ANNUAL REPORT
December 31, 1995
TIFF INVESTMENT PROGRAM
Investment management for foundations
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,
/s/ David A. Salem
David A. Salem
President
CONTENTS
TIFF MULTI-ASSET FUND
PERFORMANCE GRAPH 1
STATEMENT OF NET ASSETS 3
TIFF INTERNATIONAL EQUITY FUND
PERFORMANCE GRAPH 11
STATEMENT OF NET ASSETS 13
TIFF EMERGING MARKETS FUND
PERFORMANCE GRAPH 24
STATEMENT OF NET ASSETS 26
TIFF U.S. EQUITY FUND
PERFORMANCE GRAPH 40
STATEMENT OF NET ASSETS 42
TIFF BOND FUND
PERFORMANCE GRAPH 56
STATEMENT OF NET ASSETS 58
TIFF SHORT-TERM FUND
PERFORMANCE GRAPH 64
STATEMENT OF NET ASSETS 66
STATEMENT OF OPERATIONS 68
STATEMENT OF CHANGES IN NET ASSETS 71
FINANCIAL HIGHLIGHTS 74
NOTES TO FINANCIAL STATEMENTS 77
TIFF MULTI-ASSET FUND
December 31, 1995
GRAPH: Comparison of change in value of $10,000 investment in TIFF Multi-Asset
Fund and the Multi-Asset constructed Index. This graph is a x-y line
graph, with x being the date (starting at 3/31/95 and ending at 12/31/95)
and y being the value.
Policy Considerations: All TIFF Funds enable Members 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 delegate responsibility for asset allocation also. The Fund's
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., Bee, Shilling, and TCW). The reasons underlying the Fund's
use of other commingled vehicles are discussed in a brochure about the Fund that
is available upon request.
Performance Evaluation: The Fund has generated a 13.9% return net of fees since
inception, a pace slightly in excess of the Constructed Index that serves as its
primary performance benchmark and considerably in excess of its long-term aim of
generating 5% or higher inflation-adjusted returns per annum. 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, most 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 on the
Fund's position in longer-maturity bonds - a position that was trimmed toward
year-end. The only material policy tilt initiated by the cooperative's
directors to date is the bias in favor of natural resource-related stocks.
Investment Performance (For Periods Ended December 31, 1995)
Total Return Since
Inception
(3/31/95)
TIFF Multi-Asset Fund 13.87%
Constructed Index* 13.55%
* 25% Wilshire 5000; 30% MSCI All Country World ex U.S.; 15% Merrill Lynch
Treasury Bill Index + 5% per annum; 10% MSCI Global Resource-Related Index;
and 15% Lehman Aggregate Bond
TIFF MULTI-ASSET FUND- STATEMENT OF NET ASSETS
December 31,1995
Shares Value+
Long-Term Investments - 92.4%
Common Stock - 43.6%
U.S. Common Stock - 21.3%
Aerospace - 0.0% +++
Sundstrand Corp. 600 $ 42,225
Chemicals - 1.2%
IMC Global, Inc. 21,600 882,900
The Carbide/Graphite Group, Inc.* 13,100 188,312
Total 1,071,212
Computers - 0.4%
Pyxis Corp. * 23,000 336,375
Construction - 2.1%
Fleetwood Enterprises, Inc. 15,600 401,700
J. Ray McDermott, SA* 24,000 429,000
Oakwood Homes Corp. 9,800 376,075
U.S. Delivery Systems, Inc. * 25,700 745,300
Total 1,952,075
Electronics - 2.0%
Catalina Lighting, Inc.* 100,000 487,500
Holophane Corp.* 34,500 750,375
PacifiCorp (a) 19,500 414,375
Teco Energy, Inc. 8,200 210,125
Total 1,862,375
Energy - 0.8%
Enron Corp. 19,900 758,688
Environmental Management - 0.3%
Layne, Inc. * 23,100 259,875
Machinery - 2.1%
AGCO Corp. 14,500 739,500
Case Corp. 8,700 398,025
Deere & Co. 22,300 786,075
Total 1,923,600
Metals - 2.2%
Agnico-Eagle Mines Ltd. (a) 15,000 189,375
Algoma Steel, Inc.* 66,000 247,500
Alumax, Inc.* 7,000 214,375
Aluminum Company of America 8,000 423,000
J & L Specialty Steel, Inc. 15,000 281,250
Phelps Dodge Corp. 9,100 566,475
Santa Fe Pacific Gold Corp. 13,000 157,625
Total 2,079,600
Mining - 0.3%
Newmont Mining Corp. 7,000 316,750
Motor Vehicles - 0.4%
General Motors Corp. - Class H 7,700 378,263
Oil/Gas Exploration - 2.2%
Apache Corp. 6,000 177,000
Noble Affiliates, Inc. 18,000 537,750
Noble Drilling Corp.* 30,000 270,000
Oryx Energy Co.* 36,000 481,500
Pogo Producing Co. 12,500 353,125
Santa Fe Energy Resources, Inc.* 20,000 192,500
Total 2,011,875
Oil Services - 3.2%
Anadarko Petroleum Corp. 5,000 270,625
Baker Hughes, Inc. 20,000 485,000
BJ Services Co.* 8,500 246,500
Camco International, Inc. 9,500 266,000
Enron Oil & Gas Co. 3,900 93,600
Imperial Oil Ltd. 10,000 361,250
McMoran Oil & Gas Co.* 60,000 206,250
Tom Brown, Inc.* 15,000 219,375
Tuboscope Vetco International Corp.* 60,000 341,250
Union Texas Petroleum Holdings, Inc. 10,000 193,750
Vastar Resources, Inc. 8,000 254,000
Total 2,937,600
Publishing - 0.4%
Westvaco Corp. 15,000 416,250
Real Estate - 0.4%
Clayton Homes, Inc. 17,875 382,078
Retail Outlet - 0.8%
Bon-Ton Stores, Inc. (The)* 45,000 225,000
Easco, Inc. 56,000 483,000
Total 708,000
Telecommunications - 2.5%
AT & T Corp. 11,600 751,100
Pacific Telesis Group 24,000 807,000
USCI, Inc.* 73,250 723,343
Total 2,281,443
Total U.S. Common Stock (Cost - $18,933,629) 19,718,284
Foreign Common Stock - 22.3%
Austria - 0.4%
Vogel & Noot Waermetechnik AG* 15,850 354,533
Canada - 5.0%
Alberta Energy Co. Ltd. (a)* 30,000 480,000
Anderson Exploration Ltd.* 33,460 340,240
Barrick Gold Corp. 15,000 395,625
Canadian Natural Resources Ltd.* 14,000 205,202
Chauvco Resources Ltd. - Class A* 20,000 179,552
Franco-Nevada Mining Ltd.* 3,000 175,339
Memotec Communications, Inc.* 95,000 800,660
Nowsco Well Service Ltd. 33,500 418,750
PanCanadian Petroleum Ltd. 5,500 214,639
Placer Dome, Inc. 11,000 265,375
Potash Corp. of Saskatchewan, Inc. 11,600 822,150
Talisman Energy, Inc.* 17,000 344,174
Total 4,641,706
Finland - 0.6%
Benefon OY* 22,000 547,617
France - 1.3%
Equipements et Composants pour Industrie
Automobile 6,000 635,843
Total Compagnie Francaise des
Petroles SA - ADR 13,173 447,882
Usinor Sacilor SA* 6,800 90,076
Total 1,173,801
Germany - 0.5%
Commerzbank AG 1,900 450,105
Hong Kong - 1.4%
Hung Hing Printing Group 2,400,000 577,341
Sinocan Holdings Ltd. 2,125,000 755,788
Total 1,333,129
Indonesia - 0.3%
PT Kedaung Indah Can 462,500 298,681
Italy - 2.1%
Fila Holding SpA - ADR 9,000 409,500
Industria Macchine Automatic SpA* 70,000 473,033
Safilo SpA 81,000 1,051,250
Total 1,933,783
Japan - 3.0%
Chugoku Bank Ltd. 23,000 396,705
Kato Denki Ltd. (a) 14,500 376,550
Mitsumi Electric Co. Ltd. (a) 21,000 506,687
Ono Pharmaceutical Ltd. 10,000 384,690
Yamada Denki Ltd. 24,000 627,907
Yamanouchi Pharmaceutical Ltd. 20,000 441,860
Total 2,734,399
Netherlands - 0.7%
Van Melle NV* 10,000 687,285
Norway - 0.8%
Kverneland Gruppen AS 39,600 768,195
Singapore - 0.9%
Electronic Resources Ltd. 914,000 840,311
Spain - 0.5%
Repsol SA - ADR (a) 15,000 493,125
Sweden - 1.0%
IRO AB* 70,000 734,362
Skane Gripen AB - Series B 20,000 190,194
Total 924,556
Thailand - 1.2%
Siam City Bank Ltd. 500,000 501,390
Thai Theparos Food Products Ltd.* 170,000 600,874
Total 1,102,264
United Kingdom - 2.6%
British Gas p.l.c. - ADR 10,600 414,725
British Steel p.l.c. - ADR 8,000 205,000
JBA Holdings p.l.c. 175,000 1,061,819
Powerscreen International p.l.c. 90,000 540,492
Premier Oil p.l.c.* 400,000 166,040
Total 2,388,076
Total Foreign Common Stock (Cost - $18,347,867) 20,,671,566
Total Common Stock (Cost - $37,281,496) 40,389,850
Commingled Investment Vehicles - 34.4%
Euro-Partners Arbitrage Fund (PFIC) 2,077 3,048,148
Farallon Capital Partners Limited Partnership 4,338 4,831,618
GMO Currency Hedged International Bond Fund 462,585 4,982,037
GMO Emerging Country Debt Fund 139,699 1,578,596
Highbridge Capital Corp. (PFIC) 1,255 1,921,231
Petroleum & Resources Corp. 39,900 1,127,175
TCW Core Equity Fund 230,125 3,168,822
TCW Emerging Markets Fund 201,946 1,502,477
TCW Galileo Earnings Momentum Fund 159,544 1,930,478
TCW Galileo High Grade Bond Fund 112,995 1,108,479
TCW Galileo Long-Term Mortgage
Securities Fund 251,717 2,464,314
TCW Small Cap Growth Fund 139,092 2,012,665
Thematic Investment Partners
Limited Partnership 1,000 969,414
Vega Offshore Fund (PFIC) 10,364 1,181,751
Total Commingled Investment
Vehicles (Cost - $30,781,230) 31,827,205
Real Estate Investment Trusts - 2.7%
Avalon Properties, Inc. 40,000 860,000
Camden Property Trust 18,700 446,463
Equity Residential Properties Trust 13,600 416,500
National Golf Properties, Inc. 35,000 800,625
Total Real Estate Investment
Trusts (Cost - $2,324,196) 2,523,588
Preferred Stock - 1.7%
Sto AG - O.S. Vorzugs (Germany) 1,300 654,088
Wolford AG (Austria) (a)* 6,000 948,404
Total Preferred Stock (Cost - $1,379,077) 1,602,492
Shares Value+
Face Amount
U.S. Treasury Securities - 10.0%
U.S. Treasury Note, 5.625% due 11/30/00 (a) $ 1,300,000 $ 1,313,000
U.S. Treasury Note, 5.875% due 11/15/05 (a) 3,900,000 3,987,750
U.S. Treasury Bond, 6.875% due 8/15/25 (a) 3,500,000 3,948,438
Total U.S. Treasury
Securities (Cost - $9,144,201) 9,249,188
Total Long-Term
Investments (Cost - $80,910,200) 85,592,323
Short-Term Investments - 21.5%
U.S. Treasury Securities - 0.3% #
U.S. Treasury Bill, 5.250% due 3/14/96 ++ 75,000 74,040
U.S. Treasury Bill, 5.170% due 6/6/96 ++ 200,000 195,675
Total U.S. Treasury
Securities (Cost - $268,953) 269,715
Other Short-Term Investments - 21.2%
Bank of Boston (Nassau)
Time Deposit, 4.810% due 1/2/96 (b) 4,397,773 4,397,773
Bank of Ireland (Cayman)
Time Deposit, 4.830% due 1/2/96 (b) 4,148,236 4,148,236
First Union Time
Deposit (Nassau), 5.813% due 1/2/96 (b) 4,000,000 4,000,000
Investors Bank & Trust Company Repurchase
Agreement, 5.450% due 1/2/96; Issued
12/29/95 (Collateralized by $8,963,404
FNMA Note, 8.000% due 10/1/23 with a
market value of $9,193,100) 7,074,671 7,074,671
Total Other Short-Term
Investments (Cost - $19,620,680) 19,620,680
Total Short-Term
Investments (Cost - $19,889,633) 19,890,395
Total Investments - 113.9%
(Cost - $100,799,833) 105,482,718
Other Assets and Liabilities - (13.9%)
Deposit with broker for securities sold short 5,077,660
Receivable for forward currency contracts 3,564,193
Receivables for securities sold 974,785
Receivable for securities sold short 1,111,523
Other assets 946,305
Payable for forward currency contracts (3,595,693)
Market value of securities sold
short (Proceeds - $6,274,704 ) (6,188,826)
Payable for collateral on loaned securities (12,546,009)
Other accrued expenses and liabilities (2,196,953)
Other assets and liabilities, net (12,853,015)
Net Assets - 100.0%
Applicable to 8,324,154 outstanding
$.001 par value shares
(authorized 500,000,000 shares) $ 92,629,703
Net asset value per share $ 11.13
Components of Net Assets as of
December 31, 1995 were as follows:
Capital stock at par value ($.001) $ 8,324
Capital stock in excess of par value 86,300,229
Undistributed net investment income 161,258
Accumulated net realized gain on investments,
financial futures and options contracts,
short sales and foreign currency-related
transactions 1,305,050
Net unrealized appreciation on investments,
financial futures contracts,
short sales and on assets and liabilites
denominated in foreign currency 4,854,842
Net Assets $ 92,629,703
Short Portfolio - (6.7%) Shares Value+
U.S. Common Stock - (5.8%)
Container - (0.4%)
Temple-Inland, Inc. 8,800 $ 388,300
Financial - (3.7%)
Advanta Corp. - Class A 9,400 359,550
Charles Schwab Corp. 42,700 859,338
First USA, Inc. 15,700 696,687
MBNA Corp. 10,200 376,125
Money Store (The), Inc. 22,000 343,750
Salomon, Inc. 21,400 759,700
Total 3,395,150
Motor Vehicles - (1.3%)
Arvin Industries, Inc. 48,000 792,000
Hayes Wheels International, Inc. 15,100 386,938
Total 1,178,938
Paper - (0.4%)
Willamette Industries, Inc. 6,900 388,125
Total U.S. Common Stock (Cost - $5,465,171) 5,350,513
Foreign Common Stock - (0.9%)
Mexico - (0.9%)
Telefonos de Mexico SA - ADR 26,300 $ 838,313
Total Foreign Common Stock (Cost - $809,533)
Total Short Portfolio (Cost - $6,274,704) $ 6,188,826
* Non-income producing security
+ 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 December 31, 1995.
(b) Collateral received for securities on loan at December 31, 1995 reinvested
as cash equivalents.
PFIC Passive Foreign Investment Company
See Notes to the Financial Statements
TIFF INTERNATIONAL EQUITY FUND
December 31, 1995
GRAPH: Comparison of change in value of $10,000 investment in TIFF International
Equity Fund and the MSCI All Country World Ex US Stock Index. This is an
x-y line graph with x being the date (starting at 5/31/94 and ending at
12/31/950 and y being the value of the Fund and the Index.
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. The vast size of this opportunity set
translates into potentially higher long-term returns for international (or
global) portfolios than for strictly domestic ones, reinforcing the case for a
material commitment by long-term investors to non-U.S. stocks. The Fund is
widely diversified across countries and currencies, and the addition at
quarter's end of a manager specializing in mostly smaller capitalization stocks
(Bee & Associates) will increase the Fund's diversification across
capitalization sectors and issues. In an effort to limit currency losses
should the dollar continue strengthening, the Fund's managers have hedged a
portion of the Fund's foreign currency exposure, boosting the Fund's effective
U.S. dollar exposure to 23.8%: 6% via hedges, and the remainder via holdings
denominated in currencies that are linked to the dollar. The Fund's year-end
cash position of 5% is misleadingly high: it reflects recent cash inflows that,
due to poor liquidity in foreign bourses at year-end, the Fund's managers
elected not to invest immediately, either directly or via derivatives. As is
true of all TIFF Funds, the International Equity Fund sometimes employs
derivatives to transmute cash into securities of the type represented in the
Fund's benchmark, as well as to hedge currency risk.
Performance Evaluation: The Fund underperformed the MSCI All Country World ex
US Index (its primary benchmark) by 0.6% this quarter, reducing its cumulative
edge over the Index to 1.3% since inception (11.0% vs. 9.7%). As has been true
since the Fund's inception, the Fund exited the fourth quarter of 1995 with an
underweighting in Japanese stocks, a bias that hampered returns, with Japanese
stocks rising 5.1%. The Fund remains overweighted in European stocks, reflecting
both tactical choices by the Fund's three principal managers (Marathon, Harding
Loevner, and Delaware) and the Board's decision to employ Consuelo Brooke of
Mercury Asset Management, who focuses on European companies only. Since
inception, all but one of the Fund's managers have outperformed their
benchmarks, with Ms. Brooke's portfolio performing especially well.
Investment Performance (For Periods Ended December 31, 1995)
Total Return
For the Year Since Since Inception
Ended Inception (Annualized)
(12/31/95) (5/31/94) (5/31/94)
TIFF International Equity Fund 9.85% 11.03% 6.82%
MSCI World Ex-US Index 8.52% 9.73% 6.03%
TIFF INTERNATIONAL EQUITY FUND-STATEMENT OF NET ASSETS
December 31, 1995
Shares Value
Long-Term Investments - 89.8%
Common Stock - 82.6%
Argentina - 0.4%
Quilmes Industrial SA 37,000 $ 577,200
Australia - 3.9%
Australia and New Zealand Banking Group Ltd. 232,907 1,093,561
Australian National Industries Ltd. 452,080 336,393
CSR Ltd. 165,191 538,384
Eastern Aluminum Ltd. 116,000 94,947
Elders Australia Ltd. 41,600 52,932
Gio Australian Holdings Ltd. 191,847 446,818
National Australia Bank Ltd. 62,429 562,086
North Ltd. 78,424 218,832
Pacific Dunlop Ltd. 178,020 417,264
Pasminco Ltd. 320,000 392,885
QNI Ltd. 178,000 376,157
Renison Goldfields Consolidated Ltd. 117,498 585,783
Santos Ltd. 200,000 584,863
Wesfarmers Ltd. 68,554 420,331
Total 6,121,236
Austria - 0.2%
BWT AG 950 97,748
Mayr-Melnhof Karton AG 2,500 125,510
Vogel & Noot Waermetechnik AG* 2,000 44,736
Total 267,994
Belgium - 0.8%
Electrabel SA 3,000 714,772
G.I.B. Holdings Ltd. 10,400 457,345
Total 1,172,117
Bermuda - 0.4%
PartnerRe Ltd. (c) 20,000 550,000
Canada - 1.5%
British Columbia Telecom, Inc. 25,500 467,204
Imperial Oil Ltd. 32,400 1,170,450
Noranda, Inc. 15,000 309,179
Rogers Communications, Inc. - Class B* 30,000 335,288
Total 2,282,121
Denmark - 0.3%
Bang & Olufsen Holding AS - Series B 6,000 185,165
Coloplast AS - Class B 2,500 221,413
Total 406,578
Finland - 0.7%
Kansallis-Osake-Pankki OY* 76,100 63,142
Nokia AB 8,400 325,252
Outokumpo OY 18,800 298,977
Unitas Bank Ltd. - Class A* 172,000 436,065
Total 1,123,436
France - 6.6%
ADA 3,000 141,162
Alcatel Alsthom 5,451 470,829
AXA Co. 6,775 457,396
Banque National de Paris 8,053 363,934
Boiron SA 725 70,898
But SA 5,000 271,071
Carrefour Supermarche 600 364,689
Cipe France SA 3,825 230,063
Clarins 3,371 321,376
Coflexip - ADR 28,500 537,938
Compagnie de Saint-Gobain 2,700 294,967
Dollfus-Mieg & Cie 1,500 61,344
Elf Aquitaine 7,427 548,211
Emin-Leydier 1,775 144,891
Financiere et Industrielle Gaz et Eaux 2,489 865,651
Grand Optical Photoservice 3,000 293,372
IDIA 24,000 981,014
Lectra Systemes* 80,000 135,025
M6 Metropole Television 2,000 168,576
Moulinex* 20,000 274,141
NRJ SA 2,000 202,128
Pechiney SA 9,300 323,065
Pechiney SA - A Shares* 1,672 58,082
Primagaz Cie 19,900 1,583,695
Sidel SA 1,100 343,412
Societe Television Francaise 1 178 19,118
Ste. Guilbert SA 2,500 294,088
Union Financiere de France Banque SA 1,600 133,552
Usinor Sacilor* 25,400 336,467
Total 10,290,155
Germany - 4.4%
Bayer AG 1,330 351,785
Bayerische Mototen Werke (BMW) AG 500 180,992
Buderus AG 800 311,950
Deutsche Bank AG 23,700 1,125,708
Hochtief AG 1,776 759,547
Kiekert AG* 5,000 297,694
Leifheit AG 3,200 140,881
Linde AG 1,878 1,098,454
Mannesmann AG 600 191,488
Marschollek, Lautenschlaeger Und Partner AG 210 150,419
Muenchener Rueckversicherung AG 272 593,040
Rhoen-Klinikum AG 1,620 160,755
Rhoen-Klinikum AG - Vorzugsakt 720 62,893
RWE AG 1,150 417,890
SGL Carbon AG* 3,000 232,704
Siemens AG 750 411,426
VEBA AG 5,000 212,788
Wella Aktiengesellschaft AG 300 162,893
Total 6,863,307
Hong Kong - 2.6%
Hong Kong Electric Holdings Ltd. 130,000 426,216
Hong Kong Telecommunications Ltd. 182,000 324,832
Hutchison Whampoa Ltd. 350,000 2,132,048
Johnson Electric Holdings Ltd. 325,000 580,057
Television Broadcasts Ltd. 150,000 534,467
Total 3,997,620
India - 0.0% ++
Shiriram Industries - GDR 2,000 22,500
Total
Indonesia - 0.6%
PT Bank International Indonesia 75,000 248,741
PT Citra Marga Nusaphala Persada 180,000 169,440
PT Wicaksana 190,000 507,443
Total 925,624
Ireland - 0.6%
Greencore Group p.l.c. 37,000 323,023
Irish Continental Group p.l.c. 20,000 150,579
Jefferson Smurfit Group 47,500 113,374
Waterford Wedgewood Units 80,000 76,891
Unidare p.l.c. 50,000 216,257
Total 880,124
Italy - 1.6%
Banca Popolare Commercio e Industria 14,000 160,831
Bulgari SpA* 46,000 393,501
Editoriale la Repubblica SpA* 35,000 31,388
Fila Holding SpA - ADR 5,000 227,500
Gabetti Holding SpA* 22,000 15,978
Gucci Group NV - NY Regular Shares* 2,300 89,413
Industrie Natuzzi SpA - ADR 15,600 707,850
Olivetti Group* (c) 684,250 554,868
Stet D Risp Non-Convertible 110,300 225,420
Total 2,406,749
Japan - 20.4%
Amano Corp. 24,000 302,326
Brother Industries Ltd. 80,000 434,884
Canon Sales Co., Inc. (c) 39,900 1,063,227
Canon, Inc. (c) 85,000 1,540,213
Chiyoda Fire & Marine Insurance Co. 60,000 343,023
Dai Nippon Printing Co. Ltd. 36,000 610,465
Dainippon Screen Manufacturing Co. Ltd.* 14,000 122,907
Daishinku (c) 26,000 292,248
Eisai Co. Ltd. 28,000 491,085
Fijitsu Denso 15,120 486,419
Fuji Oil 44,000 311,240
Fuji Photo Film 24,000 693,023
Fujitsu Ltd. 48,000 534,884
Futaba Corp. 8,000 366,667
Gakken* 66,000 434,884
Heiwa 16,000 417,054
Hitachi Ltd. 51,000 513,953
Honda Motor Co. Ltd. 52,000 1,073,256
Intec 10,000 170,543
Ito-Yokado Co. 26,000 1,602,328
Kanematsu Corp. 100,000 390,504
Kao Corp. 48,000 595,349
Kawasho* 74,000 309,767
Koa Oil Co. Ltd. 38,000 330,291
Konica Corp. 24,000 173,953
Kyocera Corp. 10,000 743,217
Kyokuto Boeki 28,000 246,899
Matsushita Electric Industries Co. 30,000 488,372
Mitsubishi Heavy Industries Ltd. 179,000 1,427,490
Mitsui & Co. 132,000 1,158,837
Mitsui Fudosan 12,000 147,674
Mitsui Warehouse Co. Ltd. 28,000 224,651
Namco (c) 16,000 533,333
Nichimo (Builder) 50,000 218,992
Nippon Suisan Kaisha Ltd.* 84,000 347,558
Nippon Telegraph and Telephone Corp. 86 695,833
Nippondenso Co. Ltd. (c) 68,000 1,271,705
Nomura Securities Co. Ltd. 42,000 915,697
Sankyo Seiko 36,000 327,907
Sansin Electronics Co. Ltd. (c) 32,000 539,535
Sanwa Bank Ltd. 30,000 610,465
Showa Aircraft Industry 11,000 117,248
Sintokogio 34,000 296,512
Sony Corp. 10,000 599,806
Sony Music Entertainment, Inc. 8,000 418,605
Sumitomo Realty & Development 58,000 410,271
Sumitomo Rubber Industries (c) 58,000 484,457
Sumitomo Sitix Corp. (c) 42,000 765,116
Sumitomo Trust & Banking 56,000 792,248
Tanabe Seiyaku 26,000 187,190
Toda Construction Co. 22,000 190,795
Toho Co. 1,320 211,047
Tokyo Broadcasting System 34,000 560,078
UBE Industries Ltd. 13,000 49,128
Wacoal Corp. 46,000 624,031
Yamaha Corp. 46,000 829,070
Yamaha Motor Co. Ltd. 62,000 552,713
Yamazaki Baking Co. Ltd. 22,000 409,302
Yasuda Fire & Marine Insurance 78,000 551,744
Yushiro Chemical Industry 20,000 181,395
Total 31,733,414
Malaysia - 2.7%
Carsberg AS 46,000 215,580
Nestle (Malaysia) Berhad 88,000 644,612
Nylex (Malaysia) Berhad 330,000 1,000,709
Resorts World Berhad 40,000 214,241
Sime Darby Berhad 701,800 1,865,608
United Engineers (Malaysia) Ltd. 44,000 280,718
Total 4,221,468
Mexico - 0.8%
Grupo Financiero Banamex Accival, SA de CV 168,000 280,140
Grupo Televisa - GDR (c) 20,700 465,750
Telefonos de Mexico SA - ADR 10,200 325,125
Vitro Sociedad Aninima - ADR (c) 26,000 123,500
Total 1,194,515
Netherlands - 5.2%
Aalberts Industries NV 3,465 202,423
Draka Holding NV 7,000 181,506
Elsevier NV 33,000 441,237
IHC Caland NV 30,900 1,042,549
International Nederlanden Groep NV 6,867 459,945
Koninklijke Boskalis Westminster NV 7,473 106,924
Koninklijke Nedlloyd Groep NV 15,600 354,789
Philips Electronics NV 2,900 105,092
Polygram NV 5,400 287,460
Ranstad Holdings NV 18,000 818,744
Royal Dutch Petroleum Co. (Ordinary Shares) 4,100 574,333
Royal Dutch Petroleum Co. - ADR (c) 14,400 2,032,200
Smit Transformatoren NV 8,800 125,911
Wegener NV 4,000 387,379
Wolters Kluwer NV 10,900 1,033,815
Total 8,154,307
New Zealand - 0.7%
Carter Holt Harvey Ltd. 127,000 274,134
Telecom Corp. of New Zealand Ltd. 103,000 444,657
Wrightson Ltd. 527,400 400,168
Total 1,118,959
Norway - 2.0%
Dolphin Interconn 8,333 99,996
Nera AS 3,300 107,652
Norsk Hydro AS - ADR 22,900 958,937
Olav Thon Eiendomsselskap AS 16,200 269,367
Schibsted Gruppen AS 36,400 495,724
Sensonor AS* 25,000 201,907
Simard - Beaudry, Inc. 4,600 50,991
System Etikettering AS 10,000 193,197
Unitor Ships Service - ADR (c) 49,000 674,755
Veidekke AS 5,000 101,349
Total 3,153,875
Philippines - 0.1%
Philippine Long Distance Telephone Co. - ADR (c) 2,900 156,963
Total
Portugal - 0.0% ++
Modelo Continente 1,000 27,454
Somague - Sociedade Gestora de Participacoes SA 4,250 22,198
Total 49,652
Singapore - 2.6%
Development Bank of Singapore Ltd. 90,000 1,120,226
Jardine Matheson Holdings Ltd. (PFIC) 34,800 238,380
Jardine Strategic Holdings Ltd. 100,812 308,485
Keppel Corp. Ltd. 189,000 1,684,159
Mandarin Oriental International Ltd. 297,849 360,397
Singapore Land Ltd. (PFIC) 53,000 342,963
Total 4,054,610
South Africa - 1.6%
Barlow Ltd. 17,000 242,557
De Beers Consolidated Mines Ltd. - ADR 8,800 266,200
Free State Consolidated Gold Ltd. - ADR 26,700 193,575
LibLife Strategic Investments Ltd. 275,000 1,075,251
SA Iron & Steel Industrial Corp. Ltd. 311,333 280,195
Safmarine and Rennies Holdings Ltd. 39,500 143,607
South African Breweries Ltd. - Ordinary Shares 2,700 98,902
South African Breweries Ltd. - ADR 6,909 253,014
Vaal Reefs Exploration & Mining Company Ltd. - ADR 100 638
Total 2,553,939
Spain - 2.1%
Acerinox SA 2,200 222,631
Asturiana de Zinc SA* 15,000 119,010
Azkoyen SA 800 45,064
Banco Central Hispano SA 4,700 95,357
Banco Intercontinental Espanol (Bankinter) SA 14,300 1,391,671
Centros Comerciales Pryca SA 15,900 333,736
Prosegur, CIA de Securidad SA* 6,000 148,948
Tabacalera SA 7,400 280,742
Telefonica de Espana (Ordinary Shares) SA 28,400 393,501
Viscofan Industria Navarra de Envolturas
Celulosicas SA 17,500 207,835
Total 3,238,495
Sweden - 3.4%
Allgon AB - Class B 13,000 180,534
Astra AB - Series B 32,000 1,270,379
Autoliv AB 5,000 292,839
Avesta - Sheffield AB 21,000 185,440
BT Industries AB* 20,000 220,384
Elekta Instrument AB 7,500 301,141
Hennes & Mauritz AB 2,900 161,967
Hoganas AB - Class B 9,000 263,555
Kinnevik AB 9,900 310,085
Marieberg Tidnings AB - Series A 5,900 137,151
Munksjo AB 30,000 196,987
OM Gruppen AB 22,500 339,633
Skandinaviska Enskilda Banken AB 70,900 588,622
SSAB Svenskt Stal AB - Class A (c) 14,800 151,914
Telefonaktiebolaget LM Ericsson AB - Class B 16,720 328,100
Terra Mining AB 5,900 72,583
Trelleborg AB - Class B 21,400 230,965
Total 5,232,279
Switzerland - 4.9%
BBC Brown Boveri AG 8,050 1,826,524
Fust SA Dipl. Ing AG 520 131,096
Georg Fischer AG 200 260,802
Keramik Holding AG Laufen 150 104,321
Nestle SA - ADR 30,600 1,696,672
Phoenix Mecano AG 300 150,743
Sarna Kunststoff Holding AG 100 108,233
SGS Societe Generale de Surveillance
Holding SA - Class B 990 1,970,876
SGS Societe Generale de Surveillance
Holding SA - Class R 1,250 429,236
Sika Finanz AG 2,710 659,654
SMH AG (Societe Suisse pour la
Microelectronique et l'Horlogerie) 1,600 210,032
Zehnder Holding AG - Class B 250 126,054
Total 7,674,243
United Kingdom - 11.5%
Airtours p.l.c. 90,000 509,766
Asda Group p.l.c. 198,100 339,690
Associated British Foods p.l.c. 80,000 458,091
Associated British Ports Holdings p.l.c. 92,400 414,386
Barclays p.l.c. 53,600 614,674
Bass p.l.c. 56,000 624,382
Bemrose Corp. p.l.c. 20,000 122,282
Blenheim Group p.l.c. 237,000 926,797
Blue Circle Industries p.l.c. 98,000 520,862
British Aerospace p.l.c. 27,000 333,427
British Airways p.l.c. 81,000 585,742
British Gas p.l.c. 92,000 362,625
Capita Group p.l.c. 30,000 133,610
Central European Media Entertainment Ltd.* 15,000 307,500
Chubb Security p.l.c. 65,000 321,261
Cowie Group p.l.c. 82,412 368,314
Domestic & General Group p.l.c. 5,000 119,877
First Leisure Corp. p.l.c. 64,700 382,530
GKN p.l.c. 43,000 519,806
Goode Durrant p.l.c. 50,000 193,199
Granada Group p.l.c. 31,900 319,291
Great Universal Stores p.l.c. 47,000 499,237
Halma p.l.c. 60,000 162,939
Hanson Trust p.l.c. 115,600 345,322
Invesco p.l.c. 150,400 591,645
Jarvis Porter Group p.l.c. 45,217 194,365
Nan E D & F Group p.l.c. 80,000 172,560
Provident Financial p.l.c. 41,000 520,761
Psion p.l.c. 5,000 60,520
Racal Electronic p.l.c. 80,000 353,190
Rentokil Group p.l.c. 217,000 1,128,081
RTZ Corp. 26,400 383,456
Sears p.l.c. 277,000 447,043
Serco Group p.l.c. 40,000 227,804
Seton Healthcare Group p.l.c. 48,000 294,221
Stagecoach Holdings p.l.c. 80,000 440,711
Taylor Woodrow p.l.c. 426,700 778,030
Toad p.l.c.* 110,000 198,010
Trafalgar House p.l.c.* 835,000 359,571
Trinity Holdings p.l.c. 65,800 362,485
Unigate p.l.c. 85,000 541,462
Vendome Luxury Group Units p.l.c. 37,100 337,946
Vodafone Group p.l.c. 81,700 292,867
Welsh Water p.l.c. 30,166 362,556
WPP Group p.l.c. 159,100 409,840
Total 17,942,734
Total Common Stock (Cost - $118,870,961) 128,366,214
Commingled Investment Vehicles - 5.3%
Canadian General Investments-Closed End Fund 50,800 1,130,853
Emerging Markets Infrastructure Fund, Inc. 106,000 1,113,000
Indonesian Development Fund, Ltd. (PFIC) 25,400 177,800
Lazard Freres Emerging World Investors
Limited Partnership 3,000 2,816,189
PIMCO Blairlogie Emerging Markets Fund 208,509 2,389,510
The First Korea Smaller Companies Fund* 40,000 524,000
Total (Cost - $8,292,694) 8,151,352
Preferred Stock - 0.6%
Fresenius AG (Germany) 2,000 190,077
Krones AG Hermann Kronseder
Maschinenfabrik (Germany) 550 218,693
Porsche AG (Germany)* 700 365,898
Trafalgar House p.l.c. Cvt. 6.000% (United Kingdom) 72,900 62,185
Wella Aktiengesellschaft (Germany) 300 161,845
Total (Cost - $964,604) 998,698
Warrants - 0.0% ++
Jardine Strategic Holdings (Hong Kong)
Expiring 5/2/98* 6,812 2,180
Pechiney SA (France) Expiring 1/8/96* 5,300 11
Primagaz Cie (France) Expiring 6/30/98* 1,900 16,326
Total (Cost - $0) 18,517
Face
Amount (b)
Bonds - 1.3%
Bangkok Bank Public Co., 3.250%
due 3/3/04 (Thailand) 1,440,000 $ 1,530,000
Spanish Government, 8.200%
due 2/28/09 (Spain) 64,000,000 ESP 460,222
Total (Cost - $1,761,543) 1,990,222
Total Long-Term Investments (Cost - $129,889,802) 139,525,003
Short-Term Investments - 16.2%
U.S. Treasury Securities - 0.8%
U.S. Treasury Bill, 5.170% due 6/6/96 # (a) 1,000,000 978,376
U.S. Treasury Bill, 5.300% due 4/18/96 # (a) 330,000 325,017
Total (Cost - $1,296,705) 1,303,393
Other Short-Term Investments - 15.4%
Investors Bank & Trust Company Repurchase
Agreement, 5.450% due 1/2/96; Issued
12/29/95 (Collateralized by $5,934,574 FNMA
Note, 8.000% due 12/1/23 with a market
value of $6,090,000; and $5,848,949 FNMA
Note, 7.477% due 6/1/25 with a market
value of $6,050,000; and $1,986,118
FNMA Note, 8.000% due 6/1/22 with a market
value of $2,000,000) 13,578,085 13,578,085
Bank of Boston (Nassau) Time
Deposit, 4.810% due 1/2/96 (d) 7,345,768 7,345,768
Bank of Ireland (Cayman) Time
Deposit, 4.830% due 1/2/96 (d) 2,008,432 2,008,432
First Union (Nassau) Time
Deposit, 5.813% due 1/2/96 (d) 1,000,000 1,000,000
Total Other Short-Term Investments
(Cost - $23,932,285) 23,932,285
Total Short-Term Investments
(Cost - $25,228,990) 25,235,678
Total Investments - 106.0%
(Cost - $155,118,792) 164,760,681
Other Assets and Liabilities - (6.0%)
Receivable for forward currency contracts 11,110,550
Other assets 2,560,783
Payable for collateral on loaned securities (10,354,200)
Payable for forward currency contracts (11,005,561)
Payable for securities purchased (1,268,846)
Other accrued expenses and liabilities (381,629)
Other assets and liabilities, net (9,338,903)
Net Assets - 100.0% $155,421,778
Applicable to 14,369,912 outstanding $.001 par value shares
(authorized 500,000,000 shares)
Net asset value per share $ 10.82
Components of Net Assets as of
December 31, 1995 were as follows:
Capital stock at par value ($.001) $ 14,370
Capital stock in excess of par value 146,380,468
Undistributed net investment income 133,197
Net realized (loss) on investments, financial
futures contracts and foreign
currency-related translations (827,833)
Net unrealized appreciation on investments,
financial futures contracts and on assets
and liabilities denominated in foreign currency 9,721,576
Net Assets $155,421,778
* Non-income producing security.
+ See Note 2 to the Financial Statements.
++ Rounds to less than 0.0%.
# Interest rate represents the yield to maturity at the time of purchase.
ADR American Depositary Receipt
ADS American Depositary Share
GDR Global Depositary Receipt
GDS Global Depositary Share
PFIC Passive Foreign Investment Company
ESP Spanish Peseta
(a) Security pledged to cover margin requirements for financial futures
contracts.
(b) Principal amounts stated in U.S. dollars unless otherwise noted.
(c) Security position (or a portion of the security position) is out on loan at
December 31, 1995.
(d) Collateral received for securities on loan at December 31, 1995 and
reinvested as cash equivalents.
See Notes to the Financial Statements
TIFF EMERGING MARKETS FUND
December 31, 1996
GRAPH: Comparison of change in value of $10,000 investment in TIFF Emerging
Markets Fund and The MSCI Emerging Markets Free Stock Index. This is
an x-y line graph with x being the date (starting at 5/31/94 and ending
at 12/31/95) and y being the value of the Fund and the Index.
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. Panic selling by investors belatedly discovering that their time
horizons were shorter than they had earlier supposed have spawned legitimate
opportunities in emerging markets - opportunities that persist despite
emerging markets' rebound from mid-January 1995 through mid-July (MSCI Emerging
Markets Free Index up 25%, followed by a 7% decline since July 13). 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 acute. 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 four
of the seven quarters it has been operational, but has had difficulty overcoming
the return deficit it sustained when the Brazilian train left the station
without the Fund aboard in the summer 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 almost as much as the average emerging markets fund when the
whole group ran into difficulty in late 1994. 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 amount of time - or to magnify them
if these biases run counter to market sentiment. On balance, these biases
hampered performance during the fourth quarter of 1995, as indeed they did
through much of 1995, a year in which the value-oriented screens employed by
the Fund's lead manager (EMM) did not work particularly well: markets rewarded
"proven success" (e.g., Malaysia) despite lofty valuations but ruthlessly
punished countries undergoing political turmoil (e.g., Taiwan, Hong Kong, and
Korea) despite low valuations and strong earnings growth. The Fund ended 1995
with a heavier than normal cash position (due to inflows), which was reduced
early in 1996 through the funding of a new separate account (approximately 13%
of Fund assets) managed by Lazard Freres Asset Management. LFAM's approach
and fees are described in the TIP Propsectus.
Investment Performance (For Periods Ended December 31, 1995)
Total Return
For the Year Since Since Inception
Ended Inception (Annualized)
(12/31/95) (5/31/94) (5/31/94)
TIFF Emerging Markets Fund (8.39%) (14.77%) (9.59%)
MSCI Emerging Markets Free Stock Index (6.95%) (7.16%) (4.58%)
TIFF EMERGING MARKETS FUND-STATEMENT OF NET ASSETS
December 31, 1995
Shares Value+
Long-Term Investments - 89.5%
Common Stock - 59.5%
Argentina - 1.9%
Astra Cia Argentina de Petro SA 68,590 $ 126,878
Banco Frances del Rio de la Plata SA 3,105 27,476
Banco Galicia y Buenos Aires SA - Class B 6,495 33,770
Buenos Aires Embotelladora SA (BAESA) - ADR 900 18,563
Central Costanera SA - Class B 5,200 16,014
Central Puerto SA - Class B 7,800 29,637
Compania International Bebidas y Alimentos SA 13,464 22,751
Compania Naviera Perez Companc SA 24,104 127,737
Compania Naviera Perez Companc SA - ADR (c) 11,038 117,025
Corporation Cementera Argentina
SA - Ordinary Shares* 7,000 31,847
Dycasa SA 8,472 27,955
Inversiones y Representacion SA - GDR 874 22,287
IRSA, Inversiones y
Representaciones SA (144A) (a) 30,899 77,856
Molinos Rio de La Plata SA - Class B 3,050 25,007
Rigolleau SA - Series B 41,771 18,377
Telefonica de Argentina SA - ADR (c) 6,900 188,025
YPF-Sociedad Anonima SA - ADR 10,100 218,413
Total 1,129,618
Bangladesh - 0.0% #
Beximco Pharmaceuticals Ltd. 7,700 16,542
Bolivia - 0.1%
Compania Boliviana Energia SA 1,000 33,250
Brazil - 1.7%
Avipal SA - Avicultura e Agropecuaria 25,240,000 50,480
Cemig Cia Energy SA - ADR (c) 1,043 23,072
Cemig SA Energy - ADR 2,278 50,392
Compania Siderurgica Nacional SA - ADR 2,600 53,502
Compania Vale Do Rio Doce SA - ADR 3,700 152,276
Compania Paulista de Forca e Luz SA 1,592,600 77,082
Compania Siderurgica Nacional SA 2,000,000 41,000
Makro Atacadista SA* 28,000 16,137
Makro Atacadista SA - GDS* 4,100 23,309
Multibras SA 27,000 20,004
Nakata SA - Industria e Comercio 150,000 54,015
Santista Alimentos SA* 33,000 42,451
Telecomunicaciones Brasileiras SA - ADR 20 1,360
Telecomunicaciones Brasileiras Telebras SA 700,000 27,087
Telecomunicaciones Brasileiras
Telebras SA - ADR 7,550 363,549
Voctorantim Celulose e Papel SA - ADR 2,700 27,780
Total 1,023,496
Canada - 0.1%
Nelson Gold Corp. Ltd.* 35,575 55,272
Chile - 2.3%
Banco Osorno y La Union SA - ADR 5,000 69,375
Chilectra SA - ADR 3,500 169,140
Compania Cervecerias Unidas SA - ADR 1,900 44,175
Compania de Telecomunicaciones de
Chile SA - ADR 4,700 389,513
Empresa Nacional de Electric SA - ADR 4,600 104,650
Enersis SA - ADR (c) 13,600 387,600
Madeco SA - ADR (c) 1,700 45,900
Maderas y Sinteticos Sociedad Anonima SA - ADR 1,800 35,100
Quimica y Minera Chile SA - ADR 2,150 101,050
Total 1,346,503
China - 0.5%
China Yuchai International Ltd. 10,700 85,600
Shanghai Haixin Co. Ltd. - Class A 86,200 25,860
Shanghai Shangling Electric Appliances Co. Ltd. 63,680 38,972
Shenzhen China Bicycles Ltd. 141,000 23,160
Yizheng Chemical Fibre Co. Ltd.-Class A 578,000 130,072
Total 303,664
Colombia - 1.1%
Banco de Bogota SA 10,145 48,651
Banco Industrial Colombiano SA 40,300 142,807
Bavaria SA* 32,493 93,492
Carulla y Compania SA - ADR 2,985 19,403
Cemento Argos SA (144A) (a) 3,100 19,404
Cementos Paz del Rio SA - ADR* 4,700 74,492
Compania Nacional de Chocolates SA 5,900 45,925
Computec SA 38,063 13,450
Industrais Alimenticias Noel SA 11,640 52,882
Pisos Asfalto y Vinilos Colo SA 11,000 22,344
Suramericana de Seguros SA 6,370 118,975
Total 651,825
Czech Republic - 0.8%
Cement Hranice AS 1,547 41,372
Czeske Energeticke Zavody AS - GDR* 1,980 72,531
Deza Valasske Mezirici AS* 2,397 173,520
Fatra Napajedla AS 1,220 60,860
The Czech Power Company (Czeske
Energeticke Zavody AS)* 1,040 37,604
Zavody Presneho Strojiren AS* 2,460 108,878
Total 494,765
Ecuador - 0.0% #
La Cemento Nacional of Ecuador SA - GDR 128 22,400
Ghana - 0.2%
Ashanti Goldfields Co. Ltd. - GDS 4,000 80,000
Ashanti Goldfields Co. Ltd. (144A) - GDS (a) 2,700 52,313
Total 132,313
Greece - 1.4%
A.G. Petzetakis SA* 4,500 22,349
Alfa Beta Vassilopoulos SA 2,900 24,392
Alpha Credit Bank SA 3,880 224,676
Chipita International SA 3,540 53,865
Delta Dairy SA 3,300 62,069
General Construction SA 2,700 34,807
Hellenic Bottling Co. SA 6,650 217,835
Hellenic Technodomiki SA 2,300 50,260
Michaniki SA 12,340 159,081
Total 849,334
Hong Kong - 3.8%
C.P. Pokphand Co. Ltd. 1,604,000 643,093
Champion Technology Holdings Ltd. 1,132,321 118,621
Chen Hsong Holdings Ltd. 148,000 77,522
Citic Pacific Ltd. 50,000 171,042
Dong Fang Electrical Machinery Co.
Ltd. - Class H 162,000 43,475
Guangdong Investments Ltd 272,000 163,580
High Fashion International Ltd.* 336,000 16,513
Kingboard Chemicals Holdings Ltd. 230,000 46,999
KTP Holdings Ltd. 556,991 18,730
Lamex Holdings Ltd. 244,000 60,274
Legend Holdings Ltd. 184,000 17,610
Lung Kee (Bermuda) Holdings Ltd. 264,000 72,556
M.C. Packaging Ltd. 284,000 101,009
New World Infrastructure Ltd.* 70,000 117,693
Pacific Concord Holdings Ltd. 276,000 41,050
Qingling Motors Co. Ltd. (144A) (a) 362,000 105,341
Singamas Container Holdings Ltd. 362,000 46,818
Sinocan Holdings Ltd. 442,000 157,204
Tian An China Investments Ltd. 600,000 74,496
Varitronix International Ltd. 79,000 146,618
Total 2,240,244
Hungary - 1.4%
Graboplast 3,600 45,094
Graboplast Rt.* 1,670 22,009
Julius Meinl International AG 14,810 468,196
Mol Magyar Olay - Es Gazi - GDR* 8,200 66,420
Pannonplast Plastic Industries 6,070 87,408
Primagaz Hungaria Rt 2,839 85,224
Soproni Sorgyar Brewery Ltd.* 710 16,869
Zalakeramia Rt* 938 20,515
Total 811,735
India - 3.5%
Bajaj Auto Ltd. - GDS (c) 2,630 68,696
East India Hotels Ltd. - GDS 3,940 70,920
Grasim Industries Ltd. - GDS 10,200 186,762
Gujarat Narmada Valley Ltd. - GDR 1,000 6,500
Gujarat Narmada Valley Ltd. (144A) - GDR (a) 6,640 43,160
Hindalco Industries Ltd. - GDR 12,280 419,116
India Cements Ltd. - GDR 7,600 57,000
India Cements Ltd. (144A) - GDR (a) 12,600 94,500
Indian Aluminum Co. - GDR 14,400 86,400
Indian Rayon & Industries Ltd. - GDS 6,600 80,850
Larsen & Toubro Ltd. - GDR 11,920 215,990
Oryx (India) Fund Ltd. - GDR* 1,000 8,500
Oryx (India) Fund Ltd. Units - GDR* 540 23,085
Raymond Woolen Mills Ltd. - GDR 2,400 40,200
Reliance Industries Ltd. - GDS 7,680 107,904
Tata Engineering & Locomotion Ltd. - GDR (c) 33,356 437,964
Tata Hydro-Electric Power Supply Co. - GDR* 348 113,100
Total 2,060,647
Indonesia - 2.9%
PT Astra Graphia 138,750 75,936
PT Astra International, Inc. 92,000 191,331
PT Bakrie & Brothers - Foreign Registered Shares 85,000 154,444
PT Bank International Indonesia 55,500 184,069
PT Charoen Pokphand Indonesia 21,000 42,754
PT Dharmala Sakti Sejahtera 166,000 83,581
PT Hanjaya Mandala Sampoerna 6,000 62,522
PT Indah Kiat Pulp & Paper Corp. 46,033 33,759
PT Indofood Sukses Makmur - Series F* 15,000 72,242
PT Indorama Synthetics 36,800 133,328
PT Jakarta International Hotel and Development 93,000 114,011
PT Modernland Realty, Ltd. - Class F 37,500 39,405
PT Mulia Industrindo 26,500 74,836
PT Pabrik Kertas Tjiwi Kim - Series F 29,258 26,901
PT Pakuwon Jati 168,500 106,972
PT Petrosea 36,000 33,888
PT Semen Gresik - Foreign Registered Shares 78,000 218,564
PT Ultrajaya Milk Industry and Trading Co. 35,250 16,977
PT United Tractors 32,000 60,245
Total 1,725,765
Israel - 1.2%
Africa-Israel Investments (1985) Ltd.* 100 120,893
Blue Square Chain Stores Ltd.* 10,150 68,446
Hapoalim International NV* 34,400 56,930
Koor Industries Ltd. 1,100 109,498
Orbotech Ltd.* 4,800 56,400
Osem Investment Ltd. 14,262 85,507
Tadiran Ltd. - Ordinary Shares 18,700 72,572
Teva Pharmaceutical Industries Ltd. - ADR 2,950 136,806
Total 707,052
Korea - 8.3%
Cho Hung Bank Ltd. 5,700 66,354
Daewoo Securities Co. 5,140 133,851
Haitai Confectionery Co. Ltd.* 2,700 33,450
Hyundai Engineering & Construction Co. 8,508 390,465
Hyundai Motor Co. Ltd.* 1,700 76,924
Hyundai Motor Co. Ltd. - GDR* (c) 9,600 144,000
Hyundai Motors Co. Ltd. (144A) - GDR (a) 4,200 63,000
Korea Chemical Co. Ltd.* 1,940 195,075
Korea Electric Power Corp. 14,500 575,738
Korea Electric Power Corp. - ADR (c) 14,900 398,575
Korea Express Co. (The) 1,094 38,361
Korea Mobile Telecommunications
Co. (144A) - GDR (a) 4,400 174,900
Kwang Ju Bank Ltd.* 6,325 60,258
Pohang Iron & Steel Company Ltd. - ADR (c) 36,240 792,750
Pohang Iron And Steel Co Ltd. - Ordinary Shares 100 6,536
Pusan Steel Pipe Corp. 6,198 202,951
Samsung Electron Devices Co. Ltd.* 600 52,984
Samsung Electronics Co. 4,665 847,963
Samsung Fire & Marine Insurance Ltd.* 110 54,596
Samsung Heavy Industries Ltd.* 4,800 123,140
Shin Won Corp. 500 22,818
Shinhan Bank* 1,009 19,772
Shinhan Bank - Ordinary Shares 12,500 244,940
Ssangyong Cement Co. Ltd. 7,270 203,376
Taegu Department Store Co. 1,070 24,415
Total 4,947,192
Malaysia - 4.4%
Aokam Perdana Berhad 72,000 116,257
Arab Malaysia Corp. Berhad 14,000 50,725
Arab Malaysian Finance Berhad 1,000 4,253
Arab Malaysian Merchant Bank 3,000 34,263
Berjaya Group Berhad 47,500 30,676
DCB Holdings Berhard 24,000 69,943
Edaran Otomobil Nasional Berhad 16,000 120,353
Ekran Berhad 53,000 129,411
Genting Berhad 20,000 166,982
IJM Corp. Berhad 51,000 81,144
Kian Joo Can Factory Berhad 12,000 49,622
Land & General Berhard 64,000 138,626
Malayan Banking Berhad 25,000 210,696
Malayan Cement Berhad 14,000 26,686
Malaysian International Shipping Berhad 1 3
Malaysian Pacific Industries Berhad 50,000 154,576
O.Y.L. Industries Berhad 15,000 116,375
R.J. Reynolds Berhad 46,000 105,978
Road Builder (M) Holdings Berhad 47,000 162,886
Sime UEP Properties Berhad 30,000 47,259
Sungei Way Holdings Berhad 40,000 144,140
Technology Resources Industries
Berhad - Series A* 84,000 248,110
Telekom Malaysia Berhad 19,000 148,157
UMW Holdings Berhad 45,000 120,510
United Engineers (Malaysia) Ltd. 22,000 140,359
Total 2,617,990
Mexico - 5.6%
Cementos de Mexico SA - Class B 45,500 163,386
Cementos de Mexico SA - CPO 100,380 333,722
Cifra SA de CV - Series C* 150,000 151,935
Cifra SA de CV - Series A 20,000 22,076
Cifra SA de CV - Series B 149,220 156,965
Corporacion Industrial Sanluis SA de CV 13,000 66,687
Cydsa SA 16,600 39,236
Desc Sociedad de Fomento Industrial SA de CV* 20,000 73,896
Empaques Ponderosa, SA 51,000 91,402
Empresas ICA Sociedad Controladora SA
de CV - ADR (c) 11,500 117,875
Fomento Economico Mexicano, SA de CV 32,000 73,971
Grupo Condumex SA de CV 2,500 9,026
Grupo Financiero Banamex Accival,
SA de CV - Class L 44,090 64,817
Grupo Financiero Bancomer, SA de CV - Series B 290,000 81,722
Grupo Financiero Banorte, SA de CV - Series B* 104,676 96,248
Grupo Financiero Inbursa, SA de CV - Class B 16,000 46,753
Grupo Herdez SA - Series A 210,000 45,801
Grupo Industrial Durango SA de CV - ADR* 8,000 53,000
Grupo Industrial Saltillo SA de CV 4,000 57,662
Grupo Mexico SA de CV - Series B 67,940 288,521
Grupo Modelo SA de CV - Series C 31,000 144,935
Grupo Posadas SA - GDR* 2,300 17,911
Grupo Posadas SA - Series A* 170,000 66,232
Grupo Televisa SA de CV- GDR (c) 3,290 74,025
Ingenieros Civiles Asociados SA de CV 12,300 128,591
Kimberly-Clark de Mexico SA de CV 7,300 110,448
Sigma Alimentos SA - Series BCP 6,600 42,000
Telefonos de Mexico SA - ADR 19,060 607,538
Transportacion Maritima Mexicana SA de CV* 6,000 45,584
Tubows de Acero de Mexico SA* 10,100 73,717
Total 3,345,682
Morocco - 0.3%
Omnium Nord Africain 5,200 200,356
Netherlands - 0.1%
Ceteco Holding (144A) NV - ADR (a) 1,000 32,003
Pakistan - 0.4%
Bank of Punjab Ltd.* 26,000 19,377
D.G. Khan Cement Company Ltd. 5,700 4,998
Engro Chemical Pakistan Ltd. 4,080 16,873
Hub Power Co. Ltd. - GDR* 1,500 26,250
Hub Power Co. Ltd.* 40,000 27,064
Nishat Textile Mills 49,450 42,273
Packages Ltd. 9,900 29,223
Pakistan State Oil Co Ltd. 4,563 35,340
Pakistan Telecommunications Corp.* 100 8,987
Total 210,385
Papau/New Guinea - 0.1%
Niugini Mining Ltd.* 40,000 77,089
Peru - 1.3%
Banco de Credito del Peru SA - Series C* (c) 3,511 60,566
Cerveceria San Juan Communication SA 21,381 18,514
Compania de Minas Buenaventura SA 22,815 148,923
Compania Goodyear del Peru SA 2,300 4,254
Compania Nacional de Cerveza SA* 118,595 59,345
CPT Telefonica del Peru SA 107,090 230,672
Credicorp Ltd.* 5,376 92,740
Enrique Ferreyros SA 11,713 13,762
Minsur SA - Trabajo 10,453 73,689
Southern Peru Copper Corp.* 13,600 48,056
Total 750,521
Philippines - 0.8%
Ayala Land, Inc. 94,225 115,040
Engineering Equipment Inc. 642,400 37,255
First Philippine Holdings Corp. 22,640 44,053
Manila Electric Co. 5,800 47,356
Metropolitan Bank & Trust Co. 3,312 64,446
Philex Mining Corp.* 1,006,200 115,170
Philippine Long Distance Telephone
Co. - ADR (c) 600 32,475
San Miquel SA - Class B 12,900 44,050
Total 499,845
Poland - 1.2%
Agros Holding SA - Series C* 3,840 32,260
Bank Gdanski SA - GDR* 3,750 36,188
Bank Rozwoju Eksportu SA* 4,440 67,573
Debica SA* 3,830 57,823
DROSED SA* 2,929 33,284
Electrim SA 19,920 67,505
Exbud SA* 13,000 137,703
First Polsko Amerykanski Bank SA 8,745 52,527
Polifarb-Cieszyn SA* 12,400 47,054
Prochnik SA* 813 4,487
Zaklady Piwowarskie Zywcu SA (Zywiec) 2,379 164,136
Total 700,540
Portugal - 1.3%
Banco Commercial Portugues SA 8,000 109,013
Banco Espirito Santo e Comercial de Lisboa SA 6,960 105,421
Barbosa & Almeida-Fabrica de Vidros SA 1,300 38,737
Cimentos de Portugal SA 2,670 44,322
CINCA - Compania Industrial de Ceramica SA 2,827 31,045
Corticeira Amorim, SA 2,900 33,497
Empresa Fabril de Maquinas Electricas SA 4,600 31,110
Engil SA - Sgps* 4,783 41,091
Estabelecimentos Jeronimo Martins & Filho SA 330 18,341
Investec Consultadoria International SA* 875 17,577
Mundicenter-Sociedade Imobiliaria SA 2,500 66,108
Portugal Telecom SA* 4,000 75,398
Sociedade Financeira de Turismo SA* 3,600 74,729
Somec-Sociedade Metropolitana de Construcoes SA 2,100 4,415
Sonae Investimentos Sociedade Gestora de
Participacoes Sociais SA 4,580 98,108
Total 788,912
Russia - 0.2%
Mosenergo - RDC (144A) - ADR (a)* 800 7,200
San Francisco/Moscow Teleport* 9,000 121,500
Total 128,700
Singapore - 0.9%
Chuan Hup Holdings Ltd. 85,000 76,945
GP Batteries International Ltd. 40,000 96,400
IPCO International Ltd. 29,000 93,960
Pacific Carriers Ltd. 47,000 40,552
San Teh Ltd. 152,160 128,055
United Overseas Bank Ltd. 3,600 34,625
Venture Manufacturing (Singapore) Ltd. 19,000 63,692
Total 534,229
Slovakia - 0.8%
Chirana Prema AS* 1,650 43,633
Drovtona AS* 1,510 34,797
Nafta Gbely AS* 1,730 140,512
Povazske Strojarne AS 10,100 87,756
Slovenske Lodenice AS* 710 40,233
Vahostav AS* 510 26,973
Vychodoslovenske Zeleziarne AS* 5,505 87,344
Total 461,248
South Africa - 4.4%
Anglo American Gold Investment Company Ltd. 1,435 116,942
Anglovaal Ltd. 3,500 142,132
Barlow Ltd. 17,620 251,403
C.G. Smith Ltd. 23,970 184,157
De Beers Centenary AG 10,660 323,207
Driefontein Consolidated Ltd. 9,800 124,365
First National Bank Holdings Ltd. 13,100 120,414
Gencor Ltd. 30,790 107,294
Liberty Life Association of Africa Ltd. 2,770 85,886
Malbak Ltd. 10,000 69,282
Malbak Ltd. (144A) (a) (c) 8,700 60,260
Murray & Roberts Holdings Ltd. 34,200 241,638
Nedcor Ltd. - GDR 8,300 141,598
Norwich Holdings Ltd.* 36,300 70,718
Rembrandt Group Ltd. 10,960 105,254
South African Iron & Steel Industrial Corp. Ltd. 101,053 90,946
Sasol Ltd. 14,673 120,178
South African Breweries Ltd. 6,150 225,278
Wooltru Ltd. 9,975 55,424
Total 2,636,376
Sri Lanka - 0.4%
Aitken Spence Hotels Ltd. 16,120 56,334
Development Financial Corp. of Ceylon 6,533 36,627
Hatton National Bank Ltd.* 3,600 37,339
John Keells Holdings Ltd. 10,971 28,705
Lanka Walltile Ltd. 16,500 14,338
National Development Bank Ltd.* 10,021 41,200
Vanik Incorporated Ltd.* 17,300 6,789
Total 221,332
Taiwan - 1.3%
Acer Inc. (144A) - GDR (a)* 3,700 48,100
China Steel Corp. - GDR (c) 18,500 317,830
GVC Corp. - GDR 10,912 92,708
GVC Corp. - GDS* 4,760 44,934
Hocheng Group Corp. - GDR 6,600 64,703
Hocheng Corp. - GDR 7,000 68,600
Siliconware Precision - GDR* 6,200 102,300
Total 739,175
Thailand - 3.4%
Advanced Info Service p.l.c. 11,800 209,007
Alucon Public Co., Ltd. 15,000 82,208
Bangkok Bank Co., Ltd. 22,400 272,217
Bank of Ayudhya Ltd. 11,000 61,597
First Pacific Land, Ltd. 155,858 74,277
Hana Microelectronics Public Co., Ltd. 21,800 90,040
Industrial Finance Corp. of
Thailand (The) (PFIC) 60,634 205,885
Krung Thai Bank Public Co. 20,000 82,605
MDX Co., Ltd. 68,400 103,225
Phatra Thanakit Co., Ltd. 5,000 42,891
Precious Shipping Public Co., Ltd. 7,600 43,161
Precious Shipping Public Co., Ltd.
- Foreign Shares 7,600 43,161
Property Perfect Co., Ltd. 124 596
Raimon Land Co., Ltd. 41,000 74,087
Ramkamhaeng Hospital Co., Ltd. 29,800 47,339
Saha-Union Corp. Ltd. 61,000 68,437
Siam City Bank Ltd. 108,600 125,075
Siam Syntech Construction Public Co., Ltd. 36,300 59,106
TelecomAsia Corp.* 23,300 70,788
Thai-German Ceramic Industry Co., Ltd. 22,300 59,780
The Bank of Asia 33,200 76,473
The Siam Cement Co., Ltd. 1,000 55,441
The Thai Farmers Bank, Ltd. 8,218 82,898
Total 2,030,294
Turkey - 1.0%
Adana Cimento Sanayii AS 312,000 40,741
Akal Tekstil Sanayii AS 396,500 38,667
Akbank T.A.S. 546,500 103,880
Aktif Finans Factoring Hizmetleri AS 317,800 10,900
Alarko Holding AS 146,060 59,148
Arcelik AS* 402,000 32,559
Bagfas Bandirma Gubre Fabrikalari AS 142,000 44,008
Brisa Bridgestone Sabanci Lastik San. Ve Tic AS 234,000 57,050
Erciyas Biracilik Ve Malt Sanayii AS 105,000 49,463
Migros AS 131,400 100,994
Netas Telekomunik AS 253,000 72,136
Total 609,546
Venezuela - 0.2%
Corimon C.A. S.A.C.A. - ADR* 1,570 5,888
Mavesa, SA (144A) - ADR (a) 7,927 30,202
Siderurgica Venezolana Sivens SA - ADR (c) 38,200 72,580
Total 108,670
Zimbabwe - 0.2%
Delta Corp. Ltd.* 70,800 118,697
Total Common Stock - (Cost - $37,229,963) 35,363,207
Commingled Investment Vehicles - 19.9%
BEA Emerging Markets Equity Portfolio 229,856 3,900,660
Emerging Markets Infrastructure Fund, Inc. 269,000 2,824,500
GT Global Chile Growth Fund 3,167 128,264
Jardine Fleming India Fund, Inc. 11,410 104,116
Korea Fund, Inc. 4,598 101,156
Lazard Freres Emerging World Investors
Limited Partnership 3,000 2,816,289
Morgan Stanley Africa Investment Fund, Inc. 140,000 1,802,500
Pakistan Fund* 4,000 19,000
ROC Taiwan Fund (c) 15,900 166,950
Total Commingled Investment
Vehicles (Cost - $11,978,241) 11,863,435
Preferred Stock - 6.1%
Antarctica da Paraiba SA (Brazil) 189,000 25,286
Aracruz Celulose SA (Brazil) 89,751 140,389
Banco Bradesco SA (Brazil) 49,614,444 431,646
Banco Nacional SA (Brazil) 4,900,000 93,590
Bombril SA (Brazil)* 1,300,000 19,533
Brasmotor SA (Brazil) 372,000 73,879
Centrais Electricas Goias SA (Brazil) 357,000 11,757
Cementos Diamente SA (Columbia) 18,200 108,961
Cia Cervejaria Brahma SA (Brazil) 376,737 155,065
Cia Energetica de Minas Gerais AS (Brazil) 9,183,000 203,185
Cia Tecidos Norte de Mina AS (Brazil) 80,000 26,757
Compania Vale Do Rio Doce AS (Brazil) 1,009,640 166,187
Cosigua-Siderur Guanabara AS (Brazil) 14,569,650 97,617
Delta Dairy SA (Greece) 2,640 39,055
Dixie Toga SA (Brazil) 110,839 96,957
Electrobras SA (Brazil)* 1,193,080 322,847
IAP SA (Brazil) 1,215,000 7,047
Iochpe Maxion SA (Brazil) 60,000 6,540
Iven SA (Brazil) 474,000 209,745
Lojas Americanas SA (Brazil) 3,574,000 83,632
Mangels Industrial SA (Brazil) 6,000,000 13,200
Marcopolo SA (Brazil) 448,000 66,349
Melpaper SA (Brazil)* 285,000 14,078
Michaniki SA (Greece) 10,670 106,659
Patroleo Brasileiro SA - Petrobras (Brazil) 946,000 80,788
Pettenati SA - Industria Text (Brazil)* 400,000 6,560
Pranapanema SA Min., Ind. E Construcao (Brazil) 6,233,000 79,782
Refrigeracao Parana SA (Brazil) 25,670,000 48,773
Sadia Concordia SA Industria e Comercio (Brazil) 151,000 111,886
Telecommunicacoes Sao Paulo SA (Brazil) 937,000 137,833
Telecomunicacoes Brasileiras SA
Telebras (Brazil) 6,581,713 316,579
Uniao de Bancos Brasileir SA (Brazil) 4,300,000 168,130
Usinas Siderurgicas de Minas
Gerais SA - USIMINAS (Brazil) 89,785,800 71,829
Voctorantim Celulose Papel SA (Brazil) 3,378,051 69,250
Total Preferred Stock (Cost - $4,048,579) 3,611,371
Rights - 0.0% #
Banco Bradesco SA Expiring 2/6/96 (Brazil)* 49,614,444 1,609
Total Rights (Cost - $0)
Warrants - 0.0% #
GP Batteries International Ltd.
Expiring 11/15/00 (Singapore)* 10,000 6,800
Nedcor Ltd. Expiring 9/30/97 (South Africa)* 2,600 15,106
San Teh Ltd. Expiring 8/3/00 (Singapore)* 12,680 6,188
Singamas Containers Expiring 6/30/97 (Hong Kong)* 36,800 524
Siv Industries Ltd. Expiring 1/31/96 (India)* 6,140 921
Total Warrants (Cost - $41,974) 29,539
Face
Amount (b)
Convertible Bonds - 4.0%
Acer Inc., 4.000% due 6/10/01 (Taiwan) 110,000 331,650
Arab Malaysian Corp. Berhad, 5.000%
due 8/3/97 (Malaysia) 21,000 10,338
Bangkok Bank Public Co., 3.250%
due 3/3/04 (Thailand) 40,000 42,400
Bank of Asia Public, 3.750%
due 2/9/04 (Thailand) 34,000 32,980
Gujarat Ambuja Cements Ltd., 3.500%
due 6/30/99 (India) 230,000 309,350
Nan Ya Plastics Corp., 1.750%
due 7/19/01 (Taiwan) 332,000 327,850
Pacific Concord Financial Ltd., 4.750%
due 12/10/98 (Hong Kong) 40,000 30,100
Philippine Long Distance Cvt., 5.750%
due 12/31/49 (Philippines) 1,000 309
Ssangyong Oil Refining Cvt., 3.750%
due 12/31/08 (Korea) 65,000 69,388
Tata Iron & Steel Co., 2.250%
due 4/1/99 (India) 133,000 119,035
Teco Electric & Machine (144A), 2.750%
due 4/15/04 (Taiwan) (a) 50,000 39,250
Teco Electric & Machine, 2.750%
due 4/15/04 (Taiwan) 250,000 195,938
U-Ming Marine Transport, 1.500%
due 2/7/01 (Taiwan) 344,000 323,790
United Micro Electronics, 1.250%
due 6/8/04 (Taiwan) 393,000 495,179
YTL Corp. Berhard (144A), 0.000%
due 8/15/02 (Malaysia) (a) 25,000 27,188
Total Convertible Bonds (Cost - $2,591,523) 2,354,745
Total Long-Term Investments (Cost - $55,890,280) 53,223,906
Short-Term Investments - 14.1%
Bank of Boston (Nassau) Time Deposit, 4.810%
due 1/2/96 (d) $ 1,661,008 $ 1,661,008
Bank of Ireland (Cayman) Time Deposit, 4.830%
due 1/2/96 (d) 1,048,892 1,048,892
Investors Bank & Trust Company Repurchase
Agreement, 5.450% due 1/2/96; Issued
12/29/95 (Collateralized by $3,314,051 FNMA
Note, 8.500% due 10/1/24 with a market value
of $3,440,000; $1,986,118 FNMA Note, 8.000%
due 6/1/22 with a market value of $2,000,000;
and $951,898 FNMA Note, 7.500% due 11/1/22
with a market value of $1,000,000) 5,671,580 5,671,580
Total Short-Term Investments (Cost - $8,381,480) 8,381,480
Total Investments - 103.6% (Cost - $64,271,760) 61,605,386
Other Assets and Liabilities - (3.6%)
Receivable for forward currency contracts $ 3,384,266
Receivable for securities sold 172,743
Other assets 1,537,996
Payable for forward currency contracts (3,386,237)
Payable for securities purchased (133,003)
Payable for collateral on loaned securities (3,554,200)
Other accrued expenses and liabilities (141,335)
Other assets and liabilities, net (2,119,770)
Net Assets - 100.0% $ 59,485,616
Applicable to 7,035,688 outstanding
$.001 par value shares
(authorized 500,000,000 shares)
Net asset value per share $ 8.45
Components of Net Assets as of
December 31, 1995 were as follows:
Capital stock at par value ($.001) $ 7,036
Capital stock in excess of par value 70,131,255
Net realized (loss) on investments
and foreign currency-related
transactions liabilities denominated
in foreign currencies (7,976,812)
Net unrealized (depreciation) on
investments and translation of
assets and liabilities denominated
in foreign currencies (2,675,863)
Net Assets $ 59,485,616
* Non-income producing security
# Rounds to less than 0.0%
+ See Note 2 to the Financial Statements
ADR American Depositary Receipt
ADS American Depositary Share
GDR Global Depositary Receipt
GDS Global Depositary Share
PFIC Passive Foreign Investment Company
(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 December 31,
1995, these securities were valued at $874,677 or 1.5% of net assets.
(b) Face amount shown in U.S. dollars unless otherwise noted.
(c) Security position (or a portion of the security position) is out on loan
at December 31, 1995.
(d) Collateral received for securities on loan at December 31, 1995 reinvested
as cash equivalents.
See Notes to the Financial Statements
TIFF U.S. EQUITY FUND
GRAPH: Comparison of change in value of $10,000 investment in TIFF U.S. Equity
Fund and the Wilshire 5000 Stock Index. This graph is an x-y line graph
with x being the date (starting at 5/31/94 and ending at 12/31/95) and
y being the value of the Fund and the Index.
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, even with
expert advice, most governing boards are ill-equipped to play and win the
difficult game of manager style rotation. Indeed, although TIP's Board
comprises primarily full-time investment professionals, it prefers to delegate
primary responsibility for making whatever "style" tilts the Fund might display
to outside managers. The Fund's structure is distinctive not because it entails
broad diversification across market sectors -- most multi-manager structures do
this -- but because it does so by combining active strategies with a low cost
"completeness" portfolio. The Fund's structure is discussed more fully in TIP's
Quarterly Report dated June 30, 1995 (copies available upon request).
Performance Evaluation: Despite cash inflows exceeding 85% of its asset base at
12/31/94, the Fund managed to stay within spitting distance of the rapidly
rising Wilshire 5000 Stock Index during 1995 (36.0% vs. 36.5%), thus maintaining
a comfortable margin over the Index since inception net of all costs (40.6% vs.
38.9%). It is pleasing that the Fund's distinctive structure has enabled it to
outperform its primary benchmark during a period when most other managed U.S.
stock portfolios have lagged relevant indices: in the nineteen months that the
Fund has been operational, the average diversified U.S. stock fund (based on
Lipper's universe of almost 2,000 U.S. equity funds) has underperformed the
Wilshire 5000 by 630 basis points and the more widely recognized but narrower
S&P 500 Index by 810 basis points. (The Wilshire 5000, which confusingly
encompasses over 8,000 issues, tracks all publicly traded U.S. stocks, whereas
the S&P 500 tracks precisely 500 issues comprising about 75% of total U.S. stock
market capitalization.)
Investment Performance (For Periods Ended December 31, 1995)
Total Return
For the Year Since Since Inception
Ended Inception (Annualized)
(12/31/95) (5/31/94) (5/31/94)
TIFF U.S. Equity Fund 36.02% 40.63% 23.98%
Wilshire 5000 Index 36.45% 38.94% 23.04%
Shares Value+
Long-Term Investments - 89.7%
Common Stock - 86.6%
Aerospace - 0.2%
Northrop Grumman Corp. 1,100 $ 70,400
Rockwell International Corp. 3,600 190,350
Total 260,750
Agriculture - 2.5%
Archer-Daniels-Midland Co. 1,942 34,956
Eastern Equities Corp. Ltd. 350,000 247,250
Eskimo Pie Corp. 15,000 273,750
Hormel Foods Corp. 600 14,775
IBP, Inc. 9,500 479,750
International Multifoods Corp. 1,500 30,188
Opta Food Ingredients, Inc.* 6,600 84,975
Philip Morris Companies, Inc. 13,200 1,194,600
Sara Lee Corp. 3,600 114,750
Wrightson Ltd. 295,000 223,832
Total 2,698,826
Airlines - 1.5%
Airborne Freight Corp. 30,000 798,750
Alaska Air Group, Inc.* 8,800 143,000
Comair Holdings, Inc. 3,150 84,656
Harper Group, Inc. 25,000 443,750
U.S. Air Group, Inc.* 11,400 151,050
Total 1,621,206
Banks - 3.4%
Bank of New York Co., Inc. 2,500 121,875
Bankamerica Corp. 2,640 170,940
Bankers Trust New York Corp. 1,800 119,700
California Federal Bank* 8,900 140,175
Chemical Banking Corp. 3,860 226,775
Comerica, Inc. 9,900 397,238
First Bank System, Inc. 800 39,700
First Interstate Bancorp 2,200 300,300
First Union Corp. (NC) 3,400 189,125
J. P. Morgan & Company, Inc. 640 51,360
Keycorp (New) (a) 9,700 351,625
Mellon Bank Corp. 4,900 263,375
National City Corp. 6,600 218,625
NationsBank Corp. 7,000 487,375
Premier Bancorp, Inc. 30,800 719,950
Total 3,798,138
Beverages - 2.1%
Anheuser-Busch Companies, Inc. 1,730 115,694
Coca-Cola Co. 17,000 1,262,250
Coca-Cola Enterprises, Inc. 8,400 224,700
PepsiCo, Inc. 7,900 441,412
Robert Mondavi Corp. - Class A* 3,200 88,400
UST, Inc. 4,500 150,188
Whitman Corp. 1,300 30,225
Total 2,312,869
Business Machines - 1.5%
Bay Networks, Inc.* 600 24,675
Cabletron Systems* (a) 4,000 324,000
Digital Equipment Corp.* 3,400 218,025
Hewlett-Packard Co. 7,380 618,075
International Business Machines Corp. 5,300 486,275
New England Business Service, Inc. 1,200 26,250
Total 1,697,300
Chemical - 5.8%
Arco Chemical Co. 4,100 199,363
Biosys, Inc.* 444,759 1,223,087
Cabot Corp. 4,800 258,600
Cytec Industries, Inc.* 3,000 187,125
Dow Chemical 5,600 394,100
du Pont (E.I.) de Nemours & Company 6,560 458,380
Eastman Chemical Co. 11,400 713,926
EcoScience Corp.* 440,300 412,781
EnSys Environmental Products, Inc.* 275,500 447,688
FMC Corp.* 1,700 114,963
Gencorp, Inc. 5,400 66,150
Great Lakes Chemical Corp. 600 43,200
Lubrizol Corp. 5,100 142,162
Lyondell Petrochemical Co. 9,200 210,450
Mississippi Chemical Corp. 5,400 125,550
Redman Industries, Inc.* 1,000 33,750
Rogers Corp.* 18,000 391,500
Sealed Air Corp.* 3,200 90,000
Terra Industries, Inc. 10,400 146,900
Union Carbide Corp. 11,300 423,750
Wellman, Inc. 9,800 222,950
Witco Corp. 2,600 76,050
Total 6,382,425
Commercial Services - 0.2%
CDI Corp.* 10,900 196,200
Computers - 1.3%
Evans & Sutherland Computer Corp.* 1,000 22,250
Iomega Corp.* (a) 1,000 48,625
Komag, Inc.* 1,600 73,800
Seagate Technology, Inc.* (a) 12,700 603,250
Stratus Computer, Inc.* 3,700 128,113
Sun Microsystems, Inc.* 8,200 374,125
Unisys Corp.* 30,400 171,000
Total 1,421,163
Computer Software - 1.0%
Activision, Inc.* 6,400 70,400
AmeriData Technologies, Inc.* 5,100 49,088
Autodesk, Inc. 1,000 34,250
Computer Associates International, Inc. 5,100 290,062
Micrografx, Inc.* 34,900 462,425
Oak Technology, Inc.* 2,800 118,300
System Software Associates, Inc. 2,700 58,725
Veritas Software Corp.* 1,600 60,800
Total 1,144,050
Construction - 0.0% +++
American Buildings Co.* 1,100 24,750
Container - 0.1%
Ball Corp. 810 22,275
Overseas Shipholding Group, Inc. 1,700 32,300
Temple-Inland, Inc. 1,500 66,188
Total 120,763
Cosmetics - 0.8%
Alberto-Culver Co. Class B 3,200 110,000
Johnson & Johnson 1,310 112,169
Procter & Gamble Co. 7,540 625,820
Total 847,989
Drugs - 5.1%
Abbott Laboratories 1,600 66,800
American Home Products Corp. 2,120 205,640
Amgen, Inc.* 800 47,500
Autoimmune, Inc.* 4,800 54,000
Bergen Brunswig Corp. - Class A 2,800 69,650
Bristol-Myers Squibb Co. 16,900 1,451,288
Eli Lilly & Co. 1,080 60,750
Guidant Corp. 9,800 414,050
Gulf South Medical Supply, Inc.* 2,000 60,500
Interneuron Pharmaceuticals, Inc.* (a) 4,300 109,650
Magainin Pharmaceuticals, Inc.* 3,600 47,250
Merck & Company, Inc. 7,500 493,125
Mylan Laboratories (a) 10,050 236,175
Owens & Minor, Inc. Holding Co. 45,000 573,750
Pfizer, Inc. 14,400 907,200
ProCyte Corp.* 2,100 5,906
Rhone-Poulenc Rorer, Inc. 5,300 282,225
Schering-Plough Corp. 8,600 470,850
Vical, Inc.* 2,200 26,675
Total 5,582,984
Electrical Utilities - 2.9%
Baltimore Gas and Electric Co. 8,000 228,000
California Energy Co., Inc.* 29,800 581,100
Central Vermont Public Service 3,000 40,125
CILCORP, Inc. 1,000 42,375
Commonwealth Energy System Companies 1,000 44,750
Consolidated Edison Company of New York, Inc. 4,600 147,200
Destec Energy, Inc.* 1,800 24,750
Entergy Corp. 11,290 330,233
Long Island Lighting Co. 25,900 424,113
MDU Resources Group, Inc. 150 2,981
Niagara Mohawk Power Corp. 16,900 162,663
Northeast Utilities 6,800 165,750
Pacific Gas and Electric Co. 24,200 686,674
Public Service Company of New Mexico* 6,000 105,750
TNP Enterprises, Inc. 4,500 84,375
Unicom Corp. 950 31,113
United Illuminating Co. 1,700 63,538
Total 3,165,490
Electronics - 2.6%
Advanced Micro Devices, Inc. 2,100 34,650
Alliance Semiconductor Corp.* (a) 4,500 52,313
Applied Magnetics Corp.* 1,900 35,388
Arrow Electronics, Inc.* 9,400 405,375
Avnet, Inc. 6,700 299,825
Checkpoint Systems, Inc.* 11,500 429,813
Computer Products, Inc.* 3,700 42,550
Cypress Semiconductor Corp.* 3,000 38,250
General Instrument Corp.* 4,300 100,513
IEC Electronics Corp.* 700 6,125
Integrated Device Technology, Inc.* 1,300 16,738
Intel Corp. 1,800 102,150
Logicon, Inc. 1,700 46,750
Marshall Industries* 1,600 51,400
Micron Technology, Inc. 2,900 114,913
National Semiconductor Corp.* 3,200 71,200
Perceptron, Inc.* 1,650 36,713
Philips Electronics NV - ADR 4,100 147,088
Pioneer Standard Electronics, Inc. 1,700 22,525
SCI Systems, Inc.* 1,600 49,600
Teledyne, Inc. 5,800 148,625
Texas Industries, Inc. 3,700 196,100
Texas Instruments, Inc. 5,000 258,745
Thermo Instrument Systems, Inc.* 1,300 43,875
Tylan General, Inc.* 1,100 13,475
Wyle Electronics 3,600 126,450
Total 2,891,149
Financial - 3.6%
American Express Co. 2,050 84,819
Bear Stearns Companies, Inc. 20,400 405,450
Capital One Financial Corp. 6,700 159,963
Citicorp 600 40,350
Community Bank System, Inc. 100 3,200
Corporate Investments Ltd.* 2,425,300 618,691
Dean Witter Discover & Co. 2,500 117,500
First USA, Inc. 500 22,188
Household International, Inc. 970 57,351
Lehman Brothers Holdings, Inc. 8,300 176,375
MBNA Corp. 8,200 302,375
Merrill Lynch & Company, Inc. 5,600 285,600
Salomon, Inc. 2,800 99,400
San Juan Basin Royalty Trust 130,300 814,375
The Money Store, Inc. (a) 9,375 146,484
Travelers Group, Inc. 10,400 653,900
Total 3,988,021
Foods - 0.8%
Dean Foods Co. 3,300 90,750
Hudson Foods, Inc. 3,900 67,275
Quaker Oats Co. 7,600 262,200
RJR Nabisco Holdings Corp. 11,600 358,150
Smithfield Foods, Inc.* 2,800 88,900
Total 867,275
Gas Utilities - 0.4%
Brooklyn Union Gas Co. 2,800 81,900
Indiana Energy, Inc. 1,000 23,875
MCN Corp. 4,700 109,275
Northwest Natural Gas Co. 1,000 33,000
Oneok, Inc. 2,600 59,475
Piedmont Natural Gas Company, Inc. 1,000 23,250
Utilicorp United, Inc. (a) 2,500 73,438
Total 404,213
Health Care - 3.8%
Angeion Corp.* 3,000 25,500
Bausch & Lomb, Inc. 4,100 162,463
Baxter International, Inc. 4,400 184,250
Collagen Corp. 2,200 46,475
Columbia/HCA Healthcare Corp. 12,100 614,075
Community Psychiatric Centers* 9,800 120,050
Health Care & Retirement Corp.* 1,000 35,000
Health Management Associates, Inc. - Class A* 5,550 144,994
Horizon/CMS Healthcare Corp.* 8,500 214,625
Mariner Health Group, Inc.* 1,000 16,750
Medtronic, Inc. 6,400 357,600
Pharmchem Laboratories* 184,400 829,800
Rotech Medical Corp.* 2,400 66,000
Sunrise Medical, Inc.* 2,600 48,100
Tenet Healthcare Corp.* 16,500 342,374
United Wisconsin Services, Inc. 1,200 26,400
Universal Health Services, Inc. - Class B* 16,000 710,000
Vencor, Inc.* 1,500 48,750
Vivra, Inc.* 6,750 169,594
Total 4,162,800
Hotels/Restaurants - 0.5%
Morrison Restaurants, Inc. 20,000 280,000
Ryan's Family Steak House, Inc.* 5,200 106,400
Starbucks Corp.* 2,000 42,000
Wendy's International, Inc. 6,400 136,000
Total 564,400
Housewares - 0.7%
Clorox Co. 1,200 85,950
Gillette Co. 1,640 85,485
Lancaster Colony Corp. 7,100 264,475
McKesson Corp. 3,900 197,437
Stanhome, Inc. 5,700 166,013
Total 799,360
Insurance (Life) - 0.8%
Aetna Life & Casualty Co. 4,700 325,475
Equitable Companies, Inc. 6,500 156,000
Penncorp Financial Group, Inc. (a) 6,200 182,125
Providian Corp. 1,000 40,750
Reliastar Financial Corp. 2,700 119,813
Total 824,163
Insurance (Other) - 2.8%
Aflac Corp. 10,450 453,269
Allstate Corp. 14,653 602,605
American Bankers Insurance Group 3,600 140,400
American International Group 540 49,950
Cigna Corp. 2,900 299,425
Fidelity National Financial, Inc. 1,300 24,213
Fremont General Corp. 1,100 40,425
Frontier Insurance Group, Inc. 2,700 86,400
Lawyers Title Corp. 1,100 21,038
Loews Corp. 7,400 579,973
Orion Capital Corp. 5,800 251,575
Paul Revere Corp. (The) 1,000 20,750
Safeco Corp. 6,800 234,600
Selective Insurance Group 4,000 142,000
St. Paul Companies, Inc. 1,900 105,688
US Facilities Corp. 1,400 29,925
Total 3,082,236
Leisure - 1.2%
AMC Entertainment, Inc.* (a) 1,100 25,713
Callaway Golf Co. (a) 9,000 203,624
Fleetwood Enterprises, Inc. 7,400 190,550
Grand Casinos, Inc.* 7,050 163,913
GTech Holdings Corp.* 5,600 145,600
Harrah's Entertainment, Inc.* 12,100 293,425
Mirage Resorts, Inc.* 4,600 158,700
Outboard Marine Corp. 3,100 63,163
Penn National Gaming, Inc.* 2,400 30,900
Ride, Inc.* (a) 1,800 58,725
Total 1,334,313
Machines - 0.3%
Electroglas, Inc.* 5,200 127,400
Global Industrial Technologies, Inc.* 2,300 43,413
JLG Industries, Inc. 2,000 59,500
Kulicke & Soffa Industries, Inc.* 2,000 46,500
Novellus Systems, Inc.* 700 37,800
Regal-Beloit Corp. 1,200 26,100
Total 340,713
Media - 0.4%
Viacom, Inc. - Class B* 8,300 393,213
Metals - 0.9%
Alumax, Inc.* 6,000 183,750
Asarco, Inc. 3,000 96,000
Commercial Metals Co. 1,000 24,750
Cyprus Amax Minerals Co. 4,900 128,013
Phelps Dodge Corp. 8,400 522,900
Total 955,413
Mining - 0.2%
Cleveland-Cliffs, Inc. 1,400 57,400
Coeur D'Alene Mines Corp. 6,100 104,463
Total 161,863
Mortgage - 0.4%
Countrywide Credit Industries, Inc. 800 17,400
Federal National Mortgage Assn. 3,500 434,438
Total 451,838
Motor Vehicles - 2.0%
Borg-Warner Automotive, Inc. 2,300 73,600
Chrysler Corp. 9,300 514,987
Echlin, Inc. 3,700 135,050
Ford Motor Co. 16,400 475,600
General Motors Corp. 13,190 697,422
Navistar International Corp.* 20,300 213,150
Varlen Corp. 1,100 23,650
Total 2,133,459
Oil/Gas (Domestic) - 1.7%
Atlantic Richfield Co. 3,500 387,625
El Paso Natural Gas Co. 6,600 187,275
Enron Oil & Gas Co. 4,700 112,800
Murphy Oil Corp. 5,400 224,100
National Fuel Gas Co. 5,400 181,575
Occidental Petroleum Corp. 7,900 168,863
Panhandle Eastern Corp. 1,400 39,025
Phillips Petroleum Co. 12,300 419,738
Valero Energy Corp. (a) 5,800 142,100
Total 1,863,101
Oil/Gas (International) - 3.3%
Amoco Corp. 3,200 230,000
Chevron Corp. 5,000 262,500
Exxon Corp. 20,200 1,618,525
Helmerich & Payne, Inc. 2,100 62,475
Mobil Corp. 5,790 648,480
Tesoro Petroleum Corp.* 13,000 112,126
Texaco, Inc. 8,700 682,950
Ultramar Corp. 1,100 28,325
Total 3,645,381
Oil Services - 0.6%
Camco International, Inc. 1,900 53,200
Nabors Industries, Inc.* 16,300 181,337
Oceaneering International, Inc.* 2,900 37,338
Reading & Bates Corp.* 16,300 244,500
Smith International, Inc.* 1,900 44,650
Tidewater, Inc. 3,800 119,700
Total 680,725
Paper - 0.9%
Boise Cascade Corp. 600 20,775
Boise Cascade Office Products Corp.* 1,000 42,750
Champion International Corp. 2,100 88,200
Chesapeake Corp. 10,700 316,987
Georgia-Pacific Corp. 480 32,940
International Paper Co. 3,600 136,350
Mercer International, Inc.* 7,100 145,550
Union Camp Corp. 2,500 119,063
Willamette Industries, Inc. 1,000 56,250
Total 958,865
Producer Goods - 4.1%
American Brands, Inc. 4,400 196,350
American Business Products, Inc. 1,100 31,350
Applied Materials, Inc.* 3,600 141,750
Bassett Furniture Industries, Inc. 1,000 23,250
Bush Industries, Inc. - Class A 1,000 19,625
Case Corp. 4,500 205,875
Commercial Intertech Corp. 1,300 23,563
Cummins Engine (a) 6,200 229,400
Eaton Corp. 5,210 279,386
Esterline Technologies Corp.* 2,000 47,250
General Electric Co. 5,100 367,200
Miller Herman, Inc. 2,200 66,000
Octel Communication Corp.* 30,000 967,500
Parker-Hannifin Corp. 6,050 207,213
Quanex Corp. 8,600 166,625
Smith (A.O.) Corp. 1,600 33,200
Symmetricom, Inc.* 200 2,750
Textron, Inc. 6,900 465,750
Timken Co. 3,000 114,750
Toll Brothers, Inc.* 4,100 94,300
TRW, Inc. 2,100 162,750
U.S. Home Corp.* 2,800 81,550
Varity Corp.* 3,100 115,088
Volt Information Sciences, Inc.* 10,000 272,500
Vulcan Materials Co. 2,900 167,112
Total 4,482,087
Publishing - 1.3%
Bowne & Co., Inc. 1,700 34,000
Day Runner, Inc.* 1,100 37,950
Devon Group, Inc.* 1,000 29,063
Dun & Bradstreet Corp. 2,900 187,775
National Education Corp.* 96,400 783,250
Pulitzer Publishing Co. 2,300 109,825
Steck-Vaughn Publishing Corp.* 37,000 272,875
Total 1,454,738
Railroad - 0.7%
Burlington Northern Santa Fe, Inc. 4,800 374,400
CSX Corp. 5,400 246,375
GATX Corp. 2,000 97,250
Union Pacific Corp. 1,200 79,200
Total 797,225
Retail (Foods) - 0.3%
Safeway, Inc.* (a) 4,300 221,450
Sysco Corp. 3,500 113,750
Total 335,200
Retail (Other) - 3.2%
Barnes & Noble, Inc.* 1,800 52,200
Best Buy Company, Inc.* 3,600 58,500
Borders Group, Inc.* 15,500 286,750
Carson Pirie Scott & Co.* 1,300 25,838
CompUsa, Inc.* 4,800 149,400
Consolidated Stores Corp.* 18,000 391,500
Designs, Inc.* 3,900 27,300
Eagle Hardware & Garden, Inc.* 3,600 27,000
Fingerhut Companies, Inc. 9,600 133,200
Gap, Inc. 7,500 315,000
Kenneth Cole Productions, Inc. - Series A* 2,000 37,500
Kmart Corp. 41,900 303,775
Mac Frugals Bargains Close-Outs, Inc.* 35,200 492,800
Mattel, Inc. 5,625 172,969
Nike, Inc. 1,700 118,363
Renters Choice, Inc.* 1,500 20,625
Ross Stores, Inc. 1,700 32,513
Service Merchandise Co.* 5,600 28,000
Waban, Inc. (a)* 28,900 541,873
Woolworth Corp.* 20,500 266,500
Total 3,481,606
Services - 8.0%
AccuStaff, Inc.* 200 8,800
Automated Security (Holdings) p.l.c. - ADR* 75,517 56,638
BMC Software* 2,200 94,050
Ceridian Corp.* 1,000 41,250
Comdisco, Inc. 13,650 308,831
Computer Language Research, Inc. 83,000 1,162,000
Computer Task Group, Inc. 66,500 1,313,375
CUC International, Inc.* 5,800 197,925
Failure Group, Inc.* 159,700 1,058,013
Hilb, Rogal & Hamilton Co. 36,500 488,188
Informix Corp.* 2,400 72,000
ITT Educational Services, Inc.* 20,200 497,425
Kelly Services, Inc. - Class A 1,000 27,750
Kinder Care Learning Centers* 43,100 544,138
Microsoft Corp.* 5,100 447,525
NetManage, Inc.* 2,000 46,500
Norrell Corp. 1,000 29,375
Oracle Corp.* 500 21,188
Parametric Technology Co.* 2,200 146,300
PHH Corp. 7,400 345,950
Pittston Services Group 16,100 505,138
Primark Corp.* 2,200 66,000
Rollins Truck Leasing Co. 18,900 210,260
Ryder System, Inc. 11,600 287,100
Software Publishing Corp.* 223,400 740,013
True North Communications, Inc. 1,000 18,500
Xtra Corp. 2,000 85,000
Total 8,819,232
Steel - 0.7%
Allegheny Ludlum Corp. 5,900 109,150
Birmingham Steel Corp. 8,300 123,463
Carpenter Technology Corp. 3,000 123,375
LTV Corp.* 10,100 138,875
Lukens, Inc. 2,100 60,375
Nucor Corp. 2,600 148,525
WHX Corp.* 3,800 41,325
Total 745,088
Telecommunications - 1.3%
CommNet Cellular, Inc.* 3,000 86,625
Frontier Corp. 9,200 276,000
MCI Communications Corp. 6,300 164,584
SBC Communications, Inc. 8,900 511,750
Tele-Communications, Inc. - Class A* 18,700 371,663
U.S. Long Distance Corp.* 2,900 40,600
Total 1,451,222
Telephone - 5.9%
Airtouch Communications Inc.* 3,600 101,700
Ameritech Corp. 9,200 542,800
AT & T Corp. 11,400 738,150
Bell Atlantic Corp. (a) 8,000 535,001
Bellsouth Corp. 13,660 594,210
C-Tec Corp.* 1,200 37,200
Century Telephone Enterprise 6,800 215,900
Cincinnati Bell, Inc. 6,200 215,450
Citizens Utilities Co. - Class A* 8,700 110,925
GTE Corp. 20,350 895,400
NYNEX Corp. 9,000 486,000
Pacific Telesis Group 16,200 544,725
Sprint Corp. 24,400 972,950
U.S. West, Inc. 12,600 450,450
WorldCom, Inc.* 2,400 84,600
Total 6,525,461
Thrifts - 2.6%
Albank Financial Corp. 600 18,000
American Federal Bank 22,000 335,500
Astoria Financial Corp. 1,400 63,875
Charter One Financial, Inc. 24,000 735,000
Coast Savings Financial, Inc.* 1,000 34,623
Peoples Bank of Bridgeport, Connecticut 28,000 532,000
Reliance Bancorp, Inc. 2,900 42,413
Roosevelt Financial Group, Inc. (a) 30,000 581,250
TR Financial Corp. 5,000 127,500
Washington Mutual, Inc. (a) 12,000 346,500
Total 2,816,661
Transportation - 1.7%
Air Express International Corp. 11,500 264,500
American President Companies Ltd. 10,600 243,800
Consolidated Freightways, Inc. 12,000 318,000
Expeditors International Washington, Inc. 15,000 391,873
Goodyear Tire & Rubber Co. 15,200 689,700
Total 1,907,873
Utilities - 0.5%
Columbia Gas System, Inc.* 6,900 302,738
Pacific Enterprises 1,090 30,793
Williams Companies, Inc. 4,600 201,823
Total 535,354
Total Common Stock - (Cost - $82,190,889) 95,129,151
Commingled Investment Vehicles - 2.9%
Highbridge Capital Corp. (PFIC)
Commingled Investment Vehicles (Cost - $2,750,000) 2,098 3,189,694
Preferred Stock - 0.2%
Norian Corp. (144A) (b) 295,000 206,500
Preferred Stock (Cost - $206,500)
Total Long-Term Investments (Cost - $85,147,389) 98,525,345
Short-Term Securities - 16.0% Face Amount
U.S. Treasury Securities - 0.2% #
U.S. Treasury Bill, 5.250% due 3/14/96 ++ $ 280,000 273,750
U.S. Treasury Securities (Cost - $273,750)
Other Short-Term Investments - 15.8%
Bank of Boston Time
Deposit (Nassau), 4.810% due 1/2/96 (c) 3,691,125 3,691,125
Bank of Ireland Time
Deposit (Cayman), 4.830% due 1/2/96 (c) 1,264,000 1,264,000
Fleet Bank MA (Nassau) Time
Deposit, 5.813% due 1/2/96 (c) 682,900 682,900
Investors Bank & Trust Company
Repurchase Agreement, 5.450% due
1/2/96; Issued 12/29/95
(Collateralized by $7,110,152 FNMA
Note, 7.206% due 3/1/24 with a market
value of $7,250,000;
$4,682,380 FNMA Note, 7.500% 2/1/23 with a
market value of $4,680,000) 11,678,727 11,678,727
Total (Cost - $17,316,752) 17,316,752
Total Short-Term Investments (Cost - $17,590,502) 17,590,502
Total Investments - 105.7% (Cost - $102,737,891) 116,115,847
Other Assets and Liabilities - (5.7%)
Receivable for securities sold 950,816
Deposit with broker for securities sold short 1,013,588
Other assets 604,903
Payable for securities purchased (794,409)
Market value of securities sold short (Proceeds - $1,390,691) (1,042,188)
Payable for collateral on loaned securities (5,638,025)
Other accrued expenses and liabilities $ (1,309,782)
Other assets and liabilities, net (6,215,097)
Net Assets - 100.0%
Applicable to 8,891,271 outstanding $.001
par value shares (authorized 500,000,000 shares $ 109,900,750
Net asset value $ 12.36
Components of Net Assets as of December 31, 1995
were as follows:
Capital stock at par value ($.001) $ 8,891
Capital stock in excess of par value 94,853,172
Temporary overdistribution of net investment income (163,255)
Accumulated net realized gain on investments, financial
futures contracts and short sale 1,305,333
Net unrealized gain on investments, financial futures
and short sales 13,896,609
Net Assets $ 109,900,750
Short Portfolio - (0.9%)
Common Stocks - (0.9%) Shares Value
+
Computer Software - (0.5%)
Broadway & Seymour, Inc.* 32,550 $ 5 28,938
Services - (0.3%)
Computer Language Research 25,500 357,000
Telecommunications - (0.1%)
Compression Labs* 25,000 156,250
Total Short Portfolio (Cost - $1,390,691) $ 1,042,188
* Non-income producing security
+ See Note 2 to the Financial Statements
++ Assets currently held in a segregated account as collateral for financial
futures
+++ Rounds to less than 0.0%
# Interest rate represents the yield to maturity at the time of purchase.
(a) Security position (or a portion ) is out on loan at December 31, 1995.
(b) 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 December 31,
1995, these securities were valued at $206,500 or 0.2% of net assets.
(c) Collateral received for securities on loan at December 31, 1995 reinvested
as cash equivalents.
See Notes to Financial Statements
TIFF BOND FUND
December 31, 1995
GRAPH: Comparison of change in value of $10,000 investment in TIFF Bond Fund
and the Lehman Aggregate Bond Index. This is an x-y line graph with x
being the date (startinga 5/31/94 and ending at 12/31/95) and y being
the value of the Fund and the Index.
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
poorly when investors are spooked by unexpected strength in the economy, as they
were in 1994, and they tend to perform well when inflation concerns ease, as
they did in 1995. The recent decline in bond yields has boosted the cost of
deflation "insurance," and investors that are adequately "insured" might
consider postponing further purchases pending higher yields. The popularity of
non-callable Treasuries has caused the Fund's managers to tilt the Fund away
from government issues and toward other types of bonds, including especially
mortgage-backed securities. Such securities did not participate fully in the
year-end rally due in part to changes in (1) accounting standards applicable to
financial institutions and (2) the method rating agencies employ to assess the
riskiness of insurance company portfolios.
Performance Evaluation: The Fund has produced strong absolute returns since
inception (18.6% net of fees) and, despite stricter quality standards, has
outperformed its peer group of taxable bond funds, but has underperformed its
primary benchmark. The reasons it has lagged its primary benchmark are two-
fold. First, the Fund's managers have performed unspectacularly since the Fund's
inception: one manager is comfortably ahead of its benchmark, two are slightly
ahead, and the fourth is moderately behind. Second, although FAI has otherwise
allocated the Fund's assets in a sector-neutral manner, the Fund has for some
time maintained a small tilt toward foreign bonds via Fischer Francis Trees &
Watts ("FFTW"). This tilt proved profitable in 1994 but hampered results in
1995. In light of the recent relative strength of U.S. bonds, FAI is
maintaining a modest (7.4%) tilt in favor of foreign issues (7.4% = FFTW's 12%
allocation times foreign bonds' 62% weight in FFTW's benchmark). FFTW is
incentivized to hedge foreign currency exposure, and the foreign bonds it has
purchased (all governments) are typically hedged back into U.S. dollars.
Investment Performance (For Periods Ended December 31, 1995)
Total Return
For the Year Since Since Inception
Ended Inception (Annualized)
(12/31/95) (5/31/94) (5/31/94)
TIFF Bond Fund 18.07% 18.61% 11.36%
Lehman Aggregate Bond Index 18.48% 19.39% 11.82%
TIFF BOND FUND-STATEMENT OF NET ASSETS
December 31, 1995
Face Amount (a) Value+
Long-Term Investment - 104.8%
Bonds - 103.8%
Asset-Backed Securities - 6.4%
Advanta Credit Mst Tst FRN, Ser. 1995-A,
Class A, 6.118% due 1/01/03 950,000 $ 950,541
Advanta Mortgage Trust, Ser. 1994-3,
Class A4, 8.490% due 1/25/26 325,000 354,474
Case Equipment Loan Trust, Ser. 1995-A,
Class A, 7.300% due 3/15/02 263,623 269,709
Daimler-Benz Vehicle Trust, Ser. 1994-A,
Class A, 5.950% due 12/15/00 94,739 94,861
First USA Cr Mst Trust FRN, Ser. 1993-3,
Class A, 6.250% due 12/15/00 850,000 852,158
GMAC Grantor Trust, Ser. 1993-A,
Class A, 4.150% due 3/16/98 46,284 46,109
GMAC Grantor Trust, Ser. 1994-A,
Class A, 6.300% due 6/15/99 619,645 624,875
Lannar Central Partners, 8.120% due 9/15/02 190,000 191,317
Mellon Bk Credit Trst FRN, Ser. 1995-A,
Class A, 6.003% due 4/15/03 500,000 500,255
Merrill Lynch Mtg Inv., Ser. 1995-C2,
Class A1, 7.380% due 6/15/21 228,544 235,115
Nationsbank Auto Trust, Ser. 1995-A,
Class A, 5.850% due 6/15/02 356,782 358,390
Premier Auto Trust, Ser. 1993-2,
Class A3, 4.900% due 10/15/98 406,665 405,034
Premier Auto Trust, Ser. 1995-3,
Class A3, 5.950% due 12/6/98 475,000 478,035
Standard Credit Card Trust, Ser. 1995-10,
Class A, 5.900% due 2/7/01 450,000 454,320
Total Asset-Backed Securities (Cost - $5,752,286) 5,815,193
Corporate Obligations - 19.0%
American Airline, Inc., Ser. 91-A,
10.180% due 1/02/13 705,000 884,473
Applied Material, Inc., 8.000% due 9/01/04 500,000 546,755
Brascan Ltd., 7.375% due 10/1/02 415,000 429,708
California Petroleum Transport, 8.520% due 4/1/15 325,000 388,030
Celulosa Aruaco Constitution, 7.000% due 12/15/07 500,000 503,188
Commonwealth Edison Co., 6.400%, due 10/15/05 500,000 485,261
Consolidated Edison Co. of New York,
7.625% due 3/1/04 640,000 700,814
Dr. Pepper/7 Up, 11.500% due 11/1/02 330,000 309,375
Electronic Data Systems (144A),
7.125% due 5/15/05 (b) 500,000 534,303
Equitable Life (144A), 7.700% due 12/1/15 (b) 255,000 258,885
Farmers Insurance Exchange (144A),
8.625% due 5/1/24 (b) 210,000 212,979
First USA Bank, 8.200% due 2/15/98 665,000 696,379
Fisher Scientific Group, Inc., 7.125% due 12/15/05 415,000 417,209
Ford Capital BV, 10.125% due 11/15/00 700,000 822,202
Ford Motor Credit, 6.375% due 10/6/00 425,000 432,604
Goldman Sachs Group LP (144A) (b) 455,000 476,291
Household Bank FSB, 8.450% due 12/10/02 1,100,000 1,239,812
K-Mart Funding Corp., 8.800% due 7/1/10 610,000 489,680
Martin Marietta Material, 7.000% due 12/1/25 375,000 385,723
Methanex Corp. (Canada), 7.750% due 8/15/05 965,000 1,021,839
Nabisco, Inc., 7.050% due 7/15/07 500,000 514,360
Occidental Petroleum Corp., 10.125% due 9/15/09 500,000 649,055
Phibro-Salomon, Inc., 11.625% due 8/1/15 89,000 94,867
Prudential Insurance (144A), 8.300% due 7/1/25 (b) 405,000 435,646
Rodamco NV, 7.300% due 5/15/05 100,000 107,160
Rollins Truck Leasing Corp., 7.000% due 3/15/01 400,000 415,145
Salomon, Inc. MTN, 7.250% due 5/1/98 570,000 581,827
Southtrust Corp., 8.625% due 5/15/04 500,000 572,328
Tektronix, Inc., 7.625% due 8/15/02 500,000 528,156
W. R. Grace & Co., 8.000% due 8/15/04 1,100,000 1,214,165
Walt Disney Co., 7.550% due 7/15/23 415,000 448,426
Wendy's International, Inc., 7.000% due 12/15/25 535,000 542,046
Total Corporate Obligations (Cost - $16,404,441) 17,338,691
Foreign Government Obligations - 8.3%
Australian Government, 7.500% due 7/15/05 40,000 AUD 28,476
Australian Government, 8.750% due 1/15/01 250,000 AUD 193,385
Belgium (Kingdom of), 9.000% due 6/27/01 9,500,000 BLG 371,688
Bundesobligation, 6.750% due 9/15/99 1,100,000 DMK 826,652
Bundesrepublic Deutschland, 6.7500% due 4/22/03 500,000 DMK 369,637
Buoni Poliennali del Tes, 8.500% due 8/1/99 830,000,000 ITL 497,170
Canadian Government, 6.500% due 6/1/04 230,000 CAD 162,883
Denmark (Kingdom of), 8.000% due 3/15/06 620,000 DMK 117,991
Denmark (Kingdom of), 9.000% due 11/15/98 200,000 DMK 39,318
French Treasury Bill, 7.000% due 10/12/00 400,000 FF 85,663
French Treasury Bill, 7.750% due 4/12/00 4,500,000 FF 986,904
Italy-Global Bond, 6.875% due 9/27/23 455,000 ITL 444,763
Japan Government Bond, 3.400% due 6/20/05 6,900,000 JPY 68,524
Japan Government Bond, 4.600% due 9/20/04 12,700,000 JPY 137,566
Japan Government Bond, 4.100% due 12/22/03 101,000,000 JPY 1,055,349
Japan Government Bond, 5.700% due 6/20/02 25,000,000 JPY 286,925
Netherlands Government, 5.750% due 1/15/04 650,000 NLD 403,686
Spanish Government, 10.100% due 2/28/01 18,000,000 ESP 150,156
Spanish Government, 7.400% due 7/30/99 20,000,000 ESP 155,880
Swedish Government, 11.000% due 1/21/99 1,700,000 ESP 276,126
Treuhandanstalt Obligation, 6.375% due 7/1/99 200,000 DMK 148,092
United Kingdom Treasury, 6.750% due 11/26/04 120,000 GB 178,244
United Kingdom Treasury, 7.000% due 11/6/01 370,000 GB 574,886
Total Foreign Government
Obligations (Cost - $7,213,054) 7,559,964
Mortgage-Backed Securities - 44.4%
Federal Home Loan Mortgage Assn. (TBA),
7.500% due 8/1/07 1,600,000 1,646,500
Federal Home Loan Mortgage Corp. ARM,
7.821% due 7/1/22 502,631 518,445
Federal Home Loan Mortgage Corp.
Gold (TBA), 7.000% due 5/13/96 1,600,000 1,614,000
Federal Home Loan Mortgage Corp.
Gold (TBA), 7.000% due 3/18/96 2,500,000 2,548,436
Federal Home Loan Mortgage Corp. PO,
Ser. 1689, due 3/15/24 120,847 114,917
Federal Home Loan Mortgage Corp.,
6.002% due 9/1/25 905,207 924,004
Federal Home Loan Mortgage Corp.,
6.140% due 3/18/99 120,000 120,110
Federal Home Loan Mortgage Corp.,
6.350% due 3/7/01 510,000 516,436
Federal Home Loan Mortgage Corp.,
7.000% due 5/1/09 (c) 888,267 905,474
Federal Home Loan Mortgage Corp.,
7.500% due 9/1/25 1,485,663 1,524,638
Federal Home Loan Mortgage Corp.,
7.500% due 8/1/25 1,285,867 1,319,601
Federal Home Loan Mortgage Corp.,
7.500% due 12/1/24 423,786 434,904
Federal Home Loan Mortgage Corp.,
7.500% due 8/1/24 1,583,819 1,625,369
Federal Home Loan Mortgage Corp.,
7.500% due 4/1/24 1,213,521 1,245,358
Federal Home Loan Mortgage Corp.,
7.500% due 2/1/23 58,134 59,659
Federal Home Loan Mortgage Corp.,
8.500% due 3/1/25 823,983 859,569
Federal Home Loan Mortgage Corp.,
8.500% due 9/1/24 1,159,848 1,209,938
Federal Home Loan Mortgage Corp. Gold,
7.000% due 3/16/96 1,000,000 1,009,688
Federal Home Loan Mortgage Corp. Gold,
7.000% due 8/1/25 1,500,001 1,514,687
Federal Home Loan Mortgage Corp.,
Ser. 1576, 6.000% due 1/15/08 700,000 698,592
Federal National Mortgage Assn. PO,
Ser. 1992-153 due 9/25/97 21,408 195,834
Federal National Mortgage Assn.,
4.750% due 2/25/09 875,000 868,253
Federal National Mortgage Assn., 6.080%
due 9/3/03 200,000 196,498
Federal National Mortgage Assn., 6.200%
due 7/10/03 345,000 342,138
Federal National Mortgage Assn., 6.500%
due 1/1/24 482,370 477,167
Federal National Mortgage Assn., 6.500%
due 4/25/08 183,580 181,155
Federal National Mortgage Assn., 7.000%
due 3/1/24 1,707,822 1,722,921
Federal National Mortgage Assn., 7.500%
due 10/1/25 1,249,531 1,281,098
Federal National Mortgage Assn., 7.500%
due 9/1/25 598,150 613,261
Federal National Mortgage Assn., 8.000%
due 1/1/25 649,848 672,952
Federal National Mortgage Assn., 8.000%
due 5/1/24 906,946 939,190
Federal National Mortgage Assn., 8.000%
due 5/1/25 959,323 993,429
Government National Mortgage Assn. (TBA),
5.500% due 3/24/96 3,000,000 3,003,750
Government National Mortgage Assn. (TBA),
6.000% due 1/24/97 1,000,000 1,007,417
Government National Mortgage Assn. (TBA),
5.500% due 5/1/09 2,000,000 2,001,875
Government National Mortgage Assn.,
6.500% due 9/20/25 (c) 1,480,759 1,498,911
Government National Mortgage Assn.,
7.000% due 5/15/24 (c) 1,401,761 1,419,692
Government National Mortgage Assn.,
7.000% due 6/15/24 (c) 973,358 985,809
Government National Mortgage Assn.,
7.000% due 7/15/23 (c) 587,137 594,647
Government National Mortgage Assn.,
9.500% due 10/15/24 (c) 871,232 933,119
Total Mortgage-Backed Securities
(Cost - $39,096,478) 40,339,441
Municipal Securities - 0.9%
New York, New York, General Obligation,
Ser. F, 5.750% due 2/1/04 785,000 794,043
Total Municipal Securities (Cost - $790,691)
U.S. Government and Agency Obligations - 1.8%
Federal National Mortgage Assn. MTN,
6.290% due 10/04/00 475,000 488,889
Federal National Mortgage Assn. MTN,
5.200% due 7/10/98 450,000 444,550
Tennessee Valley Authority,
7.850% due 6/15/44 500,000 531,554
Tennessee Valley Authority,
8.250% due 11/15/96 200,000 204,928
Total U.S. Government and Agency
Obligations (Cost - $1,600,768) 1,669,921
U.S. Treasury Securities - 23.0%
U.S. Treasury Note, 9.250% due 1/15/96 200,000 200,500
U.S. Treasury Note, 6.250% due 1/31/97 200,000 202,187
U.S. Treasury Note, 6.750% due 5/31/97 3,055,000 3,118,008
U.S. Treasury Note, 6.500% due 8/15/97 3,200,000 3,264,000
U.S. Treasury Note, 7.875% due 1/15/98 200,000 210,187
U.S. Treasury Note, 4.750% due 10/31/98 530,000 522,877
U.S. Treasury Note, 5.875% due 3/31/99 145,000 147,583
U.S. Treasury Note, 6.750% due 6/30/99 920,000 961,686
U.S. Treasury Note, 7.500% due 10/31/99 335,000 359,706
U.S. Treasury Note, 7.875% due 11/15/99 200,000 217,437
U.S. Treasury Note, 6.750% due 4/30/00 105,000 110,513
U.S. Treasury Note, 6.125% due 7/31/00 600,000 617,812
U.S. Treasury Note, 5.750% due 10/31/00 2,300,000 2,335,215
U.S. Treasury Note, 7.500% due 11/15/01 475,000 523,538
U.S. Treasury Bond, 8.750% due 5/15/17 2,065,000 2,731,605
U.S. Treasury Bond, 7.875% due 2/15/21 550,000 677,015
U.S. Treasury Bond, 8.125% due 5/15/21 1,295,000 1,638,984
U.S. Treasury Bond, 7.625% due 2/15/25 1,745,000 2,132,172
U.S. Treasury Strip, 5.222% due 2/15/20 # 4,520,000 1,010,125
Total U.S. Treasury Securities
(Cost - $20,367,272) 20,981,150
Total Bonds (Cost - $91,224,990) 94,498,403
Shares
Preferred Stock - 1.0%
Central Hispano Cap Ltd. 10.500% Series A 20,035 548,458
Santander Overseas Bank 10.640% Series A 13,400 361,800
Total Preferred Stock (Cost - $893,992) 910,258
Total Long-Term Investments (Cost - $92,118,982) 95,408,661
Short-Term Investments - 11.0%
Face Amount(a)
Bank Obligations - 3.3%
Bank of Boston (Nassau) Time Deposit,
4.500% due 1/2/96 $ 2,492,000 2,492,000
Bank of Boston (Nassau) Time Deposit,
4.810% due 1/2/96 (d) 233,600 233,600
Bank of Ireland (Cayman) Time Deposit,
4.810% due 1/2/96 (d) 268,000 268,000
Total Bank Obligations (Cost - $2,993,600) 2,993,600
Contracts
Long Options - 0.0% +++
U.S. 10 Yr. Treasury Note March '96
Call Expiring 2/17/96 8 10,750
Total Options (Cost - $4,625)
Face Amount (a) Value+
U.S. Treasury Obligations - 0.1% #
U.S. Treasury Bill, 5.340% due 3/28/96 ++ $ 50,000 $ 49,410
U.S. Treasury Bill, 5.170% due 6/6/96 ++ 10,000 9,784
Total U.S. Treasury Obligations (Cost - $59,378) 59,194
Repurchase Agreements - 7.6%
Investors Bank & Trust Company Repurchase
Agreement, 5.450% due 1/2/96; Issued 12/29/95.
(Collateralized by $1,903,797 FNMA Note,
7.500% due 6/1/22 with a market value of
$1,900,000; and $3,355,433 FNMA Note, 7.606%
due 11/1/22 with a market value of $3,430,000) 4,456,148 4,456,148
Morgan Stanley Repurchase Agreement,
5.960% due 1/2/96; Issued 12/29/95;
(Collateralized by $1,488,293 FNMA Note,
7.500% due 12/1/06 with a market
value of $1,535,965) 1,500,000 1,500,000
Morgan Stanley Repurchase Agreement, 5.750%
due 1/2/96; Issued 12/29/95 (Collateralized
by $895,000 U.S. Treasury Note, 8.875% due
5/15/00 with a market value of $1,016,384) 1,000,000 1,000,000
Total Repurchase Agreements
(Cost - $6,956,148) 6,956,148
Total Short-Term Securities
(Cost - $10,013,751) 10,019,692
Total Investments - 115.8%
(Cost - $102,132,733) 105,428,353
Other Assets and Liabilites - (15.8%)
Receivable for forward currency contracts 5,391,530
Receivable for securities sold 3,726,747
Other assets 1,495,259
Payable for securities purchased (18,309,500)
Payable for collateral on loaned securities (501,600)
Payable for forward currency contracts (5,456,554)
Other accrued expenses and liabilities (702,579)
Other assets and liabilities, net (14,356,697)
Net Assets - 100.0% $ 91,071,656
Applicable to 8,812,848 outstanding $.001
par value shares (authorized 500,000,000 shares)
Net asset value per share $ 10.33
Components of Net Assets as of
December 31, 1995 were as follows:
Capital stock at par value ($.001) $ 8,813
Capital stock in excess of par value 88,049,070
Accumulated net realized loss on investments,
financial futures and options contracts and
foreign-currency related transactions (155,453)
Net unrealized appreciation on investments,
financial futures contracts and on assets
and liabilities denominated in foreign
currencies 3,169,226
Net Assets $ 91,071,656
# 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) Face amount stated in U.S. dollars unless otherwise noted.
(b) 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 December 31,
1995, these securities were valued at $1,918,104 or 2.1% of net assets.
(c) Assets currently held (or a portion) in a segregated account as collateral
for TBAs.
(d) Collateral received for securities on loan at December 31, 1995 reinvested
as cash equivalents.
ARM Adjustable Rate Mortgage
FRN Floating Rate Note. Rate shown is the coupon rate at December 31, 1995.
MTN Medium Term Note
PO Principle-Only Obligation
TBA Security is subject to delayed delivery. See Notes to the Financial
Statements.
See Notes to the Financial Statements
TIFF SHORT-TERM FUND
December 31, 1995
GRAPH: Comparison of change in value of $10,000 investment in TIFF Short-Term
Fund and the Merrill Lynch 182-Day Treasury Bill Index. This ia an x-y
line graph wit x being the date (starting at 5/31/94 and ending at
12/31/95) and y being the value of the Fund and the Index.
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
6-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 6
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's aim (admittedly modest) is to outperform
its 6-month Treasury Bill benchmark net of all costs. In its first nineteen
months of operations, the Fund has outperformed this benchmark by 0.2% net of
expenses.
Investment Performance (For Periods Ended December 31, 1995)
Total Return
For the Year Since Since Inception
Ended Inception (Annualized)
(12/31/95) (5/31/94) (5/31/94)
TIFF Short-Term Fund 6.43% 9.68% 6.00%
Merrill Lynch 182-Day Treasury Bill Index 6.54% 9.47% 5.87%
TIFF SHORT-TERM FUND-STATEMENT OF NET ASSETS
Face Amount Value+
Asset-Backed Securities - 30.1%
Banc One Auto Trust, Ser. 1995-A, Class A2,
6.650% due 5/15/97 $ 1,993,139 $ 2,001,110
Bridgestone/Firestone Master Trust,
Ser. 1992-A, Class A, 6.250% due 12/1/99 208,333 208,639
CARAT Ser. 1993-2, Class A4, 4.700% due 5/15/97 695,293 694,312
CARAT Ser. 1992-1, Class A3, 5.750% due 12/15/97 823,714 823,971
Carco Auto Loan Master Trust, Ser. 1991-3,
Class A, 7.875% due 3/15/98 3,000,000 3,035,906
Case Equipment Loan Trust, Ser. 1994-C,
Class A1, 7.600% due 12/15/97 806,007 814,276
Caterpillar Financial Asset Trust, Ser.
1995-A, Class A1, 5.850% due 8/25/96 883,775 883,775
Cont. Home Equity Loan Trust, Ser. 1995-4,
Class A1, 6.400% due 11/15/96 1,727,645 1,743,302
Discover Card Trust, Ser. 1992-A, Class A,
5.500% due 5/16/98 937,500 935,737
Discover Card Trust, Ser. 1991-C, Class A,
7.200% due 4/16/98 500,000 500,120
First Deposit Master Trust, Ser. 1993-1,
Class A, 4.900% due 6/15/00 812,500 811,557
National Credit Card Trust, Ser. 1989-4,
Class A, 9.450% due 12/31/97 3,000,000 3,047,367
Navistar Financial, Ser. 1994-C, Class A1,
7.650% due 12/22/97 1,392,083 1,401,589
Premier Auto Trust, Ser. 1995-1, Class A2,
7.350% due 5/4/97 2,072,300 2,081,851
Premier Auto Trust, Ser. 1995-2, Class A2,
6.650% due 3/4/97 1,792,528 1,797,402
Prudential Bank & Trust Master Trust,
Ser. 1992-A, Class A, 6.250% due 7/15/98 1,458,333 1,458,434
Sears Credit Account Trust, Ser. 1991-A,
Class A, 8.850% due 3/15/98 4,000,000 4,027,716
Standard Credit Card Master Trust,
8.000% due 10/7/97 2,750,000 2,782,722
Total Asset-Backed Securities
(Cost - $29,063,582) 29,049,786
Bank Obligations - 34.2%
Abbey National p.l.c. Eurodollar CD,
5.750% due 1/2/96 4,000,000 3,999,259
Bank of America (London) Eurodollar CD,
5.780% due 1/24/96 4,000,000 4,000,124
Bank of Boston (Nassau) Time Deposit,
4.500% due 1/2/96 4,213,000 4,213,000
Bayerische Hypotheken Yankee CD,
6.430% due 4/19/96 4,000,000 4,009,834
NationsBank Texas N.A. FRN,
5.913% due 12/18/98 4,000,000 3,995,316
Seattle First National Bank, 5.800% due 1/3/96 4,000,000 4,000,000
Societe Generale Yankee CD, 5.750% due 3/8/96 4,000,000 4,000,000
West Deutsche Bank Time Deposit,
5.750% due 1/2/96 4,800,000 4,800,000
Total Bank Obligations (Cost - $33,022,217) 33,017,533
Commercial Paper - 28.6% #
Ford Motor Credit Corp., 5.480% due 3/29/96 4,000,000 3,943,373
Harvard University, 6.050% due 1/2/96 4,000,000 3,997,311
Koch Industries, 5.940% due 1/2/96 4,000,000 3,997,360
Sandoz Corp., 5.480% due 3/27/96 4,000,000 3,944,591
Student Loan Corp., 5.720% due 1/8/96 4,000,000 3,944,071
Sweden (Kingdom of), 5.600% due 4/4/96 4,000,000 3,894,222
Swedish Export Credit, 5.480% due 3/28/96 4,000,000 3,945,200
Total Commercial Paper (Cost - $27,666,129) 27,666,128
Corporate Obligations - 3.2%
FCC National Bank MTN FRN, 5.310% due 2/20/96 280,000 279,850
General Electric Capital Corp. FRN,
5.350% due 5/12/97 280,000 279,081
Wells Fargo & Co. FRN, 5.813% due 4/7/97 2,500,000 2,495,575
Total Corporate Obligations (Cost - $3,058,204) 3,054,506
U.S. Government and Agency Obligations - 0.5%
Federal Home Loan Bank FRN, 5.250% due 9/2/97 500,000 499,037
U.S. Government and Agency Obligations
(Cost - $500,000)
U.S. Treasury Obligations - 62.0% #
U.S. Treasury Bill, 5.315% due 4/4/96 (a) 500,000 487,008
U.S. Treasury Bill, 4.960% due 7/5/96 59,000,000 57,495,919
U.S. Treasury Bill, 5.020% due 12/12/96 2,000,000 1,906,464
Total U.S. Treasury Obligations
(Cost - $59,886,093) 59,889,391
Total Investments - 158.6%
(Cost - $153,196,225) 153,176,381
Other Assets and Liabilities - (58.6%)
Other assets 995,026
Accounts payable for securities purchased (57,495,918)
Other accrued expenses and liabilities (95,570)
Other assets and liabilities, net (56,596,462)
Net Assets - 100.0%
Applicable to 9,651,158 shares outstanding
$.001 par value
(authorized 500,000,000 shares) $ 96,579,919
Net asset value per share $ 10.01
Components of Net Assets as of December 31,
1995 were as follows:
Capital stock at par value ($.001) $ 9,651
Capital stock in excess of par value 96,620,005
Temporary overdistribution of net investment income (24,102)
Accumulated net realized (loss) on investments
and financial futures and options contracts (8,404)
Net unrealized (depreciation) on investments and
financial futures contracts (17,231)
Net Assets $ 96,579,919
+ See Note 2 to the Financial Statements.
# Interest rate represents yield to maturity at the time of purchase.
MTN Medium Term Note.
FRN Floating Rate Note. Rate shown is the coupon rate at December 31, 1995.
(a) Assets currently held (or a portion) in a segregated account as collateral
for financial futures contracts.
See Notes to the Financial Statements
STATEMENT OF OPERATIONS
Period from January 1, 1995 to December 31, 1995
Tiff Multi- Tiff Int'l.
Asset Fund* Equity Fund
Investment income
Interest $ 986,399 $ 860,779
Dividends (net of withholding taxes
of $9,779 for Multi-Asset Fund and
$315,929 for Int'l. Equity Fund) 1,399,493 2,255,943
Total investment income 2,385,892 3,116,722
Operating expenses
Investment advisory fees 98,784 181,406
Money Manager fees 110,009 356,496
Custodian fees 106,014 485,073
Administration fees 41,750 104,420
Shareholder recordkeeping fees 8,777 20,723
Audit fees 4,924 36,315
Legal fees 5,489 9,731
Insurance expense 3,688 10,003
Amortization of organizational costs 1,712 4,659
Registration filing fees 18,314 65,871
Miscellaneous fees and expenses 504 16,462
Total operating expenses 399,965 1,291,159
Investment income, net 1,985,927 1,825,563
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 2,294,882 (298,405)
Net realized (loss) on short sales (828,560) -
Net realized gain on financial futures
and options contracts 77,007 1,286,461
Net realized gain (loss) from foreign
currency-related transactions 29,616 (484,535)
Net unrealized appreciation on investments 4,682,885 10,420,081
Net unrealized appreciation on short sales 85,878 -
Net unrealized appreciation (depreciation)
on financial futures contracts 117,831 (213,221)
Net unrealized appreciation (depreciation)
on translation of assets and liabilities
in foreign currencies (31,752) 122,188
Net realized and unrealized gain on
investments, financial futures and
options contracts, short sales and
foreign currency-related transactions 6,427,787 10,832,569
Net increase in net assets resulting
from operations $ 8,413,714 $ 12,658,132
Commencement of Operations (March 31, 1995)
See Notes to Financial Statement
TIFF Emerging TIFF U.S.
Markets Fund Equity Fund
Investment income
Interest $ 236,102 $ 718,190
Dividends (net of withholding taxes
of $55,045 for Emerging 918,277 1,448,062
Markets and $2,049 for U.S.
Equity Fund)
Total investment income 1,154,379 2,166,252
Operating expenses
Investment advisory fees 78,017 123,379
Money Manager fees 514,047 256,118
Custodian fees 532,187 234,615
Administration fees 34,103 53,913
Shareholder recordkeeping fees 11,408 15,645
Audit fees 17,680 23,245
Legal fees 4,371 6,635
Insurance expense 4,318 6,712
Amortization of organizational costs 2,012 3,129
Registration filing fees 29,824 41,227
Miscellaneous fees and expenses 7,056 10,919
Total operating expenses 1,235,023 775,537
Investment income (loss), net (80,644) 1,390,715
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 (7,598,170) 7,505,196
Net realized (loss) on short sales - (131,883)
Net realized gain on financial
futures contracts - 3,187,797
Net realized (loss) from foreign
currency-related transactions (224,784) (457)
Net unrealized appreciation on investments 3,252,660 12,933,981
Net unrealized appreciation short sales - 82,936
Net unrealized (depreciation) on financial
futures contracts - (115,050)
Net unrealized (depreciation) on
translation of assets and
liabilities in foreign currencies (10,697) -
Net realized and unrealized gain (loss)
on investments, financial futures and
options contracts, short sales and
foreign currency-related transactions
(4,580,991) 23,462,520
Net increase (decrease) in net assets
resulting from operations $ (4,661,635) $ 24,853,235
See Notes to Financial Statements
TIFF TIFF
Bond Fund Short-Term
Investment income
Interest $ 5,525,883 $ 5,191,265
Dividends 76,028 -
Total investment income 5,601,911 5,191,265
Operating expenses
Investment advisory fees 75,577 25,534
Money Manager fees 124,645 164,742
Custodian fees 368,877 124,692
Administration fees 50,356 56,753
Shareholder recordkeeping fees 15,443 11,024
Audit fees 28,419 24,315
Legal fees 5,013 7,905
Insurance expense 6,413 7,002
Amortization of organizational costs 2,983 3,263
Registration filing fees 48,142 24,624
Miscellaneous fees and expenses 10,544 13,921
Total operating expenses 736,412 463,775
Waiver of investment advisory
and a portion of Money Manager
and administration fees - (106,989)
Total expenses 736,412 356,786
Investment income, net 4,865,499 4,834,479
Net realized and unrealized gain (loss)
on investments, financial futures and
options contracts, short sales and
foreign currency-related transactions
Net realized gain on investments 3,497,301 391,447
Net realized gain on financial futures
and options contracts 173,991 12,641
Net realized (loss) from foreign
currency-related transactions (148,729) -
Net unrealized appreciation (depreciation)
on investments 4,268,283 (9,875)
Net unrealized appreciation (depreciation)
on financial futures contracts (93,331) 2,613
Net unrealized appreciation on translation
of assets and liabilities in
foreign currencies 9,907 -
Net realized and unrealized gain on
investments, financial futures and
options contracts, short sales and
foreign currency-related transactions 7,707,422 396,826
Net increase in assets resulting from
operations $ 12,572,921 $ 5,231,305
STATEMENT OF CHANGES IN NET ASSETS
TIFF Multi- TIFF Int'l TIFF Int'l
Asset Fund Equity Fund Equity Fund
for the for the for the
period from Year Ended period from
3/31/95* to 12/31/95 5/31/94*
12/31/95 to 12/31/95
Increase (decrease) in net assets from
operations:
Investment income, net $ 1,985,927 $ 1,825,563 $ 373,852
Net realized gain (loss) from
investments, short sales, financial
futures and options contracts and
foreign currency-related transactions 1,572,945 503,521 (654,908)
Net unrealized appreciation (depreciation)
on investments, financial futures and
options contracts, short sales and
foreign currency-related transactions 4,854,842 10,329,048 (607,472)
Net increase (decrease) in net assets
resulting from operations 8,413,714 12,658,132 (888,528)
Distributions from:
Investment income, net 1,824,669 1,823,997 373,852
Amounts in excess of investment
income, net - - 46,147
Net realized gain on investments,
financial futures and options
contracts, short sales and foreign
currency-related transactions 267,895 - -
Distributions required for excise
tax purposes in excess of net realized
gain on investments, financial futures
and options contracts, short sales and
foreign currency-related transactions - - 658,310
Total distributions 2,092,564 1,823,997 1,078,309
Capital share transactions, net: 86,308,543 55,278,876 91,175,644
Total increase in net assets 92,629,693 66,113,011 89,208,807
Net assets
Beginning of period 10 89,308,767 99,960
End of period $ 92,629,703 $ 155,421,778 $89,308,767
(Over)/undistributed net
investment income $ 161,258 $ 133,197 $ -
See Notes to Financial Statements
* Commencement of Operations
TIFF TIFF TIFF U.S. TIFF U.S.
Emerging Emerging Equity Fund Equity Fund
Markets Markets for the for the
for the for the Year Ended Period from
Year Ended Period 12/31/95 5/32/94* to
12/31/95 from 12/31/94
5/31/94*
to 12/31/95
Increase (decrease) in net
assets from operations:
Investment income
(loss), net $ (80,644) $ 72,654 $ 1,390,715 $ 706,663
Net realized gain (loss)
from investments, short
sales, financial futures
and options contracts,
and foreign currency-
related transactions (7,822,954) (32,998) 10,560,653 54,454
Net unrealized appreciation
(depreciation) on
investments, financial
futures and options
contracts, short sales
and foreign currency-
related transactions 3,241,963 (5,917,826) 12,901,867 994,742
Net increase (decrease) in
net assets resulting
from operations (4,661,635) (5,878,170) 24,853,235 1,755,859
Distributions from:
Investment income, net - 41,438 1,568,391 706,663
Amounts in excess of
investment income, net 30,221 - - 31,843
Net realized gain on
investments, financial
futures and options
contracts, short sales
and foreign currency-
related transactions - - 8,397,640 54,454
Distributions required
for excise tax purposes
in excess of net realized
gain on investments,
financial futures and
options contracts, short
sales and foreign currency
-related transactions 3,005 297,222 - 857,680
Total distributions 33,226 338,660 9,966,031 1,650,640
Capital share
transactions, net: 14,148,260 56,249,037 36,840,480 58,067,837
Total increase in net assets 9,453,399 50,032,207 51,727,684 58,173,056
Net assets
Beginning of period 50,032,217 10 58,173,066 10
End of period $ 59,485,616 $ 50,032,217 $109,900,750 $58,173,066
(Over)/undistributed net
investment income $ - $ 36,226 $ (163,255) $ -
See Notes to Financial Statements
* Commencement of Operations
TIFF Bond TIFF Bond TIFF Short- TIFF Short
Fund Year Fund for Term Fund Term Fund
Ended the Period Ended for the
12/31/95 from 12/31/95 Period from
5/31/94* 5/31/94*
to 12/31/94 to 12/31/94
Increase (decrease) in net
assets from operations
Investment income, net
$ 4,865,499 $ 1,796,149 $ 4,834,479 $ 220,115
Net realized gain (loss)
from investments, short
sales, financial futures
and options contracts,
and foreign currency-
related transactions 3,522,563 (463,090) 404,088 17,020
Net unrealized
appreciation
(depreciation) on
investments, financial
futures and options
contracts, short sales
and foreign currency
-related transactions 4,184,859 (1,015,633) (7,262) (9,969)
Net increase in net
assets resulting from
operations 12,572,921 317,426 5,231,305 227,166
Distributions from:
Investment income, net 4,956,518 1,796,149 4,863,987 220,115
Amounts in excess of
investment income, net 39,178 12,110 15,940 2,906
Net realized gain on
investments, financial
futures and options
contracts, short sales
and foreign currency
-related transactions 3,085,563 - 398,719 17,020
Distributions required for
excise tax purposes in
excess of net realized
gain on investments,
financial futures and
options contracts, and
foreign currency-related
transactions - - 2,363 5,029
Total distributions 8,081,259 1,808,259 5,281,009 245,070
Capital share
transactions, net, 908,741 81,162,076 62,346,199 34,301,318
Total increase in net assets 11,400,403 79,671,243 62,296,495 34,283,414
Net assets
Beginning of period 79,671,253 10 4,283,424 10
End of period $91,071,656 $79,671,253 $96,579,919 $34,283,424
(Over)/undistributed net
investment income $ - $ 13,921 $ (24,102) $ -
FINANCIAL HIGHLIGHTS
TIFF Multi- TIFF Int'l. TIFF Int'l.
Asset Fund Equity Fund Equity Fund
for the Fiscal Year for the Period
Period from Ended from 5/31/94*
For a share outstanding 3/31/95*
throughout the period to 12/31/95
Net asset value, beginning
of period $10.00 $9.98 $10.00
Income from investment operations
Investment income, net + 0.26 0.15 0.05
Net realized and unrealized
gain on investments,financial
futures and options contracts,
short sales, and foreign currency
-related transactions 1.14 0.83 0.06
Total from investment operations 1.40 0.98 0.11
Less distributions from:
Investment income, net 0.24 0.14 0.04
Amounts in excess of
investment income, net - - 0.01
Net realized gain on investments,
short sales, financial futures and
options contracts and foreign
currency-related transactions 0.03 - -
Amounts in excess of net gain on
investments, options and financial
futures contracts, and foreign
currency-related transactions - - 0.08
Total distributions 0.27 0.14 0.13
Net asset value, end of period $11.13 $10.82 $9.98
Total return 13.87%(b) 9.85% 0.98%(b)(c)
Ratios/supplemental data
Net assets, end of period $ 92,629,703 $155,421,778 $89,308,767
Ratio of expenses to average
net assets 0.80%(a) 1.05% 1.08%(a)
Ratio of expenses to average
net assets before expense
waivers 0.80% (a) 1.05% 1.27% (a)
Ratio of net investment
income to average net assets 4.00% (a) 1.48% 0.95% (a)
Portfolio turnover 97.35% (b) 32.91% 14.71% (b)
+ Net of waivers which amounted to: n/a n/a 0.01
See Notes to Financial Statements
* Commencement of Operations
(a) Annualized
(b) Not Annualized
(c) Total Return would have been lower had certain expenses not been waived or
reimbursed
n/a Not applicable
TIFF TIFF TIFF TIFF
Emerging Emerging U.S. U.S.
Markets Fund Markets Fund Equity Fund Equity Fund
Fiscal Year for the Period Fiscal Year for the Period
Ended from 5/31/94* Ended from 5//31/94*
12/31/95 to 12/31/94 12/31/95 to 12/31/94
Net asset value,
beginning of period $9.24 $10.00 $10.02 $10.00
Income from investment
operations
Investment income, net + - 0.01 0.20 0.15
Net realized and
unrealized gain (loss)
on short sales,
investments, financial
futures and options
contracts, and foreign
currency-related
transactions (0.79) (0.71) 3.37 0.19
Total from investment
operations (0.79) (0.70) 3.57 0.34
Less distributions from:
Investment income, net (0.00) # 0.01 0.22 0.15
Amounts in excess of
net investment income 0.00 # - - 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,
financial futures
and options contracts,
short sales, and
foreign currency-related
transactions 0.00 # 0.05 - 0.16
Total distributions 0.00 # 0.06 1.23 0.32
Net asset value,
end of period $8.45 $9.24 $12.36 $10.02
Total return (8.39%) (6.97%)(b)(c) 36.02% 3.49%(b)(c)
Ratios/supplemental
data
Net assets, end of
period $59,485,616 $50,032,217 $109,900,750 $58,173,066
Ratio of expenses
to average net
assets 2.35% 1.83% (a) 0.93% 0.85% (a)
Ratio of expenses
to average net
assets before
expense waivers 2.35% 2.25% (a) 0.93% 1.06% (a)
Ratio of net
investment income
to average net
assets (0.15%) 0.40% (a) 1.67 2.52% (a)
Portfolio turnover 104.30% 26.37% (b) 109.89% 44.59% (b)
+ Net of waivers
which amounted to: n/a 0.01 n/a 0.01
TIFF TIFF TIFF TIFF
Bond Bond Short- Short-
Fund Fund Term Fund Term Fund
Fiscal Year for the Period Fiscal Year for the Period
Ended from 5/31/94* Ended from 5/31/94*
12/31/95 to 12/31/94 12/31/95 to 12/31/94
Net asset value,
beginning of period $9.68 $10.00 $10.00 $10.00
Income from investment
operations
Investment income, net + 0.67 0.36 0.58 0.28
Net realized and
unrealized gain (loss)
on investments,
financial futures and
options contracts,
short sales, and
foreign currency-
related transactions 1.01 (0.32) 0.05 0.02
Total from investment
operations 1.68 0.04 0.63 0.30
Less distributions from:
Investment income, net 0.66 0.36 0.58 0.28
Amounts in excess of
investment income, net 0.01 0.00 # 0.00 # 0.00 #
Net realized gain on
investments, short
sales, financial
futures and options
contracts and
foreign currency-
related transactions 0.36 0.00 0.04 0.01
Amounts in excess of
net gain on investments,
financial futures and
options contracts, short
sales, and foreign
currency-related
transactions - 0.00 0.00 # 0.01
Total distributions 1.03 0.36 0.62 0.30
Net asset value,
end of period $10.33 $9.68 $10.01 $10.00
Total return 18.07% 0.46% (b)(c) 6.43% (c) 3.10%(b)(c)
Ratios/supplemental
data
Net assets, end
of period $ 91,071,656 $79,671,253 $ 96,579,919 $34,283,424
Ratio of
expenses to
average net
assets 0.96% 0.62% (a) 0.42 0.40% (a)
Ratio of expenses
to average net
assets before
expense waivers 0.96% 0.94% (a) 0.54% 1.72% (a)
Ratio of net
investment income
to average net assets 6.34% 6.37% (a) 5.67% 4.98% (a)
Portfolio turnover 406.24% 162.06% (b) n/a n/a
+ Net of waivers
which amounted to: n/a $0.02 $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
December 31, 1995
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 December 31, 1995 was $69,551.
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.
The Funds hereby elect long-term capital gain dividends for the purpose of the
dividend paid deduction for the period ended December 31, 1995 as follows:
Unaudited
Fund Amount
Multi-Asset $ -
International Equity 291,918
Emerging Markets 1,559
U.S. Equity 1,973,001
Bond 123,264
Short-Term 11,865
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 issuers 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 December 31, 1995, 26% of the investments in securities held by Multi-Asset
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. The adviser waived
$25,534, and the administrator waived $14,448 for the Short Term-Fund during
the twelve-month period ended December 31, 1995. The Short-Term Fund's Money
Manager waived $67,007 in fees during the twelve-month period ended December
31, 1995.
Dividends to Shareholders
It is the policy of all Funds to declare dividends according to the following
schedule:
Fund Dividends from Net Capital Gains Dividends
Investment Income
Multi-Asset Semi-annually Annually
International Equity Semi-annually Annually
Emerging Markets Annual 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 Market 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 $350 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, 1995 to December 31,
1995 were as follows:
Purchases Purchase Sales Sales
Fund U.S. Government Other Securities U.S. Government Other Securities
Multi-
Asset $ 20,284,960 $ 109,416,113 $ 11,387,597 $ 39,634,771
Inter-
national
Equity - 91,847,908 - 35,751,868
Emerging
Markets - 63,071,258 - 50,316,698
U.S.
Equity - 107,334,39 - 78,011,349
Bond 209,914,691 79,434,494 205,518,913 66,268,346
Short-
Term 1,084,808,241 2,969,822,311 1,085,457,447 2,875,123,265
The components of net unrealized appreciation (depreciation) of investments
based on Federal tax cost at December 31, 1995 for each Portfolio were as
follows:
Net Appreciation Cost for Federal
Fund Appreciation Depreciation (Depreciation) Tax Purposes
Multi-
Asset $ 6,607,371 $ 1,868,492 $ 4,738,879 $ 100,799,833
Inter-
national
Equity 16,046,343 6,428,686 9,617,657 155,143,024
Emerging
Markets 3,303,462 6,696,625 (3,393,163) 64,998,549
U.S.
Equity 15,948,101 2,633,946 13,314,155 102,801,692
Bond 2,991,678 120,416 2,871,262 102,557,091
Short-
Term 41,650 65,310 (23,660) 153,200,041
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 December 31, 1995.
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 December 31, 1995, 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 $ 269,715
International Equity 1,303,393
Emerging Markets -
U.S. Equity 273,750
Bond 59,194
Short-Term 39,464
Appendix C of the Notes to the Financial Statements details each Fund's open
futures contracts at December 31, 1995.
Short Selling
Multi-Asset and U.S. Equity 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 December 31, 1995, 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
December 31, 1995, all collateral received was cash and was subsequently
invested in cash equivalents.
As of December 31, 1995, the value of the loaned securities outstanding and the
related collateral was as follows:
Value of Loaned
Securities Collateral
Multi-Asset $ 11,480,085 $12,546,009
International Equity 8,253,398 10,354,200
Emerging Markets 3,367,528 3,554,200
U.S. Equity 5,359,168 5,638,025
Bond 494,519 501,600
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
Minimum Maximum
TIFF Multi-Asset Fund
Bee & Associates 0.15 2.00
Blairlogie Capital Management 0.60* 0.95
Lazard Freres Asset Management 0.50** 0.50
A. Gary Shilling & Co., Inc. 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 + Fogler 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 Tress & 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
Forward Foreign Exchange Contracts as of December 31, 1995
Unrealized
Contract Cost/ Current Appreciation
Amount Proceeds Value (Depreciation)
Multi-Asset Fund
Buy Contracts
439,709 French Franc
expiring 1/31/96 $ 89,748 $ 90,023 $ 275
Sell Contracts
21,215,000 Austrian Schilling
expiring 3/22/96 2,096,344 2,117,716 (21,372)
4,936,525 Hong Kong Dollar
expiring 1/22/96 638,000 638,381 (381)
1,200,000,000 Italian Lira
expiring 3/22/96 739,826 749,848 (10,022)
Total $ (31,500)
International Equity
Fund
Buy Contracts
51,056 British Pound
expiring 1/3/96 $ 79,085 $ 79,218 $ 133
179,049 Malaysian Ringgit
expiring 1/4/96 70,547 70,508 (39)
Sell Contracts
20,981,675 Belgian Franc
expiring 2/29/96 715,000 716,561 (1,561)
3,518,158 French Franc
expiring 2/29/96 715,000 720,584 (5,584)
5,912,000 French Franc
expiring 3/20/96 1,189,537 1,211,219 (21,682)
1,021,235 German Mark
expiring 2/29/96 715,000 715,932 (932)
7,819,904 Hong Kong Dollar
expiring 1/22/96 1,010,650 1,011,254 (604)
142,170,000 Japanese Yen
expiring 1/4/96 1,500,000 1,378,864 121,136
178,795,752 Japanese Yen
expiring 2/29/96 1,787,600 1,748,084 39,516
1,143,285 Netherlands Guilder
expiring 2/29/96 715,000 716,964 (1,964)
2,061,120 Netherlands Guilder
expiring 3/20/96 1,280,199 1,294,007 (13,808)
8,950,000 Swedish Krona
expiring 3/20/96 1,332,838 1,342,460 (9,622)
Total $ 104,989
Emerging Markets Fund
Buy Contracts
134,688 Malaysian Ringgit
expiring 1/8/96 $ 53,038 $ 53,038 $ -
79,302 Malaysian Ringgit
expiring 1/5/96 31,227 31,228 1
Sell Contracts
25,533,750 Hong Kong Dollar
expiring 1/22/96 3,300,000 3,301,972 (1,972)
Total $ (1,971)
Bond Fund
Buy Contracts
5,600,000 Spanish Peseta
expiring 1/29/96 $ 45,610 $ 46,037 $ 427
Sell Contracts
287,488 Australian Dollar
expiring 1/29/96 211,382 213,574 (2,192)
11,285,300 Belgian Franc
expiring 1/29/96 379,884 384,828 (4,944)
234,724 Canadian Dollar
expiring 1/29/96 171,942 172,016 (74)
1,938,842 German Mark
expiring 1/29/96 1,377,343 1,388,746 (11,403)
1,208,725 Danish Krone
expiring 1/29/96 216,577 218,325 (1,748)
43,000,495 Spanish Peseta
expiring 1/29/96 347,628 353,502 (5,874)
5,489,172 French Franc
expiring 1/29/96 1,102,353 1,123,787 (21,434)
470,619 Great British Pound
expiring 1/29/96 721,929 729,756 (7,827)
55,000,000 Italian Lira
expiring 1/29/96 34,418 34,583 (165)
2,300,000 Japanese Yen
expiring 1/29/96 22,525 22,391 134
724,087 Netherlands Guilder
expiring 1/29/96 447,346 453,301 (5,955)
2,100,000 Swedish Krona
expiring 1/29/96 312,166 316,135 (3,969)
Total $ (65,024)
Appendix C
Futures Contracts as of December 31, 1995
Aggregate Aggregate Unrealized
Face Value Current Appreciation
Contracts When Opened Face Value (Depreciation)
Multi-Asset Fund
Long Futures Contracts
40 Mar '96 2 Year Note $ 8,346,953 $ 8,388,125 $ 41,172
25 Mar '96 Osaka Nikkei 695,009 717,054 22,045
23 Mar '96 SFE Ord Dex 963,111 954,982 (8,129)
2 Jan '96 Hang Seng Index 130,225 131,143 918
Short Futures Contracts
4 Mar '96 German Mark (348,000) (349,400) (1,400)
18 Mar '96 Japanese Yen (2,262,150) (2,198,925) 63,225
Total $ 117,831
International Equity Fund
Long Futures Contracts
139 Mar '96 Japanese Yen
CME $ 17,260,325 $ 16,980,588 $ (279,737)
76 Mar '96 SIMEX Nikkei 7,049,516 7,316,473 266,957
Total $ (12,780)
U.S. Equity Fund
Long Futures Contracts
20 Mar '96 S&P 500 $ 6,014,350 $ 6,184,500 $ 170,150
Total $ 170,150
Bond Fund
Long Futures Contracts
10 Mar '96 5 Year Treasury
Notes $ 1,090,970 $ 1,104,062 $ 13,092
Short Futures Contracts
12 Mar '96 10 Yr Treasury
Notes (1,334,282) (1,375,125) (40,843)
35 Mar '96 5 Year Treasury
Notes (3,831,016) (3,864,218) (33,202)
5 Mar '96 Euro Dollars (1,182,750) (1,183,500) (750)
4 Sep '96 Euro Dollars (945,900) (949,900) (4,000)
4 Mar '97 Euro Dollars (943,800) (948,800) (5,000)
4 Sep '97 Euro Dollars (941,900) (946,400) (4,500)
4 Mar '98 Euro Dollars (938,500) (944,500) (6,000)
10 Jun '96 Euro Dollars (2,357,150) (2,371,550) (14,400)
3 Jun '97 Euro Dollars (709,425) (710,700) (1,275)
3 Dec '96 Euro Dollars (710,250) (711,750) (1,500)
3 Dec '97 Euro Dollars (707,625) (708,675) (1,050)
Total $ (99,428)
Appendix C (Continued)
Futures Contracts at December 31, 1995
Aggregate Aggregate Unrealized
Face Value Current Appreciation
Contracts When Opened Face Value (Depreciation)
Short-Term Fund
Long Futures Contracts
37 Mar '96 Euro Dollars $ 8,748,950 $ 8,757,900 $ 8,950
37 Sep '96 Euro Dollars 8,769,825 8,786,575 16,750
25 Jun '97 Euro Dollars 5,916,944 5,922,500 5,556
Short Futures Contracts
74 Jun '96 Euro Dollars (17,535,801) (17,562,050) (26,249)
25 Jun '98 Euro Dollars (5,895,106) (5,897,500) (2,394)
Total $ 2,613
Appendix D
Capital Share Transactions
Period from 3/31/95*
to 12/31/95
Shares Amount
Multi-Asset Fund
Shares Sold 8,225,630 $ 84,836,448
Shares Reinvested 156,105 1,716,666
Exit/Entrance Fees - 368,847
Subtotal 8,381,734 86,921,961
Shares Redeemed (57,581) (613,418)
Net Increase 8,324,154 $ 86,308,543
* Commencement of Operations
Period From 5/31/94*
Year Ended 12/31/95
to 12/31/95
International Equity
Fund Shares Amount Shares Amount
Shares Sold 6,412,082 $ 64,757,197 8,847,879 $ 89,586,928
Shares Reinvested 144,840 1,544,842 103,473 1,031,628
Exit/Entrance Fees - 442,854 - 676,991
Subtotal 6,556,922 66,744,893 8,951,352 91,295,547
Shares Redeemed (1,136,430) (11,466,017) (11,928) (119,903)
Net Increase 5,420,492 $ 55,278,876 8,939,424 $ 91,175,644
* Commencement of Operations
Period From 5/31/94*
Year Ended 12/31/95
to 12/31/94
Emerging Markets Fund Shares Amount Shares Amount
Shares Sold 1,865,202 $ 16,108,997 5,422,431 $ 55,824,172
Shares Reinvested 1,336 16,905 33,910 313,332
Exit/Entrance Fees - 150,876 - 564,861
Subtotal 1,866,538 16,276,778 5,456,341 56,702,365
Shares Redeemed (244,472) (2,128,518) (42,720) (453,328)
Net Increase 1,622,066 $ 14,148,260 5,413,621 $ 56,249,037
* Commencement of Operations
Period From 5/31/94*
Year Ended 12/31/95
to 12/31/94
U.S. Equity Fund Shares Amount Shares Amount
Shares Sold 3,321,437 $ 38,880,399 7,086,212 $ 71,279,804
Shares Reinvested 680,636 8,414,015 144,196 1,457,573
Exit/Entrance Fees - 87,663 - 199,369
Subtotal 4,002,073 47,382,077 7,230,408 72,936,746
Shares Redeemed (918,330) (10,541,597) (1,422,881) (14,868,909)
Net Increase 3,083,743 $ 36,840,480 5,807,527 $ 58,067,837
* Commencement of Operations
Appendix D (Continued)
Capital Share Transactions
Period From 5/31/94*
Year Ended 12/31/95 to 12/31/94
Bond Fund Shares Amount Shares Amount
Shares Sold 8,398,526 $ 83,517,759 8,219,984 $ 81,065,201
Shares Reinvested 461,277 4,741,699 65,194 638,070
Exit/Entrance Fees - - - -
Subtotal 8,859,803 88,259,458 8,285,178 81,703,271
Shares Redeemed (8,277,360) (81,350,717) (54,774) (541,195)
Net Increase 582,443 $ 6,908,741 8,230,404 $ 81,162,076
* Commencement of Operations
Period From 5/31/94*
Year Ended 12/31/95 to 12/31/94
Short-Term Fund Shares Amount Shares Amount
Shares Sold 9,712,800 $97,319,382 3,559,046 $ 35,605,027
Shares Reinvested 491,240 4,949,767 9,582 95,921
Exit/Entrance Fees - - - -
Subtotal 10,204,040 102,269,149 3,568,628 35,700,948
Shares Redeemed (3,981,798) (39,922,950) (139,713) (1,399,630)
Net Increase 6,222,242 $ 62,346,199 3,428,915 $ 34,301,318
* Commencement of Operations
ADVISER MONEY MANAGERS
Foundation Advisers, Inc.
P.O. Box 5165 TIFF Multi-Asset Fund
Charlottesville, VA 22905 Bee & Associates, Inc.
phone (800) 984-0084 A. Gary Shilling & Co., Inc.
fax (804) 977-4479 TCW Funds Management, Inc.
Wellington Management Company
CUSTODIAN TIFF International Equity Fund
FUND ACCOUNTING AGENT Bee & Associates, Inc.
TRANSFER AGENT Delaware International Advisers, Ltd.
DIVIDEND DISBURSING AGENT Harding, Loevner Management, L.P.
Investors Bank & Trust Company Marathon Asset Management, Ltd.
P.O. Box 1537 Warburg Investment Management
Boston, MA 02205 International, Ltd.
May also include Money Managers
listed under TIFF Emerging
Markets Fund
FUND ADMINISTRATOR
AND DISTRIBUTOR TIFF Emerging Markets Fund
AMT Capital Services, Inc. BEA Associates
600 Fifth Avenue, 26th Floor Blairlogie Capital Management, Ltd.
New York, NY 10020 Emerging Markets 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 + Fogler Investment
Washington, DC 20005 Management
Eagle Capital Management
First Quadrant
Investment Research Company
INDEPENDENT ACCOUNTANTS Jacobs Levy Equity Management
Price Waterhouse LLP Kayne, Anderson Investment
160 Federal Street Management, Inc.
Boston, MA 02110 Martingale Asset Management, L.P.
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.
