ANNUAL REPORT AS OF
MARCH 31, 1998
SEI ASSET
ALLOCATION TRUST
================================================================================
Diversified Conservative Income
================================================================================
Diversified Conservative
================================================================================
Diversified Global Moderate Growth
================================================================================
Diversified Moderate Growth
================================================================================
Diversified Global Growth
================================================================================
Diversified Global Stock
================================================================================
Diversified U.S. Stock
================================================================================
[LOGO OMITTED]
SEI
INVESTMENTS
THE ART OF PEOPLE.
THE SCIENCE OF RESULTS.
<PAGE>
TABLE OF CONTENTS
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MANAGEMENT'S DISCUSSION AND ANALYSIS
OF FUND PERFORMANCE..................................................... 1
STATEMENT OF NET ASSETS................................................... 10
STATEMENT OF OPERATIONS................................................... 14
STATEMENT OF CHANGES IN NET ASSETS........................................ 16
FINANCIAL HIGHLIGHTS...................................................... 18
NOTES TO FINANCIAL STATEMENTS............................................. 20
REPORT OF INDEPENDENT ACCOUNTANTS......................................... 23
NOTICE TO SHAREHOLDERS.................................................... 24
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1998
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 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 Diversified Conservative Income Fund (Class A share) was up
a strong 19.16% outperforming its benchmark for the one year period ended March
31, 1998. The Fund's performance was driven by a rally in both the U.S. equity
and fixed income markets. The U.S. financial markets moved higher buoyed by a
strong domestic economy and low interest rates. The Fund's 25% equity exposure
contributed the most to performance. The broad U.S. equity market was up an
exceptional 47.75% for the period bolstered by strong economic fundamentals. All
four U.S. equity sectors in the Fund outperformed their benchmarks.
Outperformance can be attributed to an overweight to consumer oriented
industries and positive stock selection within the technology and finance
industries. The U.S. core fixed income and corporate daily income sectors both
rallied to return 12.15% and 6.31% respectively. The U.S. fixed income markets
surged ahead as decreased inflation concerns and a global flight to quality
brought on by the Asian crisis drove up prices. Interest rates remained low
throughout the period as fears of a Federal Reserve interest rate hike remained
in check. An overweight to the mortgage sector contributed to outperformance
within this sector.
===============================================================
DIVERSIFIED CONSERVATIVE
INCOME FUND
===============================================================
AVERAGE ANNUAL TOTAL RETURN1
- ---------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- ---------------------------------------------------------------
Diversified Conservative Income, Class A 19.16% 14.03%
- ---------------------------------------------------------------
Diversified Conservative Income, Class D 17.90% 13.18%
- ---------------------------------------------------------------
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 OMITTED] -- PLOT POINTS AS FOLLOWS:
<TABLE>
SEI Diversified SEI Diversified Lehman Brothers
Conservative Income Fund, Conservative Income Fund, SEI Composite Aggregate
Class A Class D Benchmark* Bond Index
<S> <C> <C> <C>
$10,000 $10,000 $10,000 $10,000
10,574 10,496 10,592 10,431
12,600 12,374 12,670 11,683
</TABLE>
1 FOR THE PERIOD ENDED MARCH 31, 1998. 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.
1
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1998
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.
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 Diversified Conservative Fund (Class A share) was up a
strong 22.35% outperforming its benchmark for the one year period ended
March 31, 1998. The Fund's performance was driven by a strong rally in global
financial markets during 1997 and into 1998. The Fund's 32% exposure to the U.S.
equity market contributed the most to performance. The broad market was up an
exceptional 47.75% for the period rallying on strong economic fundamentals in
the U.S. Historically, strong conditions included a 25 year low in the
unemployment rate,
==========================================================
DIVERSIFIED CONSERVATIVE FUND
==========================================================
AVERAGE ANNUAL TOTAL RETURN1
- ----------------------------------------------------------
Annualized
One Year Inception
Return to Date
- ----------------------------------------------------------
Diversified Conservative, Class A 22.35% 16.24%
- ----------------------------------------------------------
Diversified Conservative, Class D 21.29% 14.74%
- ----------------------------------------------------------
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 OMITTED] -- PLOT POINTS AS FOLLOWS:
SEI Diversified Lehman Brothers
Conservative Fund, SEI Composite Aggregate Bond Wilshire
Class A Benchmark* Index 5000 Index
$10,000 $10,000 $10,000 $10,000
10,586 10,536 10,431 11,062
12,952 12,902 11,683 16,346
SEI Diversified Lehman Brothers
Conservative Fund, SEI Composite Wilshire Aggregate Bond
Class D Benchmark* 5000 Index Index
$10,000 $10,000 $10,000 $10,000
10,680 10,688 11,694 10,403
12,954 13,088 17,278 11,652
1 FOR THE PERIOD ENDED MARCH 31, 1998. 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.
2
<PAGE>
================================================================================
increased productivity and the lowest level of inflation since 1965. All four
U.S. equity sectors in the Fund outperformed their benchmarks. Outperformance
can be attributed to an overweight to consumer oriented industries and positive
stock selection within the technology and finance industries. The international
equity sector returned 14.86% as global equity markets rallied on low interest
and low inflation worldwide. A broad strengthening of the U.S. dollar slightly
undercut returns to U.S. investors. The U.S. core fixed income sector rallied to
return 12.15% for the period. The U.S. fixed income markets surged ahead as
decreased inflation concerns and a global flight to quality brought on by the
Asian crises drove up prices. An overweight to mortgage securities contributed
to outperformance within this sector. The developed international fixed income
sector outpaced its benchmark moving ahead 3.25%. The U.K. bond market's 20.5%
surge for the period was the main contributor to this sector's returns.
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.
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 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 Diversified Global Moderate Growth Fund (Class A share) was
up a strong 25.68% outperforming its benchmark for the one year period ended
March 31, 1998. The Fund's performance was driven by a strong rally in global
financial markets during 1997 and into 1998. The Fund's 42% exposure to the U.S.
equity market was the primary source of returns. The broad market was up an
exceptional 47.75% for the period rallying on strong economic fundamentals
including a 25 year low in the unemployment rate, increased productivity and the
lowest level of inflation since 1965. All four U.S. equity sectors in the Fund
outperformed their benchmarks. Outperformance can be attributed to an overweight
to consumer oriented industries and positive stock selection within the
technology and finance industries. The international equity sector returned
14.86% as global equity markets rallied on a low interest, low inflationary
global investment environment. Returns were negative in the emerging markets,
although the sector managed to outpace its benchmark by over 4%. The fixed
income allocations within the Fund also contributed to performance. The U.S.
core fixed income and high yield debt sectors both rallied to return 12.15% and
17.76% respectively. These markets surged on decreased inflation concerns and a
global flight to quality. The developed
3
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1998
DIVERSIFIED GLOBAL MODERATE GROWTH FUND (CONTINUED)
international fixed income sector moved ahead 3.25% boosted by a strong rally in
the U.K. bond market. Finally, the emerging market debt sector was a welcome
addition to the Fund returning 8.96% since it was added in the beginning
of July.
==========================================================
DIVERSIFIED GLOBAL MODERATE
GROWTH FUND
==========================================================
AVERAGE ANNUAL TOTAL RETURN1
- ----------------------------------------------------------
Annualized
One Year Inception
Return to Date
- ---------------------------------------------------------
Diversified Global Moderate
Growth, Class A 25.68% 21.10%
- ---------------------------------------------------------
Diversified Global Moderate
Growth, Class D 24.38% 19.36%
- ---------------------------------------------------------
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 AND THE SEI COMPOSITE
BENCHMARK
[LINE GRAPH OMITTED] -- PLOT POINTS AS FOLLOWS:
<TABLE>
SEI Div. Global SEI Div. Global Lehman Brothers
Moderate Growth Moderate Growth Wilshire SEI Composite Aggregate Bond
Fund, Class A Fund, Class D 5000 Index Benchmark Index
<S> <C> <C> <C> <C>
$10,000 $10,000 $10,000 $10,000 $10,000
10,027 9,944 10,064 10,035 9,933
12,602 12,429 14,870 12,608 11,138
</TABLE>
1 FOR THE PERIOD ENDED MARCH 31, 1998. 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.
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 Diversified Moderate Growth Fund (Class A share) was up a
strong 29.08% outperforming its benchmark for the one year period ended March
31, 1998. The Fund's performance was driven by a strong rally of the global
financial markets during 1997 and into 1998. The Fund's 48% exposure to the U.S.
equity market was the main contributor to returns. The broad market was up an
exceptional 47.75% for the period rallying on strong economic fundamentals.
4
<PAGE>
================================================================================
Historically strong conditions included a 25 year low in the unemployment rate,
increased productivity and the lowest level of inflation since 1965. All four
U.S. equity sectors in the Fund outperformed their benchmarks. Outperformance
can be attributed to an overweight to consumer oriented industries and positive
stock selection within the technology and finance industries. The international
equity sector returned 14.86% as global equity markets rallied in a low interest
rate, low inflationary global investment environment. A broad strengthening of
the U.S. dollar slightly undercut returns to U.S. investors. The U.S. core fixed
income portion of the fund outperformed its benchmark returning 12.15% for the
period. The U.S. fixed income markets surged ahead as decreased inflation
concerns and a global flight to quality brought on by the Asian crisis drove
prices up. An overweight to the mortgage sector contributed to outperformance
during the period. The developed international fixed income sector moved ahead
3.25% boosted by a strong rally in the U.K. bond market.
===============================================================
DIVERSIFIED MODERATE GROWTH FUND
===============================================================
AVERAGE ANNUAL TOTAL RETURN1
- ---------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- ---------------------------------------------------------------
Diversified Moderate Growth, Class A 29.08% 19.60%
- ---------------------------------------------------------------
Diversified Moderate Growth, Class D 27.99% 17.90%
- ---------------------------------------------------------------
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 OMITTED] -- PLOT POINTS AS FOLLOWS:
<TABLE>
SEI Diversified Lehman Brothers
Moderate Growth Fund, SEI Composite Aggregate Bond Wilshire
Class A Benchmark* Index 5000 Index
<S> <C> <C> <C>
$10,000 $10,000 $10,000 $10,000
10,670 10,647 10,431 11,062
13,773 13,726 11,683 16,346
SEI Diversified Lehman Brothers
Moderate Growth Fund, SEI Composite Aggregate Bond Wilshire
Class D Benchmark* Index 5000 Index
<S> <C> <C> <C>
$10,000 $10,000 $10,000 $10,000
10,571 10,662 10,571 10,972
13,530 13,744 11,840 16,212
</TABLE>
1 FOR THE PERIOD ENDED MARCH 31, 1998. 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.
5
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1998
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.
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 Diversified Global Growth Fund (Class A share) was up a
strong 30.38% outperforming its benchmark for the one year period ended March
31, 1998. The Fund's performance was driven by a strong rally of global
financial markets during 1997 and into 1998. The Fund's 56% exposure to the U.S.
equity market was the main contributor to returns. The broad market was up an
exceptional 47.75% for the period rallying on strong economic fundamentals
including a 25 year low in the unemployment rate, increased productivity and the
lowest rate
=============================================================
DIVERSIFIED GLOBAL GROWTH FUND
=============================================================
AVERAGE ANNUAL TOTAL RETURN1
- -------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- -------------------------------------------------------------
Diversified Global Growth, Class A 30.38% 21.04%
- -------------------------------------------------------------
Diversified Global Growth, Class D 29.22% 19.12%
- -------------------------------------------------------------
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
<TABLE>
[LINE GRAPH OMITTED] -- PLOT POINTS AS FOLLOWS:
SEI Diversified Lehman Brothers
Global Growth Fund, SEI Composite Aggregate Bond Wilshire MSCI EAFE
Class A Benchmark* Index 5000 Index Index
<S> <C> <C> <C> <C>
$10,000 $10,000 $10,000 $10,000 $10,000
10,789 10,755 10,431 11,062 9,988
14,066 14,041 11,683 16,346 11,847
SEI Diversified Lehman Brothers
Global Growth Fund, SEI Composite Aggregate Wilshire MSCI EAFE
Class D Benchmark* Bond Index 5000 Index Index
<S> <C> <C> <C> <C>
$10,000 $10,000 $10,000 $10,000 $10,000
10,670 10,747 10,571 10,972 10,044
13,787 14,031 11,840 16,212 11,914
</TABLE>
1 FOR THE PERIOD ENDED MARCH 31, 1998. 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.
6
<PAGE>
================================================================================
of inflation since 1965. All four U.S. equity style funds outperformed their
benchmarks as they benefited from an overweight to consumer oriented
industries and strong stock selection within the technology and finance
industries. The international equity sector returned 14.86% as global equity
markets rallied in a low interest rate, low inflationary global investment
environment. Returns were negative in the emerging markets, although the sector
managed to outpace its benchmark by over 4%. The fixed income allocation within
the fund also contributed to performance. The U.S. core fixed income and high
yield debt sector both rallied to return 12.15% and 17.76%, respectively. These
markets surged on decreased inflation concerns and a global flight to quality.
The developed international fixed income sector moved ahead 3.25% boosted by a
rally in the U.K. bond market. Finally, the emerging market debt sector was a
welcome addition to the Fund returning 8.96% since it was added in the beginning
of July.
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.
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 Diversified Global Stock Fund (Class A share) was up a
strong 34.70% outperforming its benchmark for the one year period ended March
31, 1998. The Fund's performance was driven by a strong rally of global equity
markets during 1997 and into 1998. The Fund's 69% exposure to the U.S. equity
market was the major source of returns. The broad market was up an exceptional
47.75% for the period rallying on strong economic fundamentals including a 25
year low in the unemployment rate, increased productivity and the lowest level
of inflation since 1965. The market rally was interrupted briefly during August
and October due to backlash from the Asian crisis. However, losses were quickly
reversed as Asia showed signs of recovery and investors refocused attention on
the positive fundamentals within the U.S. All four U.S. equity style funds
outperformed their benchmarks as they benefited from an overweight to consumer
oriented industries and strong stock selection within the technology and finance
industries. The developed international equity sector also contributed returning
14.86%. Most developed markets shored up returns in a low interest rate, low
inflationary environment. The strong performance was offset slightly by heavy
losses in Asia and a broad appreciation of the U.S. dollar during the period.
Returns were negative in the emerging markets, although the sector managed to
outpace its benchmark by over 4%.
7
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1998
=============================================================
DIVERSIFIED GLOBAL STOCK FUND
=============================================================
AVERAGE ANNUAL TOTAL RETURN1
- -------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- -------------------------------------------------------------
Diversified Global Stock, Class A 34.70% 26.25%
- -------------------------------------------------------------
Diversified Global Stock, Class D 33.38% 24.73%
- -------------------------------------------------------------
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
SEI COMPOSITE BENCHMARK
[LINE GRAPH OMITTED] -- PLOT POINTS AS FOLLOWS:
<TABLE>
SEI Global Stock SEI Global Stock SEI Composite MSCI EAFE Wilshire
Fund, Class A Fund, Class D Benchmark* Index 5000 Index
<S> <C> <C> <C> <C>
$10,000 $10,000 $10,000 $10,000 $10,000
10,058 10,064 9,844 10,117 10,031
13,548 14,870 11,675 13,700 13,380
</TABLE>
1 FOR THE PERIOD ENDED MARCH 31, 1998. 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.
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 Diversified U.S. Stock Fund (Class A share) returned 50.40%
for the one year period ended March 31, 1998. The Fund's strong performance
reflected a rally in the broad U.S. equity market and value added through SEI's
security selection process. The U.S. equity market rallied on positive economic
news including a 25 year low in the unemployment rate, increased productivity
and the lowest level of inflation since 1965. The market rally was interrupted
briefly during August and October due to backlash from the Asian crises.
However, losses were quickly reversed as Asia showed
8
<PAGE>
================================================================================
signs of recovery and investors refocused attention on the positive fundamentals
within the U.S. All of the U.S. equity style sectors outperformed their
benchmarks as they benefited from industry weights and stock selection. An
overweight to consumer oriented shares including retail, consumer durables and
construction, as well as strong stock selection within the technology and
finance sectors contributed to outperformance. Particularly strong holdings were
Compaq and Lucent Technologies up 301% and 145%, respectively.
==========================================================
DIVERSIFIED U.S. STOCK FUND
==========================================================
AVERAGE ANNUAL TOTAL RETURN1
- ----------------------------------------------------------
Annualized
One Year Inception
Return to Date
- ----------------------------------------------------------
Diversified U.S. Stock, Class A 50.40% 31.51%
- ----------------------------------------------------------
Diversified U.S. Stock, Class D 48.86% 32.20%
- ----------------------------------------------------------
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 WILSHIRE 5000 INDEX
[LINE GRAPH OMITTED] -- PLOT POINTS AS FOLLOWS:
SEI Diversified U.S Wilshire
Stock Fund, Class A 5000 Index
$10,000 $10,000
11,070 10,973
16,650 16,212
SEI Diversified U.S. Wilshire
Stock Fund, Class D 5000 Index
$10,000 $10,000
11,677 11,694
17,382 17,278
1 FOR THE PERIOD ENDED MARCH 31, 1998. 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.
9
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1998
DIVERSIFIED CONSERVATIVE
INCOME FUND
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
EQUITY FUNDS -- 25.1%
SEI Institutional Managed Trust
Large Cap Growth Portfolio 73,931 $ 1,669
SEI Institutional Managed Trust
Large Cap Value Portfolio 84,296 1,715
SEI Institutional Managed Trust
Small Cap Growth Portfolio 20,196 375
SEI Institutional Managed Trust
Small Cap Value Portfolio 20,976 375
-------
TOTAL EQUITY FUNDS
(Cost $3,734) 4,134
-------
FIXED INCOME FUND -- 54.8%
SEI Institutional Managed Trust
Core Fixed Income Portfolio 855,970 9,030
-------
TOTAL FIXED INCOME FUND
(Cost $8,908) 9,030
-------
MONEY MARKET FUND -- 19.9%
SEI Liquid Asset Trust Prime
Obligation Portfolio 3,269,741 3,270
-------
TOTAL MONEY MARKET FUND
(Cost $3,270) 3,270
-------
TOTAL INVESTMENTS -- 99.8%
(Cost $15,912) 16,434
-------
OTHER ASSETS AND LIABILITIES -- 0.2%
Other Assets and Liabilities, Net 28
-------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
1,178,816 outstanding shares
of beneficial interest 13,100
Portfolio Shares of Class D
(unlimited authorization --
no par value) based on
222,177 outstanding shares of
beneficial interest 2,379
Undistributed net investment income 140
Accumulated net realized gain on investments 321
Net unrealized appreciation on investments 522
-------
TOTAL NET ASSETS -- 100.0% $16,462
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 11.76
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 11.70
=======
DIVERSIFIED CONSERVATIVE
FUND
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
EQUITY FUNDS -- 40.2%
SEI Institutional Managed Trust
Large Cap Growth Portfolio 162,737 $ 3,673
SEI Institutional Managed Trust
Large Cap Value Portfolio 181,556 3,695
SEI Institutional Managed Trust
Small Cap Growth Portfolio 44,211 821
SEI Institutional Managed Trust
Small Cap Value Portfolio 45,916 820
SEI Institutional International Trust
International Equity Portfolio 209,866 2,222
-------
TOTAL EQUITY FUNDS
(Cost $9,771) 11,231
-------
FIXED INCOME FUNDS -- 58.7%
SEI Institutional Managed Trust
Core Fixed Income Portfolio 1,171,737 12,362
SEI Institutional International
Trust International Fixed
Income Portfolio 385,891 4,063
-------
TOTAL FIXED INCOME FUNDS
(Cost ($16,222) 16,425
-------
MONEY MARKET FUND -- 1.0%
SEI Liquid Asset Trust Prime
Obligation Portfolio 277,419 277
--------
TOTAL MONEY MARKET FUND
(Cost $277) 277
-------
TOTAL INVESTMENTS -- 99.9%
(Cost $26,270) 27,933
-------
OTHER ASSETS AND LIABILITIES -- 0.1%
Other Assets and Liabilities, Net 34
-------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
1,956,736 outstanding shares
of beneficial interest 20,129
Portfolio Shares of Class D
(unlimited authorization --
no par value) based on
518,330 outstanding shares
of beneficial interest 5,220
Undistributed net investment income 148
Accumulated net realized gain on investments 807
Net unrealized appreciation on investments 1,663
-------
TOTAL NET ASSETS -- 100.0% $27,967
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 11.31
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 11.27
=======
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
10
<PAGE>
================================================================================
DIVERSIFIED GLOBAL
MODERATE GROWTH FUND
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
EQUITY FUNDS -- 60.3%
SEI Institutional Managed Trust
Large Cap Growth Portfolio 154,505 $ 3,487
SEI Institutional Managed Trust
Large Cap Value Portfolio 175,069 3,563
SEI Institutional Managed Trust
Small Cap Growth Portfolio 41,523 771
SEI Institutional Managed Trust
Small Cap Value Portfolio 43,129 770
SEI Institutional International Trust
International Equity Portfolio 227,638 2,411
SEI Institutional International
Trust Emerging Markets
Equity Portfolio 109,878 1,205
--------
TOTAL EQUITY FUNDS
(Cost $11,353) 12,207
--------
FIXED INCOME FUNDS -- 38.8%
SEI Institutional Managed Trust
High Yield Bond Portfolio 66,505 784
SEI Institutional Managed Trust
Core Fixed Income Portfolio 485,963 5,127
SEI Institutional International
Trust Emerging Markets
Debt Portfolio 73,434 776
SEI Institutional International
Trust International Fixed
Income Portfolio 111,881 1,178
--------
TOTAL FIXED INCOME FUNDS
(Cost $7,762) 7,865
--------
MONEY MARKET FUND -- 1.0%
SEI Liquid Asset Trust Prime
Obligation Portfolio 200,894 201
--------
TOTAL MONEY MARKET FUND
(Cost $201) 201
--------
TOTAL INVESTMENTS -- 100.1%
(Cost $19,316) 20,273
--------
OTHER ASSETS AND LIABILITIES -- (0.1%)
Other Assets and Liabilities, Net (17)
--------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
1,061,563 outstanding shares
of beneficial interest $12,251
Portfolio Shares of Class D
(unlimited authorization --
no par value) based on
565,484 outstanding shares
of beneficial interest 6,377
Undistributed net investment income 58
Accumulated net realized gain on investments 613
Net unrealized appreciation on investments 957
-------
TOTAL NET ASSETS -- 100.0% $20,256
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 12.49
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 12.38
=======
DIVERSIFIED MODERATE
GROWTH FUND
EQUITY FUNDS -- 60.4%
SEI Institutional Managed Trust
Large Cap Growth Portfolio 522,014 $11,782
SEI Institutional Managed Trust
Large Cap Value Portfolio 583,033 11,865
SEI Institutional Managed Trust
Small Cap Growth Portfolio 140,463 2,607
SEI Institutional Managed Trust
Small Cap Value Portfolio 145,606 2,601
SEI Institutional International Trust
International Equity Portfolio 673,509 7,132
-------
TOTAL EQUITY FUNDS
(Cost $30,693) 35,987
-------
FIXED INCOME FUNDS -- 38.4%
SEI Institutional Managed Trust
Core Fixed Income Portfolio 1,635,059 17,250
SEI Institutional International
Trust International Fixed
Income Portfolio 537,349 5,658
-------
TOTAL FIXED INCOME FUNDS
(Cost $22,670) 22,908
-------
MONEY MARKET FUND -- 0.9%
SEI Liquid Asset Trust Prime
Obligation Portfolio 556,906 557
-------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
11
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1998
DIVERSIFIED MODERATE
GROWTH FUND (CONTINUED)
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
TOTAL MONEY MARKET FUND
(Cost $557) $ 557
-------
TOTAL INVESTMENTS -- 99.7%
(Cost $53,920) 59,452
-------
OTHER ASSETS AND LIABILITIES -- 0.3%
Other Assets and Liabilities, Net 160
-------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
3,832,894 outstanding shares
of beneficial interest 44,842
Portfolio Shares of Class D
(unlimited authorization --
no par value) based on
678,838 outstanding shares
of beneficial interest 6,854
Undistributed net investment income 197
Accumulated net realized gain on investments 2,187
Net unrealized appreciation on investments 5,532
-------
TOTAL NET ASSETS -- 100.0% $59,612
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 13.22
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 13.16
=======
DIVERSIFIED GLOBAL
GROWTH FUND
EQUITY FUNDS -- 80.0%
SEI Institutional Managed Trust
Large Cap Growth Portfolio 722,517 16,307
SEI Institutional Managed Trust
Large Cap Value Portfolio 804,045 16,362
SEI Institutional Managed Trust
Small Cap Growth Portfolio 191,797 3,560
SEI Institutional Managed Trust
Small Cap Value Portfolio 199,226 3,558
SEI Institutional International
Trust International Equity
Portfolio 1,068,251 11,313
SEI Institutional International
Trust Emerging Markets
Equity Portfolio 518,090 5,684
-------
TOTAL EQUITY FUNDS
(Cost $49,870) 56,784
-------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
FIXED INCOME FUNDS -- 18.9%
SEI Institutional Managed Trust
Core Fixed Income Portfolio 828,404 $ 8,740
SEI Institutional Managed Trust
High Yield Bond Portfolio 113,884 1,343
SEI Institutional International
Trust Emerging Markets
Debt Portfolio 125,188 1,323
SEI Institutional International
Trust International Fixed
Income Portfolio 191,489 2,016
-------
TOTAL FIXED INCOME FUNDS
(Cost $13,209) 13,422
-------
MONEY MARKET FUND -- 1.0%
SEI Liquid Asset Trust Prime
Obligation Portfolio 699,254 699
-------
TOTAL MONEY MARKET FUND
(Cost $699) 699
-------
TOTAL INVESTMENTS -- 99.9%
(Cost $63,778) 70,905
-------
OTHER ASSETS AND LIABILITIES -- 0.1%
Other Assets and Liabilities, Net 56
-------
NET ASSETS:
Portfolio Shares of Class
A (unlimited authorization --
no par value) based on
4,178,641 outstanding shares
of beneficial interest 49,946
Portfolio Shares of Class D
(unlimited authorization --
no par value) based on
1,026,479 outstanding shares
of beneficial interest 11,019
Undistributed net investment income 94
Accumulated net realized gain on investments 2,775
Net unrealized appreciation on investments 7,127
-------
TOTAL NET ASSETS -- 100.0% $70,961
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 13.64
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 13.59
=======
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12
<PAGE>
================================================================================
DIVERSIFIED GLOBAL
STOCK FUND
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
EQUITY FUNDS -- 98.9%
SEI Institutional Managed Trust
Large Cap Growth Portfolio 282,982 $ 6,387
SEI Institutional Managed Trust
Large Cap Value Portfolio 315,557 6,422
SEI Institutional Managed Trust
Small Cap Growth Portfolio 75,941 1,409
SEI Institutional Managed Trust
Small Cap Value Portfolio 78,852 1,408
SEI Institutional International Trust
International Equity Portfolio 424,547 4,496
SEI Institutional International
Trust Emerging Markets
Equity Portfolio 206,439 2,265
-------
TOTAL EQUITY FUNDS
(Cost $20,038) 22,387
-------
MONEY MARKET FUND -- 1.0%
SEI Liquid Asset Trust Prime
Obligation Portfolio 226,312 226
-------
TOTAL MONEY MARKET FUND
(Cost $226) 226
-------
TOTAL INVESTMENTS -- 99.9%
(Cost $20,264) 22,613
-------
OTHER ASSETS AND LIABILITIES -- 0.1%
Other Assets and Liabilities, Net 27
-------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
1,485,426 outstanding shares
of beneficial interest 16,863
Portfolio Shares of Class D
(unlimited authorization --
no par value) based on
221,238 outstanding shares
of beneficial interest 2,634
Accumulated net realized gain on investments 794
Net unrealized appreciation on investments 2,349
-------
TOTAL NET ASSETS -- 100.0% $22,640
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 13.28
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 13.16
=======
DIVERSIFIED U.S.
STOCK FUND
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
EQUITY FUNDS -- 98.9%
SEI Institutional Managed Trust
Large Cap Growth Portfolio 701,140 $15,825
SEI Institutional Managed Trust
Large Cap Value Portfolio 780,791 15,889
SEI Institutional Managed Trust
Small Cap Growth Portfolio 188,677 3,502
SEI Institutional Managed Trust
Small Cap Value Portfolio 195,696 3,495
-------
TOTAL EQUITY FUNDS
(Cost $31,645) 38,711
-------
MONEY MARKET FUND -- 1.0%
SEI Liquid Asset Trust Prime
Obligation Portfolio 391,944 392
-------
TOTAL MONEY MARKET FUND
(Cost $392) 392
-------
TOTAL INVESTMENTS -- 99.9%
(Cost $32,037) 39,103
-------
OTHER ASSETS AND LIABILITIES -- 0.1%
Other Assets and Liabilities, Net 48
-------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
1,581,920 outstanding shares
of beneficial interest 20,228
Portfolio Shares of Class D
(unlimited authorization --
no par value) based on
871,518 outstanding shares
of beneficial interest 9,803
Accumulated net realized gain on investments 2,054
Net unrealized appreciation on investments 7,066
-------
TOTAL NET ASSETS -- 100.0% $39,151
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 16.03
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 15.83
=======
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
13
<PAGE>
STATEMENT OF OPERATIONS (000)
================================================================================
SEI ASSET ALLOCATION TRUST -- FOR THE YEAR ENDED MARCH 31, 1998
<TABLE>
<CAPTION>
--------------------- ----------------------- ----------------------
DIVERSIFIED DIVERSIFIED
CONSERVATIVE DIVERSIFIED GLOBAL
INCOME CONSERVATIVE MODERATE
FUND FUND GROWTH FUND
--------------------- ------------------------ ----------------------
INVESTMENT INCOME:
<S> <C> <C> <C>
Income distributions from
underlying funds $ 433 $ 623 $ 287
------- ------- -------
EXPENSES:
Administration fees 19 38 20
Less administration fees waived (19) (38) (20)
Investment advisory fees 10 19 10
Less investment advisory fees waived (10) (19) (10)
Reimbursement by administrator (63) (79) (48)
Custodian fees 2 5 3
Transfer agent fees 31 38 25
Professional fees 4 9 9
Registration & filing fees 26 32 11
Printing fees 5 11 6
Trustee fees 2 4 2
Distribution & shareholder
servicing fees* 22 45 46
Amortization of deferred
organization costs 4 4 4
------- ------- -------
Total expenses after waivers
and reimbursements 33 69 58
------- ------- -------
NET INVESTMENT INCOME 400 554 229
------- ------- -------
NET REALIZED AND UNREALIZED GAIN
ON INVESTMENTS:
Capital gain distributions received
from investments 213 630 502
Net realized gain from
security transactions 358 313 187
Net change in unrealized
appreciation on investments 555 1,857 960
------- ------- -------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $ 1,526 $ 3,354 $ 1,878
======= ======= =======
<FN>
*All distribution and shareholder servicing fees are incurred at the Class D level.
Amounts designated as"--" are zero or have been rounded to zero.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
14
<PAGE>
<TABLE>
<CAPTION>
------------------ -------------- ------------- ------------
DIVERSIFIED DIVERSIFIED DIVERSIFIED
MODERATE GLOBAL GLOBAL DIVERSIFIED
GROWTH GROWTH STOCK U.S. STOCK
FUND FUND FUND FUND
------------------ -------------- ------------- ------------
<S> <C> <C> <C>
$ 969 $ 881 $ 118 $ 175
------- ------- ------- -------
77 94 25 51
(77) (94) (25) (51)
37 47 12 25
(37) (47) (12) (25)
(129) (146) (89) (98)
12 13 4 8
42 55 55 35
20 24 10 14
64 70 20 48
23 26 6 13
10 11 5 6
77 120 12 98
4 4 4 4
------- ------ ------- -------
123 177 27 128
------- ------ ------- -------
846 704 91 47
------- ------ ------- -------
1,771 2,437 773 1,895
935 1,042 71 1,139
5,707 7,169 2,482 6,802
------- ------- ------- -------
$9,259 $11,352 $ 3,417 $ 9,883
======= ======= ======= =======
</TABLE>
15
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
================================================================================
SEI ASSET ALLOCATION TRUST -- FOR PERIODS ENDED MARCH 31
<TABLE>
<CAPTION>
---------------------- -------------------
DIVERSIFIED
CONSERVATIVE DIVERSIFIED
INCOME CONSERVATIVE
FUND (1) FUND (2)
---------------------- -------------------
4/1/97- 6/13/96- 4/1/97- 6/26/96-
3/31/98 3/31/97 3/31/98 3/31/97
---------------------- -------------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 400 $ 75 $ 554 $ 84
Capital gain distributions received from investments 213 62 630 142
Net realized gain (loss) from security transactions 358 12 313 94
Net change in unrealized appreciation (depreciation) on investments 555 (33) 1,857 (194)
------- ------ ------ ------
Net increase (decrease) in net assets resulting from operations 1,526 116 3,354 126
------- ------ ------ ------
DISTRIBUTIONS FROM:
Net investment income:
Class A (245) (36) (356) (33)
Class D (46) (8) (77) (24)
Net realized gains:
Class A (260) -- (264) (14)
Class D (64) -- (82) (12)
------- ------ ------ ------
Total distributions (615) (44) (779) (83)
------- ------ ------ ------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from shares issued 13,180 3,329 17,787 6,012
Reinvestment of distributions 369 30 496 40
Cost of shares redeemed (3,370) (534) (4,157) (49)
------- ------ ------- ------
Increase in net assets derived from Class A transactions 10,179 2,825 14,126 6,003
------- ------ ------- ------
CLASS D:
Proceeds from shares issued 3,994 635 5,038 3,171
Reinvestment of distributions 110 8 159 36
Cost of shares redeemed (2,318) (51) (1,624) (1,561)
------- ------ ------- ------
Increase in net assets derived from Class D transactions 1,786 592 3,573 1,646
------- ------ ------- ------
Increase in net assets derived from capital share transactions 11,965 3,417 17,699 7,649
------- ------ ------- ------
Net increase in net assets 12,876 3,489 20,274 7,692
------- ------ ------- ------
NET ASSETS:
Beginning of period 3,586 97 7,693 1
------- ------ ------- ------
End of period $16,462 $3,586 $27,967 $7,693
======= ====== ======= ======
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Shares issued 1,161 321 1,674 623
Shares issued in lieu of cash distributions 33 3 47 4
Shares redeemed (298) (51) (386) (5)
------- ------ ------- ------
Total Class A transactions 896 273 1,335 622
------- ------ ------- ------
CLASS D:
Shares issued 359 62 476 342
Shares issued in lieu of cash distributions 10 1 15 4
Shares redeemed (204) (5) (151) (168)
------ ------ ------- ------
Total Class D transactions 165 58 340 178
------ ------ ------- ------
Increase in capital shares 1,061 331 1,675 800
====== ====== ======= ======
</TABLE>
16
<PAGE>
<TABLE>
------------------- --------------------- --------------------- --------------------- ---------------------
DIVERSIFIED DIVERSIFIED DIVERSIFIED DIVERSIFIED
GLOBAL MODERATE GLOBAL GLOBAL DIVERSIFIED
MODERATE GROWTH GROWTH GROWTH STOCK U.S. STOCK
FUND (3) FUND (4) FUND (4) FUND (3) FUND (5)
------------------- --------------------- ---------------------- --------------------- ----------------------
4/1/97- 12/5/96- 4/1/97- 5/30/96- 4/1/97- 5/30/96- 4/1/97- 12/5/96- 4/1/97- 5/13/96-
3/31/98 3/31/97 3/31/98 3/31/97 3/31/98 3/31/97 3/31/98 3/31/97 3/31/98 3/31/97
------- --------- --------- --------- --------- ---------- --------------------- ----------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 229 $ -- $ 846 $ 233 $ 704 $ 132 $ 91 $ 7 $ 47 $ 18
502 -- 1,771 730 2,437 835 773 127 1,895 862
187 -- 935 28 1,042 5 71 -- 1,139 (49)
960 (3) 5,707 (175) 7,169 (42) 2,482 (133) 6,802 264
- ------- ----- -------- ------- -------- ------- ------- ------ ------- ------
1,878 (3) 9,259 816 11,352 930 3,417 1 9,883 1,095
- ------- ----- -------- ------- -------- ------- ------- ------ ------- ------
(111) -- (622) (115) (561) (70) (93) (8) (64) (26)
(60) -- (84) (61) (80) (31) (7) -- -- (9)
(41) -- (1,057) (14) (1,188) (4) (146) -- (1,145) --
(35) -- (197) (10) (349) (3) (21) -- (614) --
- ------- ----- -------- ------- -------- ------- ------- ------ ------- ------
(247) -- (1,960) (200) (2,178) (108) (267) (8) (1,823) (35)
- ------- ----- -------- ------- -------- ------- ------- ------ ------- ------
13,106 72 35,766 16,131 38,977 16,553 13,759 4,833 13,930 10,616
118 -- 1,174 123 1,501 70 222 8 974 22
(1,042) (3) (7,312) (1,040) (6,332) (824) (1,931) (28) (3,394) (1,921)
- ------- ----- -------- ------- -------- ------- ------- ------ ------- -------
12,182 69 29,628 15,214 34,146 15,799 12,050 4,813 11,510 8,717
- ------- ----- -------- ------- -------- ------- ------- ------ ------- -------
8,923 87 3,856 7,822 10,274 7,566 2,670 47 8,220 6,308
95 -- 281 71 428 34 27 -- 614 9
(2,728) -- (3,363) (1,813) (5,992) (1,291) (110) -- (4,203) (1,145)
- ------- ----- -------- ------- -------- ------- ------- ------ ------- ------
6,290 87 774 6,080 4,710 6,309 2,587 47 4,631 5,172
- ------- ----- -------- ------- -------- ------- ------- ------ ------- -------
18,472 156 30,402 21,294 38,856 22,108 14,637 4,860 16,141 13,889
- ------- ----- -------- ------- -------- ------- ------- ------ ------- -------
20,103 153 37,701 21,910 48,030 22,930 17,787 4,853 24,201 14,949
- ------- ----- -------- ------- -------- ------- ------- ------ ------- -------
153 -- 21,911 1 22,931 1 4,853 -- 14,950 1
- ------- ----- -------- ------- -------- ------- ------- ------ ------- -------
$20,256 $ 153 $ 59,612 $21,911 $ 70,961 $22,931 $22,640 $4,853 $39,151 $14,950
======= ===== ======== ======= ======== ======= ======= ====== ======= =======
1,133 7 2,901 1,525 3,089 1,539 1,150 481 967 982
10 -- 96 12 120 7 18 1 68 2
(88) -- (602) (99) (501) (75) (162) (3) (249) (188)
- ------- ----- -------- ------- -------- ------- ------- ------ ------- ------
1,055 7 2,395 1,438 2,708 1,471 1,006 479 786 796
- ------- ----- -------- ------- -------- ------- ------- ------ ------- ------
783 8 332 779 838 757 223 5 601 631
8 -- 23 6 34 3 2 -- 43 1
(234) -- (282) (179) (479) (127) (9) -- (292) (112)
- ------- ----- -------- ------- -------- ------- ------- ------ ------- ------
557 8 73 606 393 633 216 5 352 520
- ------- ----- -------- ------- -------- ------- ------- ------ ------- ------
1,612 15 2,468 2,044 3,101 2,104 1,222 484 1,138 1,316
======= ===== ======== ======= ======== ======= ======= ====== ======= ======
<FN>
(3) COMMENCED OPERATIONS 12/5/96.
(4) COMMENCED OPERATIONS 5/30/96.
(5) COMMENCED OPERATIONS 5/13/96.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
17
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
SEI ASSET ALLOCATION TRUST
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS ENDED MARCH 31,
<TABLE>
<CAPTION>
NET
REALIZED NET RATIO OF
NET ASSET NET AND DISTRIBUTIONS DISTRIBUTIONS ASSET RATIO OF INCOME/
VALUE INVESTMENT UNREALIZED FROM NET FROM VALUE NET ASSETS EXPENSES (LOSS) TO
BEGINNING INCOME/ GAINS ON INVESTMENT CAPITAL END OF TOTAL END OF TO AVERAGE AVERAGE
OF PERIOD (LOSS) SECURITIES INCOME GAINS PERIOD RETURN PERIOD (000) NET ASSETS NET ASSETS
====================================================================================================================================
- -------------------------------------
DIVERSIFIED CONSERVATIVE INCOME FUND
- -------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A
1998 # $10.55 $0.50 $1.46 $(0.44) $(0.31) $11.76 19.16% $13,862 0.12% 4.37%
1997(1)# 10.12 0.37 0.27 (0.21) -- 10.55 6.35* 2,983 0.12 4.38
CLASS D
1998 # $10.49 $0.38 $1.46 $(0.32) $(0.31) $11.70 17.90% $ 2,600 1.12% 3.35%
1997(2)# 10.09 0.27 0.30 (0.17) -- 10.49 5.67* 603 1.12 3.37
- -----------------------------------
DIVERSIFIED CONSERVATIVE FUND
- -----------------------------------
CLASS A
1998 # $ 9.62 $0.33 $1.78 $(0.27) $(0.15) $11.31 22.35% $22,125 0.12% 3.12%
1997 (3)# 9.26 0.26 0.35 (0.18) (0.07) 9.62 6.54* 5,989 0.12 3.56
CLASS D
1998 # $ 9.58 $0.24 $1.78 $(0.18) $(0.15) $11.27 21.29% $ 5,842 1.12% 2.13%
1997(4)# 9.33 0.19 0.26 (0.13) (0.07) 9.58 4.84* 1,704 1.12 2.60
- -----------------------------------------
DIVERSIFIED GLOBAL MODERATE GROWTH FUND
- -----------------------------------------
CLASS A
1998 # $10.15 $0.31 $2.28 $(0.19) $(0.06) $12.49 25.68% $13,255 0.12% 2.66%
1997(6)# 10.00 0.06 0.14 (0.05) -- 10.15 1.96* 68 0.12 2.03
CLASS D
1998 # $10.11 $0.17 $2.28 $(0.12) $(0.06) $12.38 24.38% $ 7,001 1.12% 1.72%
1997(5)# 10.00 0.02 0.13 (0.04) -- 10.11 1.52* 85 1.12 0.60
- -----------------------------------
DIVERSIFIED MODERATE GROWTH FUND
- -----------------------------------
CLASS A
1998 # $10.74 $0.29 $2.76 $(0.25) $(0.32) $13.22 29.08% $50,677 0.12% 2.39%
1997(7)# 10.19 0.23 0.50 (0.16) (0.02) 10.74 7.12* 15,440 0.12 2.64
CLASS D
1998 # $10.67 $0.18 $2.76 $(0.13) $(0.32) $13.16 27.99% $ 8,935 1.12% 1.37%
1997(8)# 10.21 0.15 0.44 (0.11) (0.02) 10.67 5.71* 6,471 1.12 1.63
</TABLE>
RATIO RATIO OF
OF EXPENSES NET INVESTMENT
TO AVERAGE INCOME/(LOSS)
NET ASSETS TO AVERAGE NET
(EXCLUDING ASSETS (EXCLUDING PORTFOLIO
WAIVERS AND WAIVERS AND TURNOVER
REIMBURSEMENT) REIMBURSEMENT) RATE
================================================================================
- -------------------------------------
DIVERSIFIED CONSERVATIVE INCOME FUND
- -------------------------------------
CLASS A
1998 # 1.01% 3.48% 52%
1997(1)# 3.65+ 0.85+ 27
CLASS D
1998 # 2.27% 2.20% 52%
1997(2)# N/A++ N/A++ 27
- -----------------------------------
DIVERSIFIED CONSERVATIVE FUND
- -----------------------------------
CLASS A
1998 # 0.81% 2.43% 24%
1997 (3)# 2.75+ 0.93+ 65
CLASS D
1998 # 1.91% 1.34% 24%
1997(4)# 3.72+ 0.00+ 65
- -----------------------------------------
DIVERSIFIED GLOBAL MODERATE GROWTH FUND
- -----------------------------------------
CLASS A
1998 # 0.86% 1.92% 30%
1997(6)# N/A++ N/A++ 3
CLASS D
1998 # 1.93% 0.91% 30%
1997(5)# N/A++ N/A++ 3
- -----------------------------------
DIVERSIFIED MODERATE GROWTH FUND
- -----------------------------------
CLASS A
1998 # 0.74% 1.77% 20%
1997(7)# 1.45+ 1.31+ 22
CLASS D
1998 # 1.80% 0.69% 20%
1997(8)# 2.57+ 0.18+ 22
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
18
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NET
REALIZED NET RATIO OF
NET ASSET NET AND DISTRIBUTIONS DISTRIBUTIONS ASSET RATIO OF INCOME/
VALUE INVESTMENT UNREALIZED FROM NET FROM VALUE NET ASSETS EXPENSES (LOSS) TO
BEGINNING INCOME/ GAINS ON INVESTMENT CAPITAL END OF TOTAL END OF TO AVERAGE AVERAGE
OF PERIOD (LOSS) SECURITIES INCOME GAINS PERIOD RETURN PERIOD (000) NET ASSETS NET ASSETS
====================================================================================================================================
- -------------------------------
DIVERSIFIED GLOBAL GROWTH FUND
- -------------------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1998 # $10.91 $0.22 $3.04 $(0.19) $(0.34) $13.64 30.38% $57,012 0.12% 1.76%
1997(1)# 10.19 0.15 0.68 (0.10) (0.01) 10.91 8.10* 16,049 0.12 1.74
CLASS D
1998 # $10.87 $0.10 $3.04 $(0.08) $(0.34) $13.59 29.22% $13,949 1.12% 0.72%
1997(8)# 10.24 0.06 0.63 (0.05) (0.01) 10.87 6.69* 6,882 1.12 0.71
- -------------------------------
DIVERSIFIED GLOBAL STOCK FUND
- -------------------------------
CLASS A
1998 # $10.04 $0.15 $3.31 $(0.09) $(0.13) $13.28 34.70% $19,730 0.12% 0.85%
1997(10)# 10.00 0.02 0.05 (0.03) -- 10.04 0.67* 4,807 0.12 0.65
CLASS D
1998 # $10.01 $0.01 $3.31 $(0.04) $(0.13) $13.16 33.38% $ 2,910 1.12% (0.07)%
1997(5)# 10.00 (0.03) 0.06 (0.02) -- 10.01 0.31* 46 1.12 (1.06)
- -------------------------------
DIVERSIFIED U.S. STOCK FUND
- -------------------------------
CLASS A
1998 # $11.38 $0.08 $5.53 $(0.05) $(0.91) $16.03 50.40% $25,357 0.12% 0.57%
1997(9)# 10.27 0.07 1.09 (0.05) -- 11.38 11.33* 9,065 0.12 0.72
CLASS D
1998 # $11.32 $(0.11) $5.53 -- $(0.91) $15.83 48.86% $13,794 1.12% (0.42)%
1997(4)# 10.36 (0.03) 1.01 $(0.02) -- 11.32 9.43* 5,885 1.12 (0.39)
RATIO RATIO OF
OF EXPENSES NET INVESTMENT
TO AVERAGE INCOME/(LOSS)
NET ASSETS TO AVERAGE NET
(EXCLUDING ASSETS (EXCLUDING PORTFOLIO
WAIVERS AND WAIVERS AND TURNOVER
REIMBURSEMENT) REIMBURSEMENT) RATE
================================================================================
- -------------------------------
DIVERSIFIED GLOBAL GROWTH FUND
- -------------------------------
CLASS A
1998 # 0.72% 1.16% 15%
1997(1)# 1.53+ 0.33+ 13
CLASS D
1998 # 1.76% 0.08% 15%
1997(8)# 2.56+ (0.73)+ 13
- -------------------------------
DIVERSIFIED GLOBAL STOCK FUND
- -------------------------------
CLASS A
1998 # 1.13% (0.16)% 10%
1997(10)# 2.13+ (1.36)+ --
CLASS D
1998 # 2.52% (1.47)% 10%
1997(5)# N/A++ N/A++ --
- -------------------------------
DIVERSIFIED U.S. STOCK FUND
- -------------------------------
CLASS A
1998 # 0.80% (0.11)% 21%
1997(9)# 1.84+ (1.00)+ 28
CLASS D
1998 # 1.82% (1.12)% 21%
1997(4)# 2.75+ (2.02)+ 28
- -------------------------------
DIVERSIFIED GLOBAL GROWTH FUND
- -------------------------------
CLASS A
1998 # 0.72% 1.16% 15%
1997(1)# 1.53+ 0.33+ 13
CLASS D
1998 # 1.76% 0.08% 15%
1997(8)# 2.56+ (0.73)+ 13
- -------------------------------
DIVERSIFIED GLOBAL STOCK FUND
- -------------------------------
CLASS A
1998 # 1.13% (0.16)% 10%
1997(10)# 2.13+ (1.36)+ --
CLASS D
1998 # 2.52% (1.47)% 10%
1997(5)# N/A++ N/A++ --
- -------------------------------
DIVERSIFIED U.S. STOCK FUND
- -------------------------------
CLASS A
1998 # 0.80% (0.11)% 21%
1997(9)# 1.84+ (1.00)+ 28
CLASS D
1998 # 1.82% (1.12)% 21%
1997(4)# 2.75+ (2.02)+ 28
<FN>
+ RATIOS REFLECT THE IMPACT OF THE INITIAL LOW LEVEL OF AVERAGE NET ASSETS
ASSOCIATED WITH COMMENCEMENT OF OPERATIONS.
++ 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.
* TOTAL RETURN HAS NOT BEEN ANNUALIZED.
(1) COMMENCED OPERATIONS 6/13/96. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
(2) COMMENCED OPERATIONS 6/21/96. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
(3) COMMENCED OPERATIONS 6/26/96. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
(4) COMMENCED OPERATIONS 7/1/96. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
(5) COMMENCED OPERATIONS 12/5/96. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
(6) COMMENCED OPERATIONS 12/13/96. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
(7) COMMENCED OPERATIONS 6/10/96. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
(8) COMMENCED OPERATIONS 5/30/96. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
(9) COMMENCED OPERATIONS 5/13/96. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
(10) COMMENCED OPERATIONS 12/9/96. ALL RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
</FN>
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
19
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1998
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 Investments Management Corporation
(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 Institutional
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
investments in the underlying Portfolios, which are valued at their respective
net asset values.
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.
DISTRIBUTIONS -- Distributions from net investment income and net realized
capital gains are determined in accordance with U.S. Federal income tax
regulations, which may differ from those amounts determined under generally
accepted accounting principles. These book/tax differences are either temporary
or permanent in nature. To the extent these differences are permanent, they are
charged or credited to paid in capital in the period that the difference arises.
Accordingly, $35,000 and $9,000 was reclassified from accumulated net
realized gain on investments to undistributed net investment income in the U.S.
Stock and the Global Stock Funds, respectively. These reclassifications have no
effect on net assets or net asset value per share.
USES OF ESTIMATES IN THE PREPARATION OF FINANCIAL STATEMENTS -- The
preparation of financial state-
20
<PAGE>
================================================================================
ments, in conformity with generally accepted accounting principles, requires
management to make estimates and assumptions that affect the reported amount of
assets and liabilities and disclosure of contingent assets and liabilities at
the date of the financial statements and the reported amounts of revenue and
expenses during the reporting period. Actual results could differ from those
estimates.
3. INVESTMENT ADVISORY, MANAGEMENT, DISTRIBUTION AND SHAREHOLDER SERVICING
AGREEMENTS:
Under the Investment Advisory Agreement with the Trust, SEI Investments
Management Corporation ("SIMC" 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, 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 Adviser 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 Investments Distribution Co. (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. In addition, there are fees paid to the law firm for current legal
services rendered.
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.
21
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1998
5. INVESTMENT TRANSACTIONS:
The cost of security purchases and the proceeds from the sale of securities
during the period ended March 31, 1998 were as follows:
Total
(000)
-------
Diversified Conservative Income Fund
PURCHASES................................... $13,508
SALES....................................... 3,934
Diversified Conservative Fund
PURCHASES................................... $23,843
SALES....................................... 4,517
Diversified Global Moderate Growth Fund
PURCHASES................................... $21,840
SALES....................................... 3,067
Diversified Moderate Growth Fund
PURCHASES................................... $40,624
SALES....................................... 7,694
Diversified Global Growth Fund
PURCHASES................................... $47,489
SALES....................................... 7,060
Diversified Global Stock Fund
PURCHASES................................... $16,199
SALES....................................... 1,161
Diversified U.S. Stock Fund
PURCHASES................................... $21,479
SALES....................................... 5,377
At March 31, 1998, 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 March
31, 1998 for each Fund is as follows:
NET
APPRECIATED DEPRECIATED UNREALIZED
SECURITIES SECURITIES APPRECIATION
(000) (000) (000)
----------- ----------- ------------
Diversified
Conservative
Income $ 529 $ (7) $ 522
Diversified
Conservative 1,732 (69) 1,663
Diversified
Global
Moderate
Growth 1,085 (128) 957
Diversified
Moderate
Growth 5,665 (133) 5,532
Diversified
Global
Growth 7,738 (611) 7,127
Diversified
Global Stock 2,533 (184) 2,349
Diversified
U.S. Stock 7,088 (22) 7,066
22
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1998
To the Shareholders and Trustees of
SEI Asset Allocation Trust
In our opinion, the accompanying statements of net assets 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, 1998,
the results of each of their operations for the year then ended, and the changes
in each of their net assets and the financial highlights for the year then ended
and the respective periods ended March 31, 1997, 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 audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of investments at March 31, 1998 by
correspondence with the transfer agent of the underlying funds, provide a
reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
Philadelphia, PA
May 15, 1998
23
<PAGE>
NOTICE TO SHAREHOLDERS
================================================================================
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1998 (UNAUDITED)
For shareholders that do not have a March 31, 1998 taxable year end, this notice
is for informational purposes only. For shareholders with a March 31, 1998
taxable year end, please consult your tax advisor as to the pertinence of this
notice.
For the fiscal year ended March 31, 1998 the Portfolios of the SEI Asset
Allocation Trust are designating long term and mid term capital gains and
qualifying dividend income with regard to distributions paid during the year as
follows:
<TABLE>
<CAPTION>
(A) (B) (C)
LONG TERM MID TERM ORDINARY
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS
PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS) (TAX BASIS)
- ---------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Diversified Conservative Income 0% 11% 89% 100%
Diversified Conservative 0% 21% 79% 100%
Diversified Global Moderate Growth 0% 0% 100% 100%
Diversified Moderate Growth 0% 39% 61% 100%
Diversified Global Growth 3% 51% 46% 100%
Diversified Global Stock 0% 61% 39% 100%
Diversified U.S. Stock 17% 60% 23% 100%
(D) (E) (F)
Qualifying Tax-Exempt Foreign
PORTFOLIO Dividends(1) Interest Tax Credit
- ---------- ------------- ---------- ----------
<S> <C> <C> <C>
Diversified Conservative Income 7% 0% 0%
Diversified Conservative 19% 0% 0%
Diversified Global Moderate Growth 15% 0% 0%
Diversified Moderate Growth 23% 0% 0%
Diversified Global Growth 28% 0% 0%
Diversified Global Stock 30% 0% 0%
Diversified U.S. Stock 29% 0% 0%
<FN>
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction.
* Items (A), (B) and (C) are based on the percentage of each Portfolio's total
distribution.
** Items (D) and (E) are based on the percentage of ordinary income
distributions of each Portfolio.
</FN>
</TABLE>
24
<PAGE>
==========================
SEI ASSET ALLOCATION TRUST
==========================
ANNUAL REPORT
==========================
March 31, 1998
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
George J. Sullivan, Jr.
OFFICERS
Edward D. Loughlin
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
Cynthia M. Parrish
VICE PRESIDENT, ASSISTANT SECRETARY
Joseph M. O'Donnell
VICE PRESIDENT, ASSISTANT SECRETARY
Richard W. Grant
SECRETARY
John H. Grady, Jr.
ASSISTANT SECRETARY
INVESTMENT ADVISER
SEI Investments Management Corporation
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Fund Management
DISTRIBUTOR
SEI Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT PUBLIC 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 INVESTMENTS
DISTRIBUTION CO., THE DISTRIBUTOR OF THE SEI FUNDS, IS NOT AFFILIATED WITH ANY
BANK.
FOR MORE INFORMATION CALL 1-800-DIAL-SEI/1-800-342-5734
<PAGE>
[LOGO OMITTED]
SEI
INVESTMENTS
DISTRIBUTION
CO.
Oaks, PA 19456
800-DIAL-SEI/800-342-5734
SEI-F-121-02
