ANNUAL REPORT TIFF
December 32, 1996 INVESTMENT Investment Management
PROGRAM for foundations
February 28, 1997
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 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.
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 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
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CONTENTS
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TIFF MULTI-ASSET FUND
PERFORMANCE GRAPH............................................... 1
SCHEDULE OF INVESTMENTS......................................... 2
TIFF INTERNATIONAL EQUITY FUND
PERFORMANCE GRAPH............................................... 8
SCHEDULE OF INVESTMENTS......................................... 9
TIFF EMERGING MARKETS FUND
PERFORMANCE GRAPH.............................................. 14
SCHEDULE OF INVESTMENTS........................................ 15
TIFF U.S. EQUITY FUND
PERFORMANCE GRAPH.............................................. 20
SCHEDULE OF INVESTMENTS........................................ 21
TIFF BOND FUND
PERFORMANCE GRAPH.............................................. 26
SCHEDULE OF INVESTMENTS....................................... 27
TIFF SHORT-TERM FUND
PERFORMANCE GRAPH.............................................. 30
SCHEDULE OF INVESTMENTS........................................ 31
STATEMENTS OF ASSETS AND LIABILITIES............................... 32
STATEMENTS OF OPERATIONS........................................... 38
STATEMENTS OF CHANGES IN NET ASSETS................................ 40
FINANCIAL HIGHLIGHTS............................................... 43
NOTES TO FINANCIAL STATEMENTS...................................... 49
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TIFF Multi-Asset Fund December 31, 1996
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GRAPH:
Policy Considerations: The Multi-Asset Fund provides Members with an
opportunity to delegate responsibility for asset allocation as well as manager
selection. Its return objective is to produce a five percent inflation-
adjusted return with sufficient consistency to induce its holders to "stay the
course": to adhere to investment policies that comport better with their goal
of preserving endowment purchasing power than do policies that place more
emphasis on controlling short-term volatility. The Fund seeks to outperform
its benchmark through three means: (1) active security selection within asset
class segments; (2) periodic shifting of assets among these segments; and (3)
judicious use of other commingled investment vehicles. The first and second
tools are wielded not by TIP's directors but rather by outside money managers
that they select.
Performance Evaluation: The Fund has generated a 30.6% return net of fees
since inception, a pace considerably in excess of its benchmark. The Fund has
also achieved its goal of generating an annualized return at least 5% above
CPI inflation, but this is unsurprising given the strong upward trend of
financial assets since the Fund commenced operations. 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 tilt away from U.S. stocks is the product of
strategic decisions by the Fund's managers, as distinct from a policy tilt by
the cooperative's directors. Happily, the performance drag caused by the
underweighting in U.S. stocks has been more than offset since the Fund's
inception by: (1) favorable security selection within asset classes; and (2)
relative gains produced by a policy tilt approved by the cooperative's
directors at year-end 1995 toward the Fund's "Specialized Equities" segment,
which comprises primarily energy-related shares. This tilt, which has
declined in recent months through the allocation of the Fund's large cash
inflows toward other segments, has proven especially profitable due to superb
performance by the Fund's "Specialized Equities" manager (Wellington). The
Fund has also profited greatly from its "Equity Substitutes" segment, which
employs absolute return-oriented strategies not readily available via
conventional mutual funds. The Fund's use of numerous managers in this
segment reflects the directors' interest in limiting manager-specific risk.
Investment Performance (For Periods Ended December 31, 1996)
Total Return (net of fees)
-----------------------------------------------------------
Year Ended Cumulative Since Annualized Since
Ended 12/31/96 Inception (3/31/95) Inception (3/31/95)
-----------------------------------------------------------
TIFF Multi-Asset Fund 14.7% 30.6% 16.4%
Multi-Asset Constructed
Index* 11.2 26.3 14.2
Average Global Flexible
Fund** 13.5 29.2 15.8
* 25% Wilshire 5000; 30% MSCI All Country World ex US Index; 15% Merrill
Lynch Treasury Bill Index + 5% per annum; 10% MSCI Global Resource-Related
Index; 15% Lehman Aggregate Bond Index; and 5% Lehman Majors ex US Bond
Index
** Comparative mutual fund averages provided by Lipper Analytical Services.
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TIFF Multi-Asset Fund / Schedule of Investments December 31, 1996
- --------------------------------------------------------------------------------
Long - Term Investments [90.2%] Shares Value +
Common Stock [52.8%]
U.S. Common Stock [20.5%]
Aerospace [0.5%]
Boeing Co. 3,900 $414,863
Gulfstream Aerospace Corp. * 9,740 236,195
United Technologies Corp. 5,800 382,800
Total 1,033,858
Airlines [0.5%]
AMR Corp. * 3,100 273,188
Continental Airlines - Class B * 8,764 247,583
Delta Air Lines, Inc. 4,000 283,500
UAL Corp. * 3,200 200,000
Total 1,004,271
Automobile Parts & Equipment [0.1%]
Miller Industries (Tennesse), Inc. * 9,750 195,000
Broadcasting [0.2%]
Clear Channel Communication Inc. * 6,200 223,975
Infinity Broadcasting Corp. * 4,900 164,763
Westwood One, Inc. * 4,800 79,800
Total 468,538
Chemicals [0.2%]
Carbide/Graphite Group, Inc (The) * 17,100 335,588
General Chemical Group, Inc 5,414 127,906
Total 463,494
Computer Software [1.3%]
Computer Sciences Corp. * 3,900 320,288
HMT Technology Corp. * 10,711 160,832
I2 Technologies, Inc. * 100 3,825
Inso Corp. * 1,400 55,650
Medic Computer Systems, Inc * 4,200 169,313
Micros Systems, Inc. * 3,723 114,482
Microsoft Corp. * 4,800 396,600
Netscape Communications Cor 2,700 153,563
Peoplesoft, Inc. * 4,000 191,750
Planar Systems, Inc. * 7,303 85,810
Platinum Technology, Inc. * 19,432 264,761
Rational Software Corp. * 1,900 75,169
Remedy Corp. * 6,000 322,500
Security Dynamics Technologies, Inc. * 5,300 166,950
Siebel Systems, Inc. * 3,400 91,800
Trident Microsystems, Inc. * 6,157 103,899
Xylan Corp. * 3,000 84,750
Total 2,761,942
Computers [0.5%]
Cisco Systems, Inc. * 6,900 439,013
Compaq Computer Corp. * 1,692 125,631
Electronic Data Systems Corp. * 3,800 164,350
Proxima Corp. * 4,667 60,088
Storage Technology Corp. * 5,300 252,413
Total 1,041,495
Construction [0.6%]
American Buildings Co. * 4,091 97,673
Caterpillar, Inc. 3,500 263,375
J. Ray McDermott, SA * 40,000 880,000
USG Corp. * 4,760 161,245
Total 1,402,293
Containers [0.1%]
Stone Container Corp. 10,515 $156,411
Drugs [0.4%]
Amgen, Inc. * 3,300 179,438
Biogen, Inc. * 3,200 124,000
Dura Pharmaceuticals, Inc. * 3,300 157,575
Johnson & Johnson 2,900 144,275
Matrix Pharmaceutical, Inc. * 6,398 39,188
Warner-Lambert Co. 2,400 180,000
Total 824,476
Electronics [2.9%]
Burr - Brown Corp. * 2,921 75,946
Catalina Lighting, Inc. * 157,650 768,544
Charter Power Systems, Inc. 974 29,707
Cypress Semiconductor Corp. * 4,868 68,761
Etec Systems, Inc. * 1,947 74,473
Exar Corp. * 4,868 75,454
Hewlett-Packard Co. 3,400 170,850
Hologic, Inc. * 10,546 261,014
Honeywell, Inc. 3,200 210,400
Innovex, Inc. 12,489 337,203
Intel Corp. 5,900 772,531
Maxim Intergrated Products, Inc. * 5,600 242,200
Tencor Instruments * 77,900 2,054,613
UCAR International, Inc. * 23,614 888,477
Vishay Intertechnology, Inc * 11,439 267,387
Total 6,297,560
Financial [0.9%]
ACE Cash Express, Inc. * 32,370 364,163
Associates First Capital Corp. * 4,900 216,213
ATC Environmental, Inc. * 513 4,745
Bay View Capital Corp. 9,411 398,791
Citicorp 3,500 360,500
Credit Acceptance Corp. * 1,600 37,600
CUC International, Inc. * 4,350 103,313
Green Tree Financial Corp. 6,700 258,788
Merrill Lynch & Company, Inc. 2,400 195,600
Washington Mutual, Inc. 2,434 105,423
Total 2,045,136
Foods [0.0%] +++
Chiquita Brands International 4,032 51,408
Health Care [0.4%]
Columbia/HCA Healthcare Corp. 7,650 311,738
Health Management Associates, Inc. Class A * 3,850 86,625
MedPartners, Inc. * 9,475 198,975
Omnicare, Inc. 2,700 86,738
Oxford Health Plans, Inc. * 1,500 87,844
PhyCor, Inc. * 5,200 147,550
Total 919,470
Insurance [0.7%]
CMAC Investment Corp. 8,792 323,106
Conseco, Inc. 9,686 617,483
Marsh & McLennan Companies, 1,400 145,600
PMI Group, Inc. (The) 2,707 149,900
Vesta Insurance Group, Inc. 7,868 246,859
Total 1,482,948
Leisure [0.2%]
Mirage Resorts, Inc. * 7,900 170,838
Regal Cinemas, Inc. * 2,500 76,875
YES! Entertainment Corp. * 28,858 185,773
Total 433,486
Machines [0.4%]
American Standard Companies, Inc. * 6,700 $256,275
Applied Magnetics Corp. * 7,303 218,177
BW/IP, Inc. 21,809 359,849
Total 834,301
Manufacturing [0.4%]
Lear Corp. * 7,000 238,875
Procter & Gamble Co. 3,100 333,250
Safeskin Corp. * 1,800 87,750
Xerox Corp. 2,400 126,300
Total 786,175
Medical Supplies [0.0%] +++
Physician Sales & Service, Inc. * 3,600 51,750
Metals [1.9%]
Algoma Steel, Inc. * 106,000 551,529
Alumax, Inc. * 7,000 233,625
Aluminum Company of America 5,700 363,375
Century Aluminum Company * 7,200 124,200
Easco, Inc. 56,000 427,000
Phelps Dodge Corp. 14,400 972,000
Santa Fe Energy Resources, Inc. * 80,000 1,110,000
Titanium Metals Corp. * 10,000 328,750
Total 4,110,479
Mining [0.6%]
Amax Gold, Inc. * 35,000 223,125
Freeport-McMoRan Copper & Gold, Inc - Class A 10,200 286,875
Newmont Mining Corp. 7,000 313,250
Santa Fe Pacific Gold Corp. 25,000 384,375
Total 1,207,625
Motor Vehicles [0.2%]
Chrysler Corp. 9,100 300,300
Ford Motor Co. 4,200 133,875
Total 434,175
Office Supplies [0.1%]
Harland (John H.) Co. 7,529 248,457
Oil Services [1.9%]
Anadarko Petroleum Corp. 5,000 323,750
Baker Hughes, Inc. 20,000 690,000
Camco International, Inc. 9,500 438,188
McMoRan Oil & Gas Co. * 60,000 131,250
Pride Petroleum Services 20,000 460,000
Snyder Oil Corp. 8,273 143,743
Tom Brown, Inc. * 15,000 313,125
Tuboscope Vetco International Corp. * 60,000 930,000
Union Texas Petroleum Holdings, Inc. 20,000 447,500
World Fuel Services Corp. 11,585 257,766
Total 4,135,322
Oil/Gas Exploration [1.0%]
Clayton Williams Energy, Inc. * 14,001 243,267
Devon Energy Corp. 4,378 152,136
Forcenergy Gas Exploration, Inc. * 2,921 105,886
Oryx Energy Co. * 44,591 1,103,627
Pogo Producing Co. 12,500 590,625
Total 2,195,541
Publishing [0.1%]
Westvaco Corp. 10,000 287,500
Railroads [0.2%]
Burlington Northern Santa Fe, Inc. 3,500 $302,313
MK Rail Corp. * 7,716 60,281
Total 362,594
Retail [0.8%]
Bed Bath & Beyond, Inc. * 7,100 172,175
Boston Chicken, Inc. * 8,200 294,175
Buffets, Inc. * 1 4
Cash America International, Inc. 12,469 105,987
Home Depot, Inc. 4,100 205,513
Just For Feet, Inc. * 3,600 94,500
99 Cents Only Stores * 3,542 58,000
PC Service Source, Inc. * 6,600 51,150
PetSmart, Inc. * 7,600 166,250
Starbucks Corp. * 2,700 77,288
Tandycrafts, Inc. * 1,100 6,600
TJX Companies, Inc. 5,500 260,563
Value City Dept Stores, Inc. * 13,978 146,769
Viking Office Products, Inc. * 3,300 88,069
Total 1,727,043
Services [1.6%]
AccuStaff, Inc. * 3,900 82,388
Apollo Group, Inc. - Class A * 3,200 107,000
Computer Learning Centers, Inc. * 16,180 461,130
Corporate Express, Inc. * 10,000 294,375
Corrections Corporation of America * 10,900 333,813
EmCare Holdings, Inc. * 5,843 135,850
First Data Corp. 5,400 197,100
Gartner Group, Inc. - Class A * 8,100 315,394
Global DirectMail Corp. * 1,700 74,163
HFS, Inc. * 4,500 268,875
Insurance Auto Auctions, Inc. * 2,888 27,436
Kimberly-Clark Corp. 2,100 200,025
MDL Information Systems, Inc. * 15,524 289,135
Mossimo, Inc. * 100 1,238
National TechTeam, Inc. * 5,200 104,000
Outdoor Systems, Inc. * 4,050 113,906
Paychex, Inc. 3,700 190,319
Robert Half International, Inc. * 3,000 103,125
Romac International, Inc. * 5,000 110,000
Snyder Communications, Inc. * 2,600 70,200
TeleTech Holdings, Inc. * 2,000 52,000
Total 3,531,472
Steel [0.3%]
Lukens, Inc. 30,000 603,750
Maverick Tube Corp. * 1,846 23,537
Quanex Corp. 2,826 77,362
Total 704,649
Telecommunications [0.9%]
Advanced Fibre Communications * 1,400 77,875
Ascend Communications, Inc. * 9,300 577,763
Cascade Communications Corp. * 6,200 341,775
Gilat Satellite Networks, Inc. * 5,400 132,975
LCI International, Inc. * 3,200 68,800
Lucent Technologies, Inc. * 2,300 106,375
Premisys Communications, Inc. * 3,400 114,750
USCI, Inc. * 122,000 655,750
Xpedite Systems, Inc. * 974 20,454
Total 2,096,517
Textiles [0.3%]
Authentic Fitness Corp. 21,401 256,812
Guess ?, Inc. * 36,508 524,803
Total 781,615
Tobacco [0.1%]
Philip Morris Companies, Inc. 1,600 $180,200
Transportation [0.2%]
USFreightways Corp. 14,919 409,340
Werner Enterprises, Inc. 1 9
Total 409,349
Total U.S. Common Stock
(Cost $39,951,398) 44,666,550
Foreign Common Stock [32.3%]
Australia [0.4%]
Australian National Industries Ltd. 145,000 144,076
CSR Ltd. 21,000 73,449
Goodman Fielder Ltd. 115,000 142,605
Petroleum Securities Australia-ADR * 16,270 370,143
Placer Pacific Ltd. 58,000 85,754
Total 816,027
Austria [0.8%]
Boehler - Uddeholm AG 2,460 175,909
VA Technologie AG 718 112,589
Vogel & Noot Waermetechnik AG * 15,850 339,288
Wolford AG * 8,502 1,027,499
Total 1,655,285
Belgium [0.1%]
Credit Communal Holding/Dexia * 1,740 158,620
Canada [5.0%]
Abacan Resource Corp. * 31,434 273,083
Agnico-Eagle Mines Ltd. 20,000 280,000
Alberta Energy Co. Ltd. * 50,000 1,200,000
Anderson Exploration Ltd. * 34,904 450,684
Barrick Gold Corp. 10,000 287,500
Cambior, Inc. 21,500 314,438
Canadian Natural Resources Ltd. * 30,278 830,557
Canadian Occidental Petroleum Ltd. 35,000 560,000
Chauvco Resources Ltd. - Class A * 70,000 720,090
Elan Energy, Inc. * 40,000 350,160
Euro-Nevada Mining Corp. 13,200 393,884
Franco-Nevada Mining Ltd. * 6,000 274,686
Gulf Canada Resources Ltd. * 92,282 680,580
Imperial Oil Ltd. 16,000 752,000
Livent, Inc. * 19,246 233,358
Magna International, Inc. - Class A 4,000 223,000
Memotec Communications, Inc * 70,000 367,669
Newport Petroleum Corp. * 21,667 143,834
PanCanadian Petroleum Ltd. 25,000 986,755
Placer Dome, Inc. 11,000 239,250
Royal Oak Mines, Inc. * 64,000 208,000
Talisman Energy, Inc. * 17,000 565,568
TVX Gold, Inc. (a) * 57,300 444,075
Upper Canada Brewing Co. Ltd * 695 2,028
Westmin Resources Ltd. * 26,289 127,531
Total 10,908,730
Denmark [1.1%]
InWear Group AS * 55,000 2,398,934
Finland [0.4%]
Benefon OY * 43,450 755,307
KCI Konecranes International * 4,874 153,567
Total 908,874
France [3.0%]
Accor SA Ordinary Shares 555 $70,237
AXA Co. 4,002 254,389
Business Objects SA - ADR * 6,780 91,530
Compagnie Financiere de Paribas - Class A 3,770 254,819
Compagnie Generale des Eaux 1,271 157,421
Credit National 15,645 900,458
Elf Gabon SA 920 234,807
Equipements et Composants pour
l'Industrie Automobile 13,550 2,093,249
Groupe Zannier SA 2,789 62,963
Le Carbone-Lorraine 2,687 508,260
Michelin (CGDE) - Class B 1,937 104,508
Scor SA 12,874 452,568
Societe Generale (Ord Shares) 870 94,013
Total Compagnie Francaise des Petroles SA - ADR 18,521 745,470
Total SA - Series B 1,200 97,544
Usinor Sacilor * 17,000 247,231
Valeo SA 2,170 133,757
Total 6,503,224
Germany [0.9%]
Bayer AG 4,320 176,166
Bayerische Motoren Werke (BMW) AG 159 110,784
Commerzbank AG 8,410 213,527
Deutsche Lufthansa AG 6,560 89,455
Metro AG * 1,037 81,479
SAP AG 384 52,239
Siemens AG 1,792 84,364
Sto AG - O.S. Vorzugs 1,925 895,000
VEBA AG 1,792 103,564
Volkswagen AG 232 96,416
Total 1,902,994
Hong Kong [2.1%]
Hung Hing Printing Group 4,769,052 1,726,465
Joyce Boutique Holdings 6,482,000 1,642,604
Sinocan Holdings Ltd. 2,225,000 1,093,154
Union Bank of Hong Kong Ltd. 98,470 124,130
Total 4,586,353
Indonesia [0.2%]
PT Bank Danamon 82,258 77,520
PT Bank Tiara Asia 35,500 38,342
PT Kedaung Indah Can 925,000 215,481
PT Steady Safe 47,970 61,461
Total 392,804
Ireland [0.3%]
Avonmore Foods plc - Class A 20,135 59,743
Bank of Ireland * 49,506 451,951
Bank of Ireland - Ord. Shares 21,613 197,149
CBT Group plc - ADR * 200 10,850
Total 719,693
Israel [0.2%]
ECI Telecommunications Ltd. 16,302 346,417
Orbotech Ltd. * 9,738 139,984
Total 486,401
Italy [2.4%]
Banca Popolare Commercio e Industria 5,799 76,021
Banco Popolare di Milano (BPM) 83,848 425,537
Ente Nazionale Idrocarburi SpA (ENI) 29,493 151,603
Industria Macchine Automatic * 70,000 274,374
Instrumentation Laboratory SpA - ADR * 225,000 2,278,127
Parmalat Finanziaria SpA 103,263 157,820
Shares Value+
Pirelli SpA 329,320 $608,092
Safilo SpA 60,000 1,033,399
Telecom Italia Mobile SpA 77,496 196,293
Total 5,201,266
Japan [1.5%]
Ajinomoto Co., Inc. 10,000 101,856
Casio Computer Co. Ltd. 12,000 92,810
Cleanup Corp. * 8,000 69,055
Dai-Ichi Kangyo Bank Ltd. 10,000 144,152
Fujisawa Pharmaceutical 14,000 125,680
Gunze Ltd. 24,000 124,506
Heiwa 7,000 109,970
Hitachi Ltd. 18,000 167,803
Japan Tobacco, Inc. 23 155,848
Kokusai Den (KDD) 600 41,329
Kokusai Electric 7,000 102,115
Kyokuto Kaihatsu Kogyo 5,000 66,897
Kyushu Matsushita Electric Co. 6,000 77,687
Matsushita Electric Works 19,000 163,513
Meiji Seika 23,000 119,318
Nippon Oil Co. Ltd. 23,000 118,127
Nippon Sheet Glass 25,000 88,692
Nippon Shinpan Co. 16,000 89,771
Nippon Telegraph and Telephone Corp. 24 181,890
S.T. Chemical Co. 10,000 70,781
Sakura Bank Ltd. 16,000 114,355
Seikagaku 8,000 84,937
Sekisui House Ltd. 12,000 122,227
Senshukai 6,000 61,631
Shochiku 8,000 69,055
Suntelephone Co., Ltd. 15,000 85,455
Tasaki Shinju Co. 12,000 93,845
Tochigi Fuji Industrial 15,000 86,232
Tokyo Electric Power 9,000 197,324
Yakult Honsha 7,000 72,508
Total 3,199,369
Netherlands [1.4%]
Baan Company NV 3,300 114,675
ING Groep NV 4,500 161,960
New Holland NV * 17,224 359,551
Philips Electronics NV 1,825 73,921
Polygram NV 1,320 67,214
Van Melle NV * 25,500 2,095,244
Wolters Kluwer NV 752 99,863
Total 2,972,428
Norway [0.7%]
Kverneland Gruppen AS 39,600 1,092,722
NetCom ASA * 47,412 453,440
Selmer AS 2,168 77,499
Total 1,623,661
Peru [0.1%]
CPT Telefonica del Peru SA - ADR * 11,647 219,837
Philippines [0.1%]
Bankard, Inc. * 400,000 143,184
Primetown Property Group * 109,619 22,959
Total 166,143
Portugal [0.0%] +++
Portugal Telecom SA - ADR * 3,091 87,321
Singapore [1.1%]
Electronic Resources Ltd. 2,100,000 2,477,123
Shares Value+
Spain [1.2%]
Azkoyen SA 19,402 $2,385,321
Iberdrola SA 9,503 134,525
Telefonica de Espana (Ordinary Shares) 5,135 119,111
Total 2,638,957
Sweden [2.9%]
ABB AB - Class B 1,297 146,870
Astra AB - Series B 2,158 104,141
Investment AB Bure 215,000 2,554,455
IRO AB * 100,000 1,217,455
Medical Invest Svenska AB * 2,243 60,208
Nobel Biocare AB 91,600 1,612,321
NordicTel Holdings AB * 18,535 405,092
Swedish Match AB * 50,000 176,018
Total 6,276,560
Switzerland [2.0%]
Adecco SA 409 102,479
Logitech International SA - Registered Shares * 10,050 1,427,685
Nestle SA 78 83,584
Novartis AG * 130 148,322
Osaka Stdium-wt '00 250 13,236
Roche Holding AG - Genusshein 18 139,799
Stratec Holding AG * 1,950 2,522,931
Total 4,438,036
Thailand [0.6%]
Siam City Bank Public Co. Ltd. 907,500 814,378
Thai Theparos Food Products * 170,000 610,222
Total 1,424,600
United Kingdom [3.8%]
Abbey National plc 14,812 194,080
British Petroleum Company plc - ADR 2,220 313,853
British Steel plc - ADR 15,000 412,500
BTR plc 11,495 55,916
Dixons Group plc 11,291 105,012
Eidos plc * 22,067 274,024
General Electric plc 19,580 128,445
JBA Holdings plc 183,190 1,678,635
Kingfisher plc 11,736 127,443
London & Scotland Marine Oil plc 100,000 409,359
McBride plc 141,414 331,833
National Westminster Bank plc 12,796 150,351
PizzaExpress plc 5,980 54,029
Powerscreen International plc 90,000 870,959
Premier Oil plc * 606,535 368,470
Reckitt & Colman plc 7,913 97,991
SmithKline Beecham plc 9,125 126,519
EMI Group plc 6,062 143,804
Victrex plc * 555,000 2,566,631
Wetherspoon (J.D.) plc 17 344
Total 8,410,198
Total Foreign Common Stock
(Cost $63,245,167) 70,573,438
Total Common Stock (Cost - $103,196,565) 115,239,988
Fixed Income Securities - [8.1%]
Face
Corporate Obligations [1.4%] Amount
Anheuser Busch Cos., 6.900% due 10/1/02 $100,000 100,245
Caterpillar, Inc., 9.000% due 4/15/06 225,000 256,241
Citicorp, 6.375% due 1/15/06 250,000 238,852
Enron Corp., 7.000% due 8/15/23 200,000 185,374
Ford Motor Co., 7.250% due 10/1/08 350,000 352,983
Face
Amount Value+
General Motors, 8.100% due 6/15/24 $145,000 $149,890
International Lease Finance, 5.750% due 12/15/99 150,000 147,505
Lockheed Martin, 7.250% due 5/15/06 250,000 253,938
Merrill Lynch & Co., Inc., 6.000% due 1/15/01 150,000 146,749
Merrill Lynch & Co., Inc., 6.500% due 4/1/01 100,000 99,468
NationsBank Corp., 7.500% due 9/15/06 250,000 256,617
Southwest Air, 9.250% due 2/15/98 150,000 154,929
Union Electric Co., 6.750% due 5/1/08 200,000 197,294
Wells Fargo & Co., 6.875% due 4/1/06 210,000 206,668
Willamette Industries, Inc., 7.850% due 7/1/26 250,000 259,721
Total Corporate Obligations
(Cost $2,959,356) 3,006,474
Mortgage- Backed Securities [2.1%]
Federal Home Loan Mortgage Corp.
(TBA), 8.000% due 6/1/26 306,533 312,587
7.000% due 3/1/26 431,165 423,080
7.000% due 7/1/26 793,031 778,375
7.500% due 5/1/11 637,264 646,873
7.500% due 6/1/11 376,875 382,293
Government National Mortgage Assn.
(TBA), 8.000% due 10/15/26 490,477 500,776
7.000% due 2/15/26 909,576 889,646
8.000% due 8/15/26 583,965 596,228
Total Mortgage- Backed Securities
(Cost $4,472,081) 4,529,858
U.S. Treasury Securities [4.6%]
U.S. Treasury Note
5.000% due 1/31/98 555,000 549,450
5.000% due 2/15/99 2,100,000 2,061,280
5.125% due 3/31/98 415,000 411,109
5.125% due 4/30/98 250,000 247,422
5.625% due 2/28/01 225,000 220,570
5.875% due 11/15/05 940,000 906,806
6.250% due 8/31/00 900,000 903,375
6.500% due 8/31/01 1,100,000 1,112,031
7.500% due 11/15/24 2,005,000 2,192,341
7.500% due 5/15/02 1,350,000 1,427,625
Total U.S. Treasury Securities
(Cost $9,915,528) 10,032,009
Total Fixed Income (Cost - $17,346,965) 17,568,341
Warrants [0.1%] Units
Electronic Resources Ltd. Expiring 7/17/07 * 274,200 163,681
Goto Co. Ltd. Expiring 6/13/00 (Japan) * 300 22,371
Tasaki Shinju Expiring 9/10/99 (Switzerland) * 150 5,705
Total Warrants (Cost - $68,982) 191,757
Investment Companies [20.3%] Shares
Euro-Partners Arbitrage Fund 2,738 4,800,169
GMO Currency Hedged Int'l Bond Fund 799,142 9,453,852
GMO Emerging Markets Stock Fund 194,066 2,105,617
GMO Global Bond Fund 115,877 1,202,800
GMO Japan Fund 276,243 2,085,637
GMO REIT Fund 110,152 1,385,716
GMO Short-Term Income Fund 981,405 9,500,000
GMO Small Cap Value III 64,443 995,000
Highbridge Capital Corp. 2,417 4,344,135
Innkeepers USA Trust 41,557 576,603
Shares Value+
S & P 500 Depositary Receipt 3,706 $273,665
TCW Galileo Asia Pacific Fund 83,900 897,726
TCW Galileo Latin America Fund 8,644 89,553
TCW Galileo High Yield Fund 517,865 5,132,046
Vega Offshore Fund 11,545 1,475,248
Total Investment Companies
(Cost $42,503,979) 44,317,767
Units
Limited Partnerships [8.9%]
Concentric Capital LP 2,755 $2,876,876
Farallon Capital Partners LP 5,133 6,726,144
Pomboy Capital LP 3,100 3,076,944
Value Realization Fund LP, The 596,710 6,841,338
Total Limited Partnerships
(Cost $17,498,000) 19,521,302
Total Long- Term Investments
(Cost $180,614,491) 196,839,155
Short- Term Investments [9.7%]
U.S. Treasury Securities [0.1%] # ++ Face
U.S. Treasury Bill Amount
4.990% due 6/5/97 $90,000 88,048
5.130% due 2/20/97 20,000 19,864
5.170% due 6/12/97 140,000 136,826
5.260% due 5/29/97 105,000 102,822
Total U.S. Treasury Securities
(Cost $344,886) 347,560
Long Options [0.2%]
Mar. '97 Japanese Yen $94 Call Expiring 3/17/97 503 75,450
Phila Gold & Silver Index $120 Call Expiring 3/22/97 500 287,500
Total Long Options (Cost $563,274) 362,950
Other Short- Term Investments [9.4%]
First National Bank of Boston (Time Deposit)
7.100% due 1/2/97 (a) 1,035,661 1,035,661
Investors Bank & Trust Company Repurchase
Agreement, 5.910% due 1/2/97; Issued
12/31/96; Proceeds $19,445,153
(Collateralized by $16,000,000 FHLMC
Fltr, 6.488% due 12/15/23 with a
market value of $16,267,910; #3,976,414
FNMA ARM, 7.740% due 2/1/24 with a market
value of $4,413,016) 19,438,770 19,438,770
Total Other Short- Term Investments
(Cost $20,474,431) 20,474,431
Total Short- Term Investments
(Cost $21,382,591) 21,184,941
Total Investments [99.9%]
(Cost $201,997,082) (b) 218,024,096
Other assets and liabilities, net [0.1%] 220,105
Net Assets - 100.0% $218,244,201
Short Portfolio [(0.8%)] Shares Value+
Common Stock
Aerospace [(0.0%)] +++
AlliedSignal, Inc. 1,383 $92,661
Electronics [(0.1%)]
Avnet, Inc. 4,000 233,000
Retail [(0.1%)]
Toys "R" Us, Inc. * 9,320 279,600
Retail- Restaurants [(0.1%)]
McDonald's Corp. 5,030 227,607
Canada [(0.0%)] +++
Upper Canada Brewing Co. Ltd. 695 2,028
Sweden [(0.1%)]
WM-Data AB 3,583 310,080
Switzerland [(0.1%)]
ESEC Holding AG * 52 189,426
United Kingdom [(0.2%)]
Reuters Holdings plc - ADR 4,350 332,775
Total Short Portfolio
(Proceeds - $1,588,650) $1,667,177
* 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 the yield to maturity
at the time of purchase.
TBA Security is subject to delayed delivery. See Notes to the
Financial Statements.
ADR American Depository Receipt
(a) Collateral received for securities on loan at December 31, 1996
reinvested in cash equivalents.
(b) Investment cost as determined for Federal income tax purposes is
substantially the same.
See Notes to the Financial Statements
- ------------------------------------------------------------------------------
- --
TIFF International Equity Fund December 31, 1996
- ------------------------------------------------------------------------------
- --
GRAPH:
Policy Considerations: The Fund is designed as a core vehicle for that
portion of a Member's assets committed to foreign stocks. Its benchmark
comprises virtually all non-U.S. stock markets, thereby permitting governing
boards to delegate to the Fund's managers responsibility for determining how
monies earmarked for foreign bourses should be allocated between developed
markets on the one hand and emerging markets on the other. (The Fund's
emerging markets exposure is normally 15% but may range as low as zero or as
high as 30%.) The Fund's vast selection universe translates into potentially
higher long-term returns than can be generated using a strictly domestic
approach, reinforcing the case for a material commitment by long-term
investors to non-U.S. stocks. The Fund is well diversified across countries
and currencies, an unsurprising fact in light of the diversity of managers and
investment approaches that the Fund employs. In an effort to limit currency
losses should the dollar continue strengthening, the Fund's managers continue
to hedge a portion of the Fund's foreign currency exposure.
Performance Evaluation: The Fund continued to produce strong returns during 4Q
1996, outperforming its benchmark (the MSCI All Country World ex US Index) by
330 basis points and boosting its cumulative edge over the Index since
inception to 1170 basis points net of fees (28.7% vs. 17.0%). The Fund has
also outperformed the average international equity fund by 900 basis points
since its inception. This is pleasing because, in theory, diversification
reduces rather than enhances returns, and the IEF's use of multiple managers
causes the Fund to be much more diversified than the average foreign stock
fund. Happily - and perhaps unsustainably - all of the Fund's managers have
outperformed their benchmarks during the time they have managed money for the
Fund. As was true during the two preceding quarters, the Fund benefited in the
fourth quarter from favorable country and stock selection in Europe; from a
material underweighting in Japan (~9%); and from the currency hedges -
especially vs. the yen - that its managers have maintained since the spring
of 1995. As always, the cooperative's staff used cash inflows to rebalance
Fund assets across managers, causing manager allocations at the start of 1997
to resemble closely what they had been three months earlier, the primary
exception being the allocation at year-end of 3% of Fund assets to a new
manager specializing in emerging markets (Everest Capital).
Investment Performance (For Periods Ended December 31, 1996)
Total Return (net of fees)
Year Ended Cumulative Since Annualized Since
Ended 12/31/96 Inception (5/31/94) Inception (5/31/94)
TIFF International
Equity Fund 15.9% 28.7% 10.2%
MSCI All Country
World ex US Stock
Index 6.7 17.0 6.3
Average International
Fund * 11.8 19.7 7.2
* Comparative mutual fund averages provided by Lipper Analytical Services.
TIFF International Equity Fund / Schedule of Investments December 31, 1996
Long-Term Investments [91.1%] Shares Value +
Common Stock [83.7%]
Europe [49.6%]
Austria [0.1%]
Mayr-Melnhof Karton AG 2,500 $122,255
Belgium [0.3%]
Electrabel SA 3,000 709,450
Denmark [0.5%]
Bang & Olufsen Holding AS - Series B 10,540 511,598
Coloplast - Class B 2,500 284,274
DSV, De Sammensluttede Vognmano AS 150 81,464
Falck A/S 750 224,025
Total 1,101,361
Finland [2.2%]
Benefon OY * 55,000 956,085
KCI Konecranes International * 6,700 211,099
Nokia AB 4,400 255,275
Outokumpo OY 18,800 320,680
OY Hartwall AB 52,600 2,308,772
UPM-Kymmeme OY * 18,000 377,436
Valmet Corp. OY - Class A 15,000 262,054
Total 4,691,401
France [5.4%]
ADA 3,000 236,926
Alcatel Alsthom 5,540 444,779
Arkopharma * 1,422 90,116
AXA Co. 3,301 209,830
Banque National de Paris 7,188 278,022
Boiron SA 725 84,908
But SA 1,000 58,750
Canal Plus 1,100 242,820
Cardif SA 500 68,863
Carrefour Supermarche 498 323,846
Cipe France SA 2,825 336,290
Clarins 1,492 218,761
Compagnie de Saint-Gobain 2,765 390,929
Compagnie Generale des Eaux 2,600 322,026
Dassault Systemes SA * 3,593 165,618
Dollfus-Mieg & Cie 1,500 36,348
Elf Aquitaine 7,427 675,676
Emin-Leydier 846 58,828
Financiere et Industrielle Gaz et Eaux 2,613 1,066,038
Grand Optical Photoservice 2,000 323,991
Group Axime (Ex Segin) * 12,750 1,473,562
Lectra Systemes * 130,000 383,126
Michelin (CGDE) - Class B 22,395 1,208,290
NRJ SA 2,000 253,491
Pechiney SA - A Shares * 12,073 505,571
Primagaz Cie 2,410 283,639
Schneider SA 10,000 462,102
Scor SA 7,000 246,075
Societe Television Francaise 1 2,700 257,960
Sodexho SA 452 251,619
Ste. Guilbert SA 2,040 398,844
Union Financiere de France Banque SA 1,600 172,590
Usinor Sacilor * 25,400 369,392
Total 11,899,626
Germany [6.1%]
Adidas AG 3,000 259,091
Bayer AG 57,300 2,336,650
Bayerische Mototen Werke (BMW) AG 500 240,260
Buderus AG 800 394,805
Daimler-Benz AG * 18,000 1,234,286
Shares Value +
Deutsche Bank AG 29,700 $1,386,643
Fresenius USA, Inc. * 15,000 389,610
Hoechst AG 7,000 330,455
Hornbach Baumarkt AG 11,000 348,571
Kiekert AG * 5,000 143,831
Mannesmann AG 600 259,870
Marschollek, Lautenschlaeger Und Partner 2,310 361,500
Muenchener Rueckversicherung AG 272 679,117
Pfeiffer Vacuum Technology AG - ADR * 105,600 1,900,800
Rhoen-Klinikum AG 1,620 169,364
Rhoen-Klinikum AG - Vorzugsakt 720 71,532
RWE AG 11,500 486,883
SGL Carbon AG * 3,000 377,922
Siemens AG 7,500 353,084
Sto AG - O.S. Vorzugs 2,800 1,301,818
VEBA AG 5,000 288,961
Total 13,315,053
Ireland [0.4%]
Independent Newspapers plc * 50,000 258,564
Irish Continental Group plc 20,116 143,248
Unidare plc 50,000 156,834
Waterford Wedgewood Units 251,435 323,995
Total 882,641
Italy [1.3%]
Banca Fideuram SpA 100,000 219,499
Banca Popolare Commercio e Industria 14,000 183,531
Brembo SpA * 10,000 140,646
Bulgari SpA * 14,700 298,261
Editoriale la Repubblica SpA * 35,000 48,534
Ente Nazionale Idrocarburi SpA (ENI) 60,000 308,419
Fila Holding SpA - ADR 2,000 116,250
Gabetti Holding SpA * 2,000 1,186
Gewiss SpA 9,000 118,577
Gucci Group NV - NY Regular Shares * 800 51,100
Industrie Natuzzi SpA - ADR 23,600 542,800
La Giovanni Crespi SpA 41,410 149,218
Olivetti Group * 684,250 239,983
Stet D Risp Non-Convertible 110,300 372,172
Total 2,790,176
Netherlands [4.5%]
Aalberts Industries NV 17,590 433,592
Draka Holding NV 7,156 238,920
Elsevier NV 33,000 557,574
IHC Caland NV 22,955 1,310,993
ING Groep NV 17,559 631,952
Internatio-Muller NV 10,320 259,164
Koninklijke Boskalis Westminster NV 7,606 154,039
Koninklijke Nedlloyd Groep NV 15,600 427,867
Philips Electronics NV 2,900 117,463
Polygram NV 5,400 274,968
Royal Dutch Petroleum Co. (Ordinary Share 4,100 718,603
Royal Dutch Petroleum Co. - NY Shares 14,400 2,458,800
Van Melle NV * 6,500 534,082
Wegener NV 4,067 377,001
Wolters Kluwer NV 10,900 1,447,489
Total 9,942,507
Norway [1.6%]
A/S Veidekke 5,000 160,704
Dolphin Interconn 8,333 99,996
Nera AS 3,300 142,799
Norman Data Defense * 5,000 98,774
Norsk Hydro AS - ADR 22,900 1,228,013
Olav Thon Eiendomsselskap AS 16,200 393,685
Schibsted Gruppen AS 24,700 455,027
Sensonor AS * 47,800 449,657
System Etikettering AS 10,000 153,648
Shares Value +
Tomra Systems AS - Ordinary Shares 11,603 $181,007
UNI Storebrand AS * 36,000 208,836
Total 3,572,146
Spain [3.7%]
Acerinox SA 2,200 317,526
Azkoyen SA 17,000 2,090,014
Banco Central Hispano SA 9,200 236,052
Banco de Santander SA 4,400 281,305
Banco Intercontinental Espanol (Bankinter 14,300 2,214,641
Centros Comerciales Pryca SA 15,900 336,398
Compania Espanola de Petroleos SA 3,500 106,632
Hidroelectrica del Cantabrico SA - Class 1,565 59,660
Iberdrola SA 47,400 670,996
Prosegur, CIA de Seguridad SA 30,000 276,966
Tabacalera SA 9,900 425,765
Telefonica de Espana (Ordinary Shares) 40,400 937,113
Viscofan Industria Navarra de Envolturas 17,500 255,809
Total 8,208,877
Sweden [4.9%]
Allgon AB - Class B 13,000 313,678
Assa Abloy AB - Class B 8,620 156,785
Astra AB - Series B 37,650 1,816,920
Autoliv AB - Ordinary Shares 6,000 263,146
Avesta - Sheffield * 21,000 226,403
BT Industries AB * 20,000 372,571
Diligentia AB * 9,990 157,525
Elekta Instrument AB 7,500 266,777
Hennes & Mauritz AB * 1,900 263,088
Hoganas B - Class B 9,000 315,512
Investment AB Bure 162,525 1,930,990
IRO AB * 105,000 1,278,328
Kinnevik AB 9,900 273,003
Munksjo AB 30,000 303,630
Nobelpharma AB (144A) (d) 79,000 1,390,539
OM Gruppen AB 12,500 375,871
Securitas AB - Class B 3,650 106,274
Skandinaviska Enskilda Banken 12,900 132,453
SSAB Svenskt Stal AB - Class A 14,800 246,395
Telefonaktiebolaget LM Ericsson AB Class 11,720 362,731
Trelleborg AB - Class B 21,400 284,078
Total 10,836,697
Switzerland [5.6%]
BBC Brown Boveri AG 8,050 1,944,966
Georg Fischer AG 200 207,308
Keramik Holding AG Laufen * 150 75,951
Logitech International SA Registered Shar 11,750 1,669,183
Nestle SA - ADR 28,600 1,530,403
Novartis AG * 1,227 1,399,933
Phoenix Mecano AG 300 156,600
Sarna Kunststoff Holding AG 150 141,499
SGS Societe Generale de Surveillance Hold 720 1,766,443
SGS Societe Generale de Surveillance Hold 1,250 548,098
SMH AG (Societe Suisse pour la Microelect 1,600 227,890
Stratec Holding AG * 1,825 2,361,204
TEGE SA * 1,430 111,969
Zehnder Holding AG - Class B 250 85,757
Total 12,227,204
United Kingdom [12.5%]
Airtours plc 40,000 558,373
Associated British Foods plc 80,000 663,881
Associated British Ports Holdings plc 92,400 452,631
Barclays plc 23,600 405,029
Shares Value +
Bass plc 56,000 $787,477
Bemrose Corp. plc 24,000 174,706
Berisford plc 225,000 547,240
Blue Circle Industries plc 98,000 595,883
Boots Co. plc 63,600 656,328
British Aerospace plc 17,000 372,705
British Airways plc 81,000 842,132
British Gas plc 92,000 354,550
Capita Group plc 30,000 249,212
Chubb Security plc 65,000 363,499
Cowie Group plc 64,882 450,076
Devro International plc 60,000 276,446
Domestic & General Group plc 5,000 162,716
EMI Group plc 17,000 403,279
Expro International Group plc 10,000 81,358
F.I. Group plc * 35,000 341,704
First Leisure Corp. plc 64,700 373,457
GKN plc 43,000 737,241
Goode Durrant plc 50,000 335,709
Granada Group plc 31,900 471,529
Grand Metropolitan plc 66,000 520,006
Great Universal Stores plc 47,000 492,670
Halma plc 60,000 194,139
Hanson Trust plc 115,600 162,360
Hyder plc 30,165 384,141
Imperial Tobacco plc * 11,560 74,844
Invesco plc * 180,480 800,637
Jarvis Porter Group plc 45,217 157,219
JBA Holdings plc 165,000 1,511,974
Ladbroke Group plc 115,000 455,005
LucasVariety plc * 100,000 381,098
Mackie International Group plc 9,375 23,283
Mentmore Abbey plc * 57,500 90,607
Nan E D & F Group plc 80,000 239,792
Oxford Molecular Group plc * 20,000 122,294
Provident Financial plc 52,000 449,781
Psion plc 22,500 170,338
Racal Electronic plc 80,000 352,837
Railtrack Group plc 88,000 584,818
Rentokil Group plc 217,000 1,639,098
RTZ Corp. * 96,400 1,548,768
Select Appointments Holdings plc 30,000 179,844
Serco Group plc 40,000 461,086
Seton Healthcare Group plc 48,000 374,076
Stagecoach Holdings plc 43,333 520,102
Taylor Woodrow plc 376,700 993,626
Thorn plc * 17,000 73,231
Toad plc * 110,000 160,147
Toad Rights 61,111 5,234
Trinity Holdings plc 65,800 317,820
Unigate plc 85,000 604,918
Vendome Luxury Group Units plc 37,100 337,423
Victrex plc * 345,000 1,595,473
Vodafone Group plc 81,700 345,641
WPP Group plc 119,100 516,106
Total 27,497,597
General Europe [0.5%]
Central European Media Enterprises Ltd. * 10,000 317,500
PartnerRe Ltd. 20,000 680,000
Total 997,500
Total Europe
(Cost $81,730,341) 108,794,491
Pacific [24.1%]
Australia [3.6%]
Amcor Ltd. 58,500 376,198
Shares Value +
Australia and New Zealand Banking Group Ltd. 195,469 $1,232,150
Australian National Industries Ltd. 352,080 349,835
Boral Ltd. 42,271 120,292
CSR Ltd. 165,191 577,765
Eastern Aluminum Ltd. 116,000 113,416
Elders Australia Ltd. 247,716 413,510
Gio Australian Holdings Ltd. 281,021 719,295
National Australia Bank Ltd. * 67,147 789,952
Pacific Dunlop Ltd. 178,020 452,826
Pasminco Ltd. * 320,000 503,649
QNI Ltd. * 178,000 357,975
Renison Goldfields Consolidated Ltd. 120,605 535,905
Santos Ltd. 200,000 810,798
Wesfarmers Ltd. 71,918 503,075
Total 7,856,641
Hong Kong [3.9%]
Cathay Pacific Airways Ltd. 115,000 181,395
Hong Kong & China Gas Co., Ltd. * 950,000 1,836,253
Hong Kong Electric Holdings Ltd. 240,000 797,466
Hutchison Whampoa Ltd. 230,000 1,806,516
Jardine Strategic Holdings Ltd. 230,812 835,539
Johnson Electric Holdings Ltd. 375,000 1,037,559
Joyce Boutique Holdings 3,770,000 955,356
Mandarin Oriental International Ltd. 311,806 439,646
Television Broadcasts Ltd. 150,000 599,263
Total 8,488,993
Japan [12.9%]
Amano Corp. 23,000 246,180
Atlantis Japan Growth Fund * 100,000 731,000
Brother Industries Ltd. 100,000 431,593
Canon Sales Co., Inc. 43,065 959,065
Canon, Inc. 80,000 1,767,803
Chiyoda Fire & Marine Insurance Co. 60,000 271,385
Daishinku 26,000 204,230
Eisai Co. Ltd 29,400 578,610
Fijitsu Denso 6,420 224,991
Fuji Oil 44,000 313,716
Fujikura Ltd. 60,000 480,621
Furkukawa Electric 126,000 597,100
Futaba Corp. 10,000 414,329
Gakken * 66,000 373,155
Heiwa 16,000 251,360
Hitachi Ltd. 127,000 1,183,944
Honda Motor Co. Ltd. 52,000 1,485,714
Intec 20,000 281,398
Ishikawajima-Harima Heavy Industries 194,000 862,408
Japan Air Lines * 30,000 159,258
Kao Corp. 54,000 629,262
Kawasho * 74,000 260,613
Kirin Beverage Corp. 20,000 269,314
Koito Manufacturing Co., Ltd. 23,000 153,863
Kubota Corp. 108,000 521,122
Kyokuto Boeki 28,000 174,018
Kyowa Hakko Kogyo 28,000 213,656
Matsushita Electric Industries Co. 30,000 489,426
Mitsubishi Corp. 34,000 352,180
Mitsubishi Heavy Industries Ltd. 179,000 1,421,493
Mitsui & Co. 132,000 1,071,040
Namco 24,000 735,434
Nichimo (Builder) 50,000 181,269
Nippon Oil Co. Ltd. 30,000 154,079
Nippon Suisan Kaisha Ltd. * 114,000 403,453
Nippondenso Co. Ltd. 62,000 1,493,138
Nomura Securities Co. Ltd. 34,000 510,660
Sankyo Seiko 36,000 198,878
Shiseido Co. Ltd. * 44,000 508,934
Showa Aircraft Industry 11,000 87,354
Showa Shell Sekiyu K.K. 20,000 166,595
Shares Value +
Sintokogio 50,000 $365,127
Sony Corp. 18,000 1,179,284
Stanley Electric Co., Ltd. 74,000 434,355
Sumitomo Corp. * 24,000 189,141
Sumitomo Electric Industries 16,000 223,738
Sumitomo Metal Industries * 300,000 738,023
Sumitomo Realty & Development 75,000 472,594
Sumitomo Rubber Industries 64,000 476,754
Sumitomo Trust & Banking 46,000 460,596
Toho Co. 20 2,900
Tokyo Broadcasting System 34,000 519,465
West Japan Railway Co. 135 436,987
Yamaha Motor Co. Ltd. 52,000 466,811
Yasuda Fire & Marine Insurance 88,000 457,281
Yushiro Chemical Industry 20,000 177,816
Total 28,414,513
New Zealand [0.7%]
Carter Holt Harvey Ltd. 127,000 288,671
Telecom Corp. of New Zealand Ltd. 143,000 731,085
Wrightson Ltd. * 527,400 459,346
Total 1,479,102
Singapore [3.0%]
Acer Computer International Ltd. * 240,000 412,800
Courts (Singapore) Ltd. 300,000 373,177
Development Bank of Singapore 128,500 1,736,238
Electronic Resources Ltd. 1,300,000 1,533,457
Jardine Matheson Holdings Ltd. 35,191 232,261
Keppel Corp. Ltd. 190,000 1,480,555
Singapore Land Ltd. 53,000 293,645
Singapore Press Holdings Ltd. 31,000 611,667
Total 6,673,800
Total Pacific
(Cost $51,600,304) 52,913,049
North America [3.4%]
Canada [2.6%]
British Columbia Telecom, Inc. 20,287 438,798
Canadian General Investments 165,200 1,723,340
Canadian Pacific Ltd. 26,000 689,000
Hudson's Bay Co. 26,218 436,074
Imperial Oil Ltd. 35,500 1,668,500
Noranda, Inc. 16,700 372,790
Rogers Communications, Inc. - Class B * 46,000 335,570
Total 5,664,072
United States [0.8%]
Seiler Pollution Control Systems * 15,000 55,313
Tencor Instruments * 65,500 1,727,563
Total 1,782,876
Total North America
(Cost $6,157,432) 7,446,948
Emerging Markets [6.6%]
Argentina [0.2%]
Quilmes Industrial SA - ADR * 18,500 168,813
Quilmes Industrial SA 37,000 296,000
Total 464,813
China [0.2%]
The Guangshen Railway Co. Ltd. * 1,352,000 585,584
India [0.0%] +++
Shiriram Industries - GDR * 6,000 900
Shares Value +
Indonesia [1.1%]
Indonesian Development Fund, Ltd. 25,400 $193,040
PT Bank International Indonesia 458,666 451,673
PT Citra Marga Nusaphala Persada 700,000 548,496
PT Gudang Garam - Foreign Shares 120,000 518,424
PT Steady Safe - Foreign Shares * 198,338 254,118
PT Wicaksana Overseas International * 380,000 434,562
Total 2,400,313
Korea [0.4%]
Cho Hung Bank Co. Ltd. - GDR * 36,930 276,975
Shinhan Bank - Ordinary Shares * 2,740 37,401
The First Korea Smaller Companies Fund * 40,000 490,800
Total 805,176
Malaysia [2.0%]
Carsberg AS 46,000 340,673
Nestle (Malaysia) Berhad 88,000 707,485
Nylex (Malaysia) Berhad 130,000 293,465
Resorts World Berhad 40,000 182,178
Rothmans of Pall Mall Berhad 35,000 367,327
Sime Darby Berhad* 615,800 2,426,618
Total 4,317,746
Mexico [0.7%]
Grupo Financiero Banamex Accival SA 168,000 351,406
Grupo Financiero Banamex Accival SA 5,040 9,582
Grupo Televisa SA - GDR * 20,700 530,438
Telefonos de Mexico SA - Class L ADR 15,200 501,600
Vitro Sociedad Aninima - ADR 26,000 143,000
Total 1,536,026
Peru [0.5%]
Banco Wiese - Sponsored ADR 170,250 1,000,219
Philippines [0.1%]
Philippine Long Distance Telephone Co. AD 2,900 147,900
Portugal [0.0%] +++
Somague - Sociedade Gestora de
Participacoes SA 4,250 44,143
South Africa [0.8%]
De Beers Consolidated Mines Ltd. - ADR 8,800 248,600
Free State Consolidated Gold - ADR 26,700 191,906
LibLife Strategic Investments Ltd. 306,089 916,630
SA Iron & Steel Industrial Corp. Ltd. 170,286 121,659
Safmarine and Rennies Holdings Ltd. * 39,500 88,717
South African Breweries Ltd. 2,757 69,883
South African Breweries Ltd. - ADR 6,945 175,944
Vaal Reefs Exploration & Mining Co. Ltd. 100 619
Total 1,813,958
Thailand [0.6%]
Siam Cement Co., Ltd., The 28,000 878,346
Siam City Bank Public Co. Ltd. 637,500 572,084
Total 1,450,430
Total Emerging Markets
(Cost $15,034,092) 14,567,208
Total Common Stock
(Cost $154,522,169) 183,721,696
Preferred Stock [0.4%]
Baumax AG (Austria) 1,000 28,142
Shares Value +
Krones AG Hermann Kronesder (Germany) 550 $199,286
Porsche AG (Germany) * 700 618,182
Total Preferred Stock (Cost $656,341) 845,610
Warrants [0.0%] +++ Units
Acer Computer Int'l Ltd. Expiring 7/31/01
(Singapore)* 48,000 16,128
Atlantis Japan Growth Fund Expiring 4/30/10
(Japan)* 20,000 21,076
Hong Kong & China Gas Expiring 9/30/97
(Hong Kong)* 23,000 12,787
Jardine Strategic Holdings Expiring 5/2/98
(Hong Kong) 6,812 2,725
Primagaz Cie Expiring 6/30/98 (France) * 400 9,939
TEGE SA Expiring 6/20/01 (Switzerland) * 2,680 18,186
Total Warrants (Cost $18,720) 80,841
Face
Convertible Bonds [0.9%] Amount (a)
Bangkok Bank Public Co. CVT, 3.250% due
3/3/04 (Thailand) $1,340,000 1,311,525
Guilbert SA CVT, 3.500% due 1/1/04 (France) 25,000 54,320
Far East Levingston Ship CVT., 1.500% due
5/02/01 (Singapore) 500,000 469,375
Total Convertible Bonds
(Cost $1,804,584) 1,835,220
Commingled Investment Vehicles [6.1%] Units
Lazard Freres Emerging World Investors LP 3,000 3,043,758
Investable Emerging Markets Country Fund 897,680 10,413,083
Total Commingled Investment Vehicles
(Cost $13,600,000) 13,456,841
Total Long-Term Investments
(Cost $170,601,814) 199,940,208
Short-Term Investments [13.5%]
Long Option [0.1%] Contracts
Mar. '97 Japanese Yen $94 Call Expiring 3/8/97 760 114,000
(Cost $220,719)
Face
U.S. Treasury Securities [0.9%] # ++ Amount
U.S. Treasury Bill, 5.260% due 5/29/97 $1,595,000 1,561,913
U.S. Treasury Bill, 5.170% due 6/12/97 575,000 561,962
Total U.S. Treasury Securities
(Cost $2,123,596) 2,123,875
Other Short-Term Investments [12.5%]
Harris Trust & Savings (Time Deposit),
6.500% due 1/2/97 (b) 2,000,000 2,000,000
First National Bank of Boston (Time Deposit)
due 7.100% due 1/2/97 9,797,825 9,797,825
Investors Bank & Trust Company Repurchase
Agreement, 5.190% due 1/2/97; issued
12/31/96; Proceeds $15,673,698
(Collateralized by $12,531,826) FHLMC
ARM, 7.542% due 10/1/24 with a market
value of $12,925,942; $3,399,902
FHLMC ARM, 7.803% due 5/1/24 with a
market value of $3,526,665) 15,668,554 15,668,554
Total Other Short-Term Investments
(Cost $27,466,379) 27,466,379
Total Short-Term Investments
(Cost $29,810,694) $29,704,254
Total Investments [104.6%] (c)
(Cost $200,412,508) 229,644,462
Other assets and liabilities, net (4.6%) -10,186,355
Net Assets - 100.0% $219,458,107
* 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 the yield to
maturity at the time of purchase.
ADR American Depository Receipt
GDR Global Depository Receipt
(a) Principal amounts in U.S. dollars
unless otherwise noted.
(b) Collateral received for securities on
loan at December 31, 1996 and reinvested
as cash equivalents.
(c) Investment cost as determined for
Federal income tax purposes is substantially the same.
(d) Security exempt from registration under Rule 144A of
the Securities Act of 1933. These securities may be
resold in transactions exempt from registration,
normally to qualified investors. At December 31, 1996,
these securities were valued at $1,390,539 of net assets.
See Notes to the Financial Statements
TIFF Emerging Markets Fund
December 31, 1996
GRAPH:
Policy Considerations: Investor perceptions of emerging markets did an about-
face between the fall of 1993 and early 1995: what was seen as a no-lose
proposition in late 1993 was seen as a no-win proposition by most investors a
year later - and is still regarded warily by many. Panic selling by
investors belatedly discovering that their time horizons are shorter than
they'd earlier supposed has spawned legitimate opportunities in emerging
markets - opportunities that persist despite emerging markets' modest rebound
since their lows in early 1995 (MSCI Emerging Markets Free Index up 11% in
U.S. dollar terms). But the fact that the opportunities being spawned derive
from shrinking investor time horizons as well as improving fundamentals makes
the short-term risks of investing in emerging markets substantial. For
foundations that have not invested in such markets previously, the wisest
course might be to eschew "pure plays" in favor of more diversified funds
whose managers are permitted but not compelled to invest in emerging markets
(e.g., the TIFF International Equity or Multi-Asset Funds; these two Funds'
normal allocations to emerging markets are 15% and 5%, respectively).
Performance Evaluation: Emerging markets as a group declined modestly during
4Q 1996, with the MSCI Emerging Markets Free Index falling 0.9%. The
securities held by the Fund outperformed the Index by almost 1% this quarter,
but expenses caused the Fund to outperform the Index by just 0.4%. Despite an
expense ratio that is lower than the average displayed by its peer group, the
Fund has underperformed the average emerging markets fund since its inception.
In a nutshell, the Fund's poor relative performance is attributable primarily
to two factors: first, given a lack of derivatives that would have enabled its
managers to transmute the Fund's initial capital from cash into equity
exposure pending the purchase of individual stocks, the Fund did not
participate fully in a huge rally in emerging markets that took place shortly
after its launch in the summer of 1994; second, the Fund's lead manager
(Emerging Markets Management) employs a value approach that has worked
extremely well over the long term but has been out of sync with prevailing
trends in emerging markets over the preceding year. EMM recently agreed to a
new performance-based fee arrangement.
Investment Performance (For Periods Ended December 31, 1996)
Total Return (net of fees)
Year Ended Cumulative Since Annualized Since
Ended 12/31/96 Inception (5/31/94) Inception (5/31/94)
TIFF Emerging Markets
Fund 2.5% (12.6)% (5.1)%
MSCI Emerging Markets
Free Index 3.9 (3.5) (1.4)
Average Emerging Markets
Fund * 11.2 2.1 0.8
* Comparative mutual fund averages provided by Lipper Analytical Services.
TIFF Emerging Markets Fund / Schedule of Investments December 31, 1996
Long-Term Investments [94.0%] Shares Value +
Common Stock [88.9%]
Latin America [19.9%]
Argentina [1.4%]
Argentina Fund, Inc. 36,000 $427,500
Argentinian Investment Co. * 13,099 183,386
Astra Cia Argentina de Petro 50,205 95,907
Compania International Bebidas y Alimentos 16,580 33,664
Compania Naviera Perez Companc 5,562 39,109
Compania Naviera Perez Companc - ADR 9,082 127,714
Dragados y Construcciones Argentina
Series B 8,472 31,353
Inversiones y Representacion - GDR * 874 27,859
IRSA, Inversiones y Representaciones SA
(144A) (a)* 23,189 74,451
Quilmes Industrial SA - ADR * 3,170 28,926
Siderar SAIC * 6,420 18,493
YPF-Sociedad Anonima ADR 6,900 174,225
Total 1,262,587
Brazil [4.1%]
Avipal SA - Avicultura e Agropecuaria 25,240,000 68,148
Brazil Fund, Inc. 80,100 1,782,225
Brazil Realty SA (144A) - GDR (a) * 5,700 108,300
Cemig Cia Energy SA - ADR 1,043 35,533
Cemig SA Energy - ADR 2,279 77,641
CESP-Compania Energetic de Soa Paulo * 3,100,000 134,873
Companhia Cimento Portland Itau 560,000 196,730
Companhia Vale Do Rio Doce - ADR 7,400 142,431
Eletricidade Sao Paulo 680,000 100,472
Light Participacoes SA * 133,000 32,261
Makro Atacadista SA * 59,000 40,321
Makro Atacadista SA - ADR * 4,100 27,675
Metalurgica Gerdau SA 7,097,591 160,548
Nakata SA - Industria e Comercio 150,000 34,652
Santista Alimentos SA * 33,000 76,550
Telecommunicacoes de Sao Paulo SA 10,156 2,195
Telecomunicacoes Brasileiras SA - Telebras 900,000 64,539
Telecomunicacoes Brasileiras SA Restricted -
ADR 20 2,366
Telecomunicacoes Brasileiras Telebras SA ADR 7,550 577,575
Total 3,665,035
Chile [2.7%]
A.F.P. Provida SA - Sponsored ADR 6,200 116,250
Chile Fund, Inc. 29,300 611,638
Chilectra SA - ADR * 7,000 361,258
Chilgener SA - ADR 3,400 70,975
Compania de Telecomunicaciones de Chile ADR 2,250 227,531
Enersis SA - ADR 16,800 466,200
Genesis Chile Fund 10,500 388,500
Santa Isabel SA - ADR 2,800 63,350
Vina Concha Y Toro SA - Sponsored ADR 7,500 176,250
Total 2,481,952
Colombia [0.7%]
Banco de Bogota 1 6
Banco Industrial Colombiano 41,500 144,574
Carulla y Compania SA - ADR 3,582 18,626
Cemento Argos SA (144A) (a) * 16,300 84,247
Cementos Paz del Rio - ADR * 7,700 97,579
Compania Colombiana de Tabaco SA 25,289 75,432
Computec SA 38,063 8,716
Exito 22,290 68,681
Pisos Asfalto y Vinilos Colo 11,000 8,211
Shares Value+
Suramericana de Seguros SA 4,367 $79,866
Total 585,938
Mexico [5.9%]
Acer Computec Latino America (144A) (a) * 14,300 250,822
Cemex SA de CV 137,380 493,194
Cemex SA de CV - Series B 20,000 77,772
Cifra SA de CV - Series A 20,000 25,060
Cifra SA de CV - Series C 54,000 65,464
Corporacion Industrial Sanluis SA de CV 33,000 204,650
Cydsa SA 28,600 51,972
Desc SA de CV - Series C * 645 3,299
Desc SA de CV - Sponsored ADR * 1,100 24,200
Desc Sociedad de Fomento Industrial SA * 35,000 191,254
Empaques Ponderosa SA 412,000 251,315
Empresas ICA Sociedad Controladora SA * 20,600 301,275
Far-Ben SA de CV 71,000 111,882
Fomento Economico Mexicano SA de CV 81,000 275,862
Grupo Corvi (144A) SA (a) 100,000 69,895
Grupo Financiero Banorte - Series B * 354,845 351,733
Grupo Financiero Inbursa SA de CV Class B 21,000 71,788
Grupo Industrial Saltillo SA de CV - Class A 60,000 185,284
Grupo Mexico SA - Series B 64,340 206,042
Grupo Posadas SA - GDR * 6,100 62,766
Grupo Posadas SA - Series A * 306,428 157,688
Grupo Televisa SA - GDR * 5,100 130,688
Grupo Televisa SA - Series CPO * 6,000 77,087
Industrias CH SA - Series B * 28,000 86,644
Ingenieros Civiles Asociados * 13,000 190,482
Mexico Fund 67,000 1,005,000
Sistema Argos SA - Series B 90,000 87,610
Telefonos de Mexico SA - Class L ADR 3,550 117,150
Transportacion Maritima Mexicana SA - Ser. A 30,000 145,824
Total 5,273,702
Peru [0.6%]
Banco de Credito del Peru - Series C * 4,623 82,636
Cementos Norte Pacasmayo * 19,317 26,088
Cervecer Backus & Johnston - "T" Shares 65,561 56,756
Compania de Minas Buenaventura * 3,155 23,065
Compania de Minas Buenaventura SA 24,823 181,469
Compania Goodyear del Peru 2,300 6,637
CPT Telefonica del Peru SA * 26,812 50,136
CPT Telefonica del Peru SA - ADR 3,000 56,625
Enrique Ferreyros SA 14,801 14,237
Minsur SA - Trabajo 10,198 35,509
Southern Peru Copper Corp. * 2,001 6,979
Total 540,137
Venezuela [1.1%]
Ceramicas Carabobo - ADR 44,900 49,017
Compania Anonima Nacional Telefonos de Venezuela 10,100 284,063
Electricidad de Caracas * 374,523 380,223
Mavesa SA 91,610 30,703
Mavesa, SA (144A) - ADR (a) 11,891 78,834
Siderurgica Venazolana Sivensa Class B (144A) - 927 3,317
Sudamtex de Venezuela - Class B 213,150 17,921
Venepal - GDR * 10,400 27,120
Venezolana de Cementos S.A.C.A. 24,700 67,492
Venezolana Pulpa y Papel - B Shares 80,000 23,205
Venprecar - GDS * 14,000 56,000
Total 1,017,895
Latin American Region [3.4%]
Ceteco Holding (144A) NV - ADR (a) 1,010 58,098
Latin America Investment Trust Fund * 500,000 845,000
Latin American Equity Fund 47,300 662,200
Shares Value+
Morgan Grenfell Latin American Trust plc 1,250,000 $ 1,498,700
Total 3,063,998
Total Latin America
(Cost $17,266,001) 17,891,244
Asia [34.2%]
China [2.7%]
China Fund, Inc. 35,000 459,375
China Yuchai International Ltd. * 10,700 48,150
Greater China Fund, Inc. 92,500 1,445,313
Qingling Motors Co. Ltd. (144A) (a) * 650,000 359,267
Yizheng Chemical Fibre Co. Ltd.-Class A * 224,000 54,447
Total 2,366,552
Hong Kong [3.6%]
C.P. Pokphand Co. Ltd. 1,712,000 669,571
Champion Technology Holdings * 910,056 172,963
Chen Hsong Holdings 96,000 58,336
Dong Fang Electrical Machinery Co. Ltd.
Class H* 162,000 56,552
Giordano International Ltd. 236,000 201,383
Goldlion Holdings Ltd. 330,000 270,929
Guangdong Investments 260,000 250,436
Guangshen Railway - Sponsored ADR * 3,400 70,125
Henderson China Holdings Ltd. * 22,000 50,061
Johnson Electric Holdings Ltd. 98,000 271,149
Kingboard Chemicals Holdings Ltd. 230,000 50,553
Lamex Holdings Ltd. 324,000 117,293
Lung Kee (Bermuda) Holdings Ltd. 317,500 94,415
M.C. Packaging Ltd. 240,000 83,005
New World Infrastructure Ltd. * 88,800 259,471
Singamas Container Holdings * 612,000 45,102
Sinocan Holdings Ltd. 442,000 217,157
Tian An China Investments * 205,000 29,420
Varitronix International Ltd. 163,000 295,042
Total 3,262,963
Indonesia [3.1%]
Indonesian Capital Fund, Inc. * 91,100 1,029,430
PT Astra Graphia 73,250 85,319
PT Astra International, Inc. 32,000 88,098
PT Bakrie & Brothers 388,000 160,229
PT Bank International Indonesia 168,177 165,613
PT Charoen Pokphand Indonesia 41,000 46,453
PT Dharmala Sakti Sejahtera 123,000 161,499
PT Indorama Synthetics 245,880 239,527
PT Jakarta International Hotels & Development 119,250 85,864
PT Mulia Industrino 126,610 131,383
PT Pakuwon Jati 241,500 94,616
PT Petrosea 36,000 35,832
PT Steady Safe * 117,030 149,943
PT Telekomunikasi Indonesia 143,500 247,676
PT Ultrajaya Milk Industry and Trading Co. * 35,250 16,423
Total 2,737,905
Korea [7.1%]
Han Wah Corp. * 13,550 147,964
Hyundai Engineering & Construction Co. 659 15,329
Hyundai Motor Co. Ltd. * 5,750 136,499
Hyundai Motor Co. Ltd. - GDR * 4,200 38,850
Hyundai Motor Co. Ltd. - GDR * 5,000 37,250
Keumkang Ltd. 400 18,279
Kookmin Bank * 11,940 165,814
Kookmin Bank - GDR 2,700 50,423
Korea Electric Power Corp. 29,090 849,393
Korea Exchange Bank 18,870 171,342
Shares Value +
Korea Fund, Inc. 21,000 $315,000
Korea Housing Bank * 1,000 14,006
Korea Mobile Telecommunications (144A) ADR (a) * 13,596 175,049
Korea Mobile Telecommunications Corp. 230 124,487
Namhae Chemical Corp. 1,860 65,128
New Korea Trust * 116,000 1,334,000
Pohang Iron & Steel Company Ltd. - ADR 28,240 571,860
Pusan Steel Pipe Corp. * 6,953 165,056
Samsung Display Devices Ltd. * 84 4,776
Samsung Electron Devices Co. Ltd. * 3,122 178,982
Samsung Electronics (144A) - GDR (a) 3,730 68,819
Samsung Electronics Co. * 8,880 479,573
Samsung Electronics Co. - New Shares * 1,350 72,908
Samsung Fire & Marine Insurance * 510 187,656
Seah Steel Corp. - New Shares * 22,530 534,837
Shinhan Bank - Ordinary Shares * 22,769 310,793
Sungmi Telecom Electronics 820 122,635
Taegu Department. Store Co. * 5 82
Total 6,356,790
Malaysia [2.5%]
Arab Malaysia Corp. Berhad * 1 5
Arab Malaysian Finance Berhad 1,000 5,584
Commerce Asset Holding Berhad 10,000 75,248
Genesis Malaysia Maju * 13,600 453,900
Genting Berhad 11,400 78,558
Guinness Anchor Berhad 49,000 120,317
IJM Corp. Berhad 105,000 247,426
Malakoff Berhad 28,000 137,505
Malaysian Pacific Industries Berhad 22,000 85,386
Pelangi Berhad 66,000 71,097
Perlis Plantations Berhad 46,250 143,787
Public Bank Berhad - Foreign Market 88,000 186,455
Road Builder (M) Holdings Berhad 26,000 147,248
Sime UEP Properties Berhad * 30,000 77,228
Star Publications 28,000 110,337
Sungei Way Holdings Berhad 58,000 172,277
United Engineers Ltd. 16,000 144,475
Total 2,256,833
Philippines [1.7%]
Ayala Land, Inc. - Series B 86,437 98,748
Benpres Holdings Corp. - GDR * 6,700 50,250
Crown Equities, Inc. * 271,800 18,631
First Philippine Fund, Inc. 61,100 916,500
First Philippine Holdings Corp. 27,168 62,075
Fortune Cement Corp. * 95,000 47,934
Manila Electric Co. 4,030 32,995
Metropolitan Bank & Trust Co. 2,715 67,203
Philex Mining Corp. - Class B * 1,006,200 114,950
Philippine Long Distance Telephone Co. ADR 2,450 124,950
PICOP Resources, Inc. 179,000 30,333
Total 1,564,569
Singapore [0.9%]
Datacraft Asia Ltd. 80,000 133,600
GP Batteries International Ltd. 47,000 156,040
IPCO International Ltd. 29,000 67,280
Roly International Holdings 225,000 164,250
San Teh Ltd. 196,240 119,248
Venture Manufacturing (Singapore) Ltd. * 77,500 192,808
Total 833,226
Taiwan [5.9%]
Acer, Inc. - GDR * 8,540 79,422
China Steel Corp. - ADR 12,600 250,425
Shares
Value +
China Steel Corp. - GDR 17,113 $340,967
Evergreen Marine Corp (144A) - Sponsored
GDR (a)* 25,000 496,875
Formosa Growth Fund Ltd. * 113,000 1,709,125
GVC Corp. - GDR * 3,819 29,629
GVC Corp. - Sponsored GDR 1,667 14,370
Hocheng Group Corp. - GDR 9,427 80,553
ROC Taiwan Fund * 63,600 651,900
Siliconware Precision - GDR - 5,760 63,936
Siliconware Precision Industries Co. - GDR * 33,340 370,074
Taipei Fund, The - Class B * 76 687,800
Taiwan Equity Fund, Inc. 10,000 101,250
Taiwan Index Fund 35,000 450,660
Total 5,326,986
Thailand [2.8%]
Alucon Public Co. Ltd. 15,000 73,156
Bangkok Bank Co. Ltd. 22,900 221,584
Bank of Asia, The 117,800 174,655
Bank of Ayudhya Ltd. 31,650 74,710
First Pacific Land, Ltd. * 255,858 66,884
Hana Microelectronics Public Co., Ltd. 30,600 157,597
Industrial Finance Corp. of Thailand (The) 63,734 170,339
MDX Co. Ltd. 117,900 85,101
Precious Shipping Ltd. 56,600 94,407
Raimon Land Co. Ltd. 76,000 28,467
Ramkamhaeng Hospital Co. Ltd. 17,400 26,816
Ruam Pattana Fund II * 1,916,000 784,940
Saha-Union Corp. Ltd. 61,000 52,361
Siam City Bank Co. Ltd. - Foreign Shrs. 133,950 125,431
Siam Syntech Construction Public Co. Ltd. 36,300 35,054
TelecomAsia Corp. * 51,800 108,127
Thai-German Ceramic Industry Co., Ltd. 22,300 26,102
The Siam Cement Co., Ltd. 5,500 172,532
The Thai Farmers Bank, Ltd. 9,800 61,178
Total 2,539,441
Asian Region [3.9%]
Asia Tigers Fund, Inc., The 152,800 1,661,700
Edinburgh New Tiger Trust 2,275,000 876,740
Govett Asian Smaller Companies Fund 240,000 937,224
Niugini Mining Ltd. * 10 25
Total 3,475,689
Total Asia (Cost $34,085,987) 30,720,954
Indian Sub-Continent [4.7%]
India [4.4%]
Arvind Mills Ltd. - GDR * 31,500 126,000
BSES, Ltd. (144A) - GDR (a) * 7,600 155,800
BSES, Ltd. (144A) - Sponsored GDR (a) * 16,400 344,400
East India Hotels Ltd. - GDR * 6,500 153,563
Grasim Industries Ltd. - GDR * 13,400 197,650
Gujarat Ambuja Cements - GDR * 44,140 380,708
Hindalco Industries Ltd. - Sponsored GDR * 16,920 336,200
India Cements Ltd. (144A) - GDR (a) * 12,600 31,500
India Cements Ltd. - GDR 7,600 19,000
India Fund, The - Class B 625,000 925,983
Industrial Credit & Investment Corp. of India -
(GDR)* 1,900 18,050
Industrial Credit & Investment Corp. of India
Ltd. (144A) - GDR (a)* 18,000 147,591
Larsen & Toubro Ltd. (144A) - GDR (a) * 2,600 31,751
Larsen & Toubro Ltd. - GDR * 18,520 268,540
Steel Authority of India, Ltd. - GDR * 16,000 123,934
Steel Authority of India, Ltd. - GDR
(S Shares) * 11,400 88,303
Tata Engineering & Locomotion - GDR 58,336 502,856
Shares Value+
Tata Hydro-Electric Power Supply Co. GDR 378 $117,180
Total 3,969,009
Pakistan [0.3%]
Bank of Punjab Ltd. * 7,800 3,133
Engro Chemicals Pakistan Ltd. * 13,196 44,283
Hub Power Co. Ltd. * 40,000 31,238
Nishat Textile Mills * 49,450 19,741
Packages Ltd. * 17,920 21,908
Pakistan State Oil Co. Ltd. * 12,822 82,856
Hub Power Co. Ltd. - Sponsored GDR 400 8,300
Pakistan Telecommunications - GDR * 440 29,700
Pakistan Telecommunications Corp. * 100 6,262
Total 247,421
Sri Lanka [0.0%] #
Aitken Spence Hotels Ltd. * 3,520 5,556
National Development Bank * 10,021 34,464
Total 40,020
Total Indian Sub-Continent
(Cost $5,371,309) 4,256,450
Europe and Middle East [12.9%]
Czech Republic [1.1%]
Czech Power Company AS, The * 2,600 93,557
Czeske Energeticke Zavody - GDR * 1,980 73,660
Deza Valasske Mezirici AS * 1,695 132,886
FAB AS * 210 25,857
Fatra Napajedla AS * 980 24,566
Kablo Kladno * 1,440 32,339
Komercni Banka I.F. * 6,882 174,029
SPT Telekom AS * 2,060 256,374
Zavody Presneho Strojiren ZL 120 7,057
Zivnobanka - Investicni Fond * 7,042 120,097
Zivnobanka - Podilovy Fond * 4,330 55,543
Total 995,965
Egypt [0.1%]
Suez Cement Co. (144A) - GDR (a) * 3,800 59,280
Greece [1.0%]
Alfa Beta Vassilopoulos SA 5,850 73,582
Alpha Credit Bank 2,927 186,433
Attica Enterprises SA 10,950 75,529
GEKAT (General Construction) SA 9,230 49,434
Hellenic Bottling Co., SA 5,080 162,937
Hellenic Technodomiki 5,820 70,607
Hellenic Telecommunications Organization
SA * 5,360 91,668
Michaniki SA 12,340 95,632
Sarantis SA 4,900 52,686
Total 858,508
Hungary [0.9%]
Borsodchem - GDR * 2,300 57,615
Julius Meinl International AG 13,490 385,855
Mol Magyar Olay - Es Gazi * 100 1,250
Mol Magyar Olay - Es Gazi - GDR * 8,200 103,73
Mol Magyar Olay - Es Gazi - Spons. GDR * 5,100 64,515
OTP Rt. * 2,700 48,453
Pannonplast Plastic Industries * 1,949 92,772
Soproni Sorgyar Brewery Ltd. * 710 17,360
Total 771,550
Israel [0.6%]
ECI Telecommunications Ltd. 3,530 75,013
First Israel Fund, Inc. * 38,700 459,563
Shares Value+
Tadiran Ltd. - Sponsored ADR 1,400 $39,375
Total 573,951
Poland [0.7%]
Bank Inicjatyw Gospodarczych SA 201,873 282,439
Bank Przemyslowo - Handlowy 276 17,851
Exbud SA * 20,486 189,883
Fabryka Kotlow Rafako SA * 14,600 83,239
Krosno 252 4,845
Pierwszy Polsko-Amerykanski Bank SA * 11,660 66,885
Polifarb Cieszyn 555 3,067
Total 648,209
Portugal [1.4%]
Banco Commercial Portugues 9,784 128,919
Banco Espirito Santo e Comercial de Lisboa 4,760 83,668
Corticeira Amorim SA 5,500 60,422
Engil - Sgps * 4,783 54,918
Estabelecimentos Jeronimo Martins & Filho 2,180 112,329
Investec Consultadoria International * 1,275 39,433
Mundicenter-Sociedade Imobiliaria, SA 2,500 62,822
Portugal Fund, Inc. 37,000 508,750
Portugal Telecom SA * 2,220 63,224
Sociedade Financeira de Turismo, SA * 3,600 55,670
Sonae Investimentos Sociedade Gestora de Partici 3,290 104,084
Total 1,274,239
Russia [3.2%]
Fleming Russia Securities Fund * 150,000 1,650,000
Gazprom (144A) - ADR (a) * 16,700 296,425
Lukoil Oil Co. - ADR * 2,900 134,850
Mosenergo - RDC (144A) - ADR (a) * 5,400 166,050
Mosenergo - Sponsored ADR 1,700 51,702
San Francisco/Moscow Teleport * 9,000 180,000
Tatneft (144A) - ADR (a) * 7,900 363,400
Total 2,842,427
Slovakia [0.3%]
Inzinierske Stavby Kosice 426 14,405
Nafta Gbely AS * 1,730 97,051
Plastika Nitra * 508 21,092
Vychodoslovenske Zeleziarne * 6,912 144,681
Total 277,229
Turkey [0.4%]
Akbank T.A.S. 1,056,500 155,834
Aksigorta 984,000 31,488
Alarko Holding AS 756,120 130,431
Enka Holding Yatirim AS 238,000 49,980
Total 367,733
United Kingdom [0.2%]
Lonrho plc 83,000 176,992
European Region [3.0%]
Baring Chrysalis Fund * 166,630 1,249,725
Baring Emerging Europe Trust * 1,270,000 1,485,900
Total 2,735,625
Total Europe and Middle East
(Cost $10,567,601) 11,581,708
Africa [3.3%]
Botswana [0.0%] #
Sechaba Investment Trust Ltd. * 39,000 25,637
Shares Value+
Ghana [0.2%]
Ashanti Goldfields Co. Ltd. - GDR 11,000 $137,500
Morocco [0.3%]
Omnium Nord Africain * 5,200 310,023
South Africa [2.6%]
AGA Holdings Ltd. 33,000 148,941
Anglo American Corp. of South Africa Ltd. 2,600 143,209
Anglovaal Ltd. 4,800 141,690
Barlow Ltd. 9,620 85,397
Bonnita Holdings Ltd. 24,256 18,678
De Beers Centenary AG 9,560 274,019
Driefontein Consolidated Ltd. 3,200 33,711
Gencor Ltd. 65,590 238,509
Gencor Ltd. - ADR 6,800 23,800
New South Africa Fund, Inc. 35,500 452,625
Old Mutual South Africa Trust 250,000 369,300
Sasol Ltd. 22,942 272,360
South African Breweries Ltd. 4,951 125,496
Total 2,327,735
Zimbabwe [0.2%]
Delta Corp. Ltd. * 11,409 40,124
Trans Zambezi Industries Ltd. - GDR * 40,000 95,000
Total 135,124
Total Africa 2,936,019
(Cost $3,126,741)
North America [0.1%]
Canada [0.1%]
Nelson Gold Corp. Ltd. * 81,175 53,296
(Cost $123,643)
General Emerging Markets [13.8%]
G.T. Global Developing Markets Fund 153,500 1,784,438
Investable Emerging Markets Country
Fund LP 764,632 8,869,731
TCW/DW Emerging Markets Opportunities
Trust 153,500 1,707,688
Total General Emerging Markets
(Cost $12,410,830) 12,361,857
Total Common Stock
(Cost $82,952,112) 79,801,528
Preferred Stock [2.6%]
Banco Bradesco SA (Brazil) * 4,171,383 30,034
Banco Nacional SA (Brazil) 4,900,000 0
CESP-Compania Energetica de Sao
Paulo (Brazil)* 1,100,000 42,892
Cia Energetica de Minas Gerais (Brazil) 6,856,500 233,632
Cia Tecidos Norte de Mina (Brazil) 410,000 130,869
Compania Vale Do Rio Doce (Brazil) 9,177 176,667
Cosigua-Siderur Guanabara (Brazil) 37,413,103 310,529
Dixie Toga SA (Brazil) * 110,839 84,284
Globex Utilidades SA (Brazil) * 3,000 48,802
IAP SA (Brazil) * 1,215,000 9,720
Industries Bebidas Antarctica da Paraiba
(Brazil)* 389,000 44,535
Iven SA (Brazil) 474,000 227,662
Marcopolo SA (Brazil) * 708,000 118,579
Michaniki SA (Greece) 8,470 56,189
Patroleo Brasileiro SA - Petrobras (Brazil) 2,496,000 397,613
Pettenati SA - Industria Text (Brazil) * 400,000 4,720
Sadia Concordia SA Industria e Comercio
(Brazil) 233,000 179,421
Shares Value+
Uniao de Bancos Brasileir (Brazil) 6,090,000 $198,534
Total Preferred Stock 2,294,682
(Cost $2,289,118)
Rights [0.0%] #
Sungei Way Holdings Rights * 5,800 13,782
(Cost $0)
Warrants [0.0%] #
Champion Technology Holdings
Expiring 6/30/98 (Hong Kong) * 230,011 8,624
GP Batteries International
Expiring 11/15/00 (Singapore) * 10,000 12,700
San Teh Ltd. Expiring 8/3/00 (Singapore) * 15,120 4,216
Singamas Containers
Expiring 6/30/97 (Hong Kong) * 36,800 167
Total Warrants (Cost $5,000) 25,707
Face
Convertible Bonds [2.5%] Amount (b)
Bangkok Bank Public Co., 3.250% due 3/3/04
(Thailand) $40,000 39,150
Compal Electronics (144A) CVT, 1.000% due
11/21/03 (Taiwan) (a) 190,000 190,950
Henderson Capital International CVT, 5.000%
due 10/27/96 (Europe) 140,000 119,700
Metropolitan Bank CVT, 2.750% due 9/10/00
(Europe) 23,000 30,130
Nan Ya Plastics Corp., 1.750% due 7/19/01
(Taiwan) 572,000 652,080
New World Infrastructure Ltd. (144A), 5.000%
due 7/15/01 (Hong Kong) (a) 51,000 60,308
Pacific Construction Co. Cvt., 2.125% due
10/1/98 (Taiwan) 200,000 181,208
Philippine Long Distance CVT., 5.750% due
12/31/49 (Philippines) 1,000 308
Teco Electric & Machine Cvt. (144A),
2.750% due 4/15/04 (Taiwan) (a) 50,000 36,750
Teco Electric & Machine, 2.750% due
4/15/04 (Taiwan) 520,000 388,050
U-Ming Marine Transport, 1.500% due
2/7/01 (Taiwan) 344,000 302,720
United Micro Electronics, 1.250% due
6/8/04 (Taiwan) 156,000 218,985
Total Convertible Bonds
(Cost $2,336,924) 2,220,339
Total Long-Term Investments
(Cost - $87,583,154) 84,356,038
Short-Term Investments [7.5%]
Harris Trust & Savings Bank
(Time Deposit), 6.500% due 1/2/97 (c) 3,000,000 3,000,000
First National Bank of Boston
(Time Deposit), 7.100% due 1/2/97 (c) 1,424,396 1,424,396
Investors Bank & Trust Company
Repurchase Agreement, 5.910% due 1/2/97
Proceeds $2,321,783; Issued 12/31/96
(Collateralized by $2,380,792 FHLMC ARM,
7.066% due 6/1/22 with a market value of
$2,437,221) $2,2,321,020 2,321,020
Total Short-Term Investments 6,745,416
(Cost $6,745,416)
Total Investments [101.5%] (d)
(Cost $94,328,570) 91,101,454
Other assets and liabilities, net [(1.5%)] $(1,365,653)
Net Assets - 100.0% $89,735,801
* Non-income producing security
# Rounds to less than 0.0%
+ See Note 2 to the Financial Statements
ADR American Depository Receipt
GDR Global Depository Receipt
GDS Global Depository Share
(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 buyers.
At December 31, 1996, these securities were
valued at $3,712,179 or 4.1% of net assets
(b) Face amount shown in U.S. dollars unless
otherwise noted.
(c) Collateral received for securities on loan
at December 31, 1996 reinvested in cash
equivalents.
(d) Investment cost as determined for Federal income tax
purposes is substantially the same.
See Notes to the Financial Statements
TIFF U.S. Equity Fund
December 31, 1996
GRAPH:
Policy Considerations: The Fund is designed as a core vehicle for that
portion of a Member's assets committed to U.S. stocks. Accordingly, it employs
a combination of managers that, collectively, provide exposure to all market
sectors (growth, value, large cap, small cap, etc.). The Fund's distinctive
structure reflects the belief that governing boards are ill-equipped to win
the difficult game of style rotation. Indeed, although most of the
cooperative's directors are full-time investment professionals, the board
prefers to delegate to the Fund's managers responsibility for making any
"style" tilts that it displays. The Fund's structure is distinctive not
because it entails broad diversification across sectors, but because it does
so by combining active strategies with a low cost "completeness" portfolio.
This structure was discussed at length in TIP's Quarterly Report dated June
30, 1995 (available on request). One final consideration: even though the
Fund is defensively positioned (see below), if the U.S. stock market falls
hard, the Fund will tumble too. Caveat emptor.
Performance Evaluation: The Fund has returned 71.4% since inception - 300
basis points better than its primary benchmark (the Wilshire 5000, +68.4%) and
1300 bp better than the average domestic stock fund (+58.4%). The Fund
outperformed the rapidly rising W5000 during 4Q despite: (1) an average
invested position of 90%; and (2) an underweighting in the very large stocks
that propelled broad market averages to new highs in December. Fortunately,
the Fund's small cap specialists have performed very well, as has Highbridge
Capital, an opportunistic hedge fund that emphasizes risk arbitrage. At year-
end, the Fund's invested position was 92%, and it remained underweighted in
the large stocks whose soaring capitalizations have boosted valuations on cap-
weighted indexes, such as the S&P 500, to unprecedented highs. The Fund
remains diversified across size sectors, but its managers are underweighting
the leviathans (e.g., GE, Coca Cola, Microsoft) whose relentless appreciation
has transformed S&P 500 index funds from a vaguely un-American curiosity into
a self-fulfilling sensation.
Investment Performance (For Periods Ended December 31, 1996)
Total Return (net of fees)
Year Ended Cumulative Since Annualized Since
Ended 12/31/96 Inception (5/31/94) Inception (5/31/94)
TIFF U.S. Equity Fund 21.9% 71.4% 23.1%
Wilshire 5000 Index 21.2 68.4 22.3
Average General [U.S.]
Equity Fund * 19.5 58.4 19.5
* Comparative mutual fund averages provided by Lipper Analytical Services.
- ------------------------------------------------------------------------------
- ----------------------------------------
TIFF U.S. Equity Fund / Schedule of Investments December 31, 1996
- ------------------------------------------------------------------------------
- ----------------------------------------
Long-Term Investments [86.5%] Shares Value +
Common Stock [77.6%]
Aerospace [1.0%]
AAR Corp. 41,000 $1,240,250
Fairchild Corp. (The) - Class A * 1,300 19,175
Litton Industries, Inc. * 4,200 200,025
Northrop Grumman Corp. 1,600 132,400
Precision Castparts Corp. 2,800 138,950
Total 1,730,800
Agriculture [1.3%]
Archer-Daniels-Midland Co. 17,100 376,200
Eastern Equities Corp. Ltd. (a) 450,000 286,781
Embrex, Inc. (a) * 68,700 446,550
Eskimo Pie Corp. 15,000 166,875
IBP, Inc. 34,700 841,475
Wrightson Ltd. (a) * 147,000 128,032
Total 2,245,913
Airlines [0.3%]
Atlantic Southeast Airlines, Inc. 8,200 179,375
Mesa Air Group, Inc. * 6,800 45,900
Midwest Express Holdings, Inc. * 1,100 39,600
SkyWest, Inc. 2,400 33,300
UAL Corp. * 3,000 187,500
Total 485,675
Banks [6.0%]
Banc One Corp. 10,500 451,500
Bank of Boston Corp. 4,700 301,975
Bankamerica Corp. 10,800 1,077,300
Bankers Trust New York Corp. 1,700 146,625
Chase Manhattan Corp. 18,600 1,660,050
Comerica, Inc. 7,900 413,763
First Bank System, Inc. 3,700 252,525
First Chicago NBD Corp. 17,900 962,125
First Colorado Bancorp, Inc. 1,900 32,300
First Union Corp. (NC) 19,218 1,422,132
HUBCO, Inc. 40,275 986,738
Mercantile Bancorporation 4,400 226,050
National City Corp. 6,600 296,175
NationsBank Corp. 14,700 1,436,925
Republic New York Corp. 1,600 130,600
Signet Banking Corp. 7,400 227,550
Wells Fargo & Co. 2,200 593,450
Total 10,617,783
Beverages [1.3%]
Anheuser-Busch Companies, Inc. 4,410 176,400
Canandaigua Wine Co., Inc. - Class A * 8,700 247,950
Coca-Cola Co. 35,900 1,889,238
Total 2,313,588
Business Machines [0.4%]
International Business Machines Corp. 5,100 770,100
Chemicals [3.2%]
Cabot Corp. 18,400 462,300
ChemFirst, Inc. (WI) * 27,500 635,938
Dow Chemical 15,800 1,238,326
EcoScience Corp. (a) * 440,300 454,037
EnSys Environmental Products, Inc. (a) * 295,500 591,000
FMC Corp. * 9,300 652,163
Lubrizol Corp. 8,500 263,500
Mississippi Chemical Corp. 14,403 345,674
Rogers Corp. * 30,000 813,750
Sealed Air Corp. * 3,200 133,200
Shares Value +
Union Carbide Corp. 2,800 $114,450
Total 5,704,338
Commercial Services [0.1%]
Caliber System, Inc. 6,200 119,350
Employee Solutions, Inc. * 3,000 61,500
Roadway Express, Inc. 3,300 63,938
Total 244,788
Computer Software [2.8%]
Allegro New Media, Inc. (a) 59,882 232,044
Applied Magnetics Corp. * 18,300 546,713
Broderbund Software, Inc. * 3,500 104,125
Clarify, Inc. * 1,300 62,400
Computer Associates International, Inc. 5,100 253,725
Fractal Design Corp. (a) * 36,500 383,250
Franklin Quest Co. * 2,600 54,600
Hutchinson Technology, Inc. * 1,000 76,000
Jack Henry & Associates 1,000 35,750
Measurex Corp. 2,400 57,600
Meridian Data, Inc. * 5,000 34,063
Metrowerks, Inc. (a) * 121,200 1,136,250
Micrografx, Inc. (a) * 60,400 324,650
Microsoft Corp. * 14,200 1,173,275
NETCOM On-Line Communication Services, Inc. * 5,500 71,500
Pixar, Inc. * 3,300 42,900
Project Software & Development, Inc. * 2,000 84,750
Proxima Corp. * 3,400 43,775
RadiSys Corp. * 1,500 73,125
StorMedia, Inc. - Class A * 4,000 64,500
Vantive Corp. * 2,800 87,500
Total 4,942,495
Computers [1.6%]
Apple Computer, Inc. 15,900 331,913
Compaq Computer Corp. * 11,200 831,600
Dell Computer Corp. * 8,600 456,875
Gateway 2000, Inc. * 5,300 283,881
Seagate Technology, Inc. * 9,000 355,500
Tandem Computers, Inc. * 23,300 320,375
Western Digital Corp. * 4,300 244,563
Total 2,824,707
Construction [0.4%]
ABT Building Products Corp. * 4,700 117,500
Champion Enterprises, Inc. * 2,700 52,650
Fibreboard Corp. * 1,500 50,625
Lone Star Industries, Inc. 2,400 88,500
Medusa Corp. 2,700 92,813
Schuller Corp. 17,500 185,938
U.S. Home Corp. * 3,400 88,400
Zurn Industries, Inc. 1,900 49,638
Total 726,064
Containers [0.6%]
Premark International, Inc. 13,000 289,250
Owens-Illinois, Inc. * 34,500 784,875
Total 1,074,125
Cosmetics [0.4%]
Johnson & Johnson 3,700 184,075
NBTY, Inc. * 3,100 58,900
Procter & Gamble Co. 4,100 440,750
Total 683,725
Electrical Utilities [2.5%]
Baltimore Gas and Electric Co. 11,100 296,925
Central Vermont Public Service 12,600 151,200
Consolidated Edison Company of New York, Inc. 20,700 605,475
Shares Value +
Dominion Resources, Inc. Virginia 7,700 $296,450
Entergy Corp. 36,400 1,010,100
Long Island Lighting Co. 25,900 573,038
MDU Resources Group, Inc. 150 3,450
Nevada Power Company 4,500 92,250
New York State Electric & Gas Corp. 14,000 302,750
Pinnacle West Capital Corp. 10,500 333,375
Public Service Enterprise Group, Inc. 10,000 272,500
TNP Enterprises, Inc. 1,300 35,588
Unicom Corp. 11,200 303,800
United Illuminating Co. 1,700 53,338
Utilicorp United, Inc. 4,700 126,900
Total 4,457,139
Electronics [6.2%]
American Power Conversion Corp. * 12,200 332,450
Atmel Corp. * 4,300 142,438
Belden, Inc. 6,000 222,000
Charter Power Systems, Inc. 25,000 762,500
Chips & Technologies, Inc. * 13,100 239,075
Etec Systems, Inc. * 2,500 95,625
FSI International, Inc. * 5,700 85,500
Genus, Inc. * 3,000 16,500
GPU, Inc. 11,300 379,963
HADCO Corp. * 1,700 83,300
Hubbell Inc. - Class B 2,100 90,825
II-VI, Inc. * 1,100 28,875
Innovex, Inc. 9,200 248,400
Intel Corp. 18,200 2,383,063
Jabil Circuit, Inc. * 5,600 224,000
Johnson Controls, Inc. 2,000 165,750
Kemet Corp. * 8,200 190,650
Kulicke & Soffa Industries * 5,100 96,900
Logicon, Inc. 2,100 76,650
MEMC Electronic Materials, Inc. * 9,000 202,500
Micrion Corp. * 2,400 52,200
Micron Technology, Inc. 8,300 241,738
Motorola, Inc. 9,200 564,650
Park Electrochemical Corp. 1,900 43,225
Perceptron, Inc. * 2,850 97,613
Philips Electronics NV - ADR 13,200 528,000
SBS Technologies, Inc. * 3,600 133,200
SCI Systems, Inc. * 11,400 508,725
Sensormatic Electronics Corp. 64,100 1,073,675
Silicon Valley Group, Inc. * 3,000 60,375
Speedfam International, Inc. 5,200 148,200
Texas Industries, Inc. 10,100 511,313
Thermo Instrument Systems, Inc. * 3,525 116,766
Veeco Intruments, Inc. * 2,200 48,400
Watkins-Johnson Company 4,300 105,350
Wyle Electronics 10,000 395,000
Xilinx, Inc. * 7,800 287,138
Zytec Corp. * 1,300 13,813
Total 10,996,345
Financial [3.9%]
Aames Financial Corp. 2,000 71,750
Bear Stearns Companies, Inc. 15,780 439,868
Capital One Financial Corp. 6,700 241,200
Cityscape Financial Corp. * 5,200 136,500
Community Bank System, Inc. 100 3,925
Corporate Investments Ltd. (a) * 880,000 411,264
Imperial Credit Industries, Inc. * 2,000 42,000
Inter-Regional Financial Group, Inc. 1,100 38,775
Merrill Lynch & Company, Inc. 7,400 603,100
Morgan Stanley Group, Inc. 3,800 217,075
North American Mortgage Co. 4,000 79,000
Olympic Financial Ltd. * 9,200 132,250
PHH Corp. 22,200 954,600
RAC Financial Group, Inc. * 8,400 177,450
Salomon, Inc. 19,300 909,513
Shares Value +
San Juan Basin Royalty Trust (a) 130,300 $1,074,975
St. Paul Companies, Inc. 5,800 340,025
Travelers Group, Inc. 20,800 943,804
Total 6,817,074
Foods [0.4%]
Quaker Oats Co. 4,100 156,313
Smithfield Foods, Inc. * 11,100 421,800
Supervalu, Inc. 5,100 144,713
Total 722,826
Health Care [2.5%]
Apria Healthcare Group, Inc. * 6,900 129,375
CNS, Inc. * 4,200 60,375
Columbia/HCA Healthcare Corp. 5,000 203,750
Health Management Assoc., Inc. Class A * 75 1,688
MedCath, Inc. * 3,100 49,600
Morrison Health Care, Inc. * 33,766 498,049
Pediatrix Medical Group, Inc. * 2,300 85,100
Pharmchem Laboratories (a) * 237,200 1,274,950
Protocol Systems, Inc. * 53,500 695,500
Transitional Hospitals Corp. * 11,500 110,688
Universal Health Services, Inc. Class B * 30,000 858,750
US Bioscience, Inc. * 5,900 74,488
Value Health, Inc. * 9,600 187,200
Vivra, Inc. * 6,750 186,469
Total 4,415,982
Hotels/Restaurants [0.7%]
Promus Hotel Corp. * 5,300 157,013
Ruby Tuesday, Inc. 47,300 875,050
Ryan's Family Steak House, Inc. * 39,200 269,500
Total 1,301,563
Housewares [0.9%]
Gillette Co. 5,700 443,175
Lancaster Colony Corp. 11,800 542,800
McKesson Corp. 3,900 218,400
O'Sullivan Industries Holdings, Inc. * 6,600 92,400
Singer Company N.V. (The) 16,500 369,188
Total 1,665,963
Insurance (Life) [0.1%]
Jefferson-Pilot Corp. 3,700 209,513
Insurance (Other) [3.2%]
Allmerica Property & Casualty Companies, Inc. 1,100 33,413
Allstate Corp. 3,200 185,200
American Bankers Insurance Group 3,200 163,600
Cigna Corp. 11,000 1,502,876
CNA Financial Corp. * 4,600 492,200
Commerce Group, Inc. 1,200 30,300
Delphi Financial Group, Inc. * 2,300 67,850
First American Financial Corp. 1,200 49,350
Fremont General Corp. 3,700 114,700
HCC Insurance Holdings, Inc. * 1,900 45,600
Lincoln National Corp. 8,900 467,250
Loews Corp. 13,600 1,281,800
Marsh & McLennan Companies, Inc. 1,700 176,800
Orion Capital Corp. 6,400 391,201
Pioneer Financial Services, Inc. 1,400 35,000
Safeco Corp. 2,000 78,875
Stanhome, Inc. 15,100 400,150
Washington National Corp. 2,000 55,000
Total 5,571,165
Leisure [0.7%]
Anchor Gaming * 1,200 48,300
Brunswick Corp. 400 9,600
Shares Value +
Callaway Golf Co. 5,900 $169,625
Coachmen Industries, Inc. 2,000 56,750
Coastcast Corp. * 6,400 92,800
Grand Casinos, Inc. * 4,600 62,100
Harrah's Entertainment, Inc. * 19,300 383,588
Oakley, Inc. * 26,100 283,838
Seattle Filmworks, Inc. * 1,700 34,638
Speedway Motorsports, Inc. * 4,000 84,000
Station Casinos, Inc. * 8,300 84,038
Total 1,309,277
Machines [1.5%]
Blount International, Inc. - Class A 4,600 176,525
Caterpillar, Inc. 15,700 1,181,425
Cincinnati Milacron, Inc. 6,700 146,563
Cooper Industries, Inc. 3,800 160,075
Deere & Co. 6,600 268,125
Dover Corp. 3,100 155,775
Giddings & Lewis, Inc. 11,800 151,925
Gleason Corp. 1,200 39,750
Global Industrial Technologies, Inc. * 2,300 50,888
Graco, Inc. 1,200 29,400
Manitowoc Co., Inc. 2,000 81,000
Novellus Systems, Inc. * 3,500 189,656
Total 2,631,107
Metals [1.2%]
Cleveland-Cliffs, Inc. 2,500 113,438
Coeur D'Alene Mines Corp. 7,300 110,413
Hecla Mining Co. * 16,500 92,813
Mueller Industries, Inc. * 2,300 88,550
Oregon Metallurgical Corp. * 25,800 832,050
RMI Titanium Co. * 3,200 90,000
Timken Co. 6,600 302,775
Trinity Industries, Inc. 9,800 367,500
Wolverine Tube, Inc. * 2,700 95,175
Total 2,092,714
Motor Vehicles [1.2%]
Chrysler Corp. 39,100 1,290,300
Ford Motor Co. 21,400 682,125
Polaris Industries, Inc. 3,500 83,125
Total 2,055,550
Oil Services [0.2%]
Camco International, Inc. 1,900 87,638
Global Industries Ltd. * 4,800 89,400
Seacor Holdings, Inc. * 3,600 226,800
Total 403,838
Oil/Gas (Domestic) [1.5%]
Consolidated Natural Gas Co. 5,800 320,450
Enron Global Power & Pipelines L.L.C. 2,300 62,100
Helmerich & Payne, Inc. 4,300 224,138
National Fuel Gas Co. 22,100 911,625
Phillips Petroleum Co. 14,400 637,200
Tesoro Petroleum Corp. * 18,500 259,000
Unocal Corp. 7,000 284,375
Total 2,698,888
Oil/Gas (International) [2.3%]
Amoco Corp. 7,700 619,850
Chevron Corp. 11,700 760,500
Exxon Corp. 10,400 1,019,200
Mobil Corp. 6,300 770,175
Newfield Exploration Company * 2,200 57,200
Texaco, Inc. 9,300 912,563
Total 4,139,488
Shares Value +
Paper/Forest Products [0.9%]
Champion International Corp. 3,700 $160,025
Consolidated Papers, Inc. 2,500 122,813
International Paper Co. 12,100 488,538
Kimberly-Clark Corp. 9,300 885,825
Total 1,657,201
Pharmaceutical [5.0%]
Abbott Laboratories 24,800 1,258,600
American Home Products Corp. 11,300 662,463
Bristol-Myers Squibb Co. 14,200 1,544,250
Eli Lilly & Co. 6,300 459,900
Genentech, Inc. (Special Common) * 2,700 144,788
ICN Pharmaceuticals, Inc. 4,800 94,200
Medicis Pharmaceutical Corp. Class A * 1,200 52,800
Merck & Company, Inc. 20,600 1,632,550
Owens & Minor, Inc. Holding Company 50,800 520,700
Pfizer, Inc. 12,800 1,060,800
Schering-Plough Corp. 21,200 1,372,700
Total 8,803,751
Producer Goods [2.3%]
American Brands, Inc. 4,400 218,350
Applied Materials, Inc. * 12,100 434,844
Bush Industries, Inc. - Class A 2,700 51,975
Case Corp. 6,900 376,050
Cummins Engine 6,400 294,400
Esterline Technologies Corp. * 1,400 36,575
Freeport McMoRan, Inc. 5,200 167,050
General Electric Co. 12,500 1,235,938
Griffon Corp. * 2,600 31,850
Harsco Corp. 1,500 102,750
Miller Herman, Inc. 2,200 124,575
National Service Industries 2,700 100,913
NCI Building Systems, Inc. * 2,300 79,350
PPG Industries, Inc. 2,000 112,250
Volt Information Sciences, Inc. * 10,000 437,500
Vulcan Materials Co. 2,900 176,538
Total 3,980,908
Publishing [1.6%]
American Greetings Corp. Class A 11,100 314,963
Bowne & Co., Inc. 2,800 68,950
Media General, Inc. - Class A 5,100 154,275
National Education Corp. * 107,200 1,634,800
Pulitzer Publishing Co. 1,066 49,436
Steck-Vaughn Publishing Corp. * 37,000 425,500
Washington Post Company Class B 500 167,563
Total 2,815,487
Railroad [1.0%]
CSX Corp. 26,900 1,136,525
Illinois Central Corp. 7,500 240,000
Norfolk Southern Corp. 5,400 472,500
Total 1,849,025
Retail (Foods) [0.3%]
Earthgrains Company * 1,600 83,600
Safeway, Inc. * 8,600 367,650
Total 451,250
Retail (Other) [3.3%]
Brown Group, Inc. 5,100 93,713
Consolidated Stores Corp. * 22,500 725,625
Dayton-Hudson Corp. 22,400 879,200
Duckwall-ALCO Stores, Inc. (a) * 45,190 643,958
Fingerhut Companies, Inc. 19,400 237,650
Gadzooks, Inc. * 3,000 54,750
Geerlings & Wade, Inc. (a) 1,400 6,125
Genesco, Inc. * 7,200 66,600
Shares Value +
Handleman Co. 4,200 $35,700
K-Mart Corp. 31,700 328,888
Kenneth Cole Productions, Inc. Series A * 2,000 31,000
Lands' End, Inc. * 2,400 63,600
Mac Frugals Bargains Close-Outs, Inc. * 50,000 1,306,250
MicroAge, Inc. * 5,700 114,000
Paul Harris Stores, Inc. * 4,800 85,200
Renters Choice, Inc. * 1,500 21,750
Sears, Roebuck and Company 11,300 521,213
Toys "R" Us, Inc. * 14,500 435,000
Value City Dept Stores, Inc. * 2,800 29,400
Waban, Inc. * 4,700 122,200
Total 5,801,822
Services [4.0%]
Browning-Ferris Industries, Inc. 11,600 304,500
Ceridian Corp. * 4,700 190,350
Comdisco, Inc. 30,900 981,075
Computer Language Research (a) 50,600 543,950
Computer Task Group, Inc. (a) 2,500 107,813
DB Group Ltd. (a) 1,145,000 794,559
DeVRY, Inc. * 2,000 47,000
Failure Group, Inc. (a) * 159,700 978,163
Hilb, Rogal & Hamilton Co. 36,500 483,625
Interpublic Group of Companies, Inc. 6,400 304,000
ITT Educational Services, Inc. * 37,950 877,594
Kelly Services, Inc. - Class A 1,200 32,400
Kinder Care Learning Centers * 43,100 808,125
Norrell Corp. 2,000 54,500
Pittston Services Group * 10,000 270,000
Standard Register Co. 1,000 32,500
Student Loan Marketing Assn. 2,400 223,500
Total 7,033,654
Steel [0.8%]
Bethlehem Steel Corp. * 24,800 223,200
Birmingham Steel Corp. 4,300 81,700
Inland Steel Industries, Inc. 15,300 306,000
J & L Specialty Steel, Inc. 3,600 40,950
LTV Corp. * 27,000 320,625
Oregon Steel Mills, Inc. 6,300 105,525
USX-US Steel Group, Inc. 12,700 398,463
Total 1,476,463
Telecommunications [2.2%]
360 Communications Co. * 9,300 215,063
Citizens Utilities Co. - Class A * 13,541 147,255
Coherent Communications Systems Corp. * 2,600 50,700
DSC Communications Corp. * 12,500 223,438
Emmis Broadcasting Corp. Class A * 1,000 32,750
Jacor Communications, Inc. * 8,500 232,688
Mastec, Inc. * 3,800 201,400
MCI Communications Corp. 6,300 205,931
Nextel Communications, Inc. Class A * 22,600 295,213
Periphonics Corp. * 2,600 76,050
SBC Communications, Inc. 4,700 243,225
Southern New England Telecommunications Corp. 2,500 97,188
U.S. West, Inc. 16,700 538,575
Viacom, Inc. - Class B * 13,100 456,863
VTEL Corp. (a) * 79,500 795,000
Total 3,811,339
Telephone [2.0%]
AT & T Corp. 36,100 1,570,346
Century Telephone Enterprise 6,400 197,600
GTE Corp. 14,750 671,125
Sprint Corp. 27,000 1,076,625
Total 3,515,696
Shares Value +
Textiles [0.3%]
St. John Knits, Inc. 6,200 $269,700
VF Corp. 3,700 249,750
Total 519,450
Thrifts [2.1%]
Ahmanson (H. F.) & Co. 5,000 162,500
Albank Financial Corp. 720 22,590
American Federal Bank - FSB 22,000 415,250
Astoria Financial Corp. * 2,800 103,250
Charter One Financial, Inc. 25,200 1,058,400
Commercial Federal Corp. 1,300 62,400
First Savings Bank of Washington Bancorp, Inc. 10,000 183,750
Peoples Bank of Bridgeport, Connecticut 28,000 808,500
Roosevelt Financial Group, Inc. 30,000 630,000
Security Capital Corp. 1,000 73,750
TR Financial Corp. 2,200 78,100
Washington Mutual, Inc. 1,000 43,313
Total 3,641,803
Tobacco [0.8%]
Philip Morris Companies, Inc. 11,100 1,250,138
Universal Corp. 3,100 99,588
Total 1,349,726
Transportation [1.9%]
Airborne Freight Corp. 30,000 701,250
Fritz Companies, Inc. * 56,900 725,475
Goodyear Tire & Rubber Co. 8,800 452,100
Harper Group, Inc. 26,800 636,500
Offshore Logistics, Inc. * 5,300 102,688
Pittston Burlington Group, Inc. 40,000 800,000
Total 3,418,013
Trucks [0.7%]
Air Express International Corp. 11,500 370,839
Consolidated Freightways, Inc. 40,000 890,000
Total 1,260,839
Total Common Stock
(Cost $116,235,152) 137,238,960
Preferred Stock [0.1%]
Norian Corp. (144A) (b) (d) 295,000 206,500
(Cost $206,500)
Units Value +
Commingled Investment Vehicles [8.8%]
Concentric Capital LP * 7,090 7,403,813
GMO REIT Fund 223,164 2,807,401
Highbridge Capital Corp. * 2,935 5,274,545
Total Commingled Investment Vehicles
(Cost $14,029,472) 15,485,759
Total Long-Term Investments
(Cost $130,471,124) 152,931,219
Short-Term Investments [16.1%] Face
Amount
U.S. Treasury Security [0.5%] ++
U.S. Treasury Bill, 5.270% due 3/20/97 # $ 875,000 865,941
(Cost $864,727)
Other Short-Term Investments [15.6%]
First National Bank of Boston (Time Deposit),
7.100% due 1/2/97 (c) 4,213,800 4,213,800
Face
Amount Value +
Investors Bank & Trust Company Repurchase
Agreement, 5.910% due 1/2/97; Proceeds
$23,354.761; Issued 12/31/96 (Collateralized
by $9,777,423 GNMA ARM, 7.000% due 6/20/26
with a market value of $10,051,419, $9,353,195
GNMA ARM, 6.500% due 11/20/25 with a market
value of $9,630,393; $4,698,180 GNMA ARM, 7.000%
due 2/20/26 with a market value of $4,833,503) $23,347,095 $23,347,095
Total Other Short-Term Investments
(Cost $27,560,895) 27,560,895
Total Short-Term Investments
(Cost $28,425,622) 28,426,836
Total Investments [102.6%] (e)
(Cost $158,896,746) 181,358,055
Other assets and liabilities, net [(2.6%)] -4,561,542
Net Assets - 100.0% $176,796,513
Short Portfolio [(0.9%)] Shares
Common Stock [(0.9%)]
Computer Software [(0.4%)]
Broadway & Seymour, Inc. * 40,700 427,350
Cambridge Technology Partners, Inc. * 7,000 234,938
JDA Software 3,000 83,625
Total 745,913
Electronics [(0.2%)]
Itron, Inc. * 20,000 355,000
Energy [(0.1%)]
Molten Metal Technology, Inc. * 8,400 98,700
Services [(0.1%)]
Renaissance Solutions, Inc. * 3,700 165,575
Telecommunications [(0.1%)]
Compression Labs * 42,100 160,506
VideoLan technologies, Inc. * 20,000 31,250
Total 191,756
Total Short Portoflio
(Proceeds - $2,547,356) $1,556,944
* Non-income producing security
# Interest rate represents the 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 futures
contracts.
ADR American Depository Receipt
(a) This security or a portion of this security is held in a segregated
account as collateral for the short portfolio.
(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 buyers. At December 31, 1996, these
securities were valued at $206,500 or 0.1% of net assets.
(c) Collateral received for securities on loan at December 31, 1996
reinvested in cash equivalents.
(d) Security is fair valued. See Note 2.
(e) Investment cost as determined for Federal income tax purposes is
substantially the same.
See Notes to the Financial Statements
TIFF Bond Fund
December 31, 1996
GRAPH:
Policy Considerations: The Fund's chief aim is to help foundations weather
deflationary times without being forced to liquidate their equity holdings at
depressed prices. As a form of deflation "insurance", bonds emphasized by the
Fund (intermediate or longer-term, high quality, non-callable) tend to perform
well when inflation concerns ease, as they did in 1995, and they tend to
perform poorly when investors are spooked by unexpected strength in the
economy, as they were during the first eight months of 1996. The last month
of 3Q 1996 and the first two months of 4Q 1996 produced a smart rally in bond
prices, but a sharp sell-off in bonds in the final weeks of 1996 transformed a
distinctly unattractive environment for bond investing into a more hospitable
one for foundations seeking to increase their deflation "insurance."
Importantly, the current environment is very unattractive for investors
seeking to boost yields through the purchase of low quality bonds: quality
spreads are abnormally tight in the U.S. bond market, causing the yield gap
normally evident between the average bond fund and the higher quality (hence
lower yielding) TIFF Bond Fund to narrow.
Performance Evaluation: The Fund has produced strong absolute returns since
inception (23.1% net of fees) and, despite stricter quality standards, has
outperformed its peer group of taxable bond funds, but has underperformed
slightly the Lehman Aggregate Bond Index (annualized deficit of 0.3%). The
reason it has lagged the latter Index is straightforward: the Fund's managers
have performed solidly since the Fund's inception -all three have
outperformed their respective benchmarks - but by margins insufficient to
offset expenses. The Fund's expense ratio is 34% lower than the industry norm
for active bond funds, and this edge coupled with two hoped-for but not
assured factors - a growing asset base and continued good performance by the
managers - should enable the Fund to continue gaining ground against the
Index. The Fund has gained 28 bp against the Index over the last nine months
(net of all costs), and continues to attract new Members as well as additional
capital from existing holders.
Investment Performance (For Periods Ended December 31, 1996)
Total Return (net of fees)
Year Ended Cumulative Since Annualized Since
Ended 12/31/96 Inception (5/31/94) Inception (5/31/94)
TIFF Bond Fund 3.7% 23.1% 8.3%
Lehman Aggregate
Bond Index 3.6 23.7 8.6
Average Int. Inv-Grade
Debt Fund * 3.1 20.7 7.6
* Comparative mutual fund averages provided by Lipper Analytical Services.
TIFF Bond Fund / Schedule of Investments December 31, 1996
Long-Term Investments [96.5%]
Bonds [96.1%] Face
Amount Value +
Asset-Backed Securities [6.8%]
American Trans Air 96, 7.370% due 12/26/12 $890,000 $882,815
Amresco Mortgage Loan Trust, Ser. 1996-1,
Class A5, 7.050% due 4/25/27 650,000 621,069
Amresco Residential Mortgage Loan, Ser.
1996-3, Class A7, 8.075% due 4/25/26 925,000 956,051
Amresco Residential Mortgage, Ser. 1996-4,
Class A5, 7.600% due 10/25/27 328,000 328,426
Chase Credit Card Master Trust,
Ser. 1996-3, Class A, 7.040% due 2/15/04 750,000 768,720
EQCC Home Equity Loan Trust, Ser. 1994-4,
Class A4, 8.950% due 1/15/15 200,000 216,363
Ford Credit Auto Owner Trust, Ser. 1996-A,
Class A3, 6.500% due 11/15/99 900,000 907,731
GMAC Grantor Trust, Series 1993-A, Class A,
4.150% due 3/16/98 11,790 11,781
GMAC Grantor Trust, Series 1994-A, Class A,
6.300% due 6/15/99 135,513 136,227
Merrill Lynch Mortgage Investors, Ser.
1995-C2, Class A1, 7.452% due 6/15/21 189,916 193,077
Olympic Auto Receivable Trust, Ser. 1996-C,
Class A4, 6.800% due 3/15/02 700,000 710,472
Premier Auto Trust, Ser. 1996-3, Class A3,
6.500% due 3/6/00 800,000 807,760
UCFC Home Equity Loan, Ser. 1996-B1,
Class A5, 7.650% due 6/15/20 775,000 794,980
UCFC Home Equity Loan, Ser. 1996-C1,
Class A6, 7.825% due 1/15/28 400,000 408,500
Union Acceptance Corp. IO Strip, Ser.
1996-C, Class I, 2.750% due 10/8/03 20,534,628 640,103
Union Acceptance Corp. IO, Ser. 1996-D,
Class I, 3.000% due 1/8/04 1,840,000 72,876
Union Acceptance Corp., Ser. 1996-A,
Class I, IO due 5/7/99 6,827,378 202,261
Total Asset-Backed Securities
(Cost $8,717,179) 8,659,212
Corporate Obligations [24.8%]
Aetna Services, Inc., 7.125% due 8/15/06 500,000 502,830
AK Steel (144A), 9.125% due 12/15/06 (a) 1,000,000 1,011,407
California Petroleum Transport, 8.520%
due 4/1/15 325,000 358,683
Celulosa Aruaco Constitution, 7.000%
due 12/15/07 (Chile) 645,000 620,242
Commonwealth Edison Co., 8.375% due 10/15/06 810,000 869,603
Conseco Finance Trust II, 8.700% due 11/15/26 650,000 656,125
Continental Airlines, 9.500% due 10/15/13 820,000 924,704
Corp. Andina de Formento, 7.100% due 2/1/03
(Latin America) 575,000 577,480
Discover Credit MTN, 9.000% due 10/1/01 445,000 485,589
Edison Mission Energy (144A), 7.330%
due 9/15/08 (a) 410,000 411,679
El Paso Natural Gas Co., 6.750% due 11/15/03 700,000 691,657
Empresa Electric del Norte (144A), 7.750%
due 3/15/06 (Chile) (a) 300,000 302,492
Endesa-Chile Overseas SA, 7.200% due
4/1/06 (Chile) 950,000 942,289
Freeport-McMoRan C&G, 7.200% due 11/15/26 770,000 760,109
Grace & Co., (W.R.), 8.000% due 8/15/04 1,100,000 1,161,313
Hero Asia BVI Co. Ltd. (144A), 9.110% due
10/15/01 (China) (a) 970,000 1,010,979
IBM Corp., 7.125% due 12/1/2096 910,000 863,858
Imexsa Export Trust 96-1 (144A), 10.125%
due 5/31/03 (Mexico) (a) 770,000 802,725
Face
Amount Value +
Israel Electric (144A), 7.875% due 12/15/26
(Israel) (a) $690,000 $688,769
JPM Capital Trust, 7.540% due 1/15/27 815,000 796,993
Kern River Funding Corp. (144A),
6.720% due 9/30/01 (a) 415,000 415,940
Lannar Central Partners, 8.120%
due 9/15/02 190,000 190,515
Lehman Brothers Holdings, 8.500%
due 5/1/07 585,000 627,308
Lockheed Martin, 6.850% due 5/15/01 800,000 807,460
MacSaver Financial Services, 7.875%
due 8/1/03 690,000 693,014
Mexico FRN (144A), 7.563% due 8/6/01
(Mexico) (a) 400,000 400,500
Mutual Life Insurance Co. - NY (144A),
0.000% due 8/15/24 (a) 800,000 817,051
Nabisco Inc., 7.550% due 6/15/15 850,000 831,564
Occidental Petroleum Corp., 9.250%
due 8/1/19 500,000 581,707
Peoples Bank of Bridgeport, 7.200%
due 12/1/06 645,000 630,699
Poland Non U.S. Global, 3.750%
due 10/27/14 (Poland) 955,000 798,953
Ras Laffan Liquid Natural Gas (144A),
8.294% due 9/15/14 (a) 860,000 871,487
Rodamco NV, 7.300% due 5/15/05
(Netherlands) 600,000 605,969
Rollins Truck, 7.000% due 3/15/01 600,000 606,091
Salomon, Inc., 6.750% due 2/15/03 745,000 727,489
Southern CA Public Power Authority,
5.000% due 7/1/22 745,000 680,483
Southtrust Bank Birmingham, 7.690%
due 5/15/25 500,000 530,898
Tarkett International, 9.000% due 3/1/02 430,000 440,750
Taubman Realty Group, 7.500% due 6/15/02 620,000 617,195
Tektronix, Inc., 7.500% due 8/1/03 500,000 509,357
Tenneco Corp., 10.200% due 3/15/08 750,000 900,122
Times Mirror Co., 7.250% due 11/15/2096 730,000 707,942
Union Pacific Resources, 7.000% due 10/15/06 800,000 802,522
USF&G Capital, Inc. (144A), 8.500% due
12/15/45 (a) 840,000 848,818
Usinor Sacilor, 7.250% due 8/1/06 760,000 762,016
YPF Sociedad Anonima, 7.500% due 10/26/02
(Argentina) 702,645 710,550
Total Corporate Obligations
(Cost $31,370,746) 31,555,926
Mortgage-Backed Securities [38.1%]
Federal Home Loan Mortgage Corp.
TBA, 7.500% due 1/14/97 1,500,000 1,498,594
TBA Gold, 7.000% due 2/13/97 3,568,130 3,488,962
Gold, 7.000% due 11/1/11 24,829 25,843
Gold, 7.500% due 9/1/11 2,985,002 3,030,972
Gold, 7.500% due 11/1/26 4,573,905 4,579,169
PO, Ser. 1689, Class NA due 3/15/24 88,762 84,423
6.500% due 4/1/26 450,214 430,552
7.000% due 1/1/11 828,603 828,708
7.500% due 4/1/24 1,166,353 1,170,611
7.500% due 8/1/24 1,438,891 1,444,144
7.500% due 12/1/24 395,607 397,051
8.500% due 9/1/24 890,406 924,856
8.500% due 3/1/25 549,111 570,013
Ser. 1576, Class PH, 6.000% due 1/15/08 1,900,000 1,818,300
Ser. 1577, Class PH, 6.300% due 3/15/23 1,875,000 1,805,644
Federal National Mortgage Assn.
TBA, 7.500% due 1/14/97 5,000,000 4,995,313
PO, Ser. 1992-153, Class B, due 9/25/97 9,663 43,816
6.080% due 9/3/03 200,000 193,397
6.150% due 12/14/01 800,000 785,208
6.500% due 1/1/24 (b) 450,074 431,823
7.000% due 3/1/24 (b) 1,585,818 1,555,801
Face
Amount Value +
7.500% due 6/1/26 (b) $1,485,104 $1,484,480
7.500% due 7/1/26 (b) 308,598 308,469
8.000% due 5/1/24 803,342 819,862
8.000% due 1/1/25 537,595 548,650
9.000% due 3/1/25 1,227,700 1,296,970
8.000% due 5/1/25 873,767 891,736
Government National Mortgage Assn.
ARM, 7.125% due 4/20/24 77,092 78,620
TBA ARM, 5.000% due 1/23/97 1,000,000 974,688
TBA ARM, 6.000% due 1/23/97 990,000 990,000
TBA ARM, 6.000% due 2/24/97 5,000,000 4,996,875
5.500% due 11/20/25 1,582,909 1,601,673
6.500% due 1/20/08 176,175 180,022
7.000% due 7/15/23 (b) 519,105 510,424
7.000% due 5/15/24 (b) 1,309,062 1,285,943
7.125% due 8/20/17 83,081 84,973
8.000% due 8/15/26 993,624 1,014,580
8.000% due 10/15/26 695,560 710,229
9.500% due 10/15/24 (b) 683,671 744,516
Total Mortgage-Backed Securities
(Cost $48,123,175) 48,625,910
U.S. Gov't Agency Obligations [1.7%]
Federal National Mortgage Assn.
MTN, 5.200% due 7/10/98 450,000 445,819
MTN, 5.720% due 3/8/01 600,000 586,734
MTN, 5.800% due 2/22/06 725,000 680,326
MTN, 6.290% due 10/04/00 475,000 475,158
Total U.S. Government Agency Obligations
(Cost $2,194,026) 2,188,037
U.S. Treasury Securities [24.7%]
U.S. Treasury Note 4.750% due 10/31/98 2,770,000 2,714,600
5.000% due 1/31/99 155,000 152,288
5.375% due 5/31/98 555,000 550,838
5.500% due 11/15/98 4,200,000 4,168,500
5.875% due 11/30/11 2,910,000 2,867,258
6.250% due 2/15/03 355,000 354,667
6.500% due 10/15/06 910,000 915,119
6.500% due 8/15/97 1,835,000 1,843,028
6.625% due 6/30/01 4,040,000 4,104,385
6.750% due 4/30/00 2,395,000 2,440,650
7.500% due 10/31/99 1,125,000 1,166,835
7.750% due 12/31/99 1,435,000 1,500,472
8.500% due 5/15/97 915,000 924,150
U.S. Treasury Bond
6.750% due 8/15/26 1,195,000 1,203,216
7.750% due 1/31/00 1,825,000 1,909,976
8.000% due 11/15/21 2,770,000 3,175,113
U.S. Treasury Strip #
5.148% due 11/15/21 3,850,000 705,778
5.222% due 2/15/20 4,070,000 834,956
Total U.S. Treasury Securities
(Cost $31,527,755) 31,531,829
Total Bonds
(Cost $121,932,881) 122,560,914
Preferred Stock [0.4%] Shares
Indosuez Holdings S.C.A. Preferred
(144A) 10.375% Series (a) 17,312 485,908
(Cost $476,080)
Total Long-Term Investments
(Cost $122,408,961) 123,046,822
Short-Term Investments [14.8%]
Bank Obligation [1.7%] Face
Amount Value +
First National Bank of Boston (Time Deposit), 7.100% due 1/2/97 (c)
$2,150,000 $2,150,000
(Cost - $2,150,000)
Long Options [0.0%] +++
Contracts
U.S. Treasury Note
10 Yr. $110 Call expiring 2/22/97
5 3,359
10 Yr. $113 Call expiring 2/22/97
5 469
10 Yr. $107 Put expiring 2/22/97
5 1,797
Total Long Options (Cost $8,828)
5,625
Face
U.S. Treasury Securities [0.1%] ++ # Amount
U.S. Treasury Bill, 5.260% due 5/29/97
$100,000 97,926
U.S. Treasury Bill, 5.170% due 6/12/97
10,000 9,773
Total U.S. Treasury Securities (Cost
$104,952) 107,699
Repurchase Agreements [13.0%]
Investors Bank & Trust Company Repurchase Agreement, 5.910% due 1/2/97; Issued
12/31/96; Proceeds $7,564,653; (Collateralized by $7,836,238 FHLMC FRN, 6.700%
due 3/15/24 with a market value of $7,953,047)
7,562,170
7,562,170Bear Stearns Repurchase Agreement, 5.450% due 1/6/97; Proceeds
$7,014,836; Issued 12/31/96 (Collateralized by $7,213,005 FNCL 7.500% due
6/1/26 with a market value of $7,254,024) 7,000,000 7,000,000
Morgan Stanley Repurchase Agreement, 6.000% due 1/2/97; Proceeds $2,000,667;
Issued 12/31/96 (Collateralized by $2,055,000 US Treasury Note, 5.125% due
3/31/98 with a market value of $2,069,771 2,000,000
2,000,000
Total Repurchase Agreements
(Cost $16,562,170)
16,562,170
Total Short-Term Investments
(Cost $18,825,950)
18,825,494
Total Investments [111.3%] (d)
(Cost $141,234,911)
141,872,316
Other assets and liabilities, net [(11.3%)] (14,381,216)
Net Assets - 100.0% $127,491,100
+ 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 the yield to maturity at the time of
purchase.
(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 investors. At December 31, 1996,
these securities were valued at $8,067,755 or 6.3% of net assets.
(b) Assets currently held (or a portion) in a segregated account as
collateral
for TBAs.
(c) Collateral received for securities on loan at December 31, 1996
reinvested
in cash equivalents.
(d) Investment cost as determined for Federal income tax purposes is
substantially the same.
ARM Adjustable Rate Mortgage
FRN Floating Rate Note - Rate shown is the coupon rate at December 31, 1996.
IO Interest-Only Obligation
MTN Medium Term Note
PO Principal-Only Obligation
TBA To-Be-Announced Security - Security is subject to delayed delivery.
See Notes to the Financial Statements
TIFF Short-Term Fund December 31, 1996
GRAPHS:
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 is performing as planned in the following
sense: its aim (admittedly modest) is to outperform its 6-month Treasury Bill
benchmark net of all costs. In its first 31 months of operations, the Fund
has outperformed this benchmark by 0.2% net of expenses (+15.5% vs. 15.3%).
This margin would have been larger if the Fund itself were larger: increased
assets would permit fixed costs to be spread over a larger asset base. TIP's
directors remain hopeful that an increasing number of TIP Members will look to
the Fund as a cost-efficient alternative to other cash management vehicles or
instruments they may be using. Prospective investors should note that the
Fund has outperformed the average money market fund tracked by Lipper by 80
basis points (annualized) since the Fund's inception. Until the Fund's assets
grow, the vendors it employs have agreed to waive fees as needed to keep the
Fund's expense ratio within the bounds specified in the Prospectus.
Investment Performance (For Periods Ended December 31, 1996)
Total Return (net of fees)
Year Ended Cumulative Since Annualized Since
Ended 12/31/96 Inception (5/31/94) Inception
(5/31/94)
TIFF Short-Term Fund 5.3% 15.5% 5.7%
Merrill Lynch 182-Day T-Bill 5.3 15.3 5.6
Average Money Market Fund * 4.8 13.1 4.9
Comparative averages provided by Lipper Analytical Services
TIFF Short-Term Fund / Schedule of Investments December 31, 1996
Asset-Backed Securities [26.0%] Face
Amount Value +
American Express Master Trust Ser. 1-A, 6.050% due 6/15/98
$2,000,000 $2,005,200
Case Equipment Loan Trust, Ser. 1993-B, Class A, 4.300% due 5/15/99
863,586 850,770
Chase Manhattan Grantor Trust, Ser. 1993-A, Class A, 4.200% due 4/15
693,937 691,118
Discover Card Trust, Ser. 1991-F, Class A, 7.850% due 11/21/00
2,000,000 2,053,780
Ford Credit Auto Loan Master Trust, Ser. 1992-1, Class A, 6.875% due
2,225,000 2,225,697
MBNA Master Card Trust, Ser. 1991-1, Class A, 7.750% due 10/15/98
1,000,000 1,000,940
MBNA Master Credit Card Trust, Ser. 1992-1, Class A, 7.250% due 6/15/
1,000,000 1,005,630
Navistar Financial, Ser. 1994-C, Class A1, 7.650% due 12/22/97
242,647 243,178
Norwest Auto Trust, Ser. 1996-A, Class A1, 5.465% due 12/5/97
1,708,176 1,709,798
Premier Auto Trust, Ser. 1995-1, Class A5, 7.900% due 5/4/99
2,000,000 2,039,320
Private Label Cr. Card Master Trust II, Ser. 1994-1, Class A, 7.150%
666,667 668,813
Signet Cr. Card Trust, Ser. 1994-4, Class A, 6.800% due 12/15/00
2,000,000 2,015,600
Total Asset-Backed Securities(Cost - $16,563,723)
16,509,844
Bank Obligations [28.9%]
ABN Amro Bank Yankee CD, 6.120% due 7/14/97
2,000,000 2,005,455
Bank of Boston (Nassau) Time Deposit, 5.250% due 5.250%
3,313,000 3,313,000
Bankers Trust Company CD, 5.420% due 5/23/97
2,000,000 2,000,000
Commerzbank AG Yankee CD, 5.590% due 2/26/97
2,000,000 1,999,983
Mellon Bank CD, 5.750% due 1/28/97
2,000,000 2,000,000
Rabo Bank Yankee CD, 5.400% due 5/20/97
1,000,000 999,882
Republic National Bank New York Time Deposit, 6.875% due 1/2/97
2,000,000 2,000,000
Royal Bank of Canada Yankee CD, 5.400% due 1/15/97
2,000,000 2,000,253
Toronto Dominion Euro CD, 5.700% due 1/23/97
2,000,000 2,000,000
Total Bank Obligations (Cost - $18,318,573)
18,318,573
Commercial Paper [12.3%] #
Caisse D'amort Dette Sociale CP, 5.763% due 1/15/97
2,000,000 1,943,378
Canadian Government CP, 5.383% due 5/7/97
2,000,000 1,952,413
General Electric Capital Corp. CP, 5.741% due 3/10/97
2,000,000 1,943,890
Kingdom of Sweden CP, 5.516% due 2/3/97
2,000,000 1,946,897
Total Commercial Paper (Cost - $7,786,578)
7,786,578
Corporate Obligation [11.5%]
Federal National Mortgage Assn. DN, 6.502% due 1/2/97
7,000,000 6,997,472
General Electric Capital Corp. FRN, 5.420% due 5/12/97
280,000 279,764
Total Corporate Obligation (Cost - $7,277,472)
7,277,236
U.S. Treasury Obligations [62.9%] #
FaceAmount Value +
U.S. Treasury Bill, 5.230% due 2/6/97 ++
$500,000 $497,555
U.S. Treasury Bill, 5.219% due 7/3/97
40,500,000 39,455,748
Total U.S. Treasury Obligations(Cost $39,956,294)
39,953,303
Investment Company [19.5%] Shares
FFTW U.S. Short-Term Fund 1,256,88
12,380,304
Total Investment Company(Cost $12,367,796)
Total Investments [161.1%] (a)(Cost $102,270,436)
102,225,838
Other assets, net of liabilities [(61.1%)]
- -38,755,588
Other assets and liabilities, net [(61.1%)]
- -38,755,588
Net Assets - 100.0%
$63,470,250
+ See Note 2 to
the Financial Statements
++ Portion of
assets currently held in a segregated account as collateralfor financial
futures contracts.
# Interest rate
represents yield to maturity at the time of purchase.
CD Certificate
of Deposit
CP Commercial
Paper
DN Discount Note
FRN Floating Rate
Note. Rate shown is the coupon rate at December 31, 1996
(a) Investment
cost as determined for Federal income tax purposes is substantially the same.
See Notes to
the Financial Statements
TIFF Multi-Asset Fund / Statement of Assets and Liabilities
December 31, 1996
Assets
Investments in securities, at value (Cost - $201,997,082) $218,024,096
Cash 2,997,275
Foreign currency (Cost - $270,430) 451,847
Receivable for securities sold 1,374,637
Receivable for fund shares sold 2,749,055
Interest receivable 239,009
Dividends receivable 109,845
Variation margin receivable 14,331
Receivable for forward currency contracts 23,685,341
Deposit with broker for short sales 1,533,367
Deferred organizational costs 6,299
Other assets 37,889
Total assets 251,222,991
Liabilities
Payable for securities purchased 1,531,319
Payable for fund shares repurchased 4,166,273
Payable for forward currency contracts 23,782,108
Payable for collateral on securities on loan 1,035,661
Market value of securities sold short (Proceeds - $1,588,650) 1,667,177
Dividends payable from net investment income 628,350
Distributions payable from capital gains 69,747
Accrued custody fees 63,212
Accrued expenses and other liabilities 34,943
Total liabilities 32,978,790
Net Assets $218,244,201
Shares Outstanding (par value $.001) 18,072,631
Net asset value, maximum offering price and
redemption price per share $12.08
Components of Net Assets as of December 31,
1996 were as follows:
Capital stock at par value ($.001) $18,073
Capital stock in excess of par value 204,192,425
Overdistribution of net investment income -2,103,517
Accumulated net realized gain on investments,
short sales, financial futures and written options
contracts and foreign-currency related transactions 359,043
Net unrealized appreciation on investments,
short sales, financial futures contracts and
foreign-currency transactions 15,778,177
$218,244,201
See Notes to Financial Statements
TIFF International Equity Fund / Statement of Assets and Liabilities
December 31, 1996
Assets
Investments in securities, at value (Cost - $200,412,508) $229,644,462
Cash 61,937
Foreign currency (Cost - $851,636) 845,704
Receivable for securities sold 399,999
Interest receivable 45,576
Dividends receivable 346,271
Receivable for forward currency contracts 12,153,416
Deferred organizational costs 11,163
Other assets 167,916
Total assets 243,676,444
Liabilities
Payable for securities purchased 247,125
Payable for fund shares repurchased 406,020
Payable for forward currency contracts 11,633,123
Payable for collateral on securities on loan 11,797,825
Distributions payable from capital gains 16,186
Variation margin payable 22,563
Accrued custody fees 39,175
Accrued expenses and other liabilities 56,320
Total liabilities 24,218,337
Net Assets $219,458,107
Shares Outstanding (par value $.001) 18,001,517
Net asset value, maximum offering price
and redemption price per share $12.19
Components of Net Assets as of December 31,
1996 were as follows:
Capital stock at par value ($.001) $18,002
Capital stock in excess of par value 188,835,873
Overdistribution of net investment income -76,141
Accumulated net realized gain on investments,
financial futures contracts and foreign-currency
related transactions 1,862,973
Net unrealized appreciation on investments,
financial futures contracts and foreign
currency related transactions 28,817,400
$219,458,107
See Notes to Financial Statements
TIFF Emerging Markets Fund / Statement of Assets and Liabilities
December 31, 1996
Assets
Investments in securities, at value (Cost - $94,328,570) $91,101,454
Cash 49,541
Foreign currency (Cost - $497,721) 430,352
Receivable for securities sold 5,274,599
Receivable for fund shares sold 888,251
Interest receivable 29,630
Dividends receivable 182,867
Receivable for forward currency contracts 3,479,288
Deferred organizational costs 4,091
Other assets 10,752
Total assets 101,450,825
Liabilities
Payable for securities purchased 348,706
Payable for fund shares repurchased 3,206,265
Payable for forward currency contracts 3,481,844
Payable for collateral on securities on loan 4,424,396
Dividends payable from net investment income 178,570
Accrued custody fees 32,249
Accrued expenses and other liabilities 42,994
Total liabilities 11,715,024
Net Assets $89,735,801
Shares Outstanding (par value $.001) 10,394,654
Net asset value, maximum offering price
and redemption price per share $8.63
Components of Net Assets as of December 31,
1996 were as follows:
Capital stock at par value ($.001) $10,395
Capital stock in excess of par value 101,373,782
Overdistribution of net investment income -735,421
Accumulated net realized (loss) on investments,
and foreign-currency related transactions -7,597,820
Net unrealized (depreciation) on investments
and foreign currency related transactions -3,315,135
$89,735,801
See Notes to Financial Statements
TIFF U.S. Equity Fund / Statement of Assets and Liabilities
December 31, 1996
Assets
Investments in securities, at value (Cost - $158,896,746) $181,358,055
Cash 2,637,936
Receivable for securities sold 339,544
Interest receivable 9,776
Dividends receivable 209,778
Deposit with broker for short sales 1,382,604
Deferred organization costs 8,052
Other assets 12,337
Total assets 185,958,082
Liabilities
Payable for securities purchased 2,404,808
Payable for collateral on securities on loan 4,213,800
Market value of securities sold short (Proceeds - $2,547,356) 1,556,944
Dividends payable from net investment income 433,956
Distributions payable from capital gains 85,654
Variation margin payable 425,133
Accrued custody fees 13,500
Accrued expenses and other liabilities 27,774
Total liabilities 9,161,569
Net Assets $176,796,513
Shares Outstanding (par value $.001) 12,870,555
Net asset value, maximum offering price
and redemption price per share $13.74
Components of Net Assets as of December 31,
1996 were as follows:
Capital stock at par value ($.001) $12,871
Capital stock in excess of par value 149,452,732
Overdistribution of net investment income -1,123,603
Accumulated net realized gain on investments,
financial futures contracts and short sales 4,887,403
Net unrealized appreciation on investments,
financial futures contracts and short sales 23,567,110
$176,796,513
See Notes to Financial Statements
TIFF Bond Fund / Statement of Assets and Liabilities
December 31, 1996
Assets
Investments in securities, at value (Cost - $141,234,911) $141,872,316
Cash 58,961
Receivable for securities sold 7,211,558
Receivable for fund shares sold 60,000
Interest receivable 1,176,608
Dividends receivable 11,225
Variation margin receivable 12,737
Deferred organizational costs 6,706
Other assets 5,151
Total assets 150,415,262
Liabilities
Payable for securities purchased 20,311,945
Payable for collateral on securities on loan 2,150,000
Dividends payable from net investment income 400,155
Accrued custody fees 17,236
Accrued expenses and other liabilities 44,826
Total liabilities 22,924,162
Net Assets $127,491,100
Shares Outstanding (par value $.001) 12,677,652
Net asset value, maximum offering price
and redemption price per share $10.06
Components of Net Assets as of December 31,
1996 were as follows:
Capital stock at par value ($.001) $12,678
Capital stock in excess of par value 127,198,147
Undistributed net investment income 38,756
Accumulated net realized (loss) on investments
and on financial futures contract -412,220
Net unrealized appreciation on investments
and on financial futures contracts 653,739
$127,491,100
See Notes to Financial Statements
TIFF Short-Term Fund / Statement of Assets and Liabilities
December 31, 1996
Assets
Investments in securities, at value (Cost - $102,270,436) $102,225,838
Cash 2,341
Receivable for securities sold 6,332,737
Receivable for fund shares sold 71,021
Interest receivable 611,911
Dividends receivable 55,141
Variation margin receivable 2,098
Deferred organizational costs 7,874
Other assets 30,069
Total assets 109,339,030
Liabilities
Payable for securities purchased 45,791,748
Dividends payable from net investment income 61,742
Accrued expenses and other liabilities 15,290
Total liabilities 45,868,780
Net Assets $63,470,250
Shares Outstanding (par value $.001) 6,354,660
Net asset value, maximum offering price and
redemption price per share $9.99
Components of Net Assets as of December 31,
1996 were as follows:
Capital stock at par value ($.001) $6,355
Capital stock in excess of par value 63,690,462
Overdistribution of net investment income -36,365
Accumulated net realized (loss) on investments
and on financial futures and written options contracts -150,784
Net unrealized depreciation on investments and
on financial futures contracts -39,418
$63,470,250
See Notes to Financial Statements
Statement of Operations
Year Ended December 31, 1996
TIFF Multi- TIFF Int'l TIFF Emerging
Asset Fund Equity Fund Markets Fund
Investment income
Interest $1,567,975 $934,254 $321,595
Dividends (net of withholding
taxes of $72,972 for Multi-Asset,
$370,228 for Int'l Equity Fund, and
$128,556 For Emerging Markets) 2,335,008 2,994,809 1,088,913
Total investment income 3,902,983 3,929,063 1,410,508
Operating expenses
Investment advisory fees 258,763 291,635 125,930
Money Manager fees 591,511 1,177,469 686,582
Custodian fees 286,194 447,773 428,830
Administration fees 73,692 108,505 47,704
Shareholder recordkeeping fees 16,819 20,362 10,620
Audit fees 21,028 27,160 24,110
Legal fees 2,796 4,065 1,758
Insurance expense 7,682 13,439 6,073
Amortization of organizational costs 3,075 4,680 2,012
Registration filing fees 43,269 47,877 26,044
Taxes 22,768 - -
Miscellaneous fees and expenses 5,696 8,620 2,312
Total operating expenses 1,333,293 2,151,585 1,361,975
Investment income, net 2,569,690 1,777,478 48,533
Net realized and unrealized gain (loss) on
investments, financial futures and written options
contracts, short sales and foreign currency-related
transactions
Net realized gain on investments 5,034,957 7,353,081 484,257
Net realized (loss) on short sales -405,984 - -
Net realized (loss) on financial
futures and written option contracts -149,042 -1,146,488 -
Net realized gain (loss) from foreign
currency-related transations -83,350 697,022 -199,975
Net unrealized appreciation
(depreciation) on invest 11,344,129 19,590,065 -560,742
Net unrealized (depreciation) on
short sales -164,405 - -
Net unrealized (depreciation) on
financial futures contracts -367,804 -912,909 -
Net unrealized appreciation
(depreciation) on translation of assets
and liabilities in foreign currencies 111,415 418,668 -78,530
Net realized and unrealized gain (loss) on
investments, financial futures and written
options contracts, short sales and foreign
currency-related transactions 15,319,916 25,999,439 -354,990
Net increase (decrease) in net assets
resulting from $17,889,606 $27,776,917 -$306,457
See Notes to Financial Statements
Statement of Operations (continued)
Year Ended December 31, 1996
TIFF U.S. TIFF TIFF
Equity Fund Bond Fund Short-Term
Investment income
Interest $820,603 $7,562,050 $4,287,668
Dividends (net of withholding
taxes of $4,570 for U.S. Equity) 2,328,286 132,330 434,850
Total investment income 3,148,889 7,694,380 4,722,518
Operating expenses
Investment advisory fees 211,929 106,495 24,814
Money Manager fees 593,613 134,708 165,404
Custodian fees 167,453 238,895 75,592
Administration fees 80,400 60,665 42,995
Shareholder recordkeeping fees 21,098 16,147 13,652
Audit fees 21,590 24,760 21,836
Legal fees 2,980 2,063 1,023
Insurance expense 9,633 7,150 5,220
Amortization of organizational
costs 3,397 2,568 2,025
Registration filing fees 33,406 19,590 49,151
Miscellaneous fees and expenses 6,385 4,858 3,687
Total operating expenses 1,151,884 617,899 405,399
Waiver of Investment advisory
and a portion of Money Manager
fees - - -104,626
Net expenses 1,151,884 617,899 300,773
Investment income, net 1,997,005 7,076,481 4,421,745
Net realized and unrealized gain
(loss) on investments, financial
futures and written options contracts,
short sales and foreign currency-
related transactions
Net realized gain (loss) on
investments 15,161,401 -537,879 -172,882
Net realized (loss) on short sales -179,920 - -
Net realized gain on financial
futures and written options 1,196,391 201,978 30,503
Net realized gain (loss) from
foreign currency-related transactions -147 134,506 -
Net unrealized appreciation
(depreciation) on investments 9,083,353 -2,658,215 -24,754
Net unrealized appreciation on
short sales 641,909 - -
Net unrealized appreciation
(depreciation) on financial futures
contracts -54,650 115,762 2,567
Net unrealized appreciation on
translation of assets and liabilities
in foreign currencies -111 26,966 -
Net realized and unrealized gain
(loss) on investments, financial
futures and written options contracts,
short sales and foreign currency-
related transactions 25,848,226 -2,716,882 -164,566
Net increase in net assets resulting
from operations $27,845,231 $4,359,599 $4,257,179
See Notes to Financial Statements
Statement of Changes in Net Assets
TIFF Multi- TIFF Multi- TIFF Int'l. TIFF Int'l.
Asset Fund Asset Fund Equity Fund Equity Fund
Fiscal Year for the Period Fiscal Year Fiscal Year
Ended from 3/31/95* Ended Ended
12/31/96 to 12/31/95 12/31/96 12/31/95
Increase in net
assets from operations:
Investment income,
net $2,569,690 $1,985,927 $1,777,478 $1,825,563
Net realized gain from
investments, financial
futures and written
options contracts, short
sales and foreign
currency-related
transactions 4,396,581 1,572,945 6,903,615 503,521
Net unrealized
appreciation on
investments, financial
futures contracts,
short sales and on
translation of
assets and
liabilities in
foreign currencies 10,923,335 4,854,842 19,095,824 10,329,048
Net increase in net
assets resulting
from operations 17,889,606 8,413,714 27,776,917 12,658,132
Distributions from:
Investment income,
net -2,730,948 -1,824,669 -1,558,276 -1,823,997
Amounts in excess of
investment income,
net -1,993,303 - - -
Net realized gain on
investments, financial
futures and written
options contracts,
short sales and foreign
currency-related
transactions -5,472,828 -267,895 -4,556,393 -
Total distributions -10,197,079 -2,092,564 -6,114,669 -1,823,997
Capital share
transactions,
net: 117,921,971 86,308,543 42,374,081 55,278,876
Total increase in
net assets 125,614,498 92,629,693 64,036,329 66,113,011
Net assets
Beginning of
period 92,629,703 10 155,421,778 89,308,767
End of period $218,244,201 $92,629,703 $219,458,107 $155,421,778
(Over)/undistributed
net investment
income ($2,103,517) $161,258 ($76,141) $133,197
See Notes to Financial Statements
Commencement of Operations
Statement of Changes in Net Assets (continued)
TIFF Emerging TIFF Emerging TIFF U.S. TIFF U.S.
Markets Fund Markets Fund Equity Fund Equity Fund
Fiscal Year Fiscal Year Fiscal Year Fiscal Year
Ended Ended Ended Ended
12/31/96 12/31/95 12/31/96 12/31/95
Increase (decrease)
in net assets from
operations:
Investment income
(loss), net $48,533 ($80,644) $1,997,005 $1,390,715
Net realized gain
(loss) from investments,
financial futures contracts,
short sales and foreign
currency-related
transactions 284,282 -7,822,954 16,177,725 10,560,653
Net unrealized appreciation
(depreciation) on investments,
financial futures contracts,
short sales and on
translation of assets and
liabilities in foreign
currencies -639,272 3,241,963 9,670,501 12,901,867
Net increase (decrease)
in net assets resulting
from operations -306,457 -4,661,635 27,845,231 24,853,235
Distributions from:
Investment income, net -48,533 - -1,833,750 -1,568,391
Amounts in excess of
investment income, net -405,752 -30,221 -1,124,568 -
Net realized gain on
investments, financial
futures contracts, short
sales and foreign currency-
related transactions - - -12,595,655 -8,397,640
Distributions required for
excise tax purposes in excess
of net realized gain on investments,
financial futures contracts,
short sales and foreign currency-
related transactions - -3,005 -
- -
Total distributions -454,285 -33,226 -
15,553,973 -9,966,031
Capital share transactions, net: 31,010,927 14,148,260
54,604,505 36,840,480
Total increase in net assets 30,250,185 9,453,399
66,895,763 51,727,684
Net assets
Beginning of period 59,485,616 50,032,217
109,900,750 58,173,066
End of period $89,735,801 $59,485,616
$176,796,513 $109,900,750
Overdistributed net investment income ($735,421)$
($1,123,603) ($163,255)
See Notes to the Financial Statements
Statement of Changes in Net Assets (continued)
TIFF Bond TIFF Bond TIFF Short- TIFF Short-
Fund Fund Term
Fund Term Fund
Fiscal Year Fiscal Year
Fiscal Year Fiscal Year
Ended Ended Ended Ended
12/31/96 12/31/95
12/31/96 12/31/95
Increase (decrease) in net assets from operations
Investment income, net $7,076,481 $4,865,499
$4,421,745 $4,834,479
Net realized gain (loss) from investments, financial
futures and written options contracts
and foreign currency-related transactions -201,395 3,522,563
- -142,379 404,088
Net unrealized appreciation (depreciation) on
investments, financial futures contracts,
and on translation of assets and liabilities
in foreign currencies -2,515,487 4,184,859
- -22,187 -7,262
Net increase (decrease) in net assets resulting
from operations 4,359,599 12,572,921
4,257,179 5,231,305
Distributions from:
Investment income, net -7,076,481 -4,956,518
- -4,397,643 -4,863,987
Amounts in excess of investment income, net -46,711 -39,178
- -39,033 -15,940
Net realized gain on investments, financial
futures and written options contracts and
foreign currency-related transactions - -3,085,563-
- -398,719
Distributions required for excise tax purposes in
excess of net realized gain on investments,
financial futures and written options contracts
and foreign currency-related transactions- - -
- -2,363
Total distributions -7,123,192 -8,081,259
- -4,436,676 -5,281,009
Capital share transactions, net 39,183,037 6,908,741
- -32,930,172 62,346,199
Total increase (decrease) in net assets 36,419,444 11,400,403
- -33,109,669 62,296,495
Net assets
Beginning of period 91,071,656 79,671,253
96,579,919 34,283,424
End of period $127,491,100 $91,071,656
$63,470,250 $96,579,919
(Over)/undistributed net investment income $38,756 $
($36,365) ($24,102)
See Notes to the Financial Statements
TIFF Multi-Asset Fund / Financial Highlights
Fiscal Year Period
For a share outstanding Ended
from 3/31/95*
throughout each period 12/31/96 to
12/31/95
Net asset value, beginning of period $11.13
$10.00
Income from investment operations
Investment income, net 0.17
0.26
Net realized and unrealized gain on investments,
financial futures and written options contracts, short
sales and foreign currency-related transactions 1.45
1.14
Total from investment operations 1.62
1.4
Less distributions from:
Investment income, net -0.18
- -0.24
Amounts in excess of investment income, net -0.13 -
Net realized gain on investments, financial futures
and written options contracts, short sales and
foreign currency-related transactions -0.36
- -0.03
Total distributions -0.67
- -0.27
Net asset value, end of period $12.08
$11.13
Total return 14.72%
13.87%(b)
Ratios/supplemental data
Net assets, end of period $218,244,201
$92,629,703
Ratio of expenses to average net assets 1.03%
0.80%(a)
Ratio of net investment income to average net
assets 1.99%
4.00%(a)
Portfolio turnover 100.66%
97.35%(b)
Average commission rate per share (c) $0.01 n/a
(a) Annualized
(b) Not annualized
(c) Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold
on which commissions were charged. This disclosure is required by the
SEC beginning in 1996.
n/a Not applicable
* Commencement of Operations
See Notes to the Financial Statements
TIFF International Equity Fund / Financial Highlights
Fiscal Year Fiscal Year Period
For a share outstanding Ended Ended from
5/31/94 *
throughout each period 12/31/96 12/31/95to
12/31/94
Net asset value, beginning of period $10.82 $9.98
$10.00
Income from investment operations
Investment income, net + 0.1 0.15
0.05
Net realized and unrealized gain on investments,
financial futures and foreign currency-related
transactions 1.62 0.83
0.06
Total from investment operations 1.72 0.98
0.11
Less distributions from:
Investment income, net -0.09 -0.14
- -0.04
Amounts in excess of investment income, ne- -
- -0.01
Net realized gain on investments, financial
futures contracts and foreign currency-related
transactions -0.26- -
Amounts in excess of net gain on investments,
financial futures contracts and foreign
currency-related transactions - -
- -0.08
Total distributions -0.35 -0.14
- -0.13
Net asset value, end of period $12.19 $10.82
$9.98
Total return 15.94% 9.85%
0.98%(b)(c)
Ratios/supplemental data
Net assets, end of period $219,458,107 $155,421,778
$89,308,767
Ratio of expenses to average net assets 1.11% 1.05%
1.08%(a)
Ratio of expenses to average net assets before
expense waivers 1.11% 1.05%
1.27%(a)
Ratio of net investment income to average net
assets 0.91% 1.48%
0.95%(a)
Portfolio turnover 32.40% 32.91%
14.71%(b)
+ Net of waivers which amounted to: n/a n/a
$0.01
Average commission rate per share (d) $0.01 n/a n/a
(a) Annualized
(b) Not annualized
(c) Total return would have been lower had certain expenses not been waived
or reimbursed.
(d) Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold
on which commissions were charged. This disclosure is required by the
SEC beginning in 1996.
* Commencement of Operations
See Notes to the Financial Statements
TIFF Emerging Markets Fund / Financial Highlights
Fiscal Year Fiscal Year Period
For a share outstanding Ended Ended
from 5/31/94 *
throughout each period 12/31/96
12/31/95 to 12/31/94
Net asset value, beginning of period $8.45
$9.24 $10.00
Income from investment operations
Investment income, net + 0.01 -
0.01
Net realized and unrealized gain (loss) on
investments, and foreign-currency
related transactions 0.21
- -0.79 -0.71
Total from investment operations 0.22
- -0.79 -0.7
Less distributions from:
Investment income, net -0.04
0# -0.01
Amounts in excess of investment income, net 0#
0# -
Net realized gain on investments, and foreign
currency-related transactions 0# -
- -
Amounts in excess of net gain on investments,
and foreign currency-related transactions -
0#
Total distributions -0.04
0# -0.06
Net asset value, end of period $8.63
$8.45 $9.24
Total return 2.51% -
8.39% -6.97%(b)(c)
Ratios/supplemental data
Net assets, end of period $89,735,801
$59,485,616 $50,032,217
Ratio of expenses to average net assets 1.62%
2.35% 1.83%(a)
Ratio of expenses to average net assets before
expense waivers 1.62%
2.35% 2.25%(a)
Ratio of net investment income to average net
assets 0.06% -
0.15% 0.40% (a)
Portfolio turnover 79.96%
104.30% 26.37%(b)
Net of waivers which amounted to: n/a n/a
$0.01
Average commission rate per share (d) $0.01 n/a
n/a
(a) Annualized
(b) Not annualized
(c) Total return would have been lower had certain expenses not been waived
or reimbursed
(d) Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold
on which commissions were charged. This disclosure is required by the
SEC beginning in 1996.
n/a Not applicable
# Rounds to less than $0.01
* Commencement of Operations
See Notes to the Financial Statements
TIFF U.S. Equity Fund / Financial Highlights
Fiscal Year Fiscal Year Period
For a share outstanding Ended Ended
from 5/31/94 *
throughout each period 12/31/96 12/31/95
to 12/31/94
Net asset value, beginning of period $12.36 $10.02
$10.00
Income from investment operations
Investment income, net + 0.2 0.2
0.15
Net realized and unrealized gain on investments,
financial futures contracts, short sales
and foreign currency-related transactions 2.52 3.37
0.19
Total from investment operations 2.72 3.57
0.34
Less distributions from:
Investment income, net -0.17 -0.22
- -0.15
Amounts in excess of investment income, net -0.1 -
0#
Net realized gain on investments, financial futures
contracts, short sales and foreign currency-related
transactions -1.07 -1.01
- -0.01
Amounts in excess of net gain on investments,
financial futures contracts, short sales
and foreign currency-related transactions - -
- -0.16
Total distributions -1.34 -1.23
- -0.32
Net asset value, end of period $13.74 $12.36
$10.02
Total return 21.91% 36.02%
3.49%(b)(c)
Ratios/supplemental data
Net assets, end of period $176,796,513 $109,900,750
$58,173,066
Ratio of expenses to average net assets 0.82% 0.93%
0.85%(a)
Ratio of expenses to average net assets before
expense waivers 0.82% 0.93%
1.06%(a)
Ratio of net investment income to average net
assets 1.41% 1.67%
2.52%(a)
Portfolio turnover 105.18% 109.89%
44.59%(b)
Net of waivers which amounted to: n/a n/a
$0.01
Average commission rate per share (d) $0.02 n/a
n/a
(a) Annualized
(b) Not annualized
(c) Total return would have been lower had certain expenses not been waived
or reimbursed.
(d) Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold
on which commissions were charged. This disclosure is required by the
SEC beginning in 1996.
n/a Not applicable
# Rounds to less than $0.01
Commencement of Operations
See Notes to the Financial Statements
TIFF Bond Fund / Financial Highlights
Fiscal Year Fiscal Year Period
For a share outstanding Ended Ended
from 5/31/94 *
throughout each period 12/31/96 12/31/95
to 12/31/94
Net asset value, beginning of period $10.33 $9.68
$10.00
Income from investment operations
Investment income, net + 0.67 0.67
0.36
Net realized and unrealized gain (loss) on
investments, financial futures contracts and
foreign currency-related transactions -0.27 1.01
- -0.32
Total from investment operations 0.4 1.68
0.04
Less distributions from:
Investment income, net -0.67 -0.66
- -0.36
Amounts in excess of investment income, net 0# -0.01
0#
Net realized gain on investments, financial
futures contracts and foreign currency-related
transactions - -0.36
- -
Amounts in excess of net gain on investments,
financial futures contracts and foreign
currency-related transactions - -
- -
Total distributions -0.67 -1.03
- -0.36
Net asset value, end of period $10.06 $10.33
$9.68
Total return 3.75% 18.07%
0.46%(b)(c)
Ratios/supplemental data
Net assets, end of period $127,491,100 $91,071,656
$79,671,253
Ratio of expenses to average net assets 0.58% 0.96%
0.62%(a)
Ratio of expenses to average net assets before
expense waivers 0.58% 0.96%
0.94%(a)
Ratio of net investment income to average net
assets 6.64% 6.34%
6.37%(a)
Portfolio turnover 332.21% 406.24%
162.06%(b)
Net of waivers which amounted to: n/a n/a
$0.02
(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
See Notes to the Financial Statements
TIFF Short-Term Fund / Financial Highlights
Fiscal year Fiscal Year Period
For a share outstanding Ended Ended
from 5/31/94 *
throughout each period 12/31/96
12/31/95 to 12/31/94
Net asset value, beginning of period $10.01
$10.00 $10.00
Income from investment operations
Investment income, net + 0.54
0.58 0.28
Net realized and unrealized gain (loss) on investments,
and financial futures and written options contracts -0.02
0.05 0.02
Total from investment operations 0.52
0.63 0.3
Less distributions from:
Investment income, net -0.54
- -0.58 -0.28
Amounts in excess of investment income, net 0#
0# 0#
Net realized gain on investments, and financial
futures and written options contracts -
- -0.04 -0.01
Amounts in excess of net gain on investments,
and financial futures and written options contracts -
0# -0.01
Total distributions -0.54
- -0.62 -0.3
Net asset value, end of period $9.99
$10.01 $10.00
Total return (c) 5.28%
6.43% 3.10%(b)
Ratios/supplemental data
Net assets, end of period $63,470,250
$96,579,919 $34,283,424
Ratio of expenses to average net assets 0.36%
0.42% 0.40%(a)
Ratio of expenses to average net assets before
expense waivers 0.47%
0.54% 1.72%(a)
Ratio of net investment income to average net
assets 5.35%
5.67% 4.98%(a)
Net of waivers which amounted to: $0.02
$0.01 $0.08
(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
See Notes to the Financial Statements
Notes to Financial Statements
December 31, 1996
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 active Funds: 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.
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
elected to be taxed as a regulated investment company ("RIC") and intends to
comply with the requirements of Subchapter M of the Internal Revenue Code
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 if so elected by the
Fund. The Funds may be subject to foreign taxes on income, gains on
investments or currency repatriation. The Funds accrue such taxes as
applicable.
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
remaining to maturity are valued at amortized cost which approximates fair
value.
Securities for which market quotations are not readily available are valued at
their fair value as determined in good faith under consistently applied
procedures established by TIP's Board of Directors. Such procedures use
fundamental valuation methods which include, but are not limited to, the
analysis of: the effect of any restrictions on the resale of the security,
industry analysis and trends, significant changes in the issuer's financial
position, and any other event which could have a significant impact on the
value of the security. Determination of fair value involves subjective
judgment, as the actual market value of a particular security can be
established only by negotiations between the parties in a sales transaction.
At December 31, 1996, 23% 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. In the Short-Term
Fund, the adviser waived $24,814, and the Fund's Money Manager waived $79,812
in fees during the 12-month period ended December 31, 1996.
Dividends to Shareholders
It is the policy of all Funds to declare dividends according to the following
schedule:
Fund Dividends from Net
Investment Income
Capital Gains Distributions
Multi-Asset Semi-annually Annually
International Equity Semi-annually Annually
Emerging Markets Annually Annually
U.S. Equity Quarterly Annually
Bond Daily Annually
Short-Term Daily Annually
Dividends from net short-term capital gains and net long-term capital gains of
each Fund, if any, are normally declared and paid annually, but each Fund may
make distributions on a more frequent basis to comply with the distribution
requirements of the Internal Revenue Code. To the extent that a net realized
capital gain can be reduced by a capital loss carryover, such gain will not be
distributed.
The classification of income and capital gains distributions is determined in
accordance with income tax regulations. Permanent book and tax differences
relating to shareholder distributions will result in reclassifications to
paid-in capital and may affect net investment income per share. Undistributed
net investment income, accumulated net investment loss, or distributions in
excess of net investment income may include temporary book and tax differences
which will reverse in a subsequent period.
Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under
forward exchange currency contracts are translated into U.S. dollars at the
mean of the quoted bid and asked prices of such currencies against the U.S.
dollar.
Purchases and sales of portfolio securities are translated at the rates of
exchange prevailing when such securities were acquired or sold.
Income and withholding taxes are translated at exchange rates prevailing when
accrued. Unrealized net currency gains and losses from valuing foreign
currency-denominated assets and liabilities at period-end exchange rates are
reflected as a component of net unrealized appreciation (depreciation) on
translation of assets and liabilities in foreign currencies.
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 and the difference
between the amount of net investment income accrued and the U.S. dollar amount
actually received.
3. Investment Advisory Agreement and Money Manager Agreements
TIP's Board of Directors has approved investment advisory agreements with
Foundation Advisers, Inc. ("FAI"). Each Fund pays FAI a maximum monthly fee
calculated by applying the following annual basis point ("bp") rates to such
Fund's average daily net assets for the month (100 bp equals 1.00%):
Multi- Int'l Emerging U.S.
Short-
Assets Asset Equity Markets Equity Bond
Term
On the first $500 million 20 bp 15 bp 15 bp 15 bp 10
bp 3 bp
On the next $500 million 18 bp 13 bp 13 bp 13 bp 8
bp 3 bp
On the next $500 million 15 bp 11 bp 11 bp 11 bp 6
bp 2 bp
On the next $500 million 13 bp 9 bp 9 bp 9 bp 5
bp 2 bp
On the next $500 million 11 bp 7 bp 7 bp 7 bp 4
bp 1 bp
On the remainder
(<$2.5 billion)
9 bp
5 bp
5 bp
5 bp
3 bp
1 bp
TIP's Board of Directors has approved Money Manager agreements with each of
the Money Managers. Money Managers will receive annual management fees equal
to a stated percentage of the value of Fund assets under management that is
adjusted upwards or downwards, proportionately, to reflect actual investment
performance over the applicable time period relative to a chosen benchmark
rate of return. Certain Money Managers, however, will receive management fees
equal to a flat percentage per annum of assets under management with a single
rate or on a descending scale.
Appendix A to the Notes to the Financial Statements identifies Money Managers
who provide services to the Funds and the minimum and maximum fee rate. Unless
otherwise indicated, the management fee received by a Money Manager varies
based on the Money Manager's investment performance.
Pursuant to its Administration Agreement, AMT Capital Services, two employees
of which serve as officers of TIP, earn a fee for providing fund
administration services to TIP according to the following schedule: 0.07% of
the average daily net assets of TIP for the first $300 million, 0.05% for the
next $2.7 billion, 0.04% for the next $2.0 billion, and 0.03% for the average
daily net assets over $5.0 billion under management. In addition, TIP has
agreed to pay AMT Capital an incentive fee not to exceed 0.02% for reducing
the expense ratio of one or more Funds of TIP below certain levels specified
for each Fund.
4. Investment Transactions
Purchase cost and proceeds from sales of investment securities, other than
short-term investments, for the period from January 1, 1996 to December 31,
1996 were as follows:
Purchases Purchases Sales Sales
Fund U.S. Government Other Securities U.S.
Government Other Securities
Multi-Asset $ 29,954,734 $ 187,536,835 $ 23,601,820 $
105,502,345
International Equity - 91,974,478 - 57,095,519
Emerging Markets - 92,978,443 - 61,751,639
U.S. Equity - 165,525,549 - 131,290,893
Bond 285,695,953 115,765,647 249,185,853 114,391,119
Short-Term 291,832,425 54,629,051 264,696,333 52,622,034
Appendix E to the Notes to the Financial Statements details each Fund's
investment transactions with affiliates.
Forward Currency Contracts
The Funds may enter into forward currency contracts in connection with
settling planned purchases or sales of securities or to hedge the currency
exposure associated with some or all of the Fund's portfolio securities. A
forward currency contract is an agreement between two parties to buy or sell a
currency at a set price on a future date. The market value of a forward
currency contract fluctuates with changes in forward currency exchange rates.
Forward currency contracts are marked to market daily and the change in value
is recorded by the Fund as an unrealized gain or loss. When a forward
currency contract is extinguished through delivery, the Fund records a
realized gain or loss on foreign currency related transactions equal to the
difference between the value of the contract at the time it was opened and the
value of the contract at the time it was extinguished. These contracts may
involve market risk in excess of the unrealized gain or loss reflected in the
Fund's Statement of Assets and Liabilities. In addition, the Fund could be
exposed to risk if the counterparties are unable to meet the terms of the
contracts or if the value of the currency changes unfavorably to the U.S.
dollar.
Appendix B to the Notes to the Financial Statements details each Fund's
outstanding forward currency contracts at December 31, 1996.
Financial Futures Contracts
The Funds are engaged in trading financial futures contracts. The Funds are
exposed to market risk as a result of changes in the value of the underlying
financial instruments. Investments in financial futures require a Fund to
"mark to market" on a daily basis, which reflects the change in the market
value of the contract at the close of each day's trading. Accordingly,
variation margin payments are made or received to reflect daily unrealized
gains or losses. When the contracts are closed,
the Fund recognizes a realized gain or loss. These investments require
initial margin deposits which consist of cash or cash equivalents, equal to
approximately 5-10% of the contract amount.
Each Fund may use futures contracts to manage its exposure to the stock and
bond markets and to fluctuations in currency values. Futures contracts tend
to increase or decrease the Funds' exposure to the underlying instrument or
hedge other
Fund investments. Futures contracts involve, to varying degrees, risk of loss
in excess of the variation margin disclosed in the Statement of Assets and
Liabilities. Losses may arise from the changes in the value of the underlying
instrument, if there is an illiquid secondary market for the contracts, or if
counterparties do not perform under the contract terms. Futures contracts are
valued at the settlement price established each day by the board of trade or
exchange on which they are traded.
At December 31, 1996, the Funds segregated investments with the following
values in connection with their financial futures:
Segregated
Fund Assets
Multi-Asset $ 347,560
International Equity 2,123,875
Emerging Markets -
U.S. Equity 865,941
Bond 107,699
Short-Term 24,877
Appendix C of the Notes to the Financial Statements details each Fund's open
futures contracts at December 31, 1996.
Short Selling
The Funds may sell securities they do not own in anticipation of a decline in
the market price of such securities or in order to hedge portfolio positions.
The Fund will generally borrow the security sold in order to make delivery to
the buyer. Upon entering into a short position, the Fund records the proceeds
as a Deposit with Broker in its Statement of Assets and Liabilities and
establishes an offsetting liability for the securities sold under the short
sale agreement. The cash is retained by the Fund's broker as collateral for
the short position. The liability is marked to market while it remains open
to reflect the current settlement obligation. Until the security is replaced,
the Fund is required to pay the lender any dividend or interest earned. Such
payments are recorded as expenses to the Fund. When a closing purchase is
entered into by the Fund, a gain or loss equal to the difference between the
proceeds originally received and the purchase cost is realized.
The Fund, in "short selling", sells borrowed securities which must at some
date be repurchased and returned to the lender. If the market value of
securities sold short increases, the Fund may realize losses upon repurchase
in amounts which may exceed the liability on the Statement of Assets and
Liabilities. Further, in unusual circumstances, the Fund may be unable to
repurchase securities to close its short position except at prices above those
previously quoted in the market.
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 originally paid. 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.
When a Fund writes an option, an amount equal to the premium received by the
Fund is included in the Fund's Statement of Assets and Liabilities as a
liability and subsequently marked to market to reflect the current value of
the option written. The current market value of a written option is the last
sale price on the market on which it is principally traded. If the written
option expires, the Fund realizes a gain in the amount of the premium
received. If the Fund enters into a closing transaction, it recognizes a gain
or loss, depending on whether the cost of the purchase is less than or greater
than the premium received.
If a written call option is exercised, the proceeds from the security sold are
increased by the premium received. If a put option is exercised, the cost
basis of the security purchased by the Fund is reduced by the premium
received. The Fund as a writer of an option has no control over whether the
underlying securities may be sold (call) or purchased (put) and as a
result bears the market risk of an unfavorable change in the price of the
security underlying the written option. Written options present risk of loss
in excess of amounts shown on the Statement of Assets and Liabilities. See
Note 10 for detail of all option contracts written during the year.
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, 1996, each Fund has 500,000,000 shares of $0.001 par value
capital stock authorized. The Funds may charge entrance or exit fees on
subscriptions or redemptions in an amount not to exceed 1.00% of the
transaction amount. Such fees are retained by the Funds and included in
proceeds from shares sold or deducted from distributions for redemptions.
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, 1996, all collateral received was cash and was subsequently
invested in cash equivalents.
As of December 31, 1996, the value of the loaned securities outstanding and
the related collateral was as follows:
Value of Loaned
Securities Collateral
Multi-Asset $ 982,603
$ 1,035,661
International Equity 10,694,901 11,797,825
Emerging Markets 3,946,939 4,424,396
U.S. Equity 4,111,950 4,213,800
Bond 2,117,572 2,150,000
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 or 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.
10. Options
During the period ended December 31, 1996, the following option contracts were
written:
Multi-Asset Fund Short-Term Fund
# of Contracts Premium # of Contracts Premium
Balance as of December, 31, 1995
0
$ 0
0
$ 0
Written 336 75,600 48 6,150
Closed (336) (75,600) (48) (6,150)
Balance as of December 31, 1996
0
$ 0
0
$ 0
11. Principal Members
The schedule below shows the number of Members each owning 10% or more of a
Fund and the total percentage of the Fund held by such Members.
Number % of Fund Held
Multi-Asset Fund 2 27
International Equity Fund 2 41
Emerging Markets Fund 3 54
U.S. Equity Fund 2 32
Bond Fund 1 20
Short-Term Fund 3 72
Appendix A
Money Manager Fee as Percent of Assets Managed
Minimum Maximum
TIFF Multi-Asset Fund
Bee & Associates, Inc. 0.15 2.00
A. Gary Shilling & Co., Inc. 0.15 2.00
Standard Pacific Capital LLC 0.15 2.00
TCW Funds Management, Inc. 0.50* 0.75
Wellington Management Company 0.35* 0.45
TIFF International Equity Fund
Bee & Associates, Inc. 0.15 2.00
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 International, Ltd. 0.50** 0.50
TIFF Emerging Markets Fund
Blairlogie Capital Management 0.60* 0.95
Emerging Markets Management 1.00* 1.25
Lazard Freres Asset Management 0.50** 0.50
TIFF U.S. Equity Fund
Jacobs Levy Equity Management 0.15 1.25
Martingale Asset Management, L.P. 0.05* 0.10
Palo Alto Investors 0.10 2.00
Westport Asset Management, Inc. 0.15 2.00
TIFF Bond Fund
Atlantic Asset Management Partners, Inc. 0.10 0.60
Fischer Francis Trees & Watts, Inc. 0.10 0.80
Seix Investment Advisors, Inc. 0.10 0.80
Smith Breeden Associates, Inc. 0.10 0.85
TIFF Short-Term Fund
Fischer Francis Trees & Watts, Inc. 0.15* 0.20
* Money Manager receives a fee that does not include performance
component.
** Money Manager receives a straight asset-based fee regardless of
the amount of assets managed for TIP (i.e., there are neither
"breakpoints" in the fee agreement nor a performance component).
Appendix B
Open Forward Currency Contracts as of December 31, 1996
Unrealized
Contract Cost/ Current
Appreciation
Amount Proceeds Value
(Depreciation)
Multi-Asset Fund
Buy Contracts
8,530,107 Belgian Franc expiring 2/20/97 $ 270,951 $
269,601 $ (1,350)
15,781 Finnish Markka expiring 1/22/97 3,424 3,435 11
21,270,352 French Franc expiring 1/22/97 4,105,138 4,103,148 (1,990)
98,067 German Deutsche Mark expiring 2/18/97 63,983 63,884 (99)
73,378 Great British Pound expiring 2/7/97 121,642 125,599 3,957
399,173 Irish Punt expiring 1/2/97 665,192 676,779 11,587
467,721,726 Italian Lira expiring 2/20/97 304,993 307,273 2,280
5,265,430 Norwegian Krone expiring 1/17/97 818,306 826,130 7,824
Sell Contracts
1,224,192 Austrian Schilling expiring 3/14/97 111,452 113,474 (2,022)
13,081,574 Austrian Schilling expiring 3/19/97 1,205,675 1,212,930 (7,255)
13,547,114 Belgian Franc expiring 2/20/97 436,524 428,168 8,356
698,895 Finnish Markka expiring 1/22/97 152,713 152,114 599
21,270,351 French Franc expiring 1/22/97 4,109,987 4,103,148 6,839
13,146,112 French Franc expiring 3/27/97 2,549,524 2,544,839 4,685
98,067 German Deutsche Mark expiring 2/18/97 64,165 63,884 281
88,581 Great British Pound expiring 1/2/97 147,948 151,717 (3,769)
642,965 Great British Pound expiring 2/7/97 1,056,060 1,100,536 (44,476)
4,936,525 Hong Kong Dollar expiring 3/19/97 637,794 638,247 (453)
399,172 Irish Punt expiring 1/2/97 645,192 676,778 (31,586)
412,142 Irish Punt expiring 4/2/97 686,188 697,541 (11,353)
2,363,171,249 Italian Lira expiring 2/20/97 1,539,764 1,552,503 (12,739)
8,949,508 Norwegian Krone expiring 1/17/97 1,386,531 1,404,151 (17,620)
12,594,237 Portuguese Escudo expiring 1/8/97 80,930 80,725 205
12,713,500 Swedish Krona expiring 1/19/97 1,863,111 1,870,562 (7,451)
4,330,713 Swedish Krona expiring 3/18/97 635,934 637,162 (1,228)
Total $
(96,767)
International Equity Fund
Buy Contracts
22,892,797 Japanese Yen expiring 1/7/97 $
197,199 $ 197,822 $ 623
Sell Contracts
14,069,250 Belgian Franc expiring 2/28/97 450,000 444,904 5,096
4,623,570 French Franc expiring 2/28/97 900,000 893,759 6,241
1,666,667 French Franc expiring 3/19/97 320,667 322,499 (1,832)
1,364,400 German Deutsche Mark expiring 2/28/97 900,000 889,340 10,660
1,436,304 Hong Kong Dollar expiring 3/19/97 185,569 185,679 (110)
43,603,262 Japanese Yen expiring 1/7/97 375,437 376,786 (1,349)
252,800,000 Japanese Yen expiring 1/21/97 2,500,000 2,189,262 310,738
154,050,000 Japanese Yen expiring 2/3/97 1,500,000 1,336,687 163,313
125,328,000 Japanese Yen expiring 2/28/97 1,120,000 1,091,214 28,786
1,531,080 Netherlands Guilder expiring 2/28/97 900,000 889,691 10,309
1,030,560 Netherlands Guilder expiring 3/19/97 597,080 599,553 (2,473)
958,750 Swedish Krona expiring 1/2/97 139,201 140,642 (1,441)
14,109,160 Swedish Krona expiring 3/19/97 2,067,640 2,075,908 (8,268)
Total $
520,293
Emerging Markets Fund
Buy Contracts
65,258 Polish Zloty expiring 1/2/97 $
22,814 $ 22,826 $ 12
Sell Contracts
10,936,807 Greek Drachma expiring 1/2/97 44,168 44,376 (208)
581,183 Hong Kong Dollar expiring 1/2/97 75,127 75,142 (15)
295,706 Hong Kong Dollar expiring 1/3/97 38,234 38,232 2
25,533,750 Hong Kong Dollar expiring 3/19/97 3,298,933 3,301,280 (2,347)
Total $
(2,556)
Appendix C
Open Futures Contracts as of December 31, 1996
Aggregate Aggregate
Unrealized
Contract Face Value Current
Appreciation
Amount When Opened Face Value
(Depreciation)
Multi-Asset Fund
Long Futures Contracts
17 Mar `97 10 yr. U.S. Treasury Notes $ 1,888,063 $
1,855,125 $ (32,938)
48 Mar `97 5 Yr. U.S. Treasury Notes 5,145,063 5,116,500 (28,563)
20 Mar '97 German Mark 1,634,500
1,632,750 (1,750)
22 Mar `97 Japanese Yen 2,467,850
2,396,075 (71,775)
24 Mar '97 SMX Nikkei
2,148,295 2,003,798 (144,497)
16 Mar '97 All Ords (Australia) 767,647 778,697 11,050
Short Futures Contracts
15 Mar `97 Swiss Franc (1,444,875)
(1,410,000) 34,875
5 Mar '97 S&P 500 (1,844,875)
(1,861,250) (16,375)
Total $
(249,973)
International Equity Fund
Long Futures Contracts
115 Mar '97 Japanese Yen $ 12,900,127 $ 12,524,938 $ (375,189)
415 Mar '97 OSK Nikkei Index
10,724,713 10,030,211 (694,502)
Short Futures Contracts
60 Mar '97 Swiss Franc (5,784,002) (5,640,000)
144,002
Total $ (925,689)
U.S. Equity Fund
Long Futures Contracts
64 Mar '97 S&P 500 $ 23,708,500 $ 23,824,000 $ 115,500
Bond Fund
Long Futures Contracts
26 Mar '97 5 Year U.S. Treasury Notes $ 2,790,268 $ 2,771,439
$ (18,829)
Short Futures Contracts
28 Mar '97 10 Yr Treasury Notes
(3,086,688) (3,055,500) 31,188
4 Mar '97 Euro Dollars (943,800)
(944,400) (600)
4 Jun '97 Euro Dollars (944,075)
(942,800) 1,275
3 Sept '97 Euro Dollars (706,425) (705,975) 450
3 Dec '97 Euro Dollars (707,625)
(704,625) 3,000
3 Mar '98 Euro Dollars (703,875)
(704,025) (150)
Total $
16,334
Short-Term Fund
Short Futures Contracts
1 Sept '97 Euro Dollars $ (235,867)
$ (235,325) $ 542
2 Dec '97 Euro Dollars (470,982)
(469,750) 1,232
2
Mar '98 Euro Dollars (470,682)
(469,350) 1,332
2 Jun '98 Euro Dollars (470,182)
(468,800) 1,382
1 Sept '98 Euro Dollars (234,892)
(234,200) 692
Total $
5,180
Appendix D
Capital Share Transactions
Year Ended 12/31/96
Period from 3/31/95 * to December 31, 1995
Multi-Asset Fund Shares Amount Shares Amount
Shares Sold 12,414,168 $ 148,942,630 8,225,630 $ 84,836,448
Shares Reinvested 741,729 8,952,996 156,105 1,716,666
Exit/Entrance Fee
- 854,784 - 368,847
Subtotal 13,155,897 158,750,410 8,381,735 86,921,961
Shares Redeemed (3,407,420) (40,828,439) (57,581) (613,418)
Net Increase 9,748,477 $ 117,921,971 8,324,154 $ 86,308,543
* Commencement of Operations
Year Ended 12/31/96 Year Ended 12/31/95
International Equity Fund Shares Amount Shares Amount
Shares Sold 7,045,139 $ 80,119,170 6,412,082 $ 64,757,197
Shares Reinvested 485,076 5,862,190 144,840 1,544,842
Exit/Entrance Fees - 424,816 - 442,854
Subtotal 7,530,215 86,406,176 6,556,922 66,744,893
Shares Redeemed (3,898,610) (44,032,095) (1,136,430) (11,466,017)
Net Increase 3,631,605 $ 42,374,081 5,420,492 $ 55,278,876
Year Ended 12/31/96 Year Ended 12/31/95
Emerging Markets Fund Shares Amount Shares Amount
Shares Sold 6,273,660 $ 56,965,180 1,865,202 $ 16,108,997
Shares Reinvested 31,948 275,715 1,336 16,905
Exit/Entrance Fees - 331,463 - 150,876
Subtotal 6,305,608 57,572,358 1,866,538 16,276,778
Shares Redeemed (2,946,642) (26,561,431) (244,472) (2,128,518)
Net Increase 3,358,966 $ 31,010,927 1,622,066 $ 14,148,260
Year Ended 12/31/96 Year Ended 12/31/95
U.S. Equity Fund Shares Amount Shares Amount
Shares Sold 4,368,046 $ 59,674,611 3,321,437 $ 38,880,399
Shares Reinvested 1,019,746 14,143,456 680,636 8,414,015
Exit/Entrance Fees - 76,112 - 87,663
Subtotal 5,387,792 73,894,179 4,002,073 47,382,077
Shares Redeemed (1,408,508) (19,289,674) (918,330) (10,541,597)
Net Increase 3,979,284 $ 54,604,505 3,083,743 $ 36,840,480
Year Ended 12/31/96 Year Ended 12/31/95
Bond Fund Shares Amount Shares Amount
Shares Sold 4,110,390 $ 41,685,035 8,398,526 $ 83,517,759
Shares Reinvested 364,890 3,645,717 461,277 4,741,699
Subtotal 4,475,280 45,330,752 8,859,803 88,259,458
Shares Redeemed (610,475) (6,147,715) (8,277,360) (81,350,717)
Net Increase 3,864,805 $ 39,183,037 582,443 $ 6,908,741
Year Ended 12/31/96 Year Ended 12/31/95
Short-Term Fund Shares Amount Shares Amount
Shares Sold 10,421,535 $ 104,066,028 9,712,800 $ 97,319,382
Shares Reinvested 398,510 3,981,140 491,240 4,949,767
Subtotal 10,820,045 108,047,168 10,204,040 102,269,149
Shares Redeemed (14,116,543) (140,977,340) (3,981,798) (39,922,950)
Net Increase/(Decrease) (3,296,498) $
(32,930,172) 6,222,242 $ 62,346,199
Appendix E
Summary of Transactions with Affiliated Companies
Purchase Sales Realized Dividend Value
Affiliate Cost Cost Gain/(Loss) Income at 12/31/96
Multi-Asset
Grantham, Mayo, and Van Otterloo and Co. $ 26,758,961 $
5,318,384 $ 372,857 $ 1,258,597 $ 26,728,622
A. Gary Shilling & Co. - 1,000,000 (10,861) - -
TCW Funds Management, Inc 1,589,243 14,141,475 634,271 19,243 6,119,325
Total $ 28,348,204 $ 20,459,859 $ 996,267 $
1,277,840 $ 32,847,947
International Equity
Blairlogie Capital Management $ 7,855 $ 2,464,545 $
175,484 $ 7,855 $ -
Lazard Freres Asset Management - - - - 3,043,758
Total $ 7,855 $ 2,464,545 $ 175,484 $
7,855 $ 3,043,758
Emerging Markets
TCW Funds Management, Inc. $ 1,694,200 $ - $
- - $ 6,654 $ 1,707,688
U.S. Equity
Grantham, Mayo, and Van Otterloo and Co. $ 2,548,222 $
- - $ - $ 48,222 $ 2,807,401
Short-Term
Fischer Francis Trees & Watts, Inc. $ 34,637,401 $ 22,211,912 $
(11,912) $ 379,709 $ 12,380,304
These transactions represent investments in pooled investment vehicles
affiliated with the indicated Money Managers. No sales commission was
incurred by the Funds in connection with these transactions.
Report of Independent Accountants
February 28, 1997
To the Board of Directors and Shareholders of
TIFF Investment Program
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of TIFF Multi-Asset
Fund, TIFF International Equity Fund, and TIFF Short-Term Fund (constituting
the TIFF Investment Program (TIP), hereafter referred to as the "Funds"), at
December 31, 1996, and the results of each of their operations, the changes in
each of their net assets, and the financial highlights for each of the periods
indicated, in conformity with generally accepted accounting principles. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Funds' management; our
responsibility is to express an opinion on these financial statements in
accordance with generally accepted auditing standards which require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included
confirmation of securities owned at December 31, 1996 by correspondence with
the custodian and brokers and the application of alternative auditing
procedures where confirmations from brokers were not received, provide a
reasonable basis for the opinion expressed above.
Price Waterhouse LLP
1177 Avenue of the Americas
New York, NY 10036
ADVISER MONEY MANAGERS
Foundation Advisers, Inc.
2405 Ivy Road TIFF Multi-Asset Fund
Charlottesville, VA 22903 Bee & Associates, Inc.
phone (804) 984-0084 Grantham, Mayo, and Van Otterloo
and Co.
fax (804) 977-4479 Standard Pacific Capital LLC
TCW Funds Management, Inc.
Wellington Management Company
CUSTODIAN
FUND ACCOUNTING AGENT TIFF International Equity Fund
TRANSFER AGENT Bee & Associates, Inc.
DIVIDEND DISBURSING AGENT Delaware International Advisers,
Ltd.
Investors Bank & Trust Company Harding, Loevner Management, L.P.
P.O. Box 1537 Marathon Asset Management, Ltd.
Boston, MA 02205 Mercury Asset Management
International, Ltd.
TIFF Emerging Markets Fund
FUND ADMINISTRATOR Emerging Markets Management
AND DISTRIBUTOR Lazard Freres Asset Management
AMT Capital Services, Inc.
600 Fifth Avenue TIFF U.S. Equity Fund
New York, NY 10020 Jacobs Levy Equity Management
Martingale Asset Management, L.P.
Palo Alto Investors
LEGAL COUNSEL Westport Asset Management, Inc.
Dechert Price & Rhoads
1500 K Street, N.W. TIFF Bond Fund
Washington, DC 20005 Atlantic Asset Management
Partners, Inc.
Seix Investment Advisors, Inc.
Smith Breeden Associates, Inc.
INDEPENDENT ACCOUNTANTS
Price Waterhouse LLP TIFF Short-Term Fund
1177 Avenue of the Americas Fischer Francis Trees & Watts,
Inc.
New York, NY 10036
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<TABLE> <S> <C>
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<SERIES>
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<NAME> EMERGING MARKETS FUND
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<S> <C>
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<TABLE> <S> <C>
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<SERIES>
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<NAME> BOND FUND
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<S> <C>
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<TABLE> <S> <C>
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<SERIES>
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<NAME> SHORT-TERM FUND
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<S> <C>
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<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 6
<NAME> MULTI-ASSET FUND
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<S> <C>
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