ANNUAL REPORT AS OF
MARCH 31, 1999
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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[Logo Omitted]
<PAGE>
TABLE OF CONTENTS
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MANAGEMENT'S DISCUSSION AND ANALYSIS
OF FUND PERFORMANCE..................................................... 1
STATEMENTS OF NET ASSETS/SCHEDULE OF INVESTMENTS.......................... 11
STATEMENTS OF ASSETS AND LIABILITIES...................................... 15
STATEMENTS OF OPERATIONS.................................................. 16
STATEMENTS OF CHANGES IN NET ASSETS....................................... 18
FINANCIAL HIGHLIGHTS...................................................... 20
NOTES TO FINANCIAL STATEMENTS............................................. 22
REPORT OF INDEPENDENT ACCOUNTANTS......................................... 25
NOTICE TO SHAREHOLDERS.................................................... 26
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI ASSET ALLOCATION TRUST -- MARCH 31, 1999
DIVERSIFIED CONSERVATIVE INCOME FUND
OBJECTIVES. The Diversified Conservative Income Fund seeks to provide
current income and an opportunity for capital appreciation through limited
participation in domestic equity markets. In general, relative to the other
Funds, the Diversified Conservative Income Fund should offer investors the
potential for a medium to high level of income and the potential for a low to
medium level of capital growth, while subjecting investors to a medium level of
principal risk.
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 two to five years.
The fixed income component of the Fund provides current income. Under
normal conditions, 55% of the Fund's assets are allocated to the Core Fixed
Income Fund, which invests in intermediate fixed income securities. 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, returned
7.22% for the fiscal year ending March 31, 1999. The Fund's performance
demonstrated that even funds of all U.S. securities are impacted by global
events. The ongoing turmoil in global financial markets had a substantial impact
on both the U.S. equity and fixed income markets over the fiscal year. The Core
Fixed Income Fund was the largest contributor to the Fund's overall performance,
returning 6.02% for the period. U.S. investment grade fixed income markets
rallied during the second and third quarter of 1998 benefiting from a global
flight to quality induced by the Russian devaluation and general emerging market
unrest. The bonds leveled off in the last quarter of 1998 as events in Russia
began to stabilize. Investment grade markets turned down in the first quarter of
1999 as events in Brazil began to stabilize and the outlook for the global
economy became more optimistic. A string of economic reports pointing to an
expanding economy caused U.S. Treasuries to fall sharply during the quarter.
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DIVERSIFIED CONSERVATIVE
INCOME FUND
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AVERAGE ANNUAL TOTAL RETURN1
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Annualized
One Year Inception
Return to Date
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Diversified Conservative Income, Class A 7.22% 11.55%
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Diversified Conservative Income, Class D 6.19% 10.61%
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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 DIVERSIFIED CONSERVATIVE INCOME BENCHMARK
[GRAPHIC OMITTED]
PLOT POINTS ARE AS FOLLOWS:
SEI DIVERSIFIED SEI DIVERSIFIED LEHMAN DIVERSIFED
CONSERVATIVE CONSERVATIVE AGGREGATE CONSERVATIVE
INCOME FUND INCOME FUND BOND INCOME
CLASS A CLASS D INDEX BENCHMARK
$10,000 $10,000 $10,000 $10,000
10,574 10,496 10,431 10,601
12,600 12,374 11,683 12,591
13,510 13,140 12,440 13,570
1 FOR THE PERIOD ENDED MARCH 31, 1999. 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.
1
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI ASSET ALLOCATION TRUST -- MARCH 31, 1999
DIVERSIFIED CONSERVATIVE INCOME FUND (CONTINUED)
The Fund's U.S. equity commitment moved ahead 9.33% during the fiscal year. A
healthy economic environment of low inflation, low interest rates and strong
consumer confidence fueled returns. Investors persevered through poor earnings
reports and global financial shocks throughout the year. The period was
characterized by extreme performance differentials between investment styles.
Large cap companies trounced small caps by over 30%, while growth stocks
outperformed value stocks by over 15%.
DIVERSIFIED CONSERVATIVE FUND
OBJECTIVES. The Diversified Conservative Fund seeks to provide current
income with the opportunity for capital appreciation through limited
participation in the domestic and international equity markets. In general,
relative to the the other Funds, the Diversified Conservative Fund should offer
investors the potential for a medium level of income and the potential for a low
to medim level of capital growth, while subjecting investors to a medium level
of principal risk.
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 four to twelve years.
The U.S. fixed income component of the Fund invests in intermediate-term
bonds with maturities ranging between five and ten 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.
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DIVERSIFIED CONSERVATIVE FUND
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AVERAGE ANNUAL TOTAL RETURN1
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Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
Diversified Conservative, Class A 8.92% 13.53%
- --------------------------------------------------------------------------------
Diversified Conservative, Class D 7.84% 12.18%
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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 DIVERSIFIED CONSERVATIVE BENCHMARK
[GRAPHIC OMITTED]
PLOT POINTS ARE AS FOLLOWS:
SEI DIVERSIFIED LEHMAN WILSHIRE DIVERSIFED
CONSERVATIVE AGGREGATE 5000 CONSERVATIVE
FUND CLASS A BOND INDEX INDEX BENCHMARK
$10,000 $10,000 $10,000 $10,000
10,586 10,431 11,064 10,548
12,952 11,683 16,346 12,817
14,108 12,440 18,486 13,998
SEI DIVERSIFIED LEHMAN WILSHIRE DIVERSIFED
CONSERVATIVE AGGREGATE 5000 CONSERVATIVE
FUND CLASS D BOND INDEX INDEX BENCHMARK
$10,000 $10,000 $10,000 $10,000
10,680 10,403 11,694 10,701
12,954 11,652 17,278 13,003
13,969 12,407 19,539 14,201
1 FOR THE PERIOD ENDED MARCH 31, 1999. 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.
2
<PAGE>
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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
money market funds, providing liquidity and facilitating transactions.
ANALYSIS. The Diversified Conservative Fund, Class A, returned 8.92% for
the fiscal year ended March 31, 1999. The Fund benefited from its exposure to a
number of different asset classes. The Core Fixed Income Fund was the largest
contributor to the Fund's overall performance, returning 6.02% for the period.
U.S. investment grade fixed income markets rallied during the second and third
quarter of 1998 benefiting from a global flight to quality induced by the
Russian devaluation and general emerging market unrest. The bonds leveled off in
the last quarter of 1998 as events in Russia began to stabilize. Investment
grade markets turned down in the first quarter of 1999 as the outlook for the
global economy became more optimistic. The International Fixed Income Fund added
to the Fund's returns, as it was up 11.08% for the period. International bond
markets benefited from low inflation and falling interest rates around the
world. An appreciation of global currencies against the dollar also boosted
returns. The Fund's U.S. equity commitment moved ahead 9.33% during the fiscal
year. A healthy economic environment of low inflation, low interest rates and
strong consumer confidence fueled returns. Investors persevered through poor
earnings reports and global financial shocks throughout the fiscal year. The
period was characterized by extreme performance differentials between growth and
value companies and large and small cap companies. Large cap companies trounced
small caps by over 30%, while growth stocks outperformed value stocks by over
15%. A 6.13% return in the International Equity Fund also added to the Fund's
overall performance. Equity markets outside of the U.S. benefited from a late
recovery in Japan and a slight boost from international currency appreciation.
DIVERSIFIED GLOBAL MODERATE GROWTH FUND
OBJECTIVES. The Diversified Global Moderate Growth Fund seeks to provide
long-term capital appreciation through participation in the domestic and global
equity and debt markets with a limited level of current income. In general,
relative to the other funds, the Diversified Global Moderate Growth Fund should
offer investors the potential for a medium level of income and the potential for
a medium level of capital growth, while subjecting investors to a medium level
of principal risk.
STRATEGY. The Fund includes significant allocations to both equity and
fixed income funds. It is a medium-risk fund which is appropriate for investors
with an intermediate time horizon of five to fifteen 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 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.
3
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1999
DIVERSIFIED GLOBAL MODERATE GROWTH FUND (CONTINUED)
The U.S. fixed income portion of the Fund contains intermediate-term bonds
with maturities ranging between five and ten 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, returned
4.63% for the fiscal year ended March 31, 1999. The Fund's diversification
benefits were evident throughout the period as global financial markets were
- --------------------------------------------------------------------------------
DIVERSIFIED GLOBAL MODERATE GROWTH FUND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
Diversified Global Moderate
Growth, Class A 4.63% 13.63%
- --------------------------------------------------------------------------------
Diversified Global Moderate
Growth, Class D 3.54% 12.26%
- --------------------------------------------------------------------------------
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 DIVERSIFIED GLOBAL
MODERATE GROWTH BENCHMARK
[GRAPHIC OMITTED]
PLOT POINTS ARE AS FOLLOWS:
SEI DIVERSIFIED LEHMAN SEI DIVERSIFIED DIVERSIFED
GLOBAL MODERATE AGGREGATE WILSHIRE GLOBAL MODERATE GLOBAL MODERATE
GROWTH FUND BOND 5000 GROWTH FUND GROWTH
CLASS A INDEX INDEX CLASS D BENCHMARK
10,000 10,000 10,000 10,000 10,000
10,027 9,944 10,064 9,993 10,020
12,602 11,138 14,870 12,429 12,459
13,185 11,860 16,817 12,869 13,350
1 FOR THE PERIOD ENDED MARCH 31, 1999. 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.
quite volatile. The Fund's U.S. equity commit ment moved ahead 9.33% during the
fiscal year. A healthy economic environment of low inflation, low interest rates
and strong consumer confidence fueled returns. Investors persevered through poor
earnings reports and global financial shocks throughout the fiscal year. The
period was characterized by extreme performance differentials between investment
styles. Large cap companies trounced small caps by over 30%, while growth stocks
outperformed value stocks by over 15%. A 6.13% return in the International
Equity Fund also added to the Fund's overall performance. Developed equity
markets outside of the U.S. benefited from a late recovery in Japan and a slight
boost from international currency appreciation. The Emerging Markets Equity Fund
detracted from returns falling close to 30% for the period. Emerging markets
plummeted on currency fears and general concern over the health of emerging
economies. U.S. investment grade fixed income markets rallied during the second
and third quarter of 1998 benefiting from a global flight to quality induced by
the Russian devaluation and general emerging market unrest. The bonds leveled
off in the last quarter of 1998 as events in Russia began to stabilize.
Investment grade markets fell in the first quarter of 1999 as the outlook for
the global economy became more optimistic. The International Fixed Income Fund
added to the Fund's returns, as it was up 11.08% for the period. International
bond markets benefited from low inflation and falling interest rates around the
world. An appreciation of global currencies against the dollar also boosted
returns. The Emerging Markets Debt Fund detracted from returns, falling 21.10%
for the period.
4
<PAGE>
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DIVERSIFIED MODERATE GROWTH FUND
OBJECTIVES. The Diversified Moderate Growth Fund seeks to provide
long-term capital appreciation with a limited level of current income. In
general, relative to the other Funds, the Diversified Moderate Growth Fund
should offer investors the potential for a medium level of income and the
potential for medium level of capital growth, while subjecting investors to a
medium level of principal risk.
STRATEGY. The Fund includes significant allocations to both equity and
fixed income funds, including a non-U.S. equity fund. It is a medium-risk fund
which is appropriate for investors with an intermediate time horizon of five to
fifteen 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 across 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, returned 8.87%
for the
- --------------------------------------------------------------------------------
DIVERSIFIED MODERATE GROWTH FUND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
Diversified Moderate Growth, Class A 8.87% 15.66%
- --------------------------------------------------------------------------------
Diversified Moderate Growth, Class D 7.71% 14.20%
- --------------------------------------------------------------------------------
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 DIVERSIFIED MODERATE GROWTH
BENCHMARK
[GRAPHIC OMITTED]
PLOT POINTS ARE AS FOLLOWS:
SEI DIVERSIFIED LEHMAN WILSHIRE DIVERSIFED
MODERATE GROWTH AGGREGATE 5000 MODERATE GROWTH
FUND CLASS A BOND INDEX INDEX BENCHMARK
$10,000 $10,000 $10,000 $10,000
10,670 10,431 11,064 10,667
13,773 11,683 16,346 13,643
14,994 12,440 18,486 14,962
SEI DIVERSIFIED LEHMAN WILSHIRE DIVERSIFED
MODERATE GROWTH AGGREGATE 5000 MODERATE GROWTH
FUND CLASS D BOND INDEX INDEX BENCHMARK
$10,000 $10,000 $10,000 $10,000
10,027 9,944 10,064 10,020
12,602 11,138 14,870 12,459
13,185 11,860 16,817 13,350
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.
5
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1999
fiscal year ended March 31, 1999. The Fund's diversification benefits were
evident throughout the period as global financial markets were quite volatile.
The Fund's U.S. equity commitment moved ahead 9.33% during the fiscal year. A
healthy economic environment of low inflation, low interest rates and strong
consumer confidence fueled returns. Investors persevered through poor earnings
reports and global financial shocks throughout the year. The year was
characterized by extreme performance differentials between investment styles.
Large cap companies trounced small caps by over 30%, while growth stocks
outperformed value stocks by over 15%. A 6.13% return in the International
Equity Fund also added to the Fund's performance. Developed equity markets
outside of the U.S. benefited from a late recovery in Japan and a slight boost
from international currency appreciation. The Emerging Markets Equity Fund
detracted from returns falling close to 30% for the period. Emerging markets
plummeted on currency fears and general concern over the health of emerging
economies. U.S. core fixed income markets rallied during the second and third
quarters of 1998 benefiting from a global flight to quality induced by the
Russian devaluation and general emerging market unrest. The bonds leveled off in
the last quarter of 1998 as events in Russia began to stabilize. Investment
grade markets fell in the first quarter of 1999 as events in Brazil began to
stabilize and the outlook for the global economy became more optimistic. The
International Fixed Income Fund added to the Fund's returns, as it was up 11.08%
for the period. International bond markets benefited from low inflation and
falling interest rates around the world. An appreciation of global currencies
against the dollar also boosted returns. The Emerging Markets Debt Fund
detracted from returns, falling 21.10% for the year.
DIVERSIFIED GLOBAL
GROWTH FUND
OBJECTIVES. The Diversified Global Growth Fund seeks to provide long-term
capital appreciation. Current income is a secondary consideration. In general,
relative to the other Funds, the Diversified Global Growth Fund should offer
investors the potential for a low to medium level of income and the potential
for a medium to high level of capital growth, while subjecting investors to a
higher level of principal risk.
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 it's 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 five and ten 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, returned 4.63% for
the fiscal year ended March 31, 1999. The Fund's diversification benefits were
evident throughout the period as global financial markets were quite
6
<PAGE>
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- --------------------------------------------------------------------------------
DIVERSIFIED GLOBAL GROWTH FUND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
Diversified Global Growth, Class A 4.63% 14.90%
- --------------------------------------------------------------------------------
Diversified Global Growth, Class D 3.50% 13.36%
- --------------------------------------------------------------------------------
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 DIVERSIFIED
GLOBAL GROWTH BENCHMARK
[GRAPHIC OMITTED]
PLOT POINTS ARE AS FOLLOWS:
SEI DIVERSIFIED DIVERSIFED LEHMAN
GLOBAL GLOBAL MODERATE AGGREGATE WILSHIRE MSCI
GROWTH FUND GROWTH BOND 5000 EAFE
CLASS A BENCHMARK INDEX INDEX INDEX
$10,000 $10,000 $10,000 $10,000 $10,000
10,789 10,781 10,431 11,062 9,988
14,066 13,907 11,683 16,346 11,847
14,717 14,906 12,440 18,486 12,565
SEI DIVERSIFIED DIVERSIFED LEHMAN
GLOBAL GLOBAL MODERATE AGGREGATE WILSHIRE MSCI
GROWTH FUND GROWTH BOND 5000 EAFE
CLASS A BENCHMARK INDEX INDEX INDEX
$10,000 $10,000 $10,000 $10,000 $10,000
10,670 10,794 10,571 10,972 10,044
13,787 13,923 11,840 16,212 11,914
14,270 14,924 12,607 18,335 12,636
1 FOR THE PERIOD ENDED MARCH 31, 1999. 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.
volatile. The Fund's U.S. equity commitment moved ahead 9.33% during the fiscal
year. A healthy economic environment of low inflation, low interest rates and
strong consumer confidence fueled returns. Investors persevered through poor
earnings reports and global financial shocks throughout the fiscal year. The
period was characterized by extreme performance differentials between investment
styles. Large cap companies trounced small caps by over 30%, while growth stocks
outperformed value shares by over 15%. A 6.13% return in the International
Equity Fund also added to the Fund's performance. Developed equity markets
outside of the U.S. benefited from a late recovery in Japan and a slight boost
from international currency appreciation. The Emerging Markets Equity Fund
detracted from returns falling close to 30% for the period. Emerging markets
plummeted throughout the period on currency fears and general concern over the
health of emerging economies. U.S. core fixed income markets rallied during the
second and third quarter of 1998 benefiting from a global flight to quality
induced by the Russian devaluation and general emerging market unrest. The bonds
leveled off in the last quarter of 1998 as events in Russia began to stabilize.
Investment grade markets fell in the first quarter as events in Brazil began to
stabilize and the outlook for the global economy became more optimistic. The
International Fixed Income Fund added to the Fund's returns, as it was up 11.08%
for the period. International bond markets benefited from low inflation and
falling interest rates around the world. An appreciation of global currencies
against the dollar also boosted returns. The Emerging Markets Debt Fund
detracted from returns, falling 21.10% for the year.
7
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1999
DIVERSIFIED GLOBAL
STOCK FUND
OBJECTIVES. The Diversified Global Stock Fund seeks to provide long-term
capital appreciation through a diversified global equity strategy. In general,
relative to the other Funds, the Diversified Global Stock Fund should offer
investors the potential for a lower level of income and the potential for a
higher level of capital growth, while subjecting investors to medium to high
levels of principal risk.
STRATEGY. The Fund invests almost exclusively in U.S. and non-U.S.
equities. Because of the 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 Diversified Global Stock Fund, Class A, returned 4.22% for
the fiscal year ended March 31, 1999. Global equity markets were extremely
volatile over the period. The Fund's U.S. equity commitment moved ahead 9.33%
for the period. A healthy economic
- --------------------------------------------------------------------------------
DIVERSIFIED GLOBAL STOCK FUND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
Diversified Global Stock, Class A 4.22% 16.18%
- --------------------------------------------------------------------------------
Diversified Global Stock, Class D 3.23% 14.95%
- --------------------------------------------------------------------------------
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 DIVERSIFIED GLOBAL STOCK BENCHMARK
[GRAPHIC OMITTED]
PLOT POINTS ARE AS FOLLOWS:
SEI GLOBAL DIVERSIFIED G SEI GLOBAL
STOCK WILSHIRE MSCI GLOBAL STOCK
FUND 5000 EAFE STOCK FUND
CLASS A INDEX INDEX BENCHMARK CLASS D
10,000 10,000 10,000 10,000 10,000
10,058 10,064 9,844 10,009 10,031
13,548 14,870 11,675 13,463 13,380
14,119 16,817 12,383 14,407 13,812
1FOR THE PERIOD ENDED MARCH 31, 1999. 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.
environment of low inflation, low interest rates and strong consumer confidence
fueled returns. Investors persevered through poor earnings reports and global
financial shocks throughout the year. The U.S. equity market was characterized
by extreme performance differentials between investment styles. Large cap
companies trounced small caps by close to 30%, while growth stocks handily
outperformed value stocks by over 15%. Large cap companies benefited from their
perceived stability during market turmoil and predictability of earnings.
Growth stocks outperformed as investors reached out for companies that could
increase
8
<PAGE>
- --------------------------------------------------------------------------------
earnings in the event of an economic downturn. The strongest performing
industries were the drug and technology industries. These industries benefited
from rising valuations for predictable growth. The International Equity Fund
also contributed to performance, returning 6.13% for the period. The European
markets benefited from strides towards the European Monetary Union early in the
period. The developed Asian markets managed to finish the period in positive
territory mainly because of a turnaround in the Japanese equity market during
the first quarter of 1999. Emerging markets fell precipitously during 1998 due
to the global flight to quality induced by currency fears. The markets recovered
a portion of their losses in the first quarter of 1999 benefiting from a rise in
commodity prices and a quick recovery in Brazil.
DIVERSIFIED U.S. STOCK FUND
OBJECTIVES. The Diversified U.S. Stock Fund seeks to provide long-term
capital appreciation through a diversified domestic equity strategy. Current
income is an incidental consideration. In general, relative to the other Funds,
the Diversified U.S. Stock Fund should offer investors the potential for a lower
level of income and the potential for a high level of capital growth, while
subjecting investors to a medium to high level of principal risk.
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
- --------------------------------------------------------------------------------
DIVERSIFIED U.S. STOCK FUND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
Diversified U.S. Stock, Class A 9.33% 23.34%
- --------------------------------------------------------------------------------
Diversified U.S. Stock, Class D 8.18% 22.90%
- --------------------------------------------------------------------------------
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 AND THE DIVERSIFIED U.S. STOCK BENCHMARK
SEI DIVERSIFIED
U.S. STOCK WILSHIRE U.S. DEVERSIFIED
FUND 5000 U.S. STOCK
CLASS A INDEX BENCHMARK
$10,000 $10,000 $10,000
11,070 10,973 11,051
16,650 16,212 16,247
18,203 18,335 17,991
SEI DIVERSIFIED
U.S. STOCK WILSHIRE U.S. DEVERSIFIED
FUND 5000 U.S. STOCK
CLASS D INDEX BENCHMARK
$10,000 $10,000 $10,000
11,677 11,694 11,728
17,382 17,278 17,243
18,804 19,539 19,093
1 FOR THE PERIOD ENDED MARCH 31, 1999. 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>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1999
DIVERSIFIED U.S. STOCK FUND (CONTINUED)
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 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, returned 9.33% for the
fiscal year ended March 31, 1999. A healthy economic environment of low
inflation, low interest rates and strong consumer spending fueled the market,
while a series of economic and financial shocks weighed on returns. U.S. stocks
rallied in the second quarter of 1998 on strong consumer spending. Stocks
changed direction in July as investors began to fear a collapse in Russia and
the rest of the emerging markets. The market dropped over 20% between mid-July
and the end of the third quarter. The market regained its footing early in the
fourth quarter once the Federal Reserve stepped in with a series of interest
rate cuts. The market rebounded for the remainder of the fourth quarter and into
the first quarter of 1999 on strong economic reports including a rise in GDP and
a drop in the trade deficit. The Dow Jones Industrial Average closed above
10,000 for the first time in history during the first quarter of 1999, a large
psychological hurdle. The one-year period was characterized by extreme
performance differentials between investment styles. Large cap companies
trounced small caps, and growth stocks decisively outperformed value stocks. The
Fund benefited from style neutrality, as the differential between the lowest and
highest style Funds was over 50%. Large cap companies benefited from their
perceived stability during market turmoil and predictability of earnings. Growth
stocks outperformed as investors reached out for companies that could increase
earnings in the event of an economic downturn.
10
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1999
DIVERSIFIED CONSERVATIVE
INCOME FUND
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
EQUITY FUNDS -- 24.7%
SEI Institutional Managed Trust
Large Cap Growth Fund 101,084 $ 2,945
SEI Institutional Managed Trust
Large Cap Value Fund 155,351 2,930
SEI Institutional Managed Trust
Small Cap Growth Fund 23,391 418
SEI Institutional Managed Trust
Small Cap Value Fund 30,600 408
--------
TOTAL EQUITY FUNDS
(Cost $6,134) 6,701
--------
FIXED INCOME FUND -- 55.3%
SEI Institutional Managed Trust
Core Fixed Income Fund 1,443,993 14,974
--------
TOTAL FIXED INCOME FUND
(Cost $15,229) 14,974
--------
MONEY MARKET FUND -- 20.1%
SEI Liquid Asset Trust Prime
Obligation Fund 5,444,000 5,444
--------
TOTAL MONEY MARKET FUND
(Cost $5,444) 5,444
--------
TOTAL INVESTMENTS -- 100.1%
(Cost $26,807) 27,119
--------
OTHER ASSETS AND LIABILITIES,
NET -- (0.1%) (39)
--------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based on
1,894,055 outstanding shares
of beneficial interest 21,390
Fund Shares of Class D (unlimited
authorization -- no par value) based on
442,828 outstanding shares
of beneficial interest 4,947
Undistributed net investment income 238
Accumulated net realized gain on investments 193
Net unrealized appreciation on investments 312
--------
TOTAL NET ASSETS-- 100.0% $ 27,080
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS A $ 11.60
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS D $ 11.53
========
DIVERSIFIED CONSERVATIVE
FUND
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
EQUITY FUNDS -- 39.7%
SEI Institutional International Trust
International Equity Fund 393,647 $ 4,236
SEI Institutional Managed Trust
Large Cap Growth Fund 252,246 7,348
SEI Institutional Managed Trust
Large Cap Value Fund 387,324 7,305
SEI Institutional Managed Trust
Small Cap Growth Fund 57,813 1,033
SEI Institutional Managed Trust
Small Cap Value Fund 75,493 1,008
--------
TOTAL EQUITY FUNDS
(Cost $18,182) 20,930
--------
FIXED INCOME FUNDS -- 59.3%
SEI Institutional International Trust
Fixed Income Fund 707,894 7,787
SEI Institutional Managed Trust
Core Fixed Income Fund 2,260,396 23,440
--------
TOTAL FIXED INCOME FUNDS
(Cost $31,973) 31,227
--------
MONEY MARKET FUND -- 1.0%
SEI Liquid Asset Trust
Prime Obligation Fund 531,000 531
--------
TOTAL MONEY MARKET FUND
(Cost $531) 531
--------
TOTAL INVESTMENTS -- 100.0%
(Cost $50,686) 52,688
--------
OTHER ASSETS AND LIABILITIES, NET -- 0.0% 21
--------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based on
3,529,512 outstanding shares
of beneficial interest 37,399
Fund Shares of Class D (unlimited
authorization -- no par value) based on
1,090,657 outstanding shares
of beneficial interest 11,712
Undistributed net investment income 610
Accumulated net realized gain
on investments 986
Net unrealized appreciation on investments 2,002
--------
TOTAL NET ASSETS -- 100.0% $ 52,709
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 11.42
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE-- CLASS D $ 11.37
========
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, 1999
DIVERSIFIED GLOBAL
MODERATE GROWTH FUND
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
EQUITY FUNDS -- 59.8%
SEI Institutional International
Trust Emerging Markets
Equity Fund 245,287 $ 1,884
SEI Institutional International
Trust Equity Fund 351,050 3,777
SEI Institutional Managed Trust
Large Cap Growth Fund 195,956 5,708
SEI Institutional Managed Trust
Large Cap Value Fund 300,621 5,670
SEI Institutional Managed Trust
Small Cap Growth Fund 44,985 804
SEI Institutional Managed Trust
Small Cap Value Fund 58,910 786
--------
TOTAL EQUITY FUNDS
(Cost $17,540) 18,629
--------
FIXED INCOME FUNDS -- 39.2%
SEI Institutional International
Trust Emerging Markets
Debt Fund 163,115 1,231
SEI Institutional International
Trust International Fixed
Income Fund 167,530 1,843
SEI Institutional Managed Trust
Core Fixed Income Fund 763,025 7,913
SEI Institutional Managed Trust
High Yield Bond Fund 115,323 1,233
--------
TOTAL FIXED INCOME FUNDS
(Cost $12,614) 12,220
--------
MONEY MARKET FUND -- 1.0%
SEI Liquid Asset Trust
Prime Obligation Fund 316,000 316
--------
TOTAL MONEY MARKET FUND
(Cost $316) 316
--------
TOTAL INVESTMENTS -- 100.0%
(Cost $30,470) 31,165
--------
OTHER ASSETS AND LIABILITIES, NET-- 0.0% (13)
--------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based on
1,978,412 outstanding shares
of beneficial interest 23,521
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Fund Shares of Class D (unlimited
authorization -- no par value) based on
593,970 outstanding shares
of beneficial interest $ 6,676
Undistributed net investment income 252
Accumulated net realized gain
on investments 8
Net unrealized appreciation on investments 695
--------
TOTAL NET ASSETS -- 100.0% $ 31,152
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 12.14
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 12.02
========
DIVERSIFIED MODERATE
GROWTH FUND
EQUITY FUNDS -- 40.6%
SEI Institutional International
Trust Equity Fund 1,196,505 12,875
SEI Institutional Managed Trust
Large Cap Growth Fund 780,129 22,725
SEI Institutional Managed Trust
Large Cap Value Fund 1,182,560 22,303
SEI Institutional Managed Trust
Small Cap Growth Fund 187,172 3,345
SEI Institutional Managed Trust
Small Cap Value Fund 241,252 3,221
--------
TOTAL EQUITY FUNDS
(Cost $58,249) 64,469
--------
FIXED INCOME FUNDS -- 26.2%
SEI Institutional International
Trust Fixed Income Fund 948,750 10,436
SEI Institutional Managed Trust
Core Fixed Income Fund 3,015,175 31,267
--------
TOTAL FIXED INCOME FUNDS
(Cost $42,136) 41,703
--------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12
<PAGE>
- --------------------------------------------------------------------------------
DIVERSIFIED MODERATE
GROWTH FUND (CONTINUED)
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
MONEY MARKET FUND -- 0.6%
SEI Liquid Asset Trust
Prime Obligation Fund 1,004,000 $ 1,004
--------
TOTAL MONEY MARKET FUND
(Cost $1,004) 1,004
--------
TOTAL INVESTMENTS -- 67.4%
(Cost $101,389) 107,176
--------
Percentages indicated are based on net assets
of $159,068,416
DIVERSIFIED GLOBAL
GROWTH FUND
EQUITY FUNDS -- 79.7%
SEI Institutional International
Trust Emerging Markets
Equity Fund 1,024,899 7,871
SEI Institutional International
Trust Equity Fund 1,464,100 15,754
SEI Institutional Managed Trust
Large Cap Growth Fund 816,399 23,782
SEI Institutional Managed Trust
Large Cap Value Fund 1,259,876 23,761
SEI Institutional Managed Trust
Small Cap Growth Fund 192,260 3,436
SEI Institutional Managed Trust
Small Cap Value Fund 248,708 3,320
--------
TOTAL EQUITY FUNDS
(Cost $71,344) 77,924
--------
FIXED INCOME FUNDS -- 19.1%
SEI Institutional International
Trust Emerging Markets
Debt Fund 250,931 1,895
SEI Institutional International
Trust Fixed Income Fund 255,982 2,816
SEI Institutional Managed Trust
High Yield Bond Fund 174,811 1,869
SEI Institutional Managed Trust
Core Fixed Income Fund 1,165,621 12,087
--------
TOTAL FIXED INCOME FUNDS
(Cost $19,256) 18,667
--------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
MONEY MARKET FUND -- 1.0%
SEI Liquid Asset Trust
Prime Obligation Fund 959,000 $ 959
--------
TOTAL MONEY MARKET FUND
(Cost $959) 959
--------
TOTAL INVESTMENTS -- 99.8%
(Cost $91,560) 97,550
--------
OTHER ASSETS AND LIABILITIES, NET -- 0.2% 227
--------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based on
5,962,627 outstanding shares
of beneficial interest 73,514
Fund Shares of Class D (unlimited
authorization -- no par value) based on
1,444,211 outstanding shares
of beneficial interest 16,405
Undistributed net investment income 553
Accumulated net realized gain
on investments 1,315
Net unrealized appreciation on investments 5,990
--------
TOTAL NET ASSETS -- 100.0% $ 97,777
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 13.22
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 13.14
========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
13
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1999
DIVERSIFIED GLOBAL
STOCK FUND
- -----------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- -----------------------------------------------------------
EQUITY FUNDS -- 99.4%
SEI Institutional International
Trust Emerging Markets
Equity Fund 583,931 $ 4,485
SEI Institutional International
Trust Equity Fund 837,035 9,006
SEI Institutional Managed Trust
Large Cap Growth Fund 459,615 13,389
SEI Institutional Managed Trust
Large Cap Value Fund 711,847 13,425
SEI Institutional Managed Trust
Small Cap Growth Fund 103,674 1,853
SEI Institutional Managed Trust
Small Cap Value Fund 136,111 1,817
--------
TOTAL EQUITY FUNDS
(Cost $41,065) 43,975
--------
MONEY MARKET FUND -- 1.0%
SEI Liquid Asset Trust
Prime Obligation Fund 438,000 438
--------
TOTAL MONEY MARKET FUND
(Cost $438) 438
--------
TOTAL INVESTMENTS -- 100.4%
(Cost $41,503) 44,413
--------
OTHER ASSETS AND LIABILITIES, NET-- (0.4%) (162)
--------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based on
2,966,594 outstanding shares
of beneficial interest 35,357
Fund Shares of Class D (unlimited
authorization -- no par value) based on
497,443 outstanding shares
of beneficial interest 6,305
Undistributed net investment income 63
Accumulated net realized loss
on investments (384)
Net unrealized appreciation on investments 2,910
--------
TOTAL NET ASSETS -- 100.0% $ 44,251
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 12.80
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 12.59
========
DIVERSIFIED U.S.
STOCK FUND
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
EQUITY FUNDS -- 99.0%
SEI Institutional Managed Trust
Large Cap Growth Fund 1,276,104 $ 37,173
SEI Institutional Managed Trust
Large Cap Value Fund 1,947,925 36,738
SEI Institutional Managed Trust
Small Cap Growth Fund 293,487 5,245
SEI Institutional Managed Trust
Small Cap Value Fund 377,923 5,045
--------
TOTAL EQUITY FUNDS
(Cost $76,336) 84,201
--------
MONEY MARKET FUND -- 1.0%
SEI Liquid Asset Trust
Prime Obligation Fund 865,000 865
--------
TOTAL MONEY MARKET FUND
(Cost $865) 865
--------
TOTAL INVESTMENTS -- 100.0%
(Cost $77,201) 85,066
--------
OTHER ASSETS AND LIABILITIES, NET -- 0.0% (33)
--------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based on
3,870,108 outstanding shares
of beneficial interest 56,127
Fund Shares of Class D (unlimited
authorization -- no par value) based on
1,579,624 outstanding shares
of beneficial interest 20,709
Undistributed net investment income 35
Accumulated net realized gain
on investments 297
Net unrealized appreciation on investments 7,865
--------
TOTAL NET ASSETS -- 100.0% $85,033
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 15.70
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 15.36
========
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, 1999
<TABLE>
<CAPTION>
------------
DIVERSIFIED
MODERATE
GROWTH
------------
ASSETS:
<S> <C>
Cash $ 52,480
Investments (Cost $101,389) 107,176
Income receivable 139
--------
Total Assets 159,795
--------
LIABILITIES:
Investment securities purchased (661)
Accrued expenses payable (66)
--------
Total Liabilities (727)
--------
Total Net Assets $159,068
========
NET ASSETS:
Fund Shares of Class A (unlimited authorization -- no par value)
based on 9,982,198 outstanding shares of beneficial interest 125,693
Fund Shares of Class D (unlimited authorization -- no par value)
based on 2,102,404 outstanding shares of beneficial interest 25,587
Undistributed net investment income 775
Accumulated net realized gain on investments 1,226
Net unrealized appreciation on investments 5,787
--------
TOTAL NET ASSETS-- 100.0% $159,068
========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHAR -- CLASS A $13.18
========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE -- CLASS D $13.10
========
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
15
<PAGE>
STATEMENT OF OPERATIONS (000)
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- FOR THE YEAR ENDED MARCH 31, 1999
<TABLE>
<CAPTION>
------------ ------------ ------------
DIVERSIFIED DIVERSIFIED
CONSERVATIVE DIVERSIFIED GLOBAL
INCOME CONSERVATIVE MODERATE
FUND FUND GROWTH FUND
------------ ------------ ------------
INVESTMENT INCOME:
<S> <C> <C> <C>
Income distributions from
affiliated funds $ 957 $1,525 $ 776
------ ------ ------
EXPENSES:
Administration fees 46 86 54
Less administration fees waived (78) (145) (99)
Investment advisory fees 23 43 27
Custodian fees 3 6 4
Transfer agent fees 7 13 11
Professional fees 3 10 6
Registration & filing fees 10 25 22
Printing fees 4 7 5
Trustee fees 2 3 2
Distribution & shareholder
servicing fees* 42 106 68
Amortization of deferred
organization costs 4 4 --
Other expenses -- -- --
------ ------ ------
Total expenses after waivers
and reimbursements 66 158 100
------ ------ ------
NET INVESTMENT INCOME 891 1,367 676
------ ------ ------
NET REALIZED AND UNREALIZED GAIN
ON INVESTMENTS:
Capital gain distributions received
from affiliated investments 443 1,206 629
Net realized gain from
security transactions 494 1,564 240
Net change in unrealized
appreciation/(depreciation) on investments (209) 339 (262)
------ ------ ------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $1,619 $4,476 $1,283
====== ====== ======
</TABLE>
*All distribution and shareholder servicing fees are incurred at the Class D
level.
Amounts designated as "--" are zero or have been rounded to zero.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
16
<PAGE>
- --------------------------------------------------------------------------------
- ------------ ------------ ------------ -----------
DIVERSIFIED DIVERSIFIED DIVERSIFIED
MODERATE GLOBAL GLOBAL DIVERSIFIED
INCOME GROWTH STOCK U.S. STOCK
FUND FUND FUND FUND
- ------------ ------------ ------------ -----------
$2,188 $1,508 $ 232 $ 382
------ ------ ------
173 173 69 128
(326) (327) (132) (240)
87 86 34 64
12 12 4 9
43 40 21 34
26 28 4 16
63 69 24 47
15 15 6 11
6 6 3 5
205 156 57 190
4 4 8 4
1 -- -- --
------ ------ ------ ------
309 262 98 268
------ ------ ------ ------
1,879 1,246 134 114
------ ------ ------ ------
2,325 2,161 997 1,936
3,143 2,128 670 3,513
256 (1,136) 561 800
------ ------ ------ ------
$7,603 $4,399 $2,362 $6,363
====== ====== ====== ======
STATEMENT OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- FOR YEARS ENDED MARCH 31,
<TABLE>
<CAPTION>
------------------ ------------------
DIVERSIFIED
CONSERVATIVE DIVERSIFIED
INCOME CONSERVATIVE
FUND FUND
------------------ ------------------
1999 1998 1999 1998
------- ------- ------- -------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 891 $ 400 $ 1,367 $ 554
Capital gain distributions received from investments 443 213 1,206 630
Net realized gain from security transactions 494 358 1,564 313
Net change in unrealized appreciation/(depreciation) on investments (209) 555 339 1,857
------- ------- ------- -------
Net increase in net assets resulting from operations 1,619 1,526 4,476 3,354
------- ------- ------- -------
DISTRIBUTIONS FROM:
Net investment income:
Class A (674) (245) (745) (356)
Class D (119) (46) (160) (77)
Net realized gains:
Class A (845) (260) (1,979) (264)
Class D (220) (64) (612) (82)
------- ------- ------- -------
Total distributions (1,858) (615) (3,496) (779)
------- ------- ------- -------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from shares issued 22,245 13,180 29,879 17,787
Reinvestment of distributions 1,156 369 2,414 496
Cost of shares redeemed (15,111) (3,370) (15,023) (4,157)
------- ------- ------- -------
Increase in net assets derived from Class A transactions 8,290 10,179 17,270 14,126
------- ------- ------- -------
CLASS D:
Proceeds from shares issued 3,547 3,994 8,741 5,038
Reinvestment of distributions 309 110 761 159
Cost of shares redeemed (1,289) (2,318) (3,010) (1,624)
------- ------- ------- -------
Increase in net assets derived from Class D transactions 2,567 1,786 6,492 3,573
------- ------- ------- -------
Increase in net assets derived from capital share transactions 10,857 11,965 23,762 17,699
------- ------- ------- -------
Net increase in net assets 10,618 12,876 24,742 20,274
------- ------- ------- -------
NET ASSETS:
Beginning of period 16,462 3,586 27,967 7,693
------- ------- ------- -------
End of period $27,080 $16,462 $52,709 $27,967
======= ======= ======= =======
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Shares issued 1,915 1,161 2,678 1,674
Shares issued in lieu of cash distributions 100 33 214 47
Shares redeemed (1,300) (298) (1,319) (386)
------- ------- ------- -------
Total Class A transactions 715 896 1,573 1,335
------- ------- ------- -------
CLASS D:
Shares issued 305 359 771 476
Shares issued in lieu of cash distributions 27 10 68 15
Shares redeemed (111) (204) (267) (151)
------- ------- ------- -------
Total Class D transactions 221 165 572 340
------- ------- ------- -------
Increase in capital shares 936 1,061 2,145 1,675
======= ======= ======= =======
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
18
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------- ---------------------- --------------------- ------------------- -------------------
DIVERSIFIED DIVERSIFIED DIVERSIFIED DIVERSIFIED
GLOBAL MODERATE GLOBAL GLOBAL DIVERSIFIED
MODERATE GROWTH GROWTH GROWTH STOCK U.S. STOCK
FUND FUND FUND FUND FUND
- ------------------- ---------------------- --------------------- ------------------- -------------------
1999 1998 1999 1998 1999 1998 1999 1998 1999 1998
- ---------- -------- ----------- ---------- ---------- ---------- -------- ---------- -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 676 $ 229 $ 1,879 $ 846 $ 1,246 $ 704 $ 134 $ 91 $ 114 $ 47
629 502 2,325 1,771 2,161 2,437 997 773 1,936 1,895
240 187 3,143 935 2,128 1,042 670 71 3,513 1,139
(262) 960 256 5,707 (1,136) 7,169 561 2,482 800 6,802
- ------- ------- -------- ------- ------- ------- ------- ------- ------- -------
1,283 1,878 7,603 9,259 4,399 11,352 2,362 3,417 6,363 9,883
- ------- ------- -------- ------- ------- ------- ------- ------- ------- -------
(404) (111) (1,111) (622) (733) (561) (54) (93) (44) (64)
(78) (60) (178) (84) (37) (80) -- (7) -- --
(1,120) (41) (4,761) (1,057) (4,714) (1,188) (2,398) (146) (5,045) (1,145)
(354) (35) (1,681) (197) (1,053) (349) (465) (21) (2,197) (614)
- ------- ------- -------- ------- ------- ------- ------- ------- ------- -------
(1,956) (247) (7,731) (1,960) (6,537) (2,178) (2,917) (267) (7,286) (1,823)
- ------- ------- -------- ------- ------- ------- ------- ------- ------- -------
20,824 13,106 97,031 35,766 41,154 38,977 24,792 13,759 49,418 13,930
1,250 118 4,777 1,174 5,084 1,501 2,345 222 4,601 974
(10,804) (1,042) (20,958) (7,312) (22,669) (6,332) (8,643) (1,931) (18,120) (3,394)
- ------- ------- -------- ------- ------- ------- ------- ------- ------- -------
11,270 12,182 80,850 29,628 23,569 34,146 18,494 12,050 35,899 11,510
- ------- ------- -------- ------- ------- ------- ------- ------- ------- -------
2,019 8,923 19,641 3,856 7,270 10,274 5,849 2,670 12,119 8,220
491 95 1,800 281 1,054 428 450 27 2,163 614
(2,211) (2,728) (2,708) (3,363) (2,939) (5,992) (2,627) (110) (3,376) (4,203)
- ------- ------- -------- ------- ------- ------- ------- ------- ------- -------
299 6,290 18,733 774 5,385 4,710 3,672 2,587 10,906 4,631
- ------- ------- -------- ------- ------- ------- ------- ------- ------- -------
11,569 18,472 99,583 30,402 28,954 38,856 22,166 14,637 46,805 16,141
- ------- ------- -------- ------- ------- ------- ------- ------- ------- -------
10,896 20,103 99,455 37,701 26,816 48,030 21,611 17,787 45,882 24,201
- ------- ------- -------- ------- ------- ------- ------- ------- ------- -------
20,256 153 59,612 21,911 70,961 22,931 22,640 4,853 39,151 14,950
- ------- ------- -------- ------- ------- ------- ------- ------- ------- -------
$31,152 $20,256 $159,068 $59,612 $97,777 $70,961 $44,251 $22,640 $85,033 $39,151
======= ======= ======== ======= ======= ======= ======= ======= ======= =======
1,722 1,133 7,382 2,901 3,131 3,089 1,986 1,150 3,189 967
106 10 373 96 405 120 196 18 315 68
(911) (88) (1,605) (602) (1,752) (501) (701) (162) (1,216) (249)
- ------- ------- -------- ------- ------- ------- ------- ------- ------- -------
917 1,055 6,150 2,395 1,784 2,708 1,481 1,006 2,288 786
- ------- ------- -------- ------- ------- ------- ------- ------- ------- -------
169 783 1,494 332 562 838 455 223 782 601
43 8 141 23 84 34 38 2 151 43
(184) (234) (212) (282) (228) (479) (217) (9) (225) (292)
- ------- ------- -------- ------- ------- ------- ------- ------- ------- -------
28 557 1,423 73 418 393 276 216 708 352
- ------- ------- -------- ------- ------- ------- ------- ------- ------- -------
945 1,612 7,573 2,468 2,202 3,101 1,757 1,222 2,996 1,138
======= ======= ======== ======= ======= ======= ======= ======= ======= =======
</TABLE>
19
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS ENDED MARCH 31,
<TABLE>
<CAPTION>
NET RATIO OF
REALIZED NET NET INVESTMENT
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
1999 # $11.76 $0.56 $ 0.26 $(0.45) $ (0.53) $11.60 7.22% $21,973 0.12% 4.02%
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
1999 # $11.70 $0.40 $ 0.30 $(0.34) $ (0.53) $11.53 6.19% $ 5,107 1.12% 2.98%
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
1999 # $11.31 $0.50 $ 0.48 $(0.29) $ (0.58) $11.42 8.92% $40,304 0.12% 3.42%
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
1999 # $11.27 $0.38 $ 0.48 $(0.18) $ (0.58) $11.37 7.84% $12,405 1.12% 2.41%
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
1999 # $12.49 $0.40 $0.12 $(0.25) $ (0.62) $12.14 4.63% $24,010 0.12% 2.76%
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
1999 # $12.38 $0.30 $0.10 $(0.14) $ (0.62) $12.02 3.54% $7,142 1.12% 1.79%
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
1999 # $13.22 $0.32 $ 0.79 $(0.23) $ (0.92) $13.18 8.87% $131,531 0.12% 2.41%
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
1999 # $13.16 $0.26 $ 0.72 $(0.12) $ (0.92) $13.10 7.71% $27,537 1.12% 1.40%
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
1999 # 0.45% 3.69% 63%
1998 # 1.01 3.48 52
1997(1)# 3.65+ 0.85+ 27
CLASS D
1999 # 1.45% 2.65% 63%
1998 # 2.27 2.20 52
1997(2)# N/A++ N/A++ 27
- -----------------------------
DIVERSIFIED CONSERVATIVE FUND
- -----------------------------
CLASS A
1999 # 0.45% 3.09% 30%
1998 # 0.81 2.43 24
1997(3)# 2.75+ 0.93+ 65
CLASS D
1999 # 1.46% 2.07% 30%
1998 # 1.91 1.34 24
1997(4)# 3.72+ 0.00+ 65
- ---------------------------------------
DIVERSIFIED GLOBAL MODERATE GROWTH FUND
- ---------------------------------------
CLASS A
1999 # 0.49% 2.39% 34%
1998 # 0.86 1.92 30
1997(6)# N/A++ N/A++ 3
CLASS D
1999 # 1.49% 1.42% 34%
1998 # 1.93 0.91 30
1997(5)# N/A++ N/A++ 3
- --------------------------------
DIVERSIFIED MODERATE GROWTH FUND
- --------------------------------
CLASS A
1999 # 0.50% 2.03% 22%
1998 # 0.74 1.77 20
1997(7)# 1.45+ 1.31+ 22
CLASS D
1999 # 1.48% 1.04% 22%
1998 # 1.80 0.69 20
1997(8)# 2.57+ 0.18+ 22
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
20
<PAGE>
<TABLE>
<CAPTION>
NET RATIO OF
REALIZED NET NET INVESTMENT
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>
1999 # $13.64 $0.29 $ 0.27 $(0.14) $ (0.84) $13.22 4.63% $78,798 0.12% 1.66%
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
1999 # $13.59 $0.14 $ 0.28 $(0.03) $ (0.84) $13.14 3.50% $18,979 1.12% 0.49%
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
1999 # $13.28 $0.12 $ 0.36 $(0.03) $ (0.93) $12.80 4.22% $37,987 0.12% 0.58%
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
1999 # $13.16 $0.03 $ 0.33 $ .-- $ (0.93) $12.59 3.23% $ 6,264 1.12% (0.56)%
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
1999 # $16.03 $0.09 $ 1.25 $(0.03) $ (1.64) $15.70 9.33% $60,766 0.12% 0.48%
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
1999 # $15.83 $0.03 $ 1.14 $ -- $ (1.64) $15.36 8.18% $24,267 1.12% (0.53)%
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)
</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 GLOBAL GROWTH FUND
- ------------------------------
CLASS A
1999 # 0.50% 1.28% 18%
1998 # 0.72 1.16 15
1997(1)# 1.53+ 0.33+ 13
CLASS D
1999 # 1.50% 0.11% 18%
1998 # 1.76 0.08 15
1997(8)# 2.56+ (0.73)+ 13
- ------------------------------
DIVERSIFIED GLOBAL STOCK FUND
- ------------------------------
CLASS A
1999 # 0.50% 0.20% 30%
1998 # 1.13 (0.16) 10
1997(10)# 2.13+ (1.36)+ --
CLASS D
1999 # 1.50% (0.94)% 30%
1998 # 2.52 (1.47) 10
1997(5)# N/A++ N/A++ --
- ---------------------------
DIVERSIFIED U.S. STOCK FUND
- ---------------------------
CLASS A
1999 # 0.49% 0.11% 30%
1998 # 0.80 (0.11) 21
1997(9)# 1.84+ (1.00)+ 28
CLASS D
1999 # 1.50% (0.91)% 30%
1998 # 1.82 (1.12) 21
1997(4)# 2.75+ (2.02)+ 28
+ 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.
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
21
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1999
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 Fund Management (the "Manager"). Each Fund and class of shares
commenced operations upon the purchase of fund shares other than the initial
shares purchased by the Manager. The Trust is registered under the Investment
Company Act of 1940, as amended, as an open-end investment company with 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 underlying Funds, 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 Funds, 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.
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 statements, in conformity with generally accepted
accounting principles, requires management to make estimates and assumptions
that affect the reported
22
<PAGE>
- --------------------------------------------------------------------------------
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 ("SIMCO" 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 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. 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.
23
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1999
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities
during the period ended March 31, 1999 were as follows:
Total
(000)
-------
Diversified Conservative Income Fund
PURCHASES................................... $19,741
SALES....................................... 11,511
Diversified Conservative Fund
PURCHASES................................... $35,141
SALES....................................... 12,530
Diversified Global Moderate Growth Fund
PURCHASES................................... $19,900
SALES....................................... 9,089
Diversified Moderate Growth Fund
PURCHASES................................... $62,852
SALES....................................... 18,933
Diversified Global Growth Fund
PURCHASES................................... $40,333
SALES....................................... 14,887
Diversified Global Stock Fund
PURCHASES................................... $30,531
SALES....................................... 10,150
Diversified U.S. Stock Fund
PURCHASES................................... $59,886
SALES....................................... 18,669
At March 31, 1999, 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, 1999 for each Fund is as follows:
NET
APPRECIATED DEPRECIATED UNREALIZED
SECURITIES SECURITIES APPRECIATION
(000) (000) (000)
----------- ----------- ------------
Diversified
Conservative
Income $ 711 $ (399) $ 312
Diversified
Conservative 3,145 (1,143) 2,002
Diversified
Global
Moderate
Growth 1,760 (1,065) 695
Diversified
Moderate
Growth 7,812 (2,025) 5,787
Diversified
Global
Growth 9,946 (3,956) 5,990
Diversified
Global Stock 4,387 (1,477) 2,910
Diversified
U.S. Stock 10,091 (2,226) 7,865
24
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
SEI Asset Allocation Trust -- March 31, 1999
To the Shareholders and Trustees of
SEI Asset Allocation Trust
In our opinion, the accompanying statement of assets and liabilities including
the schedule of investments, of Diversified Moderate Growth Fund and the
accompanying statements of net assets of Diversified Conservative Income,
Diversified Conservative, Diversified Global 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"), 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
SEI Asset Allocation Trust at March 31, 1999, the results of its operations for
the year then ended, the changes in its net assets for each of the two years in
the period then ended and its financial highlights for each of the years (or
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 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, 1999 by correspondence with the transfer agent of the affiliated funds,
provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
2400 Eleven Penn Center
Philadelphia, Pennsylvania
April 30, 1999
25
<PAGE>
NOTICE TO SHAREHOLDERS
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 1999 (UNAUDITED)
For shareholders that do not have a March 31, 1999 taxable year end, this notice
is for informational purposes only. For shareholders with a March 31, 1999
taxable year end, please consult your tax advisor as to the pertinence of this
notice.
For the fiscal year ended March 31, 1999 the Funds 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:
<TABLE>
<CAPTION>
(A) (B)
LONG TERM ORDINARY
CAPITAL GAINS INCOME TOTAL
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS
FUND (TAX BASIS) (TAX BASIS) (TAX BASIS)
- ---------- ------------- ------------- -------------
<S> <C> <C> <C>
Diversified Conservative Income 29.92% 70.08% 100%
Diversified Conservative 48.18% 51.82% 100%
Diversified Global Moderate Growth 40.81% 59.19% 100%
Diversified Moderate Growth 61.65% 38.35% 100%
Diversified Global Growth 63.34% 36.66% 100%
Diversified Global Stock 79.10% 20.90% 100%
Diversified U.S. Stock 85.03% 14.97% 100%
(C) (D) (E)
QUALIFYING TAX-EXEMPT FOREIGN
FUND DIVIDENDS(1) INTEREST TAX CREDIT
- ---------- ------------ ---------- ----------
Diversified Conservative Income 3.03% 0% 0%
Diversified Conservative 6.43% 0% 0%
Diversified Global Moderate Growth 8.67% 0% 0%
Diversified Moderate Growth 11.23% 0% 0%
Diversified Global Growth 17.93% 0% 0%
Diversified Global Stock 29.24% 0% 0%
Diversified U.S. Stock 36.99% 0% 0%
</TABLE>
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction.
Items (A) and (B) are based on the percentage of each Fund's total distribution.
Items (C) and (D)are based on the percentage of ordinary income distributions of
each Fund.
26
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
- --------------------------
SEI ASSET ALLOCATION TRUST
- --------------------------
ANNUAL REPORT
- --------------------------
March 31, 1999
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
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
PricewaterhouseCoopers 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[bullet]800[bullet]DIAL[bullet]SEI/1[bullet]800[bullet]342[bullet]5734
<PAGE>
[LOGO OMITTED]
INVESTMENTS
DISTRIBUTION
CO.
Oaks, PA 19456
800-DIAL-SEI/800-342-5734
SEI-F-121-03
