N-CSR 1 v459817_ncsr.htm ANNUAL REPORT

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
(Exact name of Registrant as specified in charter)
 

170 N. Radnor Chester Road, Suite 300

Radnor, PA

19087
(Address of chief executive offices) (Zip code)
   

Richard J. Flannery

President and Chief Executive Officer

TIFF Investment Program

170 N. Radnor Chester Road, Suite 300

Radnor, PA 19087

 

with a copy to:

Kristin H. Ives, Esq.

Stradley Ronon Stevens & Young, LLP

2005 Market Street, Suite 2600

Philadelphia, PA 19103

(Name and address of agent for service)
   
Registrant’s telephone number, including area code: 610.684.8000  
   
Date of fiscal year end: 12/31/2016  
   
Date of reporting period: 1/1/16 – 12/31/16  
     
     
           

 

 

Item 1. Reports to Stockholders.

 

(Annual Report for the period 1/1/16 through 12/31/16 is filed herewith)

 

   
[GRAPHIC MISSING]    TIFF Investment Program
  2016 Annual Report   DECEMBER 31, 2016
  

  

  Contents

TIFF Multi-Asset Fund
 
Portfolio Management Review     2  
Fund Performance     4  
Fund Expenses     7  
Financial Highlights     8  
Schedule of Investments     10  
Statement of Assets and Liabilities     30  
Statement of Operations     31  
Statements of Changes in Net Assets     32  
Statement of Cash Flows     33  
Notes to Financial Statements     34  
Report of Independent Registered Public Accounting Firm     53  
Additional Information     54  
Index Descriptions     56  
TIFF Short-Term Fund
 
Portfolio Management Review     60  
Fund Performance     61  
Fund Expenses     62  
Financial Highlights     63  
Schedule of Investments     63  
Statement of Assets and Liabilities     64  
Statement of Operations     65  
Statements of Changes in Net Assets     66  
Statement of Cash Flows     67  
Notes to Financial Statements     68  
Report of Independent Registered Public Accounting Firm     72  
Additional Information     73  
Governance
 
Trustees and Principal Officers     74  
 About TIFF

The Investment Fund for Foundations (TIFF), founded in 1991, is a not-for-profit organization that seeks to improve the investment returns of endowed non-profits by making available to them a series of multi-manager investment strategies, plus resources aimed at enhancing fiduciaries’ knowledge of investing.

 TIFF Mutual Funds

TIFF Investment Program (TIP) is comprised of no-load mutual funds available primarily to foundations, endowments, other 501(c)(3) organizations, and certain other non-profit organizations meeting specified accreditation requirements. TIP consists of two mutual funds at present: TIFF Multi-Asset Fund (MAF) and TIFF Short-Term Fund (STF). TIFF Advisory Services, Inc. (TAS) serves as the investment advisor to the funds. MAF operates primarily on a multi-manager basis, and TAS has responsibility for the time-intensive task of selecting money managers and other vendors for the fund as well as for the all-important task of asset allocation. With respect to STF, TAS is responsible for the day-to-day management of all of the fund’s assets.

 Financial Statements

TIP is pleased to provide this Annual Report for the year ended December 31, 2016. Additional information regarding the performance of the mutual funds described herein has been provided to members via the TIFF Multi-Asset Fund quarterly reports and at www.tiff.org for STF reporting.

 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.

March 1, 2017

Copyright © 2017 • All rights reserved • This report is intended for institutional investors only and may not be reproduced or distributed without written permission from TIFF.


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund  December 31, 2016 
 Portfolio Management Review (Unaudited)

TIFF Multi-Asset Fund (MAF) underwent a number of significant portfolio changes over the course of 2016 with the arrival in late 2015 of TAS’s new Chief Investment Officer, Jay Willoughby. The broad effort was intended to better position the fund to meet its long-term objectives, particularly through the addition of new diversified return streams, many of which are expected to have low or zero correlation to equity markets. The work, detailed later in this discussion, was largely completed as of year-end, a bit ahead of schedule. At the same time, MAF struggled during 2016 to deliver satisfying performance.

Performance Review

The fund gained 4.45% for the full year 2016, before the deduction of entry and exit fees. This result lagged MAF’s primary long-term benchmark of CPI + 5%, which returned 7.17% in 2016. The return also lagged MAF’s Constructed Index (CI), which returned 6.00% for the year. For complete, annualized performance data, including the effects of MAF’s 0.50% entry and exit fees, please see the table on page 4. TAS’s allocation of capital among the three CI segments accounted for a small portion of the fund’s underperformance relative to the CI. The lion’s share of underperformance was attributable to the combined effects of how TAS allocated capital among managers within each segment and how well or poorly managers fared in selecting securities.

Key equity and fixed income markets rebounded in 2016 from a lackluster prior year, with US stocks leading the way in delivering solid gains. Commodities and emerging markets fared substantially better than in 2015, while non-US developed markets generally struggled. The year saw two significant political surprises that impacted markets substantially: the so-called Brexit vote in the UK to withdraw from the European Union and the victory of Donald Trump in the US presidential election under an “America First” banner that included vows to deregulate the economy and reform the tax structure. MAF’s managers were unable to take full advantage of the market opportunities that, in hindsight, emerged during the year. The fund especially suffered late in the year, in part because of the timing of certain portfolio changes coupled with the impact of the shifting political wind in the US. In addition, one of the fund’s best-performing managers over the last few years performed quite poorly in 2016 (after a careful review, the manager will remain on MAF’s roster).

In the first half of the year, markets shifted materially from 2015. For example, MAF managers with exposure to gold, materials, and energy — “losers” in 2015 — helped the most in the first half, while those exposed to consumer discretionary and especially airline stocks — 2015’s “winners” — cost the fund. Currency issues also came to the fore with the persistent rise of the US dollar against major global currencies. MAF was able to implement currency hedges at the portfolio level to reduce the impact of the dollar’s swings against the Japanese yen.

The final quarter of 2016 proved quite difficult for MAF. In the equity-oriented assets segment, the fund’s emerging markets and developed Asia managers could not escape the broad trends in their geographies in 4Q, and US dollar-based returns suffered from the rapid appreciation of the dollar, particularly after Mr. Trump’s surprise election victory. MAF’s currency hedging program is not meant to eliminate the impact of foreign exchange exposure, as market changes cannot be foreseen. Rather, the program is aimed at limiting the impact by introducing hedges as foreign exchange exposures exceed certain trigger levels. With the dollar gaining more than 7% in the fourth quarter against a basket of currencies representing the largest US trading partners, the value of certain non-US securities in MAF’s portfolio suffered.

MAF’s diversifying segment also struggled during the fourth quarter. The addition of new systematic managers (see the discussion below) came, it turned out, at an inopportune time. Significant market shifts, or regime changes, where one set of stocks gains favor while another is shunned, are generally tough on some of these systematic managers (at least in the short-run), and the post-Trump election rotations hurt MAF’s managers. The primary post-election shift saw cyclical stocks (industrials, materials, energy and bank stocks especially) generally leading the sector groupings while some of the previous leaders in the staples, telecom and utility sectors lagged. As these managers’ trading models catch up with the new regime of favored stocks, TAS hopes to see these strategies begin to add value.

2


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund  December 31, 2016 
 Portfolio Management Review (Unaudited) (continued)

Portfolio Changes

As noted earlier, MAF’s manager roster underwent meaningful change in 2016, largely completing a set of shifts designed to better position the fund for long-term success. Over the course of the year, 12 new underlying managers were added to the roster, either through a separately managed account, a fund investment, or swap exposure. The fund eliminated specified exposure to two asset segments no longer in the CI — commodities and real estate investment trusts (REITs) — and fully redeemed from six managers. Four of the new managers fell within the equity-oriented assets segment and eight within diversifying strategies. The net effect was to slightly enlarge the roster while slightly decreasing the average capital allocation to each manager.

The primary, overriding goal of the various roster moves was diversification, specifically to add return streams to the fund that are expected to be uncorrelated to each other and to broad equity market trends. Within equity-oriented assets, the fund added two experienced China-focused equity managers in an effort to take advantage of a large, fast-growing and inefficient equity market. The fund added exposure through swaps to portfolios managed by a highly regarded equity manager that focuses on short-selling. Within diversifying strategies, MAF added a number of “systematic” strategies where quantitative models are used to frequently trade securities based on an identifiable proprietary edge. These strategies include the identification of short-term market trends, of weather patterns (to exploit energy market anomalies), and of currency market patterns, among others. In addition, MAF added a US long/short fund focusing on small-capitalization stocks.

MAF’s allocation to equity-oriented assets, which is roughly in line with or slightly above the CI’s 65% weight, dominates the portfolio because such an allocation is deemed necessary in seeking to meet the fund’s long-term goal of generating a return exceeding CPI inflation + 5%. Given this weight to equities and the calculated risk it entails, a proper set of hedging assets is required as ballast for the fund. That ballast is unlikely to come from fixed income, as further increases in bond yields, and accompanying declines in bond prices, are viewed as likely in the next several years. Thus, MAF’s diversifying strategies segment will be looked upon to serve as a hedge against broad equity market volatility and as a potential source of well-diversified returns, regardless of market conditions.

Looking ahead to 2017, two or three additional diversifying managers may be added to the fund roster, and TAS is evaluating other potential opportunities in Europe. Although some new managers got off to a difficult start in 2016, MAF’s diversifying strategies segment is, in TAS’s opinion, much stronger than it was a year ago. Overall, TAS is satisfied with MAF’s positioning. The fund is at or very near its CI target weights for each asset category: slightly overweight in stocks (including cash held by managers), nearing the diversifying target but still a tad underweight, and roughly in line in fixed income. TAS believes the fund’s lineup of managers and its allocation, closely mirroring CI targets, better align MAF’s portfolio with the fund’s goals, and TAS hopes to see positive movement toward those goals in 2017.

3


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund  December 31, 2016 

Performance data quoted represent past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. Total return assumes reinvestment of dividends. Performance data for the most recent month-end and additional performance information may be obtained by visiting TIFF’s website at www.tiff.org. While the fund is no-load, management fees and other expenses will apply. Please refer to the prospectus for further details.

The fund may use leverage; invests in illiquid securities, non-US securities, small capitalization stocks, derivatives, below investment grade bonds, and real-estate oriented investments; and engages in shortselling. Non-US securities may entail political, economic, and currency risks different from those of US securities and may be issued by entities adhering to different accounting standards than those governing US issuers. Small capitalization stocks may entail different risks than larger capitalization stocks, including potentially lesser degrees of liquidity. The fund or certain of its money managers invest routinely and, at times, significantly in derivatives, certain of which are deemed by the SEC to be highly speculative. Short selling of securities may increase the potential for loss if a manager has difficulty covering a short position. Leverage may accelerate the velocity and magnitude of potential losses. Not more than 20% of the fund’s assets may be invested in debt obligations rated below investment grade (i.e., having a rating lower than BBB by Standard & Poor’s or Baa by Moody’s) or unrated but deemed to be of similar quality. Bonds rated below investment grade are commonly referred to as “junk bonds.” Investors should be aware of the risks involved with investing in REITs and real estate securities, such as declines in the value of real estate and increased susceptibility to adverse economic or regulatory developments. As a multi-manager fund, the fund may experience higher transaction costs than a fund managed by a single manager and the fund may not be able to combine money managers such that their styles are complementary.

Fund Performance (Unaudited)Total return for the periods ended 12/31/16

           
    Calendar
Year 2016
  3-Year
Annualized
  5-Year
Annualized
  10-Year
Annualized
  Annualized
Since
Inception
  Cumulative
Since
Inception
Before Deduction of Entry/Exit Fees     4.45 %      1.21 %      6.15 %      4.96 %      7.49 %      381.61 % 
After Deduction of Entry/Exit Fees     3.42 %      0.88 %      5.94 %      4.85 %      7.44 %      376.82 % 
MSCI ACW Index     7.86 %      3.13 %      9.36 %      3.56 %      6.54 %      296.98 % 
CPI + 5% per annum     7.17 %      6.24 %      6.42 %      6.89 %      7.27 %      359.93 % 
MAF Constructed Index     6.00 %      1.84 %      5.21 %      3.65 %      6.88 %      324.92 % 
65/35 Mix     6.17 %      3.22 %      6.97 %      4.23 %      6.54 %      296.94 % 

See Index Descriptions on page 56 for details and descriptions of MAF Indices.

Total return assumes dividend reinvestment. MAF’s annualized expense ratio for calendar year 2015 was 1.51% (a regulatory mandate requires the use in this report of the same expense ratio as that appearing in the latest fund prospectus). The expense ratio reflects fund expenses for the year ended December 31, 2015, which are expected to vary over time. The expense ratio is expressed as a percentage of average net assets. The expense ratio may differ for 2016.

Commencement of operations was March 31, 1995. The fund assesses entry and exit fees of 0.50%, expressed as a percentage of the purchase or redemption amount, which fees are retained by the fund. Total return before deductions of entry and exit fees assumes there were no purchases or redemptions during the period. Total return after deductions of entry and exit fees assumes a single purchase of shares at the beginning of the period and a single redemption of shares at the end of the period.

4


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund  December 31, 2016 
Performance of a $2,500,000 Investment (Unaudited)Ten year period ended 12/31/16

[GRAPHIC MISSING] 

See Index Descriptions on pages 5657 for details and descriptions of MAF Indices.

Past performance is not a guarantee of future results.

The fund’s performance assumes the reinvestment of all dividends and distributions and includes the effects of the current 0.50% entry and exit fees received by the fund, but does not reflect the deduction of taxes that a member subject to tax would pay on fund distributions or the redemption of fund shares.

5


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund  December 31, 2016 

 Summary Schedule of Investments (Unaudited)

 
Foreign Common Stocks     30.3%  
US Common Stocks     20.5%  
Private Investment Funds     14.8%  
US Treasury Bonds/Notes     10.4%  
US Treasury Bills     10.3%  
Repurchase Agreement     7.6%  
Exchange-Traded Funds (ETFs)     3.7%  
Participation Notes     0.9%  
Preferred Stocks     0.4%  
Warrants     0.1%  
Publicly Traded Limited Partnerships     0.0%  
Disputed Claims Receipt     0.0%  
Purchased Option Contracts     0.0%  
Rights     0.0%  
Total Investments     99.0%  
Other Assets in Excess of Liabilities     1.0%  
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.

See accompanying Notes to Financial Statements.

6


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund  December 31, 2016 
 Fund Expenses (Unaudited)

As a shareholder of a fund, you incur two types of costs: (1) transaction costs, including entry and exit fees; and (2) ongoing costs, 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 July 1, 2016 to December 31, 2016.

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 Interest and
Dividend Expense**
  Excluding Interest and
Dividend Expense**
      Beginning
Account Value
7/1/16
  Ending
Account Value
12/31/16
  Expenses Paid
During the
Period*
7/1/16 – 12/31/16
  Beginning
Account Value
7/1/16
  Ending
Account Value
12/31/16
  Expenses Paid
During the
Period* 7/1/16 – 12/31/16
1) Actual   $ 1,000.00     $ 1,035.10     $ 5.47     $ 1,000.00     $ 1,035.10     $ 5.47  
2) Hypothetical   $ 1,000.00     $ 1,019.76     $ 5.43     $ 1,000.00     $ 1,019.76     $ 5.43  
* Expenses are equal to the fund’s annualized expense ratio of 1.07% (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 184/366 (to reflect the one-half year period). Excluding interest and dividend expense, expenses incurred by the fund were 1.07%. 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.
** Interest expense is interest paid on securities sold short; dividend expense is dividends paid on securities sold short.

7


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund  December 31, 2016 
 Financial Highlights

         
    Year Ended
December 31,
2016
  Year Ended
December 31,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
For a share outstanding throughout each period
 
Net asset value, beginning of year   $ 14.25     $ 15.31     $ 16.26     $ 15.80     $ 14.54  
Income (loss) from investment operations
                                            
Net investment income (a)     0.10       0.10       0.09       0.01       0.17  
Net realized and unrealized gain (loss) on investments     0.51       (0.38 )      0.05       2.15       1.84  
Total from investment operations     0.61       (0.28 )      0.14       2.16       2.01  
Less distributions from
                                            
Net investment income     (0.04 )      (0.20 )      (0.11 )      (0.17 )      (0.30 ) 
Net realized gains     (0.30 )      (0.50 )      (0.99 )      (1.55 )      (0.47 ) 
Return of capital     (0.42 )      (0.10 )                   
Total distributions     (0.76 )      (0.80 )      (1.10 )      (1.72 )      (0.77 ) 
Entry/exit fee per share (a)     0.02       0.02       0.01       0.02       0.02  
Net asset value, end of year   $ 14.12     $ 14.25     $ 15.31     $ 16.26     $ 15.80  
Total return (b)
    4.45 %      (1.72 )%      1.00 %      14.02 %      14.00 % 
Ratios/supplemental data
                                            
Net assets, end of year (000s)   $ 4,126,979     $ 4,837,688     $ 5,757,318     $ 5,770,761     $ 4,923,265  
Ratio of expenses to average net assets (c)     0.90 %      0.85 %      1.18 %      1.31 %      0.94 % 
Ratio of expenses to average net assets, excluding interest and dividend expense (c)     0.87 %      0.76 %      0.85 %      0.90 %      0.81 % 
Ratio of net investment income to average net assets     0.70 %      0.68 %      0.52 %      0.06 %      1.07 % 
Portfolio turnover     65 %      62 %      94 %      106 %      54 % 
(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) 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.

See accompanying Notes to Financial Statements.

8


 
 

TABLE OF CONTENTS

[GRAPHIC MISSING] 
 
This page intentionally left blank.

9


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Schedule of Investments* December 31, 2016 

   
  Number
of Shares
  Value
Investments — 99.0% of net assets
 
Common Stocks — 50.8%
 
US Common Stocks — 20.5%
 
Aerospace & Defense — 0.2%
 
DigitalGlobe, Inc. (a)     93,000     $ 2,664,450  
L3 Technologies, Inc.     17,610       2,678,657  
NII Holdings, Inc. (a)     30,677       65,956  
Northrop Grumman Corp.     6,830       1,588,521  
Raytheon Co.     2,223       315,666  
             7,313,250  
Air Freight & Logistics — 0.0%
 
FedEx Corp.     8,270       1,539,874  
Airlines — 0.9%
 
Alaska Air Group, Inc.     7,727       685,617  
American Airlines Group, Inc.     85,521       3,992,975  
Delta Air Lines, Inc.     539,486       26,537,316  
Southwest Airlines Co.     32,289       1,609,284  
United Continental Holdings, Inc. (a)     38,107       2,777,238  
             35,602,430  
Auto Components — 0.1%
 
Goodyear Tire & Rubber Co. (The)     44,345       1,368,930  
Johnson Controls International plc     18,062       743,974  
Nexteer Automotive Group, Ltd.     479,782       566,461  
             2,679,365  
Automobiles — 0.1%
 
Ford Motor Co.     75,037       910,199  
General Motors Co.     47,196       1,644,309  
Thor Industries, Inc.     1,211       121,160  
             2,675,668  
Beverages — 0.3%
 
Dr Pepper Snapple Group, Inc.     20,758       1,882,128  
PepsiCo, Inc.     83,301       8,715,783  
             10,597,911  
Biotechnology — 0.1%
 
Amgen, Inc.     13,093       1,914,327  
Biogen, Inc. (a)     5,908       1,675,391  
Dynavax Technologies Corp. (a)     27,293       107,807  
Gilead Sciences, Inc.     25,962       1,859,139  
             5,556,664  
Building Products — 0.2%
 
Masco Corp.     37,385       1,182,114  
USG Corp. (a)     248,562       7,178,470  
             8,360,584  
Capital Markets — 0.1%
 
Charles Schwab Corp. (The)     25,390       1,002,143  
E*TRADE Financial Corp. (a)     44,758       1,550,865  
Morgan Stanley     13,993       591,204  
Northern Trust Corp.     12,009       1,069,402  
             4,213,614  
Chemicals — 0.7%
 
Air Products & Chemicals, Inc.     51,789       7,448,294  
Calgon Carbon Corp.     364,000       6,188,000  

   
     Number
of Shares
  Value
Celanese Corp., Series A     1,873     $ 147,480  
CF Industries Holdings, Inc.     4,441       139,803  
Dow Chemical Co. (The)     6,802       389,210  
Ingevity Corp. (a)     682       37,415  
LyondellBasell Industries NV, Class A     20,295       1,740,905  
Monsanto Co.     6,839       719,531  
Mosaic Co. (The)     362,496       10,632,008  
Scotts Miracle-Gro Co. (The), Class A     4,984       476,221  
Sherwin-Williams Co. (The)     3,136       842,769  
Terravia Holdings, Inc. (a)     557,702       641,357  
             29,402,993  
Commercial Banks — 0.2%
 
Citizens Financial Group, Inc.     72,459       2,581,714  
Huntington Bancshares Inc.     21,855       288,923  
SunTrust Banks, Inc.     29,839       1,636,669  
Wells Fargo & Co.     60,680       3,344,075  
             7,851,381  
Commercial Services & Supplies — 0.0%
 
Waste Management, Inc.     2,066       146,500  
Communications Equipment — 0.2%
 
ARRIS International plc (a)     34,574       1,041,715  
Cisco Systems, Inc.     15,864       479,410  
EchoStar Corp., Class A (a)     56,370       2,896,854  
NetScout Systems, Inc. (a)     95,568       3,010,392  
             7,428,371  
Computers & Peripherals — 0.4%
 
Apple, Inc.     130,488       15,113,120  
Hewlett Packard Enterprise Co.     45,496       1,052,777  
HP, Inc.     67,510       1,001,848  
NetApp, Inc.     11,465       404,371  
Seagate Technology plc     13,768       525,525  
Western Digital Corp.     4,027       273,635  
             18,371,276  
Construction & Engineering — 0.1%
 
Dycom Industries, Inc. (a)     17,174       1,378,900  
Fluor Corp.     1,639       86,080  
KBR, Inc.     82,585       1,378,344  
Quanta Services, Inc. (a)     43,114       1,502,523  
             4,345,847  
Consumer Finance — 0.2%
 
American Express Co.     22,090       1,636,427  
Capital One Financial Corp.     20,144       1,757,363  
FirstCash, Inc.     5,683       267,101  
Synchrony Financial     87,520       3,174,350  
             6,835,241  
Containers & Packaging — 0.1%
 
AptarGroup, Inc.     5,986       439,672  
Avery Dennison Corp.     10,700       751,354  
Crown Holdings, Inc. (a)     16,900       888,433  
Sealed Air Corp.     65,401       2,965,281  
WestRock Co.     4,097       208,005  
             5,252,745  

10


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Schedule of Investments* December 31, 2016 

   
     Number
of Shares
  Value
Diversified Consumer Services — 0.2%
 
Houghton Mifflin Harcourt Co. (a)     564,226     $ 6,121,852  
Sotheby's (a)     11,393       454,125  
             6,575,977  
Diversified Financial Services — 2.0%
 
Bank of America Corp.     1,339,832       29,610,287  
Citigroup, Inc.     250,776       14,903,618  
Conyers Park Acquisition Corp. (UNIT) (a)     162,350       1,761,498  
JPMorgan Chase & Co.     420,611       36,294,523  
Leucadia National Corp.     3,559       82,747  
Moody's Corp.     1,260       118,780  
             82,771,453  
Diversified Telecommunication Services — 0.2%
 
AT&T, Inc.     40,543       1,724,294  
Level 3 Communications, Inc. (a)     40,145       2,262,572  
Verizon Communications, Inc.     54,327       2,899,975  
             6,886,841  
Electric Utilities — 0.1%
 
Duke Energy Corp.     12,275       952,785  
Edison International     9,129       657,197  
Entergy Corp.     17,177       1,261,994  
Exelon Corp.     2,734       97,030  
             2,969,006  
Electrical Equipment — 0.2%
 
BWX Technologies, Inc.     169,200       6,717,240  
Electronic Equipment, Instruments & Components — 0.6%
 
Corning, Inc.     4,989       121,083  
Dolby Laboratories, Inc., Class A     89,079       4,025,480  
FLIR Systems, Inc.     283,500       10,259,865  
Knowles Corp. (a)     529,194       8,842,832  
             23,249,260  
Energy Equipment & Services — 0.1%
 
Ensco plc, Class A     84,741       823,683  
Halliburton Co.     2,038       110,235  
Helmerich & Payne, Inc.     14,808       1,146,139  
             2,080,057  
Food & Staples Retailing — 0.7%
 
Costco Wholesale Corp.     17,583       2,815,214  
Kroger Co. (The)     47,774       1,648,681  
Smart & Final Stores, Inc. (a)     206,216       2,907,646  
Sysco Corp.     23,914       1,324,118  
Wal-Mart Stores, Inc.     258,686       17,880,376  
Walgreens Boots Alliance, Inc.     12,005       993,534  
             27,569,569  
Food Products — 0.2%
 
JM Smucker Co. (The)     64,786       8,296,495  
Tyson Foods, Inc., Class A     13,114       808,872  
             9,105,367  
Health Care Equipment & Supplies — 0.9%
 
Baxter International, Inc.     24,738       1,096,883  
CR Bard, Inc.     42,788       9,612,752  
Halyard Health, Inc. (a)     116,400       4,304,472  

   
     Number
of Shares
  Value
IDEXX Laboratories, Inc. (a)     93,414     $ 10,954,660  
Stryker Corp.     89,071       10,671,596  
             36,640,363  
Health Care Providers & Services — 0.3%
 
Anthem, Inc.     18,343       2,637,173  
Joint Corp. (The) (a)     50,626       134,159  
Patterson Companies, Inc.     71,000       2,913,130  
Quest Diagnostics, Inc.     13,892       1,276,675  
UnitedHealth Group, Inc.     8,051       1,288,482  
VCA Antech, Inc. (a)     88,700       6,089,255  
             14,338,874  
Health Care Technology — 0.2%
 
Allscripts Healthcare Solutions,
Inc. (a)
    668,861       6,829,071  
Hotels, Restaurants & Leisure — 0.3%
 
Aramark     9,573       341,948  
Boyd Gaming Corp. (a)     10,660       215,012  
Carnival Corp.     18,625       969,618  
ILG, Inc.     4,371       79,421  
Marriott International Inc., Class A     112,643       9,313,323  
McDonald's Corp.     8,865       1,079,048  
MGM Resorts International (a)     69,607       2,006,770  
Papa John's International, Inc.     2,549       218,143  
Popeyes Louisiana Kitchen, Inc. (a)     2,807       169,767  
             14,393,050  
Household Durables — 0.0%
 
Mohawk Industries, Inc. (a)     2,523       503,793  
TopBuild Corp. (a)     1,261       44,892  
Whirlpool Corp.     1,367       248,479  
             797,164  
Household Products — 0.2%
 
Colgate-Palmolive Co.     84,238       5,512,535  
Procter & Gamble Co. (The)     10,736       902,683  
             6,415,218  
Independent Power Producers & Energy Traders — 0.0%
 
AES Corp. (The)     113,186       1,315,221  
NRG Energy, Inc.     5,811       71,243  
             1,386,464  
Industrial Conglomerates — 0.2%
 
3M Co.     40,667       7,261,906  
Insurance — 0.4%
 
Aflac, Inc.     10,938       761,285  
Allstate Corp. (The)     21,157       1,568,157  
American International Group, Inc.     74,668       4,876,567  
Berkshire Hathaway, Inc., Class B (a)     12,147       1,979,718  
Lincoln National Corp.     8,528       565,151  
Loews Corp.     5,312       248,761  
Markel Corp. (a)     561       507,424  
MBIA, Inc. (a)     205,737       2,201,386  
Prudential Financial, Inc.     5,642       587,107  
Travelers Companies, Inc. (The)     4,119       504,248  
Unum Group     14,393       632,284  
             14,432,088  

11


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Schedule of Investments* December 31, 2016 

   
     Number
of Shares
  Value
Internet & Catalog Retail — 0.8%
 
Amazon.com, Inc. (a)     36,977     $ 27,727,943  
Blue Nile, Inc.     7,384       300,012  
Liberty Expedia Holdings, Inc. (a)     1,383       54,863  
Liberty Interactive Corp. QVC Group, Class A (a)     20,206       403,716  
Liberty TripAdvisor Holdings, Inc., Class A (a)     9,264       139,423  
Liberty Ventures, Series A (a)     2,072       76,395  
Priceline.com, Inc. (a)     1,778       2,606,655  
TripAdvisor, Inc. (a)     6,471       300,060  
             31,609,067  
Internet Software & Services — 1.3%
 
Alphabet, Inc., Class A (a)     25,520       20,223,324  
Alphabet, Inc., Class C (a)     4,749       3,665,373  
ChannelAdvisor Corp. (a)     237,502       3,408,154  
CommerceHub, Inc., Series A (a)     464       6,965  
CommerceHub, Inc., Series C (a)     928       13,948  
Cornerstone OnDemand, Inc. (a)     139,379       5,897,125  
eBay, Inc. (a)     81,624       2,423,416  
Facebook, Inc., Class A (a)     105,698       12,160,555  
Pandora Media, Inc. (a)     446,467       5,821,930  
Twitter, Inc. (a)     10,109       164,777  
VeriSign, Inc. (a)     17,215       1,309,545  
             55,095,112  
IT Services — 0.7%
 
Alliance Data Systems Corp.     2,177       497,445  
Automatic Data Processing, Inc.     87,467       8,989,858  
Cognizant Technology Solutions Corp., Class A (a)     9,001       504,326  
Computer Sciences Corp.     56,807       3,375,472  
CoreLogic, Inc. (a)     15,153       558,085  
EPAM Systems, Inc. (a)     8,939       574,867  
Gartner Group, Inc. (a)     5,433       549,113  
Genpact, Ltd. (a)     1,615       39,309  
Hackett Group, Inc. (The)     36,325       641,500  
Mastercard, Inc., Class A     12,714       1,312,720  
PayPal Holdings, Inc. (a)     47,551       1,876,838  
Teradata Corp. (a)     34,913       948,586  
Visa, Inc., Class A     126,269       9,851,507  
Xerox Corp.     111,868       976,608  
             30,696,234  
Leisure Equipment & Products — 0.0%
 
Hasbro, Inc.     25,401       1,975,944  
Life Sciences Tools & Services — 0.4%
 
Bio-Rad Laboratories, Inc., Class A (a)     2,878       524,602  
PerkinElmer, Inc.     108,650       5,666,097  
Waters Corp. (a)     61,307       8,239,048  
             14,429,747  
Machinery — 0.2%
 
Actuant Corp., Class A     30,738       797,651  
Graco, Inc.     4,128       342,996  
Hyster-Yale Materials Handling, Inc.     44,821       2,858,235  
Lindsay Corp.     75,000       5,595,750  
             9,594,632  

   
     Number
of Shares
  Value
Marine — 0.0%
 
Kirby Corp. (a)     2,253     $ 149,825  
Scorpio Bulkers, Inc. (a)     18,769       94,783  
             244,608  
Media — 2.1%
 
AMC Networks, Inc., Class A (a)     198,600       10,394,724  
CBS Corp., Class B     70,300       4,472,486  
Charter Communications, Inc.,
Class A (a)
    1,146       329,956  
Comcast Corp., Class A     428,045       29,556,507  
Discovery Communications, Inc., Series A (a)     51,313       1,406,489  
Iheartmedia, Inc. (a)     19,206       21,319  
Liberty Braves Group, Class A (a)     780       15,982  
Liberty Braves Group, Class C (a)     1,473       30,329  
Liberty Broadband Corp., Class A (a)     3,881       281,217  
Liberty Broadband Corp., Class C (a)     3,505       259,616  
Liberty Media Group, Class A (a)     1,426       44,705  
Liberty Media Group, Class C (a)     1,752       54,890  
Liberty SiriusXM Group, Class A (a)     11,008       379,996  
Liberty SiriusXM Group, Class C (a)     9,099       308,638  
Lions Gate Entertainment Corp., Class A     233,197       6,272,999  
Lions Gate Entertainment Corp., Class B (a)     234,134       5,745,649  
Live Nation, Inc. (a)     364,513       9,696,046  
Tribune Media Co., Class A     9,292       325,034  
tronc, Inc.     1,577       21,873  
Walt Disney Co. (The)     161,472       16,828,612  
             86,447,067  
Metals & Mining — 0.3%
 
Compass Minerals International, Inc.     80,009       6,268,705  
Freeport-McMoRan, Inc. (a)     17,146       226,156  
Royal Gold, Inc.     77,323       4,898,412  
Southern Copper Corp.     8,975       286,661  
             11,679,934  
Multiline Retail — 0.0%
 
Kohl's Corp.     17,881       882,964  
Macy's, Inc.     3,181       113,911  
             996,875  
Oil, Gas & Consumable Fuels — 0.4%
 
Chevron Corp.     8,589       1,010,925  
Cloud Peak Energy, Inc. (a)     280,744       1,574,974  
Exxon Mobil Corp.     2,990       269,878  
Marathon Petroleum Corp.     2,534       127,587  
Murphy Oil Corp.     4,917       153,066  
Peabody Energy Corp. (a)     81,745       408,725  
Southwestern Energy Co. (a)     15,621       169,019  
Tesoro Corp.     17,869       1,562,644  
Valero Energy Corp.     24,506       1,674,250  
WPX Energy, Inc. (a)     687,600       10,018,332  
             16,969,400  

12


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Schedule of Investments* December 31, 2016 

   
     Number
of Shares
  Value
Paper & Forest Products — 0.0%
 
International Paper Co.     8,578     $ 455,149  
Louisiana-Pacific Corp. (a)     7,059       133,627  
             588,776  
Personal Products — 0.0%
 
Coty, Inc., Class A     5,025       92,008  
Pharmaceuticals — 0.4%
 
Allergan plc (a)     6,070       1,274,761  
Bristol-Myers Squibb Co.     6,186       361,510  
Johnson & Johnson     92,733       10,683,769  
Merck & Co., Inc.     38,751       2,281,271  
Pfizer, Inc.     117,484       3,815,880  
             18,417,191  
Professional Services — 0.0%
 
Nielsen Holdings plc     24,772       1,039,186  
Verisk Analytics, Inc. (a)     5,120       415,590  
             1,454,776  
Real Estate — 0.1%
 
CBRE Group, Inc., Class A (a)     80,637       2,539,259  
Real Estate Investment Trusts (REITs) — 0.3%
 
Apartment Investment & Management Co., Class A     11,446       520,221  
Host Hotels & Resorts, Inc.     82,735       1,558,728  
SL Green Realty Corp.     13,644       1,467,412  
Starwood Property Trust, Inc.     415,793       9,126,656  
             12,673,017  
Real Estate Management & Development — 0.0%
 
TRI Pointe Group, Inc. (a)     91,542       1,050,902  
Road & Rail — 0.0%
 
Avis Budget Group, Inc. (a)     5,777       211,900  
Hertz Global Holdings, Inc. (a)     1,738       37,471  
Kansas City Southern     2,537       215,265  
Union Pacific Corp.     9,227       956,655  
             1,421,291  
Semiconductors & Semiconductor Equipment — 0.5%
 
Applied Materials, Inc.     49,870       1,609,305  
Cabot Microelectronics Corp.     5,800       366,386  
Entegris, Inc. (a)     408,850       7,318,415  
Intel Corp.     86,243       3,128,034  
Micron Technology, Inc. (a)     65,074       1,426,422  
Texas Instruments, Inc.     13,544       988,306  
Veeco Instruments, Inc. (a)     11,201       326,509  
Versum Materials, Inc. (a)     208,030       5,839,402  
             21,002,779  
Software — 0.9%
 
Activision Blizzard, Inc.     12,557       453,433  
CA, Inc.     39,244       1,246,782  
Citrix Systems, Inc. (a)     16,090       1,436,998  
FireEye, Inc. (a)     794,800       9,458,120  
Intuit, Inc.     13,058       1,496,578  

   
     Number
of Shares
  Value
Microsoft Corp.     244,494     $ 15,192,857  
MicroStrategy, Inc., Class A (a)     34,707       6,851,162  
Oracle Corp.     13,322       512,231  
Symantec Corp.     42,752       1,021,345  
             37,669,506  
Specialty Retail — 0.5%
 
Bed Bath & Beyond, Inc.     30,396       1,235,294  
Best Buy Co., Inc.     31,760       1,355,199  
CST Brands, Inc.     49,381       2,377,695  
Destination XL Group, Inc. (a)     300,917       1,278,897  
L Brands, Inc.     184,472       12,145,637  
Lowe's Companies, Inc.     8,866       630,550  
Office Depot, Inc.     228,649       1,033,494  
Staples, Inc.     111,007       1,004,613  
Tractor Supply Co.     15,635       1,185,289  
Urban Outfitters, Inc. (a)     11,973       340,991  
             22,587,659  
Textiles, Apparel & Luxury Goods — 0.4%
 
Coach, Inc.     32,475       1,137,275  
Hanesbrands, Inc.     20,446       441,020  
Nike, Inc., Class B     308,395       15,675,718  
Ralph Lauren Corp.     5,829       526,475  
             17,780,488  
Thrifts & Mortgage Finance — 0.1%
 
Fannie Mae (a)     146,221       570,262  
Ladder Capital Corp., Class A     211,700       2,904,524  
             3,474,786  
Tobacco — 0.3%
 
Altria Group, Inc.     33,082       2,237,005  
Philip Morris International, Inc.     113,464       10,380,821  
             12,617,826  
Trading Companies & Distributors — 0.1%
 
Herc Holdings, Inc. (a)     579       23,253  
NOW, Inc. (a)     189,748       3,884,141  
W.W. Grainger, Inc.     3,561       827,042  
               4,734,436  
Total US Common Stocks
(Cost $806,314,568)
             846,436,002  
Foreign Common Stocks — 30.3%
 
Australia — 0.3%
 
ALS, Ltd.     50,871       221,144  
Alumina, Ltd.     158,211       208,141  
Asaleo Care, Ltd.     86,033       91,687  
BHP Billiton, Ltd.     10,442       186,389  
BlueScope Steel, Ltd.     44,481       295,977  
Brambles, Ltd.     32,586       290,672  
Cleanaway Waste Management, Ltd.     337,167       298,952  
Coca-Cola Amatil, Ltd.     44,141       321,909  
Cover-More Group, Ltd.     68,736       95,935  
DuluxGroup, Ltd.     4,463       20,049  
Fairfax Media, Ltd.     195,834       125,415  

13


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Schedule of Investments* December 31, 2016 

   
     Number
of Shares
  Value
GUD Holdings, Ltd.     7,498     $ 56,506  
Iluka Resources, Ltd.     28,972       151,437  
Metcash, Ltd. (a)     110,605       181,556  
Newcrest Mining, Ltd.     733,510       10,342,192  
Orica, Ltd.     39,205       498,003  
Premier Investments, Ltd.     4,078       42,447  
QBE Insurance Group, Ltd. – ASE Shares     11,787       105,872  
Santos, Ltd.     18,735       54,118  
Scentre Group     118,834       398,862  
Spotless Group Holdings, Ltd.     115,722       82,513  
             14,069,776  
Austria — 0.1%
 
Andritz AG     3,401       170,715  
Erste Group Bank AG (a)     7,217       211,304  
IMMOFINANZ AG (a)     713,961       1,392,500  
Oesterreichische Post AG (a)     7,146       239,849  
Wienerberger AG     21,517       373,364  
             2,387,732  
Belgium — 0.0%
 
Anheuser-Busch InBev SA/NV     12,080       1,275,733  
Greenyard Foods     5,560       86,375  
UCB SA     4,765       304,998  
             1,667,106  
Bermuda — 0.0%
 
Golar LNG, Ltd.     5,511       126,422  
Signet Jewelers, Ltd.     3,900       367,614  
             494,036  
Brazil — 0.2%
 
Ambev SA – ADR     77,500       380,525  
BR Properties SA     169,000       390,605  
BrasilAgro – Co. Brasileira de Propriedades Agricolas     179,900       603,809  
Centrais Eletricas Brasileiras SA (a)     186,700       1,303,615  
Embraer SA – ADR     12,896       248,248  
Localiza Rent a Car SA     25,700       269,127  
MRV Engenharia e Participacoes SA     470,474       1,574,460  
Odontoprev SA     65,438       253,475  
Petroleo Brasileiro SA (a)     63,657       321,849  
Porto Seguro SA     20,418       168,829  
SLC Agricola SA     667,200       2,967,785  
Smiles SA     45,077       616,417  
Sul America SA (UNIT)     13,155       72,779  
WEG SA     38,868       184,280  
             9,355,803  
Canada — 1.9%
 
Aimia, Inc.     16,280       107,672  
Air Canada (a)     13,793       140,431  
Barrick Gold Corp. – NYSE Shares     353,499       5,648,914  
Barrick Gold Corp. – TSX Shares     19,392       310,382  
Bear Creek Mining Corp. (a)     228,226       399,457  
Bombardier, Inc., Class B (a)     79,457       127,827  
Cameco Corp.     834,641       8,738,691  
Canadian Natural Resources, Ltd. – NYSE Shares     18,952       603,997  

   
     Number
of Shares
  Value
Canadian Natural Resources, Ltd. – TSX Shares     37,129     $ 1,183,673  
Centerra Gold, Inc.     691,588       3,239,927  
Denison Mines Corp. (a)     2,185,400       1,139,374  
Dundee Corp., Class A (a)     405,126       1,795,330  
Dundee Precious Metals, Inc. (a)     1,177,924       1,973,954  
Fairfax Financial Holdings, Ltd.     467       225,561  
Fission Uranium Corp. (a)     2,333,500       1,112,308  
Gabriel Resources, Ltd. (a)     1,962,000       774,483  
Goldcorp., Inc.     136,639       1,858,290  
Imperial Oil, Ltd.     24,024       835,781  
Ivanhoe Mines, Ltd., Class A (a)     1,769,638       3,347,768  
Kinross Gold Corp. – NYSE Shares (a)     1,625,783       5,056,185  
Kinross Gold Corp. – TSX Shares (a)     29,611       92,407  
Lundin Gold, Inc. (a)     900,000       3,525,863  
Magna International, Inc.     6,460       280,364  
MEG Energy Corp. (a)     527,864       3,628,782  
New Gold, Inc. (a)     263,835       923,423  
Northern Dynasty Minerals, Ltd. – NYSE Shares (a)     202,302       418,765  
Northern Dynasty Minerals, Ltd. – TSX Shares (a)     2,354,909       4,858,376  
NOVAGOLD Resources, Inc. (a)     283,580       1,293,125  
Onex Corp.     5,040       343,020  
PrairieSky Royalty, Ltd.     179       4,258  
Rogers Communications, Inc., Class B     30,683       1,183,535  
Seabridge Gold, Inc. (a)     301,045       2,475,356  
Silver Wheaton Corp.     278,868       5,387,730  
Sprott, Inc.     2,586,058       4,834,473  
Suncor Energy, Inc.     25,732       841,347  
Teck Resources, Ltd., Class B     15,801       316,494  
Turquoise Hill Resources, Ltd. (a)     1,418,565       4,581,965  
Uranium Participation Corp. (a)     1,643,208       4,650,646  
             78,259,934  
Chile — 0.0%
 
Antofagasta plc     126,312       1,039,994  
Inversiones La Construccion SA     41,204       539,556  
Vina Concha y Toro SA     16,754       26,890  
             1,606,440  
China — 3.7%
 
Agile Property Holdings, Ltd.     2,020,000       1,027,696  
Air China, Ltd.     326,000       207,908  
Ajisen China Holdings, Ltd.     162,000       66,063  
Anhui Conch Cement Co, Ltd., Class A     619,109       1,508,757  
Asia Plastic Recycling Holding, Ltd.     269,276       145,753  
Baidu, Inc. – SPADR (a)     8,807       1,447,959  
Bank of China, Ltd., Class A     8,092,500       3,992,406  
Bank of Chongqing Co., Ltd.,
Class H
    352,500       297,693  
Baoye Group Co., Ltd., Class H     102,182       74,865  
BBMG Corp., Class A     4,273,529       2,742,303  
Belle International Holdings, Ltd.     642,000       359,126  
Best Pacific International Holdings, Ltd., Class H     100,000       76,609  
BYD Electronic International Co., Ltd.     2,296,500       1,797,907  
Central China Real Estate, Ltd.     534,000       117,013  

14


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Schedule of Investments* December 31, 2016 

   
     Number
of Shares
  Value
Changgang Dunxin Enterprise Co., Ltd. (a) (c)     4,640,000     $ 228,874  
Chaowei Power Holdings, Ltd.     865,710       738,179  
China Aoyuan Property Group,
Ltd.
    2,058,046       471,326  
China Communications Services Corp., Ltd., Class H     1,784,000       1,135,371  
China Construction Bank Corp., Class A     4,718,128       3,690,648  
China Construction Bank Corp., Class H     494,000       378,460  
China CYTS Tours Holding Co., Ltd., Class A     804,398       2,421,841  
China Distance Education Holdings, Ltd. – ADR     27,449       306,880  
China Eastern Airlines Corp, Ltd., Class H     1,988,000       908,111  
China International Marine Containers Group Co., Ltd., Class H     140,600       202,740  
China International Travel Service Corp., Ltd., Class A     232,140       1,447,715  
China Lesso Group Holdings, Ltd.     1,498,426       968,411  
China Mengniu Dairy Co., Ltd.     104,000       198,833  
China Merchants Bank Co., Ltd., Class H     375,500       872,584  
China National Materials Co., Ltd., Class H     1,753,000       406,670  
China Pacific Insurance Group Co., Ltd., Class H     487,400       1,685,620  
China Pioneer Pharma Holdings, Ltd.     446,000       160,737  
China Resources Beer Holdings Co., Ltd. (a)     70,352       138,990  
China Shineway Pharmaceutical Group, Ltd.     212,667       240,993  
China XD Plastics Co., Ltd. (a)     46,226       184,904  
China Yongda Automobiles Services Holdings, Ltd., Series C     506,401       253,784  
China Yurun Food Group, Ltd. (a)     9,119,000       1,355,494  
CIFI Holdings Group Co., Ltd.     2,448,000       657,059  
CNOOC, Ltd.     2,003,122       2,473,070  
Coland Holdings, Ltd.     25,000       39,112  
Consun Pharmaceutical Group, Ltd.     326,133       161,282  
COSCO SHIPPING Energy Transportation Co., Ltd.     2,590,788       1,444,854  
CSG Holding Co., Ltd., Class B     470,000       369,342  
Ctrip.com International, Ltd. – 
ADR (a)
    57,145       2,285,800  
Daphne International Holdings,
Ltd. (a)
    110,000       11,016  
Daqo New Energy Corp. – 
ADR (a)
    23,552       454,554  
Foshan Haitian Flavouring & Food Co., Ltd., Class A     969,231       4,089,387  
Fosun International, Ltd.     302,500       423,717  
Fufeng Group, Ltd.     1,058,822       520,149  
Future Land Development Holdings, Ltd.     1,106,000       225,540  
Goodbaby International Holdings, Ltd.     279,878       133,294  
Grandblue Environment Co., Ltd., Class A     1,062,488       2,200,758  
Gree Electric Appliances, Inc. of Zhuhai, Class A     106,700       378,006  
Griffin Mining, Ltd. (a)     761,505       510,791  

   
     Number
of Shares
  Value
Guangdong Electric Power Development Co., Ltd., Class B     962,900     $ 449,251  
Guangshen Railway Co., Ltd., Class H     6,288,000       3,782,342  
Guangzhou R&F Properties Co., Ltd., Class H     932,000       1,126,243  
Guolian Securities Co., Ltd., Class H     573,500       303,228  
Harbin Electric Co., Ltd., Class H     325,873       151,560  
Hisense Kelon Electrical Holdings Co, Ltd., Class H     773,718       628,762  
Hongfa Technology Co., Ltd., Class A     326,955       1,500,945  
Hua Hong Semiconductor, Ltd. (d)     1,007,000       1,114,624  
Huayu Automotive Systems Co., Ltd., Class A     1,362,908       3,126,089  
Inner Mongolia Yili Industrial Group Co., Ltd., Class A     3,091,330       7,795,881  
JD.com, Inc. – ADR (a)     84,802       2,157,363  
Jiangsu Expressway Co., Ltd., Class H     282,000       355,554  
Jiangsu Hengrui Medicine Co., Ltd., Class A     573,959       3,756,003  
Johnson Electric Holdings, Ltd.     33,732       88,770  
Kingsoft Corp, Ltd.     214,000       435,910  
Kweichow Moutai Co., Ltd., Class A     68,473       3,288,766  
Lansen Pharmaceutical Holdings, Ltd.     177,000       38,548  
Li Ning Co., Ltd. (a)     307,541       192,646  
Livzon Pharmaceutical Group, Inc., Class H     172,000       1,001,091  
Nam Tai Property, Inc.     20,037       148,274  
NetEase, Inc. – ADR     48,201       10,379,603  
New China Life Insurance Co., Ltd., Class H     86,900       395,381  
New Oriental Education & Technology Group, Inc. – SPADR (a)     37,600       1,582,960  
Noah Holdings, Ltd. – ADR (a)     3,580       78,509  
NVC Lighting Holding, Ltd.     6,484,000       824,414  
Ping An Insurance Group Co. of China, Ltd., Class A     604,800       3,078,972  
Ping An Insurance Group Co. of China, Ltd., Class H     1,208,000       6,010,158  
Poly Real Estate Group Co., Ltd., Class A     2,263,806       2,971,723  
Qingdao Port International Co., Ltd., Class H (d)     1,011,507       487,369  
Red Star Macalline Group Corp, Ltd., Class H (d)     61,400       63,438  
SAIC Motor Corp, Ltd., Class A     927,631       3,127,484  
Shandong Luoxin Pharmaceutical Group Stock Co., Ltd., Class H     84,000       114,378  
Shanghai International Airport Co., Ltd., Class A     1,062,279       4,052,207  
Shenzhen Expressway Co., Ltd., Class H     1,860,000       1,585,652  
Shenzhou International Group Holdings, Ltd.     812,335       5,115,969  
Sihuan Pharmaceutical Holdings Group, Ltd.     7,985,000       2,213,982  
Sinotruk Hong Kong, Ltd.     492,063       349,205  
SOHO China Ltd.     1,977,500       971,824  
TAL Education Group – ADR (a)     145,592       10,213,279  
Tencent Holdings, Ltd.     385,400       9,353,726  
Tianneng Power International, Ltd.     1,290,000       1,182,928  
Tingyi Cayman Islands Holding Corp.     561,668       679,887  
Travelsky Technology, Ltd., Class H     32,000       67,000  

15


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Schedule of Investments* December 31, 2016 

   
     Number
of Shares
  Value
Tsingtao Brewery Co., Ltd., Class H     62,600     $ 235,787  
Vipshop Holdings, Ltd. – ADR (a)     13,648       150,264  
Wanhua Chemical Group Co, Ltd., Class A     259,074       798,544  
Want Want China Holdings, Ltd.     275,529       176,083  
Weiqiao Textile Co., Ltd., Class H     932,588       582,006  
Wuxi Little Swan Co., Ltd., Class B     111,691       352,492  
Xingda International Holdings, Ltd.     1,317,000       593,620  
Xinyuan Real Estate Co., Ltd. – ADR     80,922       401,373  
Zhaojin Mining Industry Co, Ltd., Class H     901,000       757,342  
Zhengzhou Yutong Bus Co., Ltd., Class A     764,662       2,153,498  
             151,179,861  
Colombia — 0.0%
 
Almacenes Exito SA     250,682       1,244,458  
Grupo Nutresa SA     36,470       302,198  
             1,546,656  
Cyprus — 0.0%
 
Hellenic Bank Public Co., Ltd. (a)     92,437       75,897  
TCS Group Holding plc – GDR (b)     132,352       1,397,337  
             1,473,234  
Czech Republic — 0.0%
 
Philip Morris CR AS     988       504,039  
Denmark — 0.4%
 
AP Moeller – Maersk A/S, Class B     315       501,201  
Bang & Olufsen A/S, Class B (a)     25,428       287,808  
Carlsberg A/S, Class B     8,094       698,519  
Coloplast A/S, Class B     21,490       1,446,111  
Danske Bank A/S     4,899       148,583  
GN Store Nord (GN Great Nordic) A/S     48,337       1,001,120  
ISS A/S     22,529       759,115  
Novo Nordisk A/S, Class B     209,139       7,512,168  
Topdanmark A/S (a)     6,096       154,762  
Vestas Wind Systems A/S     25,946       1,686,260  
William Demant Holding A/S (a)     39,582       688,236  
             14,883,883  
Finland — 0.2%
 
Amer Sports Oyj     8,436       224,075  
Kone Oyj, Class B     159,690       7,154,204  
Metso Oyj     7,470       212,633  
Sampo Oyj, Class A     40,779       1,823,525  
UPM-Kymmene Oyj     4,648       113,908  
Valmet Corp.     5,909       86,930  
Wartsila Corp.     6,132       275,434  
             9,890,709  
France — 0.9%
 
Airbus Group SE     11,964       789,607  
Areva SA (a)     248,797       1,124,639  
AXA SA     23,769       599,785  
BNP Paribas SA     17,094       1,088,912  
Edenred SA     18,825       373,069  
Electricite de France SA     890,774       9,051,284  
Elis SA     4,665       83,170  
Engie SA (a) (c)     9,765       10  

   
     Number
of Shares
  Value
Eurazeo SA     1,941     $ 113,537  
Eurofins Scientific     1,663       708,470  
Groupe Eurotunnel SE     77,426       735,045  
Imerys SA     1,196       90,621  
JCDecaux SA     6,088       178,719  
L'Oreal SA     42,258       7,703,493  
Legrand SA     30,912       1,750,619  
Neopost SA     8,188       256,061  
Renault SA     2,679       238,211  
Rothschild & Co.     5,401       146,062  
SA des Ciments Vicat     2,536       153,895  
Safran SA     45,111       3,247,876  
Sanofi SA     19,233       1,555,486  
Societe BIC SA     3,036       412,670  
Societe Generale SA     3,402       167,006  
Technicolor SA     9,193       49,727  
Technip SA     1,981       140,577  
Thales SA     4,297       416,353  
Total SA     5,657       288,777  
Vallourec SA (a)     16,228       110,789  
Virbac SA (a)     253       44,470  
Vivendi SA     278,112       5,283,445  
Worldline SA/France (a) (d)     12,415       349,926  
Zodiac Aerospace     26,056       598,154  
             37,850,465  
Georgia — 0.0%
 
BGEO Group plc     1,748       64,400  
Germany — 1.2%
 
Adidas AG     4,498       710,867  
Allianz SE     4,304       711,465  
Aurelius AG     3,235       188,695  
Axel Springer AG     9,297       450,786  
BASF SE     14,078       1,312,927  
Bayer AG     1,927       201,036  
Bayerische Motoren Werke AG     12,430       1,163,732  
Brenntag AG     11,447       634,324  
Commerzbank AG     9,687       73,881  
Continental AG     1,397       271,946  
CTS Eventim AG     10,492       330,067  
Deutsche Bank AG (a)     4,764       86,213  
Deutsche Telekom AG     73,379       1,260,624  
Deutsche Wohnen AG     205,500       6,444,315  
Deutz AG     13,797       77,522  
Fielmann AG     2,680       176,705  
Fresenius Medical Care AG & Co.     20,133       1,706,937  
GEA Group AG     3,301       132,315  
Gerresheimer AG     1,664       123,504  
Hannover Rueckversicherung AG     1,286       139,223  
Leoni AG     2,258       80,285  
SAP AG     13,674       1,195,041  
Symrise AG     5,577       339,217  
TUI AG     46,436       663,486  
TUI AG – Xetra Shares     20,239       283,197  
Vonovia SE     899,635       29,304,532  
Wacker Neuson SE     24,910       403,216  

16


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Schedule of Investments* December 31, 2016 

   
     Number
of Shares
  Value
zooplus AG (a)     2,382     $ 304,661  
             48,770,719  
Greece — 0.2%
 
Aegean Airlines SA     6,637       44,222  
Diana Shipping, Inc. (a)     788,008       2,379,784  
Ellaktor SA (a)     8,860       10,164  
Hellenic Exchanges – Athens Stock Exchange SA Holdings     25,867       133,140  
JUMBO SA     4,025       63,681  
Motor Oil Hellas Corinth
Refineries SA
    90,096       1,241,422  
OPAP SA     16,875       149,214  
Safe Bulkers, Inc. (a)     462,873       532,304  
Titan Cement Co. SA     809       18,990  
Tsakos Energy Navigation, Ltd.     405,037       1,899,624  
             6,472,545  
Hong Kong — 0.8%
 
AIA Group, Ltd.     424,801       2,377,299  
Beijing Enterprises Holdings, Ltd.     19,500       91,887  
Beijing Tong Ren Tang Chinese Medicine Co., Ltd.     70,758       95,280  
Cathay Pacific Airways, Ltd.     329,000       432,474  
CECEP COSTIN New Materials Group, Ltd. (c)     1,736,000       132,083  
China Merchants Holdings International Co., Ltd.     10,744       26,570  
China Mobile, Ltd.     80,000       838,862  
China Power International Development, Ltd.     817,000       295,220  
China Resources Power Holdings Co., Ltd.     238,062       376,854  
China Travel International Investment Hong Kong, Ltd.     1,406,000       385,301  
China Water Affairs Group, Ltd.     1,204,000       788,020  
CK Hutchison Holdings, Ltd.     65,139       735,361  
Comba Telecom Systems Holdings, Ltd.     1,141,385       201,118  
CP Pokphand Co., Ltd.     3,606,000       441,547  
Dairy Farm International Holdings, Ltd.     15,200       109,066  
Dawnrays Pharmaceutical Holdings, Ltd.     391,989       236,362  
Esprit Holdings, Ltd. (a)     1,453,630       1,134,086  
First Pacific Co., Ltd.     252,000       176,009  
Guoco Group, Ltd.     93,000       1,024,232  
Henderson Land Development Co., Ltd.     75,404       398,052  
Hong Kong & Shanghai Hotels, Ltd. (The)     605,914       671,530  
Hong Kong Exchanges and Clearing, Ltd.     130,861       3,079,412  
Hua Han Health Industry Holdings, Ltd. (c)     7,412,000       506,591  
Huabao International Holdings,
Ltd. (a)
    344,021       145,596  
Jardine Matheson Holdings, Ltd.     48,395       2,669,615  
Jardine Strategic Holdings, Ltd.     56,810       1,883,940  
Ju Teng International Holdings, Ltd.     1,700,000       523,757  
K Wah International Holdings, Ltd.     140,894       64,764  
Kingboard Chemical Holdings, Ltd.     773,500       2,334,058  

   
     Number
of Shares
  Value
Kingboard Laminates Holdings, Ltd.     1,257,609     $ 1,227,698  
Lee & Man Paper Manufacturing, Ltd.     441,234       340,866  
Man Wah Holdings, Ltd.     420,291       283,524  
Midland Holdings, Ltd. (a)     1,734,560       446,802  
Midland IC&I, Ltd. (a)     10,374,535       59,913  
New World Development, Ltd.     1,180,785       1,237,687  
Nine Dragons Paper Holdings, Ltd.     338,817       306,006  
Pacific Basin Shipping, Ltd. (a)     1,766,422       288,150  
PAX Global Technology, Ltd.     2,498,000       1,648,524  
Real Nutriceutical Group, Ltd. (a)     2,552,000       193,576  
Shanghai Industrial Holdings, Ltd.     367,303       991,104  
SmarTone Telecommunications Holdings, Ltd.     780,350       1,047,971  
Stella International Holdings, Ltd.     12,980       20,878  
Television Broadcasts, Ltd.     229,966       756,152  
Texhong Textile Group, Ltd.     423,717       571,646  
Tianjin Port Development Holdings, Ltd.     1,562,000       238,742  
WH Group, Ltd. (d)     462,000       371,978  
Wheelock & Co., Ltd.     86,688       486,606  
Yuexiu Transport Infrastructure,
Ltd.
    808,000       505,789  
             33,198,558  
Hungary — 0.0%
 
OTP Bank plc     14,927       426,071  
India — 0.5%
 
Alembic Pharmaceuticals, Ltd.     17,036       148,387  
Apollo Tyres, Ltd.     429,678       1,167,976  
Axis Bank, Ltd.     4,887       32,318  
Axis Bank, Ltd. – GDR (b)     10,410       341,448  
Bank of Baroda (a)     16,098       36,384  
Bharti Airtel, Ltd.     11,176       50,272  
Century Enka, Ltd.     95,019       381,496  
CESC, Ltd.     10,691       100,713  
Chennai Petroleum Corp., Ltd.     283,133       1,140,778  
Cosmo Films, Ltd.     81,161       395,749  
Datamatics Global Services, Ltd.     104,978       196,802  
Dish TV India, Ltd. (a)     140,754       174,000  
FDC Ltd.     26,343       86,022  
GHCL, Ltd.     181,122       660,634  
Great Eastern Shipping Co., Ltd. (The)     43,107       230,320  
HCL Technologies, Ltd.     32,161       390,712  
ICICI Bank, Ltd.     101,255       379,288  
Idea Cellular, Ltd.     64,800       70,477  
IDFC, Ltd. (a)     369,625       291,358  
Infosys, Ltd. – SPADR     28,900       428,587  
Inox Leisure, Ltd. (a)     13,925       47,211  
Jammu & Kashmir Bank, Ltd. (The)     367,242       319,862  
Kakatiya Cement Sugar & Industries, Ltd.     40,948       151,056  
Karnataka Bank, Ltd. (The)     148,979       245,394  
LIC Housing Finance, Ltd.     49,551       405,950  
Lincoln Pharmaceuticals, Ltd.     50,166       135,928  
Man Industries India, Ltd.     130,096       85,638  
Manappuram Finance, Ltd.     1,165,768       1,142,949  

17


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Schedule of Investments* December 31, 2016 

   
     Number
of Shares
  Value
Merck Ltd/India     3,661     $ 53,568  
MRF, Ltd.     2,537       1,815,715  
National Aluminium Co., Ltd.     332,217       320,954  
NHPC, Ltd.     800,567       311,634  
Phillips Carbon Black, Ltd.     138,990       457,101  
Power Finance Corp., Ltd.     919,782       1,648,468  
Pricol, Ltd. (c)     25,958       35,321  
PTC India Financial Services, Ltd.     749,256       412,401  
Punjab National Bank (a)     117,946       198,444  
Reliance Infrastructure, Ltd.     353,107       2,413,859  
RSWM, Ltd.     14,634       95,103  
Rural Electrification Corp., Ltd.     1,245,476       2,271,461  
SITI Cable Network, Ltd. (a)     282,605       158,971  
Srikalahasthi Pipes, Ltd.     8,622       33,644  
Tamil Nadu Newsprint & Papers, Ltd.     12,070       58,800  
Uflex, Ltd.     114,056       455,940  
Vardhman Textiles, Ltd.     15,351       252,418  
West Coast Paper Mills, Ltd.     58,692       112,999  
Zee Entertainment Enterprises, Ltd.     27,105       180,460  
             20,524,970  
Indonesia — 0.1%
 
Bank Bukopin Tbk     1,541,000       72,991  
Bank Pembangunan Daerah Jawa Timur Tbk PT     3,591,500       151,476  
Indo Tambangraya Megah Tbk PT     453,856       566,275  
Indosat Tbk PT (a)     245,538       117,551  
Ramayana Lestari Sentosa Tbk PT     5,701,700       503,871  
Sri Rejeki Isman Tbk PT     15,631,616       266,616  
Tambang Batubara Bukit Asam Persero Tbk PT     244,100       225,552  
XL Axiata Tbk PT (a)     124,875       21,395  
             1,925,727  
Ireland — 0.1%
 
Adient plc (a)     2,654       155,525  
Bank of Ireland (a)     732,684       180,933  
CRH plc     3,624       125,856  
CRH plc – BATS Europe Shares     9,265       320,219  
DCC plc     9,223       683,713  
Experian plc     44,356       858,563  
Governor & Co. of the Bank of Ireland (The) (a)     3,078,144       757,020  
Irish Bank Resolution Corp.,
Ltd. (a) (c)
    38,180        
Irish Continental Group plc     53,435       252,898  
Paddy Power Betfair plc     8,719       931,622  
Paddy Power Betfair plc – LSE Shares     7,009       757,407  
Permanent TSB Group Holdings
plc (a)
    141,174       409,427  
Ryanair Holdings plc – SPADR (a)     3,632       302,400  
             5,735,583  
Isle of Man — 0.0%
 
Playtech plc     1,782       18,124  
Italy — 0.3%
 
Banca IFIS SpA     24,375       665,971  
Banca Monte dei Paschi di Siena
SpA (a) (c)
    2,294       36,415  

   
     Number
of Shares
  Value
Banca Popolare dell'Emilia
Romagna SC
    10,766     $ 57,275  
Banca Popolare di Milano Scarl     1,167,271       440,047  
Banco Popolare SC     314,019       757,257  
Credito Valtellinese SC     686,730       268,945  
Davide Campari-Milano SpA     14,496       141,693  
Eni SpA     70,843       1,148,582  
ERG SpA     187,950       2,016,548  
Ferrari NV     3,266       190,005  
Intesa Sanpaolo SpA     199,903       510,312  
Luxottica Group SpA     34,753       1,871,903  
Luxottica Group SpA – SPADR     3,316       178,069  
Piaggio & C SpA     262,544       437,858  
Saipem SpA (a)     1,535,493       859,156  
Tamburi Investment Partners SpA     184,149       697,676  
Technogym SpA (a) (d)     6,333       29,535  
UniCredit SpA     204,338       587,428  
Unione di Banche Italiane SpA     78,182       214,888  
             11,109,563  
Japan — 9.0%
 
Aeon Delight Co, Ltd.     1,400       38,984  
AEON Financial Service Co, Ltd.     6,300       111,436  
Aida Engineering, Ltd.     4,400       41,642  
Alfresa Holdings Corp.     50,600       834,223  
Amano Corp.     293,800       5,151,246  
Asahi Diamond Industrial Co., Ltd.     1,153,700       8,397,155  
Asatsu-DK, Inc.     267,000       6,451,977  
Ashikaga Holdings Co., Ltd.     62,381       230,508  
Azbil Corp.     502,600       14,113,704  
BML, Inc.     640,600       15,243,048  
Bridgestone Corp.     17,388       625,483  
Bunka Shutter Co, Ltd.     278,900       2,147,734  
Casio Computer Co, Ltd.     10,700       150,814  
Coca-Cola East Japan Co., Ltd.     8,124       178,607  
Cosmos Pharmaceutical Corp.     2,064       380,406  
CyberAgent, Inc.     14,394       355,194  
Dai-ichi Life Insurance Co., Ltd. (The)     102,500       1,698,245  
Daifuku Co. Ltd.     8,500       180,414  
Daiichikosho Co., Ltd.     365,500       14,363,710  
Dainippon Sumitomo Pharma Co., Ltd.     46,800       803,595  
Daiwa House Industry Co. Ltd.     3,300       90,022  
Daiwa Securities Group, Inc.     71,492       439,180  
DMG Mori Co., Ltd.     17,962       217,289  
East Japan Railway Co.     15,300       1,319,812  
Fuji Heavy Industries, Ltd.     5,500       223,719  
Fuji Media Holdings, Inc.     55,700       778,435  
FUJIFILM Holdings Corp.     48,200       1,826,284  
Fukuda Denshi Co., Ltd.     3,800       209,228  
Fukuoka Financial Group, Inc.     21,000       92,965  
Fukushima Industries Corp.     46,500       1,337,480  
Hakuhodo DY Holdings, Inc.     1,397,800       17,180,380  
Hitachi Capital Corp.     6,400       157,037  
Hitachi, Ltd.     306,031       1,648,904  
Hogy Medical Co., Ltd.     276,200       17,020,809  
Honda Motor Co., Ltd.     43,300       1,260,600  
Isetan Mitsukoshi Holdings, Ltd.     50,100       538,670  

18


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Schedule of Investments* December 31, 2016 

   
     Number
of Shares
  Value
ITOCHU Corp.     10,900     $ 144,475  
Japan Airlines Co., Ltd.     31,490       918,913  
Japan Post Holdings Co., Ltd.     53,900       671,680  
Japan Steel Works, Ltd. (The)     392,200       6,941,479  
Japan Tobacco, Inc.     11,517       378,373  
JFE Holdings, Inc.     30,200       458,304  
kabu.com Securities Co., Ltd.     21,676       74,719  
Kamigumi Co., Ltd.     302,000       2,873,407  
Kao Corp.     21,300       1,007,769  
KDDI Corp.     3,000       75,744  
Kirin Holdings Co., Ltd.     98,300       1,595,926  
Kubota Corp.     10,500       149,475  
Kurita Water Industries, Ltd.     828,400       18,197,623  
Kyocera Corp.     10,700       530,710  
Kyushu Railway Co. (a)     12,400       323,798  
LIXIL Group Corp.     45,201       1,024,325  
Maeda Corp.     12,000       104,427  
Marui Group Co., Ltd.     9,400       136,946  
Matsumotokiyoshi Holdings Co, Ltd.     3,000       147,361  
Miraca Holdings, Inc.     280,600       12,567,510  
Mitsubishi Corp.     372,200       7,908,963  
Mitsubishi Electric Corp.     84,000       1,167,735  
Mitsubishi Estate Co., Ltd.     60,755       1,204,323  
Mitsubishi Heavy Industries, Ltd.     179,000       813,157  
Mitsubishi Logistics Corp.     28,000       395,169  
Mitsubishi UFJ Financial Group, Inc.     49,323       303,236  
Mitsui & Co., Ltd.     549,500       7,536,521  
Mizuho Financial Group, Inc.     527,900       945,090  
MS&AD Insurance Group Holdings     54,937       1,697,365  
Nakanishi, Inc.     300,700       11,631,118  
Namco Bandai Holdings, Inc.     780,500       21,486,180  
NEC Corp.     254,000       671,014  
Nexon Co., Ltd.     4,108       59,369  
Nikon Corp.     28,500       441,536  
Nintendo Co., Ltd.     200       41,809  
Nippon Meat Packers, Inc.     9,000       242,982  
Nippon Signal Company, Ltd.     3,500       29,541  
Nippon Suisan Kaisha, Ltd.     50,700       243,601  
Nippon Telegraph & Telephone Corp.     57,700       2,425,465  
Nippon Television Holdings, Inc.     33,920       614,814  
Nissan Chemical Industries, Ltd.     5,200       173,351  
Nissan Motor Co, Ltd.     21,400       214,696  
NKSJ Holdings, Inc.     20,100       678,720  
Nohmi Bosai, Ltd.     18,200       267,896  
Nomura Co, Ltd.     5,600       80,909  
Nomura Holdings, Inc.     142,100       837,620  
NTT Data Corp.     25,600       1,235,319  
NTT Urban Development Corp.     49,800       436,981  
Obayashi Corp.     115,700       1,102,597  
Obic Co, Ltd.     2,400       104,681  
OKUMA Corp.     2,248,000       21,370,134  
OMRON Corp.     4,200       160,741  
Onward Holdings Co., Ltd.     41,000       286,960  
Organo Corp.     548,000       2,205,962  
OSG Corp.     1,800       35,314  
Otsuka Holdings Co., Ltd.     13,400       583,022  

   
     Number
of Shares
  Value
Penta-Ocean Construction Co, Ltd.     18,100     $ 87,366  
Rakuten, Inc.     23,080       225,850  
Resona Holdings, Inc.     204,200       1,050,968  
Rinnai Corp.     15,200       1,224,446  
Ryohin Keikaku Co, Ltd.     600       117,321  
Sanshin Electronics Co., Ltd.     113,200       1,090,403  
Sawai Pharmaceutical Co, Ltd.     2,600       139,383  
SCSK Corp.     3,400       118,773  
Secom Co., Ltd.     213,900       15,609,403  
Sekisui Chemical Co, Ltd.     9,100       144,826  
Senko Co, Ltd.     3,700       24,939  
Seven & I Holdings Co., Ltd.     37,700       1,434,718  
Seven Bank, Ltd.     5,170,300       14,854,302  
Shimizu Corp.     55,000       502,154  
Shiseido Co., Ltd.     16,500       416,828  
SHO-BOND Holdings Co, Ltd.     900       37,410  
Sinko Industries, Ltd.     80,200       963,612  
SK Kaken Co., Ltd.     56,000       4,983,102  
SoftBank Group Corp.     13,200       871,429  
Sony Corp.     18,234       506,743  
Square Enix Holdings Co., Ltd.     33,221       851,432  
Sumitomo Chemical Co., Ltd.     81,000       383,234  
Sumitomo Electric Industries, Ltd.     23,000       330,248  
Sumitomo Mitsui Financial Group, Inc.     37,000       1,402,672  
Sumitomo Mitsui Trust Holdings, Inc.     34,155       1,213,533  
Sumitomo Realty & Development Co., Ltd.     3,402       90,148  
Suntory Beverage & Food, Ltd.     3,700       153,064  
Tadano, Ltd.     5,500       69,020  
Takeda Pharmaceutical Co., Ltd.     19,500       805,355  
Takeuchi Manufacturing Co., Ltd.     541,700       12,007,699  
TDK Corp.     1,800       123,426  
TechnoPro Holdings, Inc.     2,800       89,488  
Temp Holdings Co, Ltd.     8,100       125,355  
Toei Co., Ltd.     2,076,000       17,978,042  
Tohoku Electric Power Co., Inc.     51,800       653,612  
TOKAI Corp. – Gifu     190,100       6,468,806  
Tokio Marine Holdings, Inc.     5,200       212,631  
Tokyo Electron, Ltd.     4,000       377,114  
Tokyo Gas Co., Ltd.     37,000       167,026  
Toyo Seikan Kaisha Group Holdings, Ltd.     36,100       672,263  
Toyo Suisan Kaisha, Ltd.     12,100       437,662  
Toyo Tire & Rubber Co., Ltd.     10,090       125,074  
Toyota Industries Corp.     14,154       672,200  
Toyota Motor Corp.     42,075       2,456,316  
TV Asahi Holdings Corp.     504,000       9,935,074  
West Japan Railway Co.     73,600       4,510,170  
Yahoo Japan Corp.     1,771,600       6,798,659  
Yamada Denki Co., Ltd.     93,500       502,895  
Yamato Holdings Co., Ltd.     33,000       668,969  
Zenkoku Hosho Co., Ltd.     2,926       93,895  
ZOJIRUSHI Corp.     235,400       3,157,942  
             371,732,794  
Lebanon — 0.0%
 
Solidere – GDR (b)     38,451       384,510  

19


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Schedule of Investments* December 31, 2016 

   
     Number
of Shares
  Value
Luxembourg — 0.1%
 
ArcelorMittal SA – EN Amsterdam Shares (a)     53,178     $ 392,067  
d'Amico International
Shipping SA (a)
    508,555       177,608  
Kernel Holding SA     50,915       776,868  
Stabilus SA (a)     9,264       497,224  
Tenaris SA     10,914       194,546  
             2,038,313  
Macau — 0.0%
 
Sands China, Ltd.     301,600       1,297,114  
Malaysia — 0.2%
 
AirAsia Berhad     4,932,596       2,515,501  
AMMB Holdings Berhad     417,800       400,957  
Ann Joo Resources Berhad     937,719       453,448  
Berjaya Sports Toto Berhad     263,515       173,881  
CSC Steel Holdings Berhad     519,475       248,453  
Dufu Technology Corp. Berhad     1,233,800       188,184  
Genting Malaysia Berhad     925,910       944,013  
George Kent Malaysia Berhad     699,275       473,736  
Heveaboard Berhad     1,207,300       403,845  
Hong Leong Financial Group Berhad     44,239       140,013  
Lii Hen Industries Berhad     38,300       27,220  
OSK Holdings Berhad     340,600       106,323  
Padini Holdings Berhad     764,527       434,630  
Sime Darby Berhad     304,903       550,352  
Supermax Corp. Berhad     1,014,800       477,248  
Top Glove Corp. Berhad     15,900       18,949  
             7,556,753  
Mexico — 0.2%
 
America Movil SAB de CV, Series L – ADR     10,685       134,310  
Cemex SAB de CV – SPADR (a)     239,357       1,922,037  
Consorcio ARA SAB de CV,
Series C
    1,137,439       354,461  
Credito Real SAB de CV SOFOM ER     128,008       169,322  
Fibra Uno Administracion
SA de CV – REIT
    236,200       360,972  
Grupo Aeromexico SAB de CV (a)     88,077       165,662  
Grupo Carso SAB de CV, Series A     104,041       418,430  
Grupo Financiero Interacciones
SA de CV
    28,617       111,599  
Grupo Mexico SAB de CV, Series B     88,569       240,503  
Industrias Bachoco SAB de CV – ADR     2,110       103,432  
Macquarie Mexico Real Estate Management SA de CV – REIT     696,900       720,445  
Megacable Holdings SAB de CV (UNIT)     47,880       161,566  
Nemak SAB de CV (d)     43,000       38,541  
Prologis Property Mexico SA de CV – REIT     347,850       498,207  
Rassini SAB de CV     115,916       436,104  
Telesites SAB de CV (a)     30,759       16,708  
             5,852,299  
Monaco — 0.0%
 
Navios Maritime Acquisition Corp.     10,200       17,340  

   
     Number
of Shares
  Value
Scorpio Tankers, Inc.     67,379     $ 305,227  
             322,567  
Netherlands — 0.3%
 
Akzo Nobel NV     15,529       969,809  
ASML Holding NV     1,749       195,964  
Astarta Holding NV (a)     107,819       1,391,988  
Boskalis Westminster NV – CVA     15,206       527,300  
HAL Trust     2,158       408,640  
Heineken Holding NV     2,096       145,748  
Heineken NV     14,821       1,110,141  
Koninklijke (Royal) KPN NV     418,467       1,239,173  
Koninklijke (Royal) Philips Electronics NV     24,515       747,242  
Koninklijke Ahold Delhaize NV     33,863       712,741  
Randstad Holding NV     2,467       133,619  
Royal Dutch Shell plc, Class A – BATS Europe Shares     1,714       47,229  
Royal Dutch Shell plc, Class A – Quote MTF Shares     24,426       663,944  
Royal Dutch Shell plc, Class B     33,442       954,295  
Yandex NV, Class A (a)     153,949       3,098,993  
             12,346,826  
New Zealand — 0.0%
 
Spark New Zealand, Ltd.     42,021       99,354  
Norway — 0.1%
 
DNB ASA     20,585       306,135  
Golden Ocean Group, Ltd. (a)     550,220       2,631,519  
Schibsted ASA, Class A     8,500       194,999  
Schibsted ASA, Class B     8,500       180,140  
StatoilHydro ASA     25,507       464,771  
             3,777,564  
Pakistan — 0.1%
 
Askari Bank, Ltd.     243,130       57,925  
Cherat Cement Co., Ltd.     91,500       152,187  
Faysal Bank, Ltd.     187,954       39,426  
Honda Atlas Cars Pakistan, Ltd.     11,625       74,626  
International Industries, Ltd.     49,218       95,572  
Maple Leaf Cement Factory, Ltd.     87,000       105,972  
National Bank of Pakistan     519,000       372,876  
Nishat Chunian, Ltd.     645,956       386,570  
PAK Suzuki Motor Co., Ltd.     11,642       69,137  
Pakistan Oilfields, Ltd.     62,600       320,842  
Pakistan Telecommunication Co., Ltd.     711,500       116,813  
Pioneer Cement, Ltd.     327,000       443,391  
             2,235,337  
Panama — 0.0%
 
Copa Holdings SA, Class A     3,013       273,671  
Philippines (The) — 0.1%
 
ABS-CBN Holdings Corp. – PDR     1,483,818       1,313,302  
Cebu Air, Inc.     272,690       509,402  
Cosco Capital, Inc.     1,156,592       197,797  
DMCI Holdings, Inc.     917,570       244,528  
Energy Development Corp.     1,130,100       117,110  
Globe Telecom, Inc.     15,844       481,389  
Jollibee Foods Corp.     77,667       302,434  

20


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Schedule of Investments* December 31, 2016 

   
     Number
of Shares
  Value
Lopez Holdings Corp.     3,984,807     $ 625,624  
LT Group, Inc.     737,363       186,472  
Semirara Mining & Power Corp.     20,550       53,771  
SM Investments Corp.     34,747       457,026  
             4,488,855  
Russia — 1.2%
 
Aeroflot – Russian Airlines
PJSC (a) (c)
    395,500       988,411  
Aeroflot – Russian Airlines PJSC MOEX (a)     509,825       1,274,282  
Bank St Petersburg PJSC     380,252       413,987  
Bashneft PJSC     7,104       416,286  
Etalon Group, Ltd. – GDR (b)     520,509       1,663,026  
Europlan PJSC (a)     30,015       354,001  
Federal Grid Co. Unified Energy System PJSC (a) (c)     2,006,557,830       6,647,726  
Gazprom PAO (a) (c)     2,070,286       5,208,740  
Gazprom PAO – SPADR     1,042,870       5,308,208  
Gazprom PJSC – SPADR     66,017       332,878  
Global Ports Investments plc – 
GDR (a) (b)
    100,927       403,188  
Lenta, Ltd. – GDR (a) (b)     49,644       406,748  
Lukoil PJSC – SPADR     35,029       1,961,672  
Mail.Ru Group, Ltd. – GDR (a) (b)     123,410       2,264,573  
MD Medical Group Investments plc – GDR (b)     17,202       162,559  
MegaFon PJSC – GDR (b)     10,716       101,171  
MMC Norilsk Nickel PJSC     1,503       247,855  
MMC Norilsk Nickel PJSC – ADR     19,438       325,486  
Moscow Exchange MICEX-RTS
PJSC (a) (c)
    1,086,029       2,212,937  
NOVATEK OAO – GDR (b)     1,639       212,326  
Polymetal International plc     14,762       154,867  
Protek OJSC (c)     588,773       954,035  
Rosneft PJSC – GDR (b)     81,978       531,576  
Rushydro PJSC (a) (c)     45,659,188       686,669  
Rushydro PJSC – ADR     4,861,105       7,060,201  
Sberbank of Russia PJSC (a) (c)     418,729       1,180,694  
Sberbank PAO – SPADR – OTC Shares     577,676       6,670,899  
Sistema JSFC – SPGDR – LSE
Shares (b)
    34,592       311,312  
Sistema PJSC FC (c)     77,033       29,088  
Sollers PJSC (a)     25,075       226,409  
Synergy PJSC (a)     3,151       32,156  
TMK PJSC     7,595       9,530  
TMK PJSC – GDR (b)     67,354       342,083  
X5 Retail Group NV – GDR (a) (b)     23,190       752,756  
             49,848,335  
Singapore — 0.3%
 
Ascendas Real Estate Investment Trust – REIT     567,600       886,885  
China Yuchai International, Ltd.     12,776       176,437  
GL, Ltd.     78,100       40,915  
Golden Agri-Resources, Ltd.     22,289,900       6,583,397  
Great Eastern Holdings, Ltd.     45,201       633,272  
Haw Par Corp., Ltd.     3,400       21,316  
Semb Corp Industries, Ltd.     145,400       285,220  
Singapore Telecommunications, Ltd.     357,200       896,435  

   
     Number
of Shares
  Value
United Overseas Bank, Ltd.     53,098     $ 745,168  
             10,269,045  
South Africa — 0.3%
 
African Bank Investments,
Ltd. (a) (c)
    3,640,881        
Alexander Forbes Group Holdings, Ltd.     643,633       372,921  
Anglo American Platinum, Ltd. (a)     8,832       169,217  
AVI, Ltd.     66,540       441,826  
Barloworld, Ltd.     245,614       2,107,289  
Cashbuild, Ltd.     20,699       519,458  
Discovery Holdings, Ltd.     58,769       489,652  
Emira Property Fund, Ltd. – REIT     122,979       127,523  
Gold Fields, Ltd.     214,336       653,327  
Hosken Consolidated Investments, Ltd.     98,267       966,322  
Impala Platinum Holdings, Ltd. (a)     883,082       2,728,841  
Kumba Iron Ore, Ltd. (a)     52,895       609,830  
Lewis Group, Ltd.     136,060       417,394  
Montauk Holdings, Ltd. (a)     123,503       152,681  
Murray & Roberts Holdings, Ltd.     276,033       231,541  
Naspers, Ltd.     1,394       203,113  
Net 1 UEPS Technologies, Inc. (a)     8,236       94,549  
Niveus Investments, Ltd.     72,397       192,449  
Peregrine Holdings, Ltd.     263,997       576,482  
Raubex Group, Ltd.     193,453       346,128  
Remgro, Ltd.     31,724       515,529  
Sibanye Gold, Ltd.     480,453       861,265  
Telkom SA SOC, Ltd.     34,766       187,195  
Trencor, Ltd.     24,706       51,248  
Wilson Bayly Holmes-Ovcon, Ltd.     47,629       532,045  
Woolworths Holdings Ltd/South Africa     77,059       396,299  
             13,944,124  
South Korea — 1.0%
 
Ahn-Gook Pharmaceutical Co., Ltd.     20,122       212,427  
Austem Co., Ltd.     194,789       735,244  
Binggrae Co., Ltd.     235       12,412  
Bluecom Co., Ltd.     65,836       586,276  
Boryung Pharmaceutical Co., Ltd.     7,885       403,929  
Chungdahm Learning, Inc.     31,393       469,845  
CJ O Shopping Co., Ltd.     176       23,648  
CKD Bio Corp.     7,863       152,961  
Dae Hyun Co., Ltd.     107,969       371,692  
Daeduck GDS Co., Ltd.     45,670       487,000  
Daehan Steel Co., Ltd.     50,419       396,698  
Daelim Industrial Co., Ltd.     2,771       199,398  
Daihan Pharmaceutical Co., Ltd.     17,038       392,341  
Daou Technology, Inc.     10,486       155,849  
DK UIL Co., Ltd.     17,986       153,938  
Dong-A Socio Holdings Co, Ltd.     10,627       1,376,719  
DongKook Pharmaceutical Co., Ltd.     12,568       595,868  
Dongwon Industries Co, Ltd.     1,143       343,619  
F&F Co., Ltd.     25,390       366,466  
GS Home Shopping, Inc.     1,816       257,638  
GS Retail Co., Ltd.     46,062       1,812,268  
Hana Financial Group, Inc.     7,352       189,790  

21


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Schedule of Investments* December 31, 2016 

   
     Number
of Shares
  Value
Hanshin Construction Co., Ltd. (a)     27,492     $ 361,336  
Hanwha Corp.     60,687       1,758,791  
Hanwha General Insurance Co., Ltd.     16,883       100,941  
Hite Jinro Co., Ltd.     2,365       41,291  
Hitejinro Holdings Co., Ltd.     1,607       16,561  
HS R&A Co., Ltd.     10,742       298,087  
Humax Co., Ltd.     28,302       322,086  
Huons Global Co., Ltd.     23,080       653,716  
Hyundai Hy Communications & Network Co., Ltd.     51,483       176,126  
Hyundai Mobis Co., Ltd.     698       152,234  
Hyundai Motor Co.     47,316       5,684,684  
Il Dong Holdings Co., Ltd.     10,834       230,956  
Interojo Co., Ltd.     11,724       368,976  
ISU Chemical Co., Ltd.     21,012       282,813  
KB Financial Group, Inc.     1,668       58,935  
Kia Motors Corp.     4,540       147,311  
KISCO Corp.     2,516       77,186  
Korea Aerospace Industries, Ltd.     1,532       84,759  
Korea United Pharm, Inc.     31,514       481,667  
Korean Air Lines Co, Ltd. (a)     9,525       215,366  
KT Corp.     125,026       3,042,217  
KT Corp. – SPADR (a)     205,355       2,893,452  
KT Skylife Co., Ltd.     32,976       469,953  
Kwangju Bank     33,480       299,353  
Kyungdong Pharm Co., Ltd. (a)     12,889       196,750  
LG Corp.     1,883       93,462  
LG Uplus Corp.     6,552       62,077  
Lotte Shopping Co., Ltd.     894       163,689  
LS Corp.     9,144       447,997  
Maeil Dairy Industry Co., Ltd.     1,811       60,086  
Meritz Securities Co., Ltd.     420,189       1,201,016  
Nice Total Cash Management Co., Ltd., Class C     97,360       493,669  
Poongsan Corp.     43,721       1,458,399  
Pyeong Hwa Automotive Co., Ltd.     39,918       394,503  
S-1 Corp.     538       39,020  
Samjin Pharmaceutical Co., Ltd.     22,379       642,645  
Samsung Electronics Co., Ltd.     554       818,567  
Samsung Fire & Marine Insurance Co., Ltd.     80       17,773  
Samsung SDI Co., Ltd.     444       39,901  
Samyang Holdings Corp.     6,040       596,725  
SeAH Steel Corp.     6,687       511,822  
Seoho Electric Co., Ltd.     30,166       287,803  
Seoyon Co., Ltd.     26,205       231,461  
Seoyon E-Hwa Co., Ltd.     18,689       216,266  
Shinhan Financial Group Co., Ltd.     10,966       411,150  
Shinsegae Engineering & Construction Co., Ltd.     5,077       184,971  
SIMMTECH Co., Ltd.     49,083       488,429  
SK Hynix, Inc.     33,745       1,233,490  
SK Materials Co., Ltd.     11,207       1,656,893  
SK Telecom Co., Ltd.     1,939       360,741  
SL Corp.     34,016       606,745  
Sungdo Engineering & Construction Co, Ltd.     100,481       432,013  

   
     Number
of Shares
  Value
Sungwoo Hitech Co., Ltd.     4,148     $ 26,398  
Tongyang Life Insurance Co., Ltd.     53,374       560,290  
Ubiquoss, Inc.     49,721       445,635  
Visang Education, Inc.     20,340       268,161  
             42,563,370  
Spain — 0.3%
 
Acerinox SA     36,632       485,739  
Amadeus IT Holding SA, Class A     184,157       8,366,121  
Banco Bilbao Vizcaya Argentaria SA     14,729       99,366  
Banco Santander SA     12,360       64,522  
Fomento de Construcciones y Contratas SA (a)     29,300       232,849  
Grifols SA     13,056       259,410  
Iberdrola SA     125,122       820,489  
Inditex SA     26,085       890,164  
Inmobiliaria Colonial SA     5,380       37,310  
Inmobiliaria del Sur SA     6,160       51,217  
Mediaset Espana Comunicacion SA     28,967       339,895  
Realia Business SA (a)     194,207       175,771  
Realia Business SA – ENT (a) (c)     93,142       5,883  
Telefonica SA     62,824       582,568  
Viscofan SA     10,572       521,246  
             12,932,550  
Sri Lanka — 0.0%
 
Dialog Axiata plc     1,807,383       126,699  
Sweden — 0.2%
 
Assa Abloy AB, Class B     116,881       2,168,142  
Com Hem Holding AB     127,800       1,218,623  
Investor AB, Class B     9,663       361,104  
Kinnevik AB, Class B     3,745       89,725  
Modern Times Group AB, Class B     9,878       292,634  
Nordea Bank AB     33,802       375,790  
Sandvik AB     56,524       697,793  
Svenska Handelsbanken AB     104,160       1,447,219  
Swedish Match AB     7,530       239,232  
Telefonaktiebolaget LM Ericsson, Class B     201,794       1,176,376  
Telia Co. AB     283,781       1,141,629  
             9,208,267  
Switzerland — 0.4%
 
ABB, Ltd. – SIX Swiss Exchange (a)     61,940       1,303,922  
Adecco Group AG     15,109       986,458  
Cie Financiere Richemont SA     14,008       927,495  
Cie Financiere Richemont SA – JSE Shares     13,901       91,728  
DKSH Holding AG     522       35,850  
Garmin, Ltd.     7,527       364,984  
Geberit AG     4,005       1,602,772  
Glencore Xstrata plc (a)     192,337       646,463  
Helvetia Holding AG     226       121,758  
Logitech International SA     26,550       662,349  
Nestle SA     14,943       1,071,803  
Novartis AG     33,304       2,422,488  
Roche Holding AG     8,004       1,823,737  
Sonova Holding AG     3,224       390,074  
Syngenta AG     2,412       953,179  

22


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Schedule of Investments* December 31, 2016 

   
     Number
of Shares
  Value
UBS Group AG     52,796     $ 826,518  
             14,231,578  
Taiwan — 0.8%
 
Actron Technology Corp.     77,000       241,845  
Ampire Co., Ltd.     416,000       164,519  
AmTRAN Technology Co., Ltd.     1,193,613       817,030  
Asia Vital Components Co., Ltd.     495,691       383,810  
Avita Corp.     158,000       174,076  
Chang Wah Electromaterials, Inc.     100,071       414,435  
Chia Chang Co., Ltd.     52,000       42,710  
Chicony Power Technology Co, Ltd.     271,000       419,460  
China General Plastics Corp.     1,532,255       1,133,033  
China Metal Products     464,147       457,865  
Chipmos Technologies, Inc. -ADR     31,412       443,223  
Chroma ATE, Inc.     25,000       58,342  
Cleanaway Co., Ltd.     84,000       428,578  
Coretronic Corp.     432,181       453,449  
Darfon Electronics Corp.     6,000       3,957  
Delta Electronics, Inc.     110,363       540,908  
Dynapack International Technology Corp.     76,760       88,047  
Elite Advanced Laser Corp.     26,000       103,696  
Elitegroup Computer Systems Co., Ltd.     1,162,731       560,595  
Farglory Land Development Co., Ltd.     440,000       504,225  
FLEXium Interconnect, Inc.     795,000       2,075,126  
Getac Technology Corp.     1,002,354       1,174,372  
Grand Ocean Retail Group, Ltd.     154,000       103,031  
Grand Pacific Petrochemical     1,251,000       812,601  
Grape King Bio, Ltd.     18,000       103,979  
Greatek Electronics, Inc.     238,000       287,259  
Hannstar Board Corp.     741,252       401,852  
Hanpin Electron Co, Ltd.     227,546       304,753  
Highwealth Construction Corp.     1,001,000       1,406,258  
Hitron Technology, Inc.     1,645,000       1,025,212  
Hon Hai Precision Industry Co., Ltd. – GDR (b)     45,670       231,975  
Hotron Precision Electronic Industrial Co., Ltd.     55,195       55,699  
Intai Technology Corp.     34,462       161,766  
Inventec Corp.     337,000       229,503  
Kwong Lung Enterprise Co., Ltd.     177,227       249,845  
Lite-On Semiconductor Corp.     115,000       84,124  
Lite-On Technology Corp.     484,000       723,279  
Long Chen Paper Co., Ltd.     945,000       478,878  
Mega Financial Holding Co., Ltd.     519,167       370,334  
Namchow Chemical Industrial Co., Ltd.     159,000       301,188  
Nishoku Technology, Inc.     205,568       450,584  
Powertech Technology, Inc.     29,000       77,972  
Qualipoly Chemical Corp.     237,308       248,411  
Radiant Opto-Electronics Corp.     1,083,000       1,875,211  
Ruentex Industries, Ltd.     43,642       72,438  
Sampo Corp.     210,000       119,090  
San Fang Chemical Industry Co., Ltd.     45,352       49,655  
ShunSin Technology Holding, Ltd.     382,977       1,201,274  
Sinmag Equipment Corp.     80,400       352,190  

   
     Number
of Shares
  Value
St Shine Optical Co., Ltd.     91,000     $ 1,729,221  
Sunonwealth Electric Machine Industry Co., Ltd.     601,000       509,106  
Syncmold Enterprise Corp.     277,000       540,853  
Taiwan Chinsan Electronic Industrial Co., Ltd.     109,481       202,757  
Taiwan FU Hsing Industrial Co., Ltd.     188,860       244,317  
Taiwan PCB Techvest Co., Ltd.     155,871       144,610  
Taiwan Semiconductor Manufacturing Co., Ltd.     86,655       485,271  
Taiwan Semiconductor Manufacturing Co., Ltd. – SPADR     56,190       1,615,463  
Taiwan Styrene Monomer     905,000       558,135  
Taiwan Surface Mounting Technology Corp.     129,000       105,315  
Teco Electric and Machinery Co., Ltd.     219,689       189,435  
Tong Yang Industry Co., Ltd.     574,000       1,125,681  
Victory New Materials Co., Ltd.     217,000       364,874  
Walsin Lihwa Corp.     531,000       194,442  
Well Shin Technology Co., Ltd.     30,000       47,311  
Wistron Corp.     91,000       70,012  
WUS Printed Circuit Co., Ltd.     145,783       80,301  
Yageo Corp.     67,000       121,778  
YFC-Boneagle Electric Co., Ltd.     405,000       750,818  
Yungtay Engineering Co., Ltd.     109,000       151,514  
Zeng Hsing Industrial Co., Ltd.     13,605       67,675  
             31,760,551  
Thailand — 0.3%
 
Advanced Info Service PCL, Class F     154,304       633,409  
Asia Plus Group Holdings PCL, Class F     2,388,800       242,812  
Asian Marine Services PCL, Class F     994,400       77,752  
Bangkok Bank PCL     97,169       438,218  
Bangkok Bank PCL – Foreign Reg     103,707       467,703  
Bangkok Chain Hospital PCL     969,000       400,475  
BT Wealth Industries PCL, Class F     337,200       30,320  
Kasikornbank PCL, Class F     16,000       79,306  
Kiatnakin Bank PCL, Class F     196,111       323,105  
Land & Houses PCL     690,455       187,988  
Malee Group PCL, Class F     233,704       750,505  
MBK PCL, Class F     3,783,627       1,532,025  
MCS Steel PCL, Class F     868,259       417,030  
Mega Lifesciences PCL, Class F     1,335,630       941,753  
Quality Houses PCL, Class F     15,292,665       1,101,774  
Sansiri PCL, Class F     23,633,527       1,095,535  
Star Petroleum Refining PCL, Class F     3,926,500       1,359,618  
Syntec Construction PCL, Class F     4,014,665       582,965  
Thai Vegetable Oil PCL, Class F     591,900       669,411  
Thanachart Capital PCL, Class F     19,900       24,451  
TV Direct PCL, Class F     61,900       3,803  
             11,359,958  
Turkey — 0.1%
 
Albaraka Turk Katilim Bankasi AS     892,167       300,756  
BIM Birlesik Magazalar AS     11,617       161,299  
EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS     723,763       639,710  
Is Yatirim Menkul Degerler AS     48,842       17,587  
KOC Holding AS     156,103       610,390  

23


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Schedule of Investments* December 31, 2016 

   
     Number
of Shares
  Value
Kordsa Global Endustriyel Iplik ve Kord Bezi Sanayi ve Ticaret AS     380,975     $ 697,706  
Tekfen Holding AS     308,441       564,909  
Tofas Turk Otomobil Fabrikasi AS     24,598       171,786  
Trakya Cam Sanayii AS     155,043       124,763  
Turkiye Garanti Bankasi AS     46,514       100,557  
             3,389,463  
Ukraine — 0.1%
 
MHP SA – GDR – LSE Shares (b)     408,978       3,594,917  
MHP SA – GDR – OTC Shares (b)     121,472       1,068,016  
             4,662,933  
United Arab Emirates — 0.0%
 
Al Waha Capital PJSC     782,094       410,967  
Dubai Investments PJSC     1,013,069       656,458  
RAK Properties PJSC     563,217       101,207  
             1,168,632  
United Kingdom — 4.3%
 
3i Group plc     178,723       1,552,567  
Admiral Group plc     27,242       610,874  
AMEC Foster Wheeler plc     101,817       587,059  
Anglo American plc – LSE Shares (a)     143,403       2,011,330  
Associated British Foods plc     2,773       93,717  
AstraZeneca plc     3,702       200,772  
Auto Trader Group plc (d)     31,271       157,453  
Aviva plc     34,187       203,997  
BAE Systems plc     123,261       895,143  
Barclays plc     3,027,833       8,317,366  
Barratt Developments plc     23,018       130,951  
Belmond, Ltd., Class A (a)     110,705       1,477,912  
Berendsen plc     19,226       205,378  
BHP Billiton plc     27,923       441,492  
Bovis Homes Group plc     7,965       80,365  
BP plc     519,666       3,228,941  
British American Tobacco plc     1,538       87,326  
British Land Co. plc – REIT     1,109,255       8,595,122  
BT Group plc     5,066,004       22,940,605  
Bunzl plc     51,829       1,341,209  
Capita plc     86,387       565,563  
Carnival plc     12,665       641,663  
Centrica plc     18,333       52,819  
Close Brothers Group plc     6,793       120,549  
CNH Industrial NV – ISE Shares     124,814       1,085,177  
Compass Group plc     95,694       1,763,862  
ConvaTec Group plc (a) (d)     150,778       434,630  
Daily Mail & General Trust plc, Class A     55,482       531,917  
Delphi Automotive plc     5,888       396,557  
Devro plc     62,010       144,211  
Diageo plc     336,305       8,700,578  
Dixons Carphone plc     49,527       215,917  
easyJet plc     22,443       277,590  
Enterprise Inns plc (a)     123,811       185,368  
Ferroglobe plc     14,932       161,714  
Ferroglobe plc – ENT (c)     17,904        
Fiat Chrysler Automobiles NV – NYSE Shares     41,313       376,775  

   
     Number
of Shares
  Value
Flybe Group plc (a)     683,020     $ 369,934  
G4S plc     257,280       744,549  
Gem Diamonds, Ltd.     234,409       317,656  
GKN plc     71,713       292,136  
GlaxoSmithKline plc     61,061       1,166,092  
GVC Holdings plc (a)     39,778       314,608  
Hansteen Holdings plc – REIT     72,702       101,617  
Hays plc     351,708       645,549  
HomeServe plc     93,569       710,038  
Howden Joinery Group plc     176,245       829,308  
HSBC Holdings plc – LSE Shares     30,744       248,585  
HSBC Holdings plc – SEHK Shares     45,657       366,784  
Hummingbird Resources plc (a)     322,316       72,457  
IG Group Holdings plc     66,285       402,943  
IMI plc     5,160       65,803  
Inchcape plc     14,929       128,619  
Informa plc     54,512       456,522  
InterContinental Hotels Group plc     220,439       9,837,439  
International Consolidated Airlines Group SA     2,260,757       12,260,504  
International Personal Finance plc     90,730       191,696  
Intertek Group plc     37,100       1,582,857  
ITV plc     430,461       1,091,128  
J D Wetherspoon plc     14,874       162,668  
John Wood Group plc     11,810       127,159  
Jupiter Fund Management plc     47,889       260,957  
Just Eat plc (a)     48,220       346,379  
Kingfisher plc, Class A     234,684       1,010,637  
Liberty Global plc, Class A (a)     122,599       3,750,043  
Liberty Global plc, Class C (a)     50,308       1,493,700  
Liberty Global plc LiLAC, Class A (a)     14,853       326,213  
Liberty Global plc LiLAC, Class C (a)     9,624       203,826  
LivaNova plc (a)     6,417       288,572  
Lloyds Banking Group plc     33,568,862       25,815,496  
Luceco plc (a) (d)     54,112       127,249  
McCarthy & Stone plc (d)     31,866       63,219  
Merlin Entertainments plc (d)     162,649       898,723  
Michael Kors Holdings, Ltd. (a)     26,722       1,148,512  
Michelmersh Brick Holdings plc     1,275,622       772,396  
Millennium & Copthorne Hotels plc     13,174       74,678  
Moneysupermarket.com Group plc     86,304       312,491  
National Express Group plc     22,509       98,015  
National Grid plc     25,665       300,161  
Nex Group plc     80,282       459,576  
Next plc     5,742       351,425  
Non-Standard Finance plc (d)     113,467       80,401  
Northgate plc     13,889       84,538  
Old Mutual plc – LSE Shares     126,544       321,022  
Pagegroup plc     96,535       462,769  
Paragon Group of Co. plc     94,486       482,404  
Petrofac, Ltd.     6,761       72,254  
Pets at Home Group plc     86,126       253,689  
Provident Financial plc     27,319       960,461  
Reckitt Benckiser Group plc     79,494       6,719,969  
RELX plc     60,620       1,078,072  
Rightmove plc     34,474       1,656,793  
Rio Tinto plc     23,975       912,983  

24


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Schedule of Investments* December 31, 2016 

   
     Number
of Shares
  Value
Rolls Royce Holdings plc (a)     1,547,900     $ 1,908  
Rolls Royce Holdings plc – 
LSE Shares (a)
    101,354       833,520  
Rotork plc     29,778       88,056  
Royal Bank of Scotland Group plc (a)     103,644       286,257  
Sage Group plc (The)     808,445       6,501,132  
Serco Group plc (a)     366,268       646,452  
Sky plc     20,078       244,272  
Smith & Nephew plc     23,535       350,640  
Spectris plc     15,699       446,968  
SSP Group plc     140,168       668,290  
St James's Place plc     29,291       364,331  
Stagecoach Group plc     117,259       312,029  
Standard Chartered plc – LSE (a)     32,658       267,481  
TalkTalk Telecom Group plc     38,630       80,440  
Taylor Wimpey plc     42,370       79,573  
Telit Communications plc     55,990       189,639  
Tesco plc (a)     336,224       855,853  
Thomas Cook Group plc (a)     462,269       493,335  
TP ICAP plc     65,604       349,952  
Travis Perkins plc     3,277       58,572  
Tungsten Corp. plc (a)     46,324       30,145  
Unilever plc     235,374       9,520,907  
Vodafone Group plc     257,713       633,839  
WH Smith plc     32,214       616,998  
Willis Towers Watson plc     8,520       1,041,826  
WPP plc     34,476       770,735  
             178,221,893  
Vietnam — 0.0%
 
Luks Group Vietnam Holdings Co., Ltd.     1,682,000       604,332  
Total Foreign Common Stocks
(Cost $1,220,167,020)
             1,250,113,621  
Total Common Stocks
(Cost $2,026,481,588)
             2,096,549,623  
Participation Notes — 0.9%
 
Citigroup Global Markets Holdings Inc., Midea Group Co., Ltd. Equity Linked Notes, Expiring 01/17/17 (China) (c) (d)     724,400       2,935,560  
HSBC Bank plc, BBMG Corp., Equity Linked Notes, Expiring 12/15/21 (China) (c) (d)     187,000       119,997  
HSBC Bank plc, Chongqing Brewery Co., Ltd. Equity Linked Notes, Expiring 06/04/20 (China) (c) (d)     345,600       917,160  
HSBC Bank plc, Gree Electric Appliances, Inc. Equity Linked Notes, Expiring 12/04/18
(China) (c) (d)
    123,000       434,731  
HSBC Bank plc, Han's Laser Technology Industry Group Co., Ltd. Equity Linked Notes, Expiring 03/18/19 (China) (c) (d)     536,500       1,742,294  
HSBC Bank plc, Hangzhou Robam Appliances Co., Equity Linked Notes, Expiring 06/20/19
(China) (c) (d)
    662,000       3,503,268  
HSBC Bank plc, Henan Shuanghui Investment & Development Co., Ltd. Equity Linked Notes, Expiring 06/12/23 (China) (c) (d)     417,400       1,256,050  

   
     Number
of Shares
  Value
HSBC Bank plc, Midea Group Co, Ltd. Equity Linked Notes, Expiring 09/23/23 (China) (c) (d)     103,000     $ 417,397  
HSBC Bank plc, Midea Group Co, Ltd. Equity Linked Notes, Expiring 05/08/18 (China) (c) (d)     200,400       812,101  
HSBC Bank plc, Ningbo Xinhai Electric Co, Ltd. Equity Linked Notes, Expiring 09/09/19
(China) (c) (d)
    168,527       1,222,527  
HSBC Bank plc, Suofeiya Home Collection co., Ltd. Equity Linked Notes, Expiring 04/25/17
(China) (c) (d)
    15,800       123,111  
Morgan Stanley Asia Products Limited, Hangzhou Hikvision Digital Technology Co., Ltd Equity Linked Notes, Expiring 11/13/17 (China) (c) (d)     212,900       728,263  
Morgan Stanley Asia Products Limited, Midea Group Co., Ltd. Equity Linked Notes, Expiring 07/03/18 (China) (c) (d)     429,500       1,740,507  
Morgan Stanley Asia Products Limited, Shenzhen Airport Co., Ltd. Equity Linked Notes, Expiring 07/05/18 (China) (c) (d)     586,100       674,673  
Morgan Stanley Asia Products Limited, Sichuan Kelun Pharmaceutical Co., Ltd. Equity Linked Notes, Expiring 07/05/18 (China) (c) (d)     234,000       539,644  
UBS AG, Beijing Originwater Technology Co., Ltd. Equity Linked Notes, Expiring 04/27/17
(China) (c) (d)
    1,136,048       2,856,135  
UBS AG, China Merchants Shekou Industrial Zone Holdings Co., Ltd. Equity Linked Notes, Expiring 07/17/17 (China) (c) (d)     219,542       517,077  
UBS AG, Chongqing Brewery Co., Ltd. Equity Linked Notes, Expiring 01/22/18 (China) (c) (d)     46,866       124,374  
UBS AG, Gree Electric Appliances Inc. Equity Linked Notes, Expiring 10/27/17 (China) (c) (d)     184,700       652,803  
UBS AG, Hangzhou Hikvision Digital Technology Co., Ltd. Equity Linked Notes, Expiring 07/17/17
(China) (c) (d)
    1,020,475       3,490,719  
UBS AG, Huadong Medicine Co., Ltd. Equity Linked Notes, Expiring 01/17/17 (China) (c) (d)     267,030       2,765,812  
UBS AG, Luxshare Precision Industry Co., Ltd. Equity Linked Notes, Expiring 07/17/17 (China) (c) (d)     579,935       1,726,470  
UBS AG, Midea Group Co., Ltd. Equity Linked Notes, Expiring 01/17/17 (China) (c) (d)     951,024       3,853,931  
UBS AG, Ningbo Xinhai Electric Co., Ltd. Equity Linked Notes, Expiring 12/18/17 (China) (c) (d)     119,675       868,145  
UBS AG, Wangsu Science & Technology Co., Ltd. Equity Linked Notes, Expiring 07/17/17
(China) (c) (d)
    387,618       2,986,669  
Total Participation Notes
(Cost $36,635,119)
             37,009,418  

25


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Schedule of Investments* December 31, 2016 

   
  Number
of Contracts
  Value
Rights — 0.0%
 
Banca Popolare di Milano Scarl, Expiring 12/27/16 (Italy) (a) (c)     1,399,580     $  
Credito Valtellinese, Expiring 01/05/17 (Italy) (a) (c)     823,403        
Total Rights (Cost $0)            
Warrants — 0.1%
 
American International Group, Inc., Expiring 01/19/21
(United States) (a)
    79,468       1,864,319  
Bank of America Corp., Expiring 01/16/19 (United States) (a)     179,603       1,787,050  
Bank of America Corp., Expiring 10/28/18 (United States) (a)     60,008       57,608  
Capital One Financial Corp., Expiring 11/14/18 (United States) (a)     4,054       183,200  
Citigroup, Inc., Expiring 01/04/19 (United States) (a)     216,198       32,862  
JPMorgan Chase & Co., Expiring 10/28/18 (United States) (a)     7,616       337,160  
OSK Holdings Berhad, Expiring 07/22/20 (Malaysia) (a)     114,260       5,221  
PNC Financial Services Group, Inc. (The), Expiring 12/31/18 (United States) (a)     9,912       490,644  
Tamburi Investment Partners SpA, Expiring 06/30/20 (Italy) (a)     21,898       9,059  
Wells Fargo & Co., Expiring 10/28/18 (United States) (a)     9,635       205,515  
Total Warrants
(Cost $3,509,941)
             4,972,638  

   
  Principal Amount   Value
US Treasury Bonds/Notes — 10.4%
 
US Treasury Inflation Indexed Note 0.125%, 04/15/19   $ 21,392,906     $ 21,659,954  
US Treasury Inflation Indexed Note 1.375%, 01/15/20     15,492,708       16,293,898  
US Treasury Inflation Indexed Note 0.125%, 04/15/20     33,546,175       33,894,720  
US Treasury Inflation Indexed Note 1.250%, 07/15/20     1,995,066       2,107,057  
US Treasury Inflation Indexed Note 1.125%, 01/15/21     12,839,984       13,469,977  
US Treasury Inflation Indexed Note 0.125%, 04/15/21     7,649,100       7,692,876  
US Treasury Inflation Indexed Note 0.625%, 07/15/21     21,374,526       22,056,374  
US Treasury Inflation Indexed Note 0.125%, 01/15/22     11,640,873       11,660,616  
US Treasury Inflation Indexed Note 0.125%, 07/15/22     22,514,990       22,571,976  
US Treasury Inflation Indexed Note 0.375%, 07/15/23     820,510       827,857  
US Treasury Note
0.500%, 03/31/17
    35,780,000       35,781,646  
US Treasury Note
0.625%, 04/30/18
    36,077,000       35,900,836  
US Treasury Note
1.625%, 04/30/19
    35,292,000       35,567,701  
US Treasury Note
1.375%, 05/31/20
    35,870,000       35,643,015  
US Treasury Note
2.250%, 03/31/21
    34,823,000       35,452,809  
US Treasury Note
1.750%, 04/30/22
    36,267,000       35,764,085  
US Treasury Note
1.500%, 03/31/23
    38,715,000       37,199,656  

   
     Principal Amount   Value
US Treasury Note
2.250%, 11/15/25
  $ 25,000,000     $ 24,679,700  
Total US Treasury Bonds/Notes
(Cost $431,379,927)
             428,224,753  

   
  Number
of Shares
  Value
Acquired Funds — 18.5%
 
Exchange-Traded Funds (ETFs) — 3.7%
 
Financial Select Sector SPDR Fund     4,246,000     $ 98,719,500  
Vanguard FTSE Developed
Markets ETF
    438,418       16,019,794  
Vanguard FTSE Europe ETF     825,900       39,593,646  
             154,332,940  
Private Investment Funds (e) — 14.8%
 
Adage Capital Partners,
LP (a) (c) (f)
             43,086,288  
Canyon Value Realization Fund,
LP (a) (c) (f)
             79,525,266  
Convexity Capital Offshore, LP (a) (c) (f)              38,255,536  
Cumulus Fund, Ltd. (a) (c) (f)     37,103       38,345,663  
Farallon Capital Institutional Partners, LP (a) (c) (f)              3,891,891  
GSA Trend Fund, Ltd. (a) (c) (f)     552,831       53,882,921  
Honeycomb Partners,
LP (a) (c) (f)
             41,135,010  
Hudson Bay International,
Ltd. (a) (c) (f)
    84,375       66,850,693  
Lansdowne Developed Markets Fund, Ltd. (a) (c) (f)     223,619       132,834,609  
Latimer Light Partners,
LP (a) (c) (f)
             47,341,856  
Man AHL Short Term Trading Limited (a) (c) (f)     19,679,229       20,052,126  
OZ Domestic Partners,
LP (a) (c) (f)
             370,453  
QVT Roiv Hldgs Onshore,
Ltd. (a) (c) (f)
    3,114       2,377,608  
Soroban Cayman Fund,
Ltd. (a) (c) (f)
    37,500       40,161,261  
               608,111,181  
Total Acquired Funds
(Cost $681,752,448)
             762,444,121  
Publicly Traded Limited Partnerships — 0.0%
 
KKR & Co., LP     29,188       449,203  
Lazard Ltd.     33,124       1,361,065  
Total Publicly Traded Limited Partnerships
(Cost $2,340,081)
             1,810,268  
Preferred Stocks — 0.4%
 
Avianca Holdings SA, 1.33% (Panama)     563,299       676,776  
Banco ABC Brasil SA, 7.54% (Brazil)     120,600       516,440  
Banco do Estado do Rio Grande do Sul SA, 5.29% (Brazil)     340,274       1,073,780  
Bancolombia SA, 3.19% (Colombia)     35,002       320,522  
Bayerische Motoren Werke AG, 4.35% (Germany)     1,115       85,521  
Centrais Eletricas Brasileiras SA, 0.00% (Brazil) (a)     780,700       6,189,956  
Cia de Gas de Sao Paulo – COMGAS, 24.99% (Brazil)     22,828       321,534  
Hyundai Motor Co., Ltd., 4.04% (South Korea)     2,338       191,278  
Hyundai Motor Co., Ltd., 4.07% (South Korea)     3,372       266,609  
Itausa – Investimentos Itau SA, 5.96% (Brazil)     78,985       200,109  

26


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Schedule of Investments* December 31, 2016 

   
     Number
of Shares
  Value
Marcopolo SA, 4.42% (Brazil)     43,544     $ 36,681  
Porsche Automobil Holding SE, 1.90% (Germany)     6,587       358,079  
Samsung Electronics Co., Ltd., 1.46% (South Korea)     2,385       2,804,522  
Samsung SDI Co., Ltd., 1.91% (South Korea) (a)     380       17,169  
Sberbank of Russia PJSC, 1.46% (Russia)     188,243       398,691  
Volkswagen AG, 0.12% (Germany)     5,305       743,243  
Total Preferred Stocks
(Cost $12,949,589)
             14,200,910  

   
  Number
of Contracts
  Value
Purchased Option Contracts — 0.0%
 
Puts — 0.0%
 
Dynavax Technologies Corp. Strike Price $12.00, Expiring 01/20/17 (United States)
(Cost $202,544)
    38,000     $ 266,000  

   
  Number
of Units
  Value
Disputed Claims Receipt — 0.0%
 
AMR Corp. (a) (c) (f)
(Cost $0)
    260,322     $ 471,183  

   
  Principal Amount   Value
Short-Term Investments — 17.9%
 
Repurchase Agreement — 7.6%
 
Fixed Income Clearing Corp. issued on 12/30/16 (proceeds at maturity $315,430,688) (collateralized by US Treasury Notes, due 04/30/17 through 01/31/21 with a total par value of $322,450,000 and a total market value of$321,744,360)
0.030%, 01/03/17
 
(Cost $315,429,637)   $ 315,429,637     $ 315,429,637  
US Treasury Bills (g) — 10.3%
 
US Treasury Bill, due on 01/12/17     90,000,000       89,989,770  
US Treasury Bill, due on 01/19/17 (i)     75,000,000       74,984,454  
US Treasury Bill, due on 03/30/17 (i)     40,000,000       39,952,800  
US Treasury Bill, due on 04/13/17 (i)     100,000,000       99,851,400  
US Treasury Bill, due on 04/20/17 (h) (i)     20,000,000       19,968,280  
US Treasury Bill, due on 04/27/17 (i)     50,000,000       49,914,900  
US Treasury Bill, due on 05/11/17 (h) (i)     50,000,000       49,894,900  
Total US Treasury Bills
(Cost $424,595,783)
             424,556,504  
Total Short-Term Investments
(Cost $740,025,420)
             739,986,141  
Total Investments — 99.0%
(Cost $3,935,276,657)
             4,085,935,055  
Other Assets in Excess of Liabilities — 1.0%              41,043,478  
Net Assets — 100.0%            $ 4,126,978,533  

  

Financial Futures Contracts

       
Number of Contracts   Type   Initial Notional Value/(Proceeds)   Notional Value at December 31, 2016   Unrealized Appreciation/ (Depreciation)
    Long Financial Futures Contracts                             
       Equity-Related                             
716     March 2017 S&P 500 e-Mini Index     $ 80,890,392     $ 80,055,960     $ (834,432 ) 
       Short Financial Futures Contracts                             
       Foreign Currency-Related                             
(944)     March 2017 Japanese Yen       (102,322,936 )      (101,444,600 )      878,336  
                       $ 43,904  

Forward Currency Contracts

       
Contract Settlement Date   Counterparty   Contract Amount   Unrealized Appreciation
  Receive   Deliver
11/17/2017     Goldman Sachs International       USD  21,000,000       CNH  148,081,500     $ 722,482  
11/17/2017     Goldman Sachs International       USD   6,000,000       CNH   43,620,000       26,902  
                       $ 749,384  

27


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Schedule of Investments* December 31, 2016 

Swap Contracts

           
Expiration
Date
  Counterparty   Pay   Receive   Currency   Notional Amount   Unrealized
Appreciation/
(Depreciation)
Total Return Swap Contracts
                                   
Long Total Return Swap Contracts
                                   
07/02/2018     Morgan Stanley
Capital Services LLC
      1 Month LIBOR plus a specified spread       Alphas Managed Accounts
Platform LXII Limited – KCP
Segregated Portfolio
      USD     $ 177,513,124     $ 2,020,020  
07/02/2018     Morgan Stanley
Capital Services LLC
      1 Month LIBOR plus a specified spread       Alphas Managed Accounts
Platform LXIII Limited – KGCP
Segregated Portfolio
      USD       66,694,593       2,207,489  
07/30/2018     Morgan Stanley
Capital Services LLC
      1 Month LIBOR plus a specified spread       Alphas Managed Accounts
Platform LXVI
Limited – Welton QEP
Segregated Portfolio
      USD       45,748,815       (947,111 ) 
07/30/2018     Morgan Stanley
Capital Services LLC
      1 Month LIBOR plus a specified spread       Alphas Managed Accounts
Platform LXV Limited – Clinton Quantitative Segregated Portfolio
      USD       82,728,180       (4,236,240 ) 
                                   $ (955,842 ) 

 
 
ADR   American Depositary Receipt
ASE   American Stock Exchange
BATS   Better Alternative Trading System
CNH   Yuan Renminbi Offshore
CVA   Certification Van Aandelen
EN   Euronext
ENT   Entitlement Shares
ETF   Exchange-Traded Fund
FTSE   Financial Times Stock Exchange
GDR   Global Depositary Receipt
ISE   Italian Stock Exchange
JSE   Johannesburg Stock Exchange
LIBOR   London Interbank Offered Rate
LSE   London Stock Exchange

 
 
MOEX   Moscow Exchange
MTF   Multilateral Trading Facility
NYSE   New York Stock Exchange
OTC   Over-the-Counter
PDR   Philippine Depositary Receipt
REIT   Real Estate Investment Trust
SEHK   Stock Exchange of Hong Kong
SPADR   Sponsored ADR
SPGDR   Sponsored GDR
TSX   Toronto Stock Exchange
UNIT   A security with an attachment to buy shares, bonds, or other types of securities at a specific price before a predetermined date.
USD   US Dollar

 

* Approximately 5% of the fund's total investments are maintained to cover “senior securities transactions” which may include, but are not limited to forwards, TBAs, options, and futures. These securities are marked-to-market daily and reviewed against the value of the fund's “senior securities” holdings to maintain proper coverage for the transactions.
(a) Non income-producing security.
(b) Security exempt from registration under Regulation S of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to investors outside the United States.
(c) Security is valued in good faith under procedures established by the board of trustees. The aggregate amount of securities fair valued amounts to $664,445,259, which represents 16.1% of the fund's net assets.
(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. These securities have been determined to be liquid in accordance with procedures approved by the board of trustees.
(e) Portfolio holdings information of the Private Investment Funds is not available as of December 31, 2016. These positions are therefore grouped into their own industry classification.

28


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Schedule of Investments* December 31, 2016 
(f) Restricted Securities. The following restricted securities were held by the fund as of December 31, 2016, 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. The fund will bear any costs incurred in connection with the disposition of such securities. The fund monitors the acquisition of restricted securities and, to the extent that a restricted security is illiquid, will limit the purchase of such a restricted security, together with other illiquid securities held by the fund, to no more than 15% of the fund's net assets. All of the below securities are illiquid, with the exception of Canyon Value Realization Fund, LP. TIP’s valuation committee has deemed 10% of Canyon Value Realization Fund, LP to be illiquid in accordance with procedures approved by the TIP board of trustees. The below list does not include securities eligible for resale without registration pursuant to Rule 144A under the Securities Act of 1933 that may also be deemed restricted.

       
Private Investment Funds   Investment Strategy   Date of
Acquisition
  Cost   Value
Adage Capital Partners, LP     US Equity       07/01/16     $ 40,000,000     $ 43,086,288  
Canyon Value Realization Fund, LP     Multi-Strategy       12/31/97 – 04/03/06       23,797,935       79,525,266  
Convexity Capital Offshore, LP     Relative Value       02/16/06 – 04/01/13       52,029,177       38,255,536  
Cumulus Fund, Ltd.     Commodities-Weather       09/01/16 – 12/01/16       45,000,000       38,345,663  
Farallon Capital Institutional Partners, LP     Multi-Strategy       01/01/13       2,984,147       3,891,891  
GSA Trend Fund, Ltd.     Trend Following       09/01/16 – 12/01/16       55,000,000       53,882,921  
Honeycomb Partners, LP     Long-Short Global       07/01/16 – 09/01/16       40,000,000       41,135,010  
Hudson Bay International, Ltd.     Relative Value       07/01/14       67,505,838       66,850,693  
Lansdowne Developed Markets Fund, Ltd.     Long-Short Global       06/01/06 – 04/01/13       88,096,421       132,834,609  
Latimer Light Partners, LP     Long-Short Global       10/01/15 – 01/01/16       50,000,000       47,341,856  
Man AHL Short Term Trading Limited     Currency Trading       08/01/16       20,000,000       20,052,126  
OZ Domestic Partners, LP     Multi-Strategy       09/30/03       782,078       370,453  
QVT Roiv Hldgs Onshore, Ltd.     Multi-Strategy       01/05/16       3,114,245       2,377,608  
Soroban Cayman Fund, Ltd.     Long-Short Global       07/01/16 – 10/01/16       37,500,000       40,161,261  
                                  608,111,181  
Disputed Claims Receipt
                                   
AMR Corp.           12/09/13             471,183  
Total (14.8% of Net Assets)                     $ 608,582,364  
(g) Treasury bills and discount notes do not pay interest, but rather are purchased at a discount and mature at the stated principal amount.
(h) Security or a portion thereof is pledged as initial margin for financial futures contracts.
(i) Security or a portion thereof is pledged collateral for swap contracts.

See accompanying Notes to Financial Statements.

29


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund  
 Statement of Assets and Liabilities

 
  December 31, 2016
Assets
        
Investments in securities, at value (cost: $3,619,847,020)   $ 3,770,505,418  
Repurchase agreements (cost: $315,429,637)     315,429,637  
Total investments (cost: $3,935,276,657)     4,085,935,055  
Advance purchase of investments     28,500,000  
Cash denominated in foreign currencies (cost: $11,858,927)     11,352,030  
Swap contracts, at value     4,227,509  
Unrealized appreciation on forward currency contracts     749,384  
Receivables:
        
Investment securities sold     33,384,483  
Capital stock sold     79,729  
Dividends and tax reclaims     3,553,328  
Interest     1,033,021  
Prepaid expenses     90,923  
Total Assets     4,168,905,462  
Liabilities
        
Cash overdraft     201,272  
Swap contracts, at value     5,183,351  
Due to broker for futures variation margin     277,320  
Foreign currencies sold short, at value (proceeds $403)     400  
Payables:
        
Capital stock redeemed     15,945,821  
Money manager fees     9,291,752  
Investment securities purchased     7,915,682  
Accrued expenses and other liabilities     2,273,521  
Investment advisory and administrative fees     837,810  
Total Liabilities     41,926,929  
Net Assets   $ 4,126,978,533  
Shares Outstanding (unlimited authorized shares, par value $0.001)     292,338,777  
Net Asset Value Per Share   $ 14.12  
Net Assets Consist of:
        
Capital stock   $ 4,182,573,857  
Distributions in excess of net investment income     (136,198,172 ) 
Accumulated net realized loss on investments     (68,981,698 ) 
Net unrealized appreciation on investments, derivatives, and foreign currencies     149,584,546  
  $ 4,126,978,533  

See accompanying Notes to Financial Statements.

30


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund  
 Statement of Operations

 
  Year Ended December 31, 2016
Investment Income
        
Dividends (net of foreign withholding taxes of $3,652,652)   $ 63,076,879  
Interest     7,494,007  
Other income     103,114  
Total Investment Income     70,674,000  
Expenses
        
Money manager fees     21,884,106  
Investment advisory fees     9,393,392  
Fund administration fees     5,349,694  
Dividends and interest on securities sold short     1,050,939  
Administrative fees     888,155  
Professional fees     559,371  
Chief compliance officer fees     209,062  
Miscellaneous fees and other     406,667  
Total Expenses     39,741,386  
Net Investment Income     30,932,614  
Net Realized Gain (Loss) from:
        
Investments (net of foreign withholding taxes on capital gains of $335,081)     122,676,618  
Securities sold short     (5,894,315 ) 
Swap contracts     (22,893,541 ) 
Financial futures contracts     2,216,441  
Forward currency contracts and foreign currency-related transactions     (3,164,716 ) 
Options written     1,643,756  
Net Realized Gain     94,584,243  
Net Change in Unrealized Appreciation (Depreciation) on Investments, Derivatives, and
Foreign Currencies
    57,084,881  
Net Realized and Unrealized Gain on Investments, Derivatives, and Foreign Currencies     151,669,124  
Net Increase in Net Assets Resulting from Operations   $ 182,601,738  

See accompanying Notes to Financial Statements.

31


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund  
 Statements of Changes in Net Assets

   
  Year Ended
December 31, 2016
  Year Ended
December 31, 2015
Increase (Decrease) in Net Assets From Operations
                 
Net investment income   $ 30,932,614     $ 37,089,742  
Net realized gain (loss) on investments, derivatives, and foreign currencies     94,584,243       155,972,579  
Net change in unrealized appreciation (depreciation) on investments, derivatives, and foreign currencies     57,084,881       (273,492,937 ) 
Net Increase (Decrease) in Net Assets Resulting from Operations     182,601,738       (80,430,616 ) 
Distributions
                 
From net investment income     (13,850,820 )      (70,719,253 ) 
From net realized gains     (87,100,676 )      (171,416,627 ) 
Return of capital     (121,495,664 )      (33,800,548 ) 
Decrease in Net Assets Resulting from Distributions     (222,447,160 )      (275,936,428 ) 
Capital Share Transactions
                 
Proceeds from shares sold     86,206,165       193,844,603  
Proceeds from distributions reinvested     115,173,284       165,935,356  
Entry/exit fees     4,779,031       5,615,932  
Cost of shares redeemed     (877,022,191 )      (928,658,898 ) 
Net Decrease From Capital Share Transactions     (670,863,711 )      (563,263,007 ) 
Total Decrease in Net Assets     (710,709,133 )      (919,630,051 ) 
Net Assets
                 
Beginning of year     4,837,687,666       5,757,317,717  
End of year   $ 4,126,978,533     $ 4,837,687,666  
Including distributions in excess of net investment income   $ (136,198,171 )    $ (139,286,384 ) 
Capital Share Transactions (in shares)
                 
Shares sold     6,007,010       12,539,747  
Shares reinvested     8,135,478       11,398,382  
Shares redeemed     (61,171,510 )      (60,665,002 ) 
Net Decrease     (47,029,022 )      (36,726,873 ) 

See accompanying Notes to Financial Statements.

32


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund  
 Statement of Cash Flows

 
  Year Ended
December 31, 2016
Cash flows provided by (used in) operating activities
        
Net increase (decrease) in net assets resulting from operations   $ 182,601,738  
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
        
Investments purchased     (2,334,822,921 ) 
Investments sold     3,664,745,227  
Purchases to cover securities sold short     (126,843,018 ) 
Securities sold short     26,123,392  
(Purchase)/Sale of short term investments, net     (449,124,887 ) 
Amortization (accretion) of discount and premium, net     (453,583 ) 
Change in swap contracts, at value     526,768  
(Increase)/decrease in advance purchase of investments     (28,500,000 ) 
(Increase)/decrease in deposit with brokers for securities sold short     69,620,640  
(Increase)/decrease in due from broker for futures variation margin     (1,283,917 ) 
(Increase)/decrease in unrealized appreciation on forward currency contracts     (749,384 ) 
(Increase)/decrease in interest receivable     228,024  
(Increase)/decrease in receivable for dividends and tax reclaims     2,383,887  
(Increase)/decrease in prepaid expenses     (23,176 ) 
Increase/(decrease) in payable for foreign currencies sold short     (28,892,009 ) 
Increase/(decrease) in payable for money manager fees     2,642,523  
Increase/(decrease) in dividends and interest for securities sold short     (442,031 ) 
Increase/(decrease) in accrued expenses and other liabilities     447,674  
Increase/(decrease) in payable for investment advisory and administrative fees     (126,580 ) 
Net realized (gain) loss from investments     (122,676,618 ) 
Net realized (gain) loss from securities sold short     5,894,315  
Net change in unrealized (appreciation) depreciation on investments     (54,973,605 ) 
Net cash provided by (used in) operating activities     806,302,459  
Cash flows provided by (used in) financing activities
        
Increase (decrease) in cash overdraft     201,272  
Distributions paid to shareholders     (107,273,876 ) 
Proceeds from shares sold     86,646,712  
Payment for shares redeemed     (856,817,615 ) 
Net cash provided by (used in) financing activities     (877,243,507 ) 
Net increase (decrease) in cash     (70,941,048 ) 
Cash at beginning of year     82,293,078  
Cash at end of year   $ 11,352,030  
Non cash financing activities not included herein consist of reinvestment of distributions of:   $ 115,173,284  
Cash paid for interest expense on securities sold short:   $ 24,508  

See accompanying Notes to Financial Statements.

33


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Notes to Financial Statements December 31, 2016 

1.  Organization

TIFF Investment Program (“TIP”) is a no-load, open-end management investment company that seeks to improve the net investment returns of its members through two investment vehicles, each with its own investment objective and policies. TIP was originally incorporated under Maryland law on December 23, 1993, and was reorganized, effective December 16, 2014, as a Delaware statutory trust. As of December 31, 2016, TIP consisted of two mutual funds, TIFF Multi-Asset Fund (“MAF” or the “fund”) and TIFF Short-Term Fund, each of which is diversified, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). The financial statements and notes presented here relate only to MAF.

Investment Objective

The fund’s investment objective is to attain a growing stream of current income and appreciation of principal that at least offset inflation.

2.  Summary of Significant Accounting Policies

The fund operates as a diversified investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services — Investment Companies.

The preparation of financial statements in conformity with US generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets 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

Generally, the following valuation policies are applied to securities for which market quotations are readily available. Securities listed on a securities exchange or traded on the National Association of Securities Dealers National Market System (“NASDAQ”) for which market quotations are readily available are valued at their last quoted sales price on the principal exchange on which they are traded or at the NASDAQ official closing price, respectively, 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, which consider such factors as security prices, yields, maturities, and ratings, and are deemed representative of market values at the close of the market. Over-the-counter (“OTC”) stocks not quoted on NASDAQ and foreign stocks that are traded OTC are normally valued at prices supplied by independent pricing services if those prices are deemed representative of market values at the close of the first session of the New York Stock Exchange. Short-term debt securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates fair value, and short-term debt securities having a remaining maturity of greater than 60 days are valued at their market value. Exchange-traded and OTC options and futures contracts are valued at the last posted 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 short futures and written option sales contracts). Forward foreign currency exchange contracts are valued at their respective fair market values. 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. The fund has established a pricing hierarchy to determine the order of pricing sources utilized in valuing its portfolio holdings. The pricing hierarchy has been approved by the TIP board of trustees (the “board”).

The fund employs a fair value model to adjust prices to reflect 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 OTC markets) and the time at which the net asset value of the fund is determined. If the TIP Valuation Committee believes that a particular event would materially affect net asset value, further adjustment is considered.

MAF invests in private investment funds that pursue certain alternative investment strategies. Private investment fund interests held by MAF are generally securities for which market quotations are not readily available. Rather, such interests generally can be sold back to the private investment fund only at specified intervals or on specified dates. The board has approved valuation procedures pursuant to which MAF values its

34


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Notes to Financial Statements December 31, 2016 

interests in private investment funds at “fair value.” If a private investment fund does not provide a value to MAF on a timely basis, MAF determines the fair value of that private investment fund based on the most recent estimated value provided by the management of the private investment fund, as well as any other relevant information reasonably available at the time MAF values its portfolio including, for example, total returns of indices or exchange-traded funds that track markets to which the private investment fund may be exposed. The fair values of the private investment funds 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. Fair value is intended to represent a good faith approximation of the amount that MAF could reasonably expect to receive from the private investment fund if MAF’s interest in the private investment fund was sold at the time of valuation, based on information reasonably available at the time valuation is made and that MAF believes is reliable.

Securities for which market quotations are not readily available or for which available prices are deemed unreliable are valued at their fair value as determined in good faith under procedures established by the board. Such procedures use fundamental valuation methods, which may 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 the recorded fair value and the value that would be received in a sale could be significant.

Fair value is defined as the price that the fund could reasonably expect to receive upon selling an asset or pay to transfer a liability in a timely transaction to an independent buyer in the principal or most advantageous market for the asset or liability, respectively. A three-tier hierarchy is utilized to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

Level 1 — quoted prices in active markets for identical assets and liabilities

Level 2 — other significant observable inputs (including quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 — significant unobservable inputs (including the fund’s own assumptions in determining the fair value of assets and liabilities)

35


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Notes to Financial Statements December 31, 2016 

The following is a summary of the inputs used as of December 31, 2016 in valuing the fund’s assets and liabilities carried at fair value:

TIFF Multi-Asset Fund

       
Valuation Inputs   Level 1   Level 2   Level 3   Total
Assets                    
Common Stocks*+   $ 1,000,440,828     $ 1,096,108,795     $     $ 2,096,549,623  
Participation Notes           37,009,418             37,009,418  
Warrants     4,958,358       14,280             4,972,638  
US Treasury Bonds/Notes     428,224,753                   428,224,753  
Exchange-Traded Funds and Mutual Funds     154,332,940                   154,332,940  
Private Investment Funds                 608,111,181       608,111,181  
Publicly Traded Limited Partnerships     1,810,268                   1,810,268  
Preferred Stocks*           14,200,910             14,200,910  
Purchased Options     266,000                   266,000  
Disputed Claims Receipt                 471,183       471,183  
Short-Term Investments     739,986,141                   739,986,141  
Total Investments in Securities     2,330,019,288       1,147,333,403       608,582,364       4,085,935,055  
Financial Futures Contracts – Foreign Currency Risk     878,336                   878,336  
Swap Contracts – Equity Risk                 4,227,509       4,227,509  
Forward Currency Contracts – Foreign Currency Risk           749,384             749,384  
Total Assets   $ 2,330,897,624     $ 1,148,082,787     $ 612,809,873     $ 4,091,790,284  
 
Liabilities
                                   
Financial Futures Contracts – Equity Risk     (834,432 )                  (834,432 ) 
Swap Contracts – Equity Risk                 (5,183,351 )      (5,183,351 ) 
Total Liabilities   $ (834,432)     $     $ (5,183,351)     $ (6,017,783)  
* Securities categorized as Level 2 primarily include listed foreign equities whose values have been adjusted with factors to reflect changes to foreign markets after market close.
+ There are securities in this category that have a market value of zero and are categorized as Level 3.

During the year ended December 31, 2016, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the fund. This does not include transfers between Level 1 investments and Level 2 investments due to the fund utilizing international fair value pricing during the period. In accordance with the fair valuation procedures described earlier within Note 1, international fair value pricing of securities occurs on certain portfolio securities when available. International fair value pricing uses other observable market-based inputs in place of the closing exchange price due to the events occurring after the close of the exchange or market on which the investment is principally traded, causing a change in classification between levels. The fund recognizes transfers into and transfers out of the valuation levels at the beginning of the reporting period.

The following is a reconciliation of investments in securities for which significant unobservable inputs (Level 3) were used in determining value:

             
Investments in Securities   Balance as of December 31, 2015   Realized
Gain (Loss)
  Change in
Unrealized
Appreciation
(Depreciation)
  Purchases   Sales   Balance as of
December 31,
2016
  Net Change in
Unrealized
Appreciation
(Depreciation)
from Investments
still held as of
12/31/16 for the
period ended
12/31/16
Common Stocks*   $     $     $     $     $     $     $  
Disputed Claims Receipt     426,928             44,255                   471,183       44,255  
Private Investment Funds     855,166,550       59,336,034       (78,031,446 )      250,614,245       (478,974,202 )      608,111,181       (87,840,136 ) 
Swap Contracts           (22,315,288 )      (955,842 )      4,431,682,803       (4,409,367,515 )      (955,842 )      (955,842 ) 
Total   $ 855,593,478     $ 37,020,746     $ (78,943,033)     $ 4,682,297,048     $ (4,888,341,717)     $ 607,626,522     $ (88,751,723)  
* There are Common Stocks categorized as Level 3 that have a market value of zero.

36


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Notes to Financial Statements December 31, 2016 

Securities designated as Level 3 in the fair value hierarchy are valued using methodologies and procedures established by the board, and the TIP Valuation Committee, which was established to serve as an agent of the board. Management is responsible for the execution of these valuation procedures. Transfers to/from, or additions to, Level 3 require a determination of the valuation methodology, including the use of unobservable inputs, by the TIP Valuation Committee.

The TIP Valuation Committee meets no less than quarterly to review the methodologies and significant unobservable inputs currently in use, and to adjust the pricing models as necessary. Any adjustments to the pricing models are documented in the minutes of the TIP Valuation Committee meetings, which are provided to the board on a quarterly basis.

The following is a summary of the procedures and significant unobservable inputs used in Level 3 investments:

Common Stocks, Corporate Bonds, and Disputed Claims Receipt.  Securities for which market quotations are not readily available or for which available prices are deemed unreliable are valued at their fair value as determined in good faith under procedures established by the board. Such procedures use fundamental valuation methods, which may include, but are not limited to, an 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. On a quarterly basis, the TIP Valuation Committee reviews the valuations in light of current information available about the issuer, security, or market trends to adjust the pricing models, if deemed necessary.

Swap Contracts.  Swap Contracts held are comprised of a basket of underlying marketable investments which the fund may generate a return based on the returns on the fair values of the underlying investments. The adjusted fair value of the net assets within the underlying basket is valued daily by the administrator of a special purpose vehicle (SPV) created by Morgan Stanley Capital Services LLC, the swap counterparty. The TIP Valuation Committee agreed to value per the reporting valuation provided by the administrator and will continue to monitor this valuation.

Private Investment Funds.  Private investment funds are valued at fair value using net asset values received on monthly statements, adjusted for the most recent estimated value or performance provided by the management of the private investment fund. In most cases, values are adjusted further by the total returns of indices or exchange-traded funds that track markets to which the private investment fund is fully or partially exposed, as determined by the TIP Valuation Committee upon review of information provided by the private investment fund. On a quarterly basis, the TIP Valuation Committee compares the valuations as determined by the pricing models at each month-end during the quarter to statements provided by management of the private investment funds in order to recalibrate the market exposures, the indices, or exchange-traded funds used in the pricing models as necessary.

The valuation techniques and significant observable inputs used in recurring Level 3 fair value measurements of assets were as follows:

         
As of December 31, 2016   Fair Value   Valuation
Methodology
  Significant
Unobservable Inputs
  Range   Weighted
Average
Common Stocks   $       Last market price       Discount(%)       100%       100%  
Disputed Claims Receipt     471,183       Corporate action model       Future claim awards              
Swap Contracts     (955,842 )      Broker quote       Adjusted net
asset value
             
Private Investment Funds     608,111,181       Adjusted net asset value       Manager estimates       (10.41)% – 3.59%       0.07%  
                         Market returns*       (10.75)% – 0.12%       (0.29)%  
* Weighted by estimated exposure to chosen indices or exchange-traded funds.

The following are descriptions of the sensitivity of the Level 3 recurring fair value measurements to changes in the significant unobservable inputs presented in the table above:

Common Stocks and Disputed Claims Receipt.  The methodology and unobservable inputs in the above chart reflect the methodology and significant unobservable inputs of securities held at period ended December 31,

37


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Notes to Financial Statements December 31, 2016 

2016. The discount for lack of marketability used to determine fair value may include other factors such as liquidity or credit risk. An increase (decrease) in the discount would result in a lower or higher fair value measurement.

Private Investment Funds.  The range of manager estimates and market returns reflected in the above chart identify the range of estimates and returns used in valuing the private investment funds at period ended December 31, 2016. A significant increase (decrease) in the estimates received from the manager of the private investment funds would result in a significantly higher (lower) fair value measurement. A significant increase (decrease) in the market return weighted by estimated exposures to chosen indices would result in a significantly higher or lower fair value measurement.

The table below details the fund’s ability to redeem from private investment funds that are classified as Level 3 assets. The private investment funds in this category generally impose a “lockup” or “gating” provision, which may restrict the timing, amount, or frequency of redemptions. All or a portion of the interests in these privately offered funds generally are deemed to be illiquid.

     
    Fair Value   Redemption Frequency   Redemption Notice Period
US Equity (a)   $ 43,086,288       quarterly       60 days  
Multi-Strategy (b)     86,165,218       daily (92%)       2 days  
Long-Short Global (c)     261,472,736       monthly (51%),
quarterly (16%),
semi-annually (15%),
3 year rolling (18%)
      45 – 90 days  
Relative Value (d)     105,106,229       quarterly
      65 – 90 days  
Commodities – Weather (e)     38,345,663       monthly       30 days  
Trend Following (f)     53,882,921       daily       2 days  
Currency Trading (g)     20,052,126       daily       30 days  
Total   $ 608,111,181                    
(a) This strategy primarily comprises long positions in US common stock.
(b) This strategy primarily comprises capital allocated to various strategies based on risk and return profiles. This strategy includes $6,639,952 of redemption residuals that are illiquid.
(c) This strategy primarily comprises long and short positions in global common stocks.
(d) This strategy primarily seeks to exploit price differences between similar securities through both long and short positions.
(e) This strategy primarily comprises long and short positions in commodity related instruments, with a key input being weather forecasts.
(f) This strategy primarily comprises long and short investments in commodity, equity index, currency, and fixed income futures, based on trailing price movements.
(g) This strategy primarily comprises long and short positions in currency pairs.

Investment Transactions and Investment Income

Securities transactions are recorded on the trade date (the date on which the buy or sell order is executed) for financial reporting purposes. Interest income and expenses are recorded on an accrual basis. The fund accretes discounts or amortizes premiums using the yield-to-maturity method on a daily basis, except for mortgage-backed securities that record paydowns. The fund recognizes paydown gains and losses for such securities and reflects them in investment income. Inflation (deflation) adjustments on inflation-protected securities are included in interest 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 fund, using reasonable diligence, becomes aware of such dividends. Non-cash dividends, if any, are recorded at the fair market value of the securities received. The fund uses 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 the 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

38


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Notes to Financial Statements December 31, 2016 

Revenue Code of 1986, as amended (the “Code”), applicable to RICs and to distribute substantially all of its taxable income. The fund may be subject to foreign taxes on income, gains on investments, or currency repatriation. The fund accrues such taxes, as applicable, as a reduction of the related income and realized and unrealized gain as and when such income is earned and gains are recognized.

The fund evaluates tax positions taken or expected to be taken in the course of preparing the fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authorities. Tax positions not deemed to meet the more-likely-than-not threshold are recorded as tax benefits or expenses in the current year. Management has analyzed the fund’s tax positions taken or to be taken on federal income tax returns for all open tax years (tax years ended December 31, 2013 –  December 31, 2016), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

Expenses

Expenses directly attributable to MAF are charged to the fund’s operations; expenses that are applicable to all TIP funds are allocated based on the relative average daily net assets of each TIP fund.

Dividends to Members

It is the fund’s policy to declare dividends from net investment income quarterly and distributions from capital gains at least annually.

MAF has adopted a managed distribution policy that aims, on a best efforts basis, to distribute approximately 5% of the fund’s 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 the fund, if any, are normally declared and paid in December, but the fund may make distributions on a more frequent basis in accordance with the distribution requirements of the 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.

Foreign Currency Translation

The books and records of the fund 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 into US dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date;
(ii) purchases and sales of investments, income, and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions.

The resulting net realized and unrealized foreign currency gain or loss is included in the Statement of Operations.

The fund does 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 fund does 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 an 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.

39


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Notes to Financial Statements December 31, 2016 

Net Asset Value

The net asset value per share is calculated on a daily basis by dividing the assets of the fund, less its liabilities, by the number of outstanding shares of the fund.

3.  Derivatives and Other Financial Instruments

During the year ended December 31, 2016, the fund invested in derivatives, such as but not limited to futures, currency forwards, purchased and written options, and total return swaps for hedging, liquidity, index exposure, and active management strategies. Derivatives are used for “hedging” when TIFF Advisory Services, Inc. (“TAS”) or a money manager seeks to protect the fund’s investments from a decline in value. Derivative strategies are also used when TAS or a money manager seeks to increase liquidity, implement a cash management strategy, invest in a particular stock, bond or segment of the market in a more efficient or less expensive way, modify the effective duration of the fund’s portfolio investments and/or for purposes of total return. Depending on the purpose for which the derivative instruments are being used, the successful use of derivative instruments may depend on, among other factors, TAS’s or the money manager’s general understanding of how derivative instruments act in relation to referenced securities or markets but also on market conditions, which are out of control of TAS or the money manager.

Cover for Strategies Using Derivative Instruments

Transactions using derivative instruments, including futures contracts, written options and swaps, expose the fund to an obligation to another party and may give rise to a form of leverage. It is the fund’s policy to segregate assets to cover derivative transactions that might be deemed to create leverage under Section 18 of the 1940 Act. In that regard, the fund will not enter into any such transactions unless it has covered such transactions by owning and segregating either (1) an offsetting (“covered”) position in securities, currencies, or other derivative instruments or (2) cash and/or liquid securities with a value sufficient at all times to cover its potential obligations to the extent not covered as provided in (1) above. When the fund is required to segregate cash or liquid securities, it will instruct its custodian as to which cash holdings or liquid assets are to be marked on the books of the fund or its custodian as segregated for purposes of Section 18 of the 1940 Act. The fund will monitor the amount of these segregated assets on a daily basis and will not enter into additional transactions that would require the segregation of cash or liquid securities unless the fund holds a sufficient amount of cash or liquid securities that can be segregated.

Financial Futures Contracts

The fund may use futures contracts, generally in one of three ways: (1) to gain exposures, both long and short, to the total returns of broad equity indices, globally; (2) to gain exposures, both long and short, to the returns of non-dollar currencies relative to the US dollar; and (3) to manage the duration of the fund’s fixed income holdings to targeted levels. While trades here may be opportunistic in order to rebalance or otherwise adjust the fund’s exposures, generally the fund’s holdings of futures at the end of the year are indicative of the types, number, and magnitude of positions held throughout the year.

Futures contracts involve varying degrees of risk. Such risks include the imperfect correlation between the price of a derivative and that of the underlying security and the possibility of an illiquid secondary market for these securities. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instrument at a set price for delivery at a future date. At the time a futures contract is purchased or sold, the fund must allocate cash or securities as a deposit payment (“initial margin”). An outstanding futures contract is valued daily, and the payment in cash of “variation margin” will be required, a process known as “marking to the market.” Each day, the fund will be required to provide (or will be entitled to receive) variation margin in an amount equal to any decline (in the case of a long futures position) or increase (in the case of a short futures position) in the contract’s value since the preceding day. The daily variation margin is recorded as a receivable or payable on the Statement of Assets and Liabilities. When the contracts are closed, a realized gain or loss is recorded as net realized gain (loss) from financial futures contracts in the Statement of Operations, equal to the difference between the opening and closing values of the contracts.

US futures contracts have been designed by exchanges that have been designated as “contract markets” by the Commodity Futures Trading Commission and such contracts must be executed through a futures

40


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Notes to Financial Statements December 31, 2016 

commission merchant or brokerage firm that is a member of the relevant contract market. Futures contracts may trade on a number of exchange markets, and through their clearing corporations, the exchanges guarantee performance of the contracts as between the clearing members of the exchange, thereby reducing the risk of counterparty default. Securities designated as collateral for market value on futures contracts are noted in the Schedule of Investments.

Swap Contracts

The fund may use swaps and generally uses them in the following ways: (1) to gain exposures, both long and short, to the total returns of broad equity indices (2) to gain exposure, both long and short, to the total returns of individual stocks and bonds and (3) to gain long-term exposures to the total returns of selected investment strategies. While swaps falling into the first and third categories are often held for multiple quarters, if not years, swaps in the second category can at times be held for shorter time periods or adjusted frequently based on the managers’ evolving views of the expected risk/reward of the trade.

At year-end 2015, the fund held four total return equity swaps with total notional value of approximately $3 million. During the first quarter of 2016, the fund terminated its use of these swaps. In the second half of the year, the fund entered into four swap contracts in order to indirectly gain exposure to the investment strategies of selected investment advisors. Morgan Stanley Capital Services LLC as the counterparty, MAF entered into a total return swap with respect to each investment strategy to which it sought exposure. Under each swap, MAF receives the return (or pays , if the return is negative) of a special purpose vehicle that invests in accordance with the applicable strategy and pays one-month Libor + an additional interest rate. The four strategies held at year end are described below.

Kynikos Capital Partners (KCP):

The typical portfolio construction is a US focused long-short portfolio. The long portfolio is passive equity exposure (primarily S&P 500, S&P 400, and Russell 2000) and the short portfolio is security-specific positions selected by the manager.

Kynikos Global Capital Partners (KCGP):

Typical portfolio construction is Global looking long-short portfolio. The long portfolio is passive equity exposure (primarily MSCI ACWI and MSCI USA) and the short portfolio is security-specific positions selected by the manager.

Welton Global Quantitative Equity Portfolio (Welton QEP):

The typical portfolio construction is a market neutral statistical arbitrage strategy in which computers attempt to identify and take advantage of small mispricings between stocks across North America and Europe.

Clinton Equity Strategies (CES):

The typical portfolio construction is a market neutral statistical arbitrage strategy in which computers attempt to identify and take advantage of small mispricings between stocks across North America, Latin America, Europe and Asia.

Generally, swap agreements are contracts between a fund and another party (the swap counterparty) involving the exchange of payments on specified terms over periods ranging from a few days to multiple years. A swap agreement may be negotiated bilaterally and traded OTC between the two parties (for an uncleared swap) or, in some instances, must be transacted through a Futures Commission Merchant and cleared through a clearinghouse that serves as a central counterparty (for a cleared swap). In a basic swap transaction, the fund agrees with the swap counterparty to exchange the returns (or differentials in rates of return) and/or cash flows earned or realized on a particular “notional amount” or value of predetermined underlying reference instruments. The notional amount is the set dollar or other value selected by the parties to use as the basis on which to calculate the obligations that the parties to a swap agreement have agreed to exchange. The parties typically do not actually exchange the notional amount. Instead they agree to exchange the returns that would be earned or realized if the notional amount were invested in given investments or at given interest rates. Examples of returns that may be exchanged in a swap agreement are those of a particular security, a particular fixed or variable interest rate, a particular non-US currency, or a “basket” of securities representing a particular index or portfolio of securities and other instruments. Swaps can also be based on credit and other events.

41


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Notes to Financial Statements December 31, 2016 

A fund will generally enter into swap agreements on a net basis, which means that the two payment streams that are to be made by the fund and its counterparty with respect to a particular swap agreement are netted out, with the fund receiving or paying, as the case may be, only the net difference in the two payments. The fund’s obligations (or rights) under a swap agreement that is entered into on a net basis will generally be the net amount to be paid or received under the agreement based on the relative values of the obligations of each party upon termination of the agreement or at set valuation dates. The fund will accrue its obligations under a swap agreement daily (offset by any amounts the counterparty owes the fund). If the swap agreement does not provide for that type of netting, the full amount of the fund’s obligations will be accrued on a daily basis.

Cleared swaps are subject to mandatory central clearing. Central clearing is designed to reduce counterparty credit risk and increase liquidity compared to bilateral swaps because central clearing interposes the central clearinghouse as the counterparty to each participant’s swap, but it does not eliminate those risks completely and may involve additional costs and risks not involved with uncleared swaps.

Upon entering into a swap agreement, the fund may be required to pledge to the swap counterparty an amount of cash and/or other assets equal to the total net amount (if any) that would be payable by the fund to the counterparty if the swap were terminated on the date in question, including any early termination payments. In certain circumstances, the fund may be required to pledge an additional amount, known as an independent amount, which is typically equal to a specified percentage of the notional amount of the trade. In some instances, the independent amount can be a significant percentage of the notional amount. Likewise, the counterparty may be required to pledge cash or other assets to cover its obligations to the fund, net of the independent amount, if any. However, the amount pledged may not always be equal to or more than the amount due to the other party. Therefore, if a counterparty defaults in its obligations to the fund, the amount pledged by the counterparty and available to the fund may not be sufficient to cover all the amounts due to the fund and the fund may sustain a loss. Other risks may apply if an independent amount has been posted.

The fund records a net receivable or payable for the amount expected to be received or paid in the period. Fluctuations in the value of swap contracts are recorded for financial statement purposes as unrealized appreciation (depreciation) on investments. The swap is valued at fair market value as determined by valuation models developed and approved in accordance with the fund’s valuation procedures. In addition, the fund could be exposed to risk if the counterparties are unable to meet the terms of the contract or if the value of foreign currencies change unfavorably to the US dollar.

Equity or Total Return Swaps.  An equity swap or total return swap is an agreement between two parties under which the parties agree to make payments to each other so as to replicate the economic consequences that would apply had a purchase or short sale of the underlying security taken place. For example, one party agrees to pay the other party the total return earned or realized on the notional amount of an underlying equity security and any dividends declared with respect to that equity security. Similarly, such payments may be based on the performance of an index or a portfolio of securities and other instruments. In return the other party would make payments, typically at a spread to a floating rate, calculated based on the notional amount.

Options

The fund generally uses options to hedge a portion (but not all) of the downside risk in its long or short equity positions and also opportunistically to generate total returns. The fund may also engage in writing options, for example, to express a long view on a security. When writing a put option, the risk to the fund is equal to the notional value of the position. The fund’s holdings of options in the first half of the year were consistent in type, number, and magnitude of positions held in the prior year. In the second half of the year, the fund gradually wound down its positions in options. Refer to written options table on page 43 for information on written option activity during the period.

Generally, an option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy a specified security, currency or other instrument (an “underlying instrument”) from the writer of the option (in the case of a call option), or to sell a specified security, currency, or other instrument to the writer of the option (in the case of a put option) at a designated price during the term of the option or at the expiration date of the option. Put and call options that the fund purchases may be traded on a national securities exchange or in the OTC market. All option positions entered into on a national securities exchange

42


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Notes to Financial Statements December 31, 2016 

are cleared and guaranteed by the Options Clearing Corporation, thereby reducing the risk of counterparty default. There can be no assurance that a liquid secondary market will exist for any option purchased.

As the buyer of a call option, the fund has a right to buy the underlying instrument (e.g., a security) at the exercise price at any time during the option period (for American style options) or at the expiration date (for European style options). The fund may enter into closing sale transactions with respect to call options, exercise them, or permit them to expire unexercised. As the buyer of a put option, the fund has the right to sell the underlying instrument at the exercise price at any time during the option period (for American style options) or at the expiration date (for European style options). Like a call option, the fund may enter into closing sale transactions with respect to put options, exercise them or permit them to expire unexercised. When buying options, the fund’s potential loss is limited to the cost (premium plus transaction costs) of the option.

As the writer of a put option, the fund retains the risk of loss should the underlying instrument decline in value. If the value of the underlying instrument declines below the exercise price of the put option and the put option is exercised, the fund, as the writer of the put option, will be required to buy the instrument at the exercise price. The fund will incur a loss to the extent that the current market value of the underlying instrument is less than the exercise price of the put option net of the premium received by the fund for the sale of the put option. If a put option written by the fund expires unexercised, the fund will realize a gain in the amount of the premium received. As the writer of a put option, the fund may be required to pledge cash and/or other liquid assets at least equal to the value of the fund’s obligation under the written put.

The fund may write “covered” call options, meaning that the fund owns the underlying instrument that is subject to the call, or has cash and/or liquid securities with a value at all times sufficient to cover its potential obligations under the option. When the fund writes a covered call option covered by the underlying instrument that is subject to the call, the underlying instruments that are held by the fund and are subject to the call option will be earmarked as segregated on the books of the fund or the fund’s custodian. A fund will be unable to sell the underlying instruments that are subject to the written call option until it either effects a closing transaction with respect to the written call, or otherwise satisfies the conditions for release of the underlying instruments from segregation, for example, by segregating sufficient cash and/or liquid assets necessary to enable the fund to purchase the underlying instrument in the event the call option is exercised by the buyer.

When the 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. These contracts may also involve market risk in excess of the amounts stated in the Statement of Assets and Liabilities. In addition, the fund could be exposed to risk if the counter-parties are unable to meet the terms of the contract or if the value of foreign currencies change unfavorably to the US dollar. 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 unexercised, 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.

For the year ended December 31, 2016, the fund had the following transactions in written options.

   
  Number of
Contracts
  Premiums
Received
Options outstanding at December 31, 2015         $  
Options written     2,321,600       3,441,211  
Options terminated in closing purchase transactions     (2,170,600 )      (3,172,109 ) 
Options expired     (151,000 )      (269,102 ) 
Options assigned            
Options outstanding at December 31, 2016         $  

Forward Currency Contracts

At times, the fund enters into forward currency contracts to manage the foreign currency exchange risk to which it is subject in the normal course of pursuing international investment objectives. The primary objective of such transactions is to protect (hedge) against a decrease in the US dollar equivalent value of its foreign securities or the payments thereon that may result from an adverse change in foreign currency exchange rates

43


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Notes to Financial Statements December 31, 2016 

in advance of pending transaction settlements. The fund’s holdings of forward currency contracts at the end of the year were entered into in November, 2016. No other forward positions were held throughout the year.

A forward currency contract is an agreement between two parties to buy or sell a specific currency for another at a set price on a future date, which is individually negotiated and privately traded by currency traders and their customers in the interbank market. The market value of a forward currency contract fluctuates with changes in forward currency exchange rates. Forward currency contracts are marked-to-market daily, and the change in value is recorded by the fund as an unrealized gain or loss. The fund may either exchange the currencies specified at the maturity of a forward contract or, prior to maturity, enter into a closing transaction involving the purchase or sale of an offsetting forward contract. Closing transactions with respect to forward contracts are usually performed with the counterparty to the original forward contract. The gain or loss arising from the difference between the US dollar cost of the original contract and the value of the foreign currency in US dollars upon closing a contract is included in net realized gain (loss) from forward currency contracts on the Statement of Operations. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the fund’s Statement of Assets and Liabilities. In addition, the fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the US dollar.

Forward currency contracts held by the fund are fully collateralized by other securities, as disclosed in the accompanying Schedule of Investments. The collateral is evaluated daily to ensure its market value equals or exceeds the current market value of the corresponding forward currency contracts.

Short Selling

At times the fund sells securities it does not own in anticipation of a decline in the market price of such securities or in order to hedge portfolio positions. The fund generally will 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 for securities sold short in its Statement of Assets and Liabilities and establishes an offsetting liability for the securities or foreign currencies sold under the short sale agreement. The cash is retained by the fund’s broker as collateral for the short position. The fund must also post an additional amount of margin of 50% of the value of the short sale. Additional margin may be required as the value of the borrowed security fluctuates. The liability is marked-to-market while it remains open to reflect the current settlement obligation. Until the security or currency 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 recorded in the Statement of Operations.

In “short selling,” the fund sells borrowed securities or currencies which must at some date be repurchased and returned to the lender. If the market value of securities or currencies 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.

Interest Only Securities

The fund may invest in interest only securities (“IOs”), which entitle the holder to the interest payments in a pool of mortgages, Treasury bonds, or other bonds. With respect to mortgage-backed IOs, if the underlying mortgage assets experience greater than anticipated prepayments of principal, a portfolio may fail to recoup fully its initial investment in an IO. The fair market value of these securities is volatile in response to changes in interest rates.

44


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Notes to Financial Statements December 31, 2016 

Derivative Disclosure

The fund is a party to agreements which include netting provisions or other similar arrangements. While the terms and conditions of these agreements may vary, all transactions under each such agreements constitute a single contractual relationship, and each party’s obligation to make any payments, deliveries, or other transfers in respect of any transaction under such agreement may be applied against the other party’s obligations under such agreement and netted. A default by a party in performance with respect to one transaction under such an agreement would give the other party the right to terminate all transactions under such agreement and calculate one net amount owed from the defaulting party to the other. The fund is required to disclose positions held at year-end that were entered into pursuant to agreements that allow the fund to net the counterparty’s obligations against those of the fund in the event of a default by the counterparty.

At December 31, 2016, the fund’s derivative assets and liabilities (by contract type) are as follows:

   
  Assets   Liabilities
Derivative Financial Instruments:
                 
Purchased Options   $ 266,000     $  
Swap Contracts     4,227,509       (5,183,351 ) 
Forward Currency Contracts     749,384        
Financial Futures Contracts     878,336       (834,432 ) 
Total derivative assets and liabilities     6,121,229       (6,017,783 ) 
Derivatives not subject to a netting provision or similar arrangement     1,144,336       (834,432 ) 
Total assets and liabilities subject to a netting provision or similar arrangement   $ 4,976,893     $ (5,183,351 ) 

The following table presents the fund’s derivative assets net of amounts available for offset under a netting provision or similar arrangement and net of the related collateral received by the fund as of December 31, 2016:

       
Counterparty   Derivative
Assets Subject
to a Netting
Provision
or Similar
Arrangement
  Derivatives
Available
for Offset
  Collateral
Received
  Net Amount
Swaps
                                   
Morgan Stanley Capital Services LLC   $ 4,227,509     $ (4,227,509 )    $     —     $  
Forwards
                                   
Goldman Sachs International     749,384             620,000       129,384  
Total   $ 4,976,893     $ (4,227,509 )    $ 620,000     $ 129,384  

The following table presents the fund’s derivative liabilities net of amounts available for offset under a netting provision or similar arrangement and net of the related collateral pledged by the fund as of December 31, 2016:

       
Counterparty   Derivative
Liabilities Subject
to a Netting
Provision
or Similar
Arrangement
  Derivatives
Available
for Offset
  Collateral
Pledged
  Net Amount
Swaps
                                   
Morgan Stanley Capital Services LLC   $ (5,183,351 )    $ 4,227,509     $ (955,842 )    $     —  
Total   $ (5,183,351 )    $ 4,227,509     $ (955,842 )    $     —  

45


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Notes to Financial Statements December 31, 2016 

The following tables provide quantitative disclosure about fair value amounts of and gains and losses on the fund’s derivative instruments grouped by contract type and primary risk exposure category as of December 31, 2016. These derivatives are not accounted for as hedging instruments.

The following table lists the fair values of the fund’s derivative holdings as of December 31, 2016, grouped by contract type and risk exposure category.

         
Derivative Type   Balance Sheet
Location
  Interest
Rate Risk
  Foreign
Currency Risk
  Equity Risk   Total
Asset Derivatives
 
Purchased Options     Investments,
at value
    $     —     $     —     $ 266,000     $ 266,000  
Swap Contracts     Swap contracts,
at value
                  4,227,509       4,227,509  
Forward Currency Contracts     Unrealized appreciation on forward currency contracts             749,384             749,384  
Financial Futures Contracts     Variation margin*             878,336             878,336  
Total Value – Assets            $     $ 1,627,720     $ 4,493,509     $ 6,121,229  

 Liability Derivatives
Swap Contracts     Swap contracts,
at value
    $     $     $ (5,183,351 )    $ (5,183,351 ) 
Financial Futures Contracts     Variation margin*                   (834,432 )      (834,432 ) 
Total Value – Liabilities            $     $     $ (6,017,783)     $ (6,017,783)  
* Cumulative appreciation (depreciation) of futures contracts is reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

The following table lists the amounts of gains or losses included in net increase in net assets resulting from operations for the period ended December 31, 2016, grouped by contract type and risk exposure category.

         
Derivative Type   Balance Sheet
Location
  Interest
Rate Risk
  Foreign
Currency Risk
  Equity Risk   Total
Realized Gain (Loss)
 
Purchased Options     Net realized gain (loss) from Investments     $     $     $ (2,783,433 )    $ (2,783,433 ) 
Written Options     Net realized gain (loss) from Options Written                   1,643,756       1,643,756  
Swap Contracts     Net realized gain (loss) from Swaps contracts                   (22,893,541 )      (22,893,541 ) 
Forward Currency Contracts     Net realized gain (loss) from Forward currency contracts             (175,205 )            (175,205 ) 
Financial Futures Contracts     Net realized gain (loss) from Financial futures contracts       (532,768 )      (6,930,206 )      9,679,415       2,216,441  
Total Realized Gain (Loss)            $ (532,768)     $ (7,105,411)     $ (14,353,803)     $ (21,991,982)  

46


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Notes to Financial Statements December 31, 2016 

The following table lists the change in unrealized appreciation (depreciation) included in net increase in net assets resulting from operations for the year ended December 31, 2016, grouped by contract type and risk exposure category.

         
Derivative Type   Income Statement
Location
  Interest
Rate Risk
  Foreign
Currency Risk
  Equity Risk   Total
Change in Appreciation (Depreciation)
 
Purchased Options     Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies     $     $     $ 63,456     $ 63,456  
Swap Contracts     Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies                   (526,768 )      (526,768 ) 
Forward Currency Contracts     Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies             749,384             749,384  
Financial Futures Contracts     Net Change in Unrealized Appreciation (Depreciation) on Investments and Foreign Currencies       104,549       2,041,487       (2,172,876 )      (26,840 ) 
Total Change in Appreciation (Depreciation)   $ 104,549     $ 2,790,871     $ (2,636,188)     $ 259,232  

4. Investment Advisory Agreement, Money Manager Agreements, and Other Transactions with Affiliates

TIP’s board has approved an investment advisory agreement for the fund with TAS. The fund pays TAS a monthly fee calculated by applying the annual rates set forth below to the fund’s average daily net assets for the month:

 
Assets     
On the first $1 billion     0.25 % 
On the next $1 billion     0.23 % 
On the next $1 billion     0.20 % 
On the remainder (>$3 billion)     0.18 % 

47


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Notes to Financial Statements December 31, 2016 

TIP’s board has approved money manager agreements with each of the money managers. Certain money managers will receive fees based in whole or in part on performance of the money manager’s portfolio. Other money managers will receive management fees equal to a specified percentage per annum of the assets under management by such money manager with a single rate or on a descending scale. Money managers who provided services to the fund and their fee terms during the year ended December 31, 2016 were as follows:

     
Assets-Based Schedules [a] All paid Monthly               
Money Manager/Strategy   Minimum   Maximum   Breakpoints
Amundi Smith Breeden LLC - Beta     0.02 %      0.03 %      YES  
Fundsmith, LLP     0.90 %            NO  
Lansdowne Partners (UK) LLC     0.80 %            NO  
Mondrian Investment Partners Limited     0.30 %      0.43 %      YES  
Neuberger Berman Asia Limited     0.60 %      0.90 %      YES  
Southeastern Asset Management, Inc.*     0.75 %            YES  

         
Fulcrum Fee Schedules [b] All paid Monthly               
Money Manager/Strategy   Floor   Cap   Fulcrum Fee   Benchmark   Excess Return to
achieve Fulcrum fee
AJO, LP – Domestic Large Cap     0.10 %      0.50 %      0.30 %      S&P 500 Index       2.00 % 
Brookfield Investment Management Inc.**     0.50 %      2.50 %      1.50 %      FTSE EPRA/NAREIT Developed Index       5.00 % 
Marathon Asset Management, LLP – EAFE     0.15 %      1.60 %      0.88 %      MSCI Europe, Australasia,
Far East (EAFE) Index
      4.24 % 
Shapiro Capital Management LLC     0.50 %      0.95 %      0.73 %      Russell 2000 Index       3.25 % 

               
Blended Asset-Based and Performance-Based Fee Schedules [c]
Asset-Based Portion - All Paid Monthly   Performance-Based Portion - All Paid Annually Except@
Money Manager/Strategy   Minimum   Maximum   Breakpoints   Benchmark/
Hurdle
  Performance Fee   Performance
Measurement Period
  High Water Mark   Cap
AJO, LP – Emerging Markets                       MSCI Emerging Markets Small Cap Index (net)       20.2%
      Rolling 60 months       NO       1.615%xANA  
Amundi Smith Breeden LLC – High Alpha @     0.25 %      0.30 %      YES       Total Return of 1 month LIBOR + [235bps / 12]       Up to 10% of an accrual account into which 20% of excess return is deposited       Calendar month       NO, however fee is subject to the recovery of prior year losses       NO  
Glenhill Capital Advisors, LLC     0.55 %      0.75 %       YES       Russell 3000 Total Return Index       15%
      Calendar year       YES       NO  
Hosking Partners LLP     0.28 %       —        NO       Blend: 50% MSCI All Country World Index (net dividends reinvested) and 50\% MSCI All Country World Index (gross dividends reinvested)       18%ˆ
      Rolling 60 months       NO       NO  
Kopernik Global Investors, LLC***     0.10 %       —        NO       MSCI All Country World Index (net)       20%
      Calendar year       NO       NO  
Marathon Asset Management, LLP –  EM     0.35 %       —        NO       MSCI Emerging Markets Index       20%ˆ
      Rolling 36 months       YES       NO  
Mission Value Partners, LLC     0.25 %      1.00 %      YES       Avg monthly change in CPI over 36 months x 12 + spread of 2%-4%       10%ˆ
      Rolling 36 months       NO       1.00%  
TB Alternative Assets Ltd     0.75 %       —        NO       Blend: 50% MSCI China Index and 50% CSI 300 Index       15%
      Calendar year       NO       NO  
TPH Asset Management LLC****     0.55 %      1.00 %      YES       Greater of the ending value of a benchmark account based on the performance of the Alerian MLP Total Return Index or the high water mark       20%
      Calendar year       YES       NO  

48


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Notes to Financial Statements December 31, 2016 
(a) Fee schedules are based on assets under management, irrespective of performance. The fee rate is applied to average net assets.
(b) Fee schedules embody the concept of a “fulcrum” fee (i.e., a fee midway between the minimum and the maximum). Actual fees paid to such money managers are proportionately related to performance above or below the fulcrum point. The formula is designed to augment the fee if the portfolio’s excess return (i.e., its actual return less the total return of the portfolio’s benchmark) exceeds a specified level and to reduce the fee if the portfolio’s excess return falls below this level. The fee rate is applied to average net assets.
(c) The performance-based portion of the fee schedule is generally based on a specified percentage of the amount by which the return generated by the money manager’s portfolio exceeds the return of the portfolio’s benchmark or a specified percentage of the net appreciation of the manager’s portfolio over a hurdle, in certain cases subject to a high water mark, a performance fee cap, or the recovery of prior years’ losses, if any. Total returns are generally computed over rolling time periods of varying lengths and are in most cases determined gross of fund expenses and fees, except custodian transaction charges and, in certain cases, the asset-based fee and/or performance-based fee applicable to the money manager’s account.
* Southeastern ceased managing assets for the fund as of June 2016.
** Brookfield ceased managing assets for the fund as of April 2016.
*** Prior to June 1, 2016, Kopernik was compensated based on assets, irrespective of performance, with minimum and maximum breakpoints of 0.50% and 0.65%, respectively.
**** TPH commenced managing assets for the fund as of June 2016 and ceased managing assets as of November 2016.
ˆ Performance fees earned at performance fee % rate of excess times average net assets.

With respect to MAF’s investments in other registered investment companies, private investment funds, exchange-traded funds, and other acquired funds, MAF bears its ratable share of each such entity’s expenses, including its share of the management and performance fees, if any, charged by such entity through that entity’s NAV. MAF’s share of management and performance fees charged by such entities is in addition to fees paid by MAF to TAS and the money managers.

Pursuant to a series of agreements, State Street Bank and Trust Company (“State Street”) earns a fee for providing core fund administration, fund accounting, domestic custody, and transfer agent services. Fees paid for non-core services rendered by State Street include, but are not limited to, foreign custody and transactional fees, which are based upon assets of the fund and/or on transactions entered into by the fund during the period, and out-of-pocket expenses. Fees for such services paid to State Street by the fund are reflected as fund administration fees on the Statement of Operations.

TAS provides certain administrative services to the fund under a Services Agreement. For these services, the fund pays a monthly fee calculated by applying an annual rate of 0.02% to the fund’s average daily net assets for the month. Fees for such services paid to TAS by the fund are reflected as administrative fees on the Statement of Operations.

TIP has designated an employee of TAS as its Chief Compliance Officer. For these services provided to TIP, which include the monitoring of TIP’s compliance program pursuant to Rule 38a-1 under the 1940 Act, TIP reimburses TAS. MAF pays a pro rata portion of such costs based on its share of TIP’s net assets.

TIP’s board, all of whom are considered “disinterested trustees” as defined in the 1940 Act, serve as volunteers and receive no fees or salary for their service as board members. The independent chair of the board received compensation of $49,114 from MAF for the year ended December 31, 2016 for service as independent chair. As of December 31, 2016, $12,281 remained payable on the Statement of Assets and Liabilities.

5.  Investment Transactions

Cost of investment securities purchased and proceeds from sales of investment securities, other than short-term investments, during the year ended December 31, 2016 were as follows:

   
  Purchases   Sales
Non-US Government Securities   $ 2,237,677,064     $ 3,503,615,109  
US Government Securities     208,105,541       188,775,414  

49


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Notes to Financial Statements December 31, 2016 

6.  Federal Tax Information

For federal income tax purposes, the cost of investments owned at December 31, 2016, has been estimated since the final tax characteristic cannot be determined until subsequent to fiscal year end. The cost of investments, the aggregate gross unrealized appreciation/(depreciation) and the net unrealized appreciation/(depreciation) on investment securities, other than proceeds from securities sold short, at December 31, 2016 are as follows:

     
Gross Unrealized
Appreciation
  Gross Unrealized
Depreciation
  Net Unrealized
Appreciation/
(Depreciation)
  Cost
$331,269,462     $(359,523,076)       $(28,253,614)       $4,114,188,669  

The difference between the tax cost of investments and the cost of investments for GAAP purposes is primarily due to the tax treatment of wash sale losses, TIPs deflationary adjustments, income/losses from underlying partnerships, marked-to-market of investments in passive foreign investment companies, and constructive sales.

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 GAAP. 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 account based on their federal tax-basis treatment; temporary differences do not require reclassification.

During the year ended December 31, 2016, the fund made the following reclassifications primarily due to foreign currency gains/(losses), swap gains/(losses), TIPs gains/(losses), foreign capital gains tax, and the tax treatment of investments in real estate investment trusts, passive foreign investment companies, and investment partnerships.

   
Undistributed/
(Distribution in Excess of)
Net Investment Income
  Accumulated
Realized
Gain/(Losses)
  Paid in
Capital
$(13,993,582)     $13,389,752       $603,830  

At December 31, 2016, the components of distributable earnings/(accumulated losses) on a tax basis detailed below differ from the amounts reflected in the fund’s Statement of Assets and Liabilities by temporary book/tax differences, largely arising from wash sales, TIPs deflationary adjustments, Alpha swap transactions, partnership income, passive foreign investment companies, financial futures transactions, forward currency contracts, constructive sales, and straddle deferral.

     
Undistributed
(Distribution in Excess of)
Ordinary Income
  Undistributed
Capital Gains
  (Accumulated Capital
and Other Losses)
  Unrealized
Appreciation/
(Depreciation) (a)
$  —     $  —       $  —       $(55,595,324)  
(a) Includes unrealized appreciation on investments, short sales, derivatives, and foreign currency-denominated assets and liabilities, if any.

The amount and character of tax basis distributions paid during the years ended December 31, 2016 and December 31, 2015 are detailed below. Certain differences exist from the amounts reflected in the fund’s Statement of Changes in Net Assets primarily due to the character of foreign currency gains/(losses) and net short-term capital gains treated as ordinary income for tax purposes.

               
2016     2015
Ordinary
Income
  Long-Term
Capital gain
  Return
of Capital
  Total     Ordinary
Income
  Long-Term
Capital Gain
  Return
of Capital
  Total
$40,709,969   $ 60,241,527     $ 121,495,664     $ 222,447,160       $ 95,211,799     $ 146,924,081     $ 33,800,548     $ 275,936,428  

50


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Notes to Financial Statements December 31, 2016 

7.  Repurchase Agreements

The fund will engage in repurchase and reverse repurchase transactions under the terms of master repurchase agreements with parties approved by TAS or the relevant money manager.

In a repurchase agreement, the fund buys securities from a counterparty (e.g., typically a member bank of the Federal Reserve system or a securities firm that is a primary or reporting dealer in US Government securities) with the agreement that the counterparty will repurchase them at the same price plus interest at a later date. In certain instances, the fund may enter into repurchase agreements with one counterparty, but face another counterparty at settlement. Repurchase agreements may be characterized as loans secured by the underlying securities. Such transactions afford an opportunity for the fund to earn a return on available cash at minimal market risk, although the fund may be subject to various delays and risks of loss if the counterparty becomes subject to a proceeding under the US Bankruptcy Code or is otherwise unable to meet its obligation to repurchase the securities. In transactions that are considered to be collateralized fully, the securities underlying a repurchase agreement will be marked to market every business day so that the value of such securities is at least equal to the repurchase price thereof, including accrued interest.

In a reverse repurchase agreement, the fund sells US Government securities and simultaneously agrees to repurchase them 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. Reverse repurchase agreements create leverage, a speculative factor, but will not be considered borrowings for the purposes of limitations on borrowings. When a fund enters into a reverse repurchase agreement, it must segregate on its or its custodian’s books cash and/or liquid securities in an amount equal to the amount of the fund’s obligation (cost) to repurchase the securities, including accrued interest.

The following table presents the fund’s repurchase agreements net of amounts available for offset and net of the related collateral received as of December 31, 2016:

       
Counterparty   Assets Subject
to a Netting
Provision
or Similar
Arrangement
  Liabilities Available for Offset   Collateral   Net Amount
Fixed Income Clearing Corp.   $ 315,429,637     $     —     $ (315,429,637 )    $     —  
Total   $ 315,429,637     $     $ (315,429,637 )    $  

Please see Note 3, Derivatives and Other Financial Instruments, for further discussion of netting provisions and similar arrangements.

8.  Capital Share Transactions

While there are no sales commissions (loads) or 12b-1 fees, MAF assesses entry and exit fees of 0.50% of capital invested or redeemed. These fees, which are paid to the fund directly, not to TAS or other vendors supplying services to the fund, are designed, in part, to protect non-transacting members from bearing the transaction costs, including market impact, that may arise from a transacting member’s purchases, exchanges, and redemptions of MAF shares. They are also designed to encourage investment only by members with a long-term investment horizon. Further, they are designed to discourage market timing or other inappropriate short-term trading by members. The entry and exit fees are assessed irrespective of the length of time a member’s shares are held. 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 fund (e.g., for transactions involving in-kind purchases and redemptions). Such fees are retained by the fund and included in proceeds from shares sold or deducted from distributions for redemptions.

9.  Concentration of Risks

MAF may engage in transactions with counterparties, including but not limited to repurchase and reverse repurchase agreements, forward contracts, futures and options, and total return, credit default, interest rate, and currency swaps. The fund may be subject to various delays and risks of loss if the counterparty becomes insolvent or is otherwise unable to meet its obligations.

51


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund / Notes to Financial Statements December 31, 2016 

The fund engages multiple external money managers, each of which manages a portion of the fund’s assets. A multi-manager fund entails the risk, among others, that the advisor may not be able to (1) identify and retain money managers who achieve superior investment returns relative to similar investments; (2) combine money managers in the fund such that their investment styles are complementary; or (3) allocate cash among the money managers to enhance returns and reduce volatility or risk of loss relative to a fund with a single manager.

The fund invests in private investment funds that entail liquidity risk to the extent they are difficult to sell or convert to cash quickly at favorable prices.

The fund invests in fixed income securities issued by banks and other financial companies, the market values of which may change in response to interest rate fluctuations. Although the fund generally maintains a diversified portfolio, the ability of the issuers of the fund’s portfolio securities to meet their obligations may be affected by changing business and economic conditions in a specific industry, state, or region.

The fund invests in US Government securities. Because of the rising US Government debt burden, it is possible that the US Government may not be able to meet its financial obligations or that securities issued or backed by the US Government may experience credit downgrades. Such a credit event may adversely affect the financial markets.

The fund invests in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the US, 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.

The fund invests in asset-backed and mortgage-backed securities. These investments may involve credit risk, prepayment risk, possible illiquidity, and default, as well as increased susceptibility to adverse economic conditions.

10.  Indemnifications

In the normal course of business, the fund enters into contracts that provide general indemnifications. The fund’s maximum exposure under these arrangements is dependent on future claims that may be made against the fund and, therefore, cannot be established; however, based on experience, the risk of loss from such claims is considered remote.

11.  Subsequent Events

Management has evaluated the possibility of subsequent events and has determined that there are no material events that would require disclosure.

52


 
 

TABLE OF CONTENTS

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of the TIFF Investment Program and Shareholders of
the TIFF Multi-Asset Fund

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations, of changes in net assets, and of cash flows and the financial highlights present fairly, in all material respects, the financial position of the TIFF Multi-Asset Fund (the “Fund”) as of December 31, 2016, and the results of its operations, the changes in its net assets, its cash flows and the financial highlights for the year then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements") are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities as of December 31, 2016 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion. The financial statements as of and for the year ended December 31, 2015 and the financial highlights for each of the periods ended on or prior to December 31, 2015 (not presented herein, other than the statement of changes in net assets and the financial highlights) were audited by other auditors whose report dated February 29, 2016 expressed an unqualified opinion on those financial statements and financial highlights.

[GRAPHIC MISSING] 

Philadelphia, Pennsylvania
March 1, 2017

53


 
 

TABLE OF CONTENTS

TIFF Multi-Asset Fund December 31, 2016 
 Additional Information (Unaudited)

Change in Independent Registered Public Accounting Firm

TIP’s board selected PricewaterhouseCoopers LLP (“PwC”) to serve as the funds’ independent registered public accounting firm for the funds’ fiscal year ended December 31, 2016. The decision to select PwC was recommended by the funds’ Audit Committee and was approved by TIP’s board on March 15, 2016. During the funds’ fiscal years ended December 31, 2015 and December 31, 2014 and the subsequent interim period through March 15, 2016, neither TIP, the funds, nor anyone on their behalf consulted with PwC on any items which (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the funds’ financial statements; or (ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(v) of said Item 304).

The decision to dismiss Ernst & Young (“EY”), the funds’ former independent registered public accounting firm, and to select PwC does not reflect any disagreements with or dissatisfaction by the funds, the funds’ Audit Committee or TIP’s board with the performance of EY. EY’s reports on the funds’ financial statements for the fiscal years ended December 31, 2015 and December 31, 2014 contained no adverse opinion or disclaimer of opinion nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the funds’ fiscal years ended December 31, 2015 and December 31, 2014, and through March 15, 2016, (i) there were no disagreements with EY on any matter of accounting principles or practices, financial statement disclosure, or audit scope or procedure, which disagreements, if not resolved to the satisfaction of EY, would have caused them to make reference to the subject matter of the disagreements in connection with their reports on the funds’ financial statements for such years, and (ii) there were no “reportable events” of the kind described in Item 304(a)(1)(v) of Regulation S-K.

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 TIFF’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 (“SEC”) at http://www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities during the most recent 12-month year ended June 30 is also available on the websites noted above and without charge, upon request, by calling 800-984-0084.

Quarterly Reporting

TIP files its complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. TIP’s Form N-Q is available without charge, upon request, by calling 800-984-0084. This information is also available on the website of the SEC at http://www.sec.gov. TIP’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. In addition TIP’s portfolio holdings are available on a monthly basis on the TIFF website at http://www.tiff.org.

Tax Information Notice

For federal income tax purposes, the following information is furnished with respect to the distributions of MAF, if any, paid during the taxable year ended December 31, 2016.

Qualified dividend income of $40,709,969 represents distributions paid from investment company taxable income for the year ended December 31, 2016, which may be subject to a maximum tax rate of 20%, for those members subject to federal income taxation on fund distributions, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The distributions paid represent the maximum amount that may be considered qualified dividend income.

54


 
 

TABLE OF CONTENTS

[GRAPHIC MISSING] 
 
This page intentionally left blank.

55


 
 

TABLE OF CONTENTS

TIFF Multi-Asset FundDecember 31, 2016  
 Index Descriptions

BofA Merrill Lynch US 6-Month Treasury Bill Index comprises a single issue purchased at the beginning of the month and held for a full month. At the end of the month, that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, six months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date.

65/35 Mix, calculated by TAS, consists of 65% MSCI All Country World Index and 35% Bloomberg Barclays US Aggregate Bond Index. Weights are rebalanced by TAS at each month-end; those from July 1, 2009, through December 31, 2015, reflected quarter-end rebalancing.

MSCI All Country World IndexSM is a free-float adjusted market capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. Unlike certain other broad-based indices, the number of stocks included in the MSCI All Country World Index is not fixed and may vary to enable the index to continue to reflect the primary home markets of the constituent countries. MSCI All Country World Index returns include reinvested dividends, gross of foreign withholding taxes through December 31, 2000 and net of foreign withholding tax thereafter.

Consumer Price Index + 5% per annum is based on the Consumer Price Index-All Urban Consumers (CPI- U), a widely recognized measure of US inflation that represents changes in the prices paid by consumers for a representative basket of goods and services. CPI + 5% per annum was selected as the primary benchmark for TIFF Multi-Asset Fund because, in the opinion of TIP’s directors, it reflects the two-fold objectives of maintaining an endowment’s purchasing power (i.e., keeping pace with inflation) while complying with the 5% payout requirement to which most TIFF members are subject.

The MAF Constructed Index (CI) is a blended index now comprised of three broad investment categories, weighted according to policy norms, with each category assigned a benchmark selected by TAS. Effective October 1, 2015, the CI is comprised of the following investment categories and weights: equity-oriented assets (65%), diversifying strategies (hedge funds and other) (20%), and fixed income (including cash)(15%). The benchmarks for the investment categories are MSCI All Country World Index for equity, Merrill Lynch Factor Model for diversifying strategies, and 2/3 Bloomberg Barclays US Intermediate Treasury Index and 1/3 BofA Merrill Lynch US 6-Month Treasury Bill Index for the fixed income category. Performance of the CI generated from July 1, 2009, through September 30, 2015, was reduced by 20 basis points (or 0.20%) per annum, prorated monthly. This reduction reflected an estimate of the costs of investing in the CI’s asset segments through index funds or other instruments. (One cannot invest directly in an index and unmanaged indices do not incur fees and expenses.) The reported performance of the CI would increase in the absence of a 20 basis point reduction. CI weights are rebalanced by TAS at each month-end; those from July 1, 2009, through December 31, 2015, reflected quarter-end rebalancing. Actual weights in MAF tend to vary over time. Historical performance for the CI is not adjusted when the composition of the CI changes. Therefore, past performance reflects the allocations, segment weights, and segment benchmarks that were in place at the time the performance was generated. TAS has changed the composition of the CI over time, including the most recent change (effective October 1, 2015) from a CI comprised of various asset segments to a CI comprised of three broad categories. In the past TAS has changed the CI policy norms (or weights), asset segments, and segment benchmarks. TAS’s on-going review of the CI may cause TAS to make additional changes in the future.

Merrill Lynch Factor Model (“MLFM”) is a model established by Merrill Lynch International that is designed to provide a high correlation to hedge fund beta, which is the component of the performance of a relatively diversified group of hedge funds comprising the HFRI Fund Weighted Composite Index (“HFRI”) that may be correlated to and replicated by non-hedge fund, transparent market measures such as the 6 factors that comprise the MLFM. (The HFRI is designed to reflect hedge fund industry performance through an equally weighted composite of over 2,000 constituent funds.) The MLFM implements an investment strategy intended to track the aggregated performance of the hedge fund universe with liquid, publicly traded components. Using a rules-based, discretion-free algorithm the MLFM allocates long and short exposures to the S&P 500 Total Return Index, the Russell 2000 Total Return Index, the MSCI EAFE US Dollar Net Total Return Index, the MSCI Emerging Markets US Dollar Net Total Return Index, the Euro currency (represented by the EUR-USD Spot Exchange Rate) and cash (represented by the one-month USD LIBOR). On a monthly basis the weights of the

One cannot invest directly in an index, and unmanaged indices do not incur fees and expenses.

56


 
 

TABLE OF CONTENTS

TIFF Multi-Asset FundDecember 31, 2016  

components are recalculated using a methodology designed to maximize correlation with the HFRI. Weightings for all of the factors may be negative, except with respect to the MSCI Emerging Markets US Dollar Net Total Return Index. The MLFM was launched in June 2006.

The MLFM is not comprised of any hedge fund or group of hedge funds. There is no guarantee that the MLFM will successfully provide the risk/return characteristics of a broad universe of hedge funds, as measured by HFRI or any other hedge fund benchmark, or achieve a high correlation with the HFRI or with hedge fund beta generally. Performance differences between the MLFM and HFRI are expected to be material at times. Source of MLFM: BofA Merrill Lynch, used with permission. BofA Merrill Lynch is licensing the BofA Merrill Lynch indices “as is,” makes no warranties regarding same, does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the BofA Merrill Lynch indices or any data included in, related to, or derived therefrom, assumes no liability in connection with their use, and does not sponsor, endorse, or recommend TIFF or any of its products or services.

Bloomberg Barclays US Intermediate Treasury Index includes all publicly issued US Treasury securities that have a remaining maturity greater than or equal to 1 year and less than 10 years, are rated investment grade, and have $250 million or more of outstanding face value.

HFRI Fund Weighted Composite Index is a global, equal-weighted index of over 2,000 single-manager funds. Constituent funds report monthly performance, net of all fees, in US dollars and have a minimum of $50 million under management or a 12-month track record of active performance. The index does not includehedge funds of funds.

Bloomberg Barclays US Aggregate Bond Index covers the US dollar-denominated, investment-grade, fixed-rate, taxable bond market. The index includes bonds from the Treasury, Government-Related, Corporate, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS sectors. This index is a component of the US Universal index in its entirety.

Russell 2000 Index (Russell 2000 Total Return Index) is a market capitalization weighted index that measures the performance of the small-cap segment of the US equity universe. The index is a subset of the Russell 3000 Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership.

S&P 500 Index (S&P 500 Total Return Index) includes 500 companies in leading industries of the US economy, capturing 75% coverage of US equities. The S&P 500 Index is maintained by the S&P Index Committee, based on published guidelines governing additions to and removal from the index. Criteria for index additions include US companies, market capitalization in excess of $4 billion, public float, financial viability, adequate liquidity and reasonable price, sector representation, and company type. Criteria for index removals include violating or no longer meeting one or more criteria for index inclusion.

S&P Midcap 400 index is designed to measure the performance of 400 mid-sized companies in the US, reflecting this market segment’s distinctive risk and return characteristics. Mid-cap exposure generally captures a phase in the typical corporate life cycle in which firms have successfully navigated the challenges specific to small companies, such as raising initial capital and managing early growth. At the same time, mid-caps tend to be quite dynamic and not so large that continued growth is unattainable. As a result, the mid-cap segment may offer aspects of the markets not covered by the large and small-cap worlds.

MSCI USA Index is designed to measure the performance of the large and mid-cap segments of the US market. With 630 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in the US.

One cannot invest directly in an index, and unmanaged indices do not incur fees and expenses.

57


 
 

TABLE OF CONTENTS

 

 

 

 

[GRAPHIC MISSING] 
 
This page intentionally left blank.

58


 
 

TABLE OF CONTENTS

 

 

 

 

[GRAPHIC MISSING] 
 
This page intentionally left blank.

59


 
 

TABLE OF CONTENTS

TIFF Short-Term Fund December 31, 2016 
Portfolio Management Review (Unaudited)

Strategy Overview

As it seeks to track closely, gross of fees and expenses, the BofA Merrill Lynch US 6-Month Treasury Bill Index, TIFF Short-Term Fund (“STF”) invests almost exclusively in US Treasury bills. Very small fractions of STF’s capital not susceptible to investment in T-bills for administrative reasons get invested routinely in repurchase agreement transactions fully collateralized by US Treasury obligations, with such holdings constituting customarily a small portion of STF’s net assets. Short-term (6-month) US Treasury debt is currently yielding just under 0.5%, as it has been since the December 2016 interest rate hike. If short-term yields remain constant or continue to rise, STF should return to a positive expected return investment, though there can be no assurance that returns will be positive.

Performance Review

The short-term Treasury market produced low yields during 2016 as the Federal Reserve Board continued its longstanding low interest rate policy in an effort to spur economic growth. Just as in 2015, the Federal Reserve Board raised the federal funds target interest rate slightly at the December 2016 Federal Open Market Committee meeting. As would be expected in such an environment, STF produced a slightly positive return of 0.13%, for the year ended December 31, 2016. As noted before in this space, STF’s administrative and rebalancing costs contribute (negatively) to reported performance. The rebalancing portion of these costs results from TIFF Advisory Service’s (“TAS”) effort to keep duration, or interest rate sensitivity, close to that of STF’s performance benchmark, the BofA Merrill Lynch US 6-Month Treasury Bill Index. The benchmark index, which has no rebalancing or administrative costs, returned 0.67% for the year. Staff has the discretion to “roll” holdings not precisely when the benchmark’s constituent securities “roll” but a bit more opportunistically, taking anticipated trading costs and cash on hand plus other variables into account.

60


 
 

TABLE OF CONTENTS

TIFF Short-Term Fund December 31, 2016 

Performance data quoted represent past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 610-684-8200 or visiting www.tiff.org. While the fund is no-load, management fees and other expenses will apply. Please refer to the prospectus for further details.

Fund Performance (Unaudited)Total return for the periods ended 12/31/16

           
    Calendar
Year 2016
  3-Year
Annualized
  5-Year
Annualized
  10-Year
Annualized
  Annualized
Since
Inception
  Cumulative
Since
Inception
Short-Term Fund     0.13 %      -0.06 %      -0.05 %      0.79 %      2.73 %      83.87 % 
BofA ML US 6-Month T-Bill*     0.67 %      0.34 %      0.27 %      1.16 %      2.92 %      91.48 % 

Total return assumes dividend reinvestment. STF’s annualized expense ratio for calendar year 2015 is 0.22% (a regulatory mandate requires the use in this report of the same expense ratio as shown in the latest fund prospectus). The expense ratio reflects fund expenses for the year ended December 31, 2015, which are expected to vary over time. The expense ratio is expressed as a percentage of average net assets. The expense ratio will differ for 2016.

Commencement of operations was May 31, 1994.

* The BofA Merrill Lynch US 6-Month Treasury Bill Index comprises a single issue purchased at the beginning of the month and held for a full month. At the end of the month, that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, six months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date. While the index will often hold the Treasury Bill issued at the most recent or prior 6-month auction, it is also possible for a seasoned 6-month or 1-year Bill to be selected. One cannot invest directly in an index.
Performance of a $50,000 Investment (Unaudited) Ten year period ended 12/31/16

[GRAPHIC MISSING] 

Past performance is not a guarantee of futures results.

The fund’s performance assumes the reinvestment of all dividends and distributions, but does not reflect the deduction of taxes that a member subject to tax would pay on fund distributions or the redemption of fund shares.

61


 
 

TABLE OF CONTENTS

TIFF Short-Term Fund December 31, 2016 
 Fund Expenses (Unaudited)

As a shareholder of a fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, 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 July 1, 2016 to December 31, 2016.

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. 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.

     
    Beginning
Account Value
7/1/16
  Ending
Account Value
12/31/16
  Expenses Paid
During the Period*
7/1/16 – 12/31/16
1) Actual   $ 1,000.00     $ 1,000.30     $ 1.01  
2) Hypothetical   $ 1,000.00     $ 1,024.13     $ 1.02  
* Expenses are equal to the fund’s annualized expense ratio of 0.20% (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 184/366 (to reflect the one-half year period).
 
 Summary Schedule of Investments (Unaudited)

 
US Treasury Bills     96.6 %
Repurchase Agreement     3.6 % 
Total Investments     100.2 % 
Liabilities in Excess of Other Assets     (0.2 )% 
Net Assets     100.0 % 

62


 
 

TABLE OF CONTENTS

TIFF Short-Term Fund December 31, 2016 
 Financial Highlights

         
    Year Ended
December 31,
2016
  Year Ended
December 31,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
For a share outstanding throughout each period
 
Net asset value, beginning of year   $ 9.86     $ 9.87     $ 9.89     $ 9.90     $ 9.90  
Income (loss) from investment operations
                                   
Net investment income (loss)     0.01       (0.01 )      (0.03 )      (0.01 )      (0.01 ) 
Net realized and unrealized gain on investments     0.00 (a)      0.00 (a)      0.01       0.00 (a)      0.01  
Total from investment operations     0.01       (0.01 )      (0.02 )      (0.01 )      (0.00 ) 
Less distributions from
                                            
Net investment income     (0.01 )                         
Total distributions     (0.01 )                         
Net asset value, end of year   $ 9.86     $ 9.86     $ 9.87     $ 9.89     $ 9.90  
Total return (b)     0.13 %      (0.10 )%      (0.20 )%      (0.10 )%      (0.00 )%(c) 
Ratios/supplemental data
                                            
Net assets, end of year (000s)   $ 83,729     $ 97,168     $ 104,383     $ 148,294     $ 136,549  
Ratio of expenses to average net assets, after waivers     0.24 %      0.22 %      0.35 %      0.20 %      0.20 % 
Ratio of net investment income (loss) to average net assets     0.15 %      (0.09 )%      (0.28 )%      (0.11 )%      (0.09 )% 
Portfolio turnover (d)     %      %      %      %      % 
(a) Rounds to less than $0.01.
(b) Total return assumes dividend reinvestment.
(c) The actual return is (0.001)%, which rounds to (0.00)%.
(d) Because the fund holds primarily securities with maturities at the time of acquisition of one year or less, and such securities are excluded by definition from the calculation of portfolio turnover, the fund’s portfolio turnover rate was 0% of the average value of its portfolio.
Schedule of Investments

   
   
  Principal
Amount
  Value
Investments — 100.2% of net assets
 
Short-Term Investments — 100.2%
 
Repurchase Agreement — 3.6%
                 
Fixed Income Clearing Corp. issued on 12/30/16 (proceeds at maturity $3,002,819) (collateralized by US Treasury Note, due 04/30/17 with a total par value of $3,065,000 and a total market value of $3,067,244) 0.030%, 01/03/17  
(Cost $3,002,809)   $ 3,002,809     $ 3,002,809  
US Treasury Bills (a) — 96.6%
 
US Treasury Bill, due on 02/09/17     18,000,000       17,991,517  
US Treasury Bill, due on 02/23/17     2,000,000       1,998,719  
US Treasury Bill, due on 03/30/17     1,000,000       998,808  
US Treasury Bill, due on 04/13/17     24,000,000       23,963,928  
US Treasury Bill, due on 04/27/17     4,000,000       3,993,064  
US Treasury Bill, due on 05/11/17     2,000,000       1,995,760  

   
   
     Principal
Amount
  Value
US Treasury Bill, due on 05/18/17   $ 8,000,000     $ 7,981,824  
US Treasury Bill, due on 05/25/17     1,000,000       997,604  
US Treasury Bill, due on 06/15/17     6,000,000       5,983,494  
US Treasury Bill, due on 06/22/17     15,000,000       14,956,125  
Total US Treasury Bills — 96.6%
(Cost $80,862,903)
    80,860,843  
Total Short-Term Investments
(Cost $83,865,712)
    83,863,652  
Total Investments — 100.2%
(Cost $83,865,712)
    83,863,652  
Liabilities in Excess of Other Assets — (0.2)%     (135,070 ) 
Net Assets — 100.0%   $ 83,728,582  
(a) Treasury bills do not pay interest, but rather are purchased at a discount and mature at the stated principal amount.

See accompanying Notes to Financial Statements.

63


 
 

TABLE OF CONTENTS

TIFF Short-Term Fund 
 Statement of Assets and Liabilities

 
  December 31, 2016
Assets
        
Investments in securities, at value (cost: $80,862,903)   $ 80,860,843  
Repurchase agreements (cost: $3,002,809)     3,002,809  
Total investments (cost: $83,865,712)     83,863,652  
Prepaid expenses     1,436  
Receivables:
        
Capital stock sold     99,000  
Interest     5  
Total Assets     83,964,093  
Liabilities
        
Payables:
        
Capital stock redeemed     164,750  
Accrued professional fees     42,107  
Accrued fund administration fees     20,201  
Accrued expenses and other liabilities     3,537  
Investment advisory and administrative fees     2,590  
Distributions     2,326  
Total Liabilities     235,511  
Net Assets   $ 83,728,582  
Shares Outstanding (unlimited authorized shares, par value $0.001)     8,491,136  
Net Asset Value Per Share   $ 9.86  
Net Assets Consist of:
        
Capital stock   $ 83,730,663  
Accumulated net investment income     890  
Accumulated net realized loss on investments     (911 ) 
Net unrealized depreciation on investments     (2,060 ) 
     $ 83,728,582  

See accompanying Notes to Financial Statements.

64


 
 

TABLE OF CONTENTS

TIFF Short-Term Fund 
 Statement of Operations

 
  Year Ended
December 31, 2016
Investment Income
        
Interest   $ 299,009  
Total Investment Income     299,009  
Expenses
        
Fund administration fees     62,436  
Professional fees     48,159  
Shareholder Registration fees     28,168  
Investment advisory fees     23,364  
Administrative fees     7,788  
Chief compliance officer fees     3,738  
Miscellaneous fees and other     12,069  
Total Expenses     185,722  
Net Investment Income     113,287  
Net Realized Gain from:
        
Investments
    2,151  
Net Realized Gain     2,151  
Net Change in Unrealized Appreciation (Depreciation) on Investments     5,660  
Net Realized and Unrealized Gain on Investments     7,811  
Net Increase in Net Assets Resulting from Operations   $ 121,098  

See accompanying Notes to Financial Statements.

65


 
 

TABLE OF CONTENTS

TIFF Short-Term Fund 
 Statements of Changes in Net Assets

   
  Year Ended
December 31, 2016
  Year Ended
December 31, 2015
Increase (Decrease) in Net Assets From Operations
                 
Net investment income (loss)   $ 113,287     $ (90,484 ) 
Net realized gain on investments     2,151       31,310  
Net change in unrealized appreciation (depreciation) on investments     5,660       (11,674 ) 
Net Increase (Decrease) in Net Assets Resulting from Operations     121,098       (70,848 ) 
Distributions
                 
From net investment income     (112,397 )       
Decrease in Net Assets Resulting from Distributions     (112,397 )       
Capital Share Transactions
                 
Proceeds from shares sold     80,812,812       75,976,275  
Proceeds from distributions reinvested     110,071        
Cost of shares redeemed     (94,370,572 )      (83,121,352 ) 
Net Decrease From Capital Share Transactions     (13,447,689 )      (7,145,077 ) 
Total Decrease in Net Assets     (13,438,988 )      (7,215,925 ) 
Net Assets
                 
Beginning of year     97,167,570       104,383,495  
End of year   $ 83,728,582     $ 97,167,570  
Including accumulated net investment income (loss)   $ 890     $  
Capital Share Transactions (in shares)
                 
Shares sold     8,188,822       7,702,464  
Shares reinvested     11,164        
Shares redeemed     (9,564,288 )      (8,426,771 ) 
Net Decrease     (1,364,302 )      (724,307 ) 

See accompanying Notes to Financial Statements.

66


 
 

TABLE OF CONTENTS

TIFF Short-Term Fund 
 Statement of Cash Flows

 
  Year Ended
December 31, 2016
Cash flows provided by (used in) operating activities
        
Net increase (decrease) in net assets resulting from operations   $ 121,098  
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
        
(Purchase)/Sale of short term investments, net     13,391,593  
(Increase)/decrease in interest receivable     (4 ) 
(Increase)/decrease in prepaid expenses     (203 ) 
Increase/(decrease) in accrued expenses and other liabilities     (12,048 ) 
Increase/(decrease) in payable for investment advisory and administrative fees     (615 ) 
Net realized (gain) loss from investments     (2,151 ) 
Net change in unrealized (appreciation) depreciation on investments     (5,660 ) 
Net cash provided by (used in) operating activities     13,492,010  
Cash flows provided by (used in) financing activities
        
Distributions paid to shareholders      
Proceeds from shares sold     80,713,812  
Payment for shares redeemed     (94,205,822 ) 
Net cash provided by (used in) financing activities     (13,492,010 ) 
Net increase (decrease) in cash      
Cash at beginning of year      
Cash at end of year   $  
Non cash financing activities not included herein consist of reinvestment of distributions of:   $ 110,071  

See accompanying Notes to Financial Statements.

67


 
 

TABLE OF CONTENTS

TIFF Short-Term Fund / Notes to Financial Statements December 31, 2016 

1.  Organization

TIFF Investment Program (“TIP”) is a no-load, open-end management investment company that seeks to improve the net investment returns of its members through two investment vehicles, each with its own investment objective and policies. TIP was originally incorporated under Maryland law on December 23, 1993, and was reorganized, effective December 16, 2014, as a Delaware statutory trust. As of December 31, 2016, TIP consisted of two mutual funds, TIFF Multi-Asset Fund (“MAF”) and TIFF Short-Term Fund (“STF” or the “fund”), each of which is diversified, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). The financial statements and notes presented here relate only to STF.

Investment Objective

STF’s investment objective is to 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 fund operates as a diversified investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services — Investment Companies.

The preparation of financial statements in conformity with US generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets 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

Short-term debt securities having a remaining maturity of less than one year are valued at amortized cost using straight-line amortization, which approximates fair value, and short-term debt securities having a remaining maturity of greater than one year are valued at amortized cost using yield to maturity amortization.

Fair value is defined as the price that the fund could reasonable expect to receive upon selling an asset or pay to transfer a liability in a timely transaction to an independent buyer in the principal or most advantageous market for the asset or liability, respectively. A three-tier hierarchy is utilized to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

Level 1 — quoted prices in active markets for identical assets and liabilities

Level 2 — other significant observable inputs (including quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 — significant unobservable inputs (including the fund’s own assumptions in determining the fair value of assets and liabilities)

During the year ended December 31, 2016, all of the fund’s investments were valued using Level 1 inputs and, as a result, there were no transfers between any of the fair value hierarchy levels.

Investment Transactions and Investment Income

Securities transactions are recorded on the trade date (the date on which the buy or sell order is executed) for financial reporting purposes. Interest income and expenses are recorded on an accrual basis. The fund accretes discounts or amortizes premiums using the yield-to-maturity method on a daily basis.

68


 
 

TABLE OF CONTENTS

TIFF Short-Term Fund / Notes to Financial Statements December 31, 2016 

Income Taxes

There is no provision for federal income or excise tax since the 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 of 1986, as amended (the “Code”), applicable to RICs and to distribute substantially all of its taxable income.

The fund evaluates tax positions taken or expected to be taken in the course of preparing the fund tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authorities. Tax positions not deemed to meet the more-likely-than-not threshold are recorded as tax benefits or expenses in the current year. Management has analyzed the fund’s tax positions taken on federal income tax returns for all open tax years (tax years ended December 31, 2013 – December 31, 2016), and has concluded that no provision for federal income tax is required in the fund’s financial statements.

Expenses

Expenses directly attributable to STF are charged to that fund’s operations; expenses that are applicable to all TIP funds are allocated among them based on the relative average daily net assets of each TIP fund.

Dividends to Members

It is the policy of the fund to declare dividends, if any, from net investment income monthly and capital gains distributions at least annually.

Dividends from net short-term capital gains and net long-term capital gains of the fund, if any, are normally declared and paid in December, but the fund may make distributions on a more frequent basis in accordance with the distribution requirements of the 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.

Net Asset Value

The net asset value per share is calculated on a daily basis by dividing the fund’s assets, less its liabilities, by the number of outstanding shares of the fund.

3.  Investment Advisory and Other Agreements, and Other Transactions with Affiliates

TIP’s board of trustees (the “board”) has approved an investment advisory agreement with TIFF Advisory Services, Inc. (“TAS”). The fund pays TAS a monthly fee calculated by applying the annual rates set forth below to the fund’s average daily net assets for the month:

 
Assets     
On the first $1 billion     0.03 % 
On the next $1 billion     0.02 % 
On the remainder (> $2 billion)     0.01 % 

Pursuant to a series of agreements, State Street Bank and Trust Company (“State Street”) earns a fee for providing core fund administration, fund accounting, custody, and transfer agent services. Fees paid for non-core services rendered by State Street include, but are not limited to, transactions entered into by the fund during the period, and out-of-pocket expenses. Fees for such services paid to State Street by the fund are reflected as fund administration fees on the Statement of Operations.

TAS provides certain administrative services to TIP under a Services Agreement. For these services, the fund pays a monthly fee calculated by applying an annual rate of 0.01% to the fund’s average daily net assets for the month. Fees for such services paid to TAS by the fund are reflected as administrative fees on the Statement of Operations.

69


 
 

TABLE OF CONTENTS

TIFF Short-Term Fund / Notes to Financial Statements December 31, 2016 

TIP has designated an employee of TAS as its Chief Compliance Officer. For these services provided to TIP, which include the monitoring of TIP’s compliance program pursuant to Rule 38a-1 under the 1940 Act, TIP reimburses TAS. STF pays a pro rata portion of such costs based on its share of TIP’s net assets.

TIP’s board, all of whom are considered “disinterested trustees” as defined in the 1940 Act, serve as volunteers and receive no fees or salary for their service as board members. The independent chair of the board received compensation of $886 from STF for the year ended December 31, 2016 for service as independent chair. As of December 31, 2016 $219 remained payable on the Statement of Assets and Liabilities.

4.  Federal Tax Information

For federal income tax purposes, the cost of investments, the aggregate gross unrealized appreciation/ (depreciation) and the net unrealized appreciation/(depreciation) on investment securities at December 31, 2016 are as follows:

     
Gross Unrealized
Appreciation
  Gross Unrealized
Depreciation
  Net Unrealized
Appreciation/
(Depreciation)
  Cost
$2,922     $(4,982)       $(2,060)       $80,860,843  

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 GAAP. 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.

During the year ended December 31, 2016, no reclassifications were necessary:

   
Undistributed/
(Distribution in Excess of)
Net Investment Income
  Accumulated
Realized
Gain/(Losses)
  Paid in
Capital
$—     $—       $—  

The components of distributable earnings/(accumulated losses) on a tax basis detailed below could differ from the amounts reflected in the fund’s Statement of Assets and Liabilities by temporary book/tax differences.

       
Undistributed
(Distribution in Excess of)
Ordinary Income
  Undistributed
Capital Gains
  (Accumulated
Capital and
Other Losses)
  Unrealized
Appreciation/
(Depreciation)
  Qualified
Late-year Losses
$—     $—       $—       $(2,060)       $—  

Certain differences can occur from the amounts reflected in the fund’s Statements of Changes in Net Assets primarily due to the character of net short-term capital gains treated as ordinary income for tax purposes. During the years ended December 31, 2016 and December 31, 2015, there were no such differences.

The amount and character of tax basis distributions paid during the years ended December 31, 2016 and December 31, 2015, are detailed below. Certain differences exist from the amounts reflected in the fund’s Statement of Changes in Net Assets primarily due to the character of foreign currency gains/(losses) and net short-term capital gains treated as ordinary income for tax purposes.

               
2016     2015
Ordinary
Income
  Long-Term
Capital gain
  Return of
Capital
  Total     Ordinary
Income
  Long-Term
Capital Gain
  Return of
Capital
  Total
$112,397   $     $     $       $     $     $     $  

5.  Repurchase Agreements

The fund will engage in repurchase transactions under the terms of master repurchase agreements with parties approved by TAS.

In a repurchase agreement, the fund buys securities from a counterparty (e.g., typically a member bank of the Federal Reserve system or a securities firm that is a primary or reporting dealer in US Government securities) with the agreement that the counterparty will repurchase them at the same price plus interest at a later date. In certain instances, the fund may enter into repurchase agreements with one counterparty, but face another

70


 
 

TABLE OF CONTENTS

TIFF Short-Term Fund / Notes to Financial Statements December 31, 2016 

counterparty at settlement. Repurchase agreements may be characterized as loans secured by the underlying securities. Such transactions afford an opportunity for the fund to earn a return on available cash at minimal market risk, although the fund may be subject to various delays and risks of loss if the counterparty becomes subject to a proceeding under the US Bankruptcy Code or is otherwise unable to meet its obligation to repurchase the securities. Securities pledged as collateral for repurchase agreements are held by the custodial bank until maturity of the repurchase agreements. Provisions of the repurchase agreements and the procedures adopted by the fund 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.

       
Counterparty   Assets Subject
to a Netting
Provision
or Similar
Arrangement
  Liabilities Available for Offset   Collateral   Net Amount
Fixed Income Clearing Corp.   $ 3,002,809     $     —     $ (3,002,809 )    $     —  
Total   $ 3,002,809     $     —     $ (3,002,809 )    $     —  

6.  Concentration of Risks

The fund may engage in transactions with counterparties, including but not limited to repurchase agreements. The 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 fund invests in US Government securities. Because of the rising US Government debt burden, it is possible that the US Government may not be able to meet its financial obligations or that securities issued or backed by the US Government may experience credit downgrades. Such a credit event may adversely affect the financial markets.

From time to time, a fund may have members that hold significant portions of the fund’s outstanding shares. Investment activities of such members could have a material impact on the fund. As of December 31, 2016, TAS, the advisor to the fund, owned 38% of STF.

7.  Indemnifications

In the normal course of business, the fund enters into contracts that provide general indemnifications. The fund’s maximum exposure under these arrangements is dependent on future claims that may be made against the fund and, therefore, cannot be established; however, based on experience, the risk of loss from such claims is considered remote.

8.  Subsequent Events

Management has evaluated the possibility of subsequent events and has determined that there are no material events that would require disclosure.

71


 
 

TABLE OF CONTENTS

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of the TIFF Investment Program and Shareholders of
the TIFF Short-Term Fund

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations, of changes in net assets, and of cash flows and the financial highlights present fairly, in all material respects, the financial position of the TIFF Short-Term Fund (the “Fund”) as of December 31, 2016, and the results of its operations, the changes in its net assets, its cash flows and the financial highlights for the year then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities as of December 31, 2016 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion. The financial statements as of and for the year ended December 31, 2015 and the financial highlights for each of the periods ended on or prior to December 31, 2015 (not presented herein, other than the statement of changes in net assets and the financial highlights) were audited by other auditors whose report dated February 29, 2016 expressed an unqualified opinion on those financial statements and financial highlights.

[GRAPHIC MISSING] 

Philadelphia, Pennsylvania
March 1, 2017

72


 
 

TABLE OF CONTENTS

TIFF Short-Term FundDecember 31, 2016 
 Additional Information (Unaudited)

Change in Independent Registered Public Accounting Firm

TIP’s board selected PricewaterhouseCoopers LLP (“PwC”) to serve as the funds’ independent registered public accounting firm for the funds’ fiscal year ended December 31, 2016. The decision to select PwC was recommended by the funds’ Audit Committee and was approved by TIP’s board on March 15, 2016. During the funds’ fiscal years ended December 31, 2015 and December 31, 2014 and the subsequent interim period through March 15, 2016, neither TIP, the funds, nor anyone on their behalf consulted with PwC on any items which (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the funds’ financial statements; or (ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(v) of said Item 304).

The decision to dismiss Ernst & Young (“EY”), the funds’ former independent registered public accounting firm, and to select PwC does not reflect any disagreements with or dissatisfaction by the funds, the funds’ Audit Committee or TIP’s board with the performance of EY. EY’s reports on the funds’ financial statements for the fiscal years ended December 31, 2015 and December 31, 2014 contained no adverse opinion or disclaimer of opinion nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During the funds’ fiscal years ended December 31, 2015 and December 31, 2014, and through March 15, 2016, (i) there were no disagreements with EY on any matter of accounting principles or practices, financial statement disclosure, or audit scope or procedure, which disagreements, if not resolved to the satisfaction of EY, would have caused them to make reference to the subject matter of the disagreements in connection with their reports on the funds’ financial statements for such years, and (ii) there were no “reportable events” of the kind described in Item 304(a)(1)(v) of Regulation S-K.

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 TIFF’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 (“SEC”) at http://www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities during the most recent 12-month year ended June 30 is also available on the websites noted above and without charge, upon request, by calling 800-984-0084.

Quarterly Reporting

TIP files its complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. TIP’s Form N-Q is available without charge, upon request, by calling 800-984-0084. This information is also available on the website of the SEC at http://www.sec.gov. TIP’s Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. In addition TIP’s portfolio holdings are available on a monthly basis on the TIFF website at http://www.tiff.org.

73


 
 

TABLE OF CONTENTS

Trustees and Principal Officers (Unaudited)  

The board of TIP comprises experienced institutional investors, including current or former senior officers of leading endowments and foundations. Among the responsibilities of the board are approving the selection of the investment advisor and money managers for TIP; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees; and electing TIP officers.

Each trustee serves the fund until his or her termination, or until the trustee’s retirement, resignation, or death, or otherwise as specified in TIP’s Agreement and Declaration of Trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is 170 N. Radnor Chester Road, Suite 300, Radnor, PA, 19087.

The Statement of Additional Information has additional information regarding the board. A copy is available upon request without charge by calling 800-984-0084. This information is also available on the website of the SEC at http://www.sec.gov.

Independent Trustees

 
William F. McCalpin
    
Born 1957
Trustee since February 2008
Board Chair since 2008
2 funds overseen
  Principal Occupation(s) During the Past Five Years:
Managing Partner, Impact Investments, Athena Capital Advisors, LLC, an independent registered investment advisor (2016 – present);
Managing Director, Holos Consulting LLC, a consultant to foundations
and non-profit organizations (2009 – present); Chair of the Board of
Trustees of The Janus Funds (2008 – present); Trustee of The Janus
Funds (2002 – present) (58 funds overseen). Formerly, Chief Executive
Officer, Imprint Capital Advisors, LLC, an investment advisor exclusively focused on impact investing (2013 – 2015).
Other Directorships: FB Heron Foundation; Mutual Fund Directors Forum.
Craig R. Carnaroli
    
Born 1963
Trustee since January 2012
2 funds overseen
  Principal Occupation(s) During the Past Five Years:
Executive Vice President, University of Pennsylvania.
Other Directorships: University City District; University City Science
Center; Philadelphia Industrial Development Corporation; Visit
Philadelphia; The Connelly Foundation.
Amy B. Robinson
    
Born 1967
Trustee since September 2013
2 funds overseen
  Principal Occupation(s) During the Past Five Years:
Vice President, Chief Financial Officer and Chief Operating Officer, The Kresge Foundation.
Other Directorships: Member of the Detroit Riverfront Conservancy
Audit Committee, Non-Trustee Advisor to the UAW Retiree Medical Benefits Trust Audit Committee, Member of Financial Accounting Standards Board (FASB) Not-For-Profit Advisory Committee, and Member of the Foundation Financial Officers Group.
Mark L. Baumgartner
    
Born 1969
Trustee since September 2016
2 funds overseen
  Principal Occupation(s) During the Past Five Years:
Chief Investment Officer, Institute for Advanced Study, a private, independent academic institution (2014 – present); Direct of Asset Allocation and Risk, Ford Foundation (2009 – 2013).
Other Directorships: Trustee, YMCA Retirement Fund.

74


 
 

TABLE OF CONTENTS

Trustees and Principal Officers (Unaudited)  

Principal Officers

 
Richard J. Flannery
    
Born 1957
President and CEO
since September 2003
  Principal Occupation(s) During the Past Five Years:
CEO, TIFF Advisory Services, Inc.; President and CEO,
TIFF Investment Program.
Directorships: TIFF Advisory Services, Inc., The Nelson Foundation.
Investment Committee member, Financial Industry Regulatory
Authority (FINRA), Compensation Committee member,
Mercy Investment Services, Inc., and Advisor to the Board, Catholic Investment Services, Inc.
Dawn I. Lezon
    
Born 1965
CFO and Treasurer
since January 2009
(Vice President and Assistant Treasurer, September 2006 – December 2008)
  Principal Occupation(s) During the Past Five Years:
Vice President/Treasurer, TIFF Advisory Services, Inc.
Kelly A. Lundstrom
    
Born 1964
Vice President
since September 2006
  Principal Occupation(s) During the Past Five Years:
Vice President, TIFF Advisory Services, Inc.
Richelle S. Maestro
    
Born 1957
Vice President and Chief Legal Officer since March 2006,
Secretary since December 2011
  Principal Occupation(s) During the Past Five Years:
Vice President/General Counsel, TIFF Advisory Services, Inc.
Secretary, TIFF Advisory Services, Inc. (2011 – present).
Christian A. Szautner
    
Born 1972
CCO since July 2008
  Principal Occupation(s) During the Past Five Years:
Vice President/Chief Compliance Officer, TIFF Advisory Services, Inc.
Jay L. Willoughby
    
Born 1958
Chief Investment Officer
since December 2015
  Principal Occupation(s) During the Past Five Years:
Chief Investment Officer, TIFF Advisory Services, Inc. (2015 – present);
CIO, Alaska Permanent Fund Corp., a sovereign wealth fund of the State of Alaska (2011 – 2015); Co-Managing Partner, Ironbound Capital Management, a global long-short equity hedge fund (2006 – 2011).

75


 
 

TABLE OF CONTENTS

TIFF Investment Program

MONEY MANAGERS AND ACQUIRED FUND (“AF”) MANAGERS

TIFF Multi-Asset Fund
AJO, LP
Amundi Smith Breeden LLC
Canyon Capital Advisors LLC (AF)
Convexity Capital Management LP (AF)
Farallon Capital Management, LLC (AF)
Fundsmith, LLP
Glenhill Capital Advisors, LLC
Hosking Partners LLP
Hudson Bay Capital Management LP (AF)
Kopernik Global Investors, LLC
Lansdowne Partners (UK), LLP
Lansdowne Partners Limited (AF)
Latimer Light Capital, LP (AF)
Marathon Asset Management, LLP
Mission Value Partners, LLC
Mondrian Investment Partners Limited
Neuberger Berman Asia Limited
Och-Ziff Capital Management Group (AF)
QVT Financial LP (AF)
Shapiro Capital Management LLC
TB Alternative Assets Ltd. (“Trustbridge”)
TIFF Advisory Services, Inc.

TIFF Short-Term Fund
TIFF Advisory Services, Inc.

 
[GRAPHIC MISSING]    ADVISOR
TIFF Advisory Services, Inc.

170 N. Radnor Chester Road
Suite 300
Radnor, PA 19087
phone    610-684-8200
fax         610-684-8210

CUSTODIAN
ACCOUNTING AGENT
TRANSFER AGENT
DIVIDEND DISBURSING AGENT
FUND ADMINISTRATOR

State Street Bank and Trust Company
One Iron Street
Boston, MA 02210

FUND DISTRIBUTOR
Foreside Fund Services, LLC
3 Canal Plaza
Suite 100
Portland, ME 04101

FUND COUNSEL
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103

INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM

PricewaterhouseCoopers LLP
2001 Market Street
Suite 1800
Philadelphia, PA 19103
 

 

 

Investors should consider the investment objectives, risks and charges and expenses of a fund carefully before investing. The prospectus contains this and other information about the funds. A prospectus may be obtained by contacting TIFF at 800-984-0084 or by visiting TIFF’s website at www.tiff.org. Please read the prospectus carefully before investing. The SEC does not approve or disapprove of the securities mentioned in this report. Mutual fund investing involves risk. Principal loss is possible.

 

 

Item 2. Code of Ethics

 

The Registrant has adopted a Code of Ethics that applies to the Chief Executive Officer and Chief Financial Officer pursuant to the Sarbanes-Oxley Act of 2002. For the year ended December 31, 2016, there were no amendments or waivers granted from any provision of the Code of Ethics. A copy of the Registrant’s Code of Ethics is filed with this Form N-CSR under item 12 (a)(1).

 

Item 3. Audit Committee Financial Expert.

 

The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The audit committee financial experts serving on the Registrant’s audit committee are Craig R. Carnaroli and Amy B. Robinson, each of whom is “independent” as defined in Item 3 of Form N-CSR.

 

Item 4. Principal Accountant Fees and Services.

 

(a)AUDIT FEES: The aggregate fees billed for professional services rendered by the Registrant’s current independent auditors, PricewaterhouseCoopers LLP, for the audit of the Registrant’s annual financial statements for the fiscal year ended December 31, 2016 were $154,100. The aggregate fees billed for professional services rendered by the Registrant’s former independent auditors, Ernst & Young LLP, for the audit of the Registrant’s annual financial statements for the fiscal year ended December 31, 2015 were $152,965. PricewaterhouseCoopers LLP was not the Registrant’s independent auditor during 2015.

 

(b)AUDIT-RELATED FEES: Audit-Related Fees are for assurance and related services by the Registrant’s independent accountant that are reasonably related to the performance of the audit or review of the Registrant’s financial statements, but are not reported as audit fees.  No such fees billed by PricewaterhouseCoopers LLP to the Registrant for the fiscal year ended December 31, 2016. Fees billed by Ernst &Young LLP to the Registrant for the fiscal year ended December 31, 2015 were $3,700.  These fees were for the review of the Registrant’s semi-annual report.

 

(c)TAX FEES: The aggregate fees billed to the Registrant for professional services rendered by Ernst & Young LLP, for the fiscal years ended December 31, 2016 and 2015 were $134,935 and $77,495, respectively. These fees were for tax compliance, tax advice, and tax planning, including excise tax distribution and tax return review services.

 

(d)ALL OTHER FEES: No such fees were billed to the Registrant for the fiscal years ended December 31, 2016 or 2015.

 

(e)(1) AUDIT COMMITTEE PRE-APPROVAL POLICY: The Registrant's audit committee has delegated the authority to pre-approve the provision of audit and non-audit services to the chair of the audit committee; provided, however, that such pre-approval of audit or non-audit services is subject to ratification by the full audit committee at their next regularly scheduled audit committee meeting.

 

(2) Not applicable.

 

(f)Not applicable.

 

 

 

 

(g)In addition to amounts reported in (a) through (d) above, the aggregate non-audit fees billed by PricewaterhouseCoopers LLP for services rendered to the Registrant, and to the Registrant’s Investment Adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for the fiscal year ended December 31, 2016 were $205,955. The aggregate non-audit fees billed by Ernst & Young LLP for services rendered to the Registrant, and to the Registrant’s Investment Adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for the fiscal year ended December 31, 2015 were $242,235.

 

(h)The Registrant’s audit committee of the Board of Trustees has considered the provision of non-audit services rendered to or paid for by the Registrant’s Investment Adviser to be compatible with maintaining the principal accounting firm’s independence.

 

Item 5. Audit Committee of Listed Registrants.

 

Not applicable.

 

Item 6. Schedule of Investments.

 

Included in Item 1.

 

Item 7. Disclosure of Proxy Voting Policies and Procedure for Closed-End Management Investment Companies.

 

Not applicable.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

 

Not applicable.

 

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

 

Not applicable.

 

Item 10. Submission of Matters to a Vote of Security Holders.

 

During the reporting period, there were no material changes to the procedures by which members may recommend nominees to the Registrant’s board of trustees.

 

Item 11. Controls and Procedures.

 

(a) The Registrant's Chief Executive Officer and Chief 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 (17 CFR 270.30a-3(c))) (the “1940 Act”) 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 required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)) 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 most recent fiscal quarter of the period covered by this report that have materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

 

 

 

Item 12. Exhibits

 

(a)(1) Code of Ethics as described in item 2 is attached.

 

(a)(2) Certification of Chief Executive Officer and Chief 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 99.CERT.

 

(a)(3) Not applicable to this filing.

 

(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 13a-14(b) or Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a – 14(b) or 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 99.906.CERT.

 

 

 

 

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
   
   
By (Signature and Title)  /s/ Richard J. Flannery
   Richard J. Flannery, President and Chief Executive Officer
   
Date March 1, 2017  

 

 

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 Chief Executive Officer
   
Date March 1, 2017  

 

By (Signature and Title) /s/ Dawn I. Lezon
  Dawn I. Lezon, Treasurer and Chief Financial Officer
   
Date March 1, 2017