N-CSRS 1 a2143130zn-csrs.txt N-CSRS UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-08234 ---------------------------------------------- TIFF Investment Program, Inc. -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 590 Peter Jefferson Parkway, Suite 250, Charlottesville, VA 22911 -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Richard J. Flannery President and Principal Executive Officer 590 Peter Jefferson Parkway, Suite 250, Charlottesville, VA 22911 -------------------------------------------------------------------------------- (Name and address of agent for service) with a copy to: Jack Murphy, Esq. Dechert 1775 I Street, N.W., Washington, D.C. 20006-2401 -------------------------------------------------------------------------------- Registrant's telephone number, including area code: 434-817-8200 ----------------- Date of fiscal year end: 12/31/2004 ---------------------- Date of reporting period: 1/1/2004 - 6/30/2004 ---------------------- ITEM 1. REPORTS TO STOCKHOLDERS. (Semi-Annual Report for the period 1/1/04 through 6/30/04 is filed herewith) -------------------------------------------------------------------------------- SEMI-ANNUAL REPORT [LOGO] JUNE 30, 2004 (UNAUDITED) A Report of the TIFF INVESTMENT PROGRAM ABOUT TIFF The Investment Fund for Foundations (TIFF) is a non-profit cooperative founded in 1991 by a nationwide network of foundations. Its mission is to improve the investment returns of eligible organizations by making available to them (1) a series of multi-manager investment vehicles designed to meet the long-term investment needs of endowed charities and (2) resources aimed at enhancing fiduciaries' knowledge of investing. TIFF MUTUAL FUNDS The TIFF Investment Program, Inc. (TIP) comprises a family of multi-manager, no-load mutual funds open exclusively to 501(c)(3) organizations. TIP consists of five mutual funds at present: Multi-Asset (MAF), International Equity (IEF), US Equity (USEF), Government Bond (GBF), and Short-Term (STF). TIFF Advisory Services, Inc. (TAS) serves as the investment advisor to the funds. All of the TIFF mutual funds enable member organizations to delegate to TAS responsibility for the time-intensive task of selecting money managers and other vendors. MAF goes beyond this by providing members with an opportunity to also delegate to TAS responsibility for the all-important task of asset allocation within the marketable investments sector. FINANCIAL STATEMENTS TIP is pleased to provide this Semi-Annual Report for June 30, 2004. Additional discussion of the performance of the mutual funds described herein has been provided to members via the TIFF MARKETABLE INVESTMENTS quarterly reports. FOR FURTHER INFORMATION As always, we would welcome the opportunity to discuss any aspect of TIFF's services as well as answer any questions about these financial reports. For further information about TIFF, please call us at 434-817-8200 or visit our Website at www.tiff.org. AUGUST 27, 2004 CONTENTS TIFF Multi-Asset Fund / / Schedule of Investments....................... 3 TIFF International Equity Fund / / Schedule of Investments....................... 12 TIFF US Equity Fund / / Schedule of Investments....................... 17 TIFF Government Bond Fund / / Schedule of Investments....................... 21 TIFF Short-Term Fund / / Schedule of Investments....................... 22 Statement of Assets and Liabilities............... 23 Statement of Operations........................... 25 Statement of Changes in Net Assets................ 27 Statement of Cash Flows........................... 30 Financial Highlights.............................. 31 Notes to Financial Statements..................... 36 Directors and Principal Officers.................. 49
-------------------------------------------------------------------------------- Copyright -C- 2004 / / All rights reserved / / This report may not be reproduced or distributed without written permission from TIFF. (This page intentionally left blank) 2 -------------------------------------------------------------------------------- TIFF MULTI-ASSET FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) JUNE 30, 2004
NUMBER OF SHARES VALUE + COMMON STOCKS -- 41.2% US COMMON STOCKS -- 21.1% AEROSPACE AND DEFENSE -- 0.4% 28,600 Boeing Co. $1,461,174 6,300 Northrop Grumman Corp. 338,310 6,200 Textron, Inc. 367,970 ------------ 2,167,454 ------------ AIRLINES -- 0.2% 26,000 AMR Corp.* 314,860 41,500 Northwest Airlines Corp.* 461,480 ------------ 776,340 ------------ AUTOMOTIVE -- 0.1% 19,700 Ford Motor Co. 308,305 6,300 General Motors Corp. 293,517 ------------ 601,822 ------------ BANKING -- 0.8% 13,150 Bank of America Corp. 1,112,753 4,300 CIT Group, Inc. 164,647 6,750 Countrywide Financial Corp. 474,188 5,500 National City Corp. 192,555 5,600 PNC Financial Services Group, Inc. 297,248 23,000 SLM Corp. 930,350 5,400 UnionBanCal Corp. 304,560 13,100 Wachovia Corp. 582,950 ------------ 4,059,251 ------------ BEVERAGES, FOOD, AND TOBACCO -- 0.7% 19,200 Altria Group, Inc. 960,960 17,100 Anheuser-Busch Companies, Inc. 923,400 11,200 Archer-Daniels-Midland Co. 187,936 10,600 Coca-Cola Enterprises, Inc. 307,294 5,400 Conagra, Inc. 146,232 8,200 Pepsi Bottling Group, Inc. 250,428 17,900 Sara Lee Corp. 411,521 16,200 Tyson Foods, Inc., Class A 339,390 ------------ 3,527,161 ------------ CHEMICALS -- 0.2% 5,000 PPG Industries, Inc. 312,450 7,100 The Scotts Co., Class A* 453,548 ------------ 765,998 ------------ COMMERCIAL SERVICES -- 0.4% 18,900 Cendant Corp. 462,672 6,800 H & R Block, Inc. 324,224 4,000 Learning Tree International, Inc.* 58,040 4,500 Monsanto Co. 173,250 53,120 UnitedGlobalCom, Inc., Class A* 385,651 15,400 Waste Management, Inc. 472,010 ------------ 1,875,847 ------------ COMMUNICATIONS -- 0.6% 194,500 Lucent Technologies, Inc.* 735,210 20,800 Motorola, Inc. 379,600 39,600 Nextel Communications, Inc., Class A* 1,055,736 6,000 Qualcomm, Inc. 437,880 12,000 Verizon Communications Corp. 434,280 ------------ 3,042,706 ------------ NUMBER OF SHARES VALUE + COMPUTER SOFTWARE AND PROCESSING -- 1.2% 8,400 Computer Sciences Corp.* $390,012 23,500 IMS Health, Inc. 550,840 20,600 Intuit, Inc.* 794,748 91,500 Microsoft Corp. 2,613,240 100,400 Oracle Corp.* 1,197,772 19,500 Unisys Corp.* 270,660 9,400 Yahoo!, Inc.* 341,502 ------------ 6,158,774 ------------ COMPUTERS AND INFORMATION -- 0.8% 17,400 Apple Computer, Inc.* 566,196 40,600 Cisco Systems, Inc.* 962,220 9,100 Dell, Inc.* 325,962 13,000 Hewlett-Packard Co. 274,300 6,130 International Business Machines Corp. 540,360 124,800 Sun Microsystems, Inc.* 541,632 47,300 Xerox Corp.* 685,850 ------------ 3,896,520 ------------ COSMETICS AND PERSONAL CARE -- 0.1% 4,000 Avon Products, Inc. 184,560 4,000 Estee Lauder Companies, Inc., Class A 195,120 7,000 Gillette Co. (The) 296,800 ------------ 676,480 ------------ DIVERSIFIED -- 0.5% 12,000 Ashland, Inc. 633,720 230 Berkshire Hathaway Inc., Class B* 679,650 29,000 General Electric Co. 939,600 ------------ 2,252,970 ------------ ELECTRIC UTILITIES -- 0.4% 3,800 Constellation Energy Group, Inc. 144,020 15,700 Edison International 401,449 18,100 Public Service Enterprise Group, Inc. 724,543 5,800 Sempra Energy 199,694 8,700 TXU Corp. 352,437 ------------ 1,822,143 ------------ ELECTRONICS -- 0.3% 37,100 Intel Corp. 1,023,960 13,600 National Semiconductor Corp.* 299,064 5,200 Raytheon Co. 186,004 6,500 Texas Instruments, Inc. 157,170 ------------ 1,666,198 ------------ ENTERTAINMENT AND LEISURE -- 0.3% 9,500 International Speedway Corp., Class A 462,080 57,100 Liberty Media Corp., Class A* 513,329 13,900 Time Warner, Inc.* 244,362 11,200 Walt Disney Co. 285,488 ------------ 1,505,259 ------------ FINANCIAL SERVICES -- 1.8% 24,700 American Express Co. 1,269,086 28,900 Citigroup, Inc. 1,343,850 2,800 Franklin Resources, Inc. 140,224 2,300 Golden West Financial Corp. 244,605 6,400 Goldman Sachs Group, Inc. 602,624 22,700 JP Morgan Chase & Co., Inc. 880,079 13,300 KeyCorp 397,537 51,000 MBNA Corp. 1,315,290 24,500 Mellon Financial Corp. 718,585
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NUMBER OF SHARES VALUE + 2,600 Merrill Lynch & Co. $140,348 7,800 Moody's Corp. 504,348 24,700 Morgan Stanley 1,303,419 7,600 Washington Mutual, Inc. 293,664 ------------ 9,153,659 ------------ FOREST PRODUCTS AND PAPER -- 0.3% 5,100 Georgia-Pacific Group 188,598 30,100 International Paper Co. 1,345,470 3,100 Kimberly-Clark Corp. 204,228 ------------ 1,738,296 ------------ HEALTHCARE PROVIDERS -- 0.2% 22,300 HCA, Inc. 927,457 1,800 Quest Diagnostics, Inc. 152,910 ------------ 1,080,367 ------------ HEAVY MACHINERY -- 0.2% 5,600 Caterpillar, Inc. 444,864 4,000 Eaton Corp. 258,960 4,200 Paccar, Inc. 243,558 ------------ 947,382 ------------ HOME CONSTRUCTION, FURNISHINGS, AND APPLIANCES -- 0.2% 5,600 Centex Corp. 256,200 10,200 D.R. Horton, Inc. 289,680 9,500 Ethan Allen Interiors, Inc. 341,145 ------------ 887,025 ------------ HOUSEHOLD PRODUCTS -- 0.0% 2,600 Fortune Brands, Inc. 196,118 ------------ INSURANCE -- 0.7% 4,800 Aetna, Inc. 408,000 10,100 Allstate Corp. 470,155 4,400 Loews Corp. 263,824 6,100 MBIA Inc. 348,432 7,400 Mercury General Corp. 367,410 3,800 MGIC Investment Corp. 288,268 8,200 Principal Financial Group, Inc. 285,196 4,800 The Progressive Corp. 409,440 4,500 The St. Paul Cos., Inc. 182,430 8,800 Unitrin, Inc. 374,880 ------------ 3,398,035 ------------ LODGING -- 0.7% 37,800 Boca Resorts, Inc., Class A* 749,196 15,800 Hilton Hotels Corp. 294,828 28,200 Interstate Hotels & Resorts, Inc.* 151,998 50,100 Lodgian, Inc.* 528,555 37,900 Starwood Hotels & Resorts Worldwide, Inc. 1,699,815 ------------ 3,424,392 ------------ MEDIA - BROADCASTING AND PUBLISHING -- 0.6% 17,400 Comcast Corp., Class A* 480,414 32,515 Hollinger International, Inc. 545,927 10,685 Liberty Media International, Inc. Class A* 396,414 5,400 McGraw-Hill Companies, Inc. 413,478 136,000 Primedia, Inc.* 378,080 23,300 Viacom, Inc., Class B 832,276 ------------ 3,046,589 ------------ MEDICAL SUPPLIES -- 0.2% 8,700 Baxter International, Inc. 300,237 NUMBER OF SHARES VALUE + 5,100 Becton, Dickinson & Co. $264,180 8,300 Stryker Corp. 456,500 ------------ 1,020,917 ------------ METALS -- 0.1% 4,100 Phelps Dodge Corp.* 317,791 ------------ METALS AND MINING -- 1.1% 51,300 Alcoa, Inc. 1,694,439 25,700 Apex Silver Mines Ltd.* 438,185 19,300 CONSOL Energy, Inc. 694,800 24,300 Freeport-McMoRan Copper & Gold, Inc., Class B 805,545 14,500 International Steel Group, Inc.* 431,375 13,500 Masco Corp. 420,930 32,300 Massey Energy Co. 911,183 ------------ 5,396,457 ------------ OIL AND GAS -- 3.0% 2,700 Amerada Hess Corp. 213,813 12,542 Anadarko Petroleum Corp. 734,961 12,600 Burlington Resources, Inc. 455,868 15,700 ChevronTexaco Corp. 1,477,527 16,800 ConocoPhillips 1,281,672 7,000 Devon Energy Corp. 462,000 17,600 EOG Resources, Inc. 1,050,896 9,200 Equitable Resources, Inc. 475,732 16,600 Evergreen Resources, Inc.* 670,640 38,660 Exxon Mobil Corp. 1,716,891 13,875 Global Santa Fe Corp. 367,688 16,700 Halliburton Co. 505,342 7,700 Kerr-McGee Corp. 414,029 11,400 Marathon Oil Corp. 431,376 9,400 Newfield Exploration Co.* 523,956 9,600 Noble Energy, Inc. 489,600 20,400 Transocean, Inc.* 590,376 19,700 Valero Energy Corp. 1,453,072 18,000 Western Gas Resources, Inc. 584,640 37,125 XTO Energy, Inc. 1,105,954 ------------ 15,006,033 ------------ PHARMACEUTICALS -- 1.1% 4,400 Abbott Laboratories 179,344 4,900 Amgen, Inc.* 267,393 24,900 Bristol-Myers Squibb Co. 610,050 6,500 Cardinal Health, Inc. 455,325 17,100 Johnson & Johnson 952,470 12,100 McKesson Corp. 415,393 8,000 Merck & Co., Inc. 380,000 27,200 Pfizer, Inc. 932,416 42,600 Schering-Plough Corp. 787,248 21,700 Wyeth 784,672 ------------ 5,764,311 ------------ REAL ESTATE -- 2.1% 18,700 Ashford Hospitality Trust, Inc. (REIT) 156,145 17,900 Developers Diversified Realty Corp. (REIT) 633,123 30,400 First Potomac Realty Trust (REIT) 582,768 50,000 Hersha Hospitality Trust (REIT) 494,000 41,100 Host Marriott Corp. (REIT)* 507,996 16,700 Koger Equity, Inc. (REIT)* 386,104 17,000 Mack-Cali Realty Corp. (REIT) 703,460 62,800 Omega Healthcare Investors, Inc. (REIT) 630,512 15,800 One Liberty Properties, Inc. (REIT) 286,928
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NUMBER OF SHARES VALUE + 9,600 Ramco-Gershenson Properties (REIT) $232,608 21,000 Reckson Associates Realty Corp. (REIT) 576,660 22,600 Simon Property Group, Inc. (REIT) 1,162,092 20,000 SL Green Realty Corp. (REIT) 936,000 8,100 St. Joe Co. (The) 321,570 40,200 Strategic Hotel Capital, Inc. (REIT)* 590,940 15,300 The Mills Corp. (REIT) 714,510 14,300 The Rouse Co. (REIT) 679,250 16,200 Vornado Realty Trust (REIT) 925,182 ------------ 10,519,848 ------------ RESTAURANTS -- 0.1% 8,400 McDonald's Corp. 218,400 10,400 Yum! Brands, Inc. 387,088 ------------ 605,488 ------------ RETAILERS -- 0.9% 8,500 Albertson's, Inc. 225,590 2,400 AutoZone, Inc.* 192,240 20,300 Costco Wholesale Corp. 833,721 4,200 CVS Corp. 176,484 6,900 Federated Department Stores, Inc. 338,790 19,500 Home Depot, Inc. 686,400 10,000 JC Penney Company, Inc. 377,600 19,700 Kroger Co.* 358,540 41,000 Limited Brands 766,700 7,500 The Gap, Inc. 181,875 7,000 The May Department Stores Co. 192,430 6,100 TJX Companies, Inc. 154,085 ------------ 4,484,455 ------------ TELEPHONE SYSTEMS -- 0.4% 16,000 ALLTEL Corp. 809,920 20,100 BellSouth Corp. 527,022 120,600 Qwest Communications International, Inc.* 432,954 19,200 SBC Communications, Inc. 465,600 ------------ 2,235,496 ------------ TEXTILES, CLOTHING, AND FABRICS -- 0.1% 5,600 Coach, Inc.* 253,064 ------------ TRANSPORTATION -- 0.3% 23,200 Burlington Northern Santa Fe Corp. 813,624 15,700 Kansas City Southern* 243,350 6,300 Norfolk Southern Corp. 167,076 16,300 Sabre Holdings Corp. 451,673 ------------ 1,675,723 ------------ Total US Common Stocks (Cost $92,604,402) 105,946,369 ------------ FOREIGN COMMON STOCKS -- 20.1% AUSTRALIA -- 1.2% 129,600 Alumina Ltd. 476,675 175,197 Amcor Ltd. 850,634 14,549 Australia and New Zealand Banking Group Ltd. 185,265 28,000 Caltex Australian Ltd. 180,029 90,096 Coles Myer Ltd. 539,116 12,000 CSR Ltd. 18,557 390,903 Foster's Group Ltd. 1,285,270 55,600 National Australia Bank Ltd. 1,155,732 14,818 Orica Ltd. 155,865 68,000 Rinker Group Ltd. 381,319 NUMBER OF SHARES VALUE + 56,000 Santos Ltd. $270,337 215,735 Telstra Corp. 755,913 12,143 WMC Resources Ltd. 41,617 ------------ 6,296,329 ------------ BELGIUM -- 0.2% 1,643 Electrabel SA 526,725 22,457 Fortis* 495,627 ------------ 1,022,352 ------------ BERMUDA -- 0.2% 16,600 Accenture Ltd.* 456,168 4,700 ACE Ltd. 198,716 2,100 Ingersoll Rand Co. 143,451 ------------ 798,335 ------------ BRAZIL -- 0.6% 8,100,000 Cia de Saneamento Basico do Estado de Sao Paulo 350,468 9,347 Cia Vale do Rio Doce - ADR 444,450 30,000 Cia Vale do Rio Doce - Sponsored ADR 1,173,000 23,300 Petroleo Brasileiro SA - ADR 654,031 9,800 Voctorantim Celulose Papel SA - ADR 311,640 ------------ 2,933,589 ------------ CANADA -- 3.0% 146,400 Abitibi-Consolidated, Inc. 1,007,232 29,600 Abitibi-Consolidated, Inc. - Canadian Exchange 202,006 26,000 Agrium, Inc. 379,116 10,700 Alcan, Inc. 440,530 18,000 Alcan, Inc. - ADR 745,200 10,200 BCE, Inc. 203,125 70,600 Bombardier, Inc., Class B 211,682 14,400 Cameco Corp. 843,984 3,750 Canadian National Railway Co. 163,462 44,600 Canadian Natural Resources Ltd. 1,332,262 37,900 Domtar, Inc. 486,488 4,600 Encana Corp. 198,536 34,083 Encana Corp. - Canadian Exchange 1,464,749 4,400 Fairmont Hotels & Resorts, Inc. 118,307 7,100 Imperial Oil Ltd. 332,422 13,300 Imperial Oil Ltd. (foreign market) 618,997 15,300 Inco Ltd.* 525,044 1,700 Magna International, Inc. 144,789 175,400 Nortel Networks Corp.* 875,201 14,271 Petro-Canada 613,629 61,600 Placer Dome, Inc. 1,025,024 24,400 Rogers Communications, Inc., Class B 439,500 33,184 Suncor Energy, Inc. 841,759 69,000 Talisman Energy - Canadian Exchange 1,497,595 17,500 Western Oil Sands, Inc., Class A* 440,518 ------------ 15,151,157 ------------ CHINA -- 0.3% 11,200 Aluminum Corp. of China Ltd. 609,392 770,000 Beijing Capital International Airport Co., Ltd., Class H 236,929 14,800 China Petroleum & Chemical Corp. - ADR 546,860 168,000 Guangshen Railway Co. Ltd. 48,463 ------------ 1,441,644 ------------ DENMARK -- 0.1% 800 Coloplast AS, Class B 75,427
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NUMBER OF SHARES VALUE + 8,133 Vestas Wind Systems A/S* $119,481 3,100 William Demant Holding* 117,216 ------------ 312,124 ------------ ESTONIA -- 0.0% 26,496 Hansabank Ltd. 222,431 ------------ FINLAND -- 0.2% 11,900 Metso Oyj 150,573 9,400 M-real Oyj, Class B 85,202 16,300 Sampo Oyj, Class A 158,255 5,400 Tietoenator OY 163,919 23,968 UPM-Kymmeme OY 456,073 ------------ 1,014,022 ------------ FRANCE -- 1.2% 13,200 Alcatel SA* 203,638 1,700 Atos Origin* 109,206 2,800 Aventis SA - Frankfurt Exchange 211,040 5,600 AXA SA 123,320 3,000 BNP Paribas 184,505 4,100 Carrefour SA 198,932 18,944 Compagnie de Saint-Gobain 944,285 2,000 Groupe Danone 174,468 200 JC Decaux SA* 4,280 96,000 Scor SA* 149,502 10,583 Societe Generale, Class A 899,375 3,000 Thales SA 109,754 4,912 Total SA 936,468 18,300 Total SA - Sponsored ADR 1,758,264 5,400 Vivendi Universal SA* 149,794 ------------ 6,156,831 ------------ GERMANY -- 0.7% 3,500 BASF AG 187,322 31,695 Bayer AG 913,913 20,433 Bayerische Hypo-und Vereinsbank AG* 363,450 4,400 Bayerische Motoren Werke AG 194,698 5,400 Deutsche Post AG 116,616 2,800 E. ON AG 202,013 2,700 Fresenius Medical Care 200,349 30,897 RWE AG 1,452,886 ------------ 3,631,247 ------------ HONG KONG -- 1.0% 26,000 Asia Satellite Telecom Holdings 45,334 432,000 First Pacific Co. Ltd.* 96,926 78,000 Henderson Land Development Co. 336,009 106,000 Hong Kong & China Gas Co. Ltd. 174,633 41,000 Hong Kong Aircraft Engineering Co. Ltd. 188,184 116,200 Hong Kong Electric Holdings Ltd. 481,200 78,000 Hong Kong Exchanges & Clearing Ltd. 160,004 170,000 Hong Kong Shanghai Hotels Ltd. 102,983 145,080 Hysan Development Co. Ltd. 215,766 348,000 i-Cable Communications Ltd. 132,734 81,200 Jardine Matheson Holdings Ltd. 893,200 89,000 Jardine Strategic Holdings Ltd. 449,450 79,000 Mandarin Oriental International Ltd.* 43,450 502,600 New World Development Ltd. 370,516 166,000 Next Media Ltd.* 55,335 147,000 SmarTone Telecommunications Holdings Ltd. 161,139 77,000 Television Broadcasts Ltd. 329,726 NUMBER OF SHARES VALUE + 250,000 Wharf Holdings Ltd. $717,967 131,000 Wheelock & Co. Ltd. 157,876 ------------ 5,112,432 ------------ INDIA -- 0.0% 18,000 ICICI Bank Ltd. - ADR 217,800 ------------ INDONESIA -- 0.1% 227,000 PT Astra International, Inc. 132,784 2,682,344 PT Bank Pan Indonesia TBK 74,173 89,000 PT Gudang Garam TBK 129,678 606,000 PT Matahari Putra Prima TBK 33,837 91,000 PT Semen Gresik 77,426 ------------ 447,898 ------------ IRELAND -- 0.0% 23,300 Fyffes plc 48,758 60,300 Independent News & Media plc 140,125 ------------ 188,883 ------------ ITALY -- 0.4% 308,072 Banca Intesa SpA 1,203,159 2,400 E.Biscom SpA* 131,252 10,000 Fiat SpA* 83,900 12,300 Luxottica Group SpA - ADR 207,870 2,500 Natuzzi SpA 26,850 20,300 Saipem SpA 184,741 32,200 Unicredito Italiano SpA 159,055 ------------ 1,996,827 ------------ JAPAN -- 1.5% 4,900 Aisin Seiki Co. Ltd. 102,163 15,000 Canon, Inc. 790,450 18,000 Chiba Bank Ltd. (The) 110,196 8,000 Dai Nippon Printing Co. Ltd. 127,792 12,000 Daifuku Co. Ltd. 61,256 16 Dentsu, Inc. 41,204 18 East Japan Railway Co. 100,958 5,600 FamilyMart Co. Ltd. 182,706 5,000 Fuji Photo Film Co. 156,715 4,600 Fujitsu Frontech Ltd. 43,633 28,000 Hitachi Ltd. 192,714 2,000 Ito-Yokado Co. Ltd. 85,598 23 Japan Tobacco, Inc. 178,747 4,000 Kao Corp. 96,412 27,000 Kawasaki Heavy Industries, Ltd. 43,550 7,000 Kinden Corp. 43,752 20,000 Kirin Brewery Co. Ltd. 197,773 10,000 Koito Manufacturing Co. Ltd. 73,500 8,000 Lion Corp. 46,850 5,000 Matsushita Electric Industries Co. 70,980 10,114 Matsushita Electric Works Ltd. 91,764 8,000 Mitsubishi Corp. 77,716 20,000 Mitsubishi Gas Chemical Co. 82,848 12,000 NGK Insulators Ltd. 96,889 800 Nintendo Co. Ltd. 92,746 6,000 Nippon Meat Packers, Inc. 73,904 28,000 Nippon Oil Corp. 176,291 20,000 Nippon Sanso Corp. 107,043 40,000 Nippon Suisan Kaisha Ltd. 106,310 44 Nippon Telegraph and Telephone Corp. 235,091 10,000 Nisshinbo Industries, Inc. 75,242 10,000 Noritake Co. Ltd. 43,440 38 NTT DoCoMo, Inc. 67,910
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NUMBER OF SHARES VALUE + 2,000 OMRON Corp. $46,831 7,000 Onward Kashiyama Co. 112,267 3,000 Ryosan Co. 68,597 2,000 Sankyo Co., Ltd. 81,565 2,000 SECOM Co. Ltd. 84,865 5,000 Shiseido Co. Ltd. 63,007 9,000 Sompo Japan Insurance, Inc. 91,967 17,000 Sumitomo Electric Industries Ltd. 173,404 12,000 Sumitomo Forestry Co. Ltd. 137,910 14,000 Sumitomo Metal Mining Co. Ltd. 91,353 24 Sumitomo Mitsui Financial Group, Inc. 164,524 18,000 Sumitomo Trust & Banking Co. Ltd. 128,177 22,900 Takeda Chemical Industries Ltd. 1,005,279 7,000 Tanabe Seiyaku Co. Ltd. 62,613 42,000 Tokyo Gas Co. 148,962 3,000 Tokyo Ohka Kogyo Co. 58,837 4,000 Toppan Forms Co. Ltd. 54,988 4,000 Tostem Inax Holding Corp. 86,331 3,000 Toyo Seikan 51,524 3,000 Toyota Motor Corp. 121,523 49 West Japan Railway Co. 197,590 6,000 Yamaha Motor Co. Ltd. 93,424 6,000 Yamatake Corp. 61,201 14,000 Yokohama Bank Ltd. 87,504 ------------ 7,348,386 ------------ LUXEMBOURG -- 0.0% 9,500 Arcelor SA 159,503 ------------ MALAYSIA -- 0.2% 9,800 British American Tobacco Berhad 130,237 31,000 Carlsberg Brewery Malaysia Berhad 88,105 112,000 CIMB Berhad 165,053 97,000 Commerce Asset-Holding Berhad 124,058 65,000 Kumpulan Guthrie Berhad 34,553 39,000 Malaysian Airlines System Berhad* 48,853 181,000 Multi-Purpose Holdings Berhad* 53,824 123,000 Resorts World Berhad 289,697 ------------ 934,380 ------------ MEXICO -- 0.1% 700 America Movil SA de CV 25,459 201,000 Grupo Continental SA 313,708 800 Telefonos de Mexico, Class L - ADR 26,616 ------------ 365,783 ------------ NETHERLANDS -- 1.1% 7,375 Heineken NV 242,355 41,048 ING Groep NV 968,856 19,300 Koninklijke (Royal) KPN NV 146,993 9,200 Koninklijke (Royal) Philips Electronics NV 249,153 1,893 Koninklijke Boskalis Westminster NV 48,941 68,669 Reed Elsevier NV 964,122 33,615 Royal Dutch Petroleum Co. 1,725,065 17,900 Royal Dutch Petroleum Co., NY Shares 924,893 4,000 Royal Nedlloyd NV 136,751 4,264 Wolters Kluwer NV 77,402 ------------ 5,484,531 ------------ NEW ZEALAND -- 0.2% 96,000 Carter Holt Harvey Ltd. 126,197 258,241 Telecom Corporation of New Zealand Ltd. 964,296 ------------ 1,090,493 ------------ NUMBER OF SHARES VALUE + NORWAY -- 0.0% 15,100 DNB NOR ASA $103,041 4,600 Schibsted ASA 82,457 ------------ 185,498 ------------ PERU -- 0.1% 24,400 Compania de Minas Buenaventura SA - ADR 539,240 ------------ PHILIPPINES (THE) -- 0.2% 261,000 ABS-CBN Broadcasting Corp. - PDR* 104,577 4,467,800 Ayala Corp. 453,503 21,000 Globe Telecom, Inc. 306,651 194,000 Jollibee Foods Corp. 82,913 ------------ 947,644 ------------ RUSSIA -- 0.3% 10,670 Lukoil Oil Co. - ADR 1,122,484 6,300 MMC Norilsk Nickel - ADR 349,650 ------------ 1,472,134 ------------ SINGAPORE -- 0.3% 323,000 BIL International Ltd.* 139,705 18,000 Great Eastern Holdings Ltd. 123,313 16,000 Haw Par Corp. 47,374 26,000 Overseas Union Enterprise Ltd. 106,418 73,000 Overseas-Chinese Banking Corp. Ltd. 512,816 301,000 SembCorp Marine 166,014 38,250 Singapore Press Holdings, Ltd. 92,380 189,000 United Industrial Corp. 102,046 ------------ 1,290,066 ------------ SOUTH AFRICA -- 1.0% 25,167 Anglo American Platinum Corp. 952,029 8,656 Anglo American plc - Johannesburg Exchange 177,098 20,300 Anglo American plc - London Exchange 415,262 2,523 AngloGold Ashanti Ltd. 81,140 1,600 AngloGold Ltd. 52,152 71,800 Aveng Ltd. 85,528 6,700 Edgars Consolidated Stores Ltd. 159,620 73,000 FirstRand Ltd. 119,742 50,000 Gold Fields Ltd. 525,655 22,400 Harmony Gold Mining Co. Ltd. 237,216 5,500 Impala Platinum Holdings Ltd. 416,999 17,100 JD Group Ltd. 117,812 39,500 Kersaf Investments Ltd. 257,515 23,604 Nedcor Ltd. 234,435 11,600 Pretoria Portland Cement Co. Ltd. 291,295 40,200 Rembrandt Group Ltd. 128,645 81,500 RMB Holdings Ltd. 211,876 37,910 Sasol Ltd. 586,446 ------------ 5,050,465 ------------ SOUTH KOREA -- 0.1% 430 Hyundai Motor Co. Ltd. 16,541 730 Kookmin Bank* 22,680 460 Korea Electric Power Corp. 7,405 100 Pohang Iron and Steel Co. Ltd. 12,895 17,266 Posco - ADR 578,584 80 Samsung Electronics Co. Ltd. 33,025 ------------ 671,130 ------------
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NUMBER OF SHARES VALUE + SPAIN -- 0.8% 2,900 Acciona SA $180,295 4,400 Acerinox SA 250,479 51,362 Banco Central Hispanoamer SA 533,036 4,100 Banco Popular Espanol 231,555 42,320 Iberdrola SA 893,328 10,380 NH Hoteles SA 114,165 1,100 Prosegur Cia de Seguridad SA 16,903 21,800 Repsol SA - ADR 476,548 800 Sogecable SA* 32,266 83,281 Telefonica SA 1,231,085 3,200 Viscofan SA 30,251 ------------ 3,989,911 ------------ SWEDEN -- 0.2% 11,300 Assa Abloy AB 144,382 2,800 Hoganas AB, Class B 68,579 3,900 Svenska Cellulosa AB 148,069 12,000 Svenska Handelsbanken, Class A 240,543 86,400 Telefonaktiebolaget Ericsson LM, Class B* 254,625 ------------ 856,198 ------------ SWITZERLAND -- 0.2% 800 Adecco SA 39,859 1,900 Alcon, Inc. 149,435 9,300 Compagnie Financiere Richemont AG 242,822 90 Geberit AG 60,005 1,440 Logitech International SA* 65,538 5,600 Novartis AG 247,046 200 Publigroupe SA 63,239 480 SGS Societe General de Surveillance SA 262,153 ------------ 1,130,097 ------------ TAIWAN -- 0.1% 122,000 Asustek Computer, Inc. - GDR 275,720 ------------ THAILAND -- 0.4% 166,000 Advanced Information Service Public Co. Ltd. 369,475 76,000 GMM Grammy Public Co. Ltd. 28,441 80,000 Golden Land Property Development Public Co. Ltd.* 16,045 157,000 Kasikornbank Public Co. Ltd.* 199,682 48,000 MBK Public Co. Ltd. 59,288 116,000 National Finance Public Co. Ltd. 41,707 51,700 Siam Cement Public Co. Ltd. 308,543 107,100 Siam Cement Public Co. Ltd. - NVDR 607,734 38,000 Siam Commercial Bank Public Co. Ltd. 42,986 389,900 Thai Union Frozen Products Public Co. - NVDR 192,637 ------------ 1,866,538 ------------ UNITED KINGDOM -- 4.1% 16,700 Abbey National plc 155,440 13,500 Amvescap plc 92,053 28,400 Arriva plc 212,194 25,000 Associated British Ports Holdings plc 183,277 37,428 Aviva plc 386,213 20,600 BAA plc 206,777 76,500 BAE Systems plc 304,172 NUMBER OF SHARES VALUE + 31,700 Barclays plc $270,050 165,546 BG Group plc 1,019,990 24,942 BOC Group plc 417,494 101,816 Boots Group plc 1,270,346 108,645 BP plc 959,525 29,000 BP plc - ADR 1,553,530 165,166 Brambles Industries plc 637,996 26,000 BT Group plc 93,595 2,600 Bunzl plc 21,678 98,000 Cable & Wireless Communications plc* 230,596 27,000 Capita Group plc 155,952 4,100 Carnival plc 199,119 25,000 Compass Group plc 152,561 15,000 Devro plc 29,243 24,000 Diageo plc 323,601 43,700 Eircom Group plc* 78,688 8,000 EMI Group plc 35,363 52,000 Enodis plc* 96,188 6,200 Enterprise Inns plc 64,651 104,081 GKN plc 472,821 62,267 GlaxoSmithKline plc 1,260,201 49,665 GUS plc 761,521 39,500 Hanson plc 271,669 66,448 HBOS plc 822,436 27,000 Hilton Group plc 135,142 28,600 ICAP plc 141,076 71,664 InterContinental Hotels Group plc 757,033 17,000 Intertek Testing Services plc 176,345 285,900 Invensys plc* 93,326 61,000 ITV plc 127,770 49,200 Kidde plc 106,623 130,066 Lloyds TSB Group plc 1,018,389 102,366 Mitchells & Butlers plc 517,009 38,000 MyTravel Group plc* 5,513 22,000 PIC International Group plc 15,061 109,200 Pilkington plc 193,083 12,000 Provident Financial plc 130,681 7,700 Reckitt Benckiser plc 217,977 27,000 Reed Elsevier plc 262,450 23,200 Rentokil Initial plc 60,796 11,200 Rio Tinto plc 269,327 45,000 Shell Transport & Trading Co. 330,102 15,900 Shell Transport & Trading Co. - ADR 710,730 10,000 Smiths Group plc 135,378 96,000 Stagecoach Group plc 155,816 39,100 TBI plc 47,154 41,600 Tesco plc 200,863 55,800 The Sage Group plc 188,726 1,000 Travis Perkins plc 24,899 92,600 Vedanta Resources Ltd.* 483,219 89,000 Vodafone Group plc 194,892 12,700 WPP Group plc 128,976 68,879 Xstrata plc 920,602 ------------ 20,487,898 ------------ Total Foreign Common Stocks (Cost $80,784,353) 101,089,516 ------------ Total Common Stocks (Cost $173,388,755) 207,035,885 ------------
8 -------------------------------------------------------------------------------- TIFF MULTI-ASSET FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) JUNE 30, 2004
PRINCIPAL INTEREST MATURITY AMOUNT RATE DATE VALUE + ASSET-BACKED SECURITIES -- 2.0% $350,000 ACE Securities Corp., Ser. 2003-NC1, Class M2 (FRN) 3.200% 07/25/33 $361,968 300,000 ACE Securities Corp., Ser. 2003-OP1, Class M2 (FRN) 2.800% 12/25/33 300,502 300,000 Asset Backed Securities Corp. Home Equity Loan Trust, Ser. 2003-HE5, Class M2 (FRN) 3.140% 08/15/33 308,725 254,000 Asset Backed Securities Corp. Home Equity Loan Trust, Ser. 2004-HE1, Class 2 (FRN) 2.890% 01/15/34 261,390 275,000 Centex Home Equity, Ser. 2003-B, Class M2 (FRN) 3.000% 06/25/33 280,994 250,000 Chase Funding Loan Acqusition Trust, Ser. 2003-C1, Class 2M2 (FRN) 2.750% 10/25/32 253,119 352,922 Chase Funding Mortgage Loan Asset-Backed Certificates, Ser. 2000-2, Class IA5 8.321% 05/25/30 368,913 185,580 CIT Group Home Equity Loan Trust, Ser. 2003-1, Class A2 2.350% 04/20/27 185,331 500,000 Countrywide Asset-Backed Certificates, Ser. 2003-BC3, Class M3 (FRN) 2.800% 01/25/33 507,350 407,699 Countrywide Asset-Backed Certificates, Series 2004-1, Class 3A (FRN) 1.580% 04/25/34 408,217 500,000 First Franklin Mortgage Loan Asset Backed Certificates, Ser. 2003-FF1, Class M2 (FRN) 2.950% 07/25/33 510,011 265,000 First Franklin Mortgage Loan Asset-Backed Certificates, Ser. 2003-FF5, Class M2, (FRN) 2.800% 03/25/34 270,099 193,019 Impac CMB Trust, Ser. 2003-5, Class M2 (FRN) 3.050% 08/25/33 196,286 340,970 Impac CMB Trust, Ser. 2003-6, Class 1M1 (FRN) 3.000% 07/25/33 346,802 202,238 Impac CMB Trust, Ser. 2003-7, Class M (FRN) 2.950% 08/25/33 205,373 318,617 Impac CMB Trust, Ser. 2004-4, Class 1M5 (FRN) 2.600% 09/25/34 318,266 PRINCIPAL INTEREST MATURITY AMOUNT RATE DATE VALUE + $450,000 Long Beach Mortgage Loan Trust, Ser. 2002-5, Class M2 (FRN)(a) 3.300% 11/25/32 $460,481 400,000 Long Beach Mortgage Loan Trust, Ser. 2003-4, Class M2, (FRN) 3.050% 08/25/33 409,861 606,000 Morgan Stanley ABS Capital, Inc., Ser. 2004-NC1, Class M2 (FRN) 2.850% 12/27/33 620,570 500,000 New Century Home Equity Loan Trust, Ser. 2003-2, Class M2 (FRN) 3.300% 01/25/33 510,369 300,000 New Century Home Equity Loan Trust, Ser. 2003-6, Class M2 (FRN) 2.900% 01/25/34 304,228 350,000 New Century Home Equity Loan Trust, Ser. 2004-1, Class M2 (FRN) 2.650% 05/25/34 349,994 51,586 Residential Asset Securities Corp., Ser. 2001-KS1, Class AI4 6.374% 03/25/29 51,772 345,034 Residential Asset Securities Corp., Ser. 2001-KS2, Class AI4 6.417% 02/25/29 350,858 190,020 Residential Asset Securities Corp., Ser. 2002-KS1, Class AI3 4.988% 02/25/27 190,105 250,000 Residential Asset Securities Corp., Ser. 2003-KS10, Class M-II-2 (FRN) 2.650% 12/25/33 252,383 301,188 Residential Funding Mortgage Securities II, Ser. 2002-HS2, Class A6 5.380% 03/25/17 302,802 144,164 Wachovia Asset Securitization, Inc., Ser. 2002-1, Class 1A1 6.250% 10/25/33 146,746 1,000,000 Washington Mutual, Series 2004-AR8, Class A1 (FRN) 1.720% 06/25/44 1,000,000 ------------ Total Asset-Backed Securities (Cost $9,945,730) 10,033,515 ------------ US TREASURY SECURITIES -- 17.5% 15,531,613 US Treasury Inflation-Indexed Bond 1.875% 07/15/13 15,342,934 43,985,127 US Treasury Inflation-Indexed Bond 2.000% 01/15/14 43,723,944 28,328,000 US Treasury Note+ 4.750% 05/15/14 28,623,461 ------------ Total US Treasury Securities (Cost $88,077,185) 87,690,339 ------------
9 -------------------------------------------------------------------------------- TIFF MULTI-ASSET FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) JUNE 30, 2004
PRINCIPAL INTEREST MATURITY AMOUNT RATE DATE VALUE + US GOVERNMENT AGENCY OBLIGATIONS - AGENCY NOTES -- 1.0% $500,000 FHLB 4.250% 09/08/09 $501,881 350,000 FHLB 4.500% 06/10/08 354,094 1,000,000 FHLB 5.625% 07/26/06 1,002,524 1,200,000 FHLB 6.980% 07/20/09 1,203,348 400,000 FHLB 7.195% 08/25/09 403,208 989,545 FHLMC (FRN) 2.889% 07/01/34 957,771 608,000 FNMA 7.300% 09/23/09 615,026 ------------ Total US Government Agency Obligations - Agency Notes (Cost $5,093,069) 5,037,852 ------------
US GOVERNMENT AGENCY OBLIGATIONS - MORTGAGE-BACKED -- 0.9% 1,613,571 FHLMC, Ser. T-057, Class 1A3 7.500% 07/25/43 1,729,039 566,163 FNMA, Ser. 2001-W1, Class AF-5 7.016% 08/25/31 575,209 1,683,864 FNMA, Ser. 2002-W8, Class A3 7.500% 06/25/42 1,804,361 643,173 GNMA, Ser. 2001-65, Class PG 6.000% 07/20/28 656,896 ------------ Total US Government Agency Obligations - Mortgage-Backed (Cost $4,826,885) 4,765,505 ------------
NUMBER OF SHARES COMMINGLED INVESTMENT VEHICLES -- 0.0% 100 iShares MSCI Emerging Markets Index Fund (Cost $15,421) 16,163 ----------- LIMITED PARTNERSHIPS -- 18.3% Bessent Global Fund, LP*(b)(c)(d)(e) 4,844,603 Canyon Value Realization Fund, LP*(b)(c)(d)(e) 21,890,868 Farallon Capital Institutional Partners, LP*(a)(b)(c)(d) 18,358,707 Lone Picea, LP*(a)(b)(c)(d) 2,462,600 Lone Redwood, LP*(a)(b)(c)(d) 12,749,156 Maverick Fund USA, Ltd.*(a)(b)(c)(d) 5,454,810 OZ Domestic Partners, LP*(a)(b)(c)(d) 10,756,053 Regiment Capital Ltd.*(a)(b)(c)(d) 6,459,523 Tosca*(a)(b)(c)(d) 8,652,331 ----------- Total Limited Partnerships (Cost $59,357,234) 91,628,651 ----------- PREFERRED STOCK -- 0.1% METALS -- 0.0% 5,456 Anglo American Platinum Corp., Ltd.* 100,122 ----------- OIL AND GAS -- 0.1% 13,400 Surgutneftegaz - ADR 438,180 ----------- Total Preferred Stock (Cost $313,217) 538,302 ----------- NUMBER OF SHARES VALUE + WARRANTS -- 0.0% 18,100 Multi-Purpose Holdings Berhad Warrants, Expires 2/26/2009* (Cost $500) $2,143 -----------
PRINCIPAL INTEREST MATURITY AMOUNT RATE DATE SHORT-TERM INVESTMENTS -- 23.0% REPURCHASE AGREEMENTS -- 22.1% $102,724,177 Investors Bank & Trust Company -- Repurchase Agreement issued 06/30/04 (proceeds at maturity $102,862,330) (Collateralized by a $27,397,791 SBA, 4.15 - 4.625%, due 03/25/23 - 03/25/29, $39,701,705 Washington Mutual, 1.8%, due 11/25/33 and a $37,514,093 FNMA, 3.053%, due 12/01/35 with market values of $29,773,769, $39,764,049 and $38,322,567, respectively.) 0.700% 07/01/04 102,724,177 8,000,000 Morgan Stanley -- Repurchase Agreement issued 06/30/04 (proceeds at maturity $8,000,342) (Collateralized by a FNCL, 5%, due 09/01/33, with a market value of $8,160,005) 1.540% 07/01/04 8,000,000 ------------ Total Repurchase Agreements (Cost $110,724,177) 110,724,177 ------------ US TREASURY SECURITIES -- 0.9%# 1,000,000 US Treasury Bill++ 1.238% 09/09/04 997,597 200,000 US Treasury Bill++ 1.397% 10/14/04 199,192 100,000 US Treasury Bill++ 1.498% 10/28/04 99,510 500,000 US Treasury Bill++ 1.578% 11/18/04 496,970 50,000 US Treasury Bill++ 1.588% 11/26/04 49,679 250,000 US Treasury Bill++ 1.648% 12/02/04 248,263 2,050,000 US Treasury Bill++ 1.692% 12/16/04 2,034,061 500,000 US Treasury Bill++ 1.703% 12/23/04 495,927 ------------ Total US Treasury Securities (Cost $4,623,069) 4,621,199 ------------ Total Short-Term Investments (Cost $115,347,246) 115,345,376 ------------ Total Investments -- 104.0% (Cost $456,365,242) 522,093,731 Liabilities in Excess of Other Assets -- (4.0%) (20,089,825) ------------ NET ASSETS -- 100.0% $502,003,906 ============ SHORT PORTFOLIO -- (0.0%) COMMINGLED INVESTMENT VEHICLE -- (0.0%) 1,000 iShares MSCI Japan Index Fund $(10,620) ------------ Total Short Portfolio (Proceeds $10,045) $(10,620) ============
10 -------------------------------------------------------------------------------- TIFF MULTI-ASSET FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) JUNE 30, 2004
SUMMARY OF INDUSTRY CLASSIFICATIONS (AS A % OF TOTAL NET ASSETS): Basic Industries 0.3% Capital Equipment 5.3 Consumer Goods 5.9 Energy 8.2 Finance 32.3 Industrial 0.1 Limited Partnerships(d) 18.3 Materials 5.9 Multi-Industry 1.3 Other 0.1 Services 5.9 US Government Obligations 20.3 Utilities 0.1 Other Assets (Liabilities) (4.0) ------ TOTAL 100.0% ======
ADR American Depositary Receipt FHLB Federal Home Loan Bank FHLMC Federal Home Loan Mortgage Corporation FNCL Federal National Conventional Loan FNMA Federal National Mortgage Association GNMA Government National Mortgage Association NVDR Non-Voting Depositary Receipt PDR Phillippine Depositary Receipt REIT Real Estate Investment Trust SBA Small Business Administration # Interest rate represents the yield to maturity at the time of purchase. * Non-income producing security. + Security or a portion thereof is held as collateral for reverse repurchase agreements. See Appendix F of Notes to Financial Statements. ++ Security or a portion thereof is held as initial margin for financial futures and forward contracts. See Appendix B and Appendix C of Notes to Financial Statements. + See Note 2 to the Financial Statements. (a) Illiquid security. (b) Security is valued in good faith under procedures established by the board of directors. (c) Restricted security. See Appendix E of Notes to Financial Statements. (d) Industry breakdowns are not available for all limited partnerships. The information that is available, if included in the industry concentration presented above, would not affect the percentages by more than 1% (on an absolute basis). (e) The valuation committee has determined these partnership interests to be liquid based on liquidity letters issued by the partnerships' advisor and duly ratified by the TIP board of directors. In the case of Bessent Global Fund, LP, the liquity letter states that the partnership interst may be redeemed upon seven days' notice and payment of a 5% redemption fee. The fund's advisor, TAS, has agreed to reimburse the fund for any redemption fees incurred pursuant to the terms of the liquidity letter. See accompanying Notes to Financial Statements. 11 -------------------------------------------------------------------------------- TIFF INTERNATIONAL EQUITY FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) JUNE 30, 2004
NUMBER OF SHARES VALUE + COMMON STOCKS -- 76.2% AUSTRALIA -- 4.1% 94,000 Alumina Ltd. $345,737 177,793 Amcor Ltd. 863,239 33,900 Australia and New Zealand Banking Group Ltd. 431,677 48,000 Caltex Australian Ltd. 308,622 102,253 Coles Myer Ltd. 611,861 325,852 Foster's Group Ltd. 1,071,386 54,146 National Australia Bank Ltd. 1,125,508 19,733 Orica Ltd. 207,565 148,000 Santos Ltd. 714,461 201,528 Telstra Corp. 706,134 80,958 WMC Resources Ltd. 277,465 ------------ 6,663,655 ------------ BELGIUM -- 0.6% 1,356 Electrabel SA 434,716 25,697 Fortis* 567,134 ------------ 1,001,850 ------------ BRAZIL -- 0.7% 9,560,000 Cia de Saneamento Basico do Estado de Sao Paulo 413,639 6,200 Cia Vale do Rio Doce - ADR 294,810 14,700 Voctorantim Celulose Papel SA - ADR 467,460 ------------ 1,175,909 ------------ CANADA -- 1.5% 30,000 Abitibi-Consolidated, Inc. - Canadian Exchange 204,736 6,710 Agrium, Inc. 97,841 26,000 Air Canada, Class A* 5,818 7,500 Alcan, Inc. 308,782 7,800 BCE, Inc. 155,331 78,500 Bombardier, Inc., Class B 235,368 3,800 Fairmont Hotels & Resorts, Inc. 102,174 10,772 Imperial Oil Ltd. (foreign market) 501,341 7,800 Inco Ltd.* 267,670 45,020 Nortel Networks Corp.* 224,638 20,800 Rogers Communications, Inc., Class B 374,656 ------------ 2,478,355 ------------ CHILE -- 0.2% 12,800 Banco Santander Chile SA, ADR 341,760 ------------ CHINA -- 0.2% 962,000 Beijing Capital International Airport Co., Ltd., Class H 296,008 237,000 Guangshen Railway Co. Ltd. 68,367 ------------ 364,375 ------------ CROATIA -- 0.2% 20,848 Pliva DD - GDR 307,427 ------------ DENMARK -- 0.5% 2,600 Coloplast AS, Class B 245,136 19,466 Vestas Wind Systems A/S* 285,972 6,500 William Demant Holding* 245,775 ------------ 776,883 ------------ ESTONIA -- 0.1% 21,956 Hansabank Ltd. 184,318 ------------ NUMBER OF SHARES VALUE + FINLAND -- 1.1% 25,700 Metso Oyj $325,186 23,900 M-real Oyj, Class B 216,631 38,200 Sampo Oyj, Class A 370,879 12,220 Tietoenator OY 370,943 26,268 UPM-Kymmeme OY 499,838 ------------ 1,783,477 ------------ FRANCE -- 4.7% 31,300 Alcatel SA* 482,869 4,400 Atos Origin* 282,652 6,576 Aventis SA - Frankfurt Exchange 495,643 14,200 AXA SA 312,703 7,908 BNP Paribas 486,355 7,646 Carrefour SA 370,984 29,646 Compagnie de Saint-Gobain 1,477,739 4,800 Groupe Danone 418,722 400 JC Decaux SA* 8,560 222,120 Scor SA* 345,910 12,626 Societe Generale, Class A 1,072,995 7,500 Thales SA 274,385 6,575 Total SA 1,253,518 12,945 Vivendi Universal SA* 359,089 ------------ 7,642,124 ------------ GERMANY -- 3.2% 8,500 BASF AG 454,924 29,081 Bayer AG 838,539 36,583 Bayerische Hypo-und Vereinsbank AG* 650,717 8,900 Bayerische Motoren Werke AG 393,821 11,000 Deutsche Post AG 237,551 6,100 E. ON AG 440,099 1,400 Fresenius Medical Care 103,885 15,780 Fresenius Medical Care - ADR 394,973 36,126 RWE AG 1,698,772 ------------ 5,213,281 ------------ HONG KONG -- 3.5% 28,000 Asia Satellite Telecom Holdings 48,822 562,000 First Pacific Co. Ltd.* 126,093 108,000 Henderson Land Development Co. 465,243 115,000 Hong Kong & China Gas Co. Ltd. 189,460 59,000 Hong Kong Aircraft Engineering Co. Ltd. 270,802 105,000 Hong Kong Electric Holdings Ltd. 434,819 110,000 Hong Kong Exchanges & Clearing Ltd. 225,647 215,000 Hong Kong Shanghai Hotels Ltd. 130,244 201,726 Hysan Development Co. Ltd. 300,010 491,000 i-Cable Communications Ltd. 187,277 105,420 Jardine Matheson Holdings Ltd. 1,159,620 118,881 Mandarin Oriental International Ltd.* 65,385 710,640 New World Development Ltd. 523,883 300,000 Next Media Ltd.* 100,003 202,478 SmarTone Telecommunications Holdings Ltd. 221,953 89,000 Television Broadcasts Ltd. 381,112 219,571 Wharf Holdings Ltd. 630,579 155,000 Wheelock & Co. Ltd. 186,800 ------------ 5,647,752 ------------ INDIA -- 0.2% 32,100 ICICI Bank Ltd. - ADR 388,410 24,216 Lippo Bank Tbk PT* 1,275 ------------ 389,685 ------------
12 -------------------------------------------------------------------------------- TIFF INTERNATIONAL EQUITY FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) JUNE 30, 2004
NUMBER OF SHARES VALUE + INDONESIA -- 0.4% 292,307 PT Astra International, Inc. $170,985 4,137,888 PT Bank Pan Indonesia TBK 114,422 343,000 PT Citra Marga Nusaphala Persada TBK* 17,145 114,000 PT Gudang Garam TBK 166,105 1,420,000 PT Matahari Putra Prima TBK 79,287 415,000 PT Mulia Industrindo TBK* 9,710 121,000 PT Semen Gresik 102,951 ------------ 660,605 ------------ IRELAND -- 0.3% 72,300 Fyffes plc 151,298 151,340 Independent News & Media plc 351,684 ------------ 502,982 ------------ ITALY -- 2.0% 360,079 Banca Intesa SpA 1,406,269 5,800 E.Biscom SpA* 317,193 24,000 Fiat SpA* 201,360 28,400 Luxottica Group SpA - ADR 479,960 6,600 Natuzzi SpA 70,884 40,900 Saipem SpA 372,212 78,200 Unicredito Italiano SpA 386,277 ------------ 3,234,155 ------------ JAPAN -- 14.9% 15,800 Aisin Seiki Co. Ltd. 329,423 23,300 Canon, Inc. 1,227,833 49,000 Chiba Bank Ltd. (The) 299,977 25,000 Dai Nippon Printing Co. Ltd. 399,349 27,000 Dai-Dan Co. Ltd. 137,827 15,000 Daifuku Co. Ltd. 76,571 48 Dentsu, Inc. 123,613 50 East Japan Railway Co. 280,438 15,900 Eisai Co. Ltd. 457,554 4,800 Ezaki Glico Co. Ltd. 34,884 18,000 FamilyMart Co. Ltd. 587,270 14,000 Fuji Photo Film Co. 438,803 8,500 Fujitsu Frontech Ltd. 80,626 200,000 Hitachi Ltd. 1,376,529 10,000 Inabata & Co. Ltd. 80,649 6,000 Ito-Yokado Co. Ltd. 256,793 68 Japan Tobacco, Inc. 528,470 12,000 Kao Corp. 289,236 17,000 Kinden Corp. 106,255 64,000 Kirin Brewery Co. Ltd. 632,874 18,000 Koito Manufacturing Co. Ltd. 132,301 1,000 Lintec 14,975 24,000 Lion Corp. 140,549 71,000 Matsushita Electric Industries Co. 1,007,918 21,772 Matsushita Electric Works Ltd. 197,537 37 Millea Holdings, Inc. 549,329 24,000 Mitsubishi Corp. 233,149 58,000 Mitsubishi Gas Chemical Co. 240,260 14,900 Murata Manufacturing Co. Ltd. 849,361 34,000 NGK Insulators Ltd. 274,518 2,200 Nintendo Co. Ltd. 255,052 12,000 Nippon Meat Packers, Inc. 147,807 84,000 Nippon Oil Corp. 528,873 74,000 Nippon Sanso Corp. 396,059 58,000 Nippon Suisan Kaisha Ltd. 154,149 124 Nippon Telegraph and Telephone Corp. 662,530 44,000 Nisshinbo Industries, Inc. 331,064 NUMBER OF SHARES VALUE + 32,000 Noritake Co. Ltd. $139,009 100 NTT DoCoMo, Inc. 178,711 4,100 OMRON Corp. 96,004 5,500 Ono Pharmaceutical Co. Ltd. 258,580 20,000 Onward Kashiyama Co. 320,762 8,000 Ryosan Co. 182,926 6,400 Sankyo Co., Ltd. 261,009 9,000 Sankyo Seiko 42,891 5,500 SECOM Co. Ltd. 233,378 12,000 Shiseido Co. Ltd. 151,217 28,000 Sompo Japan Insurance, Inc. 286,120 48,000 Sumitomo Electric Industries Ltd. 489,612 38,000 Sumitomo Forestry Co. Ltd. 436,714 40,000 Sumitomo Metal Mining Co. Ltd. 261,009 86 Sumitomo Mitsui Financial Group, Inc. 589,543 70,000 Sumitomo Trust & Banking Co. Ltd. 498,465 14,000 Sumitomo Wiring Systems Ltd. 250,323 38,700 Takeda Chemical Industries Ltd. 1,698,877 19,000 Tanabe Seiyaku Co. Ltd. 169,949 9,000 Tokyo Broadcasting System 158,365 114,000 Tokyo Gas Co. 404,326 8,900 Tokyo Ohka Kogyo Co. 174,550 6,000 Toppan Forms Co. Ltd. 82,482 9,000 Tostem Inax Holding Corp. 194,245 7,000 Toyo Seikan 120,222 30,700 Toyota Motor Corp. 1,243,587 104 West Japan Railway Co. 419,374 23,000 Yamaha Motor Co. Ltd. 358,127 16,000 Yamatake Corp. 163,204 59,000 Yokohama Bank Ltd. 368,767 ------------ 24,092,753 ------------ LUXEMBOURG -- 0.3% 26,200 Arcelor SA 439,892 ------------ MALAYSIA -- 1.0% 19,000 British American Tobacco Berhad 252,500 45,000 Carlsberg Brewery Malaysia Berhad 127,895 151,000 CIMB Berhad 222,526 107,000 Commerce Asset-Holding Berhad 136,847 112,000 Kumpulan Guthrie Berhad 59,537 55,000 Malaysian Airlines System Berhad* 68,895 101,700 Malaysian International Shipping Corp. Berhad (foreign shares) 321,158 204,000 Multi-Purpose Holdings Berhad* 60,663 169,000 Resorts World Berhad 398,039 ------------ 1,648,060 ------------ MEXICO -- 0.3% 800 America Movil SA de CV 29,096 279,100 Grupo Continental SA 435,602 800 Telefonos de Mexico, Class L - ADR 26,616 ------------ 491,314 ------------ NETHERLANDS -- 3.9% 16,750 Heineken NV 550,434 46,369 ING Groep NV 1,094,448 45,250 Koninklijke (Royal) KPN NV 344,634 20,682 Koninklijke (Royal) Philips Electronics NV 556,852 5,542 Koninklijke Boskalis Westminster NV 143,282 70,343 Reed Elsevier NV 987,626 39,577 Royal Dutch Petroleum Co. 2,031,024
13 -------------------------------------------------------------------------------- TIFF INTERNATIONAL EQUITY FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) JUNE 30, 2004
NUMBER OF SHARES VALUE + 9,842 Royal Nedlloyd NV $336,477 10,504 Wolters Kluwer NV 190,673 ------------ 6,235,450 ------------ NEW ZEALAND -- 1.1% 58,000 Carter Holt Harvey Ltd. 76,244 360,202 Telecom Corporation of New Zealand Ltd. 1,345,028 382,400 Wrightson Ltd. 339,980 ------------ 1,761,252 ------------ NORWAY -- 0.3% 34,000 DNB NOR ASA 232,013 12,200 Schibsted ASA 218,690 ------------ 450,703 ------------ PHILIPPINES (THE) -- 0.8% 352,000 ABS-CBN Broadcasting Corp. - PDR* 141,038 6,122,000 Ayala Corp. 621,412 31,250 Globe Telecom, Inc. 456,326 252,000 Jollibee Foods Corp. 107,702 ------------ 1,326,478 ------------ RUSSIA -- 0.2% 2,600 Lukoil Oil Co. - ADR 273,520 ------------ SINGAPORE -- 1.3% 436,000 BIL International Ltd.* 188,580 30,000 Great Eastern Holdings Ltd. 205,521 123,812 Jardine Strategic Holdings Ltd.* 634,536 33,000 Overseas Union Enterprise Ltd. 135,069 63,000 Overseas-Chinese Banking Corp. Ltd. 442,567 357,000 SembCorp Marine 196,900 36,125 Singapore Press Holdings, Ltd. 87,248 240,000 United Industrial Corp. 129,583 ------------ 2,020,004 ------------ SOUTH AFRICA -- 2.5% 3,886 AngloGold Ashanti Ltd. 124,974 3,500 AngloGold Ltd. 114,083 85,200 Aveng Ltd. 101,490 7,609 Edgars Consolidated Stores Ltd. 181,276 159,000 FirstRand Ltd. 260,809 11,786 Gold Fields Ltd. 123,907 36,636 JD Group Ltd. 252,408 52,945 Kersaf Investments Ltd. 345,168 175,804 Nampak Ltd. 411,759 26,871 Nedcor Ltd. 266,882 21,400 Pretoria Portland Cement Co. Ltd. 537,390 41,640 Rembrandt Group Ltd. 133,253 165,000 RMB Holdings Ltd. 428,951 46,448 Sasol Ltd. 718,524 ------------ 4,000,874 ------------ SOUTH KOREA -- 0.7% 950 Hyundai Motor Co. Ltd. 36,545 1,200 Kookmin Bank* 37,283 950 Korea Electric Power Corp. 15,292 28,075 KT&G Corp. (144A){::} 318,651 5,798 KT&G Corp. (144A) - GDR{::} 66,987 200 Pohang Iron and Steel Co. Ltd. 25,790 15,437 Posco - ADR 517,294 170 Samsung Electronics Co. Ltd. 70,177 ------------ 1,088,019 ------------ NUMBER OF SHARES VALUE + SPAIN -- 3.5% 7,400 Acciona SA $460,064 10,000 Acerinox SA 569,271 91,888 Banco Central Hispanoamer SA 953,616 9,500 Banco Popular Espanol 536,530 51,734 Iberdrola SA 1,092,047 24,773 NH Hoteles SA 272,466 3,000 Prosegur Cia de Seguridad SA 46,099 1,900 Sogecable SA* 76,631 109,446 Telefonica SA 1,617,863 9,950 Viscofan SA 94,061 ------------ 5,718,648 ------------ SWEDEN -- 1.3% 28,400 Assa Abloy AB 362,872 7,500 Hoganas AB, Class B 183,693 9,500 Svenska Cellulosa AB 360,682 28,400 Svenska Handelsbanken, Class A 569,286 202,120 Telefonaktiebolaget Ericsson LM, Class B* 595,658 ------------ 2,072,191 ------------ SWITZERLAND -- 1.4% 1,800 Adecco SA 89,684 20,000 Compagnie Financiere Richemont AG 522,197 300 Geberit AG 200,016 3,300 Logitech International SA* 150,192 13,180 Novartis AG 581,440 510 Publigroupe SA 161,258 1,150 SGS Societe General de Surveillance SA 628,074 ------------ 2,332,861 ------------ TAIWAN -- 0.5% 114,750 Asustek Computer, Inc. 260,953 27,700 Chunghwa Telecom Co., Ltd., Sponsored ADR 488,628 ------------ 749,581 ------------ THAILAND -- 1.7% 232,000 Advanced Information Service Public Co. Ltd. 516,375 132,000 GMM Grammy Public Co. Ltd. 49,397 73,364 Golden Land Property Development Public Co. Ltd.* 14,714 171,636 Golden Land Property Development Public Co. Ltd. (foreign shares)* 34,424 194,000 Kasikornbank Public Co. Ltd.* 246,741 33,000 Matichon Public Co. Ltd. 72,643 89,000 MBK Public Co. Ltd. 109,930 250,000 National Finance Public Co. Ltd. 89,886 240,000 Post Publishing PCL 33,460 74,000 Siam Cement Public Co. Ltd. 441,629 146,800 Siam Cement Public Co. Ltd. - NVDR 833,010 39,000 Siam Commercial Bank Public Co. Ltd. 44,118 521,200 Thai Union Frozen Products Public Co. - NVDR 257,509 ------------ 2,743,836 ------------ UNITED KINGDOM -- 17.0% 40,600 Abbey National plc 377,896 32,200 Amvescap plc 219,564 13,731 Anglo American plc - ADR 286,566 67,482 Arriva plc 504,200 58,400 Associated British Ports Holdings plc 428,135 41,866 Aviva plc 432,008 41,500 BAA plc 416,565
14 -------------------------------------------------------------------------------- TIFF INTERNATIONAL EQUITY FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) JUNE 30, 2004
NUMBER OF SHARES VALUE + 172,500 BAE Systems plc $685,877 71,400 Barclays plc 608,251 178,669 BG Group plc 1,100,845 20,065 BOC Group plc 335,860 138,749 Boots Group plc 1,731,155 151,123 BP plc 1,334,680 138,311 Brambles Industries plc 534,262 60,000 BT Group plc 215,988 6,400 Bunzl plc 53,360 217,000 Cable & Wireless Communications plc* 510,605 57,350 Capita Group plc 331,253 8,856 Carnival plc 430,096 53,290 Compass Group plc 325,198 64,000 Devro plc 124,769 48,804 Diageo plc 658,043 103,000 Eircom Group plc* 185,466 22,600 EMI Group plc 99,901 138,400 Enodis plc* 256,008 21,500 Enterprise Inns plc 224,194 102,140 GKN plc 464,003 69,873 GlaxoSmithKline plc 1,414,136 57,870 GUS plc 887,329 85,950 Hanson plc 591,138 78,396 HBOS plc 970,318 60,000 Hilton Group plc 300,316 66,900 ICAP plc 329,999 78,663 InterContinental Hotels Group plc 830,967 36,000 Intertek Testing Services plc 373,436 533,000 Invensys plc* 173,987 147,490 ITV plc 308,931 136,000 Kidde plc 294,730 132,799 Lloyds TSB Group plc 1,039,788 66,521 Mitchells & Butlers plc 335,971 83,000 MyTravel Group plc* 12,042 73,000 PIC International Group plc 49,976 265,000 Pilkington plc 468,563 22,702 Provident Financial plc 247,226 18,460 Reckitt Benckiser plc 522,579 60,000 Reed Elsevier plc 583,222 54,400 Rentokil Initial plc 142,556 58,396 Rio Tinto plc 1,404,249 102,000 Shell Transport & Trading Co. 748,232 23,250 Smiths Group plc 314,753 239,640 Stagecoach Group plc 388,956 86,000 TBI plc 103,714 109,700 Tesco plc 529,680 118,000 The Sage Group plc 399,097 2,400 Travis Perkins plc 59,758 193,000 Vodafone Group plc 422,632 31,600 WPP Group plc 320,917 ------------ 27,443,946 ------------ Total Common Stocks (Cost $95,766,833) 123,257,975 ------------ NUMBER OF SHARES VALUE + LIMITED PARTNERSHIPS -- 5.8% Bessent Global Fund, LP*(a)(b)(c)(d) $4,569,721 Lansdowne UK Equity Fund Limited*(a)(b)(c)(d) 4,885,806 ------------ Total Limited Partnerships (Cost $7,880,670) 9,455,527 ------------ RIGHTS -- 0.0% INDONESIA -- 0.0% 1,800,000 PT Bank Universal Certificate of Entitlement*(b) 0 ------------ UNITED KINGDOM -- 0.0% 37,500 TI Automotive Ltd. Certificate of Entitlement*(b) 1 ------------ Total Rights (Cost $0) 1 ------------ WARRANTS -- 0.0% 20,400 Multi-Purpose Holdings Berhad Warrants, Expires 2/26/2009* (Cost $564) 2,416 ------------
PRINCIPAL INTEREST MATURITY AMOUNT RATE DATE SHORT-TERM INVESTMENTS -- 11.7% REPURCHASE AGREEMENT -- 10.2% $16,541,479 Investors Bank & Trust Company -- Repurchase Agreement issued 06/30/04 (proceeds at maturity $16,541,801) (Collateralized by a $17,128,281 FHLMC, 4.007%, due 12/01/32, with a market value of $17,368,553) (Cost $16,541,479) 0.700% 07/01/04 16,541,479 ------------ US TREASURY SECURITIES -- 1.5%# 200,000 US Treasury Bill+ 1.375% 10/07/04 199,257 50,000 US Treasury Bill+ 1.498% 10/28/04 49,755 2,100,000 US Treasury Bill+ 1.559% 11/12/04 2,087,963 ------------ Total US Treasury Securities (Cost $2,339,175) 2,336,975 ------------ Total Short-Term Investments (Cost $18,880,654) 18,878,454 ------------ Total Investments -- 93.7% (Cost $122,528,721) 151,594,373 Other Assets in Excess of Liabilities -- 6.3% 10,262,061 ------------ NET ASSETS -- 100.0% $161,856,434 ============
15 -------------------------------------------------------------------------------- TIFF INTERNATIONAL EQUITY FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) JUNE 30, 2004
SUMMARY OF INDUSTRY CLASSIFICATIONS (AS A % OF TOTAL NET ASSETS): Capital Equipment 11.4% Consumer Goods 15.5 Energy 8.1 Finance 23.6 Industrial 0.5 Limited Partnerships(d) 5.8 Materials 10.8 Multi-Industry 3.2 Services 13.0 US Government Obligations 1.5 Utilities 0.3 Other Assets (Liabilities) 6.3 ----- TOTAL 100.0% =====
ADR American Depositary Receipt ADR FHLMC Federal Home Loan Mortgage Corporation FNMA Federal National Mortgage Association GDR Global Depositary Receipt NVDR Non-Voting Depositary Receipt PDR Phillippine Depositary Receipt SBA Small Business Administration # Interest rate represents the yield to maturity at the time of purchase. * Non-income producing security. + Security or a portion thereof is held as initial margin for financial futures and forward contracts. See Appendix B and Appendix C of Notes to Financial Statements. + See Note 2 to the Financial Statements. {::} Security exempt from registration under Rule 144A of the Securities Act of 1933. Security may be resold in transactions exempt from registration, normally to qualified buyers. At June 30, 2004, the aggregate market value of these securities was $385,638 or 0.24% of net assets. The board of directors has deemed these securities to be liquid. (a) Illiquid security. (b) Security is valued in good faith under procedures established by the board of directors. (c) Restricted security. See Appendix E of Notes to Financial Statements. (d) Industry breakdowns are not available for all limited partnerships. The information that is available, if included in the industry concentration presented above, would not affect the percentages by more than 1% (on an absolute basis). See accompanying Notes to Financial Statements. 16 -------------------------------------------------------------------------------- TIFF US EQUITY FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) JUNE 30, 2004
NUMBER OF SHARES VALUE + COMMON STOCKS -- 63.9% AEROSPACE AND DEFENSE -- 1.9% 61,500 AAR Corp.* $698,025 32,200 Alliant Techsystems, Inc.* 2,039,548 20,000 Boeing Co. 1,021,800 3,100 Lockheed Martin Corp. 161,448 3,200 Northrop Grumman Corp. 171,840 6,500 Textron, Inc. 385,775 ------------ 4,478,436 ------------ AUTOMOTIVE -- 0.5% 45,400 Ford Motor Co. 710,510 9,800 General Motors Corp. 456,582 ------------ 1,167,092 ------------ BANKING -- 6.2% 17,300 Bank of America Corp. 1,463,926 1,300 Capital Crossing Bank 72,579 35,625 Chittenden Corp. 1,252,219 5,000 CIT Group, Inc. 191,450 9,700 Commerce Bancorp, Inc. 533,597 6,600 Countrywide Financial Corp. 463,650 31,395 Downey Financial Corp. 1,671,784 8,000 Flagstar Bancorp, Inc. 159,040 31,329 Hudson United Bancorp 1,167,945 3,900 Marshall & Ilsley Corp. 152,451 5,300 National City Corp. 185,553 45,271 National Commerce Financial Corp. 1,471,308 69,300 North Valley Bancorp 1,098,405 48,000 People's Bank 1,495,200 7,000 PNC Financial Services Group, Inc. 371,560 26,000 The South Financial Group 736,840 6,200 UnionBanCal Corp. 349,680 28,000 Wachovia Corp. 1,246,000 6,900 Wells Fargo Corp. 394,887 ------------ 14,478,074 ------------ BEVERAGES, FOOD, AND TOBACCO -- 4.3% 29,000 Altria Group, Inc. 1,451,450 14,900 Archer-Daniels-Midland Co. 250,022 73,800 Chiquita Brands International* 1,543,896 21,500 Coca-Cola Co. 1,085,320 11,200 Coca-Cola Enterprises, Inc. 324,688 5,700 Conagra, Inc. 154,356 36,500 Coors (Adolph), Class B 2,640,410 6,500 Pepsi Bottling Group, Inc. 198,510 1,800 Pepsico, Inc. 96,984 24,600 Robert Mondavi Corp., Class A* 910,692 2,900 Sanderson Farms, Inc. 155,498 7,300 Sara Lee Corp. 167,827 50,100 Tyson Foods, Inc., Class A 1,049,595 ------------ 10,029,248 ------------ CHEMICALS -- 0.8% 140,650 IMC Global, Inc. 1,884,710 ------------ COMMERCIAL SERVICES -- 4.2% 16,500 Accenture Ltd.* 453,420 42,800 Cendant Corp. 1,047,744 76,000 DeVry, Inc.* 2,083,920 67,900 Gartner, Inc., Class B* 875,231 25,600 GenTek, Inc.* 1,024,000 7,000 H & R Block, Inc. 333,760 NUMBER OF SHARES VALUE + 47,100 ITT Educational Services, Inc.* $1,790,742 3,600 Metal Management, Inc. 71,316 4,500 Monsanto Co. 173,250 3,900 R.H. Donnelley Corp.* 170,586 4,700 Ryder System, Inc. 188,329 50,292 The Brink's Co. 1,722,501 ------------ 9,934,799 ------------ COMMUNICATIONS -- 0.9% 20,000 Motorola, Inc. 365,000 32,300 Nextel Communications, Inc., Class A* 861,118 5,900 Qualcomm, Inc. 430,582 12,600 Verizon Communications Corp. 455,994 ------------ 2,112,694 ------------ COMPUTER SOFTWARE AND PROCESSING -- 2.1% 7,800 Computer Sciences Corp.* 362,154 72,100 Earthlink, Inc.* 746,235 109,400 Microsoft Corp. 3,124,464 27,700 Oracle Corp.* 330,461 66,800 Preview Systems, Inc.* 2,405 9,600 Yahoo!, Inc.* 348,768 ------------ 4,914,487 ------------ COMPUTERS AND INFORMATION -- 1.6% 6,500 Apple Computer, Inc.* 211,510 45,100 Cisco Systems, Inc.* 1,068,870 24,140 Hewlett-Packard Co. 509,354 19,900 International Business Machines Corp. 1,754,185 19,600 Komag, Inc.* 273,812 28,553 Nexprise, Inc.* 34,549 ------------ 3,852,280 ------------ COSMETICS AND PERSONAL CARE -- 0.9% 3,400 Estee Lauder Companies, Inc., Class A 165,852 7,600 Gillette Co. (The) 322,240 31,600 Procter & Gamble Co. 1,720,304 ------------ 2,208,396 ------------ DIVERSIFIED -- 2.7% 6,200 3M Co. 558,062 8 Berkshire Hathaway Inc., Class A* 711,600 20,200 FMC Corp.* 870,822 72,200 General Electric Co. 2,339,280 134,000 Walter Industries, Inc. 1,825,080 ------------ 6,304,844 ------------ ELECTRIC UTILITIES -- 1.7% 6,500 Constellation Energy Group, Inc. 246,350 17,600 Edison International 450,032 23,200 Exelon Corp. 772,328 8,300 Sempra Energy 285,769 247,300 Sierra Pacific Resources 1,906,683 8,600 TXU Corp. 348,386 ------------ 4,009,548 ------------ ELECTRICAL EQUIPMENT -- 0.2% 6,900 Black & Decker Corp. 428,697 ------------ ELECTRONICS -- 3.8% 6,400 AMIS Holdings, Inc. 108,288 2,000 Broadcom Corp., Class A* 93,540 62,000 Checkpoint Systems, Inc.* 1,111,660 16,400 Cypress Semiconductor Corp.* 232,716
17 -------------------------------------------------------------------------------- TIFF US EQUITY FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) JUNE 30, 2004
NUMBER OF SHARES VALUE + 87,000 Intel Corp. $2,401,200 9,600 Maxim Intergrated Products, Inc.* 503,232 14,200 National Semiconductor Corp.* 312,258 49,000 Rogers Corp.* 3,425,100 28,000 Texas Instruments, Inc. 677,040 ------------ 8,865,034 ------------ ENTERTAINMENT AND LEISURE -- 0.4% 31,900 Life Time Fitness, Inc. 669,900 12,800 Time Warner, Inc.* 225,024 6,100 Walt Disney Co. 155,489 ------------ 1,050,413 ------------ FINANCIAL SERVICES -- 3.0% 2,000 Alcon, Inc. 157,300 54,666 Citigroup, Inc. 2,541,969 2,050 Doral Financial Corp. 70,725 20,800 E*TRADE Group, Inc.* 231,920 3,000 Franklin Resources, Inc. 150,240 1,400 Golden West Financial Corp. 148,890 131,900 Instinet Group, Inc.* 696,432 13,500 JP Morgan Chase & Co., Inc. 523,395 13,900 KeyCorp 415,471 40,400 MBNA Corp. 1,041,916 1,400 Merrill Lynch & Co. 75,572 11,700 Morgan Stanley 617,409 8,100 Washington Mutual, Inc. 312,984 ------------ 6,984,223 ------------ FOREST PRODUCTS AND PAPER -- 0.3% 5,100 Georgia-Pacific Group 188,598 2,400 Kimberly-Clark Corp. 158,112 16,300 Louisiana-Pacific Corp. 385,495 ------------ 732,205 ------------ HEALTHCARE PROVIDERS -- 1.9% 36,200 LifePoint Hospitals, Inc.* 1,347,364 40,000 Lincare Holdings, Inc.* 1,314,400 2,200 Quest Diagnostics, Inc. 186,890 37,000 Universal Health Services, Inc., Class B 1,697,930 ------------ 4,546,584 ------------ HEAVY MACHINERY -- 0.5% 6,300 Applied Materials, Inc.* 123,606 5,200 Caterpillar, Inc. 413,088 3,600 Eaton Corp. 233,064 2,300 Ingersoll Rand Co. 157,113 4,600 Paccar, Inc. 266,754 ------------ 1,193,625 ------------ HOME CONSTRUCTION, FURNISHINGS, AND APPLIANCES -- 0.3% 6,600 Centex Corp. 301,950 11,700 D.R. Horton, Inc. 332,280 ------------ 634,230 ------------ HOUSEHOLD PRODUCTS -- 0.3% 3,000 Fortune Brands, Inc. 226,290 7,700 The Clorox Co. 414,106 ------------ 640,396 ------------ INSURANCE -- 4.6% 4,500 Aetna, Inc. 382,500 22,400 Allstate Corp. 1,042,720 25,662 American International Group, Inc. 1,829,187 NUMBER OF SHARES VALUE + 30,000 Brown & Brown, Inc. $1,293,000 4,655 Fidelity National Financial, Inc. 173,818 42,200 Hilb, Rogal & Hobbs Co. 1,505,696 2,900 Loews Corp. 173,884 49,200 Montpelier Re Holdings Ltd. 1,719,540 52,880 Platinum Underwriters Holdings Ltd. 1,609,138 10,800 Principal Financial Group, Inc. 375,624 4,400 The Progressive Corp. 375,320 8,800 The St. Paul Cos., Inc. 356,752 ------------ 10,837,179 ------------ LODGING -- 0.1% 6,600 Starwood Hotels & Resorts Worldwide, Inc. 296,010 ------------ MEDIA - BROADCASTING AND PUBLISHING -- 1.2% 47,500 Emmis Communications Corp., Class A* 996,550 61,000 Insight Communications Co., Inc.* 564,860 2,100 Knight Ridder, Inc. 151,200 5,500 McGraw-Hill Companies, Inc. 421,135 211,000 Primedia, Inc.* 586,580 ------------ 2,720,325 ------------ MEDICAL SUPPLIES -- 2.8% 3,500 Becton, Dickinson & Co. 181,300 19,200 Fisher Scientific International, Inc.* 1,108,800 50,800 Owens & Minor, Inc. 1,315,720 74,400 Steris Corp.* 1,678,464 8,800 Stryker Corp. 484,000 21,823 Sybron Dental Specialties* 651,417 60,900 Viasys Healthcare, Inc.* 1,273,419 ------------ 6,693,120 ------------ METALS -- 0.1% 4,700 Phelps Dodge Corp.* 364,297 ------------ METALS AND MINING -- 0.4% 8,300 Alcan, Inc. - ADR 343,620 14,600 Masco Corp. 455,228 35,000 Pacific Rim Mining Corp.* 23,450 800 United States Steel Corp. 28,096 ------------ 850,394 ------------ OIL AND GAS -- 2.5% 2,200 Amerada Hess Corp. 174,218 5,600 Burlington Resources, Inc. 202,608 6,600 Canadian Natural Resources Ltd.* 197,340 7,600 ChevronTexaco Corp. 715,236 9,100 ConocoPhillips 694,239 22,900 Encore Acquisition Co.* 638,910 149,583 Hanover Compressor Co.* 1,780,038 6,900 Imperial Oil Ltd. 323,058 12,800 Marathon Oil Corp. 484,352 3,500 Noble Energy, Inc.* 132,615 7,100 Sunoco, Inc. 451,702 2,700 Valero Energy Corp. 199,152 ------------ 5,993,468 ------------ PHARMACEUTICALS -- 5.1% 18,700 Amgen, Inc.* 1,020,459 6,400 Atherogenics, Inc.* 121,792 16,800 Bristol-Myers Squibb Co. 411,600 7,600 Cardinal Health, Inc. 532,380 15,500 Genentech, Inc.* 871,100
18 -------------------------------------------------------------------------------- TIFF US EQUITY FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) JUNE 30, 2004
NUMBER OF SHARES VALUE + 2,600 Genzyme Corp.* $123,058 1,700 Gilead Sciences, Inc. 113,900 32,100 Hospira, Inc. 885,960 1,300 Invitrogen Corp. 93,587 49,200 Johnson & Johnson 2,740,440 3,300 KOS Pharmaceuticals, Inc.* 108,801 11,300 McKesson Corp. 387,929 30,200 Merck & Co., Inc. 1,434,500 6,000 MGI Pharma, Inc. 162,060 4,800 Onyx Pharmaceuticals, Inc.* 203,328 77,525 Pfizer, Inc. 2,657,557 269,200 PharmChem Laboratories, Inc.* 32,304 5,900 SuperGen, Inc.* 38,055 ------------ 11,938,810 ------------ REAL ESTATE -- 0.3% 20,800 Thornburg Mortgage, Inc. (REIT) 560,560 7,500 Trizec Properties, Inc. (REIT) 121,950 ------------ 682,510 ------------ RESTAURANTS -- 1.0% 9,400 McDonald's Corp. 244,400 65,000 Ruby Tuesday, Inc. 1,784,250 10,500 Yum! Brands, Inc. 390,810 ------------ 2,419,460 ------------ RETAILERS -- 3.2% 8,100 Albertson's, Inc. 214,974 1,800 AutoZone, Inc.* 144,180 75,125 Big Lots, Inc.* 1,086,307 3,800 CVS Corp. 159,676 12,200 Federated Department Stores, Inc. 599,020 66,300 Geerlings & Wade, Inc.* 38,454 35,900 Home Depot, Inc. 1,263,680 19,800 Kroger Co.* 360,360 8,200 Limited Brands 153,340 100,000 Saks, Inc.* 1,500,000 22,100 Supervalu, Inc. 676,481 11,400 The Gap, Inc. 276,450 9,600 Wal-Mart Stores, Inc. 506,496 60,000 Whitehall Jewellers, Inc.* 448,800 ------------ 7,428,218 ------------ TELEPHONE SYSTEMS -- 2.0% 20,000 BellSouth Corp. 524,400 333,600 Cincinnati Bell, Inc.* 1,481,184 94,100 General Communications, Inc., Class A* 747,154 53,200 United States Cellular Corp.* 2,050,860 ------------ 4,803,598 ------------ NUMBER OF SHARES VALUE + TEXTILES, CLOTHING, AND FABRICS -- 0.2% 8,200 Coach, Inc.* $370,558 ------------ TRANSPORTATION -- 1.9% 8,400 Burlington Northern Santa Fe Corp. 294,588 4,050 Canadian National Railway Co. 176,539 20,000 CNF, Inc. 831,200 41,800 EGL, Inc.* 1,111,880 6,500 Norfolk Southern Corp. 172,380 65,100 Tidewater, Inc. 1,939,980 ------------ 4,526,567 ------------ Total Common Stocks (Cost $121,992,076) 150,374,529 ------------ COMMINGLED INVESTMENT VEHICLES -- 5.9% 863,267 Vanguard Global Equity Fund (Cost $9,607,740) 13,838,165 ------------ LIMITED PARTNERSHIPS -- 14.5% Adage Capital Partners, LP*(a)(b)(c)(d) 34,000,218 Gotham Partners, LP*(a)(b)(c)(d) 199,626 ------------ Total Limited Partnerships (Cost $31,743,910) 34,199,844 ------------ PREFERRED STOCK -- 0.0% 59,400 ClickAction, Inc.*(a)(b) (Cost $0) 0 ------------
PRINCIPAL INTEREST MATURITY AMOUNT RATE DATE SHORT-TERM INVESTMENTS -- 16.2% REPURCHASE AGREEMENT -- 14.8% $34,765,096 Investors Bank & Trust Company -- Repurchase Agreement issued 6/30/04 (proceeds at maturity $34,765,772) (Collateralized by 10,542,657 Country Wide Home Loan, 1.80%, due 5/25/34 and FNMA, 4.25%, due 9/25/22, with a market value of $10,231,664 and $26,271,687, respectively) (Cost $34,765,096) 0.700% 07/01/04 34,765,096 ------------
19 -------------------------------------------------------------------------------- TIFF US EQUITY FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) JUNE 30, 2004
PRINCIPAL INTEREST MATURITY AMOUNT RATE DATE VALUE + US TREASURY SECURITY -- 1.4%# $3,250,000 US Treasury Bill+ (Cost $3,241,450) 1.230% 09/16/04 $3,241,309 ------------ Total Short-Term Investments (Cost $38,006,546) 38,006,405 ------------ Total Investments -- 100.5% (Cost $201,350,272) 236,418,943 Liabilities in Excess of Other Assets -- (0.5%) (1,188,647) ------------ NET ASSETS -- 100.0% $235,230,296 ============
ADR American Depositary Receipt FNMA Federal National Mortgage Association SBA Small Business Administration # Interest rate represents the yield to maturity at the time of purchase. * Non-income producing security. + Security or a portion thereof is held as initial margin for financial futures and forward contracts. See Appendix B and Appendix C of Notes to Financial Statements. + See Note 2 to the Financial Statements. (a) Illiquid security. (b) Security is valued in good faith under procedures established by the board of directors. (c) Restricted security. See Appendix E of Notes to Financial Statements. (d) Industry breakdowns are not available for all limited partnerships. The information that is available, if included in the industry concentration presented above, would not affect the percentages by more than 1% (on an absolute basis). See accompanying Notes to Financial Statements. 20 -------------------------------------------------------------------------------- TIFF GOVERNMENT BOND FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) JUNE 30, 2004
PRINCIPAL INTEREST MATURITY AMOUNT RATE DATE VALUE + US TREASURY SECURITY -- 99.5% $25,584,000 US Treasury Note+ (Cost $25,786,392) 4.750% 05/15/14 $25,850,841 ------------ SHORT-TERM INVESTMENTS -- 96.6% REPURCHASE AGREEMENTS -- 96.6% 1,900,000 Bear Stearns -- Repurchase Agreement issued 06/29/04 (proceeds at maturity $1,900,181) (Collateralized by a US Treasury Bill, 1.385%, due 11/18/04, with a market value of $1,904,812) 1.140% 07/02/04 1,900,000 182,766 Investors Bank & Trust Company -- Repurchase Agreement issued 06/30/04 (proceeds at maturity $182,770) (Collateralized by a $181,405 SBA, 3.375%, due 10/25/27, with a market value of $191,905) 0.700% 07/01/04 182,766 11,200,000 Morgan Stanley -- Repurchase Agreement issued 06/29/04 (proceeds at maturity $11,200,716) (Collateralized by a US Treasury Inflation Indexed Note, 3.625%, due 04/15/28, with a market value of $11,228,002) 1.150% 07/01/04 11,200,000 PRINCIPAL INTEREST MATURITY AMOUNT RATE DATE VALUE + $11,800,000 Nomura, Inc. -- Repurchase Agreement issued 06/30/04 (proceeds at maturity $11,802,262) (Collateralized by a US Treasury Bond, 7.5%, due 11/15/16, with a market value of $12,041,400) 1.150% 07/06/04 $11,800,000 ------------ Total Repurchase Agreements (Cost $25,082,766) 25,082,766 ------------ Total Short-Term Investments (Cost $25,082,766) 25,082,766 ------------ TOTAL INVESTMENTS -- 196.1% (Cost $50,869,158) 50,933,607 Liabilities in Excess of Other Assets -- (96.1%) (24,961,039) ------------ NET ASSETS -- 100.0% $25,972,568 ============
SBA Small Business Administration + Security or a portion thereof is held as collateral for reverse repurchase agreements. See Appendix F of Notes to Financial Statements. + See Note 2 to the Financial Statements. See accompanying Notes to Financial Statements. 21 -------------------------------------------------------------------------------- TIFF SHORT-TERM FUND / SCHEDULE OF INVESTMENTS (UNAUDITED) JUNE 30, 2004
PRINCIPAL INTEREST MATURITY AMOUNT RATE DATE VALUE + SHORT-TERM INVESTMENTS -- 98.5% US TREASURY SECURITIES -- 98.4%# $200,000 US Treasury Bill 1.079% 07/22/04 $199,870 99,300,000 US Treasury Bill 1.718% 12/30/04 98,451,978 ------------ Total US Treasury Securities (Cost $98,689,136) 98,651,848 ------------ TIME DEPOSIT -- 0.1% 129,000 Investors Bank & Trust Company (Cost $129,000) 0.750% 07/01/04 129,000 ------------ Total Short-Term Investments (Cost $98,818,136) 98,780,848 ------------ Total Investments -- 98.5% (Cost $98,818,136) 98,780,848 Other Assets in Excess of Liabilities -- 1.5% 1,464,484 ------------ NET ASSETS -- 100.0% $100,245,332 ============
# Interest rate represents the yield to maturity at the time of purchase. + See Note 2 to the Financial Statements. See accompanying Notes to Financial Statements. 22 -------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 2004
TIFF TIFF TIFF MULTI-ASSET INTERNATIONAL US EQUITY FUND EQUITY FUND FUND ASSETS Investments in securities, at value (a)(b) $522,093,731 $151,594,373 $236,418,943 Cash 1,984,858 6,345,653 520,841 Foreign currency (c) 264,871 495,355 -- Receivables for: Capital stock sold 311,754 -- -- Securities sold 23,614,703 4,845,234 306,178 Dividends and tax reclaims 469,983 359,508 144,837 Interest 838,907 322 778 Variation margin on financial futures contracts 28,191 4,313 79,700 Unrealized appreciation on forward currency contracts (f) 65,275 87,091 -- Deposit with broker for short sales 10,045 -- -- ----------------------------------------- Total Assets 549,682,318 163,731,849 237,471,277 ----------------------------------------- LIABILITIES Payable for: Capital stock repurchased -- 610,000 1,338,007 Securities purchased 17,736,361 776,300 825,695 Market value of securities sold short (d) 10,620 -- -- Reverse repurchase agreements (Note 5) 27,989,709 -- -- Dividends from net investment income 1,202,161 -- -- Unrealized depreciation on forward currency contracts (f) 180,839 163,156 -- Accrued expenses and other liabilities 558,722 325,959 77,279 ----------------------------------------- Total Liabilities 47,678,412 1,875,415 2,240,981 ----------------------------------------- NET ASSETS $502,003,906 $161,856,434 $235,230,296 ========================================= SHARES OUTSTANDING (G) 37,236,746 13,853,161 17,381,841 ========================================= NET ASSET VALUE PER SHARE $ 13.48 $ 11.68 $ 13.53 ========================================= COMPONENTS OF NET ASSETS Capital stock (e) $439,995,984 $150,372,900 $210,555,885 Undistributed (distribution in excess of) net investment income (4,389,115) 1,144,208 661,004 Accumulated net realized gain (loss) on investments 41,713 (18,878,578) (10,778,814) Net unrealized appreciation on investments, short sales, financial futures contracts, forward currency contracts, and translation of assets and liabilities denominated in foreign currency 66,355,324 29,217,904 34,792,221 ----------------------------------------- $502,003,906 $161,856,434 $235,230,296 ========================================= ------------------------------------------------------------------------------ (a) Cost of investments $456,365,242 $122,528,721 $201,350,272 (b) Includes repurchase agreements of $110,724,177 $ 16,541,479 $ 34,765,096 (c) Cost of foreign currency $ 262,916 $ 492,472 -- (d) Proceeds $ 10,045 -- -- (e) Includes accumulated entry/exit fees of $ 5,682,169 $ 3,168,416 $ 1,349,032
(f) Appendix B of the Notes to Financials details each fund's open forward currency contracts at June 30, 2004. (g) Authorized 500,000,000 shares, par value $0.001 for each fund. See accompanying Notes to Financial Statements. 23 -------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 2004
TIFF TIFF GOVERNMENT SHORT-TERM BOND FUND FUND ASSETS Investments in securities, at value (a)(b) $50,933,607 $ 98,780,848 Cash 295,515 2,535 Receivables for: Capital stock sold -- 697,889 Securities sold -- 99,695,214 Interest 156,424 1,636 ------------------------- Total Assets 51,385,546 199,178,122 ------------------------- LIABILITIES Payable for: Capital stock repurchased -- 375,000 Securities purchased 280,063 98,489,243 Variation margin on financial futures contracts -- 7,558 Reverse repurchase agreements (Note 5) 25,088,278 -- Dividends from net investment income 23,012 9,995 Accrued expenses and other liabilities 21,625 50,994 ------------------------- Total Liabilities 25,412,978 ------------------------- NET ASSETS $25,972,568 $100,245,332 ========================= SHARES OUTSTANDING (C) 2,743,528 10,212,521 ========================= NET ASSET VALUE PER SHARE $ 9.47 $ 9.82 ========================= COMPONENTS OF NET ASSETS Capital stock $27,405,025 $103,069,268 Undistributed (distribution in excess of) net investment income (13,717) 53,038 Accumulated net realized loss on investments (1,483,189) (2,835,950) Net unrealized appreciation (depreciation) on investments 64,449 (41,024) ------------------------- $25,972,568 $100,245,332 ========================= ------------------------------------------------------------------- (a) Cost of investments $50,869,158 $ 98,818,136 (b) Includes repurchase agreements of $25,082,766 --
(c) Authorized 500,000,000 shares, par value $0.001 for each fund. See accompanying Notes to Financial Statements. 24 -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE 30, 2004
TIFF TIFF TIFF MULTI-ASSET INTERNATIONAL US EQUITY FUND EQUITY FUND FUND INVESTMENT INCOME Interest $ 2,427,952 $ 22,732 $ 150,109 Dividends (a) 2,841,929 2,401,311 1,053,410 ---------------------------------------- Total Investment Income 5,269,881 2,424,043 1,203,519 ---------------------------------------- OPERATING EXPENSES Investment advisory fees 446,173 124,422 170,654 Money manager fees 678,932 588,748 445,160 Custodian and accounting fees 281,621 181,753 122,714 Administration fees 80,484 29,926 41,045 Shareholder recordkeeping fees 9,735 5,310 7,561 Professional fees 74,415 37,325 34,824 Operations monitoring agent fees 44,617 16,590 22,753 Insurance expense 10,416 5,015 7,593 Registration and filing fees 14,990 12,428 12,841 Miscellaneous fees and expenses 15,896 14,980 9,598 ---------------------------------------- Total Operating Expenses 1,657,279 1,016,497 874,743 Interest expense (Note 5) 75,810 -- -- ---------------------------------------- Net Operating Expenses 1,733,089 1,016,497 874,743 ---------------------------------------- Net Investment Income 3,536,792 1,407,546 328,776 ---------------------------------------- NET REALIZED GAIN (LOSS) ON: Investments (b) 18,177,153 8,959,343 16,882,082 Short sales 22,227 -- (459,788) Financial futures contracts 1,077,951 1,160,109 131,482 Forward currency contracts and foreign currency-related transactions (278,958) (241,047) -- ---------------------------------------- Net realized gain 18,998,373 9,878,405 16,553,776 ---------------------------------------- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments (10,899,065) (4,795,579) (6,272,600) Short sales (575) -- 232,705 Financial futures contracts 500,965 (417,536) (742,712) Forward currency contract and other assets and liabilities and foreign currency-related transactions 96,978 (34,880) -- ---------------------------------------- Net change in unrealized depreciation (10,301,697) (5,247,995) (6,782,607) ---------------------------------------- Net realized and unrealized gain 8,696,676 4,630,410 9,771,169 ---------------------------------------- Net increase in net assets resulting from operations $12,233,468 $ 6,037,956 $10,099,945 ======================================== ----------------------------------------------------------------------------- (a) Net of foreign withholding taxes of $ 211,135 $ 273,801 $ 1,236 (b) Net of foreign withholding taxes on capital gains of $ 48,574 $ 44,826 --
See accompanying Notes to Financial Statements. 25 -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE 30, 2004
TIFF TIFF GOVERNMENT SHORT-TERM BOND FUND FUND INVESTMENT INCOME Interest $ 677,355 $ 619,300 ---------------------- Total Investment Income 677,355 619,300 ---------------------- OPERATING EXPENSES Investment advisory fees 6,889 17,207 Money manager fees 21,779 110,795 Custodian and accounting fees 22,528 30,124 Administration fees 4,971 20,695 Shareholder recordkeeping fees 788 9,539 Professional fees 20,036 30,919 Operations monitoring agent fees 2,757 11,474 Insurance expense 1,668 7,102 Registration and filing fees 8,031 16,103 Amortization of organizational costs 3,461 -- Miscellaneous fees and expenses 746 4,731 ---------------------- Total Operating Expenses 93,654 258,689 Fee waivers/reimbursements (Note 3) (6,889) (57,900) Interest expense (Note 5) 60,233 -- ---------------------- Net Operating Expenses 146,998 200,789 ---------------------- Net Investment Income 530,357 418,511 ---------------------- NET REALIZED GAIN (LOSS) ON: Investments (627,664) (118,279) Financial futures contracts -- 73,806 ---------------------- Net realized loss (627,664) (44,473) ---------------------- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments (70,163) (52,196) Financial futures contracts -- (3,736) ---------------------- Net change in unrealized depreciation (70,163) (55,932) ---------------------- Net realized and unrealized loss (697,827) (100,405) ---------------------- Net increase (decrease) in net assets resulting from operations $(167,470) $ 318,106 ======================
See accompanying Notes to Financial Statements. 26 -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS
TIFF TIFF INTERNATIONAL MULTI-ASSET FUND EQUITY FUND -------------------------- -------------------------- Six Months Six Months Ended Year Ended Year 6/30/2004 Ended 6/30/2004 Ended (unaudited) 12/31/2003 (unaudited) 12/31/2003 INCREASE IN NET ASSETS FROM OPERATIONS Net investment income $ 3,536,792 $ 4,900,723 $ 1,407,546 $ 1,932,455 Net realized gain (loss) on investments, short sales, financial futures contracts, forward currency contracts, and foreign currency-related transactions 18,998,373 7,149,331 9,878,405 (495,751) Net change in unrealized appreciation (depreciation) on investments, short sales, financial futures contracts, forward currency contracts, and translation of other assets and liabilities denominated in foreign currencies (10,301,697) 64,040,508 (5,247,995) 48,641,639 ------------------------------------------------------ Net increase in net assets resulting from operations 12,233,468 76,090,562 6,037,956 50,078,343 ------------------------------------------------------ DISTRIBUTIONS From net investment income (3,623,602) (6,324,253) -- (2,246,951) ------------------------------------------------------ Decrease in net assets resulting from distributions (3,623,602) (6,324,253) -- (2,246,951) ------------------------------------------------------ CAPITAL SHARE TRANSACTIONS, NET (SEE APPENDIX D) 71,232,301 101,859,694 (12,788,418) (2,442,996) ------------------------------------------------------ Total increase (decrease) in net assets 79,842,167 171,626,003 (6,750,462) 45,388,396 NET ASSETS Beginning of period 422,161,739 250,535,736 168,606,896 123,218,500 ------------------------------------------------------ End of period $502,003,906 $422,161,739 $161,856,434 $168,606,896 ====================================================== UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME $(4,389,115) $ (4,302,305) $ 1,144,208 $ (263,338) --------------------------------------------------------------------------------------
See accompanying Notes to Financial Statements. 27 -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS
TIFF US TIFF GOVERNMENT EQUITY FUND BOND FUND -------------------------- -------------------------- Six Months Six Months Ended Year Ended Period from 6/30/2004 Ended 6/30/2004 3/31/2003 to (unaudited) 12/31/2003 (unaudited) 12/31/2003 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income $ 328,776 $ 378,310 $ 530,357 $ 1,280,970 Net realized gain (loss) on investments, short sales and financial futures contracts 16,553,776 (1,618,276) (627,664) (855,525) Net change in unrealized appreciation (depreciation) on investments, short sales and financial futures contracts (6,782,607) 64,717,708 (70,163) 134,612 ------------------------------------------------------ Net increase (decrease) in net assets resulting from operations 10,099,945 63,477,742 (167,470) 560,057 ------------------------------------------------------ DISTRIBUTIONS From net investment income -- (367,023) (530,747) (1,304,679) ------------------------------------------------------ Decrease in net assets resulting from distributions -- (367,023) (530,747) (1,304,679) ------------------------------------------------------ CAPITAL SHARE TRANSACTIONS, NET (SEE APPENDIX D) (7,367,775) (5,089,541) (11,240,020) 38,655,427 ------------------------------------------------------ Total increase (decrease) in net assets 2,732,170 58,021,178 (11,938,237) 37,910,805 NET ASSETS Beginning of period 232,498,126 174,476,948 37,910,805 -- ------------------------------------------------------ End of period $235,230,296 $232,498,126 $25,972,568 $37,910,805 ====================================================== UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME $ 661,004 $ 332,228 $ (13,717) $ (13,327) --------------------------------------------------------------------------------------
See accompanying Notes to Financial Statements. 28 -------------------------------------------------------------------------------- STATEMENT OF CHANGES IN NET ASSETS
TIFF SHORT-TERM FUND -------------------------- Six Months Ended Year 6/30/2004 Ended (unaudited) 12/31/2003 INCREASE IN NET ASSETS FROM OPERATIONS Net investment income $ 418,511 $ 3,188,686 Net realized loss on investments and financial futures contracts (44,473) (1,571,784) Net change in unrealized depreciation on investments and financial futures contracts (55,932) (5,624) -------------------------- Net increase in net assets resulting from operations 318,106 1,611,278 -------------------------- DISTRIBUTIONS From net investment income (426,108) (4,146,040) -------------------------- Decrease in net assets resulting from distributions (426,108) (4,146,040) -------------------------- CAPITAL SHARE TRANSACTIONS, NET (SEE APPENDIX D) (28,307,035) (40,013,433) -------------------------- Total decrease in net assets (28,415,037) (42,548,195) NET ASSETS Beginning of period 128,660,369 171,208,564 -------------------------- End of period $100,245,332 $128,660,369 ========================== UNDISTRIBUTED NET INVESTMENT INCOME $ 53,038 $ 60,635 --------------------------------------------------------------------
See accompanying Notes to Financial Statements. 29 -------------------------------------------------------------------------------- STATEMENT OF CASH FLOWS (UNAUDITED) FOR THE SIX MONTHS ENDED JUNE 30, 2004
TIFF GOVERNMENT BOND FUND CASH FLOWS FROM (FOR) OPERATING ACTIVITIES Net decrease in net assets from operations $ (167,470) Adjustments to reconcile net increase (decrease) in net assets from operations to net cash used for operating activities: Proceeds from sales of investments 66,094,538 Purchase of investments (54,854,101) Amortization of discounts and premium, net (492) Decrease in dividends and interest receivable 56,410 Increase in payable for securities purchased 280,063 Decrease in accrued operating expenses (23,353) Net decrease in short-term investments 2,246,179 Net realized loss 627,664 Net change in unrealized appreciation 70,163 ------------- Net cash flows from operating activities 14,329,601 ------------- CASH FLOWS FROM (FOR) FINANCING ACTIVITIES Proceeds from shares sold 653,056 Cash distribution paid (129,785) Shares redeemed (12,307,375) Decrease in payable for reverse repurchase agreements (2,249,982) ------------- Net cash flows for financing activities (14,034,086) ------------- NET INCREASE IN CASH 295,515 ------------- Cash at beginning of period -- ------------- Cash at end of period $ 295,515 ============= -----------------------------------------------------------------
Note: Non-cash financing activities not include herein consist of reinvestment of dividends and distributions of $414,299. This Statement of Cash Flows has been included as required by Financial Accounting Standard (FAS) 95. The TIFF Multi-Asset, International Equity, US Equity, and Short-Term Funds are not required to present a Statement of Cash Flows pursuant to an exemption provided by FAS 102. See accompanying Notes to Financial Statements. 30 -------------------------------------------------------------------------------- TIFF MULTI-ASSET FUND -- FINANCIAL HIGHLIGHTS
Six Months Ended Year Year Year Year Year 6/30/04 Ended Ended Ended Ended Ended (unaudited) 12/31/03 12/31/02 12/31/01 12/31/00 12/31/99 For a share outstanding throughout each period Net asset value, beginning of period $ 13.19 $ 10.61 $ 11.59 $ 12.18 $ 13.41 $ 11.42 ------------------------------------------------------------------ INCOME FROM INVESTMENT OPERATIONS Net investment income 0.12 0.21 0.20 0.17 0.23 0.22 Net realized and unrealized gain (loss) on investments* 0.27 2.57 (0.96) (0.59) 0.04 2.30 ------------------------------------------------------------------ Total from investment operations 0.39 2.78 (0.76) (0.42) 0.27 2.52 ------------------------------------------------------------------ LESS DISTRIBUTIONS FROM Net investment income (0.10) (0.22) (0.24) (0.17) (0.28) (0.50) Net realized gains -- -- -- (0.01) (1.24) (0.07) ------------------------------------------------------------------ Total distributions (0.10) (0.22) (0.24) (0.18) (1.52) (0.57) ------------------------------------------------------------------ Entry/exit fee per share (Note 6) --# 0.02 0.02 0.01 0.02 0.04 ------------------------------------------------------------------ Net asset value, end of period $ 13.48 $ 13.19 $ 10.61 $ 11.59 $ 12.18 $ 13.41 ================================================================== TOTAL RETURN (A) 2.94%(c) 26.65% (6.33%) (3.34%) 2.39% 22.65% RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000s) $502,004 $422,162 $250,536 $208,441 $215,035 $238,644 Ratio of expenses to average net assets, exclusive of interest expense 0.74%(b) 0.70% 0.76% 0.97% 0.94% 0.57% Ratio of expenses to average net assets, inclusive of interest expense 0.78% 0.73% -- -- -- -- Ratio of net investment income to average net assets 1.59%(b) 1.59% 1.44% 1.42% 1.67% 2.20% Portfolio turnover 47.53%(c) 116.53% 128.81% 139.64% 156.15% 154.49%
-------------------------------------------------------------------------------- (a) Total return assumes dividend reinvestment and includes the effects of entry and exit fees received by the fund; however, a shareholder's total return for the period, assuming a purchase at the beginning of the period and a redemption at the end of the period, would be lower by the amount of entry and exit fees paid by the shareholder. (b) Annualized. (c) Not annualized. * Includes foreign currency-related transactions. # Rounds to less than $0.01. See accompanying Notes to Financial Statements. 31 -------------------------------------------------------------------------------- TIFF INTERNATIONAL EQUITY FUND -- FINANCIAL HIGHLIGHTS
Six Months Ended Year Year Year Year Year 6/30/04 Ended Ended Ended Ended Ended (unaudited) 12/31/03 12/31/02 12/31/01 12/31/00 12/31/99 For a share outstanding throughout each period Net asset value, beginning of period $ 11.16 $ 8.02 $ 9.09 $ 11.25 $ 13.58 $ 11.17 --------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.10 0.16 0.06 0.07 0.12 0.13 Net realized and unrealized gain (loss) on investments* 0.40 3.13 (1.08) (2.05) (1.74) 3.93 --------------------------------------------------------------------- Total from investment operations 0.50 3.29 (1.02) (1.98) (1.62) 4.06 --------------------------------------------------------------------- LESS DISTRIBUTIONS FROM Net investment income -- (0.15) (0.05) (0.03) (0.08) (0.13) Net realized gains -- -- -- (0.12) (0.65) (1.54) Return of capital -- -- -- (0.04) -- -- --------------------------------------------------------------------- Total distributions -- (0.15) (0.05) (0.19) (0.73) (1.67) --------------------------------------------------------------------- Entry/exit fee per share (Note 6) 0.02 --# --# 0.01 0.02 0.02 --------------------------------------------------------------------- Net asset value, end of period $ 11.68 $ 11.16 $ 8.02 $ 9.09 $ 11.25 $ 13.58 ===================================================================== TOTAL RETURN (A) 4.66%(c) 41.33% (11.24%) (17.49%) (11.66%) 37.40% RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000s) $161,856 $168,607 $ 123,219 $ 142,396 $ 181,110 $246,429 Ratio of expenses to average net assets 1.23%(b) 1.17% 1.38% 1.40% 1.16% 1.00% Ratio of net investment income to average net assets 1.70%(b) 1.41% 0.67% 0.68% 0.99% 1.32% Portfolio turnover 15.21%(c) 48.98% 48.07% 54.96% 62.04% 28.33%
-------------------------------------------------------------------------------- (a) Total return assumes dividend reinvestment and includes the effects of entry and exit fees received by the fund; however, a shareholder's total return for the period, assuming a purchase at the beginning of the period and a redemption at the end of the period, would be lower by the amount of entry and exit fees paid by the shareholder. (b) Annualized. (c) Not annualized. * Includes foreign currency-related transactions. # Rounds to less than $0.01. See accompanying Notes to Financial Statements. 32 -------------------------------------------------------------------------------- TIFF US EQUITY FUND -- FINANCIAL HIGHLIGHTS
Six Months Ended Year Year Year Year Year 6/30/04 Ended Ended Ended Ended Ended (unaudited) 12/31/03 12/31/02 12/31/01 12/31/00 12/31/99 For a share outstanding throughout each period Net asset value, beginning of period $ 12.95 $ 9.59 $ 12.08 $ 12.96 $ 15.78 $ 15.62 ------------------------------------------------------------------ INCOME FROM INVESTMENT OPERATIONS Net investment income 0.02 0.02 --# 0.01 0.12 0.09 Net realized and unrealized gain (loss) on investments 0.56 3.36 (2.49) (0.85) (0.61) 2.70 ------------------------------------------------------------------ Total from investment operations 0.58 3.38 (2.49) (0.84) (0.49) 2.79 ------------------------------------------------------------------ LESS DISTRIBUTIONS FROM Net investment income -- (0.02) -- (0.03) (0.10) (0.43) Net realized gains -- -- -- -- (2.24) (2.21) Return of capital -- -- -- (0.01) -- -- ------------------------------------------------------------------ Total distributions -- (0.02) -- (0.04) (2.34) (2.64) ------------------------------------------------------------------ Entry/exit fee per share (Note 6) --# --# --# --# 0.01 0.01 ------------------------------------------------------------------ Net asset value, end of period $ 13.53 $ 12.95 $ 9.59 $ 12.08 $ 12.96 $ 15.78 ================================================================== TOTAL RETURN (A) 4.48%(c) 35.24% (20.61%) (6.51%) (2.67%) 18.89% RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000s) $235,231 $232,498 $174,477 $217,578 $242,806 $280,853 Ratio of expenses to average net assets 0.77%(b) 0.85% 1.22% 1.28% 0.79% 0.67% Ratio of net investment income to average net assets 0.29%(b) 0.19% --# 0.07% 0.82% 0.68% Portfolio turnover 20.27%(c) 60.32% 60.45% 103.40% 88.20% 73.59%
-------------------------------------------------------------------------------- (a) Total return assumes dividend reinvestment and includes the effects of entry and exit fees received by the fund; however, a shareholder's total return for the period, assuming a purchase at the beginning of the period and a redemption at the end of the period, would be lower by the amount of entry and exit fees paid by the shareholder. (b) Annualized. (c) Not annualized. # Rounds to less than 0.01% or $0.01 as applicable. See accompanying Notes to Financial Statements. 33 -------------------------------------------------------------------------------- TIFF GOVERNMENT BOND FUND -- FINANCIAL HIGHLIGHTS
Six Months Ended Year 6/30/04 Ended (unaudited) 12/31/03+ For a share outstanding throughout each period Net asset value, beginning of period $ 9.72 $ 10.00 ---------------------- INCOME FROM INVESTMENT OPERATIONS Net investment income 0.19 0.29 Net realized and unrealized (loss) on investments (0.25) (0.27) ---------------------- Total from investment operations (0.06) 0.02 ---------------------- LESS DISTRIBUTIONS FROM Net investment income (0.19) (0.30) ---------------------- Net asset value, end of period $ 9.47 $ 9.72 ====================== TOTAL RETURN (A) (0.64%)(c) 0.20%(c) RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000s) $ 25,973 $ 37,911 Ratio of expenses to average net assets, exclusive of interest expense 0.63%(b) 0.46%(b) Ratio of expenses to average net assets, inclusive of interest expense 1.07%(b) 0.99%(b) Ratio of expenses to average net assets before expense waivers, inclusive of interest expense 1.12%(b) 1.05%(b) Ratio of net investment income to average net assets 3.85%(b) 3.93%(b) Portfolio turnover 192.18%(c) 322.22%(c)
-------------------------------------------------------------------------------- (a) Total return assumes dividend reinvestment and would have been lower had certain expenses not been waived. (b) Annualized. (c) Not annualized. + Fund commenced operations on March 31, 2003. See accompanying Notes to Financial Statements. 34 -------------------------------------------------------------------------------- TIFF SHORT-TERM FUND -- FINANCIAL HIGHLIGHTS
Six Months Ended Year Year Year Year Year 6/30/04 Ended Ended Ended Ended Ended (unaudited) 12/31/03 12/31/02 12/31/01 12/31/00 12/31/99 For a share outstanding throughout each period Net asset value, beginning of period $ 9.83 $ 9.97 $ 10.02 $ 10.00 $ 9.94 $ 9.97 ------------------------------------------------------------------ INCOME FROM INVESTMENT OPERATIONS Net investment income 0.04 0.16 0.24 0.47 0.60 0.52 Net realized and unrealized gain (loss) on investments (0.01) (0.07) (0.03) 0.04 0.06 (0.03) ------------------------------------------------------------------ Total from investment operations 0.03 0.09 0.21 0.51 0.66 0.49 ------------------------------------------------------------------ LESS DISTRIBUTIONS FROM Net investment income (0.04) (0.23) (0.24) (0.47) (0.60) (0.52) Net realized gains -- -- -- (0.02) -- -- Return of capital -- -- (0.02) (0.00)# -- -- ------------------------------------------------------------------ Total distributions (0.04) (0.23) (0.26) (0.49) (0.60) (0.52) ------------------------------------------------------------------ Net asset value, end of period $ 9.82 $ 9.83 $ 9.97 $ 10.02 $ 10.00 $ 9.94 ================================================================== TOTAL RETURN (A) 0.29%(c) 0.88% 2.11% 5.29% 6.86% 4.93% RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000s) $100,245 $128,660 $171,209 $ 93,882 $ 76,835 $ 89,756 Ratio of expenses to average net assets 0.35%(b) 0.35% 0.35% 0.35% 0.35% 0.35% Ratio of expenses to average net assets, before expense waivers 0.45%(b) 0.39% 0.38% 0.40% 0.43% 0.45% Ratio of net investment income to average net assets 0.73%(b) 1.76% 2.30% 4.75% 6.07% 5.14% Portfolio turnover 0.00%(c) 288.22% 87.15% 145.69% 267.48% 38.80%
-------------------------------------------------------------------------------- (a) Total return assumes dividend reinvestment and would have been lower had certain expenses not been waived. (b) Annualized. (c) Not annualized. # Rounds to greater than ($0.01). See accompanying Notes to Financial Statements. 35 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) JUNE 30, 2004 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 five active funds: TIFF Multi-Asset Fund ("Multi-Asset"), TIFF International Equity Fund ("International Equity"), TIFF US Equity Fund ("US Equity"), TIFF Government Bond Fund ("Government Bond"), and TIFF Short-Term Fund ("Short-Term"), collectively referred to as the "funds." INVESTMENT OBJECTIVES
------------------------------------------------------------------------------------------------------ FUND INVESTMENT OBJECTIVES ------------------------------------------------------------------------------------------------------ Multi-Asset Attain a growing stream of current income and appreciation of principal that at least offsets inflation. International Equity Attain appreciation of principal that at least offsets inflation. US Equity Attain a growing stream of current income and appreciation of principal that at least offset inflation. Government Bond Attain as high a rate of current income as is consistent with maintaining liquidity and to provide a hedge against deflation-induced declines in common stock prices and dividend streams. Short-Term Attain as high a rate of current income as is consistent with ensuring that the fund's risk of principal loss does not exceed that of a portfolio invested in six-month US Treasury bills.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of asset and liabilities, the reported amounts of increases and decreases in net assets from operations during the reported period, and disclosure of contingent assets and liabilities at the date of the financial statements. Actual results could differ from these estimates. VALUATION OF INVESTMENTS Securities listed on a securities exchange for which market quotations are readily available are valued at their last quoted sales price on the principal exchange on which they are traded on the valuation date or, if there is no such reported sale on the valuation date, at the most recently quoted bid price, or asked price in the case of securities sold short. Debt securities are valued at prices that reflect broker/dealer-supplied valuations or are obtained from independent pricing services and are deemed representative of market values at the close. Unlisted securities or securities for which over-the-counter market quotations are readily available are valued at the latest bid price. Time deposits, repurchase agreements, and reverse repurchase agreements are generally valued at their cost. Short-term debt securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates fair value, or by amortizing their value on the 61st day prior to maturity if their term to maturity at the date of purchase was greater than 60 days. Exchange-traded and over-the-counter options and futures contracts are valued at the closing settlement price or, if there were no sales that day for a particular position, at the closing bid price (closing ask price in the case of open future and option sales contracts). Forward foreign currency exchange contracts are valued at the estimated current cost of covering or offsetting the contracts. Investments in other open-end funds or trusts are valued at their closing net asset value per share on valuation date, which represents their redeemable value. Events affecting the values of certain portfolio securities that occur between the close of trading on the principal market for such securities (foreign exchanges and over-the-counter markets) and the time at which net asset value of the funds is determined will not be reflected in the funds' calculation of the net asset value unless the funds' valuation committee believes that the particular event would materially affect net asset value, in which case adjustments would be made. Certain funds invest in privately offered commingled investment vehicles ("CIVs") formed for the purpose of earning returns from alternative investment strategies. CIV interests held by the funds are generally not securities for which market quotations are readily available. Rather, such interests generally can be sold back to the CIV only at specified intervals or on specified dates. The TIP board of directors has approved valuation procedures pursuant to which the fund values its interests in CIVs at "fair value." In accordance with these procedures, fair value of CIV interests ordinarily is based on the "estimated" value of the CIV, as provided to the fund by the management of the CIV. Fair value is intended to represent a good faith approximation of the amount that the fund could reasonably expect to receive from the CIV if the fund's interest in the CIV were sold at the time of valuation, based on information reasonably available at the time valuation is made and that the fund believes is reliable. In the unlikely event that the CIV does not provide a value to the fund on a timely basis, the fund would determine the fair value of that CIV based on the most recent estimated value provided by the management of the CIV, as well as any other relevant information reasonably available at the time the fund values its portfolio. The fair values of the CIVs are based on available information and do not necessarily represent the amounts that might ultimately be realized, which depend on future circumstances and cannot be reasonably determined until the investment is actually liquidated. Securities for which market quotations are not readily available are valued at their fair value as determined in good faith under 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, and the difference between 36 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) JUNE 30, 2004 the recorded fair value and the value that would be received in a sale could be significant. At June 30, 2004, the aggregate amount of securities fair valued, including the CIVs referenced above, were as follows:
---------------------------------------------------------------------- FUND AMOUNT % OF NET ASSETS ---------------------------------------------------------------------- Multi-Asset $91,628,651 18.34% International Equity 9,455,528 5.84% US Equity 34,199,844 14.54%
INVESTMENT TRANSACTIONS AND INVESTMENT INCOME Securities transactions are recorded on the trade date (the date on which the buy or sell order is executed). Interest income and expenses are recorded on an accrual basis. The funds accrete discount or amortize premium using the yield-to-maturity method on a daily basis, except for mortgage-backed securities that record paydowns. The funds recognize paydown gains and losses for such securities and reflect them in investment income. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities that are recorded as soon after the ex-dividend date as the funds, using reasonable diligence, become aware of such dividends. Non-cash dividends, if any, are recorded at the fair market value of the securities received. The funds use the specific identification method for determining realized gain or loss on sales of securities and foreign currency transactions. INCOME TAXES There is no provision for federal income or excise tax since 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. The funds may be subject to foreign taxes on income, gains on investments, or currency repatriation. The funds accrue such taxes, as applicable, as a reduction from the related income and realized and unrealized gain as and when such income is earned and gains are recognized. EXPENSES Expenses directly attributable to a fund are charged to that fund's operations; expenses that are applicable to all funds are allocated among them based on their relative average daily net assets. DIVIDENDS TO MEMBERS It is the policy of all funds to declare dividends according to the following schedule:
----------------------------------------------------------------------------------------- DIVIDENDS FROM NET FUND INVESTMENT INCOME CAPITAL GAINS DISTRIBUTIONS ----------------------------------------------------------------------------------------- Multi-Asset Quarterly Annually International Equity Semi-annually Annually US Equity Quarterly Annually Government Bond Monthly Annually Short-Term Monthly Annually
The Multi-Asset Fund has adopted a managed distribution policy that aims, on a best efforts basis, to distribute approximately 5% of its net assets in the form of dividends and distributions each year. Pursuant to this policy, the fund may make distributions that are ultimately characterized as return of capital. 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 could be reduced by a capital loss carryover, such gain will not be distributed. Dividends and distributions are recorded on the ex-dividend date. Dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These "book/tax" differences are considered either temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences do not require reclassification. FOREIGN CURRENCY TRANSLATION The books and records of the funds are maintained in US dollars. Foreign currency amounts are translated into US dollars on the following basis: (i) the foreign currency value of investments and other assets and liabilities denominated in foreign currency are translated at the closing rate of exchange on the valuation date and (ii) purchases and sales of investments, income, and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. 37 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) JUNE 30, 2004 The resulting net unrealized foreign currency gain or loss is included in the Statement of Operations. The funds do not generally isolate that portion of the results of operations arising as a result of changes in the foreign currency exchange rates from the fluctuations arising from changes in the market prices of securities. Accordingly, such foreign currency gain (loss) is included in net realized and unrealized gain (loss) on investments. However, the funds do isolate the effect of fluctuations in foreign exchange rates when determining the gain or loss upon the sale or maturity of foreign currency-denominated debt obligations pursuant to US federal income tax regulations; such amount is categorized as foreign currency gain or loss for income tax reporting purposes. Net realized gains and losses from foreign currency-related transactions represent net gains and losses from sales and maturities of forward currency contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions, and the difference between the amount of net investment income accrued and the US dollar amount actually received. 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 funds as an unrealized gain or loss. When a forward currency contract is extinguished through delivery or by entry into a closing contract, the funds record a realized gain or loss on foreign currency-related transactions equal to the difference between the value of the contract at the time of purchase 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 funds could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the US dollar. Appendix B of the Notes to Financial Statements details each fund's outstanding forward currency contracts at June 30, 2004. FINANCIAL FUTURES CONTRACTS Certain funds are engaged in trading financial futures contracts. A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery at a future date. 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 to or received from the broker in the amount of daily unrealized gains or losses. When the contracts are closed, the fund recognizes a realized gain or loss in the Statement of Operations. 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 are primarily used 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 included in the Statement of Assets and Liabilities. Losses may arise from changes in the value of the underlying instrument, an illiquid secondary market for the contracts, or counterparties not performing 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. Appendix C of the Notes to Financial Statements details each fund's open futures contracts at June 30, 2004. 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. In "short selling," a fund 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 significantly 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 38 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) JUNE 30, 2004 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 option is increased by the premium paid to buy the call option. 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 related amounts shown on the Statement of Assets and Liabilities. Each fund may use option contracts to manage its exposure to the stock and bond markets and to fluctuations in interest rates and currency values. Option contracts are primarily used to increase or decrease the fund's exposure to the underlying instrument and may serve as hedges for other fund investments. NET ASSET VALUE The net asset value per share is calculated on a daily basis by dividing the assets of each fund, less its liabilities, by the number of outstanding shares of the fund. 3. INVESTMENT ADVISORY AGREEMENT AND MONEY MANAGER AGREEMENTS TIP's board of directors has approved investment advisory agreements with TIFF Advisory Services ("TAS"). Each fund pays TAS a maximum monthly fee calculated by applying the following annual rates to such fund's average daily net assets for the month:
---------------------------------------------------------------------------------- MULTI- INTERNATIONAL US GOVERNMENT SHORT- ASSETS ASSET EQUITY EQUITY BOND TERM ---------------------------------------------------------------------------------- On the first $500 million 0.20% 0.15% 0.15% 0.05% 0.03% On the next $500 million 0.18% 0.13% 0.13% 0.05% 0.03% On the next $500 million 0.15% 0.11% 0.11% 0.04% 0.02% On the next $500 million 0.13% 0.09% 0.09% 0.04% 0.02% On the next $500 million 0.11% 0.07% 0.07% 0.03% 0.01% On the remainder (> $2.5 billion) 0.09% 0.05% 0.05% 0.03% 0.01%
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 upward or downward, 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 the assets under management with a single rate or on a descending scale. Appendix A of the Notes to Financial Statements identifies money managers who provide services to the funds and the minimum, maximum, and effective fee rates applicable during the six months ended June 30, 2004. Unless otherwise indicated, the management fee received by a money manager varies based on the money manager's investment performance. During the six months ended June 30, 2004, the Government Bond Fund and Short-Term Fund received voluntary fee waivers of $6,889 and $57,900 from the funds' investment advisor and money manager. The fee waiver for the Short-Term Fund is designed to cap the total annual operating expenses of the fund at 0.35%. There are no recapture agreements in place for fees that have been waived. With respect to funds' investments in other registered investment companies, private investment funds, investment partnerships, and other commingled investment vehicles, the funds bear their ratable share of each such entity's expenses and would also be subject to their share of the management and performance fees, if any, charged by such entity. The funds' share of management and performance fees charged by such entities is in addition to fees paid by the respective fund to TAS and money managers. Pursuant to an Operations Monitoring Agent Agreement effective August 15, 2003, EOS Fund Services LLC ("EOS"), two employees of which serve as officers of TIP, earns a fee for providing operations monitoring services to TIP as well as to other investment vehicles offered by TIP's investment advisor according to the following schedule: 0.02% of the first $3.5 billion of the aggregated average daily net assets of TIP and the other vehicles, 0.015% thereafter up to $5 billion, 0.01% thereafter up to $7.5 billion, 0.0075% thereafter up to $10 billion, and 0.005% on assets over $10 billion. Pursuant to an Administration Agreement effective August 15, 2003, Investors Bank & Trust Company ("IBT") earns a fee for 39 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) JUNE 30, 2004 providing fund administration services to TIP according to the following schedule: 0.05% of the first $300 million of the average daily net assets of TIP, 0.03% thereafter up to $3 billion, and 0.025% on assets over $3 billion. IBT also serves as TIP's custodian and accounting and transfer agent. Fees paid for services rendered by IBT are based upon assets of TIP and on transactions entered into by TIP during the period. Fees for such services paid to IBT by TIP are reflected as administration fees, custodian and accounting fees, and shareholder recordkeeping fees in the Statement of Operations. Pursuant to TIP's exemptive order obtained from the Securities and Exchange Commission, shareholder approval of money manager agreements and material changes to such agreements is not required. 4. INVESTMENT TRANSACTIONS Cost of investment securities purchased and proceeds from sales of investment securities, other than short-term investments, during the period ended June 30, 2004, were as follows: NON-US GOVERNMENT SECURITIES
------------------------------------------------------------------- FUND PURCHASES SALES ------------------------------------------------------------------- Multi-Asset $89,735,014 $108,455,292 International Equity 23,765,946 48,266,212 US Equity 42,341,795 70,878,131
US GOVERNMENT SECURITIES
-------------------------------------------------------------------- FUND PURCHASES SALES -------------------------------------------------------------------- Multi-Asset $112,521,388 $105,015,878 Government Bond 54,854,101 66,094,538
For federal income tax purposes, the cost of securities owned at June 30, 2004, the aggregate gross unrealized appreciation (depreciation) and the net unrealized appreciation (depreciation) on securities owned and securities sold short at June 30, 2004, for each fund are as follows:
----------------------------------------------------------------------------------------------------- NET UNREALIZED APPRECIATION/ FUND GROSS APPRECIATION GROSS DEPRECIATION (DEPRECIATION) COST ----------------------------------------------------------------------------------------------------- Multi-Asset $69,766,021 $(4,037,532) $65,728,489 $456,365,242 International Equity 33,364,332 (4,298,680) 29,065,652 122,528,721 US Equity 40,421,630 (5,352,959) 35,068,671 201,350,272 Government Bond 64,449 -- 64,449 50,869,158 Short-Term -- (37,288) (37,288) 98,818,136
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 US government securities agrees, upon entering into a contract, to sell US 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 US government securities purchases US government securities from a fund and such fund agrees to repurchase the securities at an agreed upon price and date. The difference between the amount the fund receives for the securities and the additional amount it pays on repurchase is deemed to be a payment of interest. Appendix F of the Notes to Financial Statements details each fund's open reverse repurchase agreements at June 30, 2004. Each fund will engage in repurchase and reverse repurchase transactions with parties approved by the fund's board of directors on the basis of such party's creditworthiness. Securities pledged as collateral for repurchase agreements are held by the custodial bank until maturity of the repurchase agreements. In connection with reverse repurchase agreements, the funds establish segregated accounts with its custodian in which the funds maintain cash, US government securities, or other liquid high grade debt obligations in the name of the counterparty equal in value to its obligation. The funds may also invest in tri-party repurchase agreements for which securities held as collateral are maintained in a segregated account by the broker's custodian bank until maturity of the repurchase agreement. Provisions of the repurchase agreements and the procedures adopted by the funds require that the market value of the collateral, including accrued interest thereon, be at least equal to the value of the securities sold or purchased in order to protect against loss in the event of default by the counterparty. If the counterparty defaults and the value of the collateral declines or if the counterparty enters an insolvency proceeding, realization of the collateral may be delayed or limited. 6. CAPITAL SHARE TRANSACTIONS As of June 30, 2004, each fund had 500,000,000 shares of $0.001 par value capital stock authorized. The funds may charge entry or exit fees on subscriptions or redemptions, respectively. While there are no sales commissions (loads) or 12b-1 fees, the Multi-Asset Fund assesses entry and exit 40 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) JUNE 30, 2004 fees of 0.50% of capital invested or redeemed; the International Equity Fund assesses entry and exit fees of 0.75%; and the US Equity Fund assesses entry and exit fees of 0.25%. These fees, which are paid to the funds directly, not to TAS or other vendors supplying services to the funds, are designed to allocate transaction costs associated with purchases and redemptions of a fund's shares. These fees are deducted from the amount invested or redeemed; they cannot be paid separately. Entry and exit fees may be waived at TAS's discretion when the purchase or redemption will not result in significant transaction costs for the affected fund (e.g., for transactions involving in-kind purchases and redemptions). 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 of the Notes to Financial Statements. 7. 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 these securities in their records as segregated with a value at least equal to the amount of the purchase commitment. The Multi-Asset Fund enters into "TBA" (to be announced) purchase commitments to purchase mortgage-backed 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 principal amount delivered will not differ more than 0.01% from the commitment. 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 funds' 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 OF INVESTMENTS 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 their portfolio, the fund may dispose of a commitment prior to settlement if the funds' money managers deem it appropriate to do so. The Multi-Asset Fund enters into TBA sale commitments to hedge the portfolio or to sell mortgage-backed securities the fund 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 OF INVESTMENTS 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. 8. CONCENTRATION OF RISKS The funds may engage in transactions with counterparties, including but not limited to repurchase and reverse repurchase agreements, forward contracts, futures and options, and interest rate and currency swaps. A fund may be subject to various delays and risks of loss if the counterparty becomes insolvent or is otherwise unable to meet its obligations. The Multi-Asset, International Equity, and US Equity Funds invest in CIVs that entail liquidity risk to the extent they are difficult to sell or convert to cash quickly at favorable prices. The Multi-Asset and Government Bond Funds invest in fixed income securities issued by banks and other financial companies, the market values of which may change in response to interest rate changes. Although these funds generally maintain diversified portfolios, the ability of the issuers of the respective funds' portfolio securities to meet their obligations may be affected by changing business and economic conditions in a specific industry, state, or region. The Multi-Asset and International Equity Funds invest in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the United States, a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries. While the funds' investment in emerging markets debt securities is limited, the yields of these obligations reflect perceived credit risk. 41 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) JUNE 30, 2004 9. 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 as of June 30, 2004.
---------------------------------------------------------------- FUND NUMBER % OF FUND HELD ---------------------------------------------------------------- Multi-Asset 1 11 International Equity 1 40 US Equity 3 35 Government Bond 2 55 Short-Term 3 44
From time to time, a fund may have members that hold significant portions of the respective fund's outstanding shares. Investment activities of such members could have a material impact on those funds. 10. RESTRICTED SECURITIES Restricted securities that were held by the funds at June 30, 2004, were valued in accordance with the VALUATION OF INVESTMENTS section as described in Note 2. Such securities generally may be sold only in a privately negotiated transaction with a limited number of purchasers. Each fund will bear any costs incurred in connection with the disposition of such securities. Appendix E of the Notes to Financial Statements details each fund's restricted securities at June 30, 2004. 11. REPOSITIONING OF SHORT-TERM FUND On April 19, 2004, a special meeting of the members of the Short-Term Fund of TIP was held to consider for approval proposals to amend the advisory agreement between the fund and TAS (Proposal 1); amend the fund's investment objective (Proposal 2); and amend the fund's current fundamental restriction with respect to concentration of investments, pursuant to which the fund is required to invest more than 25% of its total assets in the banking industry or the finance industry (Proposal 3). Shares represented by proxy totaled 7,369,537.931 or 58.7% of the fund's outstanding shares. 100% of the shares represented by proxy voted in favor of each of the three proposals. 12. SUBSEQUENT EVENT Effective July 1, 2004, the money manager agreement between Fischer Francis Trees & Watts, Inc. ("FFTW") and TIP on behalf of the Short-Term Fund was terminated. TAS has replaced FFTW as money manager for the Short-Term Fund. 13. PROXY VOTING POLICY AND VOTING RECORD A description of the policies and procedures that TIP uses to determine how to vote proxies relating to portfolio securities is available on TIP's Website at http://www.tiff.org and without charge, upon request, by calling 800-984-0084. This information is also available on the Website of the US Securities and Exchange Commission at http://www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, 2004, is also available on the Websites noted above. 42 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) JUNE 30, 2004 APPENDIX A MONEY MANAGER FEE AS PERCENT OF ASSETS MANAGED FOR THE SIX MONTHS ENDED JUNE 30, 2004
EFFECTIVE MINIMUM MAXIMUM FEE RATE* TIFF MULTI-ASSET FUND Aronson+Johnson+Ortiz, LP (a) 0.10 0.80 0.20 Delaware International Advisers Ltd. 0.30 0.50 0.49 Harding, Loevner Management, LP (a)(d) 0.10 1.50 0.10 Marathon Asset Management, Ltd. (a) 0.15 1.60 1.04 K.G. Redding & Associates, LLC (a) 0.50 2.50 0.60 Smith Breeden Associates, Inc. (a) 0.10 0.85 0.16 Wellington Management Company, LLP 0.35 0.45 0.45 TIFF INTERNATIONAL EQUITY FUND Delaware International Advisers Ltd. 0.33 0.55 0.55 Harding, Loevner Management, LP (a)(d) 0.10 1.50 0.11 Marathon Asset Management, Ltd. (a) 0.15 1.60 1.20 TIFF US EQUITY FUND Aronson+Johnson+Ortiz, LP (a) 0.10 0.80 0.27 Martingale Asset Management, LP (b) 0.05 0.10 0.09 Palo Alto Investors (a)(d) 0.10 2.00 2.02 Shapiro Capital Management Company, Inc. (a) 0.50 0.95 0.52 Westport Asset Management, Inc. (a) 0.15 2.00 0.12 TIFF GOVERNMENT BOND FUND Smith Breeden Associates, Inc. (a) 0.10 0.85 0.16 TIFF SHORT-TERM FUND Fischer Francis Trees & Watts, Inc. (c) 0.15 0.20 0.12 ----------------------------------------------------------------
* Annualized. (a) Money manager receives a fee that includes a performance component. The effective fee may fall outside of the minimum maximum range because performance fees are based on assets and performance from a period prior to when they are accrued. (b) Money manager receives a fee based on assets of the entire fund. (c) Money manager has agreed voluntarily to waive a portion of its fee, and the effective rate is after such waiver. (d) The money manager was defunded during the period. The effective fee rate is based on the period prior to defunding. 43 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) JUNE 30, 2004 APPENDIX B OPEN FORWARD CURRENCY CONTRACTS AS OF JUNE 30, 2004
CONTRACT US DOLLAR FOREIGN CURRENCY UNREALIZED APPRECIATION/ AMOUNT DESCRIPTION RECEIVABLE/(PAYABLE) RECEIVABLE/(PAYABLE) (DEPRECIATION) MULTI-ASSET FUND BUY CONTRACTS 6,060,857 Euro settling on 9/15/04 $(7,299,999) $ 7,365,274 $ 65,275 SELL CONTRACTS 2,487,088 Euro settling on 9/15/04 3,000,000 (3,022,359) (22,359) British Pound settling on 3,230,000 7/30/04 5,684,800 (5,843,280) (158,480) --------- $(115,564) ========= INTERNATIONAL EQUITY FUND BUY CONTRACTS 8,118,339 Euro settling on 9/15/04 (9,778,476) 9,865,567 $ 87,091 SELL CONTRACTS 3,731,107 Euro settling on 9/15/04 4,500,000 (4,534,115) (34,115) British Pound settling on 2,630,000 7/30/04 4,628,800 (4,757,841) (129,041) --------- $ (76,065) =========
44 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) JUNE 30, 2004 APPENDIX C OPEN FINANCIAL FUTURES CONTRACTS AS OF JUNE 30, 2004
UNREALIZED NUMBER OF COST/ VALUE AT APPRECIATION/ CONTRACTS TYPE (PROCEEDS) JUNE 30, 2004 (DEPRECIATION) MULTI-ASSET FUND LONG FINANCIAL FUTURES CONTRACTS 75 July 2004 CAC 40 $ 3,437,960 $ 3,414,072 $ (23,888) 169 September 2004 Topix Index 18,049,925 18,438,757 388,832 167 September 2004 Japanese Yen 19,187,600 19,246,750 59,150 13 September 2004 Canadian Dollar 943,410 974,220 30,810 September 2004 Swiss Franc 61 Currency 6,121,175 6,112,962 (8,213) 53 September 2004 British Pound 6,008,625 5,981,381 (27,244) 132 September 2004 S&P 500 Index 37,387,200 37,633,200 246,000 September 2004 S&P TSE 60 14 Index 982,198 987,597 5,399 17 September 2004 DAX Index 2,073,720 2,113,291 39,571 11 September 2004 MIB30 Index 1,882,705 1,895,656 12,951 September 2004 Swiss Market 50 Index 2,275,631 2,249,681 (25,950) 202 September 2004 Pan-Euro 4,108,089 4,060,010 (48,079) 43 September 2004 FTSE 100 Index 3,495,204 3,486,508 (8,696) September 2004 10-Year US 109 Treasury Note 11,803,312 11,916,766 113,454 ----------- $ 754,097 =========== SHORT FINANCIAL FUTURES CONTRACTS 2 September 2004 Eurodollar (489,793) (489,900) $ (107) September 2004 2-Year US 6 Treasury Note (1,258,572) (1,263,281) (4,709) September 2004 5-Year US 9 Treasury Note (970,600) (978,188) (7,588) 2 December 2004 Eurodollar (487,493) (487,425) 68 2 March 2005 Eurodollar (485,406) (485,150) 256 2 June 2005 Eurodollar (483,531) (483,150) 381 2 September 2005 Eurodollar (481,930) (481,500) 430 2 December 2005 Eurodollar (480,568) (480,050) 518 2 March 2006 Eurodollar (479,343) (478,975) 368 2 June 2006 Eurodollar (478,155) (478,050) 105 2 September 2006 Eurodollar (477,068) (477,200) (132) 2 December 2006 Eurodollar (476,005) (476,375) (370) 2 March 2007 Eurodollar (475,093) (475,675) (582) 2 June 2007 Eurodollar (474,205) (474,975) (770) 2 September 2007 Eurodollar (473,405) (474,350) (945) ----------- (13,077) ----------- $ 741,020 =========== INTERNATIONAL EQUITY FUND LONG FINANCIAL FUTURES CONTRACTS 44 July 2004 CAC 40 $ 2,016,773 $ 2,002,922 $ (13,851) 90 September 2004 Topix Index 9,612,177 9,819,457 207,280 84 September 2004 Japanese Yen 9,664,338 9,681,000 16,662 43 September 2004 Canadian Dollar 3,161,700 3,222,420 60,720 September 2004 Swiss Franc 56 Currency 5,636,400 5,611,900 (24,500) 75 September 2004 British Pound 8,514,925 8,464,219 (50,706) September 2004 S&P TSE 60 59 Index 4,076,913 4,162,014 85,101 6 September 2004 DAX Index 731,906 745,867 13,961 10 September 2004 MIB30 Index 1,716,693 1,723,324 6,631 September 2004 Swiss Market 43 Index 1,950,902 1,934,725 (16,177) 210 September 2004 Pan-Euro 4,280,490 4,220,802 (59,688) ----------- $ 225,433 =========== US EQUITY FUND LONG FINANCIAL FUTURES CONTRACTS 198 September 2004 S&P 500 Index $ 55,725,075 $ 56,449,800 $ 724,725 ----------- SHORT FINANCIAL FUTURES CONTRACTS 79 September 2004 Russell 2000 (22,396,650) (23,397,825) (1,001,175) ----------- $ (276,450) ===========
45 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) JUNE 30, 2004 APPENDIX D CAPITAL SHARE TRANSACTIONS
SIX MONTHS ENDED JUNE 30, 2004 YEAR ENDED DECEMBER 31, 2003 SHARES AMOUNT SHARES AMOUNT MULTI-ASSET FUND Shares Sold 5,711,156 $ 77,316,164 8,805,854 $ 105,845,547 Shares Reinvested 179,632 2,421,441 358,000 4,241,737 Exit/Entry Fee -- 429,655 -- 569,440 ---------- ------------ ----------- ------------- Subtotal 5,890,788 80,167,260 9,163,854 110,656,724 Shares Redeemed (661,609) (8,934,959) (769,437) (8,797,030) ---------- ------------ ----------- ------------- Net Increase 5,229,179 $ 71,232,301 8,394,417 $ 101,859,694 ---------- ------------ ----------- ------------- INTERNATIONAL EQUITY FUND Shares Sold 1,013,654 $ 11,743,558 266,978 $ 2,303,964 Shares Reinvested -- -- 190,249 1,811,662 Exit/Entry Fee -- 274,793 -- 67,103 ---------- ------------ ----------- ------------- Subtotal 1,013,654 12,018,351 457,227 4,182,729 Shares Redeemed (2,262,127) (24,806,769) (717,312) (6,625,725) ---------- ------------ ----------- ------------- Net Decrease (1,248,473) $(12,788,418) (260,085) $ (2,442,996) ---------- ------------ ----------- ------------- US EQUITY FUND Shares Sold 1,356,529 $ 17,947,211 1,526,987 $ 15,449,240 Shares Reinvested -- -- 15,057 194,844 Exit/Entry Fee -- 108,539 -- 90,723 ---------- ------------ ----------- ------------- Subtotal 1,356,529 18,055,750 1,542,044 15,734,807 Shares Redeemed (1,931,077) (25,423,525) (1,779,775) (20,824,348) ---------- ------------ ----------- ------------- Net Decrease (574,548) $ (7,367,775) (237,731) $ (5,089,541) ---------- ------------ ----------- ------------- GOVERNMENT BOND FUND Shares Sold 68,543 $ 653,056 5,563,050 $ 55,607,234 Shares Reinvested 42,698 414,299 103,937 1,024,696 ---------- ------------ ----------- ------------- Subtotal 111,241 1,067,355 5,666,987 56,631,930 Shares Redeemed (1,269,611) (12,307,375) (1,765,089) (17,976,503) ---------- ------------ ----------- ------------- Net (Decrease) Increase (1,158,370) $(11,240,020) 3,901,898 $ 38,655,427 ---------- ------------ ----------- ------------- SHORT-TERM FUND Shares Sold 5,041,781 $ 49,554,732 19,041,316 $ 188,680,415 Shares Reinvested 35,707 350,748 375,363 3,716,821 ---------- ------------ ----------- ------------- Subtotal 5,077,488 49,905,480 19,416,679 192,397,236 Shares Redeemed (7,957,889) (78,212,515) (23,501,848) (232,410,669) ---------- ------------ ----------- ------------- Net Decrease (2,880,401) $(28,307,035) (4,085,169) $ (40,013,433) ---------- ------------ ----------- -------------
46 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) JUNE 30, 2004 APPENDIX E RESTRICTED SECURITIES AS OF JUNE 30, 2004 The following restricted securities were held by the funds as of June 30, 2004, and were valued in accordance with the VALUATION OF INVESTMENTS as described in Note 2. Such securities generally may be sold only in a privately negotiated transaction with a limited number of purchasers. Each fund will bear any costs incurred in connection with the disposition of such securities.
INVESTMENT DATE OF ACQUISITION COST MULTI-ASSET FUND Bessent Global Fund, LP 07/31/03 $ 4,000,000 Canyon Value Realization Fund, LP 06/01/96 - 06/30/03 13,797,935 Farallon Capital Institutional Partners, LP 04/01/95 - 12/31/97 7,746,138 Lone Picea, LP 01/02/03 2,279,000 Lone Redwood, LP 12/31/97 2,534,161 Maverick Fund USA, Ltd. 12/31/02 - 12/30/03 5,000,000 OZ Domestic Partners, LP 12/31/01 - 09/30/03 9,000,000 Regiment Capital Ltd. 06/30/03 6,000,000 Tosca 12/30/03 9,000,000 INTERNATIONAL EQUITY FUND Bessent Global Fund, LP 05/31/03 - 08/01/03 $ 3,880,670 Lansdowne UK Equity Fund Limited 05/31/03 4,000,000 US EQUITY FUND Adage Capital Partners, LP 12/31/01 - 06/30/03 $31,500,000 Gotham Partners, LP 12/31/96 - 06/26/97 243,910
At June 30, 2004, the aggregate market value of restricted securities was: Multi-Asset Fund -- $91,628,651 (18.3% of net assets); International Equity Fund -- $9,455,527 (5.8% of net assets); US Equity Fund -- $34,199,844 (14.5% of net assets). All of the above listed securities are illiquid, with the exception Multi-Asset Fund's holdings of Bessent Global Fund, LP and Canyon Value Realization Fund, LP which the board of directors deemed to be liquid. The above list does not include securities registered under Rule 144A of the Securities Act of 1933. These securities may also be deemed to be restricted. 47 -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) JUNE 30, 2004 APPENDIX F REVERSE REPURCHASE AGREEMENTS AS OF JUNE 30, 2004 MULTI-ASSET FUND
FACE MARKET DESCRIPTION VALUE VALUE Morgan Stanley Dean Witter, 0.35%, dated 06/02/04, to be repurchased on 07/01/04, at face value, plus accrued interest $14,062,500 $14,066,465 Morgan Stanley Dean Witter, 1.00%, dated 06/28/04, to be repurchased on 12/31/05, at face value, plus accrued interest 13,922,106 13,923,244 ----------- Total reverse repurchase agreements $27,989,709 =========== Average balance outstanding $25,789,457 Average interest rate 0.63% Maximum balance outstanding $57,746,220
Average balance outstanding was calculated based on daily balances outstanding during the period that the fund had entered into reverse repurchase agreements. GOVERNMENT BOND FUND
FACE MARKET DESCRIPTION VALUE VALUE Morgan Stanley Dean Witter, 1.05%, dated 06/30/04, to be repurchased on 12/31/05, at face value, plus accrued interest $25,087,546 $25,088,278 =========== Average balance outstanding $24,135,088 Average interest rate 0.63% Maximum balance outstanding $28,307,858
Average balance outstanding was calculated based on daily balances outstanding during the period that the fund had entered into reverse repurchase agreements. 48 -------------------------------------------------------------------------------- DIRECTORS AND PRINCIPAL OFFICERS
--------------------------------------------------------------------------------------------------------------------- NAME (AGE) POSITION LENGTH OF PRINCIPAL OCCUPATION OTHER ADDRESS WITH FUND SERVICE (A) FOR LAST FIVE YEARS DIRECTORSHIPS --------------------------------------------------------------------------------------------------------------------- INDEPENDENT DIRECTORS Suzanne Brenner (46) Director 1 year senior investment officer none Associate Treasurer and Senior Investment Officer The Metropolitan Museum of Art 1000 Fifth Avenue New York, NY 10028 Harry N. Hoffman III (48) Director 3 years chief investment officer none Chief Investment Officer Mayo Foundation 200 First Street SW Rochester, MN 55905 Sheryl L. Johns (48) Director 8 years chief financial officer none VP, Treasurer, and CFO Houston Endowment Inc. 600 Travis, Suite 6400 Houston, TX 77002 INTERESTED DIRECTORS William H. McLean (49) (b) Director 4 years chief investment officer TIFF Advisory VP and Chief Investment Services, Inc. Officer Northwestern University Investment Office, Room 1-209 633 Clark Street Evanston, IL 60208 PRINCIPAL OFFICERS Richard F. Flannery (46) President and 1 year principal executive TIFF Advisory TIFF Principal officer previously Services, Inc. 590 Peter Jefferson Parkway, Executive executive vice president Suite 250 Officer of Delaware Investments Charlottesville, VA 22911 David A. Salem (48) Vice President 11 years chief investment officer TIFF Advisory TIFF and Director Services, Inc. 590 Peter Jefferson Parkway, Suite 250 Charlottesville, VA 22911 Esther Cash (47) Vice President 11 years investment operations TIFF 590 Peter Jefferson Parkway, Suite 250 Charlottesville, VA 22911 Tina M. Leiter (38) Secretary 1 year investment operations TIFF 590 Peter Jefferson Parkway, Suite 250 Charlottesville, VA 22911 William E. Vastardis (48) Treasurer and 11 years fund administration EOS Fund Services LLC Principal 26 West 17th Street, Financial Suite 601 Officer New York, NY 10011 ---------------------------------------------------------------------------------------------------------------------
(a) Each director serves until the date that director resigns, retires, or is removed by the board of directors or shareholders in accordance with the Articles of Incorporation. (b) Mr. McLean is deemed to be an "interested director" because he also serves as a director of TIFF Advisory Services, Inc., the mutual funds' advisor. 49 -------------------------------------------------------------------------------- TIFF INVESTMENT PROGRAM ADVISOR TIFF Advisory Services, Inc. 590 Peter Jefferson Parkway, Suite 250 Charlottesville, VA 22911 PHONE 434-817-8200 FAX 434-817-8231 CUSTODIAN ACCOUNTING AGENT TRANSFER AGENT DIVIDEND DISBURSING AGENT FUND ADMINISTRATOR Investors Bank & Trust Company 200 Clarendon Street Boston, MA 02116 FUND DISTRIBUTOR Quasar Distributors, LLC 615 East Michigan Street Milwaukee, WI 53202 LEGAL COUNSEL Dechert 1500 I Street, NW Washington, DC 20005 INDEPENDENT ACCOUNTANTS PricewaterhouseCoopers LLP 125 High Street Boston, MA 02110 OPERATIONS MONITORING AGENT EOS Fund Services LLC 26 West 17th Street, Suite 601 New York, NY 10011 MONEY MANAGERS TIFF MULTI-ASSET FUND Aronson+Johnson+Ortiz, LP Bessent Capital, LLC Canyon Capital Advisors LLC Delaware International Advisers Ltd. Farallon Capital Management, LLC Lone Pine Capital LLC Marathon Asset Management, Ltd. Maverick Capital, Ltd. Och-Ziff Capital Management Group K.G. Redding & Associates, LLC Regiment Capital Management, LLC Smith Breeden Associates, Inc. Toscafund Limited Wellington Management Company, LLP TIFF INTERNATIONAL EQUITY FUND Bessent Capital, LLC Delaware International Advisers Ltd. Lansdowne Partners Limited Marathon Asset Management Limited Toscafund Limited TIFF US EQUITY FUND Adage Capital Management, LP Aronson+Johnson+Ortiz, LP Marathon Asset Management, Ltd. Martingale Asset Management, LP Shapiro Capital Management Company, Inc. Westport Asset Management, Inc. TIFF GOVERNMENT BOND FUND Smith Breeden Associates, Inc. TIFF SHORT-TERM FUND Fischer Francis Trees & Watts, Inc. This report must be accompanied or preceded by a prospectus. Mutual fund investing involves risk. Principal loss is possible. ITEM 2. CODE OF ETHICS. Not applicable to this filing. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable to this filing. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable to this filing. ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS Not applicable to this filing. ITEM 6. SCHEDULE OF INVESTMENTS Not applicable to this filing. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to this filing. ITEMS 8. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILITAED PURCHASERS. Not applicable to this filing. ITEMS 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. On April 19th, 2004, a special meeting of the members of the TIFF Short-Term Fund (the "fund") of TIP to: consider for approval a proposal to amend the advisory agreement between the fund and TAS ("Proposal 1"); consider for approval to amend the fund's investment objective ("Proposal 2"); consider for approval to amend the fund's current fundamental restriction with respect to concentration of investments, pursuant to which the fund is required to invest more than 25% of its total assets in the banking industry or the finance industry ("Proposal 3"). Shares represented by proxy totaled 7,369,537.931 or 58.7% of the funds outstanding shares. The results of the shareholder vote were as follows: Proposal 1 For: 7,369,537.931 (equal to 58.7% of outstanding shares); Against: 0 (equal to 0% of outstanding shares); Abstain: 0 (equal to 0% of outstanding shares). Proposal 2 For: 7,369,537.931 (equal to 58.7% of outstanding shares); Against: 0 (equal to 0% of outstanding shares); Abstain: 0 (equal to 0% of outstanding shares). Proposal 3 For: 7,369,537.931 (equal to 58.7% of outstanding shares); Against: 0 (equal to 0% of outstanding shares); Abstain: 0 (equal to 0% of outstanding shares). ITEM 10. CONTROLS AND PROCEDURES. (a) The Registrant's Principal Executive Officer and Principal Financial Officer concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) were effective as of a date within 90 days prior to the filing date of this report (the "Evaluation Date"), based on their evaluation of the effectiveness of the Registrant's disclosure controls and procedures as of the Evaluation Date. (b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the Registrant's last fiscal half-year (the Registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 11. EXHIBITS. (a)(1) Code of Ethics (Item 2) is not applicable to this filing. (a)(2) Certification of Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is attached hereto as Exhibit 99CERT. (a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. (b) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule 30a-2(b), under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)), Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) is attached hereto as Exhibit 99.906CERT. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) TIFF Investment Program, Inc. By (Signature and Title) /s/ Richard J. Flannery ------------------------------------------------ Richard J. Flannery, President and Principal Executive Officer Date September 7, 2004 --------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title) /s/ Richard J. Flannery ------------------------------------------------ Richard J. Flannery, President and Principal Executive Officer Date September 7, 2004 --------------------- By (Signature and Title) /s/ William E. Vastardis ------------------------------------------------ William E. Vastardis, Treasurer and Principal Financial Officer Date September 7, 2004 ---------------------