TIFF Investment Program 2021 Semi-Annual Report JUNE 30, 2021
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TIFF Investment Program 2021 Semi-Annual Report JUNE 30, 2021 CONTENTS ABOUT TIFF TIFF, founded in 1991, is a not-for-profit organization that TIFF Multi-Asset Fund seeks to improve the investment returns of endowed non-profits by making available to them a series of Fund Expenses 3 multi-manager investment strategies, plus resources aimed Financial Highlights 4 at enhancing fiduciaries’ knowledge of investing. Schedule of Investments 5 Statement of Assets and Liabilities 23 TIFF MUTUAL FUND Statement of Operations 24 TIFF Investment Program (TIP) is comprised of a no-load Statements of Changes in Net Assets 25 mutual fund available primarily to foundations, endowments, Statement of Cash Flows 26 other 501(c)(3) organizations, and certain other non-profit organizations meeting specified accreditation requirements. Notes to Financial Statements 27 TIP consists of one mutual fund, TIFF Mutli-Asset Fund Additional Information 45 (MAF). TIFF Advisory Services, Inc. (TAS) serves as the Approval of Money Manager Agreements 46 investment advisor to the fund. MAF operates primarily on a multi-manager basis, and TAS has responsibility for the Index Descriptions 50 time-intensive task of selecting money managers and other Governance vendors for the fund as well as for the all-important task of asset allocation. Trustees and Principal Officers 52 FINANCIAL STATEMENTS TIP is pleased to provide this Semi-Annual Report for the period ended June 30, 2021. FOR FURTHER INFORMATION As always, we welcome the opportunity to discuss any aspect of TIFF’s services as well as answer any questions about these financial statements. For further information about TIFF, please call us at 610-684-8200 or visit www.tiff.org. August 25, 2021 Copyright © 2021 • All rights reserved • This report is intended for institutional investors only and may not be reproduced or distributed without written permission from TIFF. TIFF MULTI-ASSET FUND JUNE 30, 2021 SUMMARY SCHEDULE OF INVESTMENTS (UNAUDITED) SSET -A Foreign Common Stocks 31.5% ULTI M US Common Stocks 30.3% Repurchase Agreement 14.4% Private Investment Funds 14.3% US Treasury Bonds/Notes 5.0% Exchange-Traded Funds (ETFs) 4.6% US Treasury Bills 2.4% Participation Notes 0.5% Unaffiliated Investment Company 0.5% Preferred Stocks 0.1% Publicly Traded Limited Partnerships 0.1% Warrants 0.1% Purchased Option Contracts 0.0% Convertible Bonds 0.0% Rights 0.0% Structured Notes 0.0% Disputed Claims Receipt 0.0% Total Investments 103.8% Securities Sold Short (4.7)% Other Assets in Excess of Other Liabilities 0.9% Net Assets 100.0% Fund holdings and sector weightings are subject to change and should not be considered a recommendation to buy or sell any security. Please refer to the Schedule of Investments for complete holdings information. Current and future holdings are subject to risk. Diversification does not ensure a profit or protect against loss in declining markets. 2 TIFF MULTI-ASSET FUND JUNE 30, 2021 M FUND EXPENSES (UNAUDITED) ULTI -A As a shareholder of a fund, you incur two types of costs: (1) transaction costs, including entry and exit fees; and (2) ongoing costs, SSET including management fees and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2021 to June 30, 2021. Actual Expenses The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period. Hypothetical Example for Comparison Purposes The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as entry fees or exit fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. Including Expenses for Excluding Expenses for Securities Sold Short* Securities Sold Short* Expenses Paid Expenses Paid Beginning Ending During the Beginning Ending During the Account Value Account Period** Account Value Account Period** 1/1/21 Value 6/30/21 1/1/21 – 6/30/21 1/1/21 Value 6/30/21 1/1/21 – 6/30/21 1) Actual $1,000.00 $1,106.50 $5.07 $1,000.00 $1,106.50 $3.97 2) Hypothetical $1,000.00 $1,019.98 $4.86 $1,000.00 $1,021.03 $3.81 * Expenses on Securities Sold Short include dividends and interest on securities sold short and broker fees on securities sold short. ** Expenses are equal to the fund’s annualized expense ratio of 0.97% (calculated over a six-month period, which may differ from the fund’s actual expense ratio for the full year), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Excluding expenses for securities sold short, expenses incurred by the fund were 0.76%. The expense ratios do not include the fees and expenses associated with investments made in acquired funds; such fees and expenses are reflected in the acquired funds’ total return. 3 TIFF MULTI-ASSET FUND JUNE 30, 2021 FINANCIAL HIGHLIGHTS SSET -A Six Months ULTI Ended Year Ended Year Ended Year Ended Year Ended Year Ended M June 30, 2021 December 31, December 31, December 31, December 31, December 31, (Unaudited) 2020 2019 2018 2017 2016 For a share outstanding throughout each period Net asset value, beginning of period $ 16.71 $ 14.22 $ 12.02 $ 14.53 $ 14.12 $ 14.25 Income (loss) from investment operations Net investment income (loss) (a) 0.01 (0.14) 0.12 0.12 0.07 0.10 Net realized and unrealized gain (loss) on investments 1.77 2.75 2.05 (1.63) 2.48 0.51 Total from investment operations 1.78 2.61 2.17 (1.51) 2.55 0.61 Less distributions from Net investment income — — — (0.25) (0.75) (0.04) Net realized gains — (0.15) — (0.67) (1.41) (0.30) Return of capital — — — (0.10) — (0.42) Total distributions — (0.15) — (1.02) (2.16) (0.76) Entry/exit fee per share (a) — 0.03 0.03 0.02 0.02 0.02 Net asset value, end of period $ 18.49 $ 16.71 $ 14.22 $ 12.02 $ 14.53 $ 14.12 Total return (b) 10.65%(c) 18.57%(d) 18.39% (10.27)% 18.24% 4.45% Ratios/supplemental data Net assets, end of period (000s) $1,680,630 $1,563,172 $1,912,954 $2,498,944 $3,754,026 $4,126,979 Ratio of expenses to average net assets (e) 0.97%(f) 2.22%(g) 1.00% 0.78% 0.94% 0.90% Ratio of expenses to average net assets, excluding expenses for securities sold short (e) 0.76%(f) 1.92%(g) 0.78% 0.72% 0.93% 0.87% Ratio of net investment income (loss) to average net assets 0.08%(f) (0.97)% 0.92% 0.85% 0.47% 0.70% Portfolio turnover 48% 146% 114% 66% 58% 65% (a) Calculation based on average shares outstanding. (b) Total return assumes dividend reinvestment and includes the effects of entry and exit fees received by the fund; however, it does not reflect the deduction of such fees from a member's purchase or redemption transaction. Therefore, a member'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 member. (c) Not annualized. (d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. (e) The expense ratio does not include the fees and expenses associated with investments made in acquired funds; such fees and expenses are reflected in the acquired funds' total return. (f) Annualized. (g) Certain money managers have generated exceedingly strong positive performance relative to their respective benchmarks. The expense ratio for the year ended December 31, 2020 includes performance fees earned by those money managers representing 1.11% of the expense ratio.