,
Wellington serves as the Fund's resource-related equities specialist). Other
managers are generalists that seek to outperform their benchmarks through both
asset allocation shifts and active security selection (e.g., Standard Pacific
and TCW).
Performance Evaluation: The Fund has generated a 22.9% return net of fees for
the 15 month period since its inception, a pace considerably in excess of the
Constructed Index* that serves as its performance benchmark. The Fund has also
bested its goal of generating a 5% or higher inflation-adjusted return per
annum, but this is unsurprising given the generally strong upward trend of
financial assets since the Fund commenced operations. Interestingly, the Fund
has outperformed its benchmark despite a material underweighting in U.S. stocks,
which have been the best performing asset class of those in which the Fund
primarily invests. This underweighting, which persists, is the product of
strategic decisions by the Fund's managers, almost all of whom have outperformed
their specific benchmarks. Happily, the performance drag caused by the
underweighting in U.S. stocks has been more than offset by relative gains
produced by a policy tilt initiated by the cooperative's directors (in late
1995) toward the resource-related stocks comprising its "Specialized Equities"
segment, and from extraordinarily strong performance by Bee & Associates. The
Fund has also benefited greatly from its "Equity Substitutes" segment, which
comprises absolute return-oriented partnerships pursuing a variety of strategies
not readily available via conventional mutual funds.
Investment Performance (For Periods Ended June 30, 1996)
Total Return (net of fees)
--------------------------------------------------------
Quarter Cumulative Since Annualized Since
Ended 6/30/96 Inception (3/31/95) Inception (3/31/95)
TIFF Multi-Asset Fund 3.2% 22.9% 17.9%
Constructed Index* 2.3 19.8 15.5
Average Global
Flexible Fund** 2.9 20.7 16.3
* 25% Wilshire 5000; 30% MSCI All Country World ex US Index; 15% Merrill Lynch
Treasury Bill Index + 5% per annum; 10% MSCI Global Resource-Related
Index; 15% Lehman Aggregate Bond Index; and 5% Lehman Majors ex US Bond
Index
** Comparative mutual fund averages provided by Lipper Analytical Services.
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TIFF Multi-Asset Fund June 30, 1996 (Unaudited)
Statement of Net Assets
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Long-Term Investments [84.4%] Shares Value +
Common Stock [51.6%]
U.S. Common Stock [18.5%]
Aerospace [0.2%]
United Technologies Corp. 2,000 $ 230,000
Airlines - 0.4%
AMR Corp. 2,100 191,100
Delta Air Lines, Inc. 2,800 232,400
UAL Corp. 2,200 118,250
Total 541,750
Broadcasting [0.5%]
Cablevision Systems Corp. - Class A 800 37,000
Clear Channel Communications, Inc. 1,800 148,275
Infinity Broadcasting Corp. 2,550 76,500
Lin Television Corp. 1,400 50,400
Viacom, Inc. - Class B 3,400 132,175
Westwood One, Inc. 2,600 39,650
Total 484,000
Chemicals [0.3%]
Carbide/Graphite Group, Inc. (The) 17,100 320,625
Computer Software [0.9%]
Broderbund Software, Inc. 700 22,575
Cerner Corp. 1,700 36,338
Computer Sciences Corp. 3,200 239,200
DST Systems, Inc. 1,700 54,400
I2 Technologies, Inc. 100 4,313
Inso Corp. 900 47,138
Medic Computer Systems, Inc. 900 73,013
Microsoft Corp. 1,600 192,200
Netscape Communications Corp. 1,200 74,700
Peoplesoft, Inc. 1,400 99,750
Remedy Corp. 800 58,400
Security Dynamics Technologies, Inc. 1,400 115,150
Sterling Commerce, Inc. 600 22,275
Total 1,039,452
Computers [0.5%]
Altera Corp. 600 22,800
Cisco Systems, Inc. 4,800 271,800
Electronic Data Systems Corp. 3,400 182,750
Storage Technology Corp. 3,600 137,700
Total 615,050
Construction [0.6%]
Caterpillar, Inc. 2,400 162,600
J. Ray McDermott, SA (a) 24,000 600,000
Total 762,600
Drugs [0.2%]
Amgen, Inc. 2,300 124,200
Biogen, Inc. 1,100 60,363
IVAX Corp. 1,600 25,400
Johnson & Johnson 1,600 79,200
Total 289,163
Electronics [2.8%]
Catalina Lighting, Inc. 157,650 886,781
Hewlett-Packard Co. 2,300 229,138
Intel Corp. 4,100 301,094
Macromedia, Inc. 800 17,500
Maxim Intergrated Products, Inc. 1,700 46,431
Motorola, Inc. 3,000 188,625
Tencor Instruments 64,625 1,219,797
Texas Instruments, Inc. 1,700 84,788
UCAR International, Inc. 8,800 366,300
Total 3,340,454
Financial [0.6%]
Associates First Capital Corp. 3,000 $ 112,875
Citicorp 2,400 198,300
Credit Acceptance Corp. 1,600 33,600
CUC International, Inc. 2,400 85,200
Green Tree Financial Corp. 4,600 143,750
Merrill Lynch & Company, Inc. 1,700 110,713
Total 684,438
Health Care [0.4%]
Columbia/HCA Healthcare Corp. 3,500 186,813
Health Management Assoc., Inc. - Class A 2,250 45,563
Healthsource, Inc. 2,400 42,000
MedPartners/Mullikin, Inc. 2,600 54,275
Oxford Health Plans, Inc. 800 32,900
PhyCor, Inc. 3,000 114,000
Thermo Cardiosystems, Inc. 50 33,563
Total 509,114
Insurance [0.1%]
Gallagher (Arthur J.) & Company 1,500 48,000
Marsh & McLennan Companies, Inc. 700 67,550
Progressive Corp. 1,300 60,125
Total 175,675
Leisure [0.1%]
Gaylord Entertainment Company 1,260 35,595
Mirage Resorts, Inc. 800 43,200
Total 78,795
Machines [0.4%]
American Standard Companies, Inc. 4,600 151,800
Applied Materials, Inc. 1,100 33,550
Baldor Electric Company 1,400 31,500
Boeing Co. 2,700 235,237
Total 452,087
Manufacturing [0.5%]
Lear Corp. 4,800 169,200
Magna International, Inc. - Class A 200 9,200
Oakley, Inc. 1,500 68,250
Procter & Gamble Co. 2,100 190,313
Safeskin Corp. 400 16,600
Xerox Corp. 3,000 160,500
Total 614,063
Metals [1.8%]
Algoma Steel, Inc. 66,000 239,250
Alumax, Inc. 7,000 212,625
Aluminum Company of America 5,700 327,038
Century Aluminum Company 1,000 15,750
Easco, Inc. 56,000 462,000
Phelps Dodge Corp. 5,400 336,825
Santa Fe Energy Resources, Inc. 20,000 237,500
Titanium Metals Corp. 9,800 253,575
Total 2,084,563
Mining [0.9%]
Amax Gold, Inc. 35,000 192,500
Newmont Mining Corp. 7,000 345,620
Santa Fe Pacific Gold Corp. 25,000 353,125
Solv-Ex Corp. (a) 7,200 140,400
Total 1,031,645
Motor Vehicles [0.2%]
Chrysler Corp. 3,100 192,200
Ford Motor Co. 2,900 93,888
Total 286,088
Oil Services [1.6%]
Anadarko Petroleum Corp. 5,000 290,000
Camco International, Inc. 9,500 321,813
McMoRan Oil & Gas Co. 60,000 157,500
Tom Brown, Inc. 15,000 256,875
Tuboscope Vetco International Corp. 60,000 667,500
Union Texas Petroleum Holdings, Inc. (a) 10,000 195,000
Total 1,888,688
Oil/Gas Exploration [1.5%]
Noble Affiliates, Inc. 18,000 679,500
Oryx Energy Co. 36,000 585,000
Pogo Producing Co. 12,500 476,563
Total 1,741,063
Paper [0.1%]
Champion International Corp. 2,200 91,850
Publishing [0.3%]
Westvaco Corp. 10,000 298,750
Railroads [0.2%]
Burlington Northern Santa Fe, Inc. 2,400 194,100
Retail [0.8%]
Bed Bath & Beyond, Inc. 4,000 107,000
Boston Chicken, Inc. 5,700 185,250
Heilig-Meyers Co. 2,500 60,000
Home Depot, Inc. 2,800 151,200
Just For Feet, Inc. 1,500 79,313
OfficeMax, Inc. 3,800 90,725
PetSmart, Inc. 2,500 119,375
Starbucks Corp. 1,600 45,200
Sunglass Hut International, Inc. 3,300 80,432
Viking Office Products, Inc. 2,400 75,300
Total 993,795
Services [1.4%]
AccuStaff, Inc. 3,100 84,475
Alternative Resources Corp. 2,000 73,500
American Oncology Resources, Inc. 3,000 65,250
America Online, Inc. 1,800 78,750
Apollo Group, Inc. - Class A 2,000 56,000
Corporate Express, Inc. 4,200 168,000
Corrections Corporation of America 2,000 140,000
First Data Corp. 1,900 151,288
Gartner Group, Inc. - Class A 2,900 106,213
Global DirectMail Corp. 1,500 59,250
HFS, Inc. 1,600 112,000
Kimberly-Clark Corp. 1,500 115,875
Medaphis Corp. 2,600 103,350
Mossimo, Inc. 1,600 63,800
Paychex, Inc. 1,900 91,438
Robert Half International, Inc. 3,100 86,413
Romac International, Inc. 2,200 56,100
Total 1,611,702
Telecommunications [1.2%]
Ascend Communications, Inc. 2,800 157,500
Cascade Communications Corp. 2,200 149,600
LCI International, Inc. 1,700 53,338
Lucent Technologies, Inc. 1,600 60,600
Premisys Communications, Inc. 2,000 122,000
U.S. Robotics Corp. 600 51,300
USCI, Inc. 122,000 793,000
Total 1,387,338
Total U.S. Common Stock 21,746,848
(Cost $20,304,319)
Foreign Common Stock [33.1%]
Australia [0.3%]
Australian National Industries Ltd. 110,000 89,201
Goodman Fielder Ltd. 85,000 $ 86,327
News Corporation Ltd. - ADR 5,500 129,250
Santos Ltd. 25,000 86,603
Total 391,381
Austria [1.6%]
Vogel & Noot Waermetechnik AG 15,850 428,938
Wolford AG 6,000 1,467,469
Total 1,896,407
Canada [4.7%]
Agnico-Eagle Mines Ltd. (a) 20,000 325,000
Alberta Energy Co. Ltd. 50,000 937,500
Anderson Exploration Ltd. 33,460 318,992
Barrick Gold Corp. 20,000 542,500
Cambior, Inc. 21,500 287,563
Canadian Natural Resources Ltd. 17,500 326,136
Chauvco Resources Ltd. - Class A 20,000 161,098
Euro-Nevada Mining Corp. 6,600 282,728
Franco-Nevada Mining Ltd. 3,000 190,024
Imperial Oil Ltd. 10,000 421,250
Magna International, Inc. - Class A 3,600 165,600
Memotec Communications, Inc. 70,000 282,341
PanCanadian Petroleum Ltd. 5,500 220,504
Placer Dome, Inc. 11,000 262,625
Talisman Energy, Inc. 17,000 395,242
TVX Gold, Inc. 57,300 415,425
Total 5,534,528
Finland [0.6%]
Benefon OY 43,450 711,834
France [2.1%]
Accor SA Ordinary Shares 1,260 176,073
AXA Co. 1,570 85,807
Banque National de Paris 2,460 86,275
Equipements et Composants pour
l'Industrie Automobile 7,000 961,882
Michelin (CGDE) - Class B 3,540 172,864
Schneider SA 3,790 198,606
Total Compagnie Francaise
des Petroles SA - ADR (a) 13,173 489,048
Usinor Sacilor 17,000 244,983
Total 2,415,538
Germany [1.0%]
Kaufhof Holding AG 235 88,800
Siemens AG 1,600 85,366
Sto AG - O.S. Vorzugs 1,925 953,783
Total 1,127,949
Hong Kong [2.0%]
Hung Hing Printing Group 4,210,000 1,115,023
Joyce Boutique Holdings 772,000 259,321
Sinocan Holdings Ltd. 2,225,000 977,365
Total 2,351,709
Indonesia [0.3%]
PT Kedaung Indah Can 462,500 323,114
Italy [2.0%]
Burgo (Cartiere) S.p.A. 23,000 125,526
Istituto Mobiliare Italiano S.p.A. 11,000 92,299
Industria Macchine Automatic S.p.A. 70,000 492,656
Safilo S.p.A. 60,000 1,497,517
Unicem S.p.A. 18,000 131,387
Total 2,339,385
Japan [2.5%]
Casio Computer Co. 12,000 114,964
Dai-Ichi Kangyo Bank Ltd. 10,000 186,131
Fujisawa Pharmaceutical 14,000 146,898
Heiwa 5,000 $ 115,420
Hitachi Ltd. 18,000 167,518
Japan Tobacco, Inc. 18 137,956
Kokusai Electric 7,000 129,653
Kumagai Gumi Company, Ltd. 30,000 120,438
Kyokuto Kaihatsu Kogyo 5,000 104,927
Kyushu Matsushita Electric Co. 6,000 108,394
Matsushita Electric Works 13,000 141,150
Meiji Seika 23,000 142,491
Nippon Shinpan Co. 16,000 113,869
Nippon Telegraph and Telephone Corp. 24 177,810
Sakura Bank Ltd. 16,000 178,102
Seikagaku 8,000 120,438
Sekisui House Ltd. 12,000 136,861
Senshukai 6,000 101,277
Shochiku 8,000 91,971
Suntelephone Co., Ltd. 15,000 108,805
Tochigi Fuji Industrial 15,000 121,943
Tokyo Electric Power 7,000 177,555
Total 2,944,571
Netherlands [1.3%]
Baan Company NV 1,900 64,600
DSM NV 880 87,300
Internatio-Muller NV 3,960 87,145
International Nederlanden Groep NV 2,950 87,881
Kon Neder Hoogovens En 2,350 86,925
Van Melle NV 15,550 1,142,178
Total 1,556,029
Norway [0.8%]
Kverneland Gruppen AS 39,600 974,424
Singapore [0.9%]
Electronic Resources Ltd. 914,000 1,056,086
Spain [0.5%]
Azkoyen SA 4,498 314,597
Centros Comerciales Pryca SA 3,700 92,320
Gas Natural SDG 470 98,581
Iberdrola SA 8,700 89,205
Total 594,703
Sweden [3.8%]
ABB AB - Series A 84 103,777
Investment AB Bure 200,000 1,839,954
IRO AB 100,000 1,025,548
Nobelpharma AB 77,750 1,442,290
Total 4,411,569
Switzerland [2.8%]
Ciba-Geigy AG - Registered Shares 90 109,537
Logitech Int'l SA - Registered Shares 10,050 1,259,258
Nestle SA 92 104,923
Stratec Holding AG 1,875 1,818,136
Total 3,291,854
Thailand [1.9%]
Siam City Bank Ltd. 1,500,000 1,388,397
Thai Theparos Food Products 170,000 877,152
Total 2,265,549
United Kingdom [4.0%]
Abbey National p.l.c. 8,700 73,046
B.A.T. Industries p.l.c. 9,300 72,312
Bass p.l.c. 5,700 71,523
British Steel p.l.c. - ADR (a) 15,000 380,625
JBA Holdings p.l.c. 175,000 1,390,590
Kingfisher p.l.c. 7,500 75,253
Powerscreen International p.l.c. 90,000 639,734
Premier Oil p.l.c. 406,535 192,657
Shell Transport & Trading Co. p.l.c. 5,100 74,640
SmithKline Beecham Ordinary Shares - Class A 6,800 $ 72,662
Unilever Ltd. p.l.c. 3,800 75,489
Victrex p.l.c. 345,000 1,488,524
Wetherspoon (J.D.) p.l.c. 4,600 72,463
Total 4,679,518
Total Foreign Common Stock 38,866,148
(Cost - $35,224,486)
Total Common Stock 60,612,996
(Cost - $55,528,805)
Face
Corporate Obligations [1.3%] Amount
Anheuser Busch Cos., 6.900% due 10/1/02 100,000 100,479
Caterpillar, Inc., 9.000% due 4/15/06 130,000 145,808
Citicorp, 6.375% due 1/15/06 150,000 139,551
General Motors, 8.100% due 6/15/24 145,000 144,420
International Lease Finance, 5.750%
due 12/15/99 150,000 145,792
Lockheed Martin, 7.250% due 5/15/06 150,000 148,892
Merrill Lynch & Co., 6.000% due 1/15/01 150,000 144,835
Southwest Air, 9.250% due 2/15/98 150,000 156,398
Wells Fargo & Co., 6.875% due 4/1/06 110,000 105,985
Willamette Industries, Inc., 7.850%
due 7/1/26 250,000 249,885
Total Corporate Obligations 1,482,045
(Cost - $1,491,490)
Investment Companies [7.2%] Shares
GMO Currency Hedged International Bond Fund 236,749 2,791,273
GMO Emerging Country Debt Fund 90,639 1,281,637
GMO Emerging Markets Stock Fund 282,706 3,256,776
TCW Galileo Asia Pacific Fund 83,507 797,495
TCW Galileo Latin America Fund 32,226 327,412
Total Investment Companies 8,454,593
(Cost - $8,068,926)
Limited Partnerships [14.9%] Units
Concentric Capital LP 1,800 1,845,802
Euro-Partners Arbitrage Fund 2,446 3,987,646
Farallon Capital Partners LP 4,338 5,097,431
Highbridge Capital Corp. 1,843 3,079,425
Thematic Investment Partners LP 1,000 1,001,035
Value Realization Fund (The) LP
(Canyon Partners) 110,000 1,111,440
Vega Offshore Fund 11,545 1,384,751
Total Limited Partnerships 17,507,530
(Cost - $15,270,000)
Mortgage-Backed Securities [3.9%] Face
Federal Home Loan Mortgage Corp. Amount
TBA, 7.000% due 11/13/25 800,000 770,244
TBA, 8.000% due 6/1/26 313,100 315,936
6.000% due 3/1/11 324,564 307,017
7.000% due 3/1/26 440,774 424,380
7.500% due 6/1/11 383,800 385,359
Government National Mortgage Assn.
TBA, 7.500% due 7/1/26 600,000 591,182
ARM, 6.500% due 2/20/23 329,838 332,116
6.250% due 1/20/25 295,878 296,318
6.500% due 1/20/26 294,666 295,126
6.500% due 5/20/26 349,575 350,120
7.500% due 3/15/26 302,262 297,820
8.000% due 6/15/26 217,150 219,048
Total Mortgage-Backed Securities 4,584,666
(Cost - $4,607,785)
U.S. Treasury Securities [5.5%] Face
U.S. Treasury Note Amount Value +
5.000% due 1/31/98 500,000 $ 492,031
5.125% due 4/30/98 850,000 835,656
6.250% due 8/31/00 1,300,000 1,291,063
6.625% due 6/30/01 550,000 553,438
7.500% due 5/15/02 1,325,000 1,385,864
5.875% due 11/15/05 665,000 626,347
U.S. Treasury Bond
7.500% due 11/15/24 1,120,000 1,187,200
Total U.S. Treasury Securities 6,371,599
(Cost - $6,403,040)
Total Long-Term Investments 99,013,429
(Cost - $91,370,046)
Short-Term Investments [22.3%]
U.S. Treasury Securities [4.8%] ++
U.S. Treasury Bill #
4.960% due 7/5/96 1,000,000 999,467
4.970% due 7/18/96 4,000,000 3,991,572
4.800% due 9/19/96 105,000 103,803
5.020% due 12/12/96 555,000 541,852
Total U.S. Treasury Securities 5,636,694
(Cost - $5,629,714)
Other Short-Term Investments [17.5%]
Bank of Boston (Nassau) Time
Deposit, 5.725% due 7/1/96 (b) 1,246,580 1,246,580
Bank of Ireland (Cayman) Time
Deposit, 5.100% due 7/1/96 (b) 354,194 354,194
Investors Bank & Trust Company
Repurchase Agreement, 5.030% due
7/1/96; Issued 6/28/96 (Collateralized by
$7,395,696 GNMA #8817, 6.500% due
2/20/26 with a market value of $7,552,590;
$6,901,164 GNMA #780280, 9.000% due
11/15/21 with a market value of $7,303,653;
$3,743,685 FNMA #190888, 7.500% due
7/1/09 with a market value of $3,700,000;
and $3,000,000 FNMA #292873, 7.500% due
9/1/09 with a market value of $3,000,000) 19,002,016 19,002,016
Total Other Short-Term Investments 20,602,790
(Cost - $20,602,790)
Total Short-Term Investments 26,239,484
(Cost - $26,232,504)
Total Investments [106.7%] 125,252,913
(Cost - $117,602,550)
Other Assets and Liabilities [(6.7%)]
Receivable for forward currency contracts $ 2,738,991
Other assets 2,444,875
Payable for forward currency contracts (2,739,129)
Payable for securities purchased (8,658,996)
Other accrued expenses and liabilities (1,656,056)
Other assets and liabilities, net (7,870,315)
Net Assets [100.0%]
Applicable to 9,794,908 outstanding
$.001 par value shares
(authorized 500,000,000 shares) $ 117,382,598
Net asset value per share $ 11.98
Components of Net Assets as of June 30, 1996 were as follows:
Capital stock at par value ($.001) $ 9,795
Capital stock in excess of par value 103,602,104
Undistributed net investment income 667,576
Accumulated net realized gain on investments,
financial futures contracts, short sales
and foreign currency-related transactions 5,333,195
Net unrealized appreciation on investments,
financial futures contracts, short sales, and on
assets and liabilities denominated in foreign
currency 7,769,928
Net Assets $ 117,382,598
+ See Note 2 to the Financial Statements.
++ Assets currently held in a segregated account as collateral for financial
futures contracts.
# Interest rate represents yield to maturity at the time of purchase.
(a) Security position (or a portion of this security position) is out on loan
at June 30, 1996.
(b) Collateral received for securities on loan at June 30, 1996 reinvested as
cash equivalents.
ARM Adjustable Rate Mortgage
LP Limited Partnership
TBA To-Be-Announced Security
See Notes to the Financial Statements
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TIFF International Equity Fund June 30, 1996
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GRAPH
Policy Considerations: The Fund is designed as a core vehicle for that portion
of a Member's assets committed to foreign stocks. Its benchmark comprises
virtually all non-U.S. stock markets, thereby permitting governing boards to
delegate to the Fund's managers responsibility for determining how monies
earmarked for foreign bourses should be allocated between developed markets on
the one hand and emerging markets on the other. (The Fund's emerging markets
exposure is normally 15% but may range as low as zero or as high as 30%.) The
Fund's vast selection universe translates into potentially higher long-term
returns than can be generated using a strictly domestic approach, reinforcing
the case for a material commitment by long-term investors to non-U.S. stocks.
The Fund is very well diversified across countries and currencies, an
unsurprising fact in light of the diversity of managers and investment
approaches that the Fund employs.
Performance Evaluation: The Fund continued to produce excellent results during
2Q 1996, outperforming its primary benchmark (the MSCI All Country World ex US
Index) by 250 bp and boosting its cumulative edge over the Index for the 25
month period since inception to 730 bp net of fees (23.2% vs. 15.9%). The
dollar rose against most foreign currencies during the quarter ended June 30,
1996, and the Fund's managers hedged some of their foreign currency exposure.
They also maintained an underweighting in Japan, whose currency continued to
decline against the dollar during 2Q 1996, causing Japan to underperform other
developed markets (as represented by the EAFE ex Japan Index) by 1.3% in dollar
terms (0.8% versus 2.1%). The Fund also benefited greatly from its
overweightings in several European markets that performed very well (the
Netherlands, Norway, and Spain), and from very favorable stock selection by
Mercury Asset Management and Harding, Loevner Management, L.P. As always, the
cooperative used external cash flows to rebalance manager allocations, which
were not materially different on June 30 than they were three months earlier
despite disparate manager returns.
Investment Performance (For Periods Ended June 30, 1996)
Total Return (net of fees)
Quarter Cumulative Since Annualized Since
Ended Inception Inception
6/30/96 5/31/94 5/31/94
-------------------------------------------------------
TIFF International Equity Fund 4.9% 23.2% 10.5%
MSCI All Country World ex US Index 2.4 15.9 7.3
Average International Fund * 3.5 15.7 7.3
* Comparative mutual fund averages provided by Lipper Analytical Services.
- ------------------------------------------------------------------------------
TIFF International Equity Fund June 30, 1996 (Unaudited)
Statement of Net Assets
- ------------------------------------------------------------------------------
Long-Term Investments [90.9%] Shares Value +
Common Stock [81.9]
Europe [46.2%]
Austria [0.1%]
Mayr-Melnhof Karton AG 2,500 $ 107,549
Vogel & Noot Waermetechnik AG 2,000 54,125
Total 161,674
Belgium [0.5%]
Electrabel SA 3,000 640,151
G.I.B. Holdings Ltd. 5,700 255,620
Total 895,771
Denmark [0.4%]
Bang & Olufsen Holding AS - Series B 11,000 430,932
Coloplast - Class B 2,500 246,977
Total 677,909
Finland [1.8%]
Benefon OY 55,000 901,056
KCI Konecranes International 6,700 164,648
Nokia AB 8,400 309,636
Outokumpo OY 18,800 316,103
OY Hartwall AB 52,600 1,281,268
Unitas Bank Ltd. - Class A 197,366 416,940
UPM-Kymmeme OY 18,000 374,434
Total 3,764,085
France [4.9%]
ADA 3,000 195,055
Alcatel Alsthom 5,451 475,021
Arkopharma 1,422 104,517
AXA Co. 7,901 431,823
Banque National de Paris 8,053 282,427
Boiron SA 725 88,367
But SA 1,000 68,318
Carrefour Supermarche 900 503,765
Cipe France SA 3,825 360,051
Clarins 3,371 517,518
Compagnie de Saint-Gobain 2,700 361,055
Dassault Systemes SA 745 23,308
Dollfus-Mieg & Cie 1,500 66,668
Elf Aquitaine 7,427 545,738
Emin-Leydier 1,775 156,747
Financiere et Industrielle Gaz et Eaux 2,489 1,014,459
Grand Optical Photoservice 2,000 257,356
Group Axime (Ex Segin) 12,750 1,577,944
Lectra Systemes 80,000 229,796
NRJ SA 2,000 263,955
Pechiney SA - A Shares 11,902 480,247
Primagaz Cie 8,250 914,282
Societe Television Francaise 1 2,700 308,128
Ste. Guilbert SA 2,500 363,908
Union Financiere de France Banque SA 1,600 136,635
Usinor Sacilor 25,400 366,033
Total 10,093,121
Germany [4.2%]
Bayer AG 57,300 2,021,181
Bayerische Mototen Werke (BMW) AG 500 208,361
Buderus AG 800 338,785
Deutsche Bank AG 29,700 1,403,334
Hochtief AG 1,776 796,041
Hoechst AG 7,000 237,039
Kiekert AG 5,000 137,813
Hornbach Baumarkt Aktiengesellschaft 11,000 498,097
Krones AG Hermann Kronseder Mannesmann AG 600 207,114
Marschollek, Lautenschlaeger Und Partner AG 210 232,905
Muenchener Rueckversicherung 272 560,494
Rhoen-Klinikum AG 1,620 212,626
Rhoen-Klinikum AG - Vorzugsakt 720 82,924
RWE AG 11,500 447,532
SGL Carbon AG 3,000 350,440
Siemens AG 7,500 400,151
VEBA AG 5,000 265,356
Wella Aktiengesellschaft AG 300 171,873
Total 8,572,066
Ireland [0.5%]
Greencore p.l.c. 74,000 388,635
Irish Continental Group p.l.c. 20,116 183,034
Jefferson Smurfit Group 47,500 128,143
Unidare p.l.c. 50,000 209,913
Waterford Wedgewood Units 81,114 106,175
Total 1,015,900
Italy [1.2%]
Banca Popolare Commercio e Industria 14,000 171,517
Brembo SpA 10,000 117,951
Bulgari SpA 14,700 234,514
Editoriale la Repubblica SpA 35,000 58,389
Fila Holding SpA - ADR 3,000 258,750
Gabetti Holding SpA 2,000 1,367
Gewiss SpA 9,000 134,894
Gucci Group NV - NY Regular Shares 800 51,600
Industrie Natuzzi SpA - ADR 11,800 604,750
La Giovanni Crespi SpA 28,000 115,026
Olivetti Group 684,250 367,644
Stet D Risp Non-Convertible 110,300 289,669
Total 2,406,071
Netherlands [4.8%]
Aalberts Industries NV 3,518 344,470
Draka Holding NV 7,000 216,317
Elsevier NV 33,000 500,234
IHC Caland NV 30,900 1,519,138
Internatio-Muller NV 10,320 227,105
International Nederlanden Groep NV 17,168 511,428
Koninklijke Boskalis Westminster NV 7,473 133,400
Koninklijke Nedlloyd Groep NV 15,600 358,820
Philips Electronics NV 2,900 94,200
Polygram NV 5,400 318,577
Randstad Holdings NV 8,000 589,957
Royal Dutch Petroleum Co. (Ordinary Shares) 4,100 632,541
Royal Dutch Petroleum Co. - NY Shares (a) 14,400 2,214,000
Van Melle NV 6,500 477,438
Wegener NV 4,000 423,505
Wolters Kluwer NV 10,900 1,236,984
Total 9,798,114
Norway [1.9%]
A/S Veidekke 5,000 118,420
Dolphin Interconn 8,333 162,494
Nera AS 3,300 105,055
Norman Data Defense 5,000 96,889
Norsk Hydro AS - ADR 22,900 1,119,238
Olav Thon Eiendomsselskap AS 16,200 286,514
Schibsted Gruppen AS 36,400 470,234
Sensonor AS 47,800 411,670
System Etikettering AS 10,000 126,109
UNI Storebrand AS 63,000 282,915
Unitor Ships Service - ADR (a) 49,000 791,982
Total 3,971,520
Spain [2.8%]
Acerinox SA 2,200 229,692
Azkoyen SA 16,315 1,141,096
Banco Central Hispano SA 9,200 187,228
Banco de Santander SA 4,400 205,162
Banco Intercontinental Espanol (Bankinter) 14,300 1,597,809
Centros Comerciales Pryca SA 15,900 396,725
Compania Espanola de Petroleos SA 3,500 117,485
Iberdrola SA 31,671 324,736
Prosegur, CIA de Securidad SA 6,000 210,526
Tabacalera SA 7,400 372,164
Telefonica de Espana (Ordinary Shares) 40,400 743,423
Viscofan Industria Navarra
de Envolturas Celulosicas SA 17,500 276,316
Total 5,802,362
Sweden [4.9%]
Allgon AB - Class B 13,000 216,647
Astra AB - Series B 33,250 1,449,228
Autoliv AB 6,000 182,789
Avesta - Sheffield 21,000 197,946
BT Industries AB 20,000 307,664
Elekta Instrument AB 7,500 285,042
Hennes & Mauritz AB 2,900 268,980
Hoganas B - Class B 9,000 314,904
Investment AB Bure 162,525 1,495,193
IRO AB 105,000 1,076,826
Kinnevik AB 9,900 300,109
Munksjo AB 30,000 235,273
NetCom Systems AB (a) 9,900 113,850
Nobelpharma AB 79,000 1,465,478
OM Gruppen AB 22,500 617,591
Skandinaviska Enskilda Banken 70,900 566,721
SSAB Svenskt Stal AB - Class A 14,800 187,494
Telefonaktiebolaget LM Ericsson AB - Class B 16,720 360,595
Terra Mining AB 5,900 113,006
Trelleborg AB - Class B 21,400 267,879
Total 10,023,215
Switzerland [5.8%]
BBC Brown Boveri AG 8,050 1,959,497
Ciba-Geigy AG - Registered Shares 250 304,270
Fust SA Dipl. Ing AG 520 151,476
Georg Fischer AG 200 230,646
Keramik Holding AG Laufen 150 95,172
Logitech International SA - Registered Shares 11,750 1,472,267
Nestle SA - ADR 28,600 1,632,631
Phoenix Mecano AG 300 147,965
Sarna Kunststoff Holding AG 150 158,021
SGS Societe Generale de Surveillance
Holding SA - Class B 990 2,366,361
SGS Societe Generale de Surveillance
Holding SA - Class R 1,250 548,683
Sika Finanz AG 2,710 659,657
Stratec Holding AB 1,825 1,769,653
SMH AG (Societe Suisse pour la
Microelectronique et l'Horlogerie) 1,600 249,641
TEGE SA 2,680 121,915
Zehnder Holding AG - Class B 250 102,753
Total 11,970,608
United Kingdom [11.9%]
Airtours p.l.c. 40,000 315,677
Associated British Foods p.l.c. 80,000 479,878
Associated British Ports Holdings p.l.c. 92,400 397,231
Barclays p.l.c. 53,600 642,621
Bass p.l.c. 56,000 702,684
Bemrose Corp. p.l.c. 24,000 136,700
Blenheim Group p.l.c. 237,000 1,552,217
Blue Circle Industries p.l.c. 98,000 547,546
Boots Co. p.l.c. 63,600 571,515
British Aerospace p.l.c. 27,000 409,193
British Airways p.l.c. 81,000 696,444
British Gas p.l.c. 92,000 257,011
Capita Group p.l.c. 30,000 174,600
Chubb Security p.l.c. 65,000 325,338
Cowie Group p.l.c. 82,412 525,683
Devro International p.l.c. 60,000 225,350
Domestic & General Group p.l.c. 5,000 144,724
Expro International Group p.l.c. 10,000 55,096
F.I. Group p.l.c. 35,000 206,416
First Leisure Corp. p.l.c. 64,700 360,488
GKN p.l.c. 43,000 659,352
Goode Durrant p.l.c. 50,000 297,208
Granada Group p.l.c. 31,900 426,518
Grand Metropolitan p.l.c. - Ordinary Shares 66,000 437,385
Great Universal Stores p.l.c. 47,000 476,689
Halma p.l.c. 60,000 162,029
Hanson Trust p.l.c. 115,600 323,837
Invesco p.l.c. 150,400 540,369
Jarvis Porter Group p.l.c. 45,217 171,933
JBA Holdings p.l.c. 165,000 1,311,130
Ladbroke Group p.l.c. 115,000 318,587
Mackie International Group p.l.c. 7,500 35,502
Nan E D & F Group p.l.c. 80,000 216,038
Oxford Molecular Group p.l.c. 20,000 95,603
Platignum p.l.c. 575,008 69,162
Provident Financial p.l.c. 82,000 584,778
Psion p.l.c. 22,500 123,966
Racal Electronic p.l.c. 80,000 378,688
Railtrack Group p.l.c. 148,000 503,034
Rentokil Group p.l.c. 217,000 1,375,763
RTZ Corp. p.l.c. 26,400 390,471
Select Appointment Holdings p.l.c. 30,000 136,421
Serco Group p.l.c. 40,000 338,336
Seton Healthcare Group p.l.c. 48,000 368,010
Stagecoach Holdings p.l.c. 80,000 538,854
Taylor Woodrow p.l.c. 426,700 1,429,781
THORN EMI p.l.c. 17,000 472,274
Toad p.l.c. 110,000 180,963
Trinity Holdings p.l.c. 65,800 368,659
Unigate p.l.c. 85,000 525,042
Vendome Luxury Group Units p.l.c. 37,100 344,324
Victrex p.l.c. 320,000 1,380,659
Vodafone Group p.l.c. 81,700 303,682
Welsh Water plc 30,165 334,034
WPP Group p.l.c. 159,100 535,823
Total 24,881,316
General Europe [0.5%]
Central European Media Enterprises Ltd. 15,000 375,000
PartnerRe Ltd. 20,000 597,500
Total 972,500
Total Europe (Cost - $76,231,096) 95,006,232
Pacific [26.2%]
Australia [3.5%]
Amcor Ltd. 39,597 269,661
Australia and New Zealand Banking Group Ltd. 189,593 898,585
Australian National Industries Ltd. 452,080 366,600
Boral Ltd. 41,301 107,304
CSR Ltd. (a) 165,191 583,946
Eastern Aluminum Ltd. 116,000 110,505
Elders Australia Ltd. 247,716 321,794
Gio Australian Holdings Ltd. 281,021 692,506
National Australia Bank Ltd. 64,690 598,433
North Ltd. 78,424 225,363
Pacific Dunlop Ltd. 178,020 400,844
Pasminco Ltd. 320,000 450,965
QNI Ltd. 178,000 397,996
Renison Goldfields Consolidated Ltd. 118,447 573,508
Santos Ltd. 200,000 692,824
Wesfarmers Ltd. 70,079 419,316
Total 7,110,150
Hong Kong [3.1%]
Cathay Pacific Airways Ltd. 115,000 210,976
Chen Hsong Holdings 874,000 468,605
Hong Kong & China Gas Co., Ltd. 350,000 558,448
Hong Kong Electric Holdings Ltd. 130,000 396,372
Hutchison Whampoa Ltd. 270,000 1,698,793
Jardine Strategic Holdings Ltd. 180,812 578,598
Johnson Electric Holdings Ltd. 325,000 730,601
Joyce Boutique Holdings 3,350,000 1,125,294
Television Broadcasts Ltd. 150,000 562,970
Total 6,330,657
Japan [16.8%]
Amano Corp. 4,000 356,934
Atlantis Japan Growth Fund 100,000 1,061,930
Brother Industries Ltd. 100,000 612,226
Canon Sales Co., Inc. (a) 39,900 1,110,356
Canon, Inc. 80,000 1,664,234
Chiyoda Fire & Marine Insurance Co. 60,000 353,102
Daishinku 26,000 284,672
Eisai Co. Ltd 29,400 555,274
Fijitsu Denso 9,120 238,818
Fuji Oil 44,000 360,511
Fujikura Ltd. 60,000 497,080
Furkukawa Electric 126,000 753,011
Futaba Corp. 10,000 451,642
Gakken 66,000 488,978
Heiwa 16,000 369,343
Hitachi Ltd. 51,000 474,635
Honda Motor Co. Ltd. 52,000 1,347,445
Intec (a) 20,000 324,818
Ishikawajima-Harima Heavy Industries 94,000 946,989
Ito-Yokado Co. 26,000 1,568,066
Japan Air Lines 114,000 922,609
Kao Corp. 48,000 648,175
Kawasho 74,000 359,197
Kirin Beverage Corp. 20,000 293,796
Kubota Corp. 108,000 712,445
Kyokuto Boeki (a) 28,000 226,095
Matsushita Electric Industries Co. 30,000 558,394
Mitsubishi Corp. 34,000 446,715
Mitsubishi Heavy Industries Ltd. 179,000 1,556,451
Mitsui & Co. 132,000 1,195,949
Namco (a) 20,000 662,409
Nichimo (Builder) 50,000 244,069
Nippon Suisan Kaisha Ltd. 114,000 485,748
Nippon Telegraph and Telephone Corp. 36 266,715
Nippondenso Co. Ltd. (a) 62,000 1,346,350
Nomura Securities Co. Ltd. 38,000 741,971
Sankyo Seiko 36,000 270,985
Sansin Electronics Co. Ltd. 24,000 391,971
Sanwa Bank Ltd. 22,000 407,482
Shiseido Co. Ltd. 20,000 255,474
Showa Aircraft Industry 11,000 125,456
Showa Shell Sekiyu K.K. 20,000 208,029
Sintokogio 50,000 460,766
Sony Corp. 12,000 789,416
Sony Music Entertainment, Inc. 6,000 279,197
Stanley Electric Co., Ltd. 74,000 513,139
Sumitomo Metal Industries 300,000 919,708
Sumitomo Realty & Development 75,000 593,294
Sumitomo Rubber Industries (a) 64,000 554,161
Sumitomo Sitix Corp. (a) 32,000 706,569
Sumitomo Trust & Banking 56,000 766,423
Toda Construction Co. 22,000 214,781
Toho Co. 20 3,540
Tokyo Broadcasting System 34,000 601,825
Wacoal Corp. 46,000 625,365
Yamaha Motor Co. Ltd. 62,000 633,577
Yasuda Fire & Marine Insurance 88,000 657,591
Yushiro Chemical Industry 20,000 204,380
Total 34,670,281
New Zealand [0.6%]
Carter Holt Harvey Ltd. 27,000 290,074
Telecom Corp. of New Zealand Ltd. 143,000 600,272
Wrightson Ltd. 527,400 387,066
Total 1,277,412
Singapore [2.2%]
Acer Computer International Ltd. 240,000 465,600
Courts (Singapore) Ltd. 300,000 478,486
Development Bank of Singapore 93,500 1,166,513
Jardine Matheson Holdings Ltd. 35,191 258,654
Keppel Corp. Ltd. 164,000 1,371,801
Mandarin Oriental International Ltd. 311,806 436,528
Singapore Land Ltd. 53,000 358,794
Total 4,536,376
Total Pacific (Cost - $50,385,074) 53,924,876
North America [2.3%]
Canada [1.7%]
British Columbia Telecom, Inc. 26,195 108,106
Canadian General Investments-Closed End Fund 174,900 1,513,508
Imperial Oil Ltd. 32,400 1,364,850
Noranda, Inc. 15,000 306,908
Rogers Communications, Inc. - Class B 30,000 279,407
Total 3,572,779
United States [0.6%]
Tencor Instruments 62,125 1,172,610
Total North America (Cost - $4,937,564) 4,745,389
Emerging Markets [7.2%]
Argentina [0.3%]
Quilmes Industrial SA 37,000 379,250
Quilmes Industrial SA - ADR 18,500 189,625
Total 568,875
China [0.2%]
Guangshen Railway Co. Ltd. (The) 1,352,000 510,917
India [0.0%] +++
Shiriram Industries - GDR 6,000 24,000
Indonesia [1.1%]
Indonesian Development Fund, Ltd. 25,400 198,120
PT Bank International Indonesia 75,000 370,808
PT Citra Marga Nusaphala Persada-Foreign Shares 300,000 457,868
PT Citra Marga Nusaphala Persada 27,000 41,208
PT Gudang Garam 120,000 514,617
PT Steady Safe - Foreign Shares 175,000 218,186
PT Wicaksana Overseas International 190,000 522,786
Total 2,323,593
Korea [0.3%]
First Korea Smaller Companies Fund (The) 40,000 546,800
Malaysia [2.2%]
Carsberg AS 46,000 313,615
Nestle (Malaysia) Berhad 88,000 709,364
Nylex (Malaysia) Berhad 260,000 1,001,003
Resorts World Berhad 40,000 229,396
Rothmans of Pall Mall Berhad 35,000 368,458
Sime Darby Berhad 650,800 1,800,890
United Engineers (Malaysia) Ltd. 18,000 124,885
Total 4,547,611
Mexico [0.8%]
Grupo Financiero Banamex Accival SA
de CV - Class L 5,040 9,581
Grupo Financiero Banamex Accival SA 168,000 350,414
Grupo Televisa SA - GDR (a) 20,700 636,525
Telefonos de Mexico SA - Class L ADR 15,200 509,200
Vitro Sociedad Aninima - ADR (a) 26,000 178,750
Total 1,684,470
Peru [0.3%]
Banco Wiese - Sponsored ADR 72,000 513,000
Philippines [0.4%]
Philippine Commercial International Bank 45,000 563,791
Philippine Long Distance
Telephone Co. - ADR (a) 2,900 168,563
Total 732,354
Portugal [0.0%] +++
Somague - Sociedade Gestora 4,250 29,365
South Africa [1.0%]
De Beers Consolidated Mines Ltd. - ADR 8,800 297,000
Free State Consolidated Gold - ADR 26,700 246,975
LibLife Strategic Investments Ltd. 275,000 930,857
SA Iron & Steel Industrial Corp. Ltd. 315,287 246,955
Safmarine and Rennies Holdings Ltd. 39,500 116,364
South African Breweries Ltd. - ADR (a) 9,659 283,321
Vaal Reefs Exploration & Mining Company Ltd.-ADR 100 800
Total 2,122,272
Thailand [0.6%]
Siam City Bank Ltd. 1,275,000 1,180,137
Total Emerging Markets (Cost - $15,148,860) 14,783,394
Total Common Stocks (Cost - $146,702,594) 168,459,891
Commingled Investment Vehicles [6.8%] Units
Lazard Freres Emerging World Investors 3,000 3,169,009
Emerging Markets Country Fund 897,680 10,769,354
Total Commingled Investment
Vehicles (Cost - $13,600,000) 13,938,363
Preferred Stock [1.1%] Shares
Fresenius AG (Germany) 1,800 325,141
Krones AG (Germany) 550 209,345
Porsche AG (Germany) 700 420,331
Sto AG - O.S. Vorzugs (Germany) 2,800 1,387,321
Total Preferred Stock (Cost - $2,240,234) 2,342,138
Warrants [0.1%]
Atlantis Japan Growth Fund
Expiring 4/30/10 (Japan) 20,000 67,000
Hong Kong & China Gas Co., Ltd.
Expiring 9/30/97 (Hong Kong) 23,000 6,017
Jardine Strategic Holdings Ltd.
Expiring 5/2/98 (Thailand) 6,812 2,112
Wegener NV Expiring 7/2/96 (Netherlands) 4,020 7,411
Primagaz Cie Expiring 6/30/98 (France) 400 8,462
Total Warrants [Cost - $55] 91,002
Face
Convertible Bonds [1.0%] Amount (b)
Bangkok Bank Public Co., 3.250%
due 3/3/04 (Thailand) 1,340,000 1,527,600
Far East Levingston Ship, 1.500%
due 5/02/01 (Singapore) 500,000 486,250
Guilbert SA, 3.500% due 1/1/04 (France) 25,000 45,173
Total Bonds [Cost - $1,803,924] 2,059,023
Total Long-Term Investment (Cost - $164,346,807) 186,890,417
Short-Term Investments [13.4%]
Face
U.S. Treasury Securities [0.9%] # Amount Value +
U.S. Treasury Bill, 4.800% due 9/19/96 ++ $ 335,000 $ 331,181
U.S. Treasury Bill, 5.020%
due 12/12/96 ++ 1,595,000 1,557,214
Total U.S. Treasury Securities 1,888,395
(Cost - $1,888,254)
Other Short-Term Investments [12.5%]
Bank of Ireland (Cayman) Time Deposit,
5.100% due 7/1/96 (c) 8,723,800 8,723,800
Investors Bank & Trust Company
Repurchase Agreement, 5.030% due
7/1/96; Issued 6/28/96 (Collateralized
by $7,803,392 GNMA #8123, 6.500%
due 1/20/23 with a market value
$7,800,000; $7,839,800 GNMA #8684,
6.000% due 8/20/25 with a market
value of $7,800,000; $1,400,000
FHLMC #409060, 7.915% due 11/1/23
with a market value of $1,400,000;
and $1,000,000 FNMA #335277, 8.500%
10/1/09 with a market value of
$1,000,000) 16,970,875 16,970,875
Total Other Short-Term Investments 25,694,675
(Cost - $25,694,675)
Total Short-Term Investments 27,583,070
(Cost - $27,582,929)
Total Investments [104.3%] 214,473,487
(Cost - $191,929,736)
Other Assets and Liabilities [(4.3%)]
Receivable for forward currency contracts 15,166,438
Other assets 1,578,142
Payable for forward currency contracts (15,050,585)
Other accrued expenses and liabilities (10,497,368)
Other assets and liabilities, net (8,803,373)
Net Assets [100.0%]
Applicable to 17,121,281 outstanding
$.001 par value shares
(authorized 500,000,000 shares) $ 205,670,114
Net asset value per share $ 12.01
Components of Net Assets as of June 30, 1996 were as follows:
Capital stock at par value ($.001) $ 17,121
Capital stock in excess of par value 177,579,961
Undistributed net investment income 1,457,501
Accumulated net realized gain on investments,
financial futures, and foreign currency-related
transactions 3,641,603
Net unrealized appreciation on investments,
financial futures contracts, and assets and on
liabilities denominated in foreign currency 22,973,928
Net Assets $ 205,670,114
+ See Note 2 to the Financial Statements.
++ Assets currently held in a segregated account as collateral for financial
futures contracts.
+++ Rounds to less than 0.0%.
# Interest rate represents yield to maturity at the time of purchase.
(a) Security position (or a portion of this security position) is out on loan at
June 30, 1996.
(b) Face amount shown in U.S. dollars unless otherwise noted.
(c) Collateral received for securities on loan at June 30, 1996 reinvested as
cash equivalents.
See Notes to the Financial Statements
- ------------------------------------------------------------------------------
TIFF Emerging Markets Fund June 30, 1996
- ------------------------------------------------------------------------------
GRAPH
Policy Considerations: Investor perceptions of emerging markets did an about-
face between the fall of 1993 and early 1995: what was seen as a no-lose
proposition in late 1993 was seen as a no-win proposition by most investors a
year later - and is still regarded warily by many. Panic selling by investors
belatedly discovering that their time horizons are shorter than they had earlier
supposed have spawned legitimate opportunities in emerging markets -
opportunities that persist despite emerging markets' rebound over the last 15
months (MSCI Emerging Markets Free Index up 13.2% in U.S. dollars). But the
fact that the opportunities being spawned derive from shrinking investor time
horizons as well as improving fundamentals makes the short-term risks of
investing in emerging markets substantial. For foundations that have not
invested in such markets previously, the wisest course might be to eschew "pure
plays" in favor of more diversified funds whose managers are permitted but not
compelled to invest in emerging markets (e.g., the TIFF International Equity or
Multi-Asset Funds; these two Funds' normal allocations to emerging markets are
15% and 5%, respectively).
Performance Evaluation: The Fund has outperformed its primary benchmark in five
of the nine quarters since its inception, but has had difficulty overcoming the
return deficit it sustained when the Brazilian train left the station without
the Fund aboard in July and August of 1994. The train soon returned to the
station, but by then the Fund's managers had gotten it more fully invested, and
the Fund suffered along with other emerging market vehicles when the whole group
ran into difficulty in 4Q 1994 and 1Q 1995. The Fund's large and continuing
biases against Malaysia and South Africa, and toward Korea and so-called "China
plays" (stocks traded in Hong Kong and Taiwan), are large enough to potentially
eliminate its performance deficit in a brief span of time - or to magnify them
if these biases run counter to market sentiment. On balance, these biases
hampered performance during 2Q 1996: the overweighting in Taiwan proved highly
profitable, with post-election optimism and Taiwan's proposed inclusion in
certain widely used performance benchmarks feeding a huge rally (Taiwan index
up 37% in dollar terms); but the Hong Kong and Korean markets lagged other
emerging bourses. The Fund's relative returns were also hampered by its
managers' skepticism that this year's strong gains in Latin American shares
will prove enduring. Indeed, the managers did considerable profit-taking in
Latin American during 2Q 1996, entering the quarter with an average
underweighting of about 4% and exiting the quarter with an average
underweighting of 10%.
Investment Performance (For Periods Ended June 30, 1996)
Total Return (net of fees)
Quarter Cumulative Since Annualized Since
Ended Inception Inception
6/30/96 5/31/94 5/31/94
-----------------------------------------------
TIFF Emerging Markets Fund 1.2% (8.3%) (4.1%)
MSCI Emerging Markets Free Index 3.4 1.5 0.7
Average Emerging Markets Fund * 6.2 5.3 2.5
* Comparative mutual fund averages provided by Lipper Analytical Services.
- ------------------------------------------------------------------------------
TIFF Emerging Markets Fund June 30, 1996 (Unaudited)
Statement of Net Assets
- ------------------------------------------------------------------------------
Long-Term Investments [92.6%] Shares Value +
Common Stock [72.3%]
Latin America [16.7%]
Argentina [1.6%]
Argentina Fund, Inc. 36,000 $ 468,000
Argentinian Investment Co. 20,000 300,000
Astra Cia Argentina de Petro 64,860 155,729
Buenos Aires Embotelladora (BAESA) - ADR 2,400 31,800
Compania International Bebidas y Alimentos 14,810 25,928
Compania Naviera Perez Companc 5,562 36,864
Compania Naviera Perez Companc - ADR 9,082 120,505
Disco SA - ADR 1,700 37,613
Dragados y Construcciones
Argentina - Series B 8,472 38,983
Inversiones y Representacion - GDR 874 29,498
IRSA, Inversiones y Representaciones
SA (144A) (a) 30,899 105,103
Molinos Rio de La Plata - Class B 3,499 38,156
Siderar SAIC 6,420 16,828
YPF-Sociedad Anonima ADR 7,900 177,750
Total 1,582,757
Bolivia [0.0%] #
Compania Boliviana Energia 1,000 39,250
Brazil [3.1%]
Avipal SA - Avicultura e
Agropecuaria 25,240,000 42,908
Brazil Fund, Inc. 63,100 1,506,513
Cemig Cia Energy SA - ADR (b) 1,043 29,605
Cemig S.A. Energy - ADR 2,279 64,689
Centrais Electricas Brasileiras SA -
Electrobras 80,000 21,516
Compania Siderurgica Nacional 2,000,000 51,600
Compania Siderurgica Nacional - ADR 2,600 67,586
Compania Vale Do Rio Doce - ADR 7,400 148,138
Iven SA 474,000 191,212
Makro Atacadista SA 59,000 55,832
Makro Atacadista SA - GDS 4,100 38,745
Nakata SA - Industria e Comercio 150,000 52,290
Santista Alimentos SA 33,000 51,279
Telecomunicacoes Brasileiras SA - Telebras 700,000 41,140
Telecomunicacoes Brasileiras SA
Restricted - ADR 20 2,220
Telecomunicacoes Brasileiras
Telebras SA - ADR 9,450 657,956
Total 3,023,229
Chile [3.1%]
Chile Fund, Inc. 29,300 717,850
Chilectra SA - ADR 3,500 192,580
Compania de Telecomunicaciones
de Chile - ADR (b) 2,250 220,781
Enersis SA - ADR 19,200 595,200
Genesis Chile Fund 25,500 1,058,250
Quimica y Minera Chile - ADR 2,190 118,808
Santa Isabel SA - ADR 4,200 114,975
Total 3,018,444
Colombia [0.6%]
Banco de Bogota 699 3,731
Banco Industrial Colombiano 41,500 145,715
Carulla y Compania SA - ADR 2,985 21,791
Cemento Argos SA (144A) (a) 8,300 46,240
Cementos Paz del Rio - ADR 4,700 62,266
Compania Colombiana de Tabaco SA 25,289 75,771
Compania Nacional de Chocolates 5,900 48,795
Computec SA 38,063 $ 12,474
Industrais Alimenticias Noel 11,901 50,145
Pisos Asfalto y Vinilos Colo 11,000 20,599
Suramericana de Seguros SA 4,367 79,734
Total 567,261
Ecuador [0.0%] #
La Cemento Nacional of Ecuador - GDR 128 23,168
Mexico [4.7%]
Cemex SA de CV 90,380 327,510
Cifra SA de CV - Series A 20,000 29,042
Cifra SA de CV - Series B 146,420 211,460
Cifra SA de CV - Series C 73,000 104,076
Corporacion GEO SA de CV - Series B 23,000 102,323
Corporacion Industrial Sanluis SA de CV 9,000 55,129
Cydsa SA 16,600 40,541
Desc SA de CV - Series C 645 3,406
Desc Sociedad de Fomento Industrial SA de CV 38,000 205,675
Empaques Ponderosa SA 51,000 121,859
Empresas ICA Sociedad Controladora SA
de CV - ADR (b) 11,500 159,563
Far-Ben SA de CV 105,000 202,367
Fomento Economico Mexicano SA de CV 59,000 169,011
Grupo Condumex SA de CV 2,500 11,320
Grupo Corvi SA 144A 100,000 79,208
Grupo Financiero Banorte - Series B 260,845 251,375
Grupo Financiero Inbursa, SA de CV Class B 16,000 66,323
Grupo Industrial Saltillo SA de CV 60,000 190,099
Grupo Mexico SA - Series B 55,340 170,220
Grupo Posadas SA - GDR 6,100 55,690
Grupo Posadas SA Series A 306,428 139,946
Ingenieros Civiles Asociados 6,000 83,960
Mexico Fund 67,000 1,021,750
Sigma Alimentos SA - Series BCP 11,600 103,365
Sistema Argos SA - Series B 90,000 71,287
Telefonos de Mexico SA - Class L ADR 15,250 510,875
Transportacion Maritima Mexicana SA de CV 15,000 94,455
Total 4,581,835
Peru [0.8%]
Banco de Credito del Peru - Series C 12,323 248,000
Compania de Minas Buenaventura SA - Class A 3,155 27,767
Compania de Minas Buenaventura SA -
Trabajo Shares 24,823 221,416
Compania Goodyear del Peru 2,300 5,411
Compania Nacional de Cerveza 118,595 43,180
CPT Telefonica del Peru SA 49,129 98,897
Enrique Ferreyros SA 11,713 15,815
Minsur SA - Trabajo 4,153 36,960
Southern Peru Copper Corp. 3,400 53,550
Southern Peru Copper Corp. - Trabajo Shares 2,000 7,700
Total 758,696
Venezuela [0.2%]
Ceramicas Carabobo - ADR 43,300 44,305
Mavesa, SA (144A) (a) - ADR (b) 11,891 44,589
Siderurgica Venezolana Sivens - ADR 10,200 31,620
Venprecar - GDS 14,000 56,000
Total 176,514
Latin American Region [2.6%]
Ceteco Holding (144A) (a) NV - ADR 1,010 55,027
Latin America IT Fund 500,000 832,500
Latin American Equity Fund 32,300 488,538
Morgan Grenfell Latin American Trust p.l.c. 1,000,000 1,132,960
Total 2,509,025
Total Latin America (Cost - $16,178,286) 16,280,179
Asia [33.1%]
China [2.1%]
China Fund, Inc. 35,000 428,750
China Yuchai International Ltd. 10,700 81,586
Greater China Fund, Inc. 92,500 1,179,375
Qingling Motors Co. Ltd. (144A) (a) 244,000 81,962
Shanghai Haixin Co. Ltd.-Class A 86,200 31,032
Shanghai Shangling Electric Appliances Co. Ltd. 76,416 40,348
Yizheng Chemical Fibre Co. Ltd.-Class A 788,000 174,089
Total 2,017,142
Hong Kong [3.4%]
C.P. Pokphand Co. Ltd. 2,734,000 1,086,154
Champion Technology Holdings 1,150,056 135,210
Chen Hsong Holdings 96,000 51,472
Dong Fang Electrical Machinery
Co. Ltd.-Class H 162,000 40,604
Goldlion Holdings Ltd. 116,000 99,662
Guangdong Investments 310,000 196,248
Guangshen Railway - Sponsored ADR 11,600 221,850
Henderson China Holdings Ltd. (b) 39,500 88,286
High Fashion International 336,000 15,193
Kingboard Chemicals Holdings Ltd. 230,000 32,389
KTP Holdings Ltd. 166,991 6,257
Lamex Holdings Ltd. 244,000 85,114
Lung Kee (Bermuda) Holdings Ltd. 254,000 64,975
M.C. Packaging Ltd. 504,000 213,250
New World Infrastructure Ltd. (b) 125,600 210,951
Pacific Concord Holdings 540,000 124,183
Singamas Container Holdings 612,000 59,301
Sinocan Holdings Ltd. 442,000 194,154
Tian An China Investments 409,000 55,483
Varitronix International Ltd. 129,000 269,160
Total 3,249,896
Indonesia [2.6%]
Indonesian Capital Fund, Inc. 91,100 1,056,760
PT Astra Graphia 138,750 178,955
PT Astra International, Inc. 58,000 84,157
PT Bakrie & Brothers - Foreign
Registered Shares 97,000 137,618
PT Bank International Indonesia 27,500 135,963
PT Charoen Pokphand Indonesia 41,000 79,321
PT Dharmala Sakti Sejahtera 223,500 151,338
PT Indorama Synthetics 54,800 139,003
PT Jakarta International Hotel and Development 72,500 62,339
PT Modernland Realty, Ltd. - Class F 37,500 41,111
PT Mulia Industrino 68,650 101,824
PT Pakuwon Jati 241,500 88,252
PT Petrosea 36,000 32,115
PT Semen Gresik - Foreign
Registered Shares 13,500 39,322
PT Steady Safe - Foreign Shares 94,000 117,197
PT Telekomunikasi Indonesia 66,000 93,637
PT Ultrajaya Milk Industry and Trading Co. 35,250 19,700
Total 2,558,612
Korea [8.9%]
Daewoo Securities Co. 81 1,888
Housing & Commercial Bank, Korea 15,210 354,462
Housing & Commercial Bank, Korea - Class A 4,700 109,531
Hyundai Engineering & Construction Co. 8,981 373,193
Hyundai Motor Co. Ltd. 5,030 189,788
Hyundai Motor Co. Ltd. - GDR 9,200 116,975
Keumkang Ltd. 400 25,450
Kookmin Bank 9,360 173,120
Korea Chemical Co. Ltd. 2,570 264,605
Korea Electric Power Corp. 33,700 1,163,502
Korea Electric Power Corp. - ADR (b) 3,800 92,150
Korea Express Co. (The) 1,094 39,794
Korea Fund, Inc. (b) 28,298 597,796
Korea Mobile Telecommunications
(144A) - ADR (a) (b) 13,200 224,400
Korea Mobile Telecommunications Corp. 230 181,504
New Korea Trust 101,000 1,654,380
Pohang Iron & Steel Company Ltd. - ADR (b) 28,240 688,350
Pohang Iron And Steel Co. Ltd. Ordinary Shares 100 6,276
Pusan Steel Pipe Corp. 6,953 218,620
Samsung Electron Devices Co. Ltd. 2,306 165,202
Samsung Electronics (144A) (a) - GDR 5,110 123,918
Samsung Electronics Co. 10,220 858,178
Samsung Electronics Co. - New 1,350 113,360
Samsung Fire & Marine Insurance 530 347,670
Shin Won Corp. 2,180 66,663
Shinhan Bank - Ordinary Shares 22,769 415,513
Taegu Department Store Company 14 290
Total 8,566,578
Malaysia [2.3%]
Arab Malaysia Corp. Berhad 9,000 35,372
Arab Malaysian Finance Berhad 1,000 4,371
Commerce Asset Holding Berhad 20,000 121,917
Ekran Berhad 34,000 129,537
Genesis Malaysia Maju 13,600 377,400
Genting Berhad 11,000 86,024
IJM Corp. Berhad 138,000 239,086
Malakoff Berhad 20,000 87,427
Malaysian Pacific Industries Berhad 43,000 179,346
Perlis Plantations Berhad 25,000 96,250
Public Bank Berhad - Foreign Market 66,000 182,635
Road Builder (M) Holdings Berhad 26,000 115,741
Sime UEP Properties Berhad 30,000 60,156
Sungei Way Holdings Berhad 29,000 136,074
Technology Resources Industries - Series A 61,000 212,833
Telekom Malaysia Berhad 19,000 169,160
Total 2,233,329
Philippines [1.5%]
Ayala Land, Inc. - Series B 57,625 103,610
Benpres Holdings Corp. - GDR 6,700 54,471
Engineering Equipment Corp. 642,400 56,523
First Philippine Fund, Inc. 51,100 855,925
First Philippine Holdings Corp. 27,168 66,517
Manila Electric Co. 3,100 32,613
Metropolitan Bank & Trust Co. 3,852 108,310
Philex Mining Corp. - Class B 1,006,200 128,951
Philippine Long Distance Telephone Co.-ADR 2,450 42,406
Total 1,449,326
Singapore [0.7%]
Chuan Hup Holdings Ltd. 85,000 65,074
Datacraft Asia Ltd. 109,000 117,720
GP Batteries International Ltd. 53,000 155,820
IPCO International Ltd. 29,000 83,520
San Teh Ltd. 222,240 170,142
Venture Manufacturing Ltd. 62,000 114,270
Total 706,546
Thailand [3.9%]
Alucon Public Co. Ltd. 15,000 82,713
Bangkok Bank Co. Ltd. 22,900 310,276
Bank of Ayudhya Ltd. 16,900 93,190
First Pacific Land, Ltd. 255,858 94,729
Hana Microelectronics Public Co., Ltd. 30,600 206,097
Industrial Finance Corp. of Thailand 63,734 286,174
MDX Co. Ltd. 117,900 202,003
Precious Shipping Ltd. 32,800 136,941
Raimon Land Co. Ltd. 76,000 92,048
Ramkamhaeng Hospital Co. Ltd. 17,400 26,043
Saha-Union Corp. Ltd. 61,000 84,092
Siam City Bank Ltd. 166,200 178,382
Siam Syntech Construction Public Co. Ltd. 36,300 50,756
TelecomAsia Corp. 62,300 132,506
Thai-German Ceramic Industry Co., Ltd. 22,300 51,822
Thailand International Fund 39,000 1,287,000
The Bank of Asia 92,600 198,775
The Siam Cement Co., Ltd. 2,800 137,414
The Thai Farmers Bank, Ltd. 9,800 107,306
Total 3,758,267
Taiwan [4.6%]
Acer, Inc. - GDR 8,540 64,904
China Steel Corp. - ADR 12,600 326,025
China Steel Corp. - GDR (b) 13,300 345,800
Formosa Fund - GDR 14 123,578
Formosa Growth Fund Ltd. 105,000 1,583,400
GVC Corp. 3,819 25,642
GVC Corp. - GDR 1,667 12,436
Hocheng Corp. - GDR 7,000 86,625
Hocheng Group Corp. - GDR (b) 8,197 87,869
ROC Taiwan Fund (b) 30,900 351,488
Siliconware Precision - GDR 18,240 143,640
Siliconware Precision Industries Co. - GDR 53,820 423,832
Taipei Fund (The) - Class B IDR 40 350,120
Taiwan Equity Fund, Inc. 10,000 108,750
Taiwan Index Fund 35,000 426,930
Total 4,461,039
Asian Region [3.1%]
Asia Tigers Fund, Inc. (The) 125,800 1,462,425
Edinburgh New Tiger Trust 1,475,000 646,699
Govett Asian Smaller Companies Fund 240,000 845,520
Niugini Mining Ltd. 40,000 83,454
Total 3,038,098
Total Asia 32,038,833
(Cost - $32,685,865)
Indian Sub-Continent [4.7%]
Bangladesh [0.0%] #
Beximco Pharmaceuticals Ltd. 9,625 15,536
India [4.3%]
BSES, Ltd. (144A) (a) - GDR 16,500 309,375
East India Hotels Ltd. - GDR 6,500 179,595
Grasim Industries Ltd. - GDR 13,400 249,642
Gujarat Ambuja Cements - GDR 31,040 380,240
Hindalco Industries Ltd. - GDR 8,580 324,968
India Cements Ltd. (144A) (a) - GDR (b) 12,600 70,560
India Cements Ltd. - GDR 7,600 41,800
India Fund (The) - Class B 237,000 456,101
Indian Opportunities Fund Ltd. 25,000 288,250
Jardine Fleming India Fund, Inc. 9,710 89,818
Larsen & Toubro Ltd. (New) - GDR 1,900 35,625
Larsen & Toubro Ltd. - GDR 10,420 196,313
Oryx (India) Fund Ltd. - GDR 1,000 7,500
Steel Authority of India, Ltd. - GDR 16,000 224,814
Tata Engineering & Locomotion - GDR 56,936 1,010,614
Tata Hydro-Electric Power Supply Co. - GDR 478 274,850
Total 4,140,065
Pakistan [0.3%]
Bank of Punjab Ltd. 7,800 4,401
Engro Chemical Pakistan Ltd. 13,196 61,070
Fauji Fertilizer 10,700 27,510
Hub Power Co. Ltd. - Sponsored GDR 400 9,800
Hub Power Co. Ltd. 40,000 39,537
Nishat Textile Mills 49,450 19,777
Packages Ltd 16,000 44,337
Pakistan State Oil Co Ltd 6,463 76,253
Pakistan Telecommunications - GDR 440 51,480
Pakistan Telecommunications Corp. 100 11,427
Total 345,592
Sri Lanka [0.1%]
Aitken Spence Hotels Ltd. 3,520 10,097
National Development Bank 10,021 35,253
Vanik Incorporated Ltd. 17,300 3,668
Total 49,018
Total Indian Sub-Continent 4,550,211
(Cost - $3,960,646)
Europe and Middle East [10.8%]
Austria [0.1%]
Julius Meinl International AG 2,620 85,573
Czech Republic [1.3%]
Cement Hranice AS 1,547 56,148
Czeske Energeticke Zavody - GDR 1,980 82,388
Deza Valasske Mezirici AS 1,227 102,428
Fatra Napajedla AS 1,220 46,494
Komercni Banka I.F. 6,882 192,832
Privatizacni Investicni Fund 8,900 176,372
SPT Telekom AS 2,050 250,000
The Czech Power Company (Czeske
Energeticke Zavody AS) 2,600 103,331
Zavody Presneho Strojiren ZL 1,546 88,938
Zivnobanka - Investicni Fond 2,591 46,550
Zivnobanka - Podilovy Fond 4,330 58,620
Total 1,204,101
Greece [1.1%]
A.G. Petzetakis SA 4,500 18,300
Alfa Beta Vassilopoulos SA 5,850 83,748
Alpha Credit Bank 5,970 314,615
Attica Enterprises SA 10,950 73,154
GEKAT (General Construction) SA 7,100 82,493
Hellenic Bottling Co., SA 5,080 168,427
Hellenic Technodomiki 5,820 106,262
Hellenic Telecommunications Organization SA 5,360 88,744
Michaniki SA 12,340 143,118
Total 1,078,861
Hungary [1.0%]
Borsodchem - GDR 3,400 65,450
Graboplast 4,560 101,872
Graboplast Rt. 861 19,602
Julius Meinl International AG 11,190 353,995
Mol Magyar Olaj es Gazipari 2,300 25,559
Mol Magyar Olay - Es Gazi - GDR 13,300 144,970
Pannonplast Plastic Industries 4,430 143,532
Primagaz Hungaria Rt 1,429 52,299
Soproni Sorgyar Brewery Ltd. 710 18,618
Total 925,897
Israel [0.5%]
ECI Telecommunications Ltd. 1,620 37,463
First Israel Fund, Inc. 38,700 445,050
Tadiran Ltd. - Sponsored ADR 1,400 37,800
Total 520,313
Poland [0.9%]
Bank Inicjatyw Gospodarczych 201,873 252,518
DROSED SA 2,929 44,073
Exbud SA 25,199 268,853
Fabryka Kotlow Rafako SA 14,600 86,480
First Polsko Amerykanski Bank 11,660 79,361
JELFA SA 2,793 39,046
Zaklady Metali Lekkich Kety 2,040 128,340
Total 898,671
Portugal [1.4%]
Banco Commercial Portugues 9,784 115,584
Banco Espirito Santo e Comercial de Lisboa 4,760 76,415
CINCA - Compania Industrial de Ceramica SA 2,827 21,843
Corticeira Amorim, SA 5,500 61,919
Engil - Sgps 4,783 38,484
Estabelecimentos Jeronimo Martins & Filho 1,090 98,142
Investec Consultadoria International 1,275 42,337
Mundicenter-Sociedade Imobiliaria, SA 2,500 60,664
Portugal Fund, Inc. 37,000 462,500
Portugal Telecom SA 6,420 167,797
Sociedade Financeira de Turismo, SA 3,600 62,069
Sociedade de Investimento e Gestao SA 4,590 55,690
Sonae Investimentos Sociedade Gestora
de Participacoes Sociais SA 4,290 111,496
Total 1,374,940
Russia [1.3%]
Fleming Russia Securities Fund 100,000 1,042,000
Lukoil Oil Co. - ADR (b) 2,900 129,050
Mosenergo - RDC (144A) (a) - ADR 800 7,520
San Francisco/Moscow Teleport 9,000 121,500
Total 1,300,070
Slovakia [0.5%]
Drovtona 1,510 50,869
Nafta Gbely AS 1,730 141,345
Slovenske Lodenice AS 1,029 66,776
Vahostav 510 42,500
Vychodoslovenske Zeleziarne 7,505 178,309
Total 479,799
Turkey [0.3%]
Akbank T.A.S. 1,601,500 192,881
Aksigorta 164,000 35,912
Alarko Holding AS 529,284 96,585
Enka Holding Yatirim AS 11,000 3,346
Total 328,724
European Region [2.4%]
Baring Emerging Europe Trust 1,070,000 1,032,550
Baring Chrysalis Fund 166,630 1,229,729
Nelson Gold Corp. Ltd. 81,175 71,436
Total 2,333,715
Total Europe and Middle East
(Cost - $10,081,857) 10,530,664
Africa [3.8%]
Botswana [0.0%] #
Sechaba Investment Trust Ltd. 39,000 30,488
Ghana [0.2%]
Ashanti Goldfields Co. Ltd. - GDR 11,000 215,875
Morocco [0.3%]
Omnium Nord Africain 5,200 238,587
South Africa [3.1%]
Anglo American Corp. of South Africa Ltd. 2,600 164,903
Anglovaal Ltd. 4,800 175,231
Barlow Ltd. 14,320 149,718
Lonrho p.l.c. 58,400 167,678
Bonnita Holdings Ltd. 23,800 21,171
C.G. Smith Ltd. 20,370 105,898
De Beers Centenary AG 8,260 280,550
Old Mutual South Africa Trust 250,000 403,500
Driefontein Consolidated Ltd. 11,400 152,773
First National Bank Holdings Ltd. 3,100 22,383
Gencor Ltd. 50,090 185,176
Gencor Ltd. - ADR (b) 6,800 26,350
Murray & Roberts Holdings Ltd. 34,200 136,705
New South Africa Fund, Inc. 35,500 488,125
SA Iron & Steel Industrial Corp. Ltd. 127,137 99,582
Sasol Ltd. 25,842 280,632
South African Breweries Ltd. 5,051 148,216
Total 3,008,591
Zimbabwe [0.2%]
Delta Corp. Ltd. 70,800 181,125
Total Africa
(Cost - $3,814,063) 3,674,666
General Emerging Markets [3.2%]
G.T. Global Developing Markets Fund 109,500 1,398,479
TCW/DW Emerging Markets Opportunities Trust 153,500 1,688,500
Total (Cost - $2,850,525) 3,086,979
Total Common Stock (Cost - $69,571,242) 70,161,532
Commingled Investment Vehicle [14.8%] Units
Emerging Markets Country Fund LP 1,204,219 14,299,022
Total Commingled Investment Vehicle 14,299,022
(Cost - $14,200,000)
Preferred Stock [3.0%] Shares
Banco Bradesco SA (Brazil) 29,871,383 238,971
Banco Nacional SA (Brazil) 4,900,000 90,650
Cementos Diamente (Colombia) 18,200 117,583
Centrais Electricas Goias "B" (Brazil) 357,000 14,225
CESP-Compania Energetica de Sao Paulo (Brazil) 1,100,000 38,350
Cia Cervejaria Brahma (Brazil) 316,615 187,626
Cia Energetica de Minas Gerais (Brazil) 8,056,500 214,273
Cia Tecidos Norte de Mina (Brazil) 290,000 114,391
Compania Vale Do Rio Doce (Brazil) 8,077 162,119
Cosigua-Siderur Guanabara (Brazil) 23,325,097 144,616
Delta Dairy SA (Greece) 2,640 21,252
Dixie Toga SA (Brazil) 110,839 107,096
IAP SA (Brazil) 1,215,000 12,636
Industries Bebidas Antarctica da
Paraiba "A" (Brazil) 389,000 58,123
Marcopolo SA (Brazil) 848,000 194,192
Melpaper SA (Brazil) 285,000 12,775
Metalurgica Gerdau SA (Brazil) 5,405,000 100,681
Michaniki SA (Greece) 8,470 70,293
Patroleo Brasileiro SA - Petrobras (Brazil) 3,696,000 462,371
Pettenati SA - Industria Text (Brazil) 400,000 5,360
Refrigeracao Parana SA (Brazil) 15,870,000 38,088
Sadia Concordia SA Industria e
Comercio (Brazil) 151,000 105,289
Telecommunicacoes Sao Paulo (Brazil) 10,157 2,185
Telecomunicacoes SA Telebras (Brazil) 2,381,713 170,292
Uniao de Bancos Brasileir (Brazil) 7,020,000 181,116
Total Preferred Stock (Cost - $2,801,339) 2,864,553
Rights [0.1%]
Alarko Holdings Expiring 7/26/96 (Turkey) 378,060 38,634
Bank of Ayudhya Ltd. Expiring 7/5/96
(Thailand) 11,000 8,124
PT Jakarta International Expiring 12/31/96
(Indonesia) 72,500 28,040
PT Mulia Industrino Expiring 6/2/97
(Indonesia) 55,650 16,023
Venture Manufacturing Expiring 12/31/99
(Singapore) 15,500 5,665
Total Rights (Cost - $0) 96,486
Warrants [0.0%] #
GP Batteries International Expiring 11/15/00
(Singapore) 10,000 8,500
San Teh Ltd. Expiring 6/30/98 (Singapore) 15,120 7,503
Singamas Containers Expiring 6/30/97
(Hong Kong) 36,800 133
Total Warrants (Cost - $5,000) 16,136
Face
Convertible Bonds [2.4%] Amount (b)
AC International Finance, 3.000%
due 6/8/00 (Philippines) 18,000 27,450
Bangkok Bank Public Co., 3.250%
due 3/3/04 (Thailand) 40,000 45,600
Henderson Capital International,
5.000% due 10/27/96 (Europe) 140,000 117,600
Metropolitan Bank, 2.750%
due 9/10/00 (Europe) 23,000 28,175
Nan Ya Plastics Corp., 1.750%
due 7/19/01 (Taiwan) 642,000 696,570
New World Infrastructure Ltd. (144A)
(Hong Kong), 5.000% due 7/15/01 (a) 51,000 48,705
Philippine Long Distance, 5.750%
due 12/31/49 (Philippines) 1,000 338
Teco Electric & Machine (144A),
2.750% due 4/15/04 (Taiwan) (a) 570,000 491,625
U-Ming Marine Transport, 1.500%
due 2/7/01 (Taiwan) 344,000 309,600
United Micro Electronics, 1.250%
due 6/8/04 (Taiwan) 353,000 455,370
YTL Corp. Berhard (144A) (a), 0.000%
due 8/15/02 (Malaysia) 50,000 65,125
Total Convertible Bonds (Cost - $2,441,910) 2,286,158
Total Long-Term Investments 89,723,887
(Cost - $89,019,491)
Short-Term Investments [11.0%]
Bank of Ireland (Cayman) Time Deposit,
5.100% due 7/1/96 (c) 3,241,050 3,241,050
Investors Bank & Trust Company
Repurchase Agreement, 5.030% due
7/1/96; Issued 6/28/96 (Collateralized
by $9,739,670 GNMA #8747, 6.500%
due 11/20/25 with a market value of
$9,836,026) 7,463,209 7,463,209
Total Short-Term Investments 10,704,259
(Cost - $10,704,259)
Total Investments [103.6%] 100,428,146
(Cost - $99,723,750)
Other Assets and Liabilities [(3.6%)] Value +
Receivable for forward currency contracts 3,376,635
Other assets 1,416,453
Payable for forward currency contracts (3,377,670)
Other accrued expenses and liabilities (4,945,193)
Other assets and liabilities, net (3,529,775)
Net Assets [100.0%]
Applicable to 10,648,172 outstanding
$.001 par value shares
(authorized 500,000,000 shares) $ 96,898,371
Net asset value per share $ 9.10
Components of Net Assets as of June 30, 1996 were as follows:
Capital stock at par value ($.001) $ 10,648
Capital stock in excess of par value 103,292,118
Undistributed net investment income 10,969
Accumulated net realized (loss) on investments
and foreign currency-related transactions (7,089,791)
Net unrealized appreciation on investments and on
translation of assets and liabilities denominated
in foreign currency 674,427
Net Assets $ 96,898,371
# Rounds to less than 0.0%.
+ See Note 2 to the Financial Statements.
(a) 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. At June 30,
1996, these securities were valued at $700,703 or 0.7% of net assets.
(b) Security position (or a portion of the security position) is out on loan at
June 30, 1996.
(c) Assets currently held as collateral for securities on loan at June 30,
1996.
ADR American Depositary Receipt
CVT Convertible
GDR Global Depositary Receipt
GDS Global Depositary Share
LP Limited Partnership
See Notes to the Financial Statements
- -------------------------------------------------------------------------------
TIFF U.S. Equity Fund June 30, 1996
- -------------------------------------------------------------------------------
GRAPH
Policy Considerations: The Fund is designed as a core investment vehicle for
that portion of an organization's assets committed to U.S. stocks. Accordingly,
it employs a diverse combination of managers that, collectively, provide
exposure to all major market sectors (growth, value, large cap, small cap,
etc.). The Fund's distinctive structure reflects the belief that governing
boards are ill-equipped to win the difficult game of style rotation. Indeed,
although most of the cooperative's directors are full-time investment
professionals, the board prefers to delegate responsibility for making whatever
"style" tilts the Fund displays to outside managers. The Fund's structure is
distinctive not because it entails broad diversification across market sectors,
but because it does so by combining active strategies with a low cost
"completeness" portfolio. This structure was discussed in detail in TIP's
Quarterly Report dated June 30, 1995 (copies available upon request).
Performance Evaluation: The Fund underperformed the Wilshire 5000 by a modest
margin (0.4%) during 2Q 1996, a result attributable largely to its relatively
defensive posture. The Fund's managers are permitted to use bonds or cash as
equity reserves (subject to a cap of 20%), and the Fund's 92% invested position
during 2Q 1996 reflected several managers' inability to find a sufficient number
of issues meeting their buy criteria. Notwithstanding its slight
underperformance in 2Q 1996, the Fund has accumulated a 320 bp lead over the
Wilshire 5000 in the 25 month period since inception net of fees (56.4% vs.
53.2%). This strong relative performance contrasts sharply with the average
diversified U.S. stock fund (as measured by Lipper Analytical Services), which
has underperformed the Wilshire 5000 by 620 bp since the TIFF U.S. Equity Fund
commenced operations in May 1994.
Investment Performance (For Periods Ended June 30, 1996)
Total Return (net of fees)
Quarter Cumulative Since Annualized Since
Ended Inception Inception
6/30/96 5/31/94 5/31/94
-----------------------------------------------
TIFF U.S. Equity Fund 4.0% 56.4% 23.9%
Wilshire 5000 Index 4.4 53.2 22.7
Average General [U.S.]
Equity Fund * 4.8 47.0 20.3
* Comparative mutual fund averages provided by Lipper Analytical Services.
- ------------------------------------------------------------------------------
TIFF U.S. Equity Fund June 30, 1996 (Unaudited)
Statement of Net Assets
- ------------------------------------------------------------------------------
Long-Term Investments [87.1%] Shares Value +
Common Stock [82.2%]
Aerospace [0.7%]
AAR Corp. 41,000 $ 835,375
Litton Industries Inc. 3,000 130,500
Total 965,875
Agriculture [1.0%]
Archer-Daniels-Midland Co. 9,800 187,425
Eastern Equities Corp Ltd. 350,000 235,264
Eskimo Pie Corp. 15,000 266,250
IBP, Inc. 19,000 524,875
Opta Food Ingredients, Inc. 6,600 66,825
Wrightson Ltd. 295,000 216,504
Total 1,497,143
Airlines [0.2%]
AMR Corp. 1,900 172,900
Continental Airlines - Class B (b) 1,200 74,100
Total 247,000
Banks [4.0%]
Bankamerica Corp. 3,600 272,700
Chase Manhattan Corp. 11,200 791,000
Comerica, Inc. 5,000 223,125
First American Corp. 1,100 46,337
First Chicago NBD Corp. 21,000 821,625
First Union Corp. (NC) 13,500 821,813
J.P. Morgan & Company, Inc. 5,600 473,900
Lafayette American Bank & Trust Co. 66,500 822,938
Mellon Bank Corp. 4,900 279,300
National City Corp. 6,600 231,825
NationsBank Corp. 8,100 669,262
Republic New York Corp. 1,600 99,600
Signet Banking Corp. 5,300 123,225
Zions Bancorporation 2,100 152,775
Total 5,829,425
Beverages [2.6%]
Anheuser-Busch Companies, Inc. 1,730 129,750
Coca-Cola Co. 61,400 3,000,925
PepsiCo, Inc. 15,800 558,925
Robert Mondavi Corp. - Class A 3,200 100,800
Total 3,790,400
Business Machines [1.2%]
Bay Networks, Inc. 7,100 182,825
Cabletron Systems 5,400 370,575
Hewlett-Packard Co. 4,300 428,388
International Business Machines Corp. 7,100 702,900
New England Business Service, Inc. 1,200 23,400
Total 1,708,088
Chemicals [5.0%]
Biosys, Inc. 177,904 872,831
Cytec Industries, Inc. 4,000 342,000
Dow Chemical 11,900 904,400
DuPont (E.I.) de Nemours & Co. 5,500 435,188
Eastman Chemical Co. 12,500 760,935
EcoScience Corp. 440,300 660,450
EnSys Environmental Products, Inc. 275,500 551,000
FMC Corp. 9,300 606,825
Great Lakes Chemical Corp. 600 37,350
Lubrizol Corp. 13,000 394,875
Monsanto Co. 12,000 390,000
Redman Industries, Inc. 4,900 101,675
Rogers Corp. 30,000 746,250
Sealed Air Corp. 3,200 107,600
Terra Industries, Inc. 2,700 33,413
Union Carbide Corp. 5,800 230,550
Total 7,175,342
Commercial Services [0.2%]
Caliber System, Inc. 3,700 125,800
CDI Corp. 2,500 84,375
Employee Solutions, Inc. 1,500 47,250
Roadway Express, Inc. 3,300 47,231
Total 304,656
Computer Software [1.9%]
Activision, Inc. 6,400 83,200
Aspen Technologies, Inc. 3,100 170,887
CMG Information Services, Inc. 1,700 45,900
Computer Associates International, Inc. 3,400 242,250
Compuware Corp. 2,600 102,700
Inference Corp. 1,200 28,500
Micrografx, Inc. 60,400 883,350
Microsoft Corp. 6,100 732,762
National Data Corp. 3,800 130,150
Project Software & Development, Inc. 2,000 93,750
PsiNet, Inc. 8,700 100,050
Veritas Software Corp. 1,600 68,800
Wall Data, Inc. 1,700 36,763
Total 2,719,062
Computers [0.9%]
Compaq Computer Corp. 11,400 561,450
Computer Network Technology Corp. 4,400 31,350
Gateway 2000, Inc. 5,300 179,867
Micros Systems, Inc. 3,200 87,400
Mylex Corp. 3,300 58,163
Planar Systems, Inc. 2,400 34,050
Seagate Technology, Inc. 4,000 180,000
Tech Data Corp. 4,000 87,000
Western Digital Corp. 4,300 112,338
Total 1,331,618
Construction [0.2%]
ABT Building Products Corp. 4,700 104,575
American Buildings Co. 1,100 32,175
BMC West Corp. 2,800 47,950
Continental Homes Holding Corp. 2,000 43,000
Medusa Corp. 1,500 46,500
Total 274,200
Containers [0.6%]
Aptargroup, Inc. 1,800 54,450
Avery-Dennison Corp. 3,500 192,063
Owens-Illinois, Inc. 44,300 708,800
Total 955,313
Cosmetics [0.9%]
Avon Products, Inc. 6,200 279,775
Johnson & Johnson 5,400 267,300
Procter & Gamble Co. 8,300 752,188
Total 1,299,263
Electrical Utilities [2.2%]
Baltimore Gas and Electric Co. 8,000 227,000
Central Vermont Public Service 12,600 160,650
Consolidated Edison Co. of NY, Inc. 4,600 134,550
Edison International 1,900 33,488
Entergy Corp. 11,090 314,679
Long Island Lighting Co. 38,500 644,875
MDU Resources Group, Inc. 150 3,225
New York State Electric & Gas Corp. 23,600 575,250
Pacific Gas and Electric Co. 11,300 262,724
Pinnacle West Capital Corp. 14,000 425,250
TNP Enterprises, Inc. 3,500 99,313
Unicom Corp. 9,700 270,386
United Illuminating Co. 1,700 63,538
Total 3,214,928
Electronics [4.2%]
Avnet, Inc. 9,200 387,551
Belden, Inc. 4,700 141,000
Bell Industries, Inc. 5,105 85,509
C-Cube Microsystems, Inc. (b) 6,600 217,800
Cable Design Technologies, Inc. 2,600 85,150
California Amplifier, Inc. 1,500 34,500
Cohu, Inc. 2,000 40,500
Cypress Semiconductor Corp. 5,100 61,200
DII Group, Inc. 2,100 54,206
FORE Systems, Inc. 9,800 353,413
General Instrument Corp. 2,400 69,300
HADCO Corp. 1,700 36,550
Intel Corp. 5,200 381,875
Jabil Circuit, Inc. 5,600 68,600
Johnson Controls Inc. 2,000 139,000
Kemet Corp. 14,900 299,863
Kent Electronics Corp. 6,600 206,250
Lam Research Corp. 1,500 39,000
Logicon, Inc. 2,100 62,738
Marshall Industries 1,600 44,800
MEMC Electronic Materials, Inc. 7,700 298,375
Merix Corp. 1,000 19,875
Micro Linear Corp. 4,400 32,450
Motorola, Inc. 10,900 685,335
Perceptron, Inc. 1,650 60,225
Philips Electronics NV - ADR 4,100 133,763
SCI Systems, Inc. 2,400 97,500
Sensormatic Electronics Corp. (b) 17,200 281,650
Smartflex Systems, Inc. 2,500 37,500
Texas Industries, Inc. 9,100 624,485
Thermo Instrument Systems, Inc. 4,025 129,806
TranSwitch Corp. 3,500 45,938
Triquint Semiconductor, Inc. 2,100 43,575
Tylan General, Inc. 1,100 14,575
Unitrode Corp. 1,300 25,188
Varian Associates, Inc. 5,400 279,450
Watkins-Johnson Company 2,000 54,750
Wyle Electronics 10,000 331,250
Zygo Corp. 1,700 74,375
Total 6,078,870
Financial [3.3%]
Aames Financial Corp. 2,000 71,750
Alex Brown, Inc. 1,300 73,450
Bear Stearns Companies, Inc. 5,095 592,870
Capital One Financial Corp. 6,700 190,950
Community Bank System, Inc. 100 3,113
Corporate Investments Ltd. 2,425,300 798,486
Lehman Brothers Holdings, Inc. 14,600 361,350
Merrill Lynch & Company, Inc. 9,900 644,738
Morgan Stanley Group, Inc. 4,800 235,800
National Auto Credit, Inc. 6,500 73,937
Salomon, Inc. 4,500 198,000
San Juan Basin Royalty Trust 130,300 798,088
Travelers Group, Inc. 15,600 711,750
Total 4,754,282
Foods [0.3%]
Chiquita Brands International 2,300 29,900
Smithfield Foods, Inc. 11,100 280,275
Supervalu, Inc. 5,100 160,650
Total 470,825
Health Care [2.8%]
American Oncology Resources, Inc. 6,300 137,025
ABR Information Services, Inc. 1,500 75,375
Columbia/HCA Healthcare Corp. 5,300 282,888
Health Care & Retirement Corp. 1,500 35,625
Health Management Assoc., Inc. - Class A 8,325 168,581
Hologic, Inc. 1,000 44,250
MedCath, Inc. 3,100 37,200
Medtronic, Inc. 4,800 268,800
Morrison Health Care, Inc. 31,667 443,333
Neurex Corp. 1,300 28,437
Orthologic Corp 3,000 38,250
Owen Healthcare, Inc. 5,100 70,763
Pediatrix Medical Group, Inc. 2,300 111,550
Pharmchem Laboratories 218,000 844,750
PhyCor, Inc. 4,800 182,400
Universal Health Services, Inc. - Class B (b) 35,100 916,988
Veterinary Centers of America, Inc. 3,300 73,838
VidaMed, Inc. 4,500 57,375
Vencor, Inc. 1,500 45,750
Vivra, Inc. 6,750 221,906
Total 4,085,084
Hotels/Restaurants [1.8%]
Darden Restaurants, Inc. 27,800 298,850
ITT Corp. (New) 5,500 364,375
Marriott International, Inc. 7,800 419,250
Morrison Fresh Cooking, Inc. 5,000 26,250
NPC International, Inc. 6,100 61,000
Red Lion Hotels, Inc. 3,500 73,500
Ruby Tuesday, Inc. 40,000 905,000
Ryan's Family Steak House, Inc. 22,000 203,500
Wendy's International, Inc. 9,200 171,350
Total 2,523,075
Housewares [0.8%]
Clorox Co. 1,200 106,350
Department 56, Inc. 14,400 325,800
Gillette Co. 1,640 102,295
Lancaster Colony Corp. 7,100 265,362
McKesson Corp. 3,900 185,738
Toro Co. 7,800 258,375
Total 1,243,920
Insurance (Life) [0.6%]
Jefferson-Pilot Corp. 6,300 325,238
Penncorp Financial Group, Inc. (b) 6,200 196,850
Transamerica Corp. 4,000 324,000
Total 846,088
Insurance (Other) [2.3%]
Allstate Corp. 10,100 460,813
AMBAC, Inc. 7,200 375,300
American Bankers Insurance Group 5,400 235,575
Cigna Corp. 3,900 459,713
First American Financial Corp. 1,100 37,125
Gainsco, Inc. 3,700 36,538
ITT Hartford Group, Inc. 7,200 383,400
Lincoln National Corp. 8,800 407,000
Loews Corp. 2,700 212,961
Orion Capital Corp. 6,400 326,400
Safeco Corp. 2,000 70,750
Stanhome, Inc. 5,700 151,050
USLife Corp. 5,200 170,950
Total 3,327,575
Leisure [0.4%]
AMC Entertainment, Inc. (b) 1,100 30,663
Callaway Golf Co. (b) 9,000 299,250
Coachmen Industries, Inc. 1,000 35,000
K2, Inc. 1,900 51,538
Ride, Inc. (b) 1,800 19,800
Sturm, Ruger & Company, Inc. 1,300 60,450
WMS Industries, Inc. 4,000 98,500
Total 595,201
Machines [0.9%]
Aetrium, Inc. 2,200 39,600
Blount International, Inc. - Class A 4,600 144,900
Cascade Corp. 2,100 28,088
Caterpillar, Inc. 5,700 386,175
Deere & Co. 3,200 128,000
Dover Corp. 6,200 285,975
Global Industrial Technologies, Inc. 2,300 36,800
Harnischfeger Industries, Inc. 800 26,600
Novellus Systems, Inc. 4,000 144,000
Regal-Beloit Corp. 1,200 23,700
Total 1,243,838
Metals [0.5%]
Oregon Metallurgical Corp. 2,000 59,000
Alumax, Inc. 6,000 182,250
Phelps Dodge Corp. 8,400 523,950
Total 765,200
Mortgage [0.3%]
Federal National Mortgage Association 11,700 391,950
Motor Vehicles [1.5%]
Chrysler Corp. 15,900 985,800
Ford Motor Co. 18,600 602,175
General Motors Corp. 9,800 513,275
Total 2,101,250
Oil Services [0.3%]
Camco International, Inc. 1,900 64,362
Seacor Holdings, Inc. 3,600 160,200
Seagull Energy Corp. 3,300 82,500
Smith International, Inc. 1,900 57,238
Total 364,300
Oil/Gas (Domestic) [2.1%]
Diamond Shamrock, Inc. 6,000 173,250
Enron Global Power & Pipelines L.L.C. 2,300 55,775
Equitable Resources, Inc. 4,400 124,300
Louisiana Land and Exploration Co. 3,100 178,638
National Fuel Gas Company 22,100 795,600
Occidental Petroleum Corp. 15,500 383,625
Phillips Petroleum Co. 13,300 556,937
Tosco Corp. 7,200 361,800
Valero Energy Corp. 9,900 247,500
Vastar Resources, Inc. 2,300 85,963
Total 2,963,388
Oil/Gas (International) [2.6%]
Amoco Corp. 9,000 651,376
Chevron Corp. 3,700 218,300
Exxon Corp. 19,400 1,685,376
Mobil Corp. 4,700 526,986
Newfield Exploration Company 1,100 42,763
Texaco, Inc. 7,800 654,226
Total 3,779,027
Paper [0.8%]
Boise Cascade Office Products Corp. (b) 7,800 270,075
Kimberly-Clark Corp. 11,700 903,825
Total 1,173,900
Pharmaceutical [6.4%]
Abbott Laboratories 11,300 491,550
American Home Products Corp. 11,000 661,375
Bergen Brunswig Corp. - Class A 2,800 77,700
Bristol-Myers Squibb Co. 20,400 1,836,000
Cardinal Health, Inc. 4,000 288,500
Cephalon, Inc. 3,800 74,575
Eli Lilly & Co. 9,800 637,000
Guidant Corp. 9,800 482,650
Liposome Company, Inc. 1,900 35,625
Merck & Company, Inc. 20,600 1,331,275
Owens & Minor, Inc. Holding Co. 50,800 590,550
Pfizer, Inc. 16,500 1,177,687
Rhone-Poulenc Rorer, Inc. 4,200 281,925
Schering-Plough Corp. 21,100 1,324,025
Total 9,290,437
Producer Goods [3.0%]
ACX Technologies, Inc. 5,000 99,375
American Brands, Inc. 4,400 199,650
Applied Materials, Inc. 5,900 179,950
Bush Industries, Inc. - Class A 1,800 61,200
Carlisle Companies, Inc. 1,000 53,125
Case Corp. 8,900 427,200
Commercial Intertech Corp. 1,300 33,475
Cummins Engine 3,500 141,313
Esterline Technologies Corp. 2,000 50,000
General Electric Co. 11,100 960,150
Harsco Corp. 1,500 100,875
Intermet Corp. 4,000 55,750
ITT Industries, Inc. 10,200 256,275
Lydall, Inc. 1,600 35,200
Miller Herman, Inc. 2,200 67,375
Minnesota Mining & Manufacturing Co. 1,200 82,800
NCI Building Systems, Inc. 2,300 76,763
Paragon Trade Brands, Inc. 2,800 60,200
Sherwin-Williams Co. 7,700 358,050
Textron, Inc. 4,800 383,400
Volt Information Sciences, Inc. 10,000 445,000
Vulcan Materials Co. 2,900 172,187
Total 4,299,313
Publishing [2.0%]
Bowne & Co., Inc. 1,700 35,063
Devon Group, Inc. 1,000 32,500
Dun & Bradstreet Corp. 2,900 181,250
Gannett Company, Inc. 4,300 304,225
Media General, Inc. - Class A 9,600 357,600
National Education Corp. 96,400 1,373,700
Pulitzer Publishing Co. 2,300 136,275
Steck-Vaughn Publishing Corp. 37,000 462,500
Total 2,883,113
Railroad [1.6%]
Burlington Northern Santa Fe, Inc. 2,300 186,013
Conrail, Inc. 4,500 298,687
CSX Corp. 23,300 1,124,225
Illinois Central Corp. 7,500 212,813
Norfolk Southern Corp. 4,900 415,275
Total 2,237,013
Retail (Foods) [0.3%]
Casey's General Stores, Inc. 3,000 59,625
Safeway, Inc. (b) 8,600 283,800
Sysco Corp. 3,500 119,875
Total 463,300
Retail (Other) [3.5%]
Barnes & Noble, Inc. 1,800 64,575
Borders Group, Inc. 12,100 390,225
Carson Pirie Scott & Co. 3,900 104,325
Consolidated Stores Corp. 18,000 661,500
Dayton-Hudson Corp. 400 41,250
Eckerd Corp. 7,600 171,950
Gadzooks, Inc. 3,000 96,750
Gap, Inc. 11,800 379,075
Global DirectMail Corp. 1,500 59,250
Home Depot, Inc. 9,000 486,000
Intimate Brands, Inc. 17,300 395,738
Kenneth Cole Prod., Inc. - Series A 2,000 39,500
Lands' End, Inc. 2,400 59,400
Longs Drug Stores Corp. 300 13,388
Mac Frugals Bargains Close-Outs, Inc. 52,500 931,875
OfficeMax, Inc. 14,600 348,575
Renters Choice, Inc. 1,500 38,250
Ross Stores, Inc. 3,000 104,250
Sunglass Hut International, Inc. (b) 11,000 268,125
TJX Companies, Inc. 3,700 124,875
Waban, Inc. 9,500 226,812
Total 5,005,688
Services [6.4%]
AccuStaff, Inc. 600 16,350
Advo, Inc. 13,800 143,175
Automated Security (Holdings) p.l.c. - ADR 75,517 84,957
Ceridian Corp. 4,700 237,350
Comdisco, Inc. 30,900 822,713
Computer Language Research 50,600 632,500
Computer Task Group, Inc. 66,500 1,878,625
Failure Group, Inc. 159,700 1,038,050
Hilb, Rogal & Hamilton Co. 36,500 506,438
Interpublic Group of Companies, Inc. 6,400 300,000
ITT Educational Services, Inc. 30,300 874,913
Kinder Care Learning Centers 43,100 662,660
Norrell Corp. 1,000 49,125
Parametric Technology Co. 4,400 190,850
PHH Corp. 7,400 421,800
Pittston Services Group 10,000 291,250
Rollins Truck Leasing Co. 18,900 196,088
Ryder System, Inc. 6,300 177,188
Software Publishing Corp. 223,400 642,275
Total 9,166,307
Steel [0.2%]
Allegheny Ludlum Corp. (b) 5,900 111,362
Bethlehem Steel Corp. 8,500 100,938
Inland Steel Industries, Inc. 4,700 92,238
Total 304,538
Telecommunications [1.6%]
California Microwave, Inc. 4,300 65,575
Citizens Utilities Co. - Class A 4,593 52,824
DSP Communications, Inc. 8,400 431,550
EIS International, Inc. 4,400 111,375
MCI Communications Corp. 6,300 161,438
PanAmSat Corp. 3,700 107,300
Periphonics Corp. 1,300 44,525
Proxim, Inc. 3,100 124,775
SBC Communications, Inc. (b) 9,500 467,875
Southern New England Telecommunications Corp. 6,600 277,200
U.S. West, Inc. 14,100 449,437
Total 2,293,874
Telephone [3.4%]
Airtouch Communications, Inc. 3,600 101,700
Ameritech Corp. 8,600 510,625
AT & T Corp. 21,600 1,339,200
Bell Atlantic Corp. 4,700 299,625
Century Telephone Enterprise 13,200 420,750
Cincinnati Bell, Inc. 1,000 52,125
GTE Corp. 14,750 660,063
Pacific Telesis Group 6,600 222,750
Sprint Corp. 26,000 1,091,994
WorldCom, Inc. 1,600 88,600
Total 4,787,432
Textiles [0.4%]
St. John Knits, Inc. 7,400 330,225
VF Corp. 3,700 220,613
Total 550,838
Thrifts [2.5%]
Albank Financial Corp. 720 18,990
American Federal Bank - FSB 22,000 368,500
Astoria Financial Corp. 2,800 75,950
Charter One Financial, Inc. 24,000 837,000
First Palm Beach Bancorp 1,100 23,512
First Savings Bank of Washington Bancorp, Inc. 10,000 156,250
Home Financial Corp. 40,400 525,200
Peoples Bank of Bridgeport, CT 28,000 623,000
Roosevelt Financial Group, Inc. 30,000 577,500
TR Financial Corp. 2,200 60,088
Washington Mutual, Inc. 9,600 286,800
Total 3,552,790
Tobacco [1.1%]
Philip Morris Companies, Inc. 14,200 1,476,800
Universal Corp. (b) 3,100 82,150
Total 1,558,950
Transportation [2.0%]
Airborne Freight Corp. 30,000 780,000
Goodyear Tire & Rubber Co. 15,200 733,400
Harper Group, Inc. 25,000 487,500
Pittston Burlington Group, Inc. 40,000 865,000
Total 2,865,900
Trucks [0.7%]
Air Express International Corp. 11,500 324,875
Consolidated Freightways, Inc. 12,000 253,500
Expeditors International Washington, Inc. 15,000 465,000
Total 1,043,375
Total Common Stock
(Cost - $101,326,494) 118,322,954
Commingled Investment Vehicles [4.8%] Units
Concentric Capital LP 3,250 3,332,699
Highbridge Capital Corp. 2,098 3,504,381
Total Commingled Investment Vehicles 6,837,080
(Cost -$6,000,000)
Preferred Stock [0.1%] Shares
Norian Corp. (144A) Preferred Stock (c) 295,000 206,500
Preferred Stock (Cost - $206,500)
Total Long-Term Investments 125,366,534
(Cost - $107,532,994)
Face
Short-Term Investments [12.0%] Amount
U.S. Treasury Security [0.4%] ++
U.S. Treasury Bill, 4.800% due 9/19/96 #
U.S. Treasury Security $ 545,000 538,786
(Cost - $537,833)
Other Short-Term Investments [11.6%]
Bank of Ireland (Cayman) Time Deposit,
5.100% due 7/1/96 (d) 3,330,896 3,330,896
Investors Bank & Trust Company
Repurchase Agreement, 5.030% due
7/1/96; Issued 6/28/96; (Collateralized
by $1,648,498 GNMA #8976, 7.000%
due 5/20/22 with a market value of
$1,650,000; $2,361,939 GNMA #8089,
7.000% due 12/20/22 with a market
value of $2,300,000; $2,511,343 GNMA
#8351, 6.500% due 1/20/24 with a market
value $2,500,000; and $9,865,851 GNMA
#8660, 6.500% due 7/20/25 with a
market value of $9,900,000) 13,858,449 13,858,449
Total Other Short-Term Investment 17,189,345
(Cost -$17,189,345)
Total Short-Term Investments 17,728,131
(Cost - $17,727,178)
Total Investments [99.1%] 143,094,665
(Cost - $125,260,172)
Other Assets and Liabilities [0.9%]
Other assets $ 5,196,652
Market value of securities sold short (686,850)
(Proceeds - $1,271,601)
Other accrued expenses and liabilities (3,665,565)
Other assets and liabilities, net 844,237
Net Assets [100.0%]
Applicable to 10,488,624 outstanding $.001 par
value shares (authorized 500,000,000 shares) $143,938,902
Net asset value $ 13.72
Components of Net Assets as of June 30, 1996 were as follows:
Capital stock at par value ($.001) $ 10,489
Capital stock in excess of par value 115,559,684
Undistributed net investment income 322,782
Accumulated net realized gain on investments,
financial futures contracts, and short sales 9,544,603
Net unrealized gain on investments, financial futures
contracts, and short sales 18,501,344
Net Assets $ 143,938,902
Short Portfolio [(0.5%)]
Common Stock [(0.5%)]
Computer Software [(0.3%)]
Broadway & Seymour, Inc. 35,500 $ 426,000
Computers [(0.1%)]
FileNet Corp. 2,100 75,600
Telecommunications [(0.1%)]
Compression Labs 25,000 143,750
VideoLan Technologies, Inc. 2,000 41,500
Total 185,250
Total Short Portfolio $ 686,850
(Proceeds - $1,271,601)
+ See Note 2 to the Financial Statements.
++ Assets currently held in a segregated account as collateral for financial
futures contracts.
# Interest rate represents the yield to maturity at the time of purchase.
(a) This security or a portion of this security is held in a segregated account
as collateral for the short portfolio.
(b) Security position (or a portion of the security position) is out on loan at
June 30, 1996.
(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. At June 30, 1996,
these securities were valued at $206,500 or 0.1% of net assets.
(d) Collateral received for securities on loan at June 30, 1996 reinvested as
cash equivalents.
See Notes to the Financial Statements
- -------------------------------------------------------------------------------
TIFF Bond Fund June 30, 1996
- -------------------------------------------------------------------------------
GRAPH
Policy Considerations: The Fund's chief aim is to help foundations weather
deflationary times without being forced to liquidate their equity holdings at
depressed prices. As a form of deflation "insurance," bonds emphasized by the
Fund (intermediate or longer-term, high quality, non-callable) tend to perform
well when inflation concerns ease, as they did in 1995, and they tend to perform
poorly when investors are spooked by unexpected strength in the economy, as they
have been throughout most of 1996. The recent increase in bond yields has
lowered the cost of deflation "insurance," and investors that lack sufficient
"insurance" might consider accelerating purchases while demand for bonds is
subdued. Although bond prices have fallen in recent months, relatively strong
demand for Treasury issues from foreign central banks has created some
interesting valuation anomalies in the U.S. bond market, and the Fund's managers
have responded accordingly. The Fund is tilted away from government issues and
toward other types of bonds, especially corporate and mortgage-backed
securities.
Performance Evaluation: The Fund has produced strong absolute returns in the 25
month period since inception (17.0% net of fees) and, despite stricter quality
standards, has outperformed its peer group of taxable bond funds (as measured by
Lipper Analytical Services), but has underperformed the Lehman Aggregate Bond
Index. The reason it has lagged the latter benchmark is straightforward: the
Fund's managers have performed unspectacularly since the Fund's inception. All
of the Fund's managers have outperformed their respective benchmarks, but by
modest margins on average. The cooperative's directors elected to liquidate
during 2Q 1996 a separate account managed by Fischer Francis Trees & Watts that
had been invested primarily in foreign bonds. This account outperformed the
Lehman Aggregate Index during its life, and the directors elected to take
profits on it. Proceeds from the liquidation of the account were allocated more
or less pro-rata across the Fund's three remaining managers.
Investment Performance (For Periods Ended June 30, 1996)
Total Return (net of fees)
Quarter Cumulative Since Annualized Since
Ended Inception Inception
(6/30/96) (5/31/94) (5/31/94)
-------------------------------------------------
TIFF Bond Fund 0.6% 17.0% 7.8%
Lehman Aggregate Bond Index 0.6 17.9 8.2
Average Int. Inv-Grade
Debt Fund * 0.4 15.5 7.1
* Comparative mutual fund averages provided by Lipper Analytical Services.
- -------------------------------------------------------------------------------
TIFF Bond Fund June 30, 1996 (Unaudited)
Statement of Net Assets
- -------------------------------------------------------------------------------
Long-Term Investments [102.4%] Face Amount Value +
Bonds [101.8%]
Asset-Backed Securities [5.3%]
Airplanes Pass Through Trust, Ser. 1,
Class C, 8.150% due 3/15/19 $ 745,000 $ 741,780
Amresco Residential Mortgage Loan, Ser.
1996-3, Class A7, 8.075% due 4/25/26 550,000 549,656
Chase Credit Card Master Trust, Ser.
1996-3, Class A, 7.040% due 2/15/04 750,000 760,717
Federal Home Loan Mortgage Corp., Ser.
1576, Class PH, 6.000% due 1/15/08 700,000 656,627
Ford Credit Auto Owner Trust, Ser. 1996-A,
Class A3, 6.500% due 11/15/99 900,000 900,828
GMAC Grantor Trust, Series 1993-A, Class
A, 4.150% due 3/16/98 25,172 25,097
GMAC Grantor Trust, Series 1994-A, Class
A, 6.300% due 6/15/99 201,095 201,757
Merrill Lynch Mortgage Investors, Ser.
1995-C2, Class A1, 7.496% due 6/15/21 215,424 214,752
Premier Auto Trust, Ser. 1996-3, Class A3,
6.500% due 3/6/00 800,000 801,783
UCFC Home Equity Loan, Ser. 1996-B1,
Class A7, 8.200% due 9/15/27 575,000 579,852
Union Acceptance Corp., Ser. 1996-A,
Class I, IO due 5/7/99 9,055,478 320,338
Total Asset-Backed Securities 5,753,187
(Cost - $5,788,124)
Corporate Obligations [27.1%]
Brascan Ltd., 7.375% due 10/1/02
(Canada) 585,000 573,351
California Petroleum Transport, 8.520%
due 4/1/15 325,000 351,033
Celulosa Aruaco Constitution, 7.000% due
12/15/07 (Chile) 645,000 594,909
Commonwealth Edison, 6.400%, due 10/15/05 1,000,000 900,943
Conseco, Inc., 10.500% due 12/15/04 780,000 889,298
Corp. Andina de Formento, 7.100%
due 2/1/03 (Latin America) 575,000 560,049
CS First Boston (144A), 7.750% due 5/15/06 595,000 594,509
Delta Airlines, Inc., 9.750% due 5/15/21 900,000 1,030,694
Discover Credit MTN, 9.000% due 10/1/01 445,000 481,685
Eaton Corp., 8.875% due 6/15/19 400,000 461,714
Empresa Electric del Norte (144A), 7.750%
due 3/15/06 (Chile) 300,000 294,648
Endesa-Chile Overseas SA, 7.200% due
4/1/06 (Chile) 600,000 582,785
Enterprise Rental (144A), 7.500% due 6/15/03 820,000 830,553
Equitable Life (144A), 7.700% due 12/1/15 950,000 922,042
Farmers Insurance Exchange (144A), 8.625%
due 5/1/24 760,000 718,391
Federated Dept Stores, 8.500% due 6/15/03 565,000 566,413
First Nationwide Hldgs, 9.125% due 1/15/03 645,000 619,200
First USA Bank, 8.200% due 2/15/98 665,000 680,971
Fisher Scientific, 7.125% due 12/15/05 415,000 394,179
Goldman Sachs Group LP (144A), 7.250%
due 10/1/05 595,000 585,884
Hero Asia BVI Co. Ltd. (144A), 9.110%
due 10/15/01 (China) 495,000 502,715
Imexsa Export Trust 96-1, 10.125% due
5/31/03 (Mexico) 645,000 649,031
Kern River Funding Corp. (144A), 6.720%
due 9/30/01 415,000 407,604
Lannar Central Partners, 8.120% due 9/15/02 190,000 188,582
Lehman Brothers Holdings, 8.500% due 5/1/07 585,000 614,535
Lockheed Martin, 6.850% due 5/15/01 800,000 796,162
Lockheed Martin, 7.700% due 6/15/05 640,000 651,277
Midland Bank p.l.c., 8.625% due 12/15/04
(United Kingdom) 560,000 602,388
Nabisco Inc., 7.550% due 6/15/15 500,000 479,392
New England Mutual Life (144A), 7.875%
due 2/15/24 820,000 794,389
Northrop-Grumman Corp. (144A), 7.875%
due 3/1/26 950,000 919,852
Occidental Petroleum Corp., 9.250%
due 8/1/19 500,000 559,001
Oslo Seismic Services (144A), 8.280%
due 6/1/11 740,000 745,105
Paiton Energy Funding BV (144A), 9.340%
due 2/15/14 870,000 855,403
Phibro-Salomon Inc., 11.625% due 8/1/15 89,000 89,237
PT Alatief Freeport, 9.750% due 4/15/01
(Indonesia) 615,000 664,969
Quebec Province, 7.125% due 2/9/24 (Canada) 715,000 656,772
Rodamco NV, 7.300% due 5/15/05
(Netherlands) 600,000 595,314
Rollins Truck, 7.000% due 3/15/01 400,000 399,370
Salomon, Inc. (MTN), 9.150% due 2/13/01 590,000 631,417
Southtrust Bank Birmingham, 7.690%
due 5/15/25 500,000 519,102
State Street Boston Corp., 7.352% due 6/15/26 720,000 733,154
Tarkett International, 9.000% due 3/1/02 430,000 434,838
Tektronix, Inc., 7.500% due 8/1/03 500,000 496,802
Tenneco Corp., 10.000% due 3/15/08 750,000 883,221
W. R. Grace & Co., 8.000% due 8/15/04 1,100,000 1,143,042
YPF Sociedad Anonima, 7.500% due
10/26/02 (Argentina) 430,181 427,762
Total Corporate Obligations 29,073,687
(Cost - $29,351,359)
Mortgage-Backed Securities [37.4%]
Federal Home Loan Mortgage Corp.
TBA, 7.000% due 10/17/96 2,000,000 1,973,750
TBA, 7.500% due 6/13/96 2,549,307 2,511,864
PO, Ser. 1689, Class NA due 3/15/24 101,744 94,903
7.000% due 1/1/11 857,258 846,758
7.000% due 7/1/11 3,015,000 2,978,068
7.000% due 8/1/25 972,609 937,233
7.000% due 9/1/25 1,533,083 1,477,320
7.000% due 10/1/25 1,173,999 1,131,297
7.500% due 4/1/24 1,174,485 1,160,507
7.500% due 8/1/24 1,499,515 1,481,669
7.500% due 12/1/24 410,314 405,430
7.500% due 4/1/26 748,450 739,322
8.500% due 9/1/24 979,328 1,006,358
8.500% due 3/1/25 598,881 615,411
9.000% due 4/1/25 2,923,422 3,052,240
Federal National Mortgage Assn.
PO, Ser. 1992-153, Class B, due 9/25/97 14,770 114,674
4.750% due 2/25/09 569,390 566,286
6.500% due 4/25/08 183,580 168,945
6.500% due 1/1/24 467,450 439,004
7.000% due 3/1/24 1,651,731 1,594,221
8.000% due 5/1/24 837,303 846,342
8.000% due 1/1/25 558,679 563,593
8.000% due 5/1/25 905,424 913,388
Government National Mortgage Assn.
TBA, 5.500% due 11/22/96 1,000,000 975,313
TBA, 6.000% due 11/22/96 1,500,000 1,485,938
TBA, 6.000% due 12/24/96 3,000,000 2,969,063
TBA, 6.000% due 6/1/26 1,000,000 989,688
TBA, 7.500% due 8/13/96 1,804,000 1,779,759
5.500% due 11/20/25 1,618,149 1,603,995
6.000% due 4/20/24 1,130,062 1,139,483
7.000% due 7/15/23 522,347 503,364
7.000% due 5/15/24 1,359,509 1,309,251
7.000% due 6/15/24 967,340 931,579
9.500% due 10/15/24 755,216 814,772
Total Mortgage-Backed Securities 40,177,621
(Cost - $39,892,360)
U.S. Government Agency Obligations [3.4%]
Federal National Mortgage Assn.
MTN, 5.200% due 7/10/98 $ 450,000 $ 438,597
MTN, 5.720% due 3/8/01 600,000 577,277
MTN, 5.800% due 2/22/06 725,000 663,672
MTN, 6.290% due 10/04/00 475,000 468,848
MTN, 6.410% due 3/8/06 650,000 622,368
MTN, 6.080% due 9/3/03 200,000 186,630
Tennessee Valley Authority, 7.850%
due 6/15/44 650,000 633,868
Total U.S. Government and
Agency Obligations 3,591,260
(Cost - $3,754,011)
U.S. Treasury Securities [28.6%]
U.S. Treasury Note
6.250% due 1/31/97 200,000 200,812
8.500% due 5/15/97 915,000 935,872
6.500% due 8/15/97 3,245,000 3,264,263
7.875% due 1/15/98 200,000 205,312
5.875% due 4/30/98 (d) 580,000 577,825
4.750% due 10/31/98 765,000 741,094
5.500% due 11/15/98 3,300,000 3,248,438
5.875% due 3/31/99 145,000 143,550
6.750% due 6/30/99 885,000 895,509
7.500% due 10/31/99 335,000 346,097
7.875% due 11/15/99 200,000 208,937
7.750% due 12/31/99 (d) 3,720,000 3,876,932
6.750% due 4/30/00 255,000 257,709
6.125% due 7/31/00 600,000 593,250
5.625% due 2/28/01 2,950,000 2,849,511
7.500% due 11/15/01 850,000 887,188
6.875% due 5/15/06 640,000 646,999
U.S. Treasury Bond
7.750% due 1/31/00 3,350,000 3,492,375
8.125% due 5/15/21 3,270,000 3,683,854
6.875% due 8/15/25 1,235,000 1,221,878
U.S. Treasury Strip #
8.750% due 8/15/00 2,670,000 2,051,786
5.222% due 2/15/20 1,790,000 335,086
Total U.S. Treasury Securities 30,664,277
(Cost - $31,124,385)
Total Bonds
(Cost - $109,910,239) 109,260,032
Preferred Stock [0.6%] Shares
TCI Communication Financing II 10.000%
Preferred (d) 28,000 696,500
Preferred Stock (Cost - $700,000)
Total Long-Term Investments 109,956,532
(Cost - $110,610,239)
Short-Term Investments [9.4%]
Face
Bank Obligation [0.7%] Amount
Bank of Ireland (Cayman) Time Deposit,
5.100% due 7/1/96 (c) 3,980,300 3,980,300
Total Bank Obligation (Cost - $3,980,300)
Commercial Paper [1.0%] #
Den Norske CP, 5.340% due 7/22/96 1,010,000 1,004,906
Total Commercial Paper (Cost - $1,005,352)
Long Options [0.0%] +++ Contracts
U.S. Treasury Note
U.S.T. Note $104.00 Put Expiring 8/24/96 8 1,875
U.S.T. Note $105.00 Put Expiring 8/24/96 8 3,125
U.S.T. Note $106.00 Put Expiring 8/24/96 8 5,000
U.S.T. Note $105.50 Call Expiring 8/24/96 8 8,000
U.S.T. Note $106.00 Call Expiring 8/24/96 7 5,360
U.S.T. Note $107.00 Call Expiring 8/24/96 5 2,031
U.S.T. Note $107.50 Call Expiring 8/24/96 5 1,406
U.S.T. Note $109.00 Call Expiring 8/24/96 5 3,047
Total Long Options (Cost - $32,406) 29,844
U.S. Treasury Securities [0.0%] +++ Face Amount
U.S. Treasury Bill, 5.260% due 5/30/96 ++ 25,000 23,762
U.S. Treasury Bill, 4.800% due 9/19/96 ++ 10,000 9,886
Total U.S. Treasury Securities 33,648
(Cost - $33,607)
Repurchase Agreements [7.7%]
Investors Bank & Trust Company Repurchase
Agreement, 5.030% due 7/1/96; Issued 6/28/96;
(Collateralized by $2,600,000 FNMA #335277,
8.500% due 10/1/09 with a market value of
$2,600,000) 2,292,403 2,292,403
Morgan Stanley Repurchase Agreement,
5.370% due 7/1/96; Issued 6/28/96;
(Collateralized by $6,355,052 FNMA #20032,
6.500% due 6/1/08 with a market value of
$6,119,297) 6,000,000 6,000,000
Total Repurchase Agreements 8,292,403
(Cost - $8,292,403)
Total Short-Term Investments 13,341,101
(Cost - $13,344,068)
Total Investments [111.8%] 123,297,633
(Cost - $123,954,307)
Other Assets and Liabilities [(11.8%)]
Receivable for securities sold 6,579,592
Other assets 710,762
Payable for securities purchased (22,186,435)
Other accrued expenses and liabilities (1,043,403)
Other assets and liabilities, net (15,939,484)
Net Assets [100.0%] $ 107,358,149
Applicable to 10,836,958 outstanding $.001
par value shares (authorized 500,000,000 shares)
Net asset value per share $ 9.91
Components of Net Assets as of June 30, 1996 were as follows:
Capital stock at par value ($.001) $ 10,837
Capital stock in excess of par value 108,660,196
Undistributed net investment income 127,060
Accumulated net realized loss on investments,
financial futures and options contracts, and
foreign currency-related transactions (818,677)
Net unrealized depreciation on investments and
financial futures contracts (621,267)
Net Assets $ 107,358,149
# Interest rate shown represents yield to maturity at the time of purchase.
+ See Note 2 to the Financial Statements.
++ Assets currently held in a segregated account as collateral for financial
futures contracts.
+++ Rounds to less than 0.0%.
(a) 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. At June 30, 1996,
these securities were valued at $8,171,095 or 7.6% of net assets.
(b) Assets currently held (or a portion) in a segregated account as collateral
for TBAs.
(c) Collateral received for securities on loan at June 30, 1996 reinvested as
cash equivalents.
(d) Security position (or a portion of this security position) is out on loan at
June 30, 1996.
ARM Adjustable Rate Mortgage
FRN Floating Rate Note - Rate shown is the coupon rate at June 30, 1996.
IO Interest-Only Obligation
MTN Medium Term Note
PO Principal-Only Obligation
TBA To-be-Announced Security - Security is subject to delayed delivery.
See Notes to the Financial Statements
- --------------------------------------------------------------------------------
TIFF Short-Term Fund June 30, 1996
- --------------------------------------------------------------------------------
GRAPH
Policy Considerations: As experienced foundation fiduciaries, the cooperative's
directors recognize that many foundations seek to control downward fluctuations
in the monetary value of assets earmarked for spending within twelve months by
investing them exclusively in cash equivalents, either directly or via money
market funds. However, TIFF studies of the risk and return characteristics of
alternate short-term investment strategies suggest that a short-term income fund
whose average maturity ranges between the one to three months typical of
regulated money market funds and the six months inherent in the TIFF Short-Term
Fund's performance benchmark, arguably comports better with foundations' short-
term investment goals than money market funds per se. Although the market value
of six-month Treasury Bills can decline when short-term interest rates are
rising sharply, there is a high probability that such instruments will produce
positive total returns in any given month. To ensure that the Fund's managers
do not take undue risks in their efforts to outperform their six-month Treasury
Bill benchmark, TIP imposes on them a number of restrictions (codified in the
Prospectus), including maturity limits which ensure that the average duration of
the Fund's holdings does not exceed six months. Also, while the Fund may own
debt securities of all grades, not more than 5% of its total assets may be
invested in securities rated below investment grade (i.e., rated below BBB by
S&P or Baa by Moody's).
Performance Evaluation: The Fund is performing as planned in the following
sense: its aim (admittedly modest) is to outperform its six-month Treasury Bill
benchmark net of all costs. In its first 25 months of operations, the Fund has
outperformed this benchmark by 0.1% net of expenses - a modest margin indeed.
This margin would have been larger if the Fund itself were larger: increased
assets would permit fixed costs to be spread over a larger asset base. TIP's
directors remain hopeful that an increasing number of TIP Members will look to
the Fund as a cost-efficient alternative to other cash management vehicles or
instruments they may be using. Until the Fund's assets grow, the vendors it
employs have agreed to waive fees as needed to keep the Fund's expense ratio
within the bounds specified in the Prospectus. The Fund has outperformed the
average money market fund tracked by Lipper Analytical Services by 1.9% since
the Fund's inception in May 1994.
Investment Performance (For Periods Ended June 30, 1996)
Total Return (net of fees)
Quarter Cumulative Since Annualized Since
Ended 6/30/96 Inception (5/31/94) Inception (5/31/94)
--------------------------------------------------------
TIFF Short-Term Fund 1.2% 12.3% 5.7%
Merrill Lynch 182-Day T-Bill 1.2 12.2 5.7
Average Money Market Fund * 1.2 10.4 4.9
* Comparative mutual fund averages provided by Lipper Analytical Services.
- --------------------------------------------------------------------------------
TIFF Short-Term Fund June 30, 1996 (Unaudited)
Statement of Net Assets
- --------------------------------------------------------------------------------
Asset-Backed Securities [44.2%] Face Amount Value +
Banc One Auto Trust, Ser. 1995-A,
Class A2, 6.650% due 5/15/97 $ 202,037 $ 202,136
Carco Auto Loan Master Trust,
Ser. 1991-3, Class A, 7.875%
due 3/15/98 3,000,000 2,999,037
Case Equipment Loan Trust, Ser.
1994-C, Class A1, 7.600% due
12/15/97 423,617 425,383
Case Equipment Loan Trust, Ser.
1993-B, Class A, 4.300% due 5/15/99 2,172,243 2,125,059
Chase Manhattan Grantor Trust, Ser.
1993-A, Class A, 4.200% due 4/15/99 1,684,235 1,678,490
Ford Credit Auto Loan Master Trust,
Ser. 1992-1, Class A, 6.875% due
1/15/99 2,225,000 2,238,905
MBNA Master Card Trust, Ser.
1991-1, Class A, 7.750% due
10/15/98 2,500,000 2,511,823
ML Asset Backed Corp, Ser. 1993-1,
Class A2, 5.125% due 7/15/98 1,252,301 1,249,958
National Credit Card Trust, Series
1989-4, Class A, 9.450% due
12/31/97 1,500,000 1,507,979
Navistar Financial, Ser. 1994-C, Class
A1, 7.650% due 12/22/97 811,105 812,119
Private Label Cr Card Master Trust
II, Ser. 1994-1, Class A, 7.150%
due 6/20/01 1,666,667 1,675,832
Prudential Bank & Trust Master
Trust, Ser. 1992-A, Class A, 6.250%
due 7/15/98 208,333 207,866
Sears Credit Account Trust, Ser. 1991-D,
Class A, 7.750% due 9/15/98 3,000,000 3,002,157
Standard Credit Card Master Trust,
Ser. 1991-4, Class A, 8.000% due
10/7/97 2,750,000 2,747,302
Total Asset-Backed Securities 23,384,046
(Cost - $23,630,107)
Bank Obligations [15.6%]
ABN/Amro Bank Yankee CD,
5.005% due 8/9/96 2,000,000 2,000,048
Bank of Boston (Nassau) Time
Deposit, 5.500% due 7/1/96 2,258,000 2,258,000
NationsBank Texas N.A. FRN,
5.682% due 12/18/98 2,000,000 2,004,230
PNC Bank N.A. Corp. FRN,
5.465% due 6/5/98 2,000,000 2,001,242
Total Bank Obligations 10,210,033
(Cost - $10,201,745)
Commercial Paper [20.4%] #
Abbey National N.A., 5.290%
due 11/27/96 2,000,000 1,946,513
Associates Corp. N.A., 4.750%
due 8/1/96 2,000,000 1,998,740
General Electric Capital Corp.,
5.300% due 8/7/96 2,000,000 1,973,500
J.P. Morgan & Co, Inc., 5.380%
due 12/3/96 3,000,000 2,919,748
NationsBank Corp., 5.310%
due 11/25/96 2,000,000 1,946,900
Total Commercial Paper 8,838,888
(Cost - $8,838,888)
Corporate Obligation [0.5%]
General Electric Capital Corp. FRN,
5.530% due 5/12/97 280,000 279,810
Total Corporate Obligation
(Cost - $280,000)
U.S. Treasury Obligations [19.4%] #
U.S. Treasury Bill
4.850% due 8/22/96 (a) $ 500,000 $ 496,418
5.220% due 12/26/96 10,000,000 9,744,360
Total U.S. Treasury Obligations 10,240,778
(Cost - $10,227,635)
Investment Company [22.7%] Shares
FFTW Funds, Inc. - U.S. Short-Term Fixed
Income Portfolio 1,221,731 12,021,837
Total Investment Company
(Cost - $12,023,688)
Total Investments [122.8%] 64,975,392
(Cost - $65,202,063)
Other Assets and Liabilities [(22.8%)]
Other assets 603,030
Accounts payable for fund shares repurchased (12,665,000)
Other accrued expenses and liabilities (5,528)
Other assets and liabilities, net (12,067,498)
Net Assets [100.0%]
Applicable to 5,300,734 shares
outstanding $.001 par value
(authorized 500,000,000 shares) $ 52,907,894
Net asset value per share $ 9.98
Components of Net Assets as of June 30, 1996 were as follows:
Capital stock at par value ($.001) $ 5,301
Capital stock in excess of par value 53,224,978
Undistributed net investment income 55,440
Accumulated net realized (loss) on
investments and financial futures and
options contracts (141,478)
Net unrealized (depreciation) on
investments and financial futures contracts (236,347)
Net Assets $ 52,907,894
+ See Note 2 to the Financial Statements.
# Interest rate represents yield to maturity at the time of purchase.
FRN Floating Rate Note. Rate shown is the coupon rate at June 30, 1996.
(a) Assets currently held in a segregated account as collateral for financial
futures contracts.
See Notes to the Financial Statements.
- --------------------------------------------------------------------------------
Statement of Operations Six Months Ended June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
TIFF Multi- TIFF Int'l TIFF Emerging
Asset Fund Equity Fund Markets Fund
Investment income
Interest $ 660,814 $ 560,612 $ 206,443
Dividends (net of withholding
taxes of $49,301 for
Multi-Asset, $264,715 for
Int'l Equity Fund, and
$49,062 for Emerging Markets) 516,880 1,735,635 479,173
Total investment income 1,177,694 2,296,247 685,616
Operating expenses
Investment advisory fees 103,076 143,075 55,075
Money Manager fees 362,856 458,163 304,511
Custodian fees 104,572 235,128 253,031
Administration fees 29,397 52,263 20,865
Shareholder recordkeeping fees 7,331 10,410 5,060
Audit fees 21,414 27,447 19,492
Legal fees 2,206 4,106 1,707
Insurance expense 2,944 5,432 2,149
Amortization of organizational
costs 1,336 2,468 946
Registration filing fees 34,992 31,338 10,743
Miscellaneous fees and expenses 1,252 2,113 1,068
Total operating expenses 671,376 971,943 674,647
Investment income, net 506,318 1,324,304 10,969
Net realized and unrealized
gain (loss) on investments,
financial futures contracts,
short sales and foreign
currency-related transactions
Net realized gain on investments 4,199,010 3,555,800 1,049,056
Net realized (loss) on
short sales (495,990) - -
Net realized gain on financial
futures contracts 362,157 631,358 -
Net realized gain (loss) from
foreign currency-related
transactions (37,032) 282,278 (162,035)
Net unrealized appreciation on
investments 2,967,478 12,901,862 3,370,770
Net unrealized (depreciation) on
short sales (85,878) - -
Net unrealized appreciation
(depreciation) on financial
futures contracts (14,113) 99,358 -
Net unrealized appreciation
(depreciation) on translation
of assets and liabilities
in foreign currencies 47,599 251,132 (73,380)
Net realized and unrealized
gain on investments, short
sales, financial futures
contracts and foreign currency-
related transactions 6,943,231 17,721,788 4,237,311
Net increase in net assets
resulting from operations $ 7,449,549 $ 19,046,092 $ 4,248,280
See Notes to Financial Statements
- --------------------------------------------------------------------------------
Statement of Operations (continued) Six Months Ended June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
TIFF U.S. TIFF TIFF
Equity Fund Bond Fund Short-Term
Investment income
Interest $ 400,795 $ 3,444,121 $ 2,504,878
Dividends (net of withholding
taxes of $1,788 for U.S.
Equity) 1,031,193 70,846 82,362
Total investment income 1,431,988 3,514,967 2,587,240
Operating expenses
Investment advisory fees 102,719 50,995 11,438
Money Manager fees 288,726 61,490 76,247
Custodian fees 89,601 133,836 32,807
Administration fees 39,065 28,934 21,863
Shareholder recordkeeping fees 10,186 7,983 5,496
Audit fees 22,513 20,823 15,535
Legal fees 2,949 1,986 929
Insurance expense 3,893 2,897 2,157
Amortization of organizational
costs 1,774 1,322 999
Registration filing fees 21,664 9,846 30,446
Miscellaneous fees and expenses 1,604 1,219 851
Total operating expenses 584,694 321,331 198,768
Waiver of investment advisory
and a portion of Money
Manager fees - - (44,073)
Total expenses 584,694 321,331 154,695
Investment income, net 847,294 3,193,636 2,432,545
Net realized and unrealized gain
(loss) on investments, financial
futures and options contracts,
short sales and foreign currency-
related transactions
Net realized gain (loss) on
investments 7,511,246 (1,101,322) (154,420)
Net realized (loss) on short
sales (84,390) - -
Net realized gain on financial
futures and options contracts 812,561 303,592 21,347
Net realized gain (loss) from foreign
currency-related transactions (147) 134,506 -
Net unrealized appreciation
(depreciation) on investments 4,456,537 (3,952,294) (206,827)
Net unrealized appreciation on
short sales 236,248 2,500 -
Net unrealized appreciation
(depreciation) on financial
futures and options contracts (88,050) 135,334 (12,290)
Net unrealized appreciation on
translation of assets and
liabilities in foreign currencies - 23,967 -
Net realized and unrealized gain
(loss) on investments, financial
futures and options contracts,
short sales and foreign
currency-related transactions 12,844,005 (4,453,717) (352,190)
Net increase (decrease) in net
assets resulting from
operations $ 13,691,299 $ (1,260,081) $ 2,080,355
See Notes to Financial Statements
- ------------------------------------------------------------------------------
Statement of Changes in Net Assets (Unaudited)
- ------------------------------------------------------------------------------
TIFF Multi- TIFF Multi- TIFF Int'l. TIFF Int'l.
Asset Fund Asset Fund Equity Fund Equity Fund
Six Months for the Six Months Fiscal Year
Ended Period from Ended Ended
6/30/96 3/31/95* 6/30/96 12/31/95
to 12/31/95
Increase in net assets
from operations:
Investment income,
net $ 506,318 $ 1,985,927 $ 1,324,304 $ 1,825,563
Net realized gain
from investments,
short sales,
financial futures
contracts and
foreign currency-
related
transactions 4,028,145 1,572,945 4,469,436 503,521
Net unrealized
appreciation on
investments,
short sales,
financial futures
contracts and on
translation of
assets and
liabilities in
foreign
currencies 2,915,086 4,854,842 13,252,352 10,329,048
Net increase in net
assets resulting
from operations 7,449,549 8,413,714 19,046,092 12,658,132
Distributions from:
Investment income, net - 1,824,669 - 1,823,997
Net realized gain on
investments,
short sales,
financial futures
contracts and foreign
currency-related
transactions - 267,895 - -
Total distributions - 2,092,564 - 1,823,997
Capital share
transactions,
net: 17,303,346 86,308,543 31,202,244 55,278,876
Total increase
in net assets 24,752,895 92,629,693 50,248,336 66,113,011
Net assets
Beginning of
period 92,629,703 10 155,421,778 89,308,767
End of period $117,382,598 $ 92,629,703 $205,670,114 $155,421,778
Undistributed net
investment
income $ 667,576 $ 161,258 $ 1,457,501 $ 133,197
See Notes to the Financial Statements
* Commencement of Operations
TIFF Emerging TIFF Emerging TIFF U.S. TIFF U.S.
Markets Fund Markets Fund Equity Fund Equity Fund
Six Months Fiscal Year Six Months Fiscal Year
Ended Ended Ended Ended
6/30/96 to 12/31/95 9/30/96 to 12/31/95
Increase (decrease)
in net assets from
operations:
Investment income
(loss), net $ 10,969 (80,644) $ 847,294 1,390,715
Net realized gain
(loss) from
investments,
short sales,
financial futures
contracts, and
foreign currency-
related
transactions 887,021 (7,822,954) 8,239,270 10,560,653
Net unrealized
appreciation on
investments,
short sales,
financial futures
contracts and
on translation
of assets and
liabilities in
foreign
currencies 3,350,290 3,241,963 4,604,735 12,901,867
Net increase
(decrease) in
net assets
resulting from
operations 4,248,280 (4,661,635) 13,691,299 24,853,235
Distributions from:
Investment income,
net - - 361,257 1,568,391
Amounts in excess
of investment
income, net - 30,221 - -
Net realized gain
on investments,
short sales,
financial futures
contracts, and
foreign currency-
related
transactions - - - 8,397,640
Distributions
required for excise
tax purposes in
excess of net
realized gain on
investments, short
sales, financial
futures contracts
and foreign
currency-related
transactions - 3,005 - -
Total distributions - 33,226 361,257 9,966,031
Capital share
transactions, net: 33,164,475 14,148,260 20,708,110 36,840,480
Total increase in
net assets 37,412,755 9,453,399 34,038,152 51,727,684
Net assets
Beginning of
period 59,485,616 50,032,217 109,900,750 58,173,066
End of period $ 96,898,371 $ 59,485,616 $ 143,938,902 $109,900,750
(Over)/undistributed
net investment
income $ 10,969 $ - $ 322,782 $ (163,255)
See Notes to the Financial Statements
TIFF Bond TIFF Bond TIFF Short- TIFF Short-
Fund Fund Term Fund Term Fund
Six Months Fiscal Year Six Months Fiscal Year
Ended Ended Ended Ended
6/30/96 12/31/95 6/30/96 12/31/95
Increase (decrease)
in net assets from
operations
Investment income,
net $ 3,193,636 $ 4,865,499 $ 2,432,545 $ 4,834,479
Net realized gain
(loss) from
investments,
short sales,
financial futures
and options
contracts, and
foreign currency-
related
transactions (663,224) 3,522,563 (133,074) 404,088
Net unrealized
appreciation
(depreciation) on
investments,
financial futures
and options
contracts, short
sales and on
translation of
assets and
liabilities in
foreign currencies (3,790,493) 4,184,859 (219,116) (7,262)
Net increase
(decrease) in net
assets resulting
from operations (1,260,081) 12,572,921 2,080,355 5,231,305
Distributions from:
Investment income,
net 3,066,576 4,956,518 2,353,003 4,863,987
Amounts in excess
of investment
income, net - 39,178 - 15,940
Net realized gain
on investments,
short sales,
financial futures
and options
contracts and
foreign currency-
related
transactions - 3,085,563 - 398,719
Distributions
required for
excise tax purposes
in excess of net
realized gain on
investments, short
sales, financial
futures contracts
and foreign currency-
related
transactions - - - 2,363
Total distributions 3,066,576 8,081,259 2,353,003 5,281,009
Capital share
transactions, net 20,613,150 6,908,741 (43,399,377) 62,346,199
Total increase
(decrease) in net
assets 16,286,493 11,400,403 (43,672,025) 62,296,495
Net assets
Beginning of
period 91,071,656 79,671,253 96,579,919 34,283,424
End of period $107,358,149 $ 91,071,656 $ 52,907,894 $96,579,919
(Over)/undistributed
net investment
income $ 127,060 $ - $ 55,440 $ (24,102)
See Notes to the Financial Statements
- --------------------------------------------------------------------------------
TIFF Multi-Asset Fund / Financial Highlights (Unaudited)
- --------------------------------------------------------------------------------
Six Months For the Period
For a share outstanding Ended From 3/31/95*
throughout the period 6/30/96 to 12/31/95
Net asset value, beginning of period $11.13 $10.00
Income from investment operations
Investment income, net 0.05 0.26
Net realized and unrealized gain on
short sales, investments,
financial futures and options
contracts, and foreign currency-
related transactions 0.80 1.14
Total from investment operations 0.85 1.40
Less distributions from:
Investment income, net - 0.24
Net realized gain on investments,
short sales, financial futures and
options contracts, and foreign
currency-related transactions - 0.03
Total distributions - 0.27
Net asset value, end of period $11.98 $11.13
Total return 7.64% (b) 13.87% (b)
Ratios/supplemental data
Net assets, end of period $117,382,598 $92,629,703
Ratio of expenses to average
net assets 1.08% (a) 0.80% (a)
Ratio of net investment income
to average net assets 0.96% (a) 4.00% (a)
Portfolio turnover 94.11% (b) 97.35% (b)
Average commission rate per share (c) $0.04 n/a
See Notes to the Financial Statements
(a) Annualized
(b) Not annualized
(c) Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold on which commissions were
charged. This disclosure is required by the SEC beginning in 1996.
n/a Not applicable
* Commencement of Operations
- --------------------------------------------------------------------------------
TIFF International Equity Fund / Financial Highlights (Unaudited)
- --------------------------------------------------------------------------------
Six Months Fiscal Year Period
For a share outstanding Ended Ended From 5/31/94 *
throughout the period 6/30/96 12/31/95 to 12/31/94
Net asset value, beginning
of period $10.82 $9.98 $10.00
Income from investment
operations
Investment income, net + 0.08 0.15 0.05
Net realized and unrealized
gain on short sales,
investments, financial
futures and options contracts,
and foreign currency-related
transactions 1.11 0.83 0.06
Total from investment
operations 1.19 0.98 0.11
Less distributions from:
Investment income, net - 0.14 0.04
Amounts in excess of net
investment income - - 0.01
Amounts in excess of net
gain on investments,
financial futures and
options contracts, short
sales, and foreign
currency-related
transactions - - 0.08
Total distributions - 0.14 0.13
Net asset value, end of
period $12.01 $10.82 $9.98
Total return 11.00% (b) 9.85% 0.98%(b)(c)
Ratios/supplemental data
Net assets, end of period $205,670,114 $155,421,778 $89,308,767
Ratio of expenses to
average net assets 1.07% (a) 1.05% 1.08% (a)
Ratio of expenses to
average net assets
before expense waivers 1.07% (a) 1.05% 1.27% (a)
Ratio of net investment
income to average net
assets 1.43% (a) 1.48% 0.95% (a)
Portfolio turnover 19.50% (b) 32.91% 14.71% (b)
+ Net of waivers which
amounted to: n/a n/a $0.01
Average commission rate
per share (d) $0.05 n/a n/a
See Notes to the Financial Statements
(a) Annualized
(b) Not annualized
(c) Total return would have been lower had certain expenses not been waived or
reimbursed.
(d) Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold on which commissions were
charged. This disclosure is required by the SEC beginning in 1996.
# Rounds to less than $0.01.
* Commencement of Operations
- --------------------------------------------------------------------------------
TIFF Emerging Markets Fund / Financial Highlights (Unaudited)
- --------------------------------------------------------------------------------
Six Months Fiscal Year Period
For a share outstanding Ended Ended From 5/31/94 *
throughout the period 6/30/96 12/31/95 to 12/31/94
Net asset value, beginning
of period $8.45 $9.24 $10.00
Income from investment
operations
Investment income, net + 0.00 # - 0.01
Net realized and unrealized
gain (loss) on investments,
and foreign-currency
related transactions 0.65 (0.79) (0.71)
Total from investment
operations 0.65 (0.79) (0.70)
Less distributions from:
Investment income, net - 0.00 # 0.01
Amounts in excess of
investment income, net - 0.00 # -
Amounts in excess of net
gain on investments, and
foreign currency-related
transactions - 0.00 # 0.05
Total distributions - 0.00 # 0.06
Net asset value, end
of period $9.10 $8.45 $9.24
Total return 7.57% (b) (8.39%) (6.97%)(b)(c)
Ratios/supplemental data
Net assets, end of period $96,898,371 $59,485,616 $50,032,217
Ratio of expenses to average
net assets 1.68% (a) 2.35% 1.83% (a)
Ratio of expenses to average
net assets before expense
waivers 1.68% (a) 2.35% 2.25% (a)
Ratio of net investment income
to average net assets 0.03% (a) (0.15%) 0.40% (a)
Portfolio turnover 58.87% (b) 104.30% 26.37% (b)
+ Net of waivers which
amount ed to: n/a n/a $0.01
Average commission rate
per share (d) $0.10 n/a n/a
See Notes to the Financial Statements
(a) Annualized
(b) Not annualized
(c) Total return would have been lower had certain expenses not been waived or
reimbursed
(d) Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold on which commissions were charged.
This disclosure is required by the SEC beginning in 1996.
n/a Not applicable
* Commencement of Operations
# Rounds to less than $0.01
- --------------------------------------------------------------------------------
TIFF U.S. Equity Fund / Financial Highlights (Unaudited)
- --------------------------------------------------------------------------------
Six Months Fiscal Year Period
For a share outstanding Ended Ended From 5/31/94 *
throughout the period 6/30/96 12/31/95 to 12/31/94
Net asset value, beginning
of period $12.36 $10.02 $10.00
Income from investment
operations
Investment income, net + 0.09 0.20 0.15
Net realized and unrealized
gain on investments, short
sales, financial futures and
options contracts, and
foreign currency-related
transactions 1.31 3.37 0.19
Total from investment operations 1.40 3.57 0.34
Less distributions from:
Investment income, net 0.04 0.22 0.15
Amounts in excess of investment
income, net - - 0.00 #
Net realized gain on investments,
short sales, financial futures
and options contracts and foreign
currency-related transactions - 1.01 0.01
Amounts in excess of net gain on
investments, short sales, financial
futures and options contracts, and
foreign currency-related
transactions - - 0.16
Total distributions 0.04 1.23 0.32
Net asset value, end of period $13.72 $12.36 $10.02
Total return 11.20% (b) 36.02% 3.49%(b)(c)
Ratios/supplemental data
Net assets, end of period $143,938,902 $109,900,750 $58,173,066
Ratio of expenses to average
net assets 0.90% (a) 0.93% 0.85%(a)
Ratio of expenses to average
net assets before expense
waivers 0.90% (a) 0.93% 1.06%(a)
Ratio of net investment
income to average net assets 1.29% (a) 1.67% 2.52%(a)
Portfolio turnover 50.03% (b) 109.89% 44.59%(b)
+ Net of waivers which
amounted to: n/a n/a $0.01
Average commission rate
per share (d) $0.02 n/a n/a
See Notes to the Financial Statements
(a) Annualized
(b) Not annualized
(c) Total return would have been lower had certain expenses not been waived or
reimbursed.
(d) Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold on which commissions were charged.
This disclosure is required by the SEC beginning in 1996.
n/a Not applicable
# Rounds to less than $0.01
* Commencement of Operations
- --------------------------------------------------------------------------------
TIFF Bond Fund / Financial Highlights (Unaudited)
- --------------------------------------------------------------------------------
Six Months Fiscal Year Period
For a share outstanding Ended Ended From 5/31/94 *
throughout the period 6/30/96 12/31/95 to 12/31/94
Net asset value, beginning
of period $10.33 $9.68 $10.00
Income from investment
operations
Investment income, net + 0.30 0.67 0.36
Net realized and unrealized
gain (loss) on investments,
short sales, financial futures
and options contracts, and
foreign currency-related
transactions (0.42) 1.01 (0.32)
Total from investment
operations (0.12) 1.68 0.04
Less distributions from:
Investment income, net 0.30 0.66 0.36
Amounts in excess of investment
income, net - 0.01 0.00 #
Net realized gain on investments,
short sales, financial futures
and options contracts and foreign
currency-related transactions - 0.36 -
Amounts in excess of net gain on
investments, short sales,
financial futures and options
contracts, and foreign currency-
related transactions - - -
Total distributions 0.30 1.03 0.36
Net asset value, end of period $9.91 $10.33 $9.68
Total return (1.33%) (b) 18.07% 0.46%(b)(c)
Ratios/supplemental data
Net assets, end of period $107,358,149 $91,071,656 $79,671,253
Ratio of expenses to average
net assets 0.57% (a) 0.96% 0.62% (a)
Ratio of expenses to average
net assets before expense
waivers 0.57% (a) 0.96% 0.94% (a)
Ratio of net investment
income to average net assets 6.30% (a) 6.34% 6.37% (a)
Portfolio turnover 147.46% (b) 406.24% 162.06% (b)
+ Net of waivers which
amounted to: n/a n/a $0.02
See Notes to the Financial Statements
(a) Annualized
(b) Not annualized
(c) Total return would have been lower had certain expenses not been waived or
reimbursed.
n/a Not applicable
# Rounds to less than $0.01
* Commencement of Operations
- --------------------------------------------------------------------------------
TIFF Short-Term Fund / Financial Highlights (Unaudited)
- --------------------------------------------------------------------------------
Six Months Fiscal Year Period
For a share outstanding Ended Ended From 5/31/94 *
throughout the period 6/30/96 12/31/95 to 12/31/94
Net asset value, beginning
of period $10.01 $10.00 $10.00
Income from investment
operations
Investment income, net + 0.27 0.58 0.28
Net realized and unrealized
gain (loss) on investments,
and financial futures and
options contracts (0.04) 0.05 0.02
Total from investment
operations 0.23 0.63 0.30
Less distributions from:
Investment income, net 0.26 0.58 0.28
Amounts in excess of
investment income, net - 0.00 # 0.00 #
Net realized gain on
investments, and financial
futures and options contracts - 0.04 0.01
Amounts in excess of net
gain on investments, and
financial futures and
options contracts - 0.00 # 0.01
Total distributions 0.26 0.62 0.30
Net asset value, end
of period $9.98 $10.01 $10.00
Total return (c) 2.35% (b) 6.43% 3.10% (b)
Ratios/supplemental data
Net assets, end of period $52,907,894 $96,579,919 $34,283,424
Ratio of expenses to
average net assets 0.35% (a) 0.42% 0.40% (a)
Ratio of expenses to average
net assets before expense
waivers 0.45% (a) 0.54% 1.72% (a)
Ratio of net investment
income to average net assets 5.53% (a) 5.67% 4.98% (a)
+ Net of waivers which
amounted to: $0.01 $0.01 $0.08
See Notes to the Financial Statements
(a) Annualized
(b) Not annualized
(c) Total return would have been lower had certain expenses not been waived or
reimbursed
n/a Not applicable
# Rounds to less than $0.01
* Commencement of Operations
- -------------------------------------------------------------------------------
Notes to Financial Statements June 30, 1996 (Unaudited)
- -------------------------------------------------------------------------------
1. Organization
TIFF Investment Program, Inc. ("TIP") was organized as a Maryland corporation on
December 23, 1993 and is registered under the Investment Company Act of 1940, as
amended, as an open-end, management investment company. TIP currently has six
Funds. The six active Funds are: TIFF Multi-Asset Fund ("Multi-Asset"), TIFF
International Equity Fund ("International Equity"), TIFF Emerging Markets Fund
("Emerging Markets"), TIFF U.S. Equity Fund ("U.S. Equity"), TIFF Bond Fund
("Bond"), and TIFF Short-Term Fund ("Short-Term"). The costs incurred by TIP in
connection with the organization and initial registration of shares are being
amortized on a straight-line basis over a sixty-month period. The unamortized
balance of organizational expenses at June 30, 1996 was $51,793.
Investment Objectives
Fund Investment Objective
- --------------------------------------------------------------------------------
Multi-Asset Provide a growing stream of current income and
appreciation of principal that at least offsets
inflation.
International Equity Provide a growing stream of current income and
appreciation of principal that at least offsets
inflation by investing in common stocks of companies
domiciled in at least ten different countries.
Emerging Markets Provide appreciation of principal that at least offsets
inflation by investing in common stocks of companies
domiciled in emerging market countries.
U.S. Equity Provide a growing stream of current income and
appreciation of principal that at least offsets
inflation by investing in common stocks of U.S.
domiciled companies.
Bond Provide: (1) a hedge against deflation; and (2) a high
rate of current income, subject to restrictions
designed to ensure liquidity and control exposure to
interest rate and credit risk.
Short-Term Provide a high rate of current income, subject to
restrictions designed to control share price
volatility.
2. Summary of Significant Accounting Policies
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenues and expenses during the reported period.
Actual results could differ from those estimates.
Securities
Securities transactions are recorded on a trade date basis. Interest income and
expenses are recorded on an accrual basis. The Funds amortize discount or
premium using the yield-to-maturity method on a daily basis. Dividend income is
recorded on the ex-dividend date, except certain dividends from foreign
securities which are recorded as soon as the Funds are notified. The Funds use
the specific identification method for determining gain or loss on sales of
securities.
Income Tax
There is no provision for Federal income or excise tax since each Fund has or
will elect to be taxed as a regulated investment company ("RIC") and intends to
comply with the requirements of Subchapter M of the Internal Revenue Code
applicable to RICs and to distribute all of its taxable income. Net realized
losses attributable to security transactions after October 31 are treated as
arising on the first day of a Fund's next fiscal year. The Funds may be subject
to foreign taxes on income, gains on investments or currency repatriation. The
Funds accrue such taxes as applicable. At December 31, 1995 the Emerging
Markets Fund had a capital loss carry forward of $6,833,023 which may be
available to offset future realized capital gains, if any. This amount will
expire December 31, 2003.
Valuation
Securities traded on an exchange are valued at their last sales price on that
exchange. Securities for which over-the-counter market quotations are available
are valued at the latest bid price. Time deposits, repurchase agreements and
reverse repurchase agreements are generally valued at their cost plus accrued
interest. Securities purchased with sixty days or less to maturity are priced
at amortized cost which approximates fair value.
Securities for which market quotations are not readily available are valued at
their fair value as determined in good faith under consistently applied
procedures established by TIP's Board of Directors. Such procedures use
fundamental valuation methods which include, but are not limited to, the
analysis of: the effect of any restrictions on the resale of the security,
industry analysis and trends, significant changes in the issuer's financial
position, and any other event which could have a significant impact on the value
of the security. Determination of fair value involves subjective judgment, as
the actual market value of a particular security can be established only by
negotiations between the parties in a sales transaction.
At June 30, 1996, 14.9% of the investments in securities held by Multi-Asset and
14.7% of the investments in Emerging Markets were valued based on prices
provided by the principal market maker. Such prices may differ from the value
that would have been used had a broader market for the securities existed.
Expenses
Expenses directly attributed to each Fund are charged to that Fund's operations;
expenses which are applicable to all Funds are allocated among them based on
their respective average daily net assets. In the Short-Term Fund, the adviser
waived $13,226, and the Fund's Money Manager waived $30,847 in fees during the
six-month period ended June 30, 1996.
Dividends to Shareholders
It is the policy of all Funds to declare dividends according to the following
schedule:
Dividends from Net
Fund Investment Income Capital Gains Dividends
- --------------------------------------------------------------------------------
Multi-Asset Semi-annually Annually
International Equity Semi-annually Annually
Emerging Markets Annually Annually
U.S. Equity Quarterly Annually
Bond Daily Annually
Short-Term Daily Annually
Dividends from net short-term capital gains and net long-term capital gains of
each Fund, if any, are normally declared and paid annually, but each Fund may
make distributions on a more frequent basis to comply with the distribution
requirements of the Internal Revenue Code. To the extent that a net realized
capital gain can be reduced by a capital loss carryover, such gain will not be
distributed.
The classification of income and capital gains distributions is determined in
accordance with income tax regulations. Permanent book and tax differences
relating to shareholder distributions will result in reclassifications to paid-
in capital and may affect net investment income per share. Undistributed net
investment income, accumulated net investment loss, or distributions in excess
of net investment income may include temporary book and tax differences which
will reverse in a subsequent period.
Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under
forward exchange currency contracts are translated into U.S. dollars at the mean
of the quoted bid and asked prices of such currencies against the U.S. dollar.
Purchases and sales of portfolio securities are translated at the rates of
exchange prevailing when such securities were acquired or sold.
Income and withholding taxes are translated at exchange rates prevailing when
accrued. Unrealized net currency gains and losses from valuing foreign
currency-denominated assets and liabilities at period-end exchange rates are
reflected as a component of net unrealized appreciation (depreciation).
The accounting records of the Funds are maintained in U.S. dollars. Net
realized gains and losses on 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, the difference
between the amount of net investment income accrued and the U.S. dollar amount
actually received and the effects of changes in foreign currency exchange rates
on investments in securities.
3. Investment Advisory Agreement and Money Manager Agreements
TIP's Board of Directors has approved investment management agreements with
Foundation Advisers, Inc. ("FAI"). Each Fund pays FAI a maximum monthly fee
calculated by applying the following annual basis point ("bp") rates to such
Fund's average daily net assets for the month (100 bp equals 1.00%):
- --------------------------------------------------------------------------------
Multi- Int'l Emerging U.S. Short-
Assets Asset Equity Markets Equity Bond Term
- --------------------------------------------------------------------------------
On the first $500 million 20 bp 15 bp 15 bp 15 bp 10 bp 3 bp
On the next $500 million 18 bp 13 bp 13 bp 13 bp 8 bp 3 bp
On the next $500 million 15 bp 11 bp 11 bp 11 bp 6 bp 2 bp
On the next $500 million 13 bp 9 bp 9 bp 9 bp 5 bp 2 bp
On the next $500 million 11 bp 7 bp 7 bp 7 bp 4 bp 1 bp
On the remainder
(<$2.5 billion) 9 bp 5 bp 5 bp 5 bp 3 bp 1 bp
TIP's Board of Directors has approved Money Manager agreements with each of the
Money Managers. Money Managers will receive annual management fees equal to a
stated percentage of the value of Fund assets under management that is adjusted
upwards or downwards, proportionately, to reflect actual investment performance
over the applicable time period relative to a chosen benchmark rate of return.
Certain Money Managers, however, will receive management fees equal to a flat
percentage per annum of assets under management with a single rate or on a
descending scale.
Appendix A to the Notes to the Financial Statements identifies Money Managers
who provide services to the Funds and the minimum and maximum fee rate. Unless
otherwise indicated, the management fee received by a Money Manager varies based
on the Money Manager's investment performance.
Pursuant to its Administration Agreement, AMT Capital Services, two employees of
which serve as officers of TIP, earn a fee for providing fund administration
services to TIP according to the following schedule: 0.07% of the average daily
net assets of TIP for the first $300 million, 0.05% for the next $2.7 billion,
0.04% for the next $2.0 billion, and 0.03% for the average daily net assets over
$5.0 billion under management. In addition, TIP has agreed to pay AMT Capital
an incentive fee not to exceed 0.02% for reducing the expense ratio of one or
more Funds of TIP below certain levels specified for each Fund.
4. Investment Transactions
Purchase cost and proceeds from sales of investment securities, other than
short-term investments, for the period from January 1, 1996 to June 30, 1996
were as follows:
Purchases Purchases Sales Sales
Fund U.S. Other U.S. Other
Government Securities Government Securities
- -------------------------------------------------------------------------------
Multi-Asset $ 12,012,182 $ 74,956,603 $ 13,789,163 $ 74,135,161
International Equity - 64,876,193 - 31,729,405
Emerging Markets - 71,923,877 - 40,168,218
U.S. Equity - 74,292,756 - 57,776,497
Bond 75,303,608 93,174,998 67,718,212 89,736,224
Short-Term 235,595,219 45,191,963 235,565,297 6,937,591
The components of net unrealized appreciation (depreciation) of investments
based on Federal tax cost at June 30, 1996 for each Portfolio were as follows:
Net Cost for
Appreciation Federal
Fund Appreciation Depreciation (Depreciation) Tax Purposes
- --------------------------------------------------------------------------------
Multi-Asset $ 10,292,742 $ 2,642,379 $ 7,650,363 $117,602,550
International Equity 27,413,256 4,869,505 22,543,751 191,929,736
Emerging Markets 6,337,078 5,632,682 704,396 99,723,750
U.S. Equity 21,576,946 3,742,453 17,834,493 125,260,172
Bond 783,851 1,440,525 (656,674) 123,954,307
Short-Term 21,540 248,211 (226,671) 65,202,063
Forward Foreign Exchange Currency Contracts
The Funds enter into forward foreign exchange currency contracts in order to
hedge exposure to changes in foreign currency exchange rates on foreign
portfolio holdings. A forward exchange contract is a commitment to purchase or
sell a foreign currency at a future date at a negotiated forward rate.
Fluctuations in the value of forward foreign currency contracts are recorded for
book purposes as unrealized gains or losses by the Funds. The U.S. dollar value
of the contracts is determined using forward currency exchange rates supplied by
an independent pricing service. Realized gains and losses on contracts are
recognized on settlement date.
Risks may arise from the potential inability of a counterparty to meet the terms
of a contract and from unanticipated movements in the value of a foreign
currency relative to the U.S. dollar. The maximum potential loss from such
contracts is the aggregate face value in U.S. dollars at the time the contract
was opened; however, management of the Fund believes the likelihood of such loss
is remote.
Appendix B to the Notes to the Financial Statements details each Fund's
outstanding forward foreign exchange currency contracts at June 30, 1996.
Financial Futures Contracts
The Funds are engaged in trading financial futures contracts. The Funds are
exposed to market risk as a result of changes in the value of the underlying
financial instruments. Investments in financial futures require a Fund to "mark
to market" on a daily basis, which reflects the change in the market value of
the contract at the close of each day's trading. Accordingly, variation margin
payments are made or received to reflect daily unrealized gains or losses. When
the contracts are closed, the Fund recognizes a realized gain or loss. These
investments require initial margin deposits which consist of cash or cash
equivalents, equal to approximately 5-10% of the contract amount.
Each Fund may use futures contracts to manage its exposure to the stock and bond
markets and to fluctuations in currency values. Futures contracts tend to
increase or decrease the Fund's exposure to the underlying instrument or hedge
other Fund investments. Losses may arise if there are changes in the value of
the underlying instruments, if there is an illiquid secondary market for the
contracts, or if the counterparties do not perform under the contracts' terms.
At June 30, 1996, the Funds segregated investments in connection with their
margin accounts with respect to their financial futures contracts in the
following amounts:
-----------------------------------------------------
Segregated
Fund Assets
-----------------------------------------------------
Multi-Asset $ 5,636,694
International Equity 1,888,395
Emerging Markets -
U.S. Equity 538,786
Bond 33,648
Short-Term 496,418
Appendix C of the Notes to the Financial Statements details each Fund's open
futures contracts at June 30, 1996.
Short Selling
Multi-Asset, U.S. Equity and Bond engage in short-selling which obligates the
Funds to replace the security borrowed by purchasing it at the market price at
the time of replacement. Until the security is replaced, a Fund is required to
pay the lender any dividends declared. The Fund would realize a gain if the
security declines in price between the date of the short sale and the date on
which the Fund replaces the borrowed security. The Fund would incur a loss as a
result of the short sale if the price of the security increases between those
dates.
Options
When a Fund purchases an option, an amount equal to the premium paid by the Fund
is included in the Fund's Statement of Assets and Liabilities as an investment
and subsequently "marked-to-market" to reflect the current market value of the
option purchased. The current market value of a purchased option is the last
sale price on the market on which it is principally traded. If the purchased
option expires, the Fund realizes a loss in the amount of the premium. If the
Fund enters into a closing sale transaction, it realizes a gain or loss,
depending on whether the proceeds from the sale are greater or less than the
cost of the option.
If the Fund exercises a call option, the cost of the securities acquired by
exercising the call is increased by the premium paid to buy the call. If the
Fund exercises a put option, it realizes a gain or loss from the sale of the
underlying security and the proceeds from such sale are decreased by the premium
originally paid. The risk associated with purchasing options is limited to the
premium originally paid.
Each Fund may use options contracts to manage its exposure to the stock and bond
markets and to fluctuations in interest rates and currency values. Options
contracts tend to increase or decrease the Fund's exposure to the underlying
instrument, or hedge other Fund investments.
5. Repurchase and Reverse Repurchase Agreements
Each Fund may enter into repurchase agreements under which a bank or securities
firm that is a primary or reporting dealer in U.S. Government securities agrees,
upon entering into a contract, to sell U.S. Government securities to a Fund and
repurchase such securities from such Fund at a mutually agreed upon price and
date.
Each Fund is also permitted to enter into reverse repurchase agreements under
which a primary or reporting dealer in U.S. Government securities purchases U.S.
Government securities from a Fund and such Fund agrees to repurchase the
securities at an agreed upon price and date. Each Fund will engage in
repurchase and reverse repurchase transactions with parties selected on the
basis of such party's creditworthiness. The collateral on repurchase agreements
must have an aggregate market value greater than or equal to the repurchase
price plus accrued interest at all times. If the value of the underlying
securities falls below the value of the repurchase price plus accrued interest,
the Fund will require the seller to deposit additional collateral by the next
business day. If the request for additional collateral is not met, or the
seller defaults on its repurchase obligation, such Fund maintains the right to
sell the underlying securities at market value and may claim any resulting loss
against the seller. However, in the event of default or bankruptcy by the
counterparty to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings.
6. Capital Share Transactions
As of June 30, 1996, there were 3,000,000,000 shares of $0.001 par value capital
stock authorized. Transactions in capital stock are listed in Appendix D to the
Notes to the Financial Statements.
7. Security Lending
The Funds receive securities issued or guaranteed by the U.S. Government or its
agencies or cash as collateral against the loaned securities, in an amount at
least equal to 100% of the current market value of the loaned securities. At
June 30, 1996, all collateral received was cash and was subsequently invested in
cash equivalents.
As of June 30, 1996, the value of the loaned securities outstanding and the
related collateral was as follows:
- -------------------------------------------------------------------------------
Value of Loaned
Securities Collateral
- -------------------------------------------------------------------------------
Multi-Asset $ 1,549,773 $ 1,600,774
International Equity 8,272,529 8,723,800
Emerging Markets 3,001,985 3,241,050
U.S. Equity 3,203,440 3,330,896
Bond 3,903,122 3,980,300
Short-Term - -
8. Delayed Delivery Transactions
The Funds may purchase or sell securities on a when-issued or forward commitment
basis. Payment and delivery may take place a month or more after the date of
the transaction. The price of the underlying securities and the date when the
securities will be delivered and paid for are fixed at the time the transaction
is negotiated. The Funds identify securities as segregated in its custodial
records with a value at least equal to the amount of the purchase commitment.
Bond enters into "TBA" (to be announced) purchase commitments to purchase
securities for a fixed unit price at a future date beyond customary settlement
time. Although the unit price has been established, the principal value has not
been finalized. However, the amount of the commitment will not fluctuate more
than 2.0% from the principal amount. TBA purchase commitments may be considered
securities in themselves, and involve a risk of loss if the value of the
security to be purchased declines prior to the settlement date, which risk is in
addition to the risk of decline in the value of the Fund's other assets.
Unsettled TBA purchase commitments are valued at the current market value of the
underlying securities, generally according to the procedures described under
"Valuation" above. Risks may arise upon entering into these contracts from the
potential inability of counterparties to meet the terms of their contracts.
Although the Fund will generally enter into TBA purchase commitments with the
intention of acquiring securities for its portfolio, the Fund may dispose of a
commitment prior to settlement if the Fund's Money Manager deems it appropriate
to do so.
Bond enters into TBA sale commitments to hedge its portfolio or to sell
mortgage-backed securities it owns under delayed delivery arrangements.
Proceeds of TBA sale commitments are not received until the contractual
settlement date. During the time a TBA sale commitment is outstanding,
equivalent deliverable securities, or an offsetting TBA purchase commitment
(deliverable on or before the sale commitment date), are held as "cover" for
the transaction.
Unsettled TBA sale commitments are valued at the current market value of the
underlying securities, generally according to the procedures described under
"Valuation" above. The contract is marked-to-market daily and the change in
market value is recorded by the Fund as an unrealized gain and loss. If the TBA
sale commitment is closed through the acquisition of an offsetting purchase
commitment, the Fund realizes a gain or loss on the commitment without regard to
any unrealized gain or loss on the underlying security. If the Fund delivers
securities under the commitment, the Fund realizes a gain or loss from the sale
of the securities upon the unit price established at the date the commitment was
entered into.
9. Credit Risk in the Emerging Markets
Emerging Markets' relatively large investment in countries with limited or
developing capital markets may involve greater risks than investments in more
developed markets and the prices of such investments may be volatile. While the
Fund's investment in emerging markets debt is limited, the yields of these
obligations reflect perceived credit risk. The consequences of political,
social, or economic changes in these markets may have disruptive effects on the
market prices of the Fund's investment and the income they generate, as well as
the Fund's ability to repatriate such amounts.
Appendix A
Money Manager Fee as Percent of Assets Managed
Minimum Maximum
TIFF Multi-Asset Fund
Bee & Associates 0.15 2.00
Lazard Freres Asset Management 0.50** 0.50
A. Gary Shilling & Co., Inc. 0.15 2.00
Standard Pacific Capital LLC 0.15 2.00
TCW Funds Management, Inc. 0.50* 0.75
Wellington Management Company 0.35* 0.45
TIFF International Equity Fund
Bee & Associates 0.15 2.00
Blairlogie Capital Management 0.60* 0.95
Delaware International Advisers Ltd. 0.30* 0.50
Harding, Loevner Management, L.P. 0.10 1.50
Marathon Asset Management Ltd. 0.15 1.60
Mercury Asset Management 0.50** 0.50
TIFF Emerging Markets Fund
BEA Associates 0.60* 0.95
Blairlogie Capital Management 0.60* 0.95
Emerging Markets Management 1.00* 1.25
Genesis Asset Managers, Ltd. 0.60* 1.10
Lazard Freres Asset Management 0.50** 0.50
TIFF U.S. Equity Fund
Aronson + Partners Investment Management 0.10 0.80
Eagle Capital Management 0.00 2.00
First Quadrant 0.15 3.00
Investment Research Company (Hi Cap) 0.10 1.20
Investment Research Company (Long/Short) 0.10 2.00
Jacobs Levy Equity Management 0.15 1.25
Kayne, Anderson Investment Management, Inc. 0.15 0.65
Martingale Asset Management, L.P. 0.05* 0.10
Palo Alto Investors 0.10 2.00
Turner Investment Partners, Inc. 0.15 1.50
Westport Asset Management, Inc. 0.15 2.00
TIFF Bond Fund
Atlantic Asset Management Partners, Inc. 0.10 0.60
Fischer Francis Trees & Watts, Inc. 0.10 0.80
Seix Investment Advisors, Inc. 0.10 0.80
Smith Breeden Associates, Inc. 0.10 0.85
TIFF Short-Term Fund
Fischer Francis Trees & Watts, Inc. 0.15* 0.20
Smith Breeden Associates, Inc. 0.05 0.75
* Money Manager receives a fee that does not include performance component.
** Money Manager receives a straight asset-based fee regardless of the amount
of assets managed for TIP (i.e., there are neither "breakpoints" in the fee
agreement nor a performance component).
Appendix B
Open Forward Foreign Exchange Contracts as of June 30, 1996
Unrealized
Contract Cost/ Current Appreciation
Amount Proceeds Value (Depreciation)
Multi-Asset Fund
Sell Contracts
197,808 Austrian Schilling
expiring 7/1/96 $ 18,324 $ 18,462 $ (138)
International Equity Fund
Buy Contracts
7,033,253 Indonesian Rupiah
expiring 7/1/96 $ 3,023 $ 3,025 $ 2
21,809,125 Japanese Yen
expiring 7/1/96 199,929 199,075 (854)
107,410,000 Japanese Yen
expiring 8/30/96 1,000,000 989,070 (10,930)
3,266,320 Swedish Kroma
expiring 7/1/96 493,775 492,596 (1,179)
Sell Contracts
1,261,209 Austrian Schilling
expiring 7/1/96 116,833 117,715 (882)
25,320,000 Austrian Schilling
expiring 8/30/96 800,000 810,858 (10,858)
4,172,000 French Franc
expiring 8/30/96 800,000 812,137 (12,137)
1,231,360 German Deutschemark
expiring 8/30/96 800,000 811,224 (11,224)
406,850,000 Japanese Yen
expiring 7/1/96 4,000,000 3,826,663 173,337
214,500,000 Japanese Yen
expiring 8/30/96 2,000,000 1,975,193 24,807
1,375,200 Netherlands Guilder
expiring 8/30/96 800,000 808,593 (8,593)
2,061,120 Netherlands Guilder
expiring 9/18/96 1,215,856 1,213,474 2,382
18,528,320 Swedish Krona
expiring 9/18/96 2,765,421 2,793,439 (28,018)
Total $ 115,853
Emerging Markets Fund
Buy Contracts
332,937 Indonesian Rupiah
expiring 7/1/96 $ 143 $ 143 $ -
213,102 Israeli Shekel
expiring 7/1/96 62,165 66,251 4,086
Sell Contracts
38,244,246 Indonesian Rupiah
expiring 7/1/96 16,428 16,442 (14)
25,533,750 Hong Kong Dollar
expiring 9/18/96 3,293,827 3,298,934 (5,107)
Total $ (1,035)
Appendix C
Open Futures Contracts as of June 30, 1996
Aggregate Aggregate Unrealized
Contract Face Value Current Appreciation
Amount When Opened Face Value (Depreciation)
Multi-Asset Fund
Long Futures Contracts
8 Sept `96 U.S. T-Note
(10 yr.) $ 849,000 $ 860,000 $ 11,000
10 Sept `96 U.S. T-Note
(5 yr.) 1,047,969 1,057,500 9,531
44 Sept `96 SMX Nikkei
Index 4,409,029 4,531,479 123,450
27 Sept `96 Japanese Yen 3,145,163 3,112,088 (33,075)
13 Sept `96 Aust All Ord
Index 586,443 578,255 (8,188)
10 Sept `96 S&P 500 Index 3,383,000 3,384,000 1,000
Total $ 103,718
International Equity Fund
Long Futures Contracts
187 Sept '96 Japanese Yen $ 21,783,163 $ 21,554,088 $ (229,075)
126 Sept '96 Simex Nikkei
Index 12,622,993 12,976,505 353,513
17 Sept '96 Toronto 35
Index 1,664,344 1,644,335 (20,010)
Short Futures Contracts
21 Sept `96 Swiss Franc (2,090,025) (2,107,875) (17,850)
Total $ 86,578
U.S. Equity Fund
Long Futures Contracts
41 Sept '96 S&P 500 $ 13,792,300 $ 13,874,400 $ 82,100
Bond Fund
Long Futures Contracts
6 Sept '96 5 Year Treasury
Notes $ 633,406 $ 634,500 $ 1,094
Short Futures Contracts
21 Sept '96 5 Yr Treasury
Notes (2,220,188) (2,220,750) (562)
3 Sept'96 Euro Dollars (709,425) (707,025) 2,400
4 Mar '97 Euro Dollars (943,800) (938,900) 4,900
3 Sept'97 Euro Dollars (706,425) (701,550) 4,875
3 Mar '98 Euro Dollars (703,875) (700,125) 3,750
4 Jun '97 Euro Dollars (944,075) (736,625) 7,075
3 Dec '96 Euro Dollars (710,250) (705,075) 5,175
3 Dec '97 Euro Dollars (707,625) (700,425) 7,200
Total $ 35,906
Short-Term Fund
Long Futures Contracts
40 Aug '96 LIBOR Index $ 9,438,000 $ 9,444,000 $ 6,000
Short Futures Contracts
40 Aug '96 Euro Dollars (9,426,000) (9,434,000) (8,000)
18 Sept '96 Euro Dollars (4,235,850) (4,242,150) (6,300)
1 Dec `96 Euro Dollars (233,648) (235,025) (1,377)
Total $ (9,677)
Appendix D
Capital Share Transactions
Period from
Six Months Ended 6/30/96 3/31/95* to December 31, 1995
Multi-Asset Fund Shares Amount Shares Amount
Shares Sold 1,815,341 $ 21,052,782 8,225,630 $ 84,836,448
Shares Reinvested - - 156,105 1,716,666
Exit/Entrance Fe90 - 170,824 - 368,847
Subtotal 1,815,341 21,223,606 8,381,734 86,921,961
Shares Redeemed (344,587) (3,920,260) (57,581) (613,418)
Net Increase 1,470,754 $ 17,303,346 8,324,154 $ 86,308,543
* Commencement of Operations
Six Months Ended 6/30/96 Year Ended 12/31/95
International Shares Amount Shares Amount
Equity Fund
Shares Sold 5,572,597 $ 62,376,927 6,412,082 $ 64,757,197
Shares Reinvested - - 144,840 1,544,842
Exit/Entrance Fees - 241,791 - 442,854
Subtotal 5,572,597 62,618,718 6,556,922 66,744,893
Shares Redeemed (2,821,228) (31,416,474) (1,136,430) (11,466,017)
Net Increase 2,751,369 $ 31,202,244 5,420,492 55,278,876
Six Months Ended 6/30/96 Year Ended 12/31/95
Emerging Markets Shares Amount Shares Amount
Fund
Shares Sold 6,067,313 $ 55,205,983 1,865,202 $ 16,108,997
Shares Reinvested - - 1,336 16,905
Exit/Entrance Fees - 339,914 - 150,876
Subtotal 6,067,313 55,545,897 1,866,538 16,276,778
Shares Redeemed (2,454,829) (22,381,422) (244,472) (2,128,518)
Net Increase 3,612,484 $ 33,164,475 1,622,066 $ 14,148,260
Six Months Ended 6/30/96 Year Ended 12/31/95
U.S. Equity Fund Shares Amount Shares Amount
Shares Sold 2,336,452 $ 30,170,458 3,321,437 $ 38,880,399
Shares Reinvested 17,558 236,153 680,636 8,414,015
Exit/Entrance Fees - 15,673 - 87,663
Subtotal 2,354,010 30,422,284 4,002,073 47,382,077
Shares Redeemed (756,657) (9,714,174) (918,330) (10,541,597)
Net Increase 1,597,353 $ 20,708,110 3,083,743 $ 36,840,480
Six Months Ended 6/30/96 Year Ended 12/31/95
Bond Fund Shares Amount Shares Amount
Shares Sold 1,942,969 $ 19,815,250 8,398,526 $ 83,517,759
Shares Reinvested 156,124 1,560,209 461,277 4,741,699
Exit/Entrance Fees - - - -
Subtotal 2,099,093 21,375,459 8,859,803 88,259,458
Shares Redeemed (74,983) (762,309) (8,277,360) (81,350,717)
Net Increase 2,024,110 $ 20,613,150 582,443 $ 6,908,741
Six Months Ended 6/30/96 Year Ended 12/31/95
Short-Term Fund Shares Amount Shares Amount
Shares Sold 1,508,504 $ 15,075,962 9,712,800 $ 97,319,382
Shares Reinvested 221,059 2,208,264 491,240 4,949,767
Exit/Entrance Fees - - - -
Subtotal 1,729,563 17,284,226 10,204,040 102,269,149
Shares Redeemed (6,079,987) (60,683,603) (3,981,798) (39,922,950)
Net Increase (4,350,424) $ (43,399,377) 6,222,242 $ 62,346,199
TIFF INVESTMENT PROGRAM, INC.
ADVISER MONEY MANAGERS
Foundation Advisers, Inc.
2405 Ivy Road TIFF Multi-Asset Fund
Charlottesville, VA 22903 A. Gary Shilling & Co., Inc.
phone (800) 984-0084 Bee & Associates, Inc.
fax (804) 977-4479 Lazard Freres Asset Management
Standard Pacific Capital LLC
TCW Funds Management, Inc.
CUSTODIAN Wellington Management Company
FUND ACCOUNTING AGENT
TRANSFER AGENT TIFF International Equity Fund
DIVIDEND DISBURSING AGENT Bee & Associates, Inc.
Investors Bank & Trust Company Blairlogie Capital Management
P.O. Box 1537 Delaware International Advisers, Ltd.
Boston, MA 02205 Harding, Loevner Management, L.P.
Marathon Asset Management, Ltd.
Mercury Asset Management International, Ltd.
FUND ADMINISTRATOR
AND DISTRIBUTOR TIFF Emerging Markets Fund
AMT Capital Services, Inc. BEA Associates
600 Fifth Avenue, 26th Floor Emerging Markets Management
New York, NY 10020 Blairlogie Capital Management
Genesis Asset Managers, Ltd.
Lazard Freres Asset Management
LEGAL COUNSEL
Dechert Price & Rhoads TIFF U.S. Equity Fund
1500 K Street, N.W. Aronson + Partners Investment Management
Washington, DC 20005 Eagle Capital Management
First Quadrant
Investment Research Company
INDEPENDENT ACCOUNTANTS Jacobs Levy Equity Management
Price Waterhouse LLP Kayne, Anderson Investment Management, Inc.
160 Federal Street Martingale Asset Management, L.P.
Boston, MA 02110 Palo Alto Investors
Turner Investment Partners, Inc.
Westport Asset Management, Inc.
TIFF Bond Fund
Atlantic Asset Management Partners, Inc.
Fischer Francis Trees & Watts, Inc.
Seix Investment Advisors, Inc.
Smith Breeden Associates, Inc.
TIFF Short-Term Fund
Fischer Francis Trees & Watts, Inc.
Smith Breeden Associates, Inc.
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 4
<NAME> BOND FUND
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-END> JUN-30-1996
<INVESTMENTS-AT-COST> 123,954
<INVESTMENTS-AT-VALUE> 123,298
<RECEIVABLES> 7986
<ASSETS-OTHER> (696)
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 130,588
<PAYABLE-FOR-SECURITIES> 22,186
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1044
<TOTAL-LIABILITIES> 23,230
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 108,671
<SHARES-COMMON-STOCK> 10,837
<SHARES-COMMON-PRIOR> 8813
<ACCUMULATED-NII-CURRENT> 127
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (818)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (622)
<NET-ASSETS> 107,358
<DIVIDEND-INCOME> 71
<INTEREST-INCOME> 3444
<OTHER-INCOME> 0
<EXPENSES-NET> 321
<NET-INVESTMENT-INCOME> 3194
<REALIZED-GAINS-CURRENT> (663)
<APPREC-INCREASE-CURRENT> (3791)
<NET-CHANGE-FROM-OPS> (1260)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 3067
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 1943
<NUMBER-OF-SHARES-REDEEMED> 75
<SHARES-REINVESTED> 156
<NET-CHANGE-IN-ASSETS> 16,286
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> (155)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 112
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 321
<AVERAGE-NET-ASSETS> 101,870
<PER-SHARE-NAV-BEGIN> 10.33
<PER-SHARE-NII> .30
<PER-SHARE-GAIN-APPREC> (.42)
<PER-SHARE-DIVIDEND> .30
<PER-SHARE-DISTRIBUTIONS> .00
<RETURNS-OF-CAPITAL> .00
<PER-SHARE-NAV-END> 9.91
<EXPENSE-RATIO> .57
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 3
<NAME> EMERGING MARKETS FUND
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-END> JUN-30-1996
<INVESTMENTS-AT-COST> 99,724
<INVESTMENTS-AT-VALUE> 100,428
<RECEIVABLES> 965
<ASSETS-OTHER> 3828
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 105,221
<PAYABLE-FOR-SECURITIES> 1680
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 6643
<TOTAL-LIABILITIES> 8323
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 103,303
<SHARES-COMMON-STOCK> 10,648
<SHARES-COMMON-PRIOR> 7036
<ACCUMULATED-NII-CURRENT> 11
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (7090)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 674
<NET-ASSETS> 96,898
<DIVIDEND-INCOME> 479
<INTEREST-INCOME> 207
<OTHER-INCOME> 0
<EXPENSES-NET> 675
<NET-INVESTMENT-INCOME> 11
<REALIZED-GAINS-CURRENT> 887
<APPREC-INCREASE-CURRENT> 3350
<NET-CHANGE-FROM-OPS> 4248
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 6067
<NUMBER-OF-SHARES-REDEEMED> 2455
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 37,412
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> (7977)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 360
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 675
<AVERAGE-NET-ASSETS> 74,969
<PER-SHARE-NAV-BEGIN> 8.45
<PER-SHARE-NII> .00
<PER-SHARE-GAIN-APPREC> 0.65
<PER-SHARE-DIVIDEND> .00
<PER-SHARE-DISTRIBUTIONS> .00
<RETURNS-OF-CAPITAL> .00
<PER-SHARE-NAV-END> 9.10
<EXPENSE-RATIO> 1.68
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 2
<NAME> INTERNATIONAL EQUITY FUND
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-END> JUN-30-1996
<INVESTMENTS-AT-COST> 191,930
<INVESTMENTS-AT-VALUE> 214,473
<RECEIVABLES> 3219
<ASSETS-OTHER> 13,526
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 231,218
<PAYABLE-FOR-SECURITIES> 5059
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 20,489
<TOTAL-LIABILITIES> 25,548
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 177,597
<SHARES-COMMON-STOCK> 17,121
<SHARES-COMMON-PRIOR> 14,370
<ACCUMULATED-NII-CURRENT> 1457
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 3642
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 22,974
<NET-ASSETS> 205,670
<DIVIDEND-INCOME> 1736
<INTEREST-INCOME> 560
<OTHER-INCOME> 0
<EXPENSES-NET> 972
<NET-INVESTMENT-INCOME> 1324
<REALIZED-GAINS-CURRENT> 4470
<APPREC-INCREASE-CURRENT> 13,252
<NET-CHANGE-FROM-OPS> 19,046
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 5572
<NUMBER-OF-SHARES-REDEEMED> 2821
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 50,248
<ACCUMULATED-NII-PRIOR> 133
<ACCUMULATED-GAINS-PRIOR> 828
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 601
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 972
<AVERAGE-NET-ASSETS> 185,728
<PER-SHARE-NAV-BEGIN> 10.82
<PER-SHARE-NII> .08
<PER-SHARE-GAIN-APPREC> 1.11
<PER-SHARE-DIVIDEND> .00
<PER-SHARE-DISTRIBUTIONS> .00
<RETURNS-OF-CAPITAL> .00
<PER-SHARE-NAV-END> 12.01
<EXPENSE-RATIO> 1.07
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 6
<NAME> MULTI-ASSET FUND
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-END> JUN-30-1996
<INVESTMENTS-AT-COST> 117,603
<INVESTMENTS-AT-VALUE> 125,253
<RECEIVABLES> 1434
<ASSETS-OTHER> 3751
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 130,437
<PAYABLE-FOR-SECURITIES> 8659
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 4395
<TOTAL-LIABILITIES> 13,054
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 103,612
<SHARES-COMMON-STOCK> 9795
<SHARES-COMMON-PRIOR> 8324
<ACCUMULATED-NII-CURRENT> 668
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 5333
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 7770
<NET-ASSETS> 117,383
<DIVIDEND-INCOME> 517
<INTEREST-INCOME> 661
<OTHER-INCOME> 0
<EXPENSES-NET> 671
<NET-INVESTMENT-INCOME> 507
<REALIZED-GAINS-CURRENT> 4028
<APPREC-INCREASE-CURRENT> 2915
<NET-CHANGE-FROM-OPS> 7450
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 1815
<NUMBER-OF-SHARES-REDEEMED> 344
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 24,753
<ACCUMULATED-NII-PRIOR> 161
<ACCUMULATED-GAINS-PRIOR> 1305
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 466
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 671
<AVERAGE-NET-ASSETS> 106,082
<PER-SHARE-NAV-BEGIN> 11.13
<PER-SHARE-NII> .05
<PER-SHARE-GAIN-APPREC> .80
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 11.98
<EXPENSE-RATIO> 1.08
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 5
<NAME> SHORT-TERM FUND
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-END> JUN-30-1996
<INVESTMENTS-AT-COST> 65,202
<INVESTMENTS-AT-VALUE> 64,975
<RECEIVABLES> 514
<ASSETS-OTHER> 89
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 65,578
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 12,670
<TOTAL-LIABILITIES> 12,670
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 53,230
<SHARES-COMMON-STOCK> 5301
<SHARES-COMMON-PRIOR> 9651
<ACCUMULATED-NII-CURRENT> 55
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (141)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (236)
<NET-ASSETS> 52,908
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 2505
<OTHER-INCOME> 82
<EXPENSES-NET> 155
<NET-INVESTMENT-INCOME> 2432
<REALIZED-GAINS-CURRENT> (133)
<APPREC-INCREASE-CURRENT> (219)
<NET-CHANGE-FROM-OPS> 2080
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 2353
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 1509
<NUMBER-OF-SHARES-REDEEMED> 6080
<SHARES-REINVESTED> 221
<NET-CHANGE-IN-ASSETS> (43,672)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> (8)
<OVERDISTRIB-NII-PRIOR> 24
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 88
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 199
<AVERAGE-NET-ASSETS> 88,473
<PER-SHARE-NAV-BEGIN> 10.01
<PER-SHARE-NII> .27
<PER-SHARE-GAIN-APPREC> (.04)
<PER-SHARE-DIVIDEND> .26
<PER-SHARE-DISTRIBUTIONS> .00
<RETURNS-OF-CAPITAL> .00
<PER-SHARE-NAV-END> 9.98
<EXPENSE-RATIO> .35
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 1
<NAME> U.S. EQUITY FUND
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1996
<PERIOD-END> JUN-30-1996
<INVESTMENTS-AT-COST> 125,260
<INVESTMENTS-AT-VALUE> 143,095
<RECEIVABLES> 241
<ASSETS-OTHER> 4955
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 148,291
<PAYABLE-FOR-SECURITIES> 702
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 3650
<TOTAL-LIABILITIES> 4352
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 115,570
<SHARES-COMMON-STOCK> 10,489
<SHARES-COMMON-PRIOR> 8891
<ACCUMULATED-NII-CURRENT> 323
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 9544
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 18,502
<NET-ASSETS> 143,939
<DIVIDEND-INCOME> 1031
<INTEREST-INCOME> 401
<OTHER-INCOME> 0
<EXPENSES-NET> 585
<NET-INVESTMENT-INCOME> 847
<REALIZED-GAINS-CURRENT> 8239
<APPREC-INCREASE-CURRENT> 4605
<NET-CHANGE-FROM-OPS> 13,691
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 361
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 2336
<NUMBER-OF-SHARES-REDEEMED> 756
<SHARES-REINVESTED> 18
<NET-CHANGE-IN-ASSETS> 34,038
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 1305
<OVERDISTRIB-NII-PRIOR> 163
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 391
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 585
<AVERAGE-NET-ASSETS> 132,425
<PER-SHARE-NAV-BEGIN> 12.36
<PER-SHARE-NII> .09
<PER-SHARE-GAIN-APPREC> 1.31
<PER-SHARE-DIVIDEND> .04
<PER-SHARE-DISTRIBUTIONS> .00
<RETURNS-OF-CAPITAL> .00
<PER-SHARE-NAV-END> 13.72
<EXPENSE-RATIO> .90
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
