ANNUAL REPORT AS OF
MARCH 31, 1997
SEI ASSET
ALLOCATION TRUST
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Diversified Conservative Income
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Diversified Conservative
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Diversified Global Moderate Growth
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Diversified Moderate Growth
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Diversified Global Growth
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Diversified Global Stock
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Diversified U.S. Stock
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[SEI INVESTEMENTS LOGO]
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TABLE OF CONTENTS
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MANAGEMENT'S DISCUSSION AND ANALYSIS
OF FUND PERFORMANCE............................................... 1
REPORT OF INDEPENDENT ACCOUNTANTS.................................... 10
STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS...................... 11
STATEMENT OF ASSETS AND LIABILITIES.................................. 15
STATEMENT OF OPERATIONS.............................................. 16
STATEMENT OF CHANGES IN NET ASSETS................................... 18
FINANCIAL HIGHLIGHTS................................................. 20
NOTES TO FINANCIAL STATEMENTS........................................ 21
NOTICE TO SHAREHOLDERS............................................... 24
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1997
DIVERSIFIED CONSERVATIVE
INCOME FUND
OBJECTIVES: The Diversified Conservative Income Fund seeks to provide
current income with the opportunity for capital appreciation through limited
participation in the U.S. equity markets.
STRATEGY: A significant allocation to money market and fixed income funds
should provide minimal principal volatility. The Fund is appropriate for
investors with shorter time horizons of 2 to 5 years.
The fixed income component of the Fund provides current income. Under
normal conditions, 55% of the Fund's assets are allocated to the U.S. core fixed
income strategy, which invests in intermediate-term bonds. A 20% allocation to a
money market fund provides liquidity and current income, which will fluctuate
with the general level of short-term interest rates.
Under normal conditions, 25% of the Fund is allocated to domestic equity
funds. Style diversification through style-specific equity funds lowers the
risks associated with any one particular management style. While the equity
component of the Diversified Conservative Income Fund emphasizes large cap
funds, some exposure to small cap funds is included for diversification and
enhanced returns over the longer term.
ANALYSIS: The Fund (Class A shares) had an annualized return of 7.9% for
the period starting with its inception on June 13, 1996, and ending March 31,
1997. Since July, 1996 the Fund (Class A shares) returned 7.7%, slightly below
its equivalently weighted blended benchmark return of 8.0%. Over half of the
Fund is allocated to U.S. core fixed income which returned 5.7% for the period,
in line with the Lehman Brothers Aggregate Bond Index return. The U.S. core
fixed income strategy benefited from its significant exposure to lower rated
debt and an overweight to mortgage-backed bonds, both of which had exceptionally
strong performance for the period. The longer duration of the strategy relative
to the Lehman Brothers Aggregate Bond Index detracted from returns in the
volatile interest rate environment; however, the barbell yield structure
mitigated this risk. The large cap growth portion of the Fund returned 18.0%,
outperforming its benchmark by .38% as an overweight to the technology and
financial services industries benefited the strategy. The large cap value stock
portion was up a strong 19.2%, although it underperformed its benchmark by 2.8%
due to an underweight to such industry leaders as DuPont and Exxon. The 4%
allocation to the small cap growth and small cap value strategies demonstrated
the benefits of style diversification as the negative return of the small cap
growth portion offset the positive return of the small cap value portion.
1
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1997
- --------------------------------------------------------------------------------
DIVERSIFIED CONSERVATIVE INCOME FUND (CONTINUED)
- --------------------------------------------------------------------------------
DIVERSIFIED CONSERVATIVE INCOME FUND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Cumulative
Inception Inception
to Date to Date
- --------------------------------------------------------------------------------
Diversified Conservative Income, Class A 7.90% 6.35%
- --------------------------------------------------------------------------------
Diversified Conservative Income, Class D 7.38% 5.67%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI DIVERSIFIED
CONSERVATIVE INCOME FUND, CLASS A AND CLASS D, VERSUS THE LEHMAN BROTHERS
AGGREGATE BOND INDEX, AND THE SEI COMPOSITE BENCHMARK
[LINE GRAPH]
SEI Diversified Conservative Income Fund, Class A $10,574
SEI Diversified Conservative Income Fund, Class D $10,496
SEI Composite Benchmark* $10,592
Lehman Aggregate Bond Index $10,431
[PLOT POINTS]
SEI Diversified SEI Diversified SEI Composite Lehman Aggregate
Conservative Income Conservative Income Benchmark* Bond Index
Fund, Class A Fund, Class D
10,000 10,000 10,000 10,000
10,574 10,496 10,592 10,431
1 FOR THE PERIOD ENDED MARCH 31, 1997. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. THE PERFORMANCE OF CLASS D SHARES MAY BE LOWER THAN
THE PERFORMANCE OF CLASS A SHARES BECAUSE OF DIFFERENT DISTRIBUTION FEES
PAID BY CLASS D SHAREHOLDERS. CLASS A SHARES WERE OFFERED BEGINNING
JUNE 13, 1996 AND CLASS D SHARES WERE OFFERED BEGINNING JUNE 21, 1996.
* 75% LEHMAN BROTHERS AGGREGATE BOND INDEX AND 25% WILSHIRE 5000 INDEX.
DIVERSIFIED CONSERVATIVE
FUND
OBJECTIVES: The Diversified Conservative Fund seeks to provide current
income with the opportunity for capital appreciation through limited
participation in the U.S. and international equity markets.
STRATEGY: The Fund includes significant allocations to fixed income funds
and moderate allocations to equity funds, including exposure to non-U.S. equity
and fixed income funds. It is appropriate for investors with an intermediate
time horizon of 4 to 12 years.
The U.S. fixed income component of the Fund invests in intermediate-term
bonds with maturities ranging between 5 and 10 years. Intermediate-term bonds
provide the Fund with an attractive current yield and a moderate level of
volatility. Additionally, exposure to an international fixed income fund
provides added diversification and opportunity for enhanced returns.
The Fund's allocation to U.S. equity funds includes investments in both
large cap funds and small cap funds, and provides exposure to distinct styles of
equity fund management. An allocation to an international stock fund provides
additional diversification. The remainder of the Fund is allocated to a money
market fund, providing liquidity and facilitating transactions.
ANALYSIS: The Fund (Class A shares) had an annualized return of 8.68% for
the period starting with its inception on June 26, 1996, and ending March 31,
1997. Since July, 1996 the Fund (Class A shares)returned 7.9%, outperforming its
blended benchmark return by .70%. A little under half of the portfolio is
allocated to the U.S. core fixed income strategy which returned 5.7% for the
period, in line with the Lehman Brothers Aggregate Bond Index return. The
strategy benefited from its significant exposure to lower rated debt and an
overweight to mortgage-backed bonds, both of which had exceptionally strong
performance for the period. The longer duration of the strategy detracted from
returns in the volatile interest rate environment; however, the barbell yield
structure mitigated this risk. International fixed income returns were flat, but
the strategy added to outperformance by beating its bench-
2
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mark by 1.10%. This outperformance can mainly be attributed to a relatively
small exposure to the U.S. dollar. By maintaining a small exposure to the
dollar, the strategy was able to avoid the negative international bond market
returns attributed to the dollar's appreciation. The U.S. large cap growth
portion of the portfolio outperformed its benchmark by close to 4.0% during this
period as strong stock selection within the technology and financial services
industry buoyed returns. The large cap value strategy was up 19.2% for the
period although it underperformed it benchmark by 2.8%. The 6% allocation to
small cap value and small cap growth had little effect as the losses from the
small cap growth strategy offset the gains from the small cap value portion.
Finally, the international equity portion of the Fund contributed marginally as
it outperformed its benchmark by .90%.
- --------------------------------------------------------------------------------
DIVERSIFIED CONSERVATIVE FUND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Cumulative
Inception Inception
to Date to Date
- --------------------------------------------------------------------------------
Diversified Conservative, Class A 8.68% 6.54%
- --------------------------------------------------------------------------------
Diversified Conservative, Class D 6.53% 4.84%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI DIVERSIFIED
CONSERVATIVE FUND, CLASS A AND CLASS D, VERSUS THE LEHMAN BROTHERS AGGREGATE
BOND INDEX, THE WILSHIRE 5000 INDEX, AND THE SEI COMPOSITE BENCHMARK
[LINE GRAPH]
SEI Diversified Conservative Fund, Class A $10,586
SEI Composite Benchmark* $10,536
Lehman Aggregate Bond Index $10,431
Wilshire 5000 Index $11,062
[PLOT POINTS]
SEI Diversified SEI Composite Lehman Aggregate Wilshire 5000
Conservative Fund, Benchmark* Bond Index Index
Class A
10,000 10,000 10,000 10,000
10,586 10,536 10,431 11,062
[LINE GRAPH]
SEI Diversified Conservative Fund, Class D $10,680
SEI Composite Benchmark* $10,688
Wilshire 5000 Index $11,694
Lehman Aggregate Bond Index $10,403
[PLOT POINTS]
SEI Diversified SEI Composite Lehman Aggregate Wilshire 5000
Conservative Fund, Benchmark* Bond Index Index
Class D
10,000 10,000 10,000 10,000
10,680 10,688 10,403 11,694
1 FOR THE PERIOD ENDED MARCH 31, 1997. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. THE PERFORMANCE OF CLASS D SHARES MAY BE LOWER THAN
THE PERFORMANCE OF CLASS A SHARES BECAUSE OF DIFFERENT DISTRIBUTION FEES
PAID BY CLASS D SHAREHOLDERS. CLASS A SHARES WERE OFFERED BEGINNING
JUNE 26, 1996 AND CLASS D SHARES WERE OFFERED BEGINNING JULY 1, 1996.
* 45% LEHMAN BROTHERS AGGREGATE BOND INDEX, 32% WILSHIRE 5000 INDEX, 15% SALOMON
BROTHERS (WGBI) NON-U.S. INDEX AND 8% MSCI EAFE INDEX.
DIVERSIFIED GLOBAL
MODERATE GROWTH FUND
OBJECTIVES: The Diversified Global Moderate Growth Fund seeks to provide
long-term capital appreciation through participation in the U.S. and global
equity markets with a limited level of current income.
STRATEGY: The Fund includes significant allocations to both equity and
fixed income funds. Relative to the other Funds, the Diversified Global Moderate
Growth Fund is a medium-risk fund which is appropriate for investors with an
intermediate time horizon of 5 to 15 years.
The equity component of the Fund provides the opportunity for long-term
capital appreciation. Under normal conditions, 48% of the Fund is allocated to
four style-specific equity funds invested in U.S. stocks, which lowers the risks
inherent in any one particular management style. The allocation to small cap
stock
3
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1997
DIVERSIFIED GLOBAL MODERATE GROWTH FUND (CONTINUED)
funds provides additional diversification and enhanced returns over the longer
term. The equity component is further diversified with exposure to non-U.S.
stocks through international and emerging markets funds.
The U.S. fixed income portion of the Fund contains intermediate-term bonds
with maturities ranging between 5 and 10 years. Exposure to an international
fixed income fund and a high yield bond fund provides added diversification and
opportunity for enhanced return.
ANALYSIS: The Fund (Class A shares) had an annualized return of 6.79% for
the period starting on its inception date December 13, 1996, and ending March
31, 1997. Since January, 1997 the Fund (Class A shares) returned 1.0%,
underperforming an equivalently weighted benchmark return of 1.4%. The U.S. core
fixed income portion of the Fund had a negative return for the period as a
consequence of the Federal Reserve tightening. The strategy suffered losses due
to its longer duration posture; however, these losses were hedged by the
strategy's barbell yield curve structure. The international equity strategy also
detracted from returns as it was down 5.0% on an annual basis. However, the Fund
still managed to outperform the benchmark by .80% due mainly to a strategic
underweigting of Japan. The large cap value sector contributed positive returns
as there was a continued interest in the stable industry leaders during the
quarter. Although it has a very small weighting, the small cap growth's sharp
decline in the first quarter served to dampen returns. Finally, the large cap
growth and international fixed income strategies detracted slightly from fund
performance while the small cap value and high yield bond strategies marginally
contributed to fund performance.
- --------------------------------------------------------------------------------
DIVERSIFIED GLOBAL MODERATE GROWTH FUND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Cumulative
Inception Inception
to Date to Date
- --------------------------------------------------------------------------------
Diversified Global Moderate
Growth, Class A 6.79% 1.96%
- --------------------------------------------------------------------------------
Diversified Global Moderate
Growth, Class D 4.87% 1.52%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI DIVERSIFIED
GLOBAL MODERATE GROWTH FUND, CLASS A AND CLASS D, VERSUS THE LEHMAN BROTHERS
AGGREGATE BOND INDEX, THE WILSHIRE 5000 INDEX, THE MSCI EAFE INDEX, AND THE SEI
COMPOSITE BENCHMARK
[LINE GRAPH]
SEI Global Moderate Growth Fund, Class A $10,027
Lehman Aggregate Bond Index $ 9,944
Wilshire 5000 Index $10,064
SEI Composite Benchmark* $10,035
SEI Global Moderate Growth Fund, Class D $ 9,993
[PLOT POINTS]
SEI Global Lehman Aggregate Wilshire 5000 SEI Composite SEI Global
Moderate Growth Bond Index Index Benchmark* Moderate Growth
Fund, Class A Fund, Class D
10,000 10,000 10,000 10,000 10,000
10,027 9,944 10,064 10,035 9,933
1 FOR THE PERIOD ENDED MARCH 31, 1997. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. THE PERFORMANCE OF CLASS D SHARES MAY BE LOWER THAN
THE PERFORMANCE OF CLASS A SHARES BECAUSE OF DIFFERENT DISTRIBUTION FEES
PAID BY CLASS D SHAREHOLDERS. CLASS A SHARES WERE OFFERED BEGINNING
DECEMBER 13, 1996 AND CLASS D SHARES WERE OFFERED BEGINNING DECEMBER 5, 1996.
* 26% LEHMAN BROTHERS AGGREGATE BOND INDEX, 42% WILSHIRE 5000 INDEX, 12% MSCI
EAFE INDEX, 8% CS FIRST BOSTON HIGH YIELD INDEX, 6% SALOMON BROTHERS (WGBI)
NON-U.S. INDEX AND 6% IFC INVESTABLE COMPOSITE.
DIVERSIFIED MODERATE
GROWTH FUND
OBJECTIVES: The Diversified Moderate Growth Fund seeks to provide
long-term capital appreciation with a limited level of current income.
STRATEGY: The Fund includes significant allocations to both equity
and fixed income funds, including a non-U.S. equity fund.
4
<PAGE>
Relative to the other Funds, the Diversified Moderate Growth Fund is a
medium-risk fund which is appropriate for investors with an intermediate time
horizon of 5 to 15 years.
The equity component of the Diversified Moderate Growth Fund provides the
opportunity for long-term capital appreciation. Under normal conditions, 48% of
the Fund is allocated to four style-specific equity funds invested in U.S.
stocks, which lowers the risks inherent in any one particular management style.
The allocation to small cap stock funds provides additional diversification and
enhanced returns over the longer term. In addition, under normal conditions, 12%
of the Fund is allocated to a non-U.S. equity fund which provides further
diversification and enhanced returns over the longer term with lower volatility.
Under normal conditions, 39% of the Fund is allocated to a U.S. fixed income
fund and an international fixed income fund to provide current income and a
moderating effect on the volatility of returns. The remainder of the Fund is
allocated to a money market fund, providing liquidity and facilitating
transactions.
ANALYSIS: The Fund (Class A shares)had an annualized return of 8.79% for
the period starting on the inception date June 10, 1996, and ending March 31,
1997. Since July, 1996 the Fund (Class A shares)returned 9.0%, outperforming its
equivalent blended benchmark return of 8.7%. The U.S. core fixed income portion
of the Fund returned 5.7% for the period, in line with the Lehman Brothers
Aggregate Bond Index return. The strategy benefited from significant exposure to
lower rated debt and an overweight to mortgage-backed bonds, both of which had
exceptionally strong performance for the period. Performance was buoyed by the
large cap growth portion of the Fund which returned 18.0% for the period,
outperforming its benchmark by 3.8%. This strategy benefited from overweights to
the technology and financial services industries. Returns were also enhanced by
the large cap value portion of the portfolio which returned 19.2%, although it
underperformed its benchmark by 2.8%. The international equity portion, which
outperformed its benchmark, contributed slightly to the Fund's performance with
a return of 1.0%. The strategy's strategic allocation in Europe and
underweighting of Japan enhanced returns. The international fixed income portion
added to the Fund's outperformance by keeping a relatively low exposure to the
U.S. dollar. Finally, the modest allocation to small cap value contributed
slightly, but was offset by the Fund's small cap growth exposure.
- --------------------------------------------------------------------------------
DIVERSIFIED MODERATE GROWTH FUND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Cumulative
Inception Inception
to Date to Date
- --------------------------------------------------------------------------------
Diversified Moderate Growth, Class A 8.79% 7.12%
- --------------------------------------------------------------------------------
Diversified Moderate Growth, Class D 6.87% 5.71%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI DIVERSIFIED
MODERATE GROWTH FUND, CLASS A AND CLASS D, VERSUS THE LEHMAN BROTHERS AGGREGATE
BOND INDEX, THE WILSHIRE 5000 INDEX, AND THE SEI COMPOSITE BENCHMARK
[LINE GRAPH]
SEI Diversified Moderate Growth Fund, Class A $10,670
SEI Composite Benchmark* $10,647
Lehman Aggregate Bond Index $10,431
Wilshire 5000 Index $11,062
[PLOT POINTS]
SEI Diversified SEI Composite Lehman Aggregate Wilshire 5000
Moderate Growth Benchmark* Bond Index Index
Fund, Class A
10,000 10,000 10,000 10,000
10,670 10,647 10,431 11,062
5
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1997
DIVERSIFIED MODERATE GROWTH FUND (CONTINUED)
[LINE GRAPH]
SEI Diversified Moderate Growth Fund, Class D $10,571
SEI Composite Benchmark* $10,662
Lehman Aggregate Bond Index $10,571
Wilshire 5000 Index $10,972
[PLOT POINTS]
SEI Diversified SEI Composite Lehman Aggregate Wilshire 5000
Moderate Growth Benchmark* Bond Index Index
Fund, Class D
10,000 10,000 10,000 10,000
10,571 10,662 10,571 10,972
1 FOR THE PERIOD ENDED MARCH 31, 1997. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. THE PERFORMANCE OF CLASS D SHARES MAY BE LOWER THAN THE
PERFORMANCE OF CLASS A SHARES BECAUSE OF DIFFERENT DISTRIBUTION FEES PAID
BY CLASS D SHAREHOLDERS. CLASS A SHARES WERE OFFERED BEGINNING JUNE 10,
1996 AND CLASS D SHARES WERE OFFERED BEGINNING MAY 30, 1996.
* 48% WILSHIRE 5000 INDEX, 30% LEHMAN BROTHERS AGGREGATE BOND INDEX, , 12% MSCI
EAFE INDEX, AND 10% SALOMON BROTHERS (WGBI) NON-U.S. INDEX.
DIVERSIFIED GLOBAL GROWTH FUND
OBJECTIVES: The Diversified Global Growth Fund seeks to provide long-term
capital appreciation through participation in the U.S. and international equity
markets. Current income is a secondary consideration.
STRATEGY: The majority of the Fund is allocated to equity funds, including
exposure to non-U.S. equities. There is also a modest allocation to fixed income
funds. Because of its commitment to equities, the Fund is appropriate for
investors with a longer time horizon of 10 to 20 years.
The domestic equity portion of the Diversified Global Growth Fund invests
primarily in large- and some small-sized companies, and provides exposure to
distinct styles of growth and value equity fund management. Diversification is
further enhanced through exposure to international and emerging markets funds.
The U.S. fixed income portion of the Fund contains intermediate-term bonds
with maturities ranging between 5 and 10 years. Additionally, exposure to an
international fixed income fund and a high yield bond fund provides added
diversification and opportunity for enhanced return. The remainder of the Fund
is allocated to a money market Fund, providing liquidity and facilitating
transactions.
ANALYSIS: The Fund (Class A shares) had an annualized return of 10.26% for
the period beginning on its inception date on June 13, 1996, and ending March
31, 1997. Since July, 1996 the Fund (Class A shares) returned 10.6%
outperforming its equivalent blended benchmark return of 10.2%. The large cap
growth portion of the portfolio had a strong performance returning 18.0% over
the period versus its benchmark period return of 14.2%. This portion
outperformed as investors moved toward the quality stocks that dominate this
strategy. Overweight to the technology and financial services industries as well
as superior stock selection within these industries enhanced return. The Fund
also benefited from the bull run in the large cap value sector. Although it
underperformed its benchmark, the strategy returned 19.2% as it was buoyed by
the strength of the sector. The international equity strategy added to the
Fund's outperformance by beating its benchmark by 1.10%. The strategy managed to
outperform by underweighting Japan and maintaining superior stock selection in
Europe. The emerging markets strategy was up 7.7% driven by an emphasis on the
smaller markets. U.S. core fixed income was in line with its benchmark as losses
due to a longer duration were offset by a barbell yield curve structure. The
small cap value and small cap growth strategy returns of 19.5% and -20.6%
respectively offset each other as they
6
<PAGE>
both made up approximately 5% of the Fund. Finally, performance in the
international fixed income and high yield sectors added marginally as they made
up a small percentage of the Fund.
- --------------------------------------------------------------------------------
DIVERSIFIED GLOBAL GROWTH FUND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Cumulative
Inception Inception
to Date to Date
- --------------------------------------------------------------------------------
Diversified Global Growth, Class A 10.26% 8.10%
- --------------------------------------------------------------------------------
Diversified Global Growth, Class D 8.06% 6.69%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI DIVERSIFIED
GLOBAL GROWTH FUND, CLASS A AND CLASS D, VERSUS THE LEHMAN BROTHERS AGGREGATE
BOND INDEX, THE WILSHIRE 5000 INDEX, THE MSCI EAFE INDEX, AND THE SEI COMPOSITE
BENCHMARK
{LINE GRAPH]
SEI Diversified Global Growth Fund, Class A $10,789
SEI Composite Benchmark* $10,755
Lehman Aggregate Bond Index $10,431
Wilshire 5000 Index $11,062
MSCI EAFE Index $ 9,988
[PLOT POINTS]
SEI Diversified SEI Composite Lehman Wilshire MSCI EAFE
Global Growth Benchmark* Aggregate 5000 Index Index
Fund, Class A Bond Index
10,000 10,000 10,000 10,000 10,000
10,789 10,755 10,431 11,062 9,988
[LINE GRAPH]
SEI Diversified Global Growth Fund, Class D $10,670
SEI Composite Benchmark* $10,747
Lehman Aggregate Bond Index $10,571
Wilshire 5000 Index $10,972
MSCI EAFE Index $10,044
[PLOT POINTS]
SEI Diversified SEI Composite Lehman Wilshire MSCI EAFE
Global Growth Benchmark* Aggregate 5000 Index Index
Fund, Class D Bond Index
10,000 10,000 10,000 10,000 10,000
10,670 10,747 10,571 10,972 10,044
1 FOR THE PERIOD ENDED MARCH 31, 1997. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. THE PERFORMANCE OF CLASS D SHARES MAY BE LOWER THAN
THE PERFORMANCE OF CLASS A SHARES BECAUSE OF DIFFERENT DISTRIBUTION FEES
PAID BY CLASS D SHAREHOLDERS. CLASS A SHARES WERE OFFERED BEGINNING
JUNE 13, 1996 AND CLASS D SHARES WERE OFFERED BEGINNING MAY 30, 1996.
* 56% WILSHIRE 5000 INDEX, 16% MSCI EAFE INDEX, 13% LEHMAN BROTHERS
AGGREGATE BOND INDEX, 8% IFC INVESTABLE COMPOSITE, 4% CS FIRST BOSTON HIGH
YIELD INDEX AND 3% SALOMON BROTHERS (WGBI) NON-U.S. INDEX.
DIVERSIFIED GLOBAL
STOCK FUND
OBJECTIVES: The Diversified Global Stock Fund seeks to provide long-term
capital appreciation through participation in the global equity markets.
STRATEGY: The Fund invests almost exclusively in U.S. and non-U.S.
equities. Because of this Fund's commitment to equities, it is suitable for
investors with longer time horizons, who can withstand a high level of principal
volatility.
The Fund is invested primarily in large cap funds. This provides exposure
to distinct styles of equity fund management, including value and growth styles.
Equity styles go in and out of favor over market cycles, and diversification
across these styles provides broad market exposure without a bias towards
specific sectors and industries, which reduces the volatility of returns. In
addition, a portion of the Fund is allocated to small cap funds to capture the
enhanced returns and diversification benefits offered by smaller companies.
Style diversification through style-specific equity funds lowers the risks
associated with any one particular management style. The remainder of the Fund
is allocated to a money market fund, providing liquidity and facilitating
transactions.
ANALYSIS: The Fund (Class A shares) had an annualized return of 2.21% for
the period starting on its inception date on December 9, 1996, and ending March
31, 1997. Since January, 1997 the Fund (Class A shares)returned 2.3% versus the
equivalent blended benchmark return of 4.7%. The large cap value portion of the
Fund boosted performance with an annualized return of 8.5% for the period. The
strategy underperformed the benchmark however, due to an underweight of such
market leaders as
7
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1997
DIVERSIFIED GLOBAL STOCK FUND (CONTINUED)
Exxon and Dupont. The large cap growth strategy returned -0.90% as a few
individual issues such as 3Com Corp. weighed heavily on returns. The small cap
growth portion of the Fund was down sharply for this period as small cap growth
stocks as a whole tumbled in the first quarter. The small cap value strategy
added to returns and it strongly outperformed its benchmark for the period. This
strategy's performance was boosted by an overweight to the retail sector and an
underweight to the energy sector. International equity stocks were down for the
quarter but the strategy managed to outperform the benchmark by underweighting
Japan. The emerging markets equity portion of the Fund added substantially to
Fund performance as this strategy had an annualized return of 48.5% for the
period. This exceptional return can be attributed to an overweight to the
smaller markets and superior stock selection in Asia and Latin America.
- --------------------------------------------------------------------------------
DIVERSIFIED GLOBAL STOCK FUND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Cumulative
Inception Inception
to Date to Date
- --------------------------------------------------------------------------------
Diversified Global Stock, Class A 2.21% 0.67%
- --------------------------------------------------------------------------------
Diversified Global Stock, Class D 0.99% 0.31%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI DIVERSIFIED
GLOBAL STOCK FUND, CLASS A AND CLASS D, VERSUS THE WILSHIRE 5000 INDEX, THE MSCI
EAFE INDEX, AND THE SEICOMPOSITE BENCHMARK
[LINE GRAPH]
SEI Global Stock Fund, Class A $10,058
Wilshire 5000 Index $10,064
MSCI EAFE Index $ 9,844
SEI Composite Benchmark* $10,117
SEI Global Stock Fund, Class D $10,031
[PLOT POINTS]
SEI Global Wilshire 5000 MSCI EAFE SEI Composite SEI Global
Stock Fund, Index Index Benchmark* Stock Fund,
Class A Class D
10,000 10,000 10,000 10,000 10,000
10,058 10,064 9,844 10,117 10,031
1 FOR THE PERIOD ENDED MARCH 31, 1997. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. THE PERFORMANCE OF CLASS D SHARES MAY BE LOWER THAN
THE PERFORMANCE OF CLASS A SHARES BECAUSE OF DIFFERENT DISTRIBUTION FEES
PAID BY CLASS D SHAREHOLDERS. CLASS A SHARES WERE OFFERED BEGINNING
DECEMBER 9, 1996 AND CLASS D SHARES WERE OFFERED BEGINNING DECEMBER 5, 1996.
* 70% WILSHIRE 5000 INDEX, 20% MSCI EAFE INDEX AND 10% IFC INVESTABLE COMPOSITE.
DIVERSIFIED U.S. STOCK FUND
OBJECTIVES: The Diversified U.S. Stock Fund seeks to provide long-term
capital appreciation through a diversified U.S. equity strategy current income
is an incidental consideration.
STRATEGY: The Fund invests almost exclusively in U.S. equities. Because of
this Fund's commitment to equities, it is suitable for investors with longer
time horizons, who can withstand a high level of principal volatility.
The Fund is invested primarily in large cap funds. This provides exposure
to distinct styles of equity fund management, including value
8
<PAGE>
and growth styles. Equity styles go in and out of favor over market cycles, and
diversification across these styles provides broad market exposure without a
bias towards specific sectors and industries, which reduces the volatility of
returns. In addition, a portion of the Fund is allocated to small cap funds to
capture the enhanced returns and diversification benefits offered by smaller
companies. Style diversification through style-specific equity funds lowers the
risks associated with any one particular management style. The remainder of the
Fund is allocated to a money market fund, providing liquidity and facilitating
transactions.
ANALYSIS: The Fund (Class A shares) had an annualized return of 12.94% for
the period starting on its inception date, May 13, 1996 and ending March 31,
1997. Since July, 1996 the Fund (Class A shares) returned 13.0%, outperforming
the equivalently blended benchmark by 1.2%. The large cap growth portion of the
Fund had strong performance with an annual return of 18.0% for the period,
outperforming its benchmark return of 14.2%. The strategy demonstrated its
superior risk control as it outperformed during both bullish and bearish months.
An overweight to the technology and financial services industries, as well as
superior stock selection within these industries enhanced return. The Fund also
benefited from the strong performance of the large cap value strategy. The
strategy returned 19.2%, buoyed by the strength of the energy, technology and
financial services industries. The small cap value portion of the Fund returned
13.9% over the period outperforming its benchmark by 1.6%. The main contributor
to returns was the superior stock selection in the financial services,
technology, producer goods and retail sectors. Also, the Fund benefited from an
overweight to the retail industry and an underweight to the energy industry in
the first quarter of 1997. The small cap growth portion of the Fund dropped off
sharply over this ten month period. Small cap growth stocks in general were down
as investors moved away from these more risky stocks.
- --------------------------------------------------------------------------------
DIVERSIFIED U.S. STOCK FUND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Cumulative
Inception Inception
to Date to Date
- --------------------------------------------------------------------------------
Diversified U.S. Stock, Class A 12.94% 11.33%
- --------------------------------------------------------------------------------
Diversified U.S. Stock, Class D 12.81% 9.43%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI DIVERSIFIED
U.S. STOCK FUND, CLASS A AND CLASS D, VERSUS THE SEI COMPOSITE BENCHMARK
(WILSHIRE 5000 INDEX)
[LINE GRAPH]
SEI Diversified U.S. Stock Fund, Class A $11,070
SEI Composite Benchmark (Wilshire 5000 Index)* $10,972
[PLOT POINTS]
SEI Diversified U.S. SEI Composite Benchmark
Stock Fund, Class A (Wilshire 5000 Index)*
10,000 10,000
11,070 10,972
[LINE GRAPH]
SEI Diversified U.S. Stock Fund, Class D $11,677
SEI Composite Benchmark (Wilshire 5000 Index)* $11,694
[PLOT POINTS]
SEI Diversified U.S. SEI Composite Benchmark
Stock Fund, Class D (Wilshire 5000 Index)*
10,000 10,000
11,677 11,694
1 FOR THE PERIOD ENDED MARCH 31, 1997. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. THE PERFORMANCE OF CLASS D SHARES MAY BE LOWER THAN THE
PERFORMANCE OF CLASS A SHARES BECAUSE OF DIFFERENT DISTRIBUTION FEES PAID
BY CLASS D SHAREHOLDERS. CLASS A SHARES WERE OFFERED BEGINNING MAY 13, 1996
AND CLASS D SHARES WERE OFFERED BEGINNING JULY 1, 1996.
* 100% WILSHIRE 5000 INDEX.
9
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1997
To the Trustees and Shareholders of
SEI Asset Allocation Trust
In our opinion, the accompanying statements of net assets and statement of
assets and liabilities, including the schedules of investments, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
Diversified Conservative Income, Diversified Conservative, Diversified Global
Moderate Growth, Diversified Moderate Growth, Diversified Global Growth,
Diversified Global Stock and Diversified U.S. Stock Funds (constituting SEI
Asset Allocation Trust, hereafter referred to as the "Trust") at March 31, 1997,
and the results of each of their operations, the changes in each of their net
assets and the financial highlights for the periods presented in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Trust's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audits to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of investments at March 31, 1997 by
correspondence with the transfer agent of the underlying funds, provides a
reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
May 13, 1997
10
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1997
DIVERSIFIED CONSERVATIVE
INCOME FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
EQUITY FUNDS -- 22.9%
SEI Institutional Managed Trust
Large Cap Growth Portfolio 22,189 $ 339
SEI Institutional Managed Trust
Large Cap Value Portfolio 22,544 340
SEI Institutional Managed Trust
Small Cap Growth Portfolio 4,823 65
SEI Institutional Managed Trust
Small Cap Value Portfolio 5,635 77
------
TOTAL EQUITY FUNDS
(Cost $818) 821
------
FIXED INCOME FUNDS -- 52.1%
SEI Institutional Managed Trust
Core Fixed Income Portfolio 186,654 1,869
------
TOTAL FIXED INCOME FUNDS
(Cost $1,905) 1,869
------
MONEY MARKET FUNDS -- 19.1%
SEI Liquid Asset Trust Prime
Obligation Portfolio 683,378 683
------
TOTAL MONEY MARKET FUNDS
(Cost $683) 683
------
TOTAL INVESTMENTS -- 94.1%
(Cost $3,406) $3,373
======
DIVERSIFIED CONSERVATIVE
FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
EQUITY FUNDS -- 31.9%
SEI Institutional Managed Trust
Large Cap Growth Portfolio 53,093 $ 812
SEI Institutional Managed Trust
Large Cap Value Portfolio 53,380 803
SEI Institutional Managed Trust
Small Cap Growth Portfolio 11,145 151
SEI Institutional Managed Trust
Small Cap Value Portfolio 13,605 186
SEI International Trust
International Equity Portfolio 52,156 505
------
TOTAL EQUITY FUNDS
(Cost $2,540) 2,457
------
FIXED INCOME FUNDS -- 48.2%
SEI Institutional Managed Trust
Core Fixed Income Portfolio 277,409 2,777
SEI International Trust International
Fixed Income Portfolio 89,375 928
------
TOTAL FIXED INCOME FUNDS
(Cost $3,816) 3,705
------
MONEY MARKET FUNDS -- 0.8%
SEI Liquid Asset Trust Prime
Obligation Portfolio 63,139 63
------
TOTAL MONEY MARKET FUNDS
(Cost $63) 63
------
TOTAL INVESTMENTS -- 80.9%
(Cost $6,419) $6,225
======
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
11
<PAGE>
STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1997
DIVERSIFIED GLOBAL
MODERATE GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
EQUITY FUNDS -- 60.1%
SEI Institutional Managed Trust
Large Cap Growth Portfolio 1,733 $ 27
SEI Institutional Managed Trust
Large Cap Value Portfolio 1,740 26
SEI Institutional Managed Trust
Small Cap Growth Portfolio 378 5
SEI Institutional Managed Trust
Small Cap Value Portfolio 417 6
SEI International Trust
International Equity Portfolio 1,963 19
SEI International Trust Emerging
Markets Equity Portfolio 727 9
------
TOTAL EQUITY FUNDS
(Cost $94) 92
------
FIXED INCOME FUNDS -- 39.2%
SEI Institutional Managed Trust
High Yield Bond Portfolio 1,091 12
SEI Institutional Managed Trust
Core Fixed Income Portfolio 3,939 39
SEI International Trust
International Fixed
Income Portfolio 884 9
------
TOTAL FIXED INCOME FUNDS
(Cost $61) 60
------
MONEY MARKET FUNDS -- 1.3%
SEI Liquid Asset Trust Prime
Obligation Portfolio 1,661 2
------
TOTAL MONEY MARKET FUNDS
(Cost $2) 2
------
TOTAL INVESTMENTS -- 100.6%
(Cost $157) 154
------
OTHER ASSETS AND LIABILITIES -- (0.6%)
Other Assets and Liabilities, Net (1)
------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
6,752 outstanding shares
of beneficial interest 69
Portfolio Shares of Class D (unlimited
authorization -- no par value) based on
8,363 outstanding shares
of beneficial interest 87
Net unrealized depreciation on investments (3)
------
TOTAL NET ASSETS-- 100.0% $ 153
======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS A $10.15
======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS D $10.11
======
DIVERSIFIED MODERATE
GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
EQUITY FUNDS -- 53.2%
SEI Institutional Managed Trust
Large Cap Growth Portfolio 252,490 $ 3,861
SEI Institutional Managed Trust
Large Cap Value Portfolio 255,703 3,848
SEI Institutional Managed Trust
Small Cap Growth Portfolio 51,817 699
SEI Institutional Managed Trust
Small Cap Value Portfolio 62,630 858
SEI International Trust
International Equity Portfolio 247,609 2,397
-------
TOTAL EQUITY FUNDS
(Cost $11,642) 11,663
-------
FIXED INCOME FUNDS -- 35.0%
SEI Institutional Managed Trust
Core Fixed Income Portfolio 574,183 5,747
SEI International Trust
International Fixed Income
Portfolio 184,862 1,919
-------
TOTAL FIXED INCOME FUNDS
(Cost $7,862) 7,666
-------
MONEY MARKET FUNDS -- 0.9%
SEI Liquid Asset Trust Prime
Obligation Portfolio 198,528 199
-------
TOTAL MONEY MARKET FUNDS
(Cost $199) 199
-------
TOTAL INVESTMENTS -- 89.1%
(Cost $19,703) $19,528
=======
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1997
DIVERSIFIED GLOBAL
GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
EQUITY FUNDS -- 75.9%
SEI Institutional Managed Trust
Large Cap Growth Portfolio 326,662 $ 4,994
SEI Institutional Managed Trust
Large Cap Value Portfolio 328,620 4,946
SEI Institutional Managed Trust
Small Cap Growth Portfolio 70,792 956
SEI Institutional Managed Trust
Small Cap Value Portfolio 79,611 1,091
SEI International Trust
International Equity Portfolio 373,162 3,612
SEI International Trust Emerging
Markets Equity Portfolio 142,582 1,801
-------
TOTAL EQUITY FUNDS
(Cost $18,184) 17,400
-------
FIXED INCOME FUNDS -- 18.2%
SEI Institutional Managed Trust
High Yield Bond Portfolio 74,833 828
SEI Institutional Managed Trust
Core Fixed Income Portfolio 271,610 2,719
SEI International Trust International
Fixed Income Portfolio 61,075 634
-------
TOTAL FIXED INCOME FUNDS
(Cost $3,439) 4,181
-------
MONEY MARKET FUNDS -- 1.0%
SEI Liquid Asset Trust Prime
Obligation Portfolio 217,412 217
-------
TOTAL MONEY MARKET FUNDS
(Cost $217) 217
-------
TOTAL INVESTMENTS -- 95.1%
(Cost $21,840) 21,798
-------
OTHER ASSETS AND LIABILITIES -- 4.9%
Other Assets and Liabilities, Net 1,133
-------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value)
based on 1,470,501 outstanding shares
of beneficial interest 15,800
Portfolio Shares of Class D (unlimited
authorization -- no par value)
based on 633,124 outstanding shares
of beneficial interest 6,309
Undistributed net investment income 31
Accumulated net realized gain
on investments 833
Net unrealized depreciation on investments (42)
-------
TOTAL NET ASSETS-- 100.0% $22,931
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS A $10.91
-------
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS D $10.87
=======
DIVERSIFIED GLOBAL
STOCK FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
EQUITY FUNDS -- 98.9%
SEI Institutional Managed Trust
Large Cap Growth Portfolio 89,964 $1,376
SEI Institutional Managed Trust
Large Cap Value Portfolio 90,252 1,358
SEI Institutional Managed Trust
Small Cap Growth Portfolio 19,458 263
SEI Institutional Managed Trust
Small Cap Value Portfolio 21,892 300
SEI International Trust
International Equity Portfolio 103,451 1,001
SEI International Trust Emerging
Markets Equity Portfolio 39,742 502
------
TOTAL EQUITY FUNDS
(Cost $4,933) 4,800
------
MONEY MARKET FUNDS -- 1.0%
SEI Liquid Asset Trust Prime
Obligation Portfolio 48,488 48
------
TOTAL MONEY MARKET FUNDS
(Cost $48) 48
------
TOTAL INVESTMENTS -- 99.9%
(Cost $4,981) 4,848
------
OTHER ASSETS AND LIABILITIES -- 0.1%
Other Assets and Liabilities, Net 5
------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
478,954 outstanding shares
of beneficial interest 4,813
Portfolio Shares of Class D (unlimited
authorization -- no par value) based on
4,560 outstanding shares
of beneficial interest 47
Accumulated net realized gain
on investments 126
Net unrealized depreciation on investments (133)
------
TOTAL NET ASSETS -- 100.0% $4,853
======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $10.04
======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $10.01
======
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
13
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1997
DIVERSIFIED U.S.
STOCK FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
EQUITY FUNDS -- 98.2%
SEI Institutional Managed Trust
Large Cap Growth Portfolio 400,477 $ 6,124
SEI Institutional Managed Trust
Large Cap Value Portfolio 400,749 6,031
SEI Institutional Managed Trust
Small Cap Growth Portfolio 87,319 1,179
SEI Institutional Managed Trust
Small Cap Value Portfolio 98,102 1,344
-------
TOTAL EQUITY FUNDS
(Cost $14,414) 14,678
-------
MONEY MARKET FUNDS -- 1.0%
SEI Liquid Asset Trust Prime
Obligation Portfolio 156,367 156
-------
TOTAL MONEY MARKET FUNDS
(Cost $156) 156
-------
TOTAL INVESTMENTS -- 99.2%
(Cost $14,570) 14,834
-------
OTHER ASSETS AND LIABILITIES -- 0.8%
Other Assets and Liabilities, Net 116
-------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
796,457 outstanding shares
of beneficial interest 8,718
Portfolio Shares of Class D (unlimited
authorization -- no par value) based on
519,919 outstanding shares
of beneficial interest 5,172
Accumulated net realized gain
on investments 796
Net unrealized appreciation
on investments 264
-------
TOTAL NET ASSETS -- 100.0% $14,950
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $11.38
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $11.32
=======
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
14
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (000)
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1997
------------ ------------ -----------
DIVERSIFIED DIVERSIFIED
CONSERVATIVE DIVERSIFIED MODERATE
INCOME CONSERVATIVE GROWTH
FUND FUND FUND
------------ ------------ -----------
ASSETS:
Investments at value
(cost $3,406, $6,419
and $19,703, respectively) $3,373 $6,225 $19,528
Cash -- 1 --
Deferred organization costs 16 17 16
Prepaid state registration fees 10 10 28
Dividends receivable 12 13 28
Investment securities sold -- -- 3
Capital shares issued 170 1,451 2,364
Receivable from Administrator 33 29 16
------ ------ -------
Total assets 3,614 7,746 21,983
------ ------ -------
LIABILITIES:
Investment securities purchased 12 14 28
Capital shares redeemed -- 22 2
Other liabilities 16 17 42
------ ------ -------
Total liabilities 28 53 72
------ ------ -------
Net assets: $3,586 $7,693 $21,911
====== ====== =======
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
282,815; 622,227 and 1,438,190,
respectively, of outstanding
shares of beneficial interest 2,921 6,003 15,215
Portfolio Shares of Class D (unlimited
authorization--no par value)
based on 57,468; 177,818 and 606,319,
respectively, ofoutstanding shares
of beneficial interest 593 1,647 6,080
Undistributed net investment income 31 27 57
Accumulated net realized gain on
investments 74 210 734
Net unrealized depreciation on investments (33) (194) (175)
------ ------ -------
TOTAL NET ASSETS-- 100.0% $3,586 $7,693 $21,911
====== ====== =======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS A $10.55 $9.62 $10.74
====== ====== =======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS D $10.49 $9.58 $10.67
====== ====== =======
15
<PAGE>
STATEMENT OF OPERATIONS (000)
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- FOR THE PERIOD ENDED MARCH 31, 1997
<TABLE>
<CAPTION>
------------ ------------ ---------------
DIVERSIFIED DIVERSIFIED
CONSERVATIVE DIVERSIFIED GLOBAL
INCOME CONSERVATIVE MODERATE
FUND (1) FUND (2) GROWTH FUND (3)
------------ ------------ ----------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ 80 $100 $ --
---- ---- ----
EXPENSES:
Administration fees 3 5 --
Less administration fees waived (3) (5) --
Investment advisory fees 2 3 --
Less investment advisory fees waived (2) (3) --
Reimbursement by administrator (68) (62) (17)
Custodian fees 2 2 --
Transfer agent fees 33 32 14
Professional fees 5 6 3
Registration & filing fees 20 20 --
Printing fees 6 2 --
Trustee fees 1 1 --
Distribution & shareholder
servicing fees* 3 12 --
Amortization of deferred
organization costs 3 3 --
Miscellaneous fees -- -- --
---- ---- -----
Total expenses 5 16 --
---- ---- -----
NET INVESTMENT INCOME 75 84 --
---- ---- -----
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Capital gain received from investments 62 142 --
Net realized gain (loss) from
security transactions 12 94 --
Net change in unrealized
appreciation (depreciation) on
investments (33) (194) (3)
---- ----- -----
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $116 $126 $ (3)
==== ==== =====
</TABLE>
*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 12/05/96.
(4) COMMENCED OPERATIONS 05/30/96.
(5) COMMENCED OPERATIONS 05/13/96.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
16
<PAGE>
<TABLE>
<CAPTION>
------------ ----------- ----------- -----------
DIVERSIFIED DIVERSIFIED DIVERSIFIED
MODERATE GLOBAL GLOBAL DIVERSIFIED
GROWTH GROWTH STOCK U.S. STOCK
FUND (4) FUND (4) FUND (3) FUND (5)
------------ ------------ ----------- -----------
INVESTMENT INCOME:
<S> <C> <C> <C> <C>
Dividends $288 $190 $ 8 $ 66
---- ---- ---- -----
EXPENSES:
Administration fees 21 21 2 17
Less administration fees waived (21) (21) (2) (17)
Investment advisory fees 10 10 1 8
Less investment advisory fees waived (10) (10) (1) (8)
Reimbursement by administrator (113) (115) (27) (115)
Custodian fees 10 10 -- 8
Transfer agent fees 43 43 15 42
Professional fees 19 19 5 16
Registration & filing fees 26 27 2 25
Printing fees 15 16 4 23
Trustee fees 7 7 1 6
Distribution & shareholder
servicing fees* 42 45 -- 38
Amortization of deferred
organization costs 3 3 -- 3
Miscellaneous fees 3 3 1 2
---- ---- ---- -----
Total expenses 55 58 1 48
---- ---- ---- ------
NET INVESTMENT INCOME 233 132 7 18
---- ---- ---- ------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Capital gain received from investments 730 835 127 862
Net realized gain (loss) from
security transactions 28 5 -- (49)
Net change in unrealized
appreciation (depreciation) on
investments (175) (42) (133) 264
---- ---- ---- ------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $816 $930 $ 1 $1,095
==== ==== ===== ======
</TABLE>
17
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- FOR THE PERIOD ENDED MARCH 31, 1997
<TABLE>
<CAPTION>
------------ -----------
DIVERSIFIED
CONSERVATIVE DIVERSIFIED
INCOME CONSERVATIVE
FUND (1) FUND (2)
------------ -----------
1997 1997
------------ -----------
OPERATIONS:
<S> <C> <C>
Net investment income $ 75 $ 84
Capital gain received from investments 62 142
Net realized gain (loss) from security transactions 12 94
Net change in unrealized appreciation (depreciation) on investments (33) (194)
------ -----
Net increase (decrease) in net assets resulting from operations 116 126
------ -----
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (36) (33)
Class D (8) (24)
Net realized gains:
Class A -- (14)
Class D -- (12)
------ -----
Total dividends distributed (44) (83)
------ -----
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from shares issued 3,329 6,012
Shares issued in lieu of cash distributions 30 40
Cost of shares redeemed (534) (49)
------ ------
Increase in net assets derived from Class A transactions 2,825 6,003
------ ------
CLASS D:
Proceeds from shares issued 635 3,171
Shares issued in lieu of cash distributions 8 36
Cost of shares redeemed (51) (1,561)
------ ------
Increase in net assets derived from Class D transactions 592 1,646
------ ------
Increase in net assets derived from capital share transactions 3,417 7,649
------ ------
Net increase in net assets 3,489 7,692
------ ------
NET ASSETS:
Beginning of period 97 1
------ ------
End of period $3,586 $7,693
====== ======
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Shares issued 321 623
Shares issued in lieu of cash distributions 3 4
Shares redeemed (51) (5)
------ ------
Total Class A transactions 273 622
------ ------
CLASS D:
Shares issued 62 342
Shares issued in lieu of cash distributions 1 4
Shares redeemed (5) (168)
------ ------
Total Class D transactions 58 178
------ ------
Increase in capital shares 331 800
====== ======
</TABLE>
(1) COMMENCED OPERATIONS 06/13/96.
(2) COMMENCED OPERATIONS 06/26/96.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
18
<PAGE>
<TABLE>
<CAPTION>
--------- ----------- ---------- ----------- -----------
DIVERSIFIED
GLOBAL DIVERSIFIED DIVERSIFIED DIVERSIFIED
MODERATE MODERATE GLOBAL GLOBAL DIVERSIFIED
GROWTH GROWTH GROWTH STOCK U.S. STOCK
FUND (3) FUND (4) FUND (4) FUND (3) FUND (5)
--------- ----------- ---------- ----------- ----------
1997 1997 1997 1997 1997
--------- ----------- ---------- ----------- ----------
OPERATIONS:
<S> <C> <C> <C> <C> <C>
Net investment income $ -- $ 233 $ 132 $ 7 $ 18
Capital gain received from investments -- 730 835 127 862
Net realized gain (loss) from
security transactions -- 28 5 -- (49)
Net change in unrealized appreciation
(depreciation) on investments (3) (175) (42) (133) 264
---- ------- -------- -------- -------
Net increase (decrease) in net assets
resulting from operations (3) 816 930 1 1,095
---- ------- -------- -------- -------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A -- (115) (70) (8) (26)
Class D -- (61) (31) -- (9)
Net realized gains: -- (14) (4) -- --
Class A -- (10) (3) -- --
Class D ---- ------- ------- -------- -------
-- (200) (108) (8) (35)
Total dividends distributed ---- ------- ------- -------- -------
CAPITAL SHARE TRANSACTIONS:
CLASS A: 72 16,131 16,553 4,833 10,616
Proceeds from shares issued -- 123 70 8 22
Shares issued in lieu of cash
distributions (3) (1,040) (824) (28) (1,921)
Cost of shares redeemed ---- ------- ------- -------- -------
Increase in net assets derived from
Class A transactions 69 15,214 15,799 4,813 8,717
---- ------- ------- -------- -------
CLASS D:
Proceeds from shares issued 87 7,822 7,566 47 6,308
Shares issued in lieu of
cash distributions -- 71 34 -- 9
Cost of shares redeemed -- (1,813) (1,291) -- (1,145)
---- ------- ------- -------- -------
Increase in net assets derived from
Class D transactions 87 6,080 6,309 47 5,172
---- ------- ------- -------- -------
Increase in net assets derived from
capital share transactions 156 21,294 22,108 4,860 13,889
---- ------- ------- -------- -------
Net increase in net assets $153 21,910 22,930 4,853 14,949
---- ------- ------- -------- -------
NET ASSETS:
Beginning of period -- 1 1 -- 1
---- ------- ------- -------- -------
End of period 153 $21,911 $22,931 $ 4,853 $14,950
==== ======= ======= ======== =======
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Shares issued 7 1,525 1,539 481 982
Shares issued in lieu of cash distributions -- 12 7 1 2
Shares redeemed -- (99) (75) (3) (188)
---- ------- -------- -------- -------
Total Class A transactions 7 1,438 1,471 479 796
---- ------- -------- -------- -------
CLASS D:
Shares issued 8 779 757 5 631
Shares issued in lieu of cash distributions -- 6 3 -- 1
Shares redeemed -- (179) (127) -- (112)
---- ------- -------- -------- -------
Total Class D transactions 8 606 633 5 520
---- ------- -------- -------- -------
Increase in capital shares 15 2,044 2,104 484 1,316
==== ======= ======== ======== =======
</TABLE>
(3) COMMENCED OPERATIONS 12/05/96.
(4) COMMENCED OPERATIONS 05/30/96.
(5) COMMENCED OPERATIONS 05/13/96.
19
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD ENDED MARCH 31, 1997
<TABLE>
<CAPTION>
RATIO OF NET
INVESTMENT
RATIO OF INCOME/
EXPENSES TO (LOSS) TO
AVERAGE AVERAGE
RATIO OF NET NET NET
DISTRI- INVEST- ASSETS ASSETS
NET NET BUTIONS RATIO OF MENT (EXCLUDING (EXCLUDING
ASSET NET REALIZED FROM DISTRI- NET EXPENSES INCOME/ WAIVERS WAIVERS PORT-
VALUE INVEST- AND NET BUTIONS ASSET NET ASSETS TO (LOSS) TO AND AND FOLIO
BEGINNING MENT UNREALIZED INVEST- FROM VALUE END OF AVERAGE AVERAGE REIM- REIM- TURN-
OF INCOME GAINS ON MENT CAPITAL END OF TOTAL PERIOD NET NET BURSE- BURSE- OVER
PERIOD (LOSS) SECURITIES INCOME GAINS PERIOD RETURN (000) ASSETS ASSETS MENT) MENT) RATE
- ------------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------
DIVERSIFIED CONSERVATIVE INCOME FUND
- -------------------------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1997(1) # $10.12 $0.37 $0.27 ($0.21) -- $10.55 6.35%** $ 2,983 0.12%* 4.38%* 3.65%*+ 0.85%*+ 27%
CLASS D
1997(2) # $10.09 $0.27 $0.30 ($0.17) -- $10.49 5.67%** $ 603 1.12%* 3.37%* N/A++ N/A++ 27%
- ------------------------------
DIVERSIFIED CONSERVATIVE FUND
- ------------------------------
CLASS A
1997(3) # $ 9.26 $0.26 $0.35 ($0.18) ($0.07) $ 9.62 6.54%** $ 5,989 0.12%* 3.56%* 2.75%*+ 0.93%*+ 65%
CLASS D
1997(4) # $ 9.33 $0.19 $0.26 ($0.13) ($0.07) $ 9.58 4.84%** $ 1,704 1.12%* 2.60%* 3.72%*+ 0.00%*+ 65%
- ----------------------------------------
DIVERSIFIED GLOBAL MODERATE GROWTH FUND
- ----------------------------------------
CLASS A
1997(6) # $10.00 $0.06 $0.14 ($0.05) -- $10.15 1.96%** $ 68 0.12%* 2.03%* N/A++ N/A++ 3%
CLASS D
1997(5) # $10.00 $0.02 $0.13 ($0.04) -- $10.11 1.52%** $ 85 1.12%* 0.60%* N/A++ N/A++ 3%
- ---------------------------------
DIVERSIFIED MODERATE GROWTH FUND
- ---------------------------------
CLASS A
1997(7) # $10.19 $0.23 $0.50 ($0.16) ($0.02) $10.74 7.12%** $15,440 0.12%* 2.64%* 1.45%*+ 1.31%*+ 22%
CLASS D
1997(8) # $10.21 $0.15 $0.44 ($0.11) ($0.02) $10.67 5.71%** $ 6,471 1.12%* 1.63%* 2.57%*+ 0.18%*+ 22%
- -------------------------------
DIVERSIFIED GLOBAL GROWTH FUND
- -------------------------------
CLASS A
1997(1) # $10.19 $0.15 $0.68 ($0.10) ($0.01) $10.91 8.10%** $16,049 0.12%* 1.74%* 1.53%*+ 0.33%*+ 13%
CLASS D
1997(8) # $10.24 $0.06 $0.63 ($0.05) ($0.01) $10.87 6.69%** $ 6,882 1.12%* 0.71%* 2.56%*+ (0.73%)*+ 13%
- ------------------------------
DIVERSIFIED GLOBAL STOCK FUND
- ------------------------------
CLASS A
1997(10) #$10.00 $0.02 $0.05 ($0.03) -- $10.04 0.67%** $ 4,807 0.12%* 0.65%* 2.13%*+ (1.36%)*+ --
CLASS D
1997(5) # $10.00 ($0.03) $0.06 ($0.02) -- $10.01 0.31%** $ 46 1.12%* (1.06%)* N/A++ N/A++ --
- ----------------------------
DIVERSIFIED U.S. STOCK FUND
- ----------------------------
CLASS A
1997(9) # $10.27 $0.07 $1.09 ($0.05) -- $11.38 11.33%** $ 9,065 0.12%* 0.72%* 1.84%*+ (1.00%)*+ 28%
CLASS D
1997(4) # $10.36 ($0.03) $1.01 ($0.02) -- $11.32 9.43%** $ 5,885 1.12%* (0.39%)* 2.75%*+ (2.02%)*+ 28%
</TABLE>
+ RATIOS REFLECT THE IMPACT OF THE INITIAL LOW LEVEL OF AVERAGE NET ASSETS
ASSOCIATED WITH COMMENCEMENT OF OPERATIONS AND THE EFFECTS OF ANNUALIZATION.
++ RATIO IS NOT MEANINGFUL DUE TO LOW LEVEL OF ASSETS AND BECAUSE SEI
INVESTMENTS WILL BEAR ALL EXPENSES EXCEEDING SPECIFIC LIMITATIONS.
# PER SHARE CALCULATIONS WERE PERFORMED USING AVERAGE SHARES FOR THE PERIOD.
* 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 12/05/96.
(6) COMMENCED OPERATIONS 12/13/96.
(7) COMMENCED OPERATIONS 06/10/96.
(8) COMMENCED OPERATIONS 05/30/96.
(9) COMMENCED OPERATIONS 05/13/96.
(10) COMMENCED OPERATIONS 12/09/96.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
20
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1997
1. ORGANIZATION:
SEI Asset Allocation Trust, (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 Financial 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 seven diversified Funds: Diversified
Conservative Income Fund, Diversified Conservative Fund, Diversified Global
Moderate Growth Fund, Diversified Moderate Growth Fund, Diversified Global
Growth Fund, Diversified Global Stock 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,
and 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.
SECURITY VALUATION -- 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 priceif 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 Funds are
charged directly to that Fund. Other operating expenses of the Trust 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 monthly,
21
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1997
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 expense limitations adopted by the
Manager. This waiver may be terminated by the Manager and Advisor at any time at
their sole discretion. 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 Investments, 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 Trust 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 Trust is
amortizing its organizational costs, the redemption proceeds payable to the
holder thereof by the Trust 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 are
Partners.
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 year ended March 31, 1997 were as follows:
TOTAL
(000)
-------
Diversified Conservative Income Fund
PURCHASES................................... $ 3,846
SALES....................................... 458
Diversified Conservative Fund
PURCHASES................................... $ 8,372
SALES....................................... 2,027
Diversified Global Moderate Growth Fund
PURCHASES................................... $ 160
SALES....................................... 2
Diversified Moderate Growth Fund
PURCHASES................................... $ 22,352
SALES....................................... 2,711
Diversified Global Growth Fund
PURCHASES................................... $ 23,337
SALES....................................... 1,546
Diversified Global Stock Fund
PURCHASES................................... $ 4,987
SALES....................................... 6
Diversified U.S. Stock Fund
PURCHASES................................... $ 17,330
SALES....................................... 2,686
At March 31, 1997, 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 report-
22
<PAGE>
ing purposes. The aggregate gross unrealized appreciation and depreciation on
investment securities at March 31, 1997 for each Fund is as follows:
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES DEPRECIATION
(000) (000) (000)
----------- ----------- ------------
Diversified
Conservative
Income $ 28 $ (61) $ (33)
Diversified
Conservative 40 (234) (194)
Diversified
Global
Moderate
Growth -- (3) (3)
Diversified
Moderate
Growth 420 (595) (175)
Diversified
Global
Growth 647 (689) (42)
Diversified
Global Stock 60 (193) (133)
Diversified
U.S. Stock 724 (460) 264
23
<PAGE>
NOTICE TO SHAREHOLDERS
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1997 (UNAUDITED)
For shareholders that do not have a March 31, 1997 taxable year end, this notice
is for informational purposes only. For shareholders with a March 31, 1997
taxable year end, please consult your tax advisor as to the pertinence of this
notice.
For the fiscal year ended March 31, 1997 the Portfolios of the SEI Asset
Allocation Trust are designating long term capital gains and qualifying dividend
income with regard to distributions paid during the year as follows:
(A) (B)
LONG TERM ORDINARY
CAPITAL GAINS INCOME TOTAL
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS
PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS)
- ---------- ------------- ------------- -------------
Diversified Conservative Income 0% 100% 100%
Diversified Conservative 0% 100% 100%
Diversified Global Moderate Growth 0% 100% 100%
Diversified Moderate Growth 0% 100% 100%
Diversified Global Growth 0% 100% 100%
Diversified Global Stock 0% 100% 100%
Diversified U.S. Stock 0% 100% 100%
(C) (D) (E)
QUALIFYING TAX-EXEMPT FOREIGN
PORTFOLIO DIVIDENDS(1) INTEREST TAX CREDIT
- ---------- ------------ ---------- ----------
Diversified Conservative Income 16% 0% 0%
Diversified Conservative 18% 0% 0%
Diversified Global Moderate Growth 19% 0% 0%
Diversified Moderate Growth 27% 0% 0%
Diversified Global Growth 21% 0% 0%
Diversified Global Stock 0% 0% 0%
Diversified U.S. Stock 17% 0% 0%
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction.
* Items (A) and (B) are based on the percentage of each Portfolio's
total distribution.
** Items (C) and (D)are based on the percentage of ordinary income
distributions of each Portfolio.
24
<PAGE>
======================================
SEI ASSET ALLOCATION TRUST
======================================
ANNUAL REPORT
======================================
MARCH 31, 1997
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
Mark Nagle
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
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 ADVISER
SEI Financial Management Corporation
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Fund Management
DISTRIBUTOR
SEI Financial Services Company
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT ACCOUNTANTS
Price Waterhouse LLP
THIS 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>
[SEI LOGO]
FINANCIAL
SERVICES
COMPANY
Oaks, PA 19456
800-DIAL-SEI/800-342-5734
SEI-F-121-01
