SEMI-ANNUAL REPORT AS OF
SEPTEMBER 30, 2000
(UNAUDITED)
SEI ASSET
ALLOCATION TRUST
--------------------------------------------------------------------------------
Diversified Conservative Income Fund
--------------------------------------------------------------------------------
Diversified Conservative Fund
--------------------------------------------------------------------------------
Diversified Global Moderate Growth Fund
--------------------------------------------------------------------------------
Diversified Moderate Growth Fund
--------------------------------------------------------------------------------
Diversified Global Growth Fund
--------------------------------------------------------------------------------
Diversified Global Stock Fund
--------------------------------------------------------------------------------
Diversified U.S. Stock Fund
--------------------------------------------------------------------------------
[SEI Investments logo omitted]
<PAGE>
TABLE OF CONTENTS
--------------------------------------------------------------------------------
STATEMENTS OF NET ASSETS/SCHEDULE OF INVESTMENTS.......................... 1
STATEMENT OF ASSETS AND LIABILITIES....................................... 5
STATEMENTS OF OPERATIONS.................................................. 6
STATEMENTS OF CHANGES IN NET ASSETS....................................... 8
FINANCIAL HIGHLIGHTS...................................................... 10
NOTES TO FINANCIAL STATEMENTS............................................. 12
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- SEPTEMBER 30, 2000 (UNAUDITED)
DIVERSIFIED CONSERVATIVE
INCOME FUND
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
EQUITY FUNDS -- 24.6%
SEI Institutional Managed Trust
Large Cap Growth Fund 156,313 $ 5,665
SEI Institutional Managed Trust
Large Cap Value Fund 216,169 4,042
SEI Institutional Managed Trust
Small Cap Growth Fund 21,890 669
SEI Institutional Managed Trust
Small Cap Value Fund 27,590 445
-------
TOTAL EQUITY FUNDS
(Cost $10,024) 10,821
-------
FIXED INCOME FUND -- 55.0%
SEI Institutional Managed Trust
Core Fixed Income Fund 2,404,526 24,238
-------
TOTAL FIXED INCOME FUND
(Cost $24,390) 24,238
-------
MONEY MARKET FUND -- 20.0%
SEI Liquid Asset Trust
Prime Obligation Fund 8,786,144 8,786
-------
TOTAL MONEY MARKET FUND
(Cost $8,786) 8,786
-------
TOTAL INVESTMENTS -- 99.6%
(Cost $43,200) 43,845
-------
OTHER ASSETS AND LIABILITIES,
NET -- 0.4% 196
-------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value)
based on 2,768,011 outstanding
shares of beneficial interest 31,409
Fund Shares of Class D (unlimited
authorization -- no par value)
based on 973,757 outstanding
shares of beneficial interest 10,964
Undistributed net investment income 460
Accumulated net realized gain on investments 563
Net unrealized appreciation on investments 645
-------
TOTAL NET ASSETS -- 100.0% $44,041
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 11.79
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 11.71
=======
DIVERSIFIED CONSERVATIVE
FUND
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
EQUITY FUNDS -- 39.4%
SEI Institutional International Trust
International Equity Fund 412,129 $ 5,082
SEI Institutional Managed Trust
Large Cap Growth Fund 290,197 10,517
SEI Institutional Managed Trust
Large Cap Value Fund 403,710 7,549
SEI Institutional Managed Trust
Small Cap Growth Fund 39,753 1,215
SEI Institutional Managed Trust
Small Cap Value Fund 51,158 826
-------
TOTAL EQUITY FUNDS
(Cost $21,285) 25,189
-------
FIXED INCOME FUNDS -- 59.3%
SEI Institutional International
Trust International Fixed
Income Fund 957,156 9,390
SEI Institutional Managed Trust
Core Fixed Income Fund 2,830,466 28,531
-------
TOTAL FIXED INCOME FUNDS
(Cost $40,069) 37,921
-------
MONEY MARKET FUND -- 1.0%
SEI Liquid Asset Trust
Prime Obligation Fund 635,486 635
-------
TOTAL MONEY MARKET FUND
(Cost $635) 635
-------
TOTAL INVESTMENTS -- 99.7%
(Cost $61,989) 63,745
-------
OTHER ASSETS AND LIABILITIES,
NET -- 0.3% 181
-------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value)
based on 4,152,165 outstanding
shares of beneficial interest 44,557
Fund Shares of Class D (unlimited
authorization -- no par value)
based on 1,398,106 outstanding
shares of beneficial interest 15,184
Undistributed net investment income 387
Accumulated net realized gain on investments 2,042
Net unrealized appreciation on investments 1,756
-------
TOTAL NET ASSETS -- 100.0% $63,926
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 11.53
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 11.48
=======
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
1
<PAGE>
SCHEDULE OF INVESTMENTS/STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- SEPTEMBER 30, 2000 (UNAUDITED)
DIVERSIFIED GLOBAL
MODERATE GROWTH FUND
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
EQUITY FUNDS -- 55.6%
SEI Institutional International Trust
Emerging Markets Equity Fund 527,346 $ 4,846
SEI Institutional International Trust
International Equity Fund 797,548 9,834
SEI Institutional Managed Trust
Large Cap Growth Fund 495,817 17,968
SEI Institutional Managed Trust
Large Cap Value Fund 690,003 12,903
SEI Institutional Managed Trust
Small Cap Growth Fund 68,035 2,080
SEI Institutional Managed Trust
Small Cap Value Fund 87,708 1,416
-------
TOTAL EQUITY FUNDS
(Cost $48,168) 49,047
-------
FIXED INCOME FUNDS -- 36.6%
SEI Institutional International Trust
Emerging Markets Debt Fund 339,155 3,225
SEI Institutional International Trust
International Fixed
Income Fund 492,227 4,829
SEI Institutional Managed Trust
Core Fixed Income Fund 2,083,223 20,999
SEI Institutional Managed Trust
High Yield Bond Fund 349,920 3,202
-------
TOTAL FIXED INCOME FUNDS
(Cost $32,293) 32,255
-------
MONEY MARKET FUND -- 0.9%
SEI Liquid Asset Trust
Prime Obligation Fund 831,362 831
-------
TOTAL MONEY MARKET FUND
(Cost $831) 831
-------
TOTAL INVESTMENTS -- 93.1%
(Cost $81,292) 82,133
-------
OTHER ASSETS AND LIABILITIES,
NET-- 6.9% 6,128
-------
TOTAL NET ASSETS-- 100.0% $88,261
=======
DIVERSIFIED MODERATE
GROWTH FUND
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
EQUITY FUNDS -- 60.0%
SEI Institutional International
Trust International
Equity Fund 2,502,498 $ 30,856
SEI Institutional Managed Trust
Large Cap Growth Fund 1,794,360 65,028
SEI Institutional Managed Trust
Large Cap Value Fund 2,475,451 46,291
SEI Institutional Managed Trust
Small Cap Growth Fund 246,826 7,545
SEI Institutional Managed Trust
Small Cap Value Fund 312,775 5,048
--------
TOTAL EQUITY FUNDS
(Cost $138,653) 154,768
--------
FIXED INCOME FUNDS -- 39.1%
SEI Institutional International
Trust International Fixed
Income Fund 2,558,516 25,099
SEI Institutional Managed Trust
Core Fixed Income Fund 7,533,923 75,942
--------
TOTAL FIXED INCOME FUNDS
(Cost $104,535) 101,041
--------
MONEY MARKET FUND -- 1.0%
SEI Liquid Asset Trust
Prime Obligation Fund 2,581,909 2,582
--------
TOTAL MONEY MARKET FUND
(Cost $2,582) 2,582
--------
TOTAL INVESTMENTS -- 100.1%
(Cost $245,770) 258,391
--------
OTHER ASSETS AND LIABILITIES,
NET -- (0.1%) (369)
--------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value)
based on 15,435,685 outstanding
shares of beneficial interest 201,290
Fund Shares of Class D (unlimited
authorization -- no par value)
based on 2,900,612 outstanding
shares of beneficial interest 36,574
Undistributed net investment income 994
Accumulated net realized gain on investments 6,543
Net unrealized appreciation on investments 12,621
--------
TOTAL NET ASSETS -- 100.0% $258,022
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 14.09
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 14.00
========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
2
<PAGE>
--------------------------------------------------------------------------------
DIVERSIFIED GLOBAL
GROWTH FUND
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
EQUITY FUNDS -- 79.1%
SEI Institutional International
Trust Emerging Markets
Equity Fund 1,495,066 $ 13,740
SEI Institutional International
Trust International
Equity Fund 2,322,493 28,636
SEI Institutional Managed Trust
Large Cap Growth Fund 1,480,395 53,650
SEI Institutional Managed Trust
Large Cap Value Fund 2,052,237 38,377
SEI Institutional Managed Trust
Small Cap Growth Fund 205,418 6,280
SEI Institutional Managed Trust
Small Cap Value Fund 267,040 4,310
--------
TOTAL EQUITY FUNDS
(Cost $130,617) 144,993
--------
FIXED INCOME FUNDS -- 19.3%
SEI Institutional International
Trust Emerging Markets
Debt Fund 372,600 3,543
SEI Institutional International
Trust International Fixed
Income Fund 537,055 5,269
SEI Institutional Managed Trust
Core Fixed Income Fund 2,291,609 23,099
SEI Institutional Managed Trust
High Yield Bond Fund 388,215 3,552
--------
Total Fixed Income Funds
(Cost $36,366) 35,463
--------
MONEY MARKET FUND -- 1.0%
SEI Liquid Asset Trust
Prime Obligation Fund 1,857,164 1,857
--------
TOTAL MONEY MARKET FUND
(Cost $1,857) 1,857
--------
TOTAL INVESTMENTS -- 99.4%
(Cost $168,840) 182,313
--------
OTHER ASSETS AND LIABILITIES,
NET -- 0.6% 1,078
--------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value)
based on 10,330,184 outstanding
shares of beneficial interest $137,425
Fund Shares of Class D (unlimited
authorization -- no par value)
based on 2,256,486 outstanding
shares of beneficial interest 28,142
Undistributed net investment income 327
Accumulated net realized gain on investments 4,024
Net unrealized appreciation on investments 13,473
========
TOTAL NET ASSETS -- 100.0% $183,391
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 14.59
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 14.48
========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
3
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- SEPTEMBER 30, 2000 (UNAUDITED)
DIVERSIFIED GLOBAL
STOCK FUND
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
EQUITY FUNDS -- 97.5%
SEI Institutional International
Trust Emerging Markets
Equity Fund 1,478,453 $ 13,587
SEI Institutional International
Trust International
Equity Fund 2,212,270 27,277
SEI Institutional Managed Trust
Large Cap Growth Fund 1,373,573 49,778
SEI Institutional Managed Trust
Large Cap Value Fund 1,911,755 35,750
SEI Institutional Managed Trust
Small Cap Growth Fund 189,282 5,786
SEI Institutional Managed Trust
Small Cap Value Fund 241,685 3,901
--------
TOTAL EQUITY FUNDS
(Cost $132,441) 136,079
--------
MONEY MARKET FUND -- 1.0%
SEI Liquid Asset Trust
Prime Obligation Fund 1,392,793 1,393
--------
TOTAL MONEY MARKET FUND
(Cost $1,393) 1,393
--------
TOTAL INVESTMENTS -- 98.5%
(Cost $133,834) 137,472
--------
OTHER ASSETS AND LIABILITIES,
NET -- 1.5% 2,065
--------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value)
based on 8,329,419 outstanding
shares of beneficial interest 114,762
Fund Shares of Class D (unlimited
authorization -- no par value)
based on 1,021,083 outstanding
shares of beneficial interest 13,797
Distributions in excess of net
investment income (6)
Accumulated net realized gain on investments 7,346
Net unrealized appreciation on investments 3,638
--------
TOTAL NET ASSETS -- 100.0% $139,537
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 14.96
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 14.58
========
DIVERSIFIED
U.S. STOCK FUND
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
EQUITY FUNDS -- 99.0%
SEI Institutional Managed Trust
Large Cap Growth Fund 2,411,324 $ 87,387
SEI Institutional Managed Trust
Large Cap Value Fund 3,365,844 62,941
SEI Institutional Managed Trust
Small Cap Growth Fund 330,499 10,103
SEI Institutional Managed Trust
Small Cap Value Fund 430,607 6,950
--------
TOTAL EQUITY FUNDS
(Cost $145,457) 167,381
--------
MONEY MARKET FUND -- 1.0%
SEI Liquid Asset Trust
Prime Obligation Fund 1,743,040 1,743
--------
TOTAL MONEY MARKET FUND
(Cost $1,743) 1,743
--------
TOTAL INVESTMENTS -- 100.0%
(Cost $147,200) 169,124
--------
OTHER ASSETS AND LIABILITIES,
NET -- 0.0% 2
--------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value)
based on 6,658,788 outstanding
shares of beneficial interest 104,111
Fund Shares of Class D (unlimited
authorization -- no par value)
based on 2,641,162 outstanding
shares of beneficial interest 38,342
Distributions in excess of net
investment income (3)
Accumulated net realized gain on investments 4,752
Net unrealized appreciation on investments 21,924
--------
TOTAL NET ASSETS -- 100.0% $169,126
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $ 18.34
========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS D $ 17.80
========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
4
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (000)
--------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
-----------------------------
DIVERSIFIED GLOBAL
MODERATE GROWTH
FUND
-----------------------------
<S> <C>
ASSETS:
Investments at value (Cost $81,292) $82,133
Cash 107
Income receivable 144
Capital shares sold receivable 6,179
-------
Total Assets 88,563
-------
LIABILITIES:
Investment securities purchased 262
Capital shares redeemed payable 3
Accrued expenses payable 37
-------
Total Liabilities 302
-------
Total Net Assets $88,261
=======
NET ASSETS:
Fund Shares of Class A (unlimited authorization -- no par value)
based on 6,013,792 outstanding shares of beneficial interest 75,464
Fund Shares of Class D (unlimited authorization -- no par value)
based on 758,778 outstanding shares of beneficial interest 8,812
Undistributed net investment income 361
Accumulated net realized gain on investments 2,783
Net unrealized appreciation on investments 841
-------
TOTAL NET ASSETS -- 100% $88,261
-------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE -- CLASS A $ 13.05
=======
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE -- CLASS D $ 12.91
=======
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
5
<PAGE>
STATEMENTS OF OPERATIONS (000)
--------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- FOR THE SIX MONTH PERIOD ENDED SEPTEMBER 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
------------- ------------ ------------ -----------
DIVERSIFIED DIVERSIFIED DIVERSIFIED
CONSERVATIVE DIVERSIFIED GLOBAL MODERATE
INCOME CONSERVATIVE MODERATE GROWTH
FUND FUND GROWTH FUND FUND
------------- ------------ ------------ -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Income distributions from
affiliated funds $1,050 $ 966 $ 884 $ 2,708
------ ------- ------- -------
EXPENSES:
Administration fees 43 62 76 239
Less: administration fees waived (43) (62) (76) (239)
Less: reimbursement from administrator (15) (41) (22) (55)
Investment advisory fees 22 31 38 120
Custodian fees 2 4 2 8
Transfer agent fees 5 18 12 28
Professional fees 2 6 3 13
Registration & filing fees 6 13 10 21
Printing fees 2 3 2 5
Trustee fees 1 1 -- 2
Distribution & shareholder
servicing fees (1) 55 80 46 198
Amortization of deferred
organization costs 2 2 -- 2
------ ------- ------- -------
Total expenses after waivers
and reimbursements 82 117 91 342
------ ------- ------- -------
NET INVESTMENT INCOME 968 849 793 2,366
------ ------- ------- -------
NET REALIZED AND UNREALIZED GAIN
ON INVESTMENTS:
Net realized gain from
security transactions 135 222 313 609
Net change in unrealized appreciation
(depreciation) on investments 60 (1,431) (3,730) (6,992)
------ ------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $1,163 $ (360) $(2,624) $(4,017)
====== ======= ======= =======
<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.
6
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
----------- ----------- -----------
DIVERSIFIED DIVERSIFIED
GLOBAL GLOBAL DIVERSIFIED
GROWTH STOCK U.S. STOCK
FUND FUND FUND
----------- ----------- -----------
<S> <C> <C> <C>
INVESTMENT INCOME:
Income distributions from
affiliated funds $ 1,216 $ 278 $ 557
-------- -------- -------
EXPENSES:
Administration fees 176 118 160
Less: administration fees waived (176) (118) (160)
Less: reimbursement from administrator (76) (10) (52)
Investment advisory fees 88 59 80
Custodian fees 10 2 8
Transfer agent fees 34 4 22
Professional fees 15 2 8
Registration & filing fees 24 7 20
Printing fees 6 2 5
Trustee fees 2 -- 2
Distribution & shareholder
servicing fees (1) 164 72 233
Amortization of deferred
organization costs 2 4 2
-------- -------- -------
Total expenses after waivers
and reimbursements 269 142 328
-------- -------- -------
NET INVESTMENT INCOME 947 136 229
-------- -------- -------
NET REALIZED AND UNREALIZED GAIN
ON INVESTMENTS:
Net realized gain from
security transactions 1,247 5,754 574
Net change in unrealized appreciation
(depreciation) on investments (10,776) (12,940) (2,468)
-------- -------- -------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ (8,582) $ (7,050) $(1,665)
======== ======== =======
</TABLE>
7
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
--------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- FOR THE SIX MONTH PERIOD ENDED SEPTEMBER 30, 2000
(UNAUDITED) AND FOR THE YEARS ENDED MARCH 31,
<TABLE>
<CAPTION>
------------------ ------------------- -------------------
DIVERSIFIED DIVERSIFIED
CONSERVATIVE DIVERSIFIED GLOBAL MODERATE
FUND FUND GROWTH FUND
------------------ ------------------- -------------------
4/1/00- 4/1/99- 4/1/00- 4/1/99- 4/1/00- 4/1/99-
9/30/00 3/31/00 9/30/00 3/31/00 9/30/00 3/31/00
------------------ ------------------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 968 $ 1,397 $ 849 $ 1,621 $ 793 $ 1,051
Capital gain distributions received from investments -- 329 -- 810 -- 1,006
Net realized gain from security transactions 135 622 222 1,918 313 2,582
Net change in unrealized appreciation (depreciation) on investments 60 273 (1,431) 1,185 (3,730) 3,876
------- -------- ------- -------- -------- --------
Net increase (decrease) in net assets resulting from operations 1,163 2,621 (360) 5,534 (2,624) 8,515
------- -------- ------- -------- -------- --------
DISTRIBUTIONS FROM:
Net investment income:
Class A (733) (1,196) (677) (1,980) (632) (1,086)
Class D (203) (251) (158) (496) (52) (209)
Net realized gains:
Class A -- (382) -- (954) -- (757)
Class D -- (94) -- (322) -- (125)
------- -------- ------- -------- -------- --------
Total distributions (936) (1,923) (835) (3,752) (684) (2,177)
------- -------- ------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from shares issued 7,555 20,984 8,640 20,213 38,551 55,954
Reinvestment of distributions 643 1,315 636 2,718 583 1,663
Cost of shares redeemed (6,693) (13,785) (5,878) (19,171) (16,234) (28,574)
------- -------- ------- -------- -------- --------
Increase in net assets derived from Class A transactions 1,505 8,514 3,398 3,760 22,900 29,043
------- -------- ------- -------- -------- --------
CLASS D:
Proceeds from shares issued 1,030 8,134 1,934 7,463 2,168 3,783
Reinvestment of distributions 176 303 152 797 51 326
Cost of shares redeemed (784) (2,842) (1,686) (5,188) (1,353) (2,839)
------- -------- ------- -------- -------- --------
Increase in net assets derived from Class D transactions 422 5,595 400 3,072 866 1,270
------- -------- ------- -------- -------- --------
Increase in net assets derived from capital share transactions 1,927 14,109 3,798 6,832 23,766 30,313
------- -------- ------- -------- -------- --------
Net increase in net assets 2,154 14,807 2,603 8,614 20,458 36,651
------- -------- ------- -------- -------- --------
NET ASSETS:
Beginning of period 41,887 27,080 61,323 52,709 67,803 31,152
------- -------- ------- -------- -------- --------
End of period $44,041 $ 41,887 $63,926 $ 61,323 $ 88,261 $ 67,803
======= ======== ======= ======== -------- --------
SHARES ISSUED AND REDEEMED:
CLASS A:
Shares issued 650 1,837 751 1,783 2,907 4,406
Shares issued in lieu of cash distributions 56 116 55 241 44 131
Shares redeemed (576) (1,209) (513) (1,694) (1,231) (2,221)
------- -------- ------- -------- -------- --------
Total Class A transactions 130 744 293 330 1,720 2,316
------- -------- ------- -------- -------- --------
CLASS D:
Shares issued 89 717 168 661 165 300
Shares issued in lieu of cash distributions 15 27 13 71 4 26
Shares redeemed (67) (250) (147) (459) (104) (226)
------- -------- ------- -------- -------- --------
Total Class D transactions 37 494 34 273 65 100
------- -------- ------- -------- -------- --------
Increase in capital shares 167 1,238 327 603 1,785 2,416
======= ======== ======= ======== ======== ========
<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.
8
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
------------------- ------------------- -------------------
DIVERSIFIED DIVERSIFIED DIVERSIFIED
MODERATE GLOBAL GLOBAL
GROWTH GROWTH STOCK
FUND FUND FUND
------------------- ------------------- -------------------
4/1/00- 4/1/99- 4/1/00- 4/1/99- 4/1/00- 4/1/99-
9/30/00 3/31/00 9/30/00 3/31/00 9/30/00 3/31/00
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 2,366 $ 3,656 $ 947 $ 1,437 $ 136 $ 140
Capital gain distributions received from investments -- 3,929 -- 2,913 -- 2,087
Net realized gain from security transactions 609 5,670 1,247 3,517 5,754 1,757
Net change in unrealized appreciation (depreciation)
on investments (6,992) 13,826 (10,776) 18,259 (12,940) 13,668
-------- -------- -------- -------- -------- --------
Net increase (decrease) in net assets resulting from operations (4,017) 27,081 (8,582) 26,126 (7,050) 17,652
-------- -------- -------- -------- -------- --------
DISTRIBUTIONS FROM:
Net investment income:
Class A (2,060) (3,910) (807) (2,090) (146) (441)
Class D (228) (521) (48) (296) -- (30)
Net realized gains:
Class A -- (3,298) -- (3,484) -- (1,366)
Class D -- (677) -- (853) -- (230)
-------- -------- -------- -------- -------- --------
Total distributions (2,288) (8,406) (855) (6,723) (146) (2,067)
-------- -------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from shares issued 47,193 88,324 48,944 58,285 84,534 49,403
Reinvestment of distributions 1,944 6,666 771 5,307 140 1,754
Cost of shares redeemed (17,967) (50,563) (17,273) (32,123) (39,502) (16,924)
-------- -------- -------- -------- -------- --------
Increase in net assets derived from Class A transactions 31,170 44,427 32,442 31,469 45,172 34,233
-------- -------- -------- -------- -------- --------
CLASS D:
Proceeds from shares issued 3,769 17,066 3,804 14,800 2,490 8,776
Reinvestment of distributions 221 1,138 47 1,134 -- 254
Cost of shares redeemed (1,830) (9,377) (2,268) (5,780) (647) (3,381)
-------- -------- -------- -------- -------- --------
Increase in net assets derived from Class D transactions 2,160 8,827 1,583 10,154 1,843 5,649
-------- -------- -------- -------- -------- --------
Increase in net assets derived from capital share transactions 33,330 53,254 34,025 41,623 47,105 39,882
-------- -------- -------- -------- -------- --------
Net increase in net assets 27,025 71,929 24,588 61,026 39,819 55,467
-------- -------- -------- -------- -------- --------
NET ASSETS:
Beginning of period 230,997 159,068 158,803 97,777 99,718 44,251
-------- -------- -------- -------- -------- --------
End of period $258,022 $230,997 $183,391 $158,803 $139,537 $ 99,718
-------- -------- -------- -------- -------- --------
SHARES ISSUED AND REDEEMED:
CLASS A: 3,341 6,433 3,283 4,099 5,509 3,445
Shares issued in lieu of cash distributions 137 491 51 376 9 122
Shares redeemed (1,276) (3,672) (1,171) (2,271) (2,544) (1,178)
-------- -------- -------- -------- -------- --------
Total Class A transactions 2,202 3,252 2,163 2,204 2,974 2,389
-------- -------- -------- -------- -------- --------
CLASS D:
Shares issued 268 1,257 258 1,039 166 621
Shares issued in lieu of cash distributions 16 84 3 81 -- 18
Shares redeemed (131) (696) (154) (414) (44) (238)
-------- -------- -------- -------- -------- --------
Total Class D transactions 153 645 107 706 122 401
-------- -------- -------- -------- -------- --------
Increase in capital shares 2,355 3,897 2,270 2,910 3,096 2,790
======== ======== ======== ======== ======== ========
</TABLE>
[table continued]
<PAGE>
<TABLE>
<CAPTION>
-------------------
DIVERSIFIED
U.S. STOCK
FUND
-------------------
4/1/00- 4/1/99-
9/30/00 3/31/00
-------- --------
<S> <C> <C>
OPERATIONS:
Net investment income $ 229 $ 131
Capital gain distributions received from investments -- 4,467
Net realized gain from security transactions 574 2,867
Net change in unrealized appreciation (depreciation)
on investments (2,468) 16,527
-------- --------
Net increase (decrease) in net assets resulting from operations (1,665) 23,992
-------- --------
DISTRIBUTIONS FROM:
Net investment income:
Class A (231) (518)
Class D -- (46)
Net realized gains:
Class A -- (2,016)
Class D -- (1,040)
-------- --------
Total distributions (231) (3,620)
-------- --------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from shares issued 30,030 59,277
Reinvestment of distributions 219 2,392
Cost of shares redeemed (12,229) (31,705)
-------- --------
Increase in net assets derived from Class A transactions 18,020 29,964
-------- --------
CLASS D:
Proceeds from shares issued 4,693 22,287
Reinvestment of distributions -- 1,019
Cost of shares redeemed (3,664) (6,702)
-------- --------
Increase in net assets derived from Class D transactions 1,029 16,604
-------- --------
Increase in net assets derived from capital share transactions 19,049 46,568
-------- --------
Net increase in net assets 17,153 66,940
-------- --------
NET ASSETS:
Beginning of period 151,973 85,033
-------- --------
End of period $169,126 $151,973
-------- --------
SHARES ISSUED AND REDEEMED:
CLASS A:
Shares Issued 1,657 3,518
Shares issued in lieu of cash distributions 12 140
Shares redeemed (674) (1,865)
-------- --------
Total Class A transactions 995 1,793
-------- --------
CLASS D:
Shares issued 265 1,351
Shares issued in lieu of cash distributions -- 61
Shares redeemed (207) (408)
-------- --------
Total Class D transactions 58 1,004
-------- --------
Increase in capital shares 1,053 2,797
======== ========
</TABLE>
9
<PAGE>
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST
FOR A SHARE OUTSTANDING THROUGHOUT THE SIX-MONTH PERIOD ENDED SEPTEMBER 30, 2000
(UNAUDITED), AND THE YEARS ENDED MARCH 31,
<TABLE>
<CAPTION>
NET
REALIZED
AND NET RATIO OF NET
NET ASSET UNREALIZED DISTRIBUTIONS DISTRIBUTIONS ASSET RATIO OF INVESTMENT
VALUE NET GAINS(LOSSES) FROM NET FROM VALUE NET ASSETS EXPENSES INCOME TO
BEGINNING INVESTMENT ON INVESTMENT CAPITAL END OF TOTAL END OF TO AVERAGE AVERAGE
OF PERIOD INCOME 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
2000* $11.74 $0.42 $(0.10) $(0.27) $ -- $11.79 2.79% $ 32,641 0.12% 4.75%
2000** 11.60 0.49 0.34 (0.54) (0.15) 11.74 7.53 30,969 0.12 4.27
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
2000* $11.66 $0.32 $(0.05) $(0.22) $ -- $11.71 2.32% $ 11,400 1.12% 3.75%
2000** 11.53 0.37 0.35 (0.44) (0.15) 11.66 6.47 10,918 1.12 3.27
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
2000* $11.75 $0.42 $(0.47) $(0.17) $ -- $11.53 (0.41)% $ 47,876 0.12% 2.97%
2000** 11.42 0.34 0.76 (0.53) (0.24) 11.75 10.05 45,363 0.12 2.96
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
2000* $11.70 $0.31 $(0.42) $(0.11) $ -- $11.48 (0.92)% $ 16,050 1.12% 1.97%
2000** 11.37 0.22 0.77 (0.42) (0.24) 11.70 9.01 15,960 1.12 1.98
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
2000* $13.61 $0.14 $(0.56) $(0.14) $ -- $13.05 (3.11)% $ 78,465 0.12% 2.22%
2000** 12.14 0.31 1.81 (0.45) (0.20) 13.61 18.04 58,455 0.12 2.47
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(5)** 10.00 0.06 0.14 (0.05) -- 10.15 1.96* 68 0.12 2.03
CLASS D
2000* $13.47 $0.07 $(0.56) $(0.07) $ -- $12.91 (3.62)% $ 9,796 1.12% 1.22%
2000** 12.02 0.19 1.79 (0.33) (0.20) 13.47 16.88 9,348 1.12 1.52
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(6)** 10.00 0.02 0.13 (0.04) -- 10.11 1.52* 85 1.12 0.60
--------------------------------
DIVERSIFIED MODERATE GROWTH FUND
--------------------------------
CLASS A
2000* $14.47 $0.25 $(0.48) $(0.15) $ -- $14.09 (1.65)% $217,416 0.12% 2.14%
2000** 13.18 0.28 1.64 (0.35) (0.28) 14.47 14.99 191,484 0.12 2.08
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
2000* $14.38 $0.21 $(0.51) $(0.08) $ -- $14.00 (2.08)% $ 40,606 1.12% 1.14%
2000** 13.10 0.15 1.64 (0.23) (0.28) 14.38 14.00 39,513 1.12 1.10
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>
[table continued]
RATIO RATIO OF
OF EXPENSES NET INVESTMENT
TO AVERAGE INCOME
NET ASSETS TO AVERAGE NET
(EXCLUDING ASSETS (EXCLUDING PORTFOLIO
WAIVERS AND WAIVERS AND TURNOVER
REIMBURSEMENT) REIMBURSEMENT) RATE
-----------------------------------------
------------------------------------
DIVERSIFIED CONSERVATIVE INCOME FUND
------------------------------------
CLASS A
2000* 0.40% 4.47% 13%
2000** 0.41 3.98 32
1999** 0.45 3.69 63
1998** 1.01 3.48 52
1997(1)** 3.65+ 0.85+ 27
CLASS D
2000* 1.36% 3.51% 13%
2000** 1.41 2.98 32
1999** 1.45 2.65 63
1998** 2.27 2.20 52
1997(2)** N/A++ N/A++ 27
-----------------------------
DIVERSIFIED CONSERVATIVE FUND
-----------------------------
CLASS A
2000* 0.47% 2.62% 6%
2000** 0.45 2.63 27
1999** 0.45 3.09 30
1998** 0.81 2.43 24
1997(3)** 2.75+ 0.93+ 65
CLASS D
2000* 1.39% 1.70% 6%
2000** 1.45 1.65 27
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
2000* 0.38% 1.96% 13%
2000** 0.44 2.15 54
1999** 0.49 2.39 34
1998** 0.86 1.92 30
1997(5)** N/A++ N/A++ 3
CLASS D
2000* 1.37% 0.97% 13%
2000** 1.44 1.20 54
1999** 1.49 1.42 34
1998** 1.93 0.91 30
1997(6)** N/A++ N/A++ 3
--------------------------------
DIVERSIFIED MODERATE GROWTH FUND
--------------------------------
CLASS A
2000* 0.37% 1.89% 7%
2000** 0.38 1.82 16
1999** 0.50 2.03 22
1998** 0.74 1.77 20
1997(7)** 1.45+ 1.31+ 22
CLASS D
2000* 1.34% 0.92% 7%
2000** 1.38 0.84 16
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.
10
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NET
REALIZED
AND NET RATIO OF NET
NET ASSET UNREALIZED DISTRIBUTIONS DISTRIBUTIONS ASSET RATIO OF INVESTMENT
VALUE NET GAINS(LOSSES) FROM NET FROM VALUE NET ASSETS EXPENSES INCOME TO
BEGINNING INVESTMENT ON INVESTMENT CAPITAL END OF TOTAL END OF TO AVERAGE AVERAGE
OF PERIOD INCOME SECURITIES INCOME GAINS PERIOD RETURN PERIOD (000) NET ASSETS NET ASSETS
------------------------------------------------------------------------------------------------------------------------------
------------------------------
DIVERSIFIED GLOBAL GROWTH FUND
------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A
2000* $15.42 $0.09 $(0.83) $(0.09) $ -- $14.59 (4.80)% $150,710 0.12% 1.27%
2000** 13.22 0.20 2.84 (0.33) (0.51) 15.42 23.66 125,893 0.12 1.40
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
2000* $15.31 $0.02 $(0.83) $(0.02) $ -- $14.48 (5.28)% $ 32,681 1.12% 0.27%
2000** 13.14 0.05 2.82 (0.19) (0.51) 15.31 22.39 32,910 1.12 0.39
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
2000* $16.00 $0.09 $(1.10) $(0.03) $ -- $14.96 (6.35)% $124,649 0.12% 0.35%
2000** 12.80 0.05 3.60 (0.13) (0.32) 16.00 28.98 85,672 0.12 0.35
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
2000* $15.64 $(0.02) $(1.04) $ -- $ -- $14.58 (6.78)% $ 14,888 1.12% (0.61)%
2000** 12.59 (0.09) 3.52 (0.06) (0.32) 15.64 27.58 14,046 1.12 (0.64)
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(6)** 10.00 (0.03) 0.06 (0.02) -- 10.01 0.31* 46 1.12 (1.06)
----------------------------
DIVERSIFIED U.S. STOCK FUND
----------------------------
CLASS A
2000* $18.58 $0.13 $(0.33) $(0.04) $ -- $18.34 (1.08)% $122,104 0.12% 0.59%
2000** 15.70 0.07 3.35 (0.12) (0.42) 18.58 22.15 105,229 0.12 0.43
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
2000* $18.09 $(0.04) $(0.25) $ -- $ -- $17.80 (1.60)% $ 47,022 1.12% (0.41)%
2000** 15.36 (0.09) 3.27 (0.03) (0.42) 18.09 20.98 46,744 1.12 (0.56)
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>
[table continued]
RATIO RATIO OF
OF EXPENSES NET INVESTMENT
TO AVERAGE INCOME
NET ASSETS TO AVERAGE NET
(EXCLUDING ASSETS (EXCLUDING PORTFOLIO
WAIVERS AND WAIVERS AND TURNOVER
REIMBURSEMENT) REIMBURSEMENT) RATE
------------------------------------------------------
------------------------------
DIVERSIFIED GLOBAL GROWTH FUND
------------------------------
CLASS A
2000* 0.41% 0.98% 5%
2000** 0.45 1.07 17
1999** 0.50 1.28 18
1998** 0.72 1.16 15
1997(1)** 1.53+ 0.33+ 13
CLASS D
2000* 1.36% 0.03% 5%
2000** 1.45 0.06 17
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
2000* 0.34% 0.13% 26%
2000** 0.37 0.10 13
1999** 0.50 0.20 30
1998** 1.13 (0.16) 10
1997(10)** 2.13+ (1.36)+ --
CLASS D
2000* 1.33% (0.82)% 26%
2000** 1.37 (0.89) 13
1999** 1.50 (0.94) 30
1998** 2.52 (1.47) 10
1997(6)** N/A++ N/A++ --
----------------------------
DIVERSIFIED U.S. STOCK FUND
----------------------------
CLASS A
2000* 0.40% 0.31% 9%
2000** 0.41 0.14 12
1999** 0.49 0.11 30
1998** 0.80 (0.11) 21
1997(9)** 1.84+ (1.00)+ 28
CLASS D
2000* 1.35% (0.64)% 9%
2000** 1.41 (0.85) 12
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.
* FOR THE SIX MONTHS ENDED 9/30/00. ALL RATIOS, EXCLUDING TOTAL RETURN, HAVE
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.
11
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- SEPTEMBER 30, 2000 (UNAUDITED)
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"). 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 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.
12
<PAGE>
--------------------------------------------------------------------------------
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 pays 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 affiliated officers
and Trustees of the Trust is paid by the Manager.
13
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST -- SEPTEMBER 30, 2000 (UNAUDITED)
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities
during the period ended September 30, 2000, were as follows:
Total
(000)
-------
Diversified Conservative Income Fund
PURCHASES $ 5,721
SALES 4,407
Diversified Conservative Fund
PURCHASES 7,348
SALES 3,777
Diversified Global Moderate Growth Fund
PURCHASES 27,063
SALES 9,660
Diversified Moderate Growth Fund
PURCHASES 42,488
SALES 15,517
Diversified Global Growth Fund
PURCHASES 43,312
SALES 9,359
Diversified Global Stock Fund
PURCHASES 74,173
SALES 29,816
Diversified U.S. Stock Fund
PURCHASES 29,674
SALES 13,632
At September 30, 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
September 30, 2000, for each Fund is as follows:
NET
APPRECIATED DEPRECIATED UNREALIZED
SECURITIES SECURITIES APPRECIATION
(000) (000) (000)
----------- ----------- ------------
Diversified
Conservative
Income $ 1,163 $ (518) $ 645
Diversified
Conservative 4,291 (2,535) 1,756
Diversified
Global
Moderate
Growth 3,375 (2,534) 841
Diversified
Moderate
Growth 18,639 (6,018) 12,621
Diversified
Global
Growth 19,314 (5,841) 13,473
Diversified
Global Stock 8,339 (4,701) 3,638
Diversified
U.S. Stock 23,715 (1,791) 21,924
14
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
--------------------------------------------------------------------------------
SEI ASSET ALLOCATION TRUST
--------------------------------------------------------------------------------
SEMI-ANNUAL REPORT
--------------------------------------------------------------------------------
September 30, 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 SEMI-ANNUAL REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE
SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE TRUST AND MUST
BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. SHARES OF THE SEI FUNDS ARE
NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY, ANY BANK. THE
SHARES ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION
(FDIC), THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENT AGENCY. INVESTMENT IN
THE SHARES INVOLVES RISK, INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. SEI
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-118 (9/00)
