ANNUAL REPORT AS OF
MARCH 31, 2000
SEI ASSET
ALLOCATION TRUST
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Diversified Conservative Income
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Diversified Conservative
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Diversified Global Moderate Growth
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Diversified Moderate Growth
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Diversified Global Growth
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Diversified Global Stock
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Diversified U.S. Stock
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[SEI Investments logo omitted]
<PAGE>
TABLE OF CONTENTS
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MARKET COMMENTARY......................................................... 1
MANAGEMENT'S DISCUSSION AND ANALYSIS
OF FUND PERFORMANCE.................................................... 2
STATEMENTS OF NET ASSETS/SCHEDULE OF INVESTMENTS.......................... 11
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>
MARKET COMMENTARY
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SEI ASSET ALLOCATION TRUST -- MARCH 31, 2000
For the year ending March 31, 2000, the word in the global capital markets was
technology!
Stocks around the world with links to the "new economy" were the clear winners
over the past twelve months. According to the Morgan Stanley Capital
International (MSCI), a leading index compiler, the highest returning stocks in
their All Country World Index (a composite of stocks in 47 developed and
emerging markets) included semi-conductor, consumer electronics, and cell phone
manufacturers along with companies that supplied the Internet and data
processing industries. Media and telecommunications groups, restructuring to
take advantage of new technology, also posted robust gains. In contrast, stocks
in industries perceived as dowdy and linked to the "old economy" (read:
non-digital) such as chemicals and forest products, posted more modest advances.
Dynamic was IN and staid investments such as bonds or stocks of utilities and
banks ended the period with modest declines.
Investor confidence in technology was strong enough to suppress previously
widespread fears surrounding the millennium rollover. In fact confidence seemed
to grow as the date approached with most markets posting their strongest gains
for calendar 1999 between September 30th and December 31st! By the winter of
1999, enthusiasm for Internet and related stocks in the U.S. and Japan or "TMT"
stocks in Europe (technology, media and telecommunications) was so strong that,
to many, it had reached manic proportions. The 88% gain by the NASDAQ index
between October 19th and March 10th was often cited as evidence of this
unhealthy bias.
Eventually, however, the strong sustained advances left valuations stretched on
many tech and related stocks and the Funds' fiscal year ended with sharp gains
in many sectors that had been left behind over the past year. While it remains
to be seen if a true leadership change is underway, the leaders in March were
groups that for the most part have struggled over the past year. The highest
returning group in March, for example, was global insurance stocks, which
returned nearly 17% versus a group gain of only 0.2% over the past twelve
months.
For the year, the MSCI All Country World Index posted a return of 23.4% in U.S.
dollar terms. Gains were broad-based with 39 markets posting advances while only
8 declined. Emerging markets, led by smaller European exchanges, outperformed
larger, developed markets, surging 57%. Among European emerging markets, Russia
scored outsized gains as an improved political climate and higher oil prices (a
key export) revived investor interest. The EAFE markets - the largest non-U.S.
markets - outperformed the U.S. with an advance of 25.1% in dollar-terms as the
Japanese market recorded its best gains in a decade. The Wilshire 5000, a
broad-based index of U.S. stocks, posted a gain of 23.6%. Within the U.S.
however, there was significant difference in return between the tech-heavy
NASDAQ Index, which gained 85.8% and the broader market.
The Lehman Brothers' Global Aggregate Bond Index, which includes investment
grade debt of U.S. and non-U.S. governments and corporations declined by nearly
2% in dollar-terms over the funds' fiscal year as modest gains in the U.S. were
offset by weaker results in Europe and by a strengthening dollar. Overall,
global bonds were pressured by rising interest rates in many countries and the
specter of further increases in the future as economic growth prospects were
persistently raised over the course of the funds' fiscal year. High yield
obligations were mixed as U.S. high yield bonds slipped while obligations of
emerging market countries posted gains. Ordinarily, improving growth would
support high yield corporate obligations, however a large number of defaults
among more speculative credits and investor preference for stocks over bonds
undermined "junk" bond prices. Emerging market bonds, heavily discounted by
financial crises in 1998, roared back into favor last year as growth prospects
rebounded surprisingly quickly. Long-term U.S. Treasury bonds outperformed most
sectors of the global bond market as the federal government announced its
intention to buyback outstanding bonds and to limit the supply of new 30-year
issues. While the move had favorable supply-demand implications for bond prices,
it has created uncertainty in the marketplace, as the "long bond" has
traditionally been a bellwether for the prices of other issues.
1
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI ASSET ALLOCATION TRUST -- MARCH 31, 2000
DIVERSIFIED CONSERVATIVE INCOME FUND
OBJECTIVES. The Diversified Conservative Income Fund seeks to provide
current income with the opportunity for capital growth through limited
participation in the U.S. equity markets.
STRATEGY. A significant allocation to money market and fixed income funds
should provide minimal principal volatility. The Fund is appropriate for
investors with shorter time horizons of 2 to 5 years.
The fixed income component of the Fund provides current income. Under
normal conditions, 55% of the Fund's assets are allocated to the 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 returned 7.53% for the
fiscal year ending March 31, 2000. The Fund's performance was primarily
attributable to the strong returns to growth stocks, large and small, in the
U.S. last year. Despite a modest allocation to small cap growth stocks, the
Fund's commitment managed to make a sizeable contribution as the SEI Small Cap
Growth Fund returned nearly 100% over the Fund's fiscal year. Strong selections
among smaller technology, health care and retail stocks amplified the
contribution. Among large growth stocks, Internet and financial service
companies, such as brokerage and investment banks, enhanced results. The Fund's
major holding, the SEI Core Fixed Income Fund, provided a modest contribution to
return as bonds generally lagged stocks over the past year. However, the fixed
income and money market commitments did serve to dampen volatility.
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DIVERSIFIED CONSERVATIVE
INCOME FUND
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AVERAGE ANNUAL TOTAL RETURN1
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Annualized Annualized
One Year 3 Year Inception to
Return Return Date
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Diversified Conservative
Income Fund, Class A 7.53% 11.17% 10.47%
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Diversified Conservative
Income Fund, Class D 6.47% 10.05% 9.49%
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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
[graph omitted]
plot points as follows:
SEI Diversified Lehman Brothers Diversified Conservative
Conservative Income Aggregate Income
Fund Class A Bond Index Benchmark
6/96 10000 10000 10000
3/97 10574 10431 10601
3/98 12600 11683 12591
3/99 13510 12440 13570
3/00 14527 12674 14600
[graph omitted]
plot points as follows:
SEI Diversified Lehman Brothers Diversified Conservative
Conservative Income Aggregate Income
Fund Class D Bond Index Benchmark
6/96 10000 10000 10000
3/97 10496 10431 10601
3/98 12374 11683 12591
3/99 13140 12440 13570
3/00 13990 12674 14600
1 FOR THE PERIOD ENDED MARCH 31, 2000. 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.
2
<PAGE>
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SEI ASSET ALLOCATION TRUST -- MARCH 31, 2000
DIVERSIFIED CONSERVATIVE FUND
OBJECTIVES. The Diversified Conservative Fund seeks to provide current
income and an opportunity for capital appreciation through limited participation
in the domestic and global equity markets.
STRATEGY. The Fund includes significant allocations to fixed income funds
and moderate allocations to equity funds, including exposure to non-U.S. equity
and fixed income funds. It is appropriate for investors with an intermediate
time horizon of 4 to 12 years.
The U.S. fixed income component of the Fund invests in intermediate-term
bonds with maturities ranging between 5 and 10 years. Intermediate-term bonds
provide the Fund with an attractive current yield and a moderate level of
volatility. Additionally, exposure to an international fixed income fund
provides added diversification and opportunity for enhanced returns.
The Fund's allocation to U.S. equity funds includes investments in both
large cap funds and small cap funds, and provides exposure to distinct styles of
equity fund management. An allocation to an international stock fund provides
additional diversification. The remainder of the Fund is allocated to money
market funds, providing liquidity and facilitating transactions.
ANALYSIS. The Diversified Conservative Fund returned 10.05% for the fiscal
year ending March 31, 2000. The Fund's performance was primarily attributable to
the strong returns of global stocks, particularly large and small growth stocks
in the U.S. Despite a modest allocation to small cap growth stocks, the Fund's
commitment managed to make a sizeable contribution as the SEI Small Cap Growth
Fund returned nearly 100% over the Fund's fiscal year. Strong selections among
smaller
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DIVERSIFIED CONSERVATIVE FUND
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AVERAGE ANNUAL TOTAL RETURN1
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Annualized Annualized
One Year 3 Year Inception to
Return Return Date
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Diversified Conservative
Fund, Class A 10.05% 13.61% 12.59%
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Diversified Conservative
Fund, Class D 9.01% 12.55% 11.31%
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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
[graph omitted]
plot points as follows:
Class A Lehman Wilshire Diversified
6/96 10000 10000 10000 10000
3/97 10586 10431 11064 10548
3/98 12952 11683 16346 12817
3/99 14108 12440 18486 13998
3/00 15526 12674 22851 15356
[graph omitted]
plot points as follows:
Class D Lehman Wilshire Diversified
7/96 10000 10000 10000 10000
3/97 10680 10403 11694 10701
3/98 12954 11652 17278 13003
3/99 13969 12407 19539 14201
3/00 15228 12640 24153 15578
1 FOR THE PERIOD ENDED MARCH 31, 2000. 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.
3
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI ASSET ALLOCATION TRUST -- MARCH 31, 2000
DIVERSIFIED CONSERVATIVE FUND (CONTINUED)
technology, health care and retail stocks amplified the contribution. Among
large growth stocks, Internet and financial service companies, such as brokerage
and investment banks, enhanced results. The SEI International Equity Fund also
provided a boost to performance as non-U.S. stocks posted their strongest
advance in several years. The non-U.S. commitment had ample exposure to the
major themes driving markets last year, including industrial restructuring in
Japan and merger activity in Europe. The Fund's major holding, the SEI Core
Fixed Income Fund, provided a modest contribution to return as bonds generally
lagged stocks over the past year. However, the fixed income and money market
commitments did serve to dampen volatility.
DIVERSIFIED GLOBAL MODERATE GROWTH FUND
OBJECTIVES. The Diversified Global Moderate Growth Fund seeks long-term
capital appreciation through participation in the domestic and global equity
markets with a limited level of current income.
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 5 to 15 years.
The equity component of the Fund provides the opportunity for long-term
capital appreciation. Under normal conditions, 48% of the Fund is allocated to
four style-specific equity funds invested in U.S. stocks, which lowers the risks
inherent in any one particular management style. The allocation to small cap
stock 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 returned 18.04% for
the fiscal year ended March 31, 2000. The Fund's performance was primarily
attributable to the strong returns of the global stocks. Despite a modest
allocation to small cap growth stocks, the Fund's commitment managed to make a
sizeable contribution as the SEI Small Cap Growth Fund returned nearly 100% over
the Fund's fiscal year. Strong selections among smaller technology, health care
and retail stocks amplified the contribution. Among large growth stocks,
Internet and financial service companies, such as brokerage and investment
banks, enhanced results. The Fund's exposure to non-U.S. stocks also enhanced
returns. SEI International Equity Fund provided a boost through ample exposure
to the major themes driving markets last year, including industrial
restructuring in Japan and merger activity in Europe. A modest commitment to
stocks in emerging markets, also provided a lift. Emerging stock markets were at
the intersection of a number of major trends over the past year including
stronger-than-expected economic growth and investor enthusiasm for the untapped
potential of technology. Positions in software and hardware manufacturers in
Asia as well as exposure to Latin American telecommunications privatizations are
examples of the trends in which the SEI Emerging Markets Equity Fund
participated. Bonds of emerging market governments also contributed to results.
Emerging markets' debt was the strongest performing sector of the global bond
markets as rapid recovery from recessions in 1998 and improved political
climates in key markets, including Russia, renewed investor confidence.
4
<PAGE>
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DIVERSIFIED GLOBAL MODERATE GROWTH FUND
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AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized Annualized
One Year 3 Year Inception to
Return Return Date
- --------------------------------------------------------------------------------
Diversified Global
Moderate Growth,
Class A 18.04% 15.78% 14.93%
- --------------------------------------------------------------------------------
Diversified Global
Moderate Growth,
Class D 16.88% 14.61% 13.62%
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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
[graph omitted]
plot points as follows:
Diversified Lehman Diversified
Global Moderate Aggregate Wilshire Global Moderate
Growth Class A Bond Index 5000 Index Growth Benchmark
12/96 10000 10000 10000 10000
3/97 10027 9944 10064 10020
3/98 12602 11138 14870 12459
3/99 13185 11860 16817 13350
3/00 15564 12082 20787 15421
[graph omitted]
plot points as follows:
Diversified Lehman Diversified
Global Moderate Aggregate Wilshire Global Moderate
Growth Class D Bond Index 5000 Index Growth Benchmark
12/96 10000 10000 10000 10000
3/97 9993 9944 10064 10020
3/98 12429 11138 14870 12459
3/99 12869 11860 16817 13350
3/00 15042 12082 20787 15421
1 FOR THE PERIOD ENDED MARCH 31, 2000. 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.
DIVERSIFIED MODERATE GROWTH FUND
OBJECTIVES. The Diversified Moderate Growth Fund seeks 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. It is a medium-risk fund
which is appropriate for investors with an intermediate time horizon of 5 to 15
years.
The equity component of the Diversified Moderate Growth Fund provides the
opportunity for long-term capital appreciation. Under normal conditions, 48% of
the Fund is allocated to four style-specific equity funds invested in U.S.
stocks, which lowers the risks inherent in any one particular management style.
The allocation to small cap stock funds provides additional diversification and
enhanced returns over the longer term. In addition, under normal conditions, 12%
of the Fund is allocated to a non-U.S. equity fund which provides further
diversification and enhanced returns over the longer term with lower volatility.
Under normal conditions, 39% of the Fund is allocated to 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.
5
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 2000
DIVERSIFIED MODERATE GROWTH FUND (CONTINUED)
ANALYSIS. The Diversified Moderate Growth Fund returned 14.99% for the
fiscal year ending March 31, 2000. The Fund's performance was primarily
attributable to the strong returns of global stocks, particularly large and
small growth stocks in the U.S. Despite a modest allocation to small cap growth
stocks, the Fund's commitment managed to make a sizeable contribution as the SEI
Small Cap Growth Fund returned nearly 100% over the Fund's fiscal year. Strong
selections among smaller technology, health care and retail stocks amplified the
contribution. Among large growth stocks, Internet and financial service
companies, such as brokerage and investment banks, enhanced results. The SEI
International Equity Fund also provided a boost to performance as non-U.S.
stocks posted their strongest advance in several years. The non-U.S. commitment
had ample exposure to the major themes driving markets last year, including
industrial restructuring in Japan and merger activity in Europe. The Fund's
commitments to value-oriented stocks in the U.S. had a mixed impact on results
last year. In general, value shares suffered as investor enthusiasm waned in the
face of the enthusiasm for technology and the strong realized gains by many
companies in emerging industries. Internet, software, semiconductor and similar
industries are underrepresented in value universes. The Fund's commitment to
large value stocks nominally contributed to returns while the modest commitment
to small value shares detracted slightly from performance.
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DIVERSIFIED MODERATE GROWTH FUND
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AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized Annualized
One Year 3 Year Inception to
Return Return Date
- --------------------------------------------------------------------------------
Diversified Moderate
Growth,Class A 14.99% 17.35% 15.47%
- --------------------------------------------------------------------------------
Diversified Moderate
Growth,Class D 14.00% 16.27% 14.14%
- --------------------------------------------------------------------------------
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
[graph omitted]
plot points as follows:
Class A Lehman Wilshire Diversified
6/96 10000 10000 10000 10000
3/97 10670 10431 11064 10667
3/98 13773 11683 16346 13643
3/99 14994 12440 18486 14962
3/00 17242 12674 22851 17073
[graph omitted]
plot points as follows:
Class D Lehman Wilshire Diversified
5/96 10000 10000 10000 10000
3/97 10571 10571 10973 10698
3/98 13530 11840 16212 13682
3/99 14574 12607 18335 15005
3/00 16614 12844 22663 17122
1 FOR THE PERIOD ENDED MARCH 31, 2000. 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.
6
<PAGE>
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DIVERSIFIED GLOBAL
GROWTH FUND
OBJECTIVES. The Diversified Global Growth Fund seeks long-term capital
appreciation and current income is a secondary consideration.
STRATEGY. The majority of the Fund is allocated to equity funds, including
exposure to non-U.S. equities. There is also a modest allocation to fixed income
funds. Because of its commitment to equities, the Fund is appropriate for
investors with a longer time horizon of 10 to 20 years.
The domestic equity portion of the Diversified Global Growth Fund invests
primarily in large- and some small-sized companies, and provides exposure to
distinct styles of growth and value equity fund management. Diversification is
further enhanced through exposure to international and emerging markets funds.
The U.S. fixed income portion of the Fund contains intermediate-term bonds
with maturities ranging between 5 and 10 years. Additionally, exposure to an
international fixed income fund and a high yield bond fund provides added
diversification and opportunity for enhanced return. The remainder of the Fund
is allocated to a money market fund, providing liquidity and facilitating
transactions.
ANALYSIS. The Diversified Global Growth Fund returned 23.66% for the fiscal
year ending March 31, 2000. The Fund's performance was primarily attributable to
the strong returns of global stocks. Despite a modest allocation to small cap
growth stocks, the Fund's commitment managed to make a sizeable contribution as
the SEI Small Cap Growth Fund returned nearly 100% over the Fund's fiscal year.
Strong
- --------------------------------------------------------------------------------
DIVERSIFIED GLOBAL GROWTH FUND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized Annualized
One Year Three Year Inception
Return Return to Date
- --------------------------------------------------------------------------------
Diversified Global Growth,
Class A 23.66% 19.04% 17.13%
- --------------------------------------------------------------------------------
Diversified Global Growth,
Class D 22.39% 17.85% 15.63%
- --------------------------------------------------------------------------------
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
[graph omitted]
plot points as follows:
10000 10000 10000 10000 10000
10789 10431 11064 9988 10781
14066 11683 16346 11847 13907
14717 12440 18486 12565 14906
18200 12674 22851 15718 17991
[graph omitted]
plot points as follows:
10000 10000 10000 10000 10000
10670 10571 10973 10044 10794
13787 11840 16212 11914 13923
14270 12607 18335 12636 14924
17465 12844 22663 15806 18012
1 FOR THE PERIOD ENDED MARCH 31, 2000. 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.
7
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 2000
DIVERSIFIED GLOBAL GROWTH FUND (CONTINUED)
selections among smaller technology, health care and retail stocks amplified the
contribution. Among large growth stocks, Internet and financial service
companies, such as brokerage and investment banks, enhanced results. The Fund's
exposure to non-U.S. stocks also enhanced returns. SEI International Equity Fund
provided a boost through ample exposure to the major themes driving markets last
year, including industrial restructuring in Japan and merger activity in Europe.
A modest commitment to stocks in emerging markets, also provided a lift.
Emerging stock markets were at the intersection of a number of major trends over
the past year including stronger-than-expected economic growth and investor
enthusiasm for the untapped potential of technology. Positions in software and
hardware manufacturers in Asia as well as exposure to Latin American
telecommunications privatizations are examples of the trends in which the SEI
Emerging Markets Equity Fund participated. Bonds of emerging market governments
also contributed to results. Emerging markets' debt was the strongest performing
sector of the global bond markets as rapid recovery from recessions in 1998 and
improved political climates in key markets, including Russia, renewed investor
confidence.
DIVERSIFIED GLOBAL
STOCK FUND
OBJECTIVES. The Diversified Global Stock Fund seeks long-term capital
appreciation through a diversified global equity strategy.
STRATEGY. The Fund invests almost exclusively in U.S. and non-U.S.
equities. Because of this Fund's commitment to equities, it is suitable for
investors with longer time horizons, who can withstand a high level of principal
volatility.
The Fund is invested primarily in large cap funds. This provides exposure
to distinct styles of equity fund management, including value and growth styles.
Equity styles go in and out of favor over market cycles, and diversification
across these styles provides broad market exposure without a bias towards
specific sectors and industries, which reduces the volatility of returns. In
addition, a portion of the Fund is allocated to small cap funds to capture the
enhanced returns and diversification benefits offered by smaller companies.
Style diversification through style-specific equity funds lowers the risks
associated with any one particular management style. The remainder of the Fund
is allocated to a money market fund, providing liquidity and facilitating
transactions.
ANALYSIS. The Diversified Global Stock Fund returned 28.98% for the fiscal
year ending March 31, 2000. The Fund's performance was primarily attributable to
the strong returns of global stocks. Despite a modest allocation to small cap
growth stocks, the Fund's commitment managed to make a sizeable contribution as
the SEI Small Cap Growth Fund returned nearly 100% over the Fund's fiscal year.
Strong selections among smaller technology, health care and retail stocks
amplified the contribution. Among large growth stocks, Internet and financial
service companies, such as brokerage and investment banks, enhanced results. The
Fund's exposure to non-U.S. stocks also enhanced returns. SEI International
Equity Fund also provided a boost through ample exposure to the major themes
driving markets last year, including industrial restructuring in Japan and
merger activity in Europe. A modest commitment to stocks in emerging markets,
also provided a lift. Emerging stock markets were at the intersection of a
number of major trends over the past year including stronger-than-expected
economic growth and investor enthusiasm for the untapped potential of
technology. Positions in software and hardware manufacturers in Asia as well as
exposure to Latin American telecommunications privatizations are examples of the
trends in which the SEI Emerging Markets Equity Fund participated.
8
<PAGE>
DIVERSIFIED GLOBAL STOCK FUND
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized Annualized
One Year Three Year Inception
Return Return to Date
- --------------------------------------------------------------------------------
Diversified Global Stock,
Class A 28.98% 21.88% 19.89%
- --------------------------------------------------------------------------------
Diversified Global Stock,
Class D 27.58% 20.66% 18.60%
- --------------------------------------------------------------------------------
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
[graph omitted]
plot points as follows:
Diversified Morgan Stanley Diversified
Global Stock Wilshire MSCI EAFE Global Stock
Fund Class A 5000 Index Index Benchmark
10000 10000 10000 10000
10058 10064 9844 10009
13548 14870 11675 13463
14119 16817 12383 14407
18211 20787 15490 18117
[graph omitted]
plot points as follows:
Diversified Morgan Stanley Diversified
Global Stock Wilshire MSCI EAFE Global Stock
Fund Class D 5000 Index Index Benchmark
10000 10000 10000 10000
10058 10064 9844 10009
13548 14870 11675 13463
14119 16817 12383 14407
18211 20787 15490 18117
1 FOR THE PERIOD ENDED MARCH 31, 2000. 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.
DIVERSIFIED U.S. STOCK FUND
OBJECTIVES. The Diversified U.S. Stock Fund seeks long-term capital
appreciation through a diversified domestic equity strategy.
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 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 returned 22.15% for the fiscal
year ending March 31, 2000. The Fund's performance was primarily attributable to
the strong returns to growth stocks, large and small, in the U.S. last year.
Despite a modest allocation to small cap growth stocks, the Fund's commitment
managed to make a sizeable contribution as the SEI Small Cap Growth Fund
returned nearly 100% over the Fund's fiscal year. Strong selections among
smaller technology, health care and retail stocks amplified the contribution.
Among large growth stocks, Internet and financial
9
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 2000
DIVERSIFIED U.S. STOCK FUND (CONTINUED)
service companies, such as brokerage and investment banks, enhanced results. The
Fund's commitments to value-oriented stocks in the U.S. had a mixed impact on
results last year. In general, value shares suffered as investor enthusiasm
waned in the face of the enthusiasm for technology and the strong realized gains
by many companies in emerging industries. Internet, software, semiconductor and
similar industries are underrepresented in value universes. The Fund's
commitment to large value stocks nominally contributed to returns while the
modest commitment to small value shares detracted slightly from performance.
- --------------------------------------------------------------------------------
DIVERSIFIED U.S. STOCK FUND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized Annualized
One Year Three Year Inception
Return Return to Date
- --------------------------------------------------------------------------------
Diversified U.S. Stock,
Class A 22.15% 26.17% 23.02%
- --------------------------------------------------------------------------------
Diversified U.S. Stock,
Class D 20.98% 24.89% 22.36%
- --------------------------------------------------------------------------------
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
[graph omitted]
plot points as follows:
Diversified Diversified
U.S. Stock Fund Wilshire U.S. Stock
Class A 5000 Index Benchmark
10000 10000 10000
11070 10973 11051
16650 16212 16247
18203 18335 17991
22235 22663 22015
[graph omitted]
plot points as follows:
Diversified Diversified
U.S. Stock Fund Wilshire U.S. Stock
Class D 5000 Index Benchmark
10000 10000 10000
11677 11694 11728
17382 17278 17243
18804 19539 19093
22749 24153 23364
1 FOR THE PERIOD ENDED MARCH 31, 2000. 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.
10
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 2000
DIVERSIFIED CONSERVATIVE
INCOME FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
EQUITY FUNDS -- 24.9%
SEI Institutional Managed Trust
Large Cap Growth Fund 130,545 $ 4,980
SEI Institutional Managed Trust
Large Cap Value Fund 243,777 4,464
SEI Institutional Managed Trust
Small Cap Growth Fund 16,872 562
SEI Institutional Managed Trust
Small Cap Value Fund 30,376 435
-------
TOTAL EQUITY FUNDS
(Cost $9,246) 10,441
-------
FIXED INCOME FUND -- 55.2%
SEI Institutional Managed Trust
Core Fixed Income Fund 2,320,114 23,108
-------
TOTAL FIXED INCOME FUND
(Cost $23,718) 23,108
-------
MONEY MARKET FUND -- 19.7%
SEI Liquid Asset Trust Prime
Obligation Fund 8,255,610 8,256
-------
TOTAL MONEY MARKET FUND
(Cost $8,256) 8,256
-------
TOTAL INVESTMENTS -- 99.8%
(Cost $41,220) 41,805
-------
OTHER ASSETS AND LIABILITIES, NET -- 0.2% 82
-------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 2,638,388 outstanding shares
of beneficial interest 29,904
Fund Shares of Class D (unlimited
authorization -- no par value) based
on 936,621 outstanding shares of
beneficial interest 10,542
Undistributed net
investment income 428
Accumulated net realized gain
on investments 428
Net unrealized appreciation
on investments 585
-------
TOTAL NET ASSETS -- 100.0% $41,887
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 11.74
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 11.66
=======
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
EQUITY FUNDS -- 40.1%
SEI Institutional International Trust
International Equity Fund 337,931 $4,859
SEI Institutional Managed Trust
Large Cap Growth Fund 246,305 9,397
SEI Institutional Managed Trust
Large Cap Value Fund 459,475 8,413
SEI Institutional Managed Trust
Small Cap Growth Fund 33,657 1,121
SEI Institutional Managed Trust
Small Cap Value Fund 57,546 825
------
TOTAL EQUITY FUNDS
(Cost $19,458) 24,615
------
FIXED INCOME FUNDS -- 58.9%
SEI Institutional International
Trust International Fixed
Income Fund 859,769 9,002
SEI Institutional Managed Trust
Core Fixed Income Fund 2,723,836 27,129
------
TOTAL FIXED INCOME FUNDS
(Cost $38,101) 36,131
------
MONEY MARKET FUND -- 1.0%
SEI Liquid Asset Trust Prime
Obligation Fund 606,883 607
------
TOTAL MONEY MARKET FUND
(Cost $607) 607
------
TOTAL INVESTMENTS -- 100.0%
(Cost $58,166) 61,353
------
OTHER ASSETS AND LIABILITIES, NET -- 0.0% (30)
------
NET ASSETS:
Fund Shares of Class A (unlimited authorization
-- no par value) based on
3,859,571 outstanding shares of
beneficial interest 41,159
Fund Shares of Class D (unlimited authorization
-- no par value) based on
1,363,897 outstanding shares of
beneficial interest 14,784
Undistributed net investment income 373
Accumulated net realized gain
on investments 1,820
Net unrealized appreciation
on investments 3,187
-------
TOTAL NET ASSETS -- 100.0% $61,323
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 11.75
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 11.70
=======
11
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 2000
DIVERSIFIED GLOBAL
MODERATE GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
EQUITY FUNDS -- 60.0%
SEI Institutional International Trust
Emerging Markets Equity
Fund 316,296 $ 3,900
SEI Institutional International
Trust International Equity
Fund 557,277 8,014
SEI Institutional Managed Trust
Large Cap Growth Fund 356,255 13,591
SEI Institutional Managed Trust
Large Cap Value Fund 677,631 12,407
SEI Institutional Managed Trust
Small Cap Growth Fund 49,933 1,663
SEI Institutional Managed Trust
Small Cap Value Fund 79,463 1,139
-------
TOTAL EQUITY FUNDS
(Cost $36,028) 40,714
-------
FIXED INCOME FUNDS -- 39.2%
SEI Institutional International
Trust Emerging Markets
Debt Fund 283,860 2,589
SEI Institutional International
Trust International Fixed
Income Fund 382,740 4,007
SEI Institutional Managed Trust
Core Fixed Income Fund 1,745,769 17,388
SEI Institutional Managed Trust
High Yield Bond Fund 272,097 2,618
-------
TOTAL FIXED INCOME FUNDS
(Cost $26,717) 26,602
-------
MONEY MARKET FUND -- 1.0%
SEI Liquid Asset Trust Prime
Obligation Fund 654,057 654
-------
TOTAL MONEY MARKET FUND
(Cost $654) 654
-------
TOTAL INVESTMENTS -- 100.2%
(Cost $63,399) 67,970
-------
OTHER ASSETS AND LIABILITIES, NET -- (0.2%) (167)
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Fund Shares of Class A (unlimited authorization
-- no par value) based on
4,293,662 outstanding shares of
beneficial interest $52,564
Fund Shares of Class D (unlimited
authorization-- no par value) based
on 693,828 outstanding shares of
beneficial interest 7,946
Undistributed net
investment income 252
Accumulated net realized gain
on investments 2,470
Net unrealized appreciation
on investments 4,571
-------
TOTAL NET ASSETS -- 100.0% $67,803
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 13.61
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 13.47
=======
12
<PAGE>
- --------------------------------------------------------------------------------
DIVERSIFIED MODERATE
GROWTH FUND
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
EQUITY FUNDS -- 61.4%
SEI Institutional International
Trust International Equity
Fund 1,948,660 $ 28,022
SEI Institutional Managed Trust
Large Cap Growth Fund 1,425,322 54,376
SEI Institutional Managed Trust
Large Cap Value Fund 2,657,131 48,652
SEI Institutional Managed Trust
Small Cap Growth Fund 187,426 6,243
SEI Institutional Managed Trust
Small Cap Value Fund 315,075 4,515
--------
TOTAL EQUITY FUNDS
(Cost $119,144) 141,808
--------
FIXED INCOME FUNDS -- 40.4%
SEI Institutional International
Trust International Fixed
Income Fund 2,221,306 23,257
SEI Institutional Managed Trust
Core Fixed Income Fund 7,043,704 70,155
--------
TOTAL FIXED INCOME FUNDS
(Cost $96,463) 93,412
--------
MONEY MARKET FUND -- 1.0%
SEI Liquid Asset Trust Prime
Obligation Fund 2,280,766 2,281
--------
TOTAL MONEY MARKET FUND
(Cost $2,281) 2,281
--------
TOTAL INVESTMENTS -- 102.8%
(Cost $217,888) 237,501
--------
OTHER ASSETS AND LIABILITIES, NET -- (2.8%) (6,504)
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Fund Shares of Class A (unlimited authorization
-- no par value) based on
13,234,037 outstanding shares of
beneficial interest $170,120
Fund Shares of Class D (unlimited authorization
-- no par value) based on
2,747,201 outstanding shares of
beneficial interest 34,414
Undistributed net investment
income 916
Accumulated net realized gain
on investments 5,934
Net unrealized appreciation
on investments 19,613
--------
TOTAL NET ASSETS -- 100.0% $230,997
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 14.47
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 14.38
========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
13
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 2000
DIVERSIFIED GLOBAL
GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
EQUITY FUNDS --80.1%
SEI Institutional International
Trust Emerging Markets Equity
Fund 954,162 $ 11,765
SEI Institutional International
Trust International Equity
Fund 1,716,278 24,680
SEI Institutional Managed Trust
Large Cap Growth Fund 1,126,979 42,994
SEI Institutional Managed Trust
Large Cap Value Fund 2,154,849 39,455
SEI Institutional Managed Trust
Small Cap Growth Fund 146,964 4,896
SEI Institutional Managed Trust
Small Cap Value Fund 242,965 3,482
--------
TOTAL EQUITY FUNDS
(Cost $102,117) 127,272
--------
FIXED INCOME FUNDS -- 18.1%
SEI Institutional International
Trust Emerging Markets Debt
Fund 305,703 2,788
SEI Institutional International
Trust International Fixed
Income Fund 408,809 4,280
SEI Institutional Managed Trust
High Yield Bond Fund 279,737 2,691
SEI Institutional Managed Trust
Core Fixed Income Fund 1,907,709 19,001
--------
TOTAL FIXED INCOME FUNDS
(Cost $29,666) 28,760
--------
MONEY MARKET FUND -- 0.9%
SEI Liquid Asset Trust Prime
Obligation Fund 1,411,353 1,411
--------
TOTAL MONEY MARKET FUND
(Cost $1,411) 1,411
--------
TOTAL INVESTMENTS -- 99.1%
(Cost $133,194) 157,443
--------
OTHER ASSETS AND LIABILITIES, NET -- 0.9% 1,360
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Fund Shares of Class A (unlimited authorization
-- no par value) based on
8,166,875 outstanding shares of
beneficial interest $104,983
Fund Shares of Class D (unlimited authorization
-- no par value) based on
2,149,735 outstanding shares of
beneficial interest 26,559
Undistributed net investment income 235
Accumulated net realized gain
on investments 2,777
Net unrealized appreciation
on investments 24,249
--------
TOTAL NET ASSETS -- 100.0% $158,803
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 15.42
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 15.31
========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
14
<PAGE>
- --------------------------------------------------------------------------------
DIVERSIFIED GLOBAL
STOCK FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
EQUITY FUNDS -- 99.2%
SEI Institutional International
Trust Emerging Markets Equity
Fund 752,749 $ 9,281
SEI Institutional International
Trust International Equity
Fund 1,360,139 19,559
SEI Institutional Managed Trust
Large Cap Growth Fund 868,819 33,146
SEI Institutional Managed Trust
Large Cap Value Fund 1,658,447 30,366
SEI Institutional Managed Trust
Small Cap Growth Fund 114,918 3,828
SEI Institutional Managed Trust
Small Cap Value Fund 190,354 2,728
--------
TOTAL EQUITY FUNDS
(Cost $82,330) 98,908
--------
MONEY MARKET FUND -- 0.9%
SEI Liquid Asset Trust Prime
Obligation Fund 903,060 903
--------
TOTAL MONEY MARKET FUND
(Cost $903) 903
--------
TOTAL INVESTMENTS -- 100.1%
(Cost $83,233) 99,811
--------
OTHER ASSETS AND LIABILITIES, NET -- (0.1%) (93)
--------
NET ASSETS:
Fund Shares of Class A (unlimited authorization
-- no par value) based on
5,355,886 outstanding shares of
beneficial interest 69,590
Fund Shares of Class D (unlimited authorization
-- no par value) based on
898,166 outstanding shares of
beneficial interest 11,954
Undistributed net investment income 4
Accumulated net realized gain
on investments 1,592
Net unrealized appreciation
on investments 16,578
--------
TOTAL NET ASSETS -- 100.0% $ 99,718
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 16.00
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 15.64
========
DIVERSIFIED
U.S. STOCK FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
EQUITY FUNDS -- 100.8%
SEI Institutional Managed Trust
Large Cap Growth Fund 1,904,387 $ 72,652
SEI Institutional Managed Trust
Large Cap Value Fund 3,592,290 65,775
SEI Institutional Managed Trust
Small Cap Growth Fund 262,407 8,741
SEI Institutional Managed Trust
Small Cap Value Fund 423,188 6,064
--------
TOTAL EQUITY FUNDS
(Cost $128,840) 153,232
--------
MONEY MARKET FUND -- 0.9%
SEI Liquid Asset Trust Prime
Obligation Fund 1,280,759 1,281
--------
TOTAL MONEY MARKET FUND
(Cost $1,281) 1,281
--------
TOTAL INVESTMENTS -- 101.7%
(Cost $130,121) 154,513
--------
OTHER ASSETS AND LIABILITIES, NET -- (1.7%) (2,540)
--------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 5,662,846 outstanding shares
of beneficial interest 86,091
Fund Shares of Class D (unlimited
authorization -- no par value) based
on 2,583,558 outstanding shares
of beneficial interest 37,313
Distribution in excess of net
investment income (1)
Accumulated net realized gain
on investments 4,178
Net unrealized appreciation
on investments 24,392
--------
TOTAL NET ASSETS -- 100.0% $151,973
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 18.58
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 18.09
========
15
<PAGE>
STATEMENTS OF OPERATIONS (000)
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- FOR THE YEAR ENDED MARCH 31, 2000
<TABLE>
<CAPTION>
----------------- ------------------- -----------------
DIVERSIFIED DIVERSIFIED
CONSERVATIVE DIVERSIFIED GLOBAL
INCOME CONSERVATIVE MODERATE
FUND FUND GROWTH FUND
---------------- ------------------- -----------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Income distributions from
affiliated funds $1,514 $1,841 $1,187
------- ------- -------
EXPENSES:
Administration fees 69 120 91
Less: administration fees waived (69) (120) (91)
Less: reimbursement from administrator (31) (75) (50)
Investment advisory fees 35 60 46
Custodian fees 3 7 4
Transfer agent fees 13 30 24
Professional fees 5 10 3
Registration & filing fees 7 29 25
Printing fees 3 5 3
Trustee fees 2 1 --
Distribution & shareholder
servicing fees (1) 76 149 81
Amortization of deferred
organization costs 4 4 --
Other expenses -- -- --
------- ------- -------
Total expenses after waivers
and reimbursements 117 220 136
------- ------- -------
NET INVESTMENT INCOME 1,397 1,621 1,051
------- ------- -------
NET REALIZED AND UNREALIZED GAIN
ON INVESTMENTS:
Net realized gain from
security transactions 622 1,918 2,582
Capital gain distributions
received from investments 329 810 1,006
Net change in unrealized
appreciation on investments 273 1,185 3,876
------- ------- -------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $2,621 $5,534 $8,515
======= ======= =======
<FN>
Amounts designated as "--" are zero or have been rounded to zero.
(1) All distribution and shareholder servicing fees are incurred at the Class D level.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
16
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
--------------- --------------- --------------- ---------------
DIVERSIFIED DIVERSIFIED DIVERSIFIED
MODERATE GLOBAL GLOBAL DIVERSIFIED
GROWTH GROWTH STOCK U.S. STOCK
FUND FUND FUND FUND
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Income distributions from
affiliated funds $ 4,211 $ 1,818 $ 321 $ 645
------- ------- ------- -------
EXPENSES:
Administration fees 383 240 136 233
Less: administration fees waived (383) (240 (136) (233)
Less: reimbursement from administrator (110) (153 (31) (106)
Investment advisory fees 191 120 68 117
Custodian fees 15 20 5 15
Transfer agent fees 46 56 8 37
Professional fees 26 27 1 17
Registration & filing fees 41 52 15 40
Printing fees 11 12 7 11
Trustee fees 4 3 -- 4
Distribution & shareholder
servicing fees (1) 326 238 100 374
Amortization of deferred
organization costs 4 4 8 4
Other expenses 1 2 -- 1
------- ------- ------- -------
Total expenses after waivers
and reimbursements 555 381 181 514
------- ------- ------- -------
NET INVESTMENT INCOME 3,656 1,437 140 131
------- ------- ------- -------
NET REALIZED AND UNREALIZED GAIN
ON INVESTMENTS:
Net realized gain from
security transactions 5,670 3,517 1,757 2,867
Capital gain distributions
received from investments 3,929 2,913 2,087 4,467
Net change in unrealized
appreciation on investments 13,826 18,259 13,668 16,527
------- ------- ------- --------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $27,081 $26,126 $17,652 $ 23,992
======= ======= ======= ========
<FN>
Amounts designated as "--" are zero or have been rounded to zero.
(1) All distribution and shareholder servicing fees are incurred at the Class D level.
</FN>
</TABLE>
17
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- FOR THE YEARS ENDED MARCH 31,
<TABLE>
<CAPTION>
------------------ ------------------
DIVERSIFIED
CONSERVATIVE DIVERSIFIED
INCOME CONSERVATIVE
FUND FUND
------------------ ------------------
2000 1999 2000 1999
------- -------- ------- -------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 1,397 $ 891 $ 1,621 $ 1,367
Capital gain distributions received from investments 329 443 810 1,206
Net realized gain from security transactions 622 494 1,918 1,564
Net change in unrealized appreciation (depreciation) on investments 273 (209) 1,185 339
-------- -------- -------- -------
Net increase in net assets resulting from operations 2,621 1,619 5,534 4,476
-------- -------- -------- -------
DISTRIBUTIONS FROM:
Net investment income:
Class A (1,196) (674) (1,980) (745)
Class D (251) (119) (496) (160)
Net realized gains:
Class A (382) (845) (954) (1,979)
Class D (94) (220) (322) (612)
-------- -------- -------- --------
Total distributions (1,923) (1,858) (3,752) (3,496)
-------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from shares issued 20,984 22,245 20,213 29,879
Reinvestment of distributions 1,315 1,156 2,718 2,414
Cost of shares redeemed (13,785) (15,111) (19,171) (15,023)
-------- -------- -------- -------
Increase in net assets derived from Class A transactions 8,514 8,290 3,760 17,270
-------- -------- -------- -------
CLASS D:
Proceeds from shares issued 8,134 3,547 7,463 8,741
Reinvestment of distributions 303 309 797 761
Cost of shares redeemed (2,842) (1,289) (5,188) (3,010)
-------- -------- -------- -------
Increase in net assets derived from Class D transactions 5,595 2,567 3,072 6,492
-------- -------- -------- -------
Increase in net assets derived from capital share transactions 14,109 10,857 6,832 23,762
-------- -------- -------- -------
Net increase in net assets 14,807 10,618 8,614 24,742
-------- -------- -------- -------
NET ASSETS:
Beginning of period 27,080 16,462 52,709 27,967
-------- -------- -------- -------
End of period $41,887 $27,080 $61,323 $52,709
======= ======= ======= =======
SHARES ISSUED AND REDEEMED:
CLASS A:
Shares issued 1,837 1,915 1,783 2,678
Shares issued in lieu of cash distributions 116 100 241 214
Shares redeemed (1,209) (1,300) (1,694) (1,319)
-------- -------- -------- -------
Total Class A transactions 744 715 330 1,573
-------- -------- -------- -------
CLASS D:
Shares issued 717 305 661 771
Shares issued in lieu of cash distributions 27 27 71 68
Shares redeemed (250) (111) (459) (267)
-------- -------- -------- -------
Total Class D transactions 494 221 273 572
-------- -------- -------- -------
Increase in capital shares 1,238 936 603 2,145
======= ======= ======= =======
<FN>
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
</FN>
</TABLE>
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
------------------ ------------------ ------------------- ------------------ -------------------
2000 1999 2000 1999 2000 1999 2000 1999 2000 1999
------ ------- ------- --------- -------- ------- ------- ------- -------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$1,051 $ 676 $ 3,656 $ 1,879 $ 1,437 $ 1,246 $ 140 $ 134 $ 131 $ 114
1,006 629 3,929 2,325 2,913 2,161 2,087 997 4,467 1,936
2,582 240 5,670 3,143 3,517 2,128 1,757 670 2,867 3,513
3,876 (262) 13,826 256 18,259 (1,136) 13,668 561 16,527 800
- ------- ------- ------- --------- -------- ------- ------- ------- -------- ------
8,515 1,283 27,081 7,603 26,126 4,399 17,652 2,362 23,992 6,363
- ------- ------- ------- --------- -------- ------- ------- ------- -------- ------
(1,086) (404) (3,910) (1,111) (2,090) (733) (441) (54) (518) (44)
(209) (78) (521) (178) (296) (37) (30) -- (46) --
(757) (1,120) (3,298) (4,761) (3,484) (4,714) (1,366) (2,398) (2,016) (5,045)
(125) (354) (677) (1,681) (853) (1,053) (230) (465) (1,040) (2,197)
- ------- ------- -------- --------- -------- ------- ------- ------- -------- -------
(2,177) (1,956) (8,406) (7,731) (6,723) (6,537) (2,067) (2,917) (3,620) (7,286)
- ------- ------- -------- --------- -------- ------- ------- ------- -------- -------
55,954 20,824 88,324 97,032 58,285 41,154 49,403 24,792 59,277 49,418
1,663 1,250 6,666 4,777 5,307 5,084 1,754 2,345 2,392 4,601
(28,574) (10,804) (50,563) (20,958) (32,123) (22,669) (16,924) (8,643) (31,705) (18,120)
- ------- ------- -------- --------- -------- ------- ------- ------- -------- -------
29,043 11,270 44,427 80,851 31,469 23,569 34,233 18,494 29,964 35,899
- ------- ------- -------- --------- -------- ------- ------- ------- -------- -------
3,783 2,019 17,066 19,641 14,800 7,270 8,776 5,849 22,287 12,119
326 491 1,138 1,800 1,134 1,054 254 450 1,019 2,163
(2,839) (2,211) (9,377) (2,708) (5,780) (2,939) (3,381) (2,627) (6,702) (3,376)
- ------- ------- -------- --------- -------- ------- ------- ------- -------- -------
1,270 299 8,827 18,733 10,154 5,385 5,649 3,672 16,604 10,906
- ------- ------- -------- --------- -------- ------- ------- ------- -------- -------
30,313 11,569 53,254 99,584 41,623 28,954 39,882 22,166 46,568 46,805
- ------- ------- -------- --------- -------- ------- ------- ------- -------- -------
36,651 10,896 71,929 99,456 61,026 26,816 55,467 21,611 66,940 45,882
- ------- ------- -------- --------- -------- ------- ------- ------- -------- -------
31,152 20,256 159,068 59,612 97,777 70,961 44,251 22,640 85,033 39,151
- ------- ------- -------- --------- -------- ------- ------- ------- -------- -------
$67,803 $31,152 $230,997 $ 159,068 $158,803 $97,777 $99,718 $44,251 $151,973 $85,033
======= ======= ======== ========= ======== ======= ======= ======= ======== =======
4,406 1,722 6,433 7,382 4,099 3,131 3,445 1,986 3,518 3,189
131 106 491 373 376 405 122 196 140 315
(2,221) (911) (3,672) (1,605) (2,271) (1,752) (1,178) (701) (1,865) (1,216)
- ------- ------- -------- --------- -------- ------- ------- ------- -------- -------
2,316 917 3,252 6,150 2,204 1,784 2,389 1,481 1,793 2,288
- ------- ------- -------- --------- -------- ------- ------- ------- -------- -------
300 169 1,257 1,494 1,039 562 621 455 1,351 782
26 43 84 141 81 84 18 38 61 151
(226) (184) (696) (212) (414) (228) (238) (217) (408) (225)
- ------- ------- -------- --------- -------- ------- ------- ------- -------- -------
100 28 645 1,423 706 418 401 276 1,004 708
- ------- ------- -------- --------- -------- ------- ------- ------- -------- -------
2,416 945 3,897 7,573 2,910 2,202 2,790 1,757 2,797 2,996
======= ======= ======== ========= ======== ======= ======= ======= ======== =======
</TABLE>
19
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST
FOR A SHARE OUTSTANDING THROUGHOUT THE YEARS ENDED MARCH 31,
<TABLE>
<CAPTION>
NET RATIO
REALIZED OF EXPENSES
AND DISTRI- DISTRI- NET RATIO OF NET TO AVERAGE
NET ASSET UNREALIZED BUTIONS BUTIONS ASSET RATIO OF INVESTMENT NET ASSETS
VALUE NET GAINS FROM NET FROM VALUE NET ASSETS EXPENSES INCOME TO (EXCLUDING
BEGINNING INVESTMENT ON INVESTMENT CAPITAL END OF TOTAL END OF TO AVERAGE AVERAGE WAIVERS AND
OF PERIOD INCOME SECURITIES INCOME GAINS PERIOD RETURN* PERIOD (000) NET ASSETS NET ASSETS REIMBURSEMENT)
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------
DIVERSIFIED CONSERVATIVE INCOME FUND
- ------------------------------------
CLASS A**
2000 $11.60 $0.49 $0.34 $(0.54) $(0.15) $11.74 7.53% $30,969 0.12% 4.27% 0.41%
1999 11.76 0.56 0.26 (0.45) (0.53) 11.60 7.22 21,973 0.12 4.02 0.45
1998 10.55 0.50 1.46 (0.44) (0.31) 11.76 19.16 13,862 0.12 4.37 1.01
1997(1) 10.12 0.37 0.27 (0.21) -- 10.55 6.35* 2,983 0.12 4.38 3.65+
CLASS D**
2000 $11.53 $0.37 $0.35 $(0.44) $(0.15) $11.66 6.47% $10,918 1.12% 3.27% 1.41%
1999 11.70 0.40 0.30 (0.34) (0.53) 11.53 6.19 5,107 1.12 2.98 1.45
1998 10.49 0.38 1.46 (0.32) (0.31) 11.70 17.90 2,600 1.12 3.35 2.27
1997(2) 10.09 0.27 0.30 (0.17) -- 10.49 5.67* 603 1.12 3.37 N/A++
- -----------------------------
DIVERSIFIED CONSERVATIVE FUND
- -----------------------------
CLASS A**
2000 $11.42 $0.34 $0.76 $(0.53) $(0.24) $11.75 10.05% $45,363 0.12% 2.96% 0.45%
1999 11.31 0.50 0.48 (0.29) (0.58) 11.42 8.92 40,304 0.12 3.42 0.45
1998 9.62 0.33 1.78 (0.27) (0.15) 11.31 22.35 22,125 0.12 3.12 0.81
1997(3) 9.26 0.26 0.35 (0.18) (0.07) 9.62 6.54* 5,989 0.12 3.56 2.75+
CLASS D**
2000 $11.37 $0.22 $0.77 $(0.42) $(0.24) $11.70 9.01% $15,960 1.12% 1.98% 1.45%
1999 11.27 0.38 0.48 (0.18) (0.58) 11.37 7.84 12,405 1.12 2.41 1.46
1998 9.58 0.24 1.78 (0.18) (0.15) 11.27 21.29 5,842 1.12 2.13 1.91
1997(4) 9.33 0.19 0.26 (0.13) (0.07) 9.58 4.84* 1,704 1.12 2.60 3.72+
- ---------------------------------------
DIVERSIFIED GLOBAL MODERATE GROWTH FUND
- ---------------------------------------
CLASS A**
2000 $12.14 $0.31 $1.81 $(0.45) $(0.20) $13.61 18.04% $58,455 0.12% 2.47% 0.44%
1999 12.49 0.40 0.12 (0.25) (0.62) 12.14 4.63 24,010 0.12 2.76 0.49
1998 10.15 0.31 2.28 (0.19) (0.06) 12.49 25.68 13,255 0.12 2.66 0.86
1997(5) 10.00 0.06 0.14 (0.05) -- 10.15 1.96* 68 0.12 2.03 N/A++
CLASS D**
2000 $12.02 $0.19 $1.79 $(0.33) $(0.20) $13.47 16.88% $ 9,348 1.12% 1.52% 1.44%
1999 12.38 0.30 0.10 (0.14) (0.62) 12.02 3.54 7,142 1.12 1.79 1.49
1998 10.11 0.17 2.28 (0.12) (0.06) 12.38 24.38 7,001 1.12 1.72 1.93
1997(6) 10.00 0.02 0.13 (0.04) -- 10.11 1.52* 85 1.12 0.60 N/A++
- --------------------------------
DIVERSIFIED MODERATE GROWTH FUND
- --------------------------------
CLASS A**
2000 $13.18 $0.28 $1.64 $(0.35) $(0.28) $14.47 14.99% $191,484 0.12% 2.08% 0.38%
1999 13.22 0.32 0.79 (0.23) (0.92) 13.18 8.87 131,531 0.12 2.41 0.50
1998 10.74 0.29 2.76 (0.25) (0.32) 13.22 29.08 50,677 0.12 2.39 0.74
1997(7) 10.19 0.23 0.50 (0.16) (0.02) 10.74 7.12* 15,440 0.12 2.64 1.45+
CLASS D**
2000 $13.10 $0.15 $1.64 $(0.23) $(0.28) $14.38 14.00% $ 39,513 1.12% 1.10% 1.38%
1999 13.16 0.26 0.72 (0.12) (0.92) 13.10 7.71 27,537 1.12 1.40 1.48
1998 10.67 0.18 2.76 (0.13) (0.32) 13.16 27.99 8,935 1.12 1.37 1.80
1997(8) 10.21 0.15 0.44 (0.11) (0.02) 10.67 5.71* 6,471 1.12 1.63 2.57+
[Table continued]
RATIO OF
NET INVESTMENT
INCOME
TO AVERAGE NET
ASSETS (EXCLUDING PORTFOLIO
WAIVERS AND TURNOVER
REIMBURSEMENT RATE
------------------------
<S> <C> <C>
- ------------------------------------
DIVERSIFIED CONSERVATIVE INCOME FUND
- ------------------------------------
CLASS A**
2000 3.98% 32%
1999 3.69 63
1998 3.48 52
1997(1) 0.85+ 27
CLASS D**
2000 2.98% 32%
1999 2.65 63
1998 2.20 52
1997(2) N/A++ 27
- -----------------------------
DIVERSIFIED CONSERVATIVE FUND
- -----------------------------
CLASS A**
2000 2.63% 27%
1999 3.09 30
1998 2.43 24
1997(3) 0.93+ 65
CLASS D**
2000 1.65% 27%
1999 2.07 30
1998 1.34 24
1997(4) 0.00+ 65
- ---------------------------------------
DIVERSIFIED GLOBAL MODERATE GROWTH FUND
- ---------------------------------------
CLASS A**
2000 2.15% 54%
1999 2.39 34
1998 1.92 30
1997(5) N/A++ 3
CLASS D**
2000 1.20% 54%
1999 1.42 34
1998 0.91 30
1997(6) N/A++ 3
- --------------------------------
DIVERSIFIED MODERATE GROWTH FUND
- --------------------------------
CLASS A**
2000 1.82% 16%
1999 2.03 22
1998 1.77 20
1997(7) 1.31+ 22
CLASS D**
2000 0.84% 16%
1999 1.04 22
1998 0.69 20
1997(8) 0.18+ 22
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
20
<PAGE>
<TABLE>
<CAPTION>
NET RATIO
REALIZED OF EXPENSES
AND DISTRIBUTIONS ASSET RATIO OF NET TO AVERAGE
NET ASSET UNREALIZED DISTRIBUTIONS RATIO OF INVESTMENT NET ASSETS
VALUE NET GAINS FROM NET FROM VALUE NET ASSETS EXPENSES INCOME TO (EXCLUDING
BEGINNING INVESTMENT ON INVESTMENT CAPITAL END OF TOTAL END OF TO AVERAGE AVERAGE WAIVERS AND
OF PERIOD INCOME SECURITIES INCOME GAINS PERIOD RETURN* PERIOD (000)NET ASSETS NET ASSETS REIMBURSEMENT)
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------
DIVERSIFIED GLOBAL GROWTH FUND
- ------------------------------
CLASS A**
2000 $13.22 $0.20 $2.84 $(0.33) $(0.51) $15.42 23.66% $125,893 0.12% 1.40% 0.45%
1999 13.64 0.29 0.27 (0.14) (0.84) 13.22 4.63 78,798 0.12 1.66 0.50
1998 10.91 0.22 3.04 (0.19) (0.34) 13.64 30.38 57,012 0.12 1.76 0.72
1997(1) 10.19 0.15 0.68 (0.10) (0.01) 10.91 8.10* 16,049 0.12 1.74 1.53+
CLASS D**
2000 $13.14 $0.05 $2.82 $(0.19) $(0.51) $15.31 22.39% $ 32,910 1.12% 0.39% 1.45%
1999 13.59 0.14 0.28 (0.03) (0.84) 13.14 3.50 18,979 1.12 0.49 1.50
1998 10.87 0.10 3.04 (0.08) (0.34) 13.59 29.22 13,949 1.12 0.72 1.76
1997(8) 10.24 0.06 0.63 (0.05) (0.01) 10.87 6.69* 6,882 1.12 0.71 2.56+
- -----------------------------
DIVERSIFIED GLOBAL STOCK FUND
- -----------------------------
CLASS A**
2000 $12.80 $0.05 $3.60 $(0.13) $(0.32) $16.00 28.98% $ 85,672 0.12% 0.35% 0.37%
1999 13.28 0.12 0.36 (0.03) (0.93) 12.80 4.22 37,987 0.12 0.58 0.50
1998 10.04 0.15 3.31 (0.09) (0.13) 13.28 34.70 19,730 0.12 0.85 1.13
1997(10) 10.00 0.02 0.05 (0.03) -- 10.04 0.67* 4,807 0.12 0.65 2.13+
CLASS D**
2000 $12.59 $(0.09) $3.52 $(0.06) $(0.32) $15.64 27.58% $ 14,046 1.12% (0.64)% 1.37%
1999 13.16 0.03 0.33 -- (0.93) 12.59 3.23 6,264 1.12 (0.56) 1.50
1998 10.01 0.01 3.31 (0.04) (0.13) 13.16 33.38 2,910 1.12 (0.07) 2.52
1997(6) 10.00 (0.03) 0.06 (0.02) -- 10.01 0.31* 46 1.12 (1.06) N/A++
- ---------------------------
DIVERSIFIED U.S. STOCK FUND
- ---------------------------
CLASS A**
2000 $15.70 $0.07 $3.35 $(0.12) $(0.42) $18.58 22.15% $105,229 0.12% 0.43% 0.41%
1999 16.03 0.09 1.25 (0.03) (1.64) 15.70 9.33 60,766 0.12 0.48 0.49
1998 11.38 0.08 5.53 (0.05) (0.91) 16.03 50.40 25,357 0.12 0.57 0.80
1997(9) 10.27 0.07 1.09 (0.05) -- 11.38 11.33* 9,065 0.12 0.72 1.84+
CLASS D**
2000 $15.36 $(0.09) $3.27 $(0.03) $(0.42) $18.09 20.98% $ 46,744 1.12% (0.56)% 1.41%
1999 15.83 0.03 1.14 -- (1.64) 15.36 8.18 24,267 1.12 (0.53) 1.50
1998 11.32 (0.11) 5.53 -- (0.91) 15.83 48.86 13,794 1.12 (0.42) 1.82
1997(4) 10.36 (0.03) 1.01 (0.02) -- 11.32 9.43* 5,885 1.12 (0.39) 2.75+
RATIO OF
NET INVESTMENT
INCOME
TO AVERAGE NET
ASSETS (EXCLUDING PORTFOLIO
WAIVERS AND TURNOVER
REIMBURSEMENT RATE
- -------------------------------------------------------------------
<S> <C> <C>
- ------------------------------
DIVERSIFIED GLOBAL GROWTH FUND
- ------------------------------
CLASS A**
2000 1.07% 17%
1999 1.28 18
1998 1.16 15
1997(1) 0.33+ 13
CLASS D**
2000 0.06% 17%
1999 0.11 18
1998 0.08 15
1997(8) (0.73)+ 13
- -----------------------------
DIVERSIFIED GLOBAL STOCK FUND
- -----------------------------
CLASS A**
2000 0.10% 13%
1999 0.20 30
1998 (0.16) 10
1997(10) (1.36)+ --
CLASS D**
2000 (0.89)% 13%
1999 (0.94) 30
1998 (1.47) 10
1997(5) N/A++ --
- ------------------------------
DIVERSIFIED U.S. STOCK FUND
- ------------------------------
CLASS A**
2000 0.14% 12%
1999 0.11 30
1998 (0.11) 21
1997(9) (1.00)+ 28
CLASS D**
2000 (0.85)% 12%
1999 (0.91) 30
1998 (1.12) 21
1997(4) (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.
* TOTAL RETURN IS FOR THE PERIOD INDICATED AND HAS NOT BEEN ANNUALIZED.
** PER SHARE CALCULATIONS WERE PERFORMED USING AVERAGE SHARES FOR EACH
PERIOD.
(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 12/13/96. ALL RATIOS FOR THAT PERIOD HAVE BEEN
ANNUALIZED.
(6) COMMENCED OPERATIONS 12/5/96. 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.
</FN>
</TABLE>
21
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 2000
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.
RECLASSIFICATION OF COMPONENTS OF NET ASSETS -- The timing and
characterization of certain income and capital gains distributions are
determined annually in accordance with federal tax regulations which may differ
from generally accepted accounting principles. As a result, net investment
income (loss) and net realized gain (loss) on investment transactions for the
reporting period may differ from distributions during such period. These
book/tax differences may be temporary or permanent in nature. To the extent
these differences are permanent, they are charged or credited to
paid-in-capital, accumulated net realized gain or undistributed net investment
income, as appropriate, in the period that the differences arise. Accordingly,
the following permanent differences, have been reclassified to/from the
following accounts during the fiscal year ended March 31, 2000:
UNDISTRIBUTED
ACCUMULATED NET NET INVESTMENT
PAID-IN-CAPITAL REALIZED GAIN INCOME
FUNDS (000) (000) (000)
-------- --------------- -------------- --------------
Diversified Conservative
Income $-- $(240) $240
Diversified
Conservative -- (618) 618
Diversified Global
Moderate Growth -- (244) 244
Diversified Moderate
Growth -- (916) 916
Diversified Global
Growth -- (631) 631
Diversified Global
Stock -- (272) 272
Diversified U.S. Stock -- (397) 397
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
22
<PAGE>
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 TO SHAREHOLDERS -- Distributions from net investment income
are declared and paid to shareholders periodically for each Fund. Any net
realized capital gain for each Fund is distributed to shareholders at least
annually.
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 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 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
23
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 2000
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.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities
during the period ended March 31, 2000, were as follows:
Total
(000)
-------
Diversified Conservative Income Fund
PURCHASES................................... $ 19,893
SALES....................................... 8,914
Diversified Conservative Fund
PURCHASES................................... $ 21,606
SALES....................................... 16,120
Diversified Global Moderate Growth Fund
PURCHASES................................... $ 53,996
SALES....................................... 23,986
Diversified Moderate Growth Fund
PURCHASES................................... $138,933
SALES....................................... 29,380
Diversified Global Growth Fund
PURCHASES................................... $ 58,037
SALES....................................... 20,373
Diversified Global Stock Fund
PURCHASES................................... $ 48,369
SALES....................................... 8,862
Diversified U.S. Stock Fund
PURCHASES................................... $ 63,534
SALES....................................... 13,896
At March 31, 2000, 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, 2000, for each Fund is as follows:
NET
APPRECIATED DEPRECIATED UNREALIZED
SECURITIES SECURITIES APPRECIATION
(000) (000) (000)
----------- ----------- ------------
Diversified
Conservative
Income $ 1,449 $ (864) $ 585
Diversified
Conservative 5,548 (2,361) 3,187
Diversified
Global
Moderate
Growth 5,613 (1,042) 4,571
Diversified
Moderate
Growth 25,308 (5,695) 19,613
Diversified
Global
Growth 27,641 (3,392) 24,249
Diversified
Global Stock 18,386 (1,808) 16,578
Diversified
U.S. Stock 28,075 (3,683) 24,392
24
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
SEI Asset Allocation Trust -- March 31, 2000
Report of Independent Accountants
To the Shareholders and Trustees of SEI Asset Allocation Trust
In our opinion, the accompanying statements of net assets 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"), 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, 2000, the results of their operations
for the year then ended, the changes in their net assets for each of the two
years in the period then ended and the financial highlights for each of the
periods presented, in conformity with accounting principles generally accepted
in the United States. 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 auditing standards generally accepted in
the United States, 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 securities at March 31, 2000 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
May 15, 2000
25
<PAGE>
NOTICE TO SHAREHOLDERS
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- MARCH 31, 2000 (UNAUDITED)
For shareholders that do not have a March 31, 2000 taxable year end, this notice
is for informational purposes only. For shareholders with a March 31, 2000
taxable year end, please consult your tax advisor as to the pertinence of this
notice.
For the fiscal year ended March 31, 2000 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 10% 90% 100%
Diversified Conservative 43% 57% 100%
Diversified Global Moderate Growth 33% 67% 100%
Diversified Moderate Growth 42% 58% 100%
Diversified Global Growth 59% 41% 100%
Diversified Global Stock 55% 45% 100%
Diversified U.S. Stock 46% 54% 100%
</TABLE>
<TABLE>
<CAPTION>
(C) (D) (E)
QUALIFYING TAX-EXEMPT FOREIGN
FUND DIVIDENDS(1) INTEREST TAX CREDIT
- ---------- -------------- ------------ -------------
<S> <C> <C> <C>
Diversified Conservative Income 2% 0% 0%
Diversified Conservative 4% 0% 0%
Diversified Global Moderate Growth 4% 0% 0%
Diversified Moderate Growth 5% 0% 0%
Diversified Global Growth 9% 0% 0%
Diversified Global Stock 15% 0% 0%
Diversified U.S. Stock 12% 0% 0%
<FN>
(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.
</FN>
</TABLE>
26
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
- --------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST
- --------------------------------------------------------------------------------
ANNUAL REPORT
- --------------------------------------------------------------------------------
March 31, 2000
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
James M. Storey
George J. Sullivan, Jr.
Rosemarie B. Greco
OFFICERS
Edward D. Loughlin
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Mark Nagle
CONTROLLER AND CHIEF FINANCIAL OFFICER
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Lydia A. Gavalis
VICE PRESIDENT, ASSISTANT SECRETARY
Timothy D. Barto
VICE PRESIDENT AND ASSISTANT SECRETARY
Christine McCullough
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Cynthia M. Parrish
VICE PRESIDENT, ASSISTANT SECRETARY
James R. Foggo
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 Investments 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 1O800ODIALOSEI/1O800O342O5734
<PAGE>
[SEI logo omitted]
INVESTMENTS
DISTRIBUTION
CO.
Oaks, PA 19456
800-DIAL-SEI/800-342-5734
SEI-F-121-04
