SEMI-ANNUAL REPORT AS OF
SEPTEMBER 30, 1996 (UNAUDITED)
SEI ASSET
ALLOCATION TRUST
===============================================================================
Diversified Conservative Income
===============================================================================
Diversified Conservative
===============================================================================
Diversified Moderate Growth
===============================================================================
Diversified Global Growth
===============================================================================
Diversified U.S. Stock
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[LOGO]
SEI
<PAGE>
TABLE OF CONTENTS
===============================================================================
STATEMENT OF NET ASSETS.............................................. 1
STATEMENT OF OPERATIONS.............................................. 4
STATEMENTS OF CHANGES IN NET ASSETS.................................. 5
FINANCIAL HIGHLIGHTS................................................. 6
NOTES TO FINANCIAL STATEMENTS........................................ 7
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI ASSET ALLOCATION TRUST -- SEPTEMBER 30, 1996 (UNAUDITED)
DIVERSIFIED CONSERVATIVE
INCOME FUND
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
EQUITY FUNDS -- 25.0%
SEI Institutional Managed Trust
Large Cap Growth Portfolio 15,533 $ 233
SEI Institutional Managed Trust
Large Cap Value Portfolio 14,084 208
SEI Institutional Managed Trust
Small Cap Growth Portfolio 2,069 42
SEI Institutional Managed Trust
Small Cap Value Portfolio 3,143 41
-------
TOTAL EQUITY FUNDS
(Cost $501) 524
-------
FIXED INCOME FUNDS -- 53.5%
SEI Institutional Managed Trust
Core Fixed Income Portfolio
(Cost $1,112) 109,431 1,120
-------
MONEY MARKET FUNDS -- 19.1%
SEI Liquid Asset Trust Prime
Obligation Portfolio
(Cost $400) 399,606 400
------
TOTAL INVESTMENTS -- 97.6%
(Cost $2,013) 2,044
------
OTHER ASSETS AND LIABILITIES -- 2.4%
Other Assets and Liabilities, Net 51
------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 169,845 outstanding shares
of beneficial interest 1,721
Portfolio Shares of Class D (unlimited
authorization -- no par value) based on
32,388 outstanding shares
of beneficial interest 325
Undistributed net investment income 17
Accumulated net realized gain on investments 1
Net unrealized appreciation on investments 31
------
TOTAL NET ASSETS-- 100.0% $2,095
======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS A $10.37
======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS D $10.33
======
DIVERSIFIED CONSERVATIVE
FUND
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
EQUITY FUNDS -- 40.6%
SEI Institutional Managed Trust
Large Cap Growth Portfolio 30,357 $ 456
SEI Institutional Managed Trust
Large Cap Value Portfolio 27,708 410
SEI Institutional Managed Trust
Small Cap Growth Portfolio 3,304 68
SEI Institutional Managed Trust
Small Cap Value Portfolio 7,313 96
SEI International Trust Core
International Equity Portfolio 23,269 243
------
TOTAL EQUITY FUNDS
(Cost $1,209) 1,273
------
FIXED INCOME FUNDS -- 56.9%
SEI Institutional Managed Trust
Core Fixed Income Portfolio 129,657 1,326
SEI International Trust Fixed
Income Portfolio 41,038 455
------
TOTAL FIXED INCOME FUNDS
(Cost $1,788) 1,781
------
MONEY MARKET FUNDS -- 1.0%
SEI Liquid Asset Trust Prime
Obligation Portfolio
(Cost $30) 30,126 30
------
TOTAL INVESTMENTS -- 98.5%
(Cost $3,027) 3,084
------
OTHER ASSETS AND LIABILITIES -- 1.5%
Other Assets and Liabilities, Net 48
------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 151,962 outstanding shares
of beneficial interest 1,410
Portfolio Shares of Class D (unlimited
authorization -- no par value) based
on 176,346 outstanding shares
of beneficial interest 1,631
Undistributed net investment income 13
Accumulated net realized gain on investments 21
Net unrealized appreciation on investments 57
------
TOTAL NET ASSETS-- 100.0% $3,132
======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS A $9.56
======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS D $9.52
======
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
1
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI ASSET ALLOCATION TRUST -- SEPTEMBER 30, 1996 (UNAUDITED)
DIVERSIFIED MODERATE
GROWTH FUND
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
EQUITY FUNDS -- 60.3%
SEI Institutional Managed Trust
Large Cap Growth Portfolio 191,433 $ 2,877
SEI Institutional Managed Trust
Large Cap Value Portfolio 180,363 2,666
SEI Institutional Managed Trust
Small Cap Growth Portfolio 20,018 410
SEI Institutional Managed Trust
Small Cap Value Portfolio 40,474 533
SEI International Trust Core
International Equity Portfolio 149,097 1,554
-------
TOTAL EQUITY FUNDS
(Cost $7,692) 8,040
-------
FIXED INCOME FUNDS -- 38.2%
SEI Institutional Managed Trust
Core Fixed Income Portfolio 369,569 3,781
SEI International Trust Fixed
Income Portfolio 118,364 1,311
-------
TOTAL FIXED INCOME FUNDS
(Cost $5,057) 5,092
-------
MONEY MARKET FUNDS -- 1.0%
SEI Liquid Asset Trust Prime
Obligation Portfolio
(Cost $129) 129,314 129
-------
TOTAL INVESTMENTS -- 99.5%
(Cost $12,878) 13,261
-------
OTHER ASSETS AND LIABILITIES -- 0.5%
Other Assets and Liabilities, Net 62
-------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
725,805 outstanding shares of
beneficial interest 7,419
Portfolio Shares of Class D (unlimited
authorization -- no par value) based on
550,941 outstanding shares of beneficial interest 5,489
Undistributed net investment income 36
Accumulated net realized loss on investments (4)
Net unrealized appreciation on investments 383
-------
OTAL NET ASSETS-- 100.0% $13,323
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS A $10.46
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS D $10.41
=======
DIVERSIFIED GLOBAL
GROWTH FUND
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
EQUITY FUNDS -- 84.0%
SEI Institutional Managed Trust
High Yield Bond Portfolio 40,597 $ 452
SEI Institutional Managed Trust
Large Cap Growth Portfolio 190,176 2,858
SEI Institutional Managed Trust
Large Cap Value Portfolio 178,091 2,632
SEI Institutional Managed Trust
Small Cap Growth Portfolio 23,677 486
SEI Institutional Managed Trust
Small Cap Value Portfolio 43,832 577
SEI International Trust Core
International Equity Portfolio 169,764 1,769
SEI International Trust Emerging
Markets Equity Portfolio 74,063 857
-------
TOTAL EQUITY FUNDS
(Cost $9,174) 9,631
-------
FIXED INCOME FUNDS -- 14.5%
SEI Institutional Managed Trust
Core Fixed Income Portfolio 130,094 1,331
SEI International Trust Fixed
Income Portfolio 30,277 336
-------
TOTAL FIXED INCOME FUNDS
(Cost $1,653) 1,667
-------
MONEY MARKET FUNDS -- 1.0%
SEI Liquid Asset Trust Prime
Obligation Portfolio
(Cost $110) 109,984 110
-------
TOTAL INVESTMENTS -- 99.5%
(Cost $10,937) $11,408
-------
OTHER ASSETS AND LIABILITIES -- 0.5%
Other Assets and Liabilities, Net 53
-------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
524,291 outstanding shares of beneficial
interest 5,290
Portfolio Shares of Class D (unlimited
authorization -- no par value) based on
576,503 outstanding shares
of beneficial interest 5,696
Undistributed net investment income 13
Accumulated net realized loss on investments (9)
Net unrealized appreciation on investments 471
-------
TOTAL NET ASSETS-- 100.0% 11,461
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS A $10.43
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS D $10.39
=======
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
2
<PAGE>
DIVERSIFIED U.S. STOCK FUND
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
EQUITY FUNDS -- 98.6%
SEI Institutional Managed Trust
Large Cap Growth Portfolio 282,763 $4,250
SEI Institutional Managed Trust
Large Cap Value Portfolio 271,557 4,013
SEI Institutional Managed Trust
Small Cap Growth Portfolio 34,275 703
SEI Institutional Managed Trust
Small Cap Value Portfolio 66,655 878
-------
TOTAL EQUITY FUNDS
(Cost $9,252) 9,844
-------
MONEY MARKET FUNDS -- 0.9%
SEI Liquid Asset Trust Prime
Obligation Portfolio
(Cost $95) 94,677 95
-------
TOTAL INVESTMENTS -- 99.5%
(Cost $9,347) 9,939
-------
OTHER ASSETS AND LIABILITIES -- 0.5%
Other Assets and Liabilities, Net 46
-------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
448,724 outstanding shares of beneficial
interest 4,639
Portfolio Shares of Class D (unlimited
authorization -- no par value) based on
488,805 outstanding shares
of beneficial interest 4,816
Distributions in excess of net investment
income (1)
Accumulated net realized loss on investments (61)
Net unrealized appreciation on investments 592
-------
TOTAL NET ASSETS-- 100.0% $9,985
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS A $10.68
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS D $10.63
=======
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
3
<PAGE>
STATEMENT OF OPERATIONS (000)
===============================================================================
SEI ASSET ALLOCATION TRUST -- FOR THE PERIOD ENDED SEPTEMBER 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
------------ ------------ ----------- ----------- ------------
DIVERSIFIED DIVERSIFIED DIVERSIFIED
CONSERVATIVE DIVERSIFIED MODERATE GLOBAL DIVERSIFIED
INCOME CONSERVATIVE GROWTH GROWTH U.S. STOCK
FUND (1) FUND (2) FUND (3) FUND (4) FUND (5)
------------ ------------ ----------- ----------- ------------
INVESTMENT INCOME:
Dividends $ 19 $ 17 $ 52 $ 29 $ 11
---- ---- ---- ---- ----
EXPENSES:
Administration fees 1 1 5 5 4
Less administration fees waived (1) (1) (5) (5) (4)
Investment advisory fees -- 1 3 2 2
Less investment advisory fees waived -- (1) (3) (2) (2)
Contribution from administrator (26) (21) (35) (35) (42)
Custodian fees -- -- 1 1 1
Transfer agent fees 11 10 13 13 14
Professional fees 2 2 4 4 5
Registration & filing fees 7 6 8 8 9
Printing 5 3 9 10 13
Trustee -- -- 1 1 1
Distribution & shareholder
servicing fees* 1 3 11 12 9
Amortization of deferred
organization costs 1 1 1 1 1
Miscellaneous expense -- -- 1 1 1
---- ---- ---- ---- ----
Total expenses 1 4 14 16 12
---- ---- ---- ---- ----
NET INVESTMENT INCOME (LOSS) 18 13 38 13 (1)
---- ---- ---- ---- ----
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net realized gain (loss) from
security transactions -- 22 (4) (9) (61)
Net change in unrealized
appreciation on investments 31 57 383 471 592
---- ---- ---- ---- ----
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 49 $ 92 $417 $475 $530
==== ==== ==== ==== ====
<FN>
*ALL DISTRIBUTION AND SHAREHOLDER SERVICING FEES ARE INCURRED AT THE CLASS D LEVEL.
(1) COMMENCED OPERATIONS 06/13/96.
(2) COMMENCED OPERATIONS 06/26/96.
(3) COMMENCED OPERATIONS 05/30/96.
(4) COMMENCED OPERATIONS 05/30/96.
(5) COMMENCED OPERATIONS 05/13/96.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
4
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
===============================================================================
SEI ASSET ALLOCATION TRUST -- FOR THE PERIOD ENDED SEPTEMBER 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
----------- ---------- ------------ ----------- -----------
DIVERSIFIED DIVERSIFIED DIVERSIFIED
CONSERVATIVE DIVERSIFIED MODERATE GLOBAL DIVERSIFIED
INCOME CONSERVATIVE GROWTH GROWTH U.S. STOCK
FUND (1) FUND (2) FUND (3) FUND (4) FUND (5)
----------- ---------- ------------ ----------- -----------
OPERATIONS:
Net investment income (loss) $ 18 $ 13 $ 38 $ 13 $ (1)
Net realized gain (loss) from security transactions -- 22 (4) (9) (61)
Net change in unrealized appreciation on investments 31 57 383 471 592
-------- -------- -------- -------- --------
Net increase in net assets resulting from operations 49 92 417 475 530
-------- -------- -------- -------- --------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (1) -- (2) -- --
Class D -- -- -- -- --
-------- -------- -------- -------- --------
Total dividends distributed (1) -- (2) -- --
-------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from shares issued 1,832 1,417 7,896 5,497 6,439
Shares issued in lieu of cash distributions 1 -- 2 -- --
Cost of shares repurchased (207) (8) (479) (207) (1,800)
-------- -------- -------- -------- --------
Increase in net assets derived from Class A transactions 1,626 1,409 7,419 5,290 4,639
-------- -------- -------- -------- --------
CLASS D:
Proceeds from shares issued 330 3,124 7,220 6,736 5,764
Shares issued in lieu of cash distributions -- -- -- -- --
Cost of shares repurchased (6) (1,494) (1,732) (1,041) (949)
-------- -------- -------- -------- --------
Increase in net assets derived from Class D transactions 324 1,630 5,488 5,695 4,815
-------- -------- -------- -------- --------
Increase in net assets derived from capital
share transactions 1,950 3,039 12,907 10,985 9,454
-------- -------- -------- -------- --------
Net increase in net assets 1,998 3,131 13,322 11,460 9,984
-------- -------- -------- -------- --------
NET ASSETS:
Beginning of period 97 1 1 1 1
-------- -------- -------- -------- --------
End of period $ 2,095 $ 3,132 $ 13,323 $ 11,461 $ 9,985
-------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Shares issued 181 153 773 544 626
Shares issued in lieu of cash distributions -- -- -- -- --
Shares repurchased (21) (1) (47) (20) (178)
-------- -------- -------- -------- --------
Total Class A transactions 160 152 726 524 448
-------- -------- -------- -------- --------
CLASS D:
Shares issued 33 337 723 681 584
Shares issued in lieu of cash distributions -- -- -- -- --
Shares repurchased (1) (161) (172) (104) (95)
-------- -------- -------- -------- --------
Total Class D transactions 32 176 551 577 489
-------- -------- -------- -------- --------
Increase in capital shares 192 328 1,277 1,101 937
======== ======== ======== ======== ========
<FN>
(1) COMMENCED OPERATIONS 06/13/96.
(2) COMMENCED OPERATIONS 06/26/96.
(3) COMMENCED OPERATIONS 05/30/96.
(4) COMMENCED OPERATIONS 05/30/96.
(5) COMMENCED OPERATIONS 05/13/96.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
5
<PAGE>
FINANCIAL HIGHLIGHTS
===============================================================================
SEI ASSET ALLOCATION TRUST -- (UNAUDITED)
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD ENDED SEPTEMBER 30, 1996
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
NET
NET ASSET NET NET REALIZED AND DIVIDENDS ASSET
VALUE INVESTMENT UNREALIZED FROM NET VALUE NET ASSETS
BEGINNING INCOME/ GAINS ON INVESTMENT END OF TOTAL END OF
OF PERIOD (LOSS) SECURITIES INCOME PERIOD RETURN PERIOD (000)
-------------------------------------------------------------------------------------------------------------------
- -------------------------------------
DIVERSIFIED CONSERVATIVE INCOME FUND
- -------------------------------------
CLASS A
Period Ended
09/30/96(1) $10.12 $0.05 $0.21 ($0.01) $10.37 2.57%** $1,761
CLASS D
Period Ended
09/30/96(2) $10.09 $0.08 $0.17 ($0.01) $10.33 2.47%** $334
- -------------------------------
DIVERSIFIED CONSERVATIVE FUND
- -------------------------------
CLASS A
Period Ended
09/30/96(3) $9.26 ($0.09) $0.39 $0.00 $9.56 3.25%** $1,453
CLASS D
Period Ended
09/30/96(4) $9.33 $0.03 $0.16 $0.00 $9.52 2.04%** $1,679
---------------------------------
DIVERSIFIED MODERATE GROWTH FUND
- ---------------------------------
CLASS A
Period Ended
09/30/96(5) $10.19 $0.03 $0.24 $0.00 $10.46 2.69%** $7,589
CLASS D
Period Ended
09/30/96(6) $10.21 $0.01 $0.19 $0.00 $10.41 1.96%** $5,734
--------------------------------
DIVERSIFIED GLOBAL GROWTH FUND
- --------------------------------
CLASS A
Period Ended
09/30/96(1) $10.19 $0.02 $0.22 $0.00 $10.43 2.37%** $5,470
(0.54%)* 19%
CLASS D
Period Ended
09/30/96(6) $10.24 $0.00 $0.15 $0.00 $10.39 1.46%** $5,991
-------------------------------
DIVERSIFIED U.S. STOCK FUND
- -------------------------------
CLASS A
Period Ended
09/30/96(7) $10.27 $0.02 $0.39 $0.00 $10.68 3.99%** $4,791
CLASS D
Period Ended
09/30/96(4) $10.36 ($0.02) $0.29 $0.00 $10.63 2.61%** $5,194
RATIO OF
RATIO OF NET RATIO NET INVESTMENT
RATIO OF INVESTMENT OF EXPENSES INCOME(LOSS)
EXPENSES INCOME/ TO AVERAGE TO AVERAGE
TO AVERAGE (LOSS) TO NET ASSETS NET ASSETS PORTFOLIO
NET AVERAGE (EXCLUDING (EXCLUDING TURNOVER
ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
- ---------------------------------------------------------------------------------------------------------------
- -------------------------------------
DIVERSIFIED CONSERVATIVE INCOME FUND
- -------------------------------------
CLASS A
Period Ended
09/30/96(1) 0.12%* 4.37%* 5.58%* (1.09%)* 16%
CLASS D
Period Ended
09/30/96(2) 1.12%* 3.24%* 11.16%* (6.80%)* 16%
-------------------------------
DIVERSIFIED CONSERVATIVE FUND
- -------------------------------
CLASS A
Period Ended
09/30/96(3) 0.12%* 2.81%* 4.63%* (1.70%)* 89%
CLASS D
Period Ended
09/30/96(4) 1.12%* 1.59%* 4.05%* (1.34%)* 89%
---------------------------------
DIVERSIFIED MODERATE GROWTH FUND
- ---------------------------------
CLASS A
Period Ended
09/30/96(5) 0.12%* 2.03%* 1.64%* 0.51%* 29%
CLASS D
Period Ended
09/30/96(6) 1.12%* 0.66%* 2.90%* (1.12%)* 29%
-------------------------------
DIVERSIFIED GLOBAL GROWTH FUND
- --------------------------------
CLASS A
Period Ended
09/30/96(1) 0.12%* 1.38%* 2.04%* (0.54%)* 19%
CLASS D
Period Ended
09/30/96(6) 1.12%* (0.01%)* 2.85%* (1.74%)* 19%
-------------------------------
DIVERSIFIED U.S. STOCK FUND
- -------------------------------
CLASS A
Period Ended
09/30/96(7) 0.12%* 0.84%* 2.63%* (1.67%)* 43%
CLASS D
Period Ended
09/30/96(4) 1.12%* (1.07%)* 2.90%* (2.85%)* 43%
<FN>
* ANNUALIZED.
** TOTAL RETURN HAS NOT BEEN ANNUALIZED.
(1) COMMENCED OPERATIONS 06/13/96.
(2) COMMENCED OPERATIONS 06/21/96.
(3) COMMENCED OPERATIONS 06/26/96.
(4) COMMENCED OPERATIONS 07/01/96.
(5) COMMENCED OPERATIONS 06/10/96.
(6) COMMENCED OPERATIONS 05/30/96.
(7) COMMENCED OPERATIONS 05/13/96.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
6
<PAGE>
NOTES TO FINANCIAL STATEMENTS
===============================================================================
SEI ASSET ALLOCATION TRUST -- SEPTEMBER 30, 1996 (UNAUDITED)
1. ORGANIZATION:
The Trust is organized as a Massachusetts Business Trust under a Declaration of
Trust dated November 20, 1995 and had no operations through May 12, 1996, other
than those related to organizational matters and the sale of initial shares to
SEI Fund Management (the "Manager"). Each Fund and class of shares commenced
operations upon the purchase of fund shares other than the initial shares
purchased by the Manager. The Trust is registered under the Investment Company
Act of 1940, as amended, as an open-end investment company with five diversified
Funds: Diversified Conservative Income Fund, Diversified Conservative Fund,
Diversified Moderate Growth Fund, Diversified Global Growth Fund, and
Diversified U.S. Stock Fund. Each Fund offers shareholders the opportunity to
invest in certain of the underlying Portfolios, which are separately- managed
series of the following investment companies: SEI Institutional Managed Trust,
SEI International Trust, SEI Liquid Asset Trust. The Declaration of Trust
permits the Trust to offer separate classes of shares in each Fund, Class A
Shares and Class D Shares. The assets of each Fund are segregated, and a
shareholder's interest is limited to the Fund in which shares are held. The
Fund's prospectus provides a description of each Fund's investment objectives,
policies and strategies.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of the significant accounting policies followed by
the Funds.
NET ASSET VALUE PER SHARE -- The net asset value per share of each Fund or
class of shares is calculated each business day. In general, it is computed by
dividing the assets of each Fund or class of shares less its liabilities, by the
number of outstanding shares of the Fund or class. The assets of each Fund
consist primarily of the underlying Portfolios, which are valued at their
respective net asset values. The underlying Portfolios' investments in equity
securities which are traded on a national securities exchange (or reported on
NASDAQ national market system) are stated at the last quoted sales price if
readily available for such equity securities on each business day; other equity
securities traded in the over-the-counter market and listed equity securities
for which no sale price was reported on that date are stated at the last quoted
bid price. Debt obligations with remaining maturities in excess of sixty days
are valued at the most recently quoted bid price. Debt obligations with
remaining maturities of sixty days or less are valued at their amortized cost.
FEDERAL INCOME TAXES -- It is each Fund's intention to qualify as a
regulated investment company for Federal income tax purposes by complying with
the appropriate provisions of the Internal Revenue Code. Accordingly, no
provision for Federal income taxes is required in the accompanying financial
statements.
SECURITY TRANSACTIONS AND RELATED INCOME -- Security transactions are
accounted for on the date the security is purchased or sold (trade date).
Dividend income is recognized on the ex-dividend date. Costs used in determining
realized gains and losses on the sales of investment securities are those of the
specific securities sold.
CLASSES -- Class specific expenses are borne by that class of shares.
Income, realized and unrealized gains/losses and non class-specific expenses are
allocated to the respective classes on the basis of relative daily net assets.
EXPENSES -- Expenses that are directly related to one of the Fund's are
charged directly to that Fund. Other operating expenses of the Fund are prorated
to the Funds on the basis of relative net assets.
3. INVESTMENT ADVISORY, MANAGEMENT, DISTRIBUTION AND SHAREHOLDER SERVICING
AGREEMENTS:
Under the Investment Advisory Agreement with the Trust, SEI Financial Management
Corporation ("SFM" or the "Adviser") acts as the investment adviser to each
Fund. For its investment advisory services to the Trust, the Adviser is entitled
to a fee, which is calculated daily and paid monthly, at an annual rate of .10%
of each Fund's average daily net assets.
Under the Administration Agreement with the Trust, the Manager provides the
Trust with overall management services, and shareholder servicing. For these
services to the Funds, the Manager is entitled to a fee, which is calculated
daily and paid
7
<PAGE>
NOTES TO FINANCIAL STATEMENTS
===============================================================================
SEI ASSET ALLOCATION TRUST -- SEPTEMBER 30, 1996 (UNAUDITED)
monthly, at an annual rate of .20% of the average daily net assets of each Fund.
The Manager and the Adviser have agreed to waive their fee so that the total
annual expenses of each fund will not exceed the lower of the maximum
limitations established by certain states or voluntary expense limitations
adopted by the Manager. In the event that the total annual expenses of the Fund,
after reflecting a waiver of all fees by the Manager and the Adviser exceed the
specific limitation, the Manager has agreed to bear such excess.
SEI Financial Services company (the "Distributor"), a wholly-owned
subsidiary of SEI, serves as each Fund's distributor pursuant to a distribution
agreement (the "Distribution Agreement") with the Trust. The Trustees of the
Trust have adopted a distribution and service plan for the Trust's Class D
shares (the "Class D Plan") pursuant to Rule 12b-1 under the 1940 Act. The Class
D Plan provides for payments to the distributor for distribution-related
services at an annual rate of .75% of each Fund's average daily net assets
attributable to Class D Shares. In addition, each Fund is authorized to pay the
Distributor a fee in connection with the ongoing servicing of shareholder
accounts owning such Class D Shares, calculated and payable monthly, at an
annual rate of .25% of the value of the average daily net assets attributable to
Class D Shares of the Fund.
4. ORGANIZATIONAL COSTS, AND TRANSACTIONS WITH AFFILIATES:
Organizational costs have been capitalized by the Fund and are being amortized
over 60 months commencing with operations. In the event any of the initial
shares are redeemed by any holder thereof during the period that the fund is
amortizing its organizational costs, the redemption proceeds payable to the
holder thereof by the Fund will be reduced by the unamortized organizational
costs in the same ratio as the number of initial shares being redeemed bears to
the number of initial shares outstanding at the time of the redemption. These
costs include legal fees of approximately $50,000 for organizational work
performed by a law firm of which an officer and Trustee of the Trust is a
Partner.
Certain officers of the Trust are also officers of the Manager and Adviser.
The Trust pays each unaffiliated Trustee an annual fee for attendance of
quarterly, interim and committee meetings. Compensation of officers and
affiliated Trustees of the Trust is paid by the Manager.
5. INVESTMENT TRANSACTIONS:
The cost of security purchases and the proceeds from the sale of securities
during the period ended September 30, 1996 were as follows:
Diversified Conservative Income Fund
U.S. GOVERNMENT
SECURITIES ALL OTHER TOTAL
(000) (000) (000)
--------------- --------- -------
PURCHASES.......... $-- $1,780 $1,780
SALES.............. -- 167 167
Diversified Conservative Fund
U.S. GOVERNMENT
SECURITIES ALL OTHER TOTAL
(000) (000) (000)
--------------- --------- -------
PURCHASES.......... $-- $4,515 $4,515
SALES.............. -- 1,540 1,540
Diversified Moderate Growth Fund
U.S. GOVERNMENT
SECURITIES ALL OTHER TOTAL
(000) (000) (000)
--------------- --------- -------
PURCHASES.......... $-- $14,914 $14,914
SALES.............. -- 2,161 2,161
Diversified Global Growth Fund
U.S. GOVERNMENT
SECURITIES ALL OTHER TOTAL
(000) (000) (000)
--------------- --------- -------
PURCHASES.......... $-- $12,048 $12,048
SALES.............. -- 1,213 1,213
Diversified U.S. Stock Fund
U.S. GOVERNMENT
SECURITIES ALL OTHER TOTAL
(000) (000) (000)
--------------- --------- -------
PURCHASES.......... $-- $11,830 $11,830
SALES.............. -- 2,517 2,517
8
<PAGE>
At September 30, 1996, the total cost of securities and the net realized gains
or losses on securities sold for Federal income tax purposes were not materially
different from amounts reported for financial reporting purposes. The aggregate
gross unrealized appreciation and depreciation on investment securities at
September 30, 1996 for each Fund is as follows:
NET
APPRECIATED DEPRECIATED UNREALIZED
SECURITIES SECURITIES APPRECIATION
(000) (000) (000)
----------- ----------- ------------
Diversified
Conservative
Income $ 32 $ (1) $ 31
Diversified
Conservative 65 (8) 57
Diversified
Moderate
Growth 392 (9) 383
Diversified
Global
Growth 491 (20) 471
Diversified
U.S. Stock 594 (2) 592
9
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
===============================================================================
SEI ASSET ALLOCATION TRUST
===============================================================================
SEMI-ANNUAL REPORT
===============================================================================
SEPTEMBER 30, 1996 (UNAUDITED)
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
George J. Sullivan, Jr.
OFFICERS
David G. Lee
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Stephen G. Meyer
CONTROLLER AND CHIEF FINANCIAL OFFICER
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Kathryn L. Stanton
VICE PRESIDENT, ASSISTANT SECRETARY
Sandra K. Orlow
VICE PRESIDENT, ASSISTANT SECRETARY
Joseph M. Lydon
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Barbara A. Nugent
VICE PRESIDENT, ASSISTANT SECRETARY
Marc H. Cahn
VICE PRESIDENT, ASSISTANT SECRETARY
Richard W. Grant
SECRETARY
John H. Grady, Jr.
ASSISTANT SECRETARY
INVESTMENT ADVISERS
SEI Financial Management Corporation
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Fund Management
DISTRIBUTOR
SEI Financial Services Company
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT PUBLIC ACCOUNTANTS
Price Waterhouse LLP
THIS SEMI-ANNUAL REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE
SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE TRUST AND MUST
BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. SHARES OF THE SEI FUNDS ARE
NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY, ANY BANK. THE
SHARES ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION
(FDIC), THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENT AGENCY. INVESTMENT IN
THE SHARES INVOLVES RISK, INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. SEI
FINANCIAL SERVICES COMPANY, THE DISTRIBUTOR OF THE SEI FUNDS, IS NOT AFFILIATED
WITH ANY BANK. FOR MORE INFORMATION
CALL 1(BULLET)800(BULLET)DIAL(BULLET)SEI/1(BULLET)800(BULLET)342(BULLET)5734
<PAGE>
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SEI
FINANCIAL
SERVICES
COMPANY
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Wayne, PA 19087-1658
800-DIAL-SEI/800-342-5734
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