<PAGE>
==========================
[SEI INDEX FUNDS]
==========================
[1995 ANNUAL REPORT]
==========================
[March 31, 1995]
<PAGE>
TABLE OF CONTENTS
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
MANAGEMENT'S DISCUSSION AND ANALYSIS
OF FUND PERFORMANCE
S&P 500 INDEX PORTFOLIO................................................... 1
BOND INDEX PORTFOLIO ..................................................... 2
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS ................................... 5
STATEMENT OF NET ASSETS..................................................... 6
STATEMENT OF OPERATIONS .................................................... 15
STATEMENTS OF CHANGES IN NET ASSETS ........................................ 16
FINANCIAL HIGHLIGHTS ....................................................... 17
NOTES TO FINANCIAL STATEMENTS .............................................. 18
NOTICE TO SHAREHOLDERS...................................................... 21
</TABLE>
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
--------------------------------------------------------------------------------
SEI Index Funds -- March 31, 1995
S&P 500 INDEX PORTFOLIO
AVERAGE ANNUAL TOTAL RETURN/1/
<TABLE>
<CAPTION>
Since
1 Year 3 Year 5 Year Inception
<S> <C> <C> <C> <C>
S&P 500 Index Portfolio 15.26% 10.28% 11.13% 13.58%
</TABLE>
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in SEI Index Funds S&P
500 Index Portfolio from July 31, 1985 through March 31, 1995 as compared with
the growth of a $10,000 investment in the Standard & Poor's 500 Composite Stock
Price Index. The plot points used to draw the line graph were as follows:
Comparison of Change in the Value of a $10,000 Investment in the SEI S&P 500
Index Portfolio, Versus the S&P 500 Composite Index.
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000
Invested in S&P 500 Invested in S&P 500
Index Portfolio Composite Index
<S> <C> <C>
7/31/85 $10,000 $10,000
3/31/86 $12,692 $12,846
3/31/87 $15,918 $16,213
3/31/88 $14,441 $14,864
3/31/89 $16,982 $17,559
3/31/90 $20,212 $20,946
3/31/91 $23,079 $23,965
3/31/92 $25,543 $26,613
3/31/93 $29,367 $30,663
3/31/94 $29,720 $31,117
3/31/95 $34,255 $35,956
</TABLE>
/1/ For the periods ended March 31, 1995. Past performance is no indication of
future performance. The Portfolio was offered beginning 08/01/85.
OBJECTIVES. The S&P 500 Index Portfolio seeks to provide investment results
that correspond to the aggregate price and dividend performance of the securi-
ties in the Standard & Poor's 500 Composite Stock Price Index (the "Index").
The fifty largest stocks in the Index account for approximately 50% of the
weighting of the Index, and the Index represents approximately two-thirds of
the market value of common stocks listed on the New York Stock Exchange.
STRATEGY. The S&P 500 Index Portfolio attempts to match the performance of
the widely followed Index by duplicating its composition in full. Deviation in
performance between the Portfolio and the Index, called tracking error, is typ-
ically attributable to trading costs and cash reserves held for liquidity
needs. The presence of cash in the Portfolio will result in underperformance of
the Index during rising markets and overperformance during falling markets.
Transaction costs incurred during portfolio purchases and sales will also con-
tribute to tracking error. To mitigate these effects, the Portfolio may use
stock index futures to hedge its cash position. Futures contracts enable the
Portfolio to maintain exposure to the market and reduce trading expenses as the
cost of a contract is nominal in comparison to the cost of purchasing the 500
stocks in the Index. The value of stock index futures held by the Portfolio may
not exceed 20% of the Portfolio's assets.
ANALYSIS. The SEI S&P 500 Index Portfolio experienced two separate investment
environments during the last twelve months. One environment experienced during
the early to middle part of 1994 demonstrated great concern over uncertainty of
interest rates and inflation. Then during late 1994 and early 1995, the market
experienced investor concerns covering international issues--the dollar, Mexico
and Japan. Both of these environments had an impact on the large cap domestic
market.
In the early part of 1994, the domestic market continued to focus on the is-
sues of interest rate change and inflation. Earnings estimates and revisions
remained important, but clearly took a backseat to the actions taken by the
Federal Reserve. The economy continued to improve at a rate slightly better
than the average, even with interest rate adjustments during the period. The
four week average of jobless claims reached new lows early in 1994 and consumer
confidence remained high.
1
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
--------------------------------------------------------------------------------
SEI Index Funds -- March 31, 1995
S&P 500 INDEX (continued)
During this period the Index moved in a narrow range producing a mid-year re-
turn of just slightly better than breakeven. The large cap stocks that compose
the Index were impacted by expectations of interest rate changes and inflation.
Large cap stocks outperformed medium and small cap stocks as the two latter
groups had a particularly difficult time. Large cap stocks were clearly the fa-
vorite during most of 1994.
As the calendar year came to a close and the new year began, the large cap
market began to take off. The Index reached a new all-time high in March of
this year, which was preceded by five all-time highs in February. Also, low
volatility and high trading activity took place during the same period. As a
result, the SEI S&P 500 Index Portfolio reached a new high of 342. January 1995
witnessed the first signs of the climb with a monthly total return of 2.57%.
The next two months did not see any slowdown with increases of 3.84% and 3.02%
in February and March, respectively.
Value and growth continue to trade places in the monthly winners circle as
they did during all of 1994. The first quarter of 1995 saw value move ahead by
0.23%, but quickly fall behind in February and March. By the end of the first
quarter of 1995, growth and value were almost even with growth slightly ahead
by 0.18%. The SEI S&P 500 Index Portfolio followed the Index closely generating
a total return of 15.26% vs. the Index Return of 15.55% for the year.
BOND INDEX PORTFOLIO
AVERAGE ANNUAL TOTAL RETURN/1/
<TABLE>
<CAPTION>
Since
1 Year 3 Year 5 Year Inception
<S> <C> <C> <C> <C>
Bond Index Portfolio 4.54% 6.36% 8.07% 7.69%
</TABLE>
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in SEI Index Funds Bond
Index Portfolio from May 31, 1986 through March 31, 1995 as compared with the
growth of a $10,000 investment in the Salomon Broad Bond Index and the Lehman
Aggregate Bond Index. The plot points used to draw the line graph were as
follows:
Comparison of Change in the Value of a $10,000 Investment in the SEI Bond Index
Portfolio, Versus the Salomon Broad Bond Index, and the Lehman Aggregate Bond
Index.
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000 Growth of $10,000
Invested in Bond Invested in Salomon Invested in Lehman
Index Portfolio Broad Bond Index Aggregate Bond Index
<S> <C> <C> <C>
5/31/86 $10,000 $10,000 $10,000
3/31/87 $10,973 $11,013 $11,024
3/31/88 $11,345 $11,579 $11,566
3/31/89 $11,822 $12,185 $12,161
3/31/90 $13,246 $13,674 $13,662
3/31/91 $14,824 $15,426 $15,427
3/31/92 $16,230 $17,227 $17,184
3/31/93 $18,296 $19,532 $19,468
3/31/94 $18,680 $20,028 $19,928
3/31/95 $19,528 $21,033 $20,924
</TABLE>
/1/ For the periods ended March 31, 1995. Past performance is no indication of
future performance. The Portfolio was offered beginning 05/19/86.
OBJECTIVES. The Bond Index Portfolio seeks to provide investment results that
correspond to the aggregate price and interest performance of a specified index
that tracks the performance of debt securities.
The Bond Index Portfolio seeks to provide investment results that correspond
to the aggregate price and interest performance of the Lehman Aggregate Bond
Index (the "Lehman Index"). The Portfolio's ability to duplicate the perfor-
mance of the Lehman Index will depend to some extent on the size and timing of
cash flows into and out of the Portfolio as well as the extent of the Portfo-
lio's expenses, and the capability of the Portfolio to select a representative
sample of the securities included in the Lehman Index.
2
<PAGE>
--------------------------------------------------------------------------------
BOND INDEX (continued)
The Lehman Index is made up of the Government/Corporate Index, the Mortgage-
Backed Securities Index and the Asset-Backed Securities Index. The Lehman Index
includes fixed rate debt issues rated investment grade or higher by Moody's In-
vestor Service, Standard & Poor's Corporation or Fitch Investor's Service, in
that order. All issues have at least one year to maturity and an outstanding
par value of at least $100 million. Price, coupon and total return are reported
for all sectors on a month-end to month-end basis. All returns are market value
weighted inclusive of accrued interest.
STRATEGY. The Portfolio intends to invest it's assets primarily in up to 300
of the debt obligations included in the Lehman Index so long as the net assets
of the Portfolio are less than $100 million. The Portfolio will be invested in
100 to 500 of such obligations at net asset levels of $100 million or more. The
Portfolio will be managed in a manner designed to reflect generally the current
performance of the Lehman Index. Obligations included in the Lehman Index have
been categorized into sectors which have been organized on the basis of type of
issuer and then further classified by quality and remaining maturities.
The percentage of the Portfolio's assets to be invested in the aggregate ob-
ligations included in a particular sector of the Lehman Index will approximate,
to the maximum extent feasible, the percentage such sector represents in that
Lehman Index. The ability of the Portfolio to duplicate the Lehman Index's per-
formance can be influenced by the Portfolio's asset size. To the extent that
the size of Portfolio assets limits the number of issues that the Portfolio can
purchase, there is more potential for deviation from the Lehman Index's perfor-
mance than at larger asset levels. Under these circumstances, the Portfolio
will implement strategies designed to minimize this potential for greater devi-
ation.
ANALYSIS. Throughout the fiscal year ending March 31, 1995, the fixed income
market's behavior centered largely on the Federal Reserve's attempts to control
inflation and investor sentiment as to whether or not the Fed was accomplishing
that goal. At the end of May 1994 the Federal Reserve made what would be the
first of five interest rate increases in the discount and federal funds lending
rates to take place during the fiscal year. By fiscal year end, short-term
rates had been increased by a total of 250 basis points, with the largest in-
crease coming in November, when a 75 basis point jump was implemented. The 2-30
year area of the yield curve flattened dramatically during the period, as
yields on the 2-year note rose nearly 160 basis points. Meanwhile 30-year bond
yields peaked at 8.16% in November but retreated to 7.43% by the end of March
1995, only 34 basis points above where they had been the previous March end.
Throughout this tumultuous period, the fixed income market, as measured by the
Lehman Aggregate Bond Index, returned 5.00%, while the SEI Bond Index Portfolio
posted a 4.54% gain. The Fund's benchmark was changed to the Lehman Brothers
Aggregate Bond Index from the Salomon Brothers Broad Investment Grade Index ef-
fective July 31. The majority of the Portfolio's tracking error for the period
can be attributed to the difficulties associated with managing a stratified
sample of the mortgage-backed market combined with the Fund's expenses.
To highlight the volatility experienced throughout the period, it is notewor-
thy that
3
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
--------------------------------------------------------------------------------
SEI Index Funds -- March 31, 1995
BOND INDEX (continued)
performance for the nine months ending December 31 was -0.04%, while the bond
market rallied strongly during the first quarter of 1995 to gain 5.04%. The SEI
Bond Index Portfolio returned -0.30% and 4.85% during these same time periods,
respectively. Yields rose across the curve during the first nine months of the
fiscal year as investors questioned the Federal Reserve's commitment and abil-
ity to control inflation in the strong economic environment. Throughout the
first quarter of 1995, as economic data continued to show positive but slowing
overall activity, market sentiment appeared to reconsider the possibility that
the Federal Reserve had been successful in directing the economy towards a
"soft landing." As a result, the yield curve steepened during the quarter, with
yields from 6 months to 30 years falling sharply and the largest declines in
the 2-5 year area of the curve. Mortgage securities were the best performing
sector for the entire fiscal year, returning 6.01%, besting the corporate and
Government returns of 5.47% and 4.31%, respectively. Mortgage-backed prices
continued to be supported by a lack of new issuance. However, mortgage securi-
ties lagged corporates during the first quarter of 1995 as prepayment concerns
began to loom on the horizon. Corporate issues continued to show strong perfor-
mance led by a lack of new issuance and strong corporate earnings.
4
<PAGE>
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
--------------------------------------------------------------------------------
To the Shareholders and Trustees of
SEI Index Funds:
We have audited the accompanying statements of net assets of the S&P 500 Index
and Bond Index Portfolios of SEI Index Funds as of March 31, 1995, and the re-
lated statements of operations, changes in net assets and financial highlights
for the years presented. These financial statements and financial highlights
are the responsibility of the Company's management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.
We conducted our audits in accordance with generally accepted auditing stan-
dards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial high-
lights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
March 31, 1995, by correspondence with the custodian and brokers. An audit also
includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement pre-
sentation. We believe that our audits provide a reasonable basis for our opin-
ion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
S&P 500 Index and Bond Index Portfolios of SEI Index Funds as of March 31,
1995, the results of their operations, changes in their net assets and finan-
cial highlights for the years presented, in conformity with generally accepted
accounting principles.
Arthur Andersen LLP
Philadelphia, PA
May 12, 1995
5
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI Index Funds -- March 31, 1995
S&P 500 INDEX PORTFOLIO
<TABLE>
<CAPTION>
--------------------------------------------------
Market
Shares Value (000)
--------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- 91.1%
AGRICULTURE -- 0.1%
Pioneer Hi-Bred International 10,200 $ 367
--------
AIR TRANSPORTATION -- 0.4%
AMR* 8,685 563
Delta Air Lines 5,685 357
Federal Express* 6,335 428
Southwest Airlines 16,300 291
US Air Group 6,765 41
--------
1,680
--------
AIRCRAFT -- 1.9%
Allied Signal 32,470 1,274
Boeing 38,803 2,091
General Dynamics 7,130 335
Lockheed* 22,416 1,185
Loral 9,490 403
McDonnell Douglas 13,395 747
Northrop 5,565 272
Rockwell International 25,130 980
Teledyne* 6,350 167
Textron 10,055 569
United Technologies 14,465 1,000
--------
9,023
--------
APPAREL/TEXTILES -- 0.2%
Hartmarx 3,670 20
Liz Claiborne 8,950 159
Oshkosh B'Gosh, Cl A 1,670 24
Russell 4,765 141
Springs Industries, Cl A 1,970 74
V F 7,330 389
--------
807
--------
AUTOMOTIVE -- 2.7%
Chrysler 40,242 1,685
Cooper Tire & Rubber 9,500 270
Dana 11,230 286
Dial 10,500 266
Eaton 8,730 474
Echlin 6,735 259
Fleetwood Enterprises 5,190 123
Ford Motor 114,040 3,079
General Motors 84,730 3,749
Genuine Parts 14,195 566
Goodyear Tire & Rubber 17,170 631
Navistar International* 8,626 110
Paccar 4,454 189
Strattec Strategy* 668 8
TRW 7,360 507
W W Grainger 5,790 365
--------
12,567
--------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------
Market
Shares Value (000)
--------------------------------------------
<S> <C> <C>
BANKS -- 5.2%
Banc One 45,006 $ 1,283
Bank of Boston 12,410 369
Bank of New York 20,400 671
BankAmerica 39,688 1,914
Bankers Trust New York 9,465 495
Barnett Banks 11,035 502
Boatmen's Bancshares 13,700 414
Chase Manhattan 21,520 767
Chemical Banking 28,670 1,082
Citicorp 43,945 1,868
CoreStates Financial 15,000 480
First Chicago 10,360 519
First Fidelity Bancorp 9,335 462
First Interstate Bancorp 9,440 746
First Union 19,350 839
Fleet Financial Group 15,650 507
Golden West Financial 7,205 276
Great Western Financial 15,070 283
H F Ahmanson 13,300 239
JP Morgan 22,030 1,344
Keycorp 27,471 776
Mellon Bank 16,405 669
National City 17,100 455
NationsBank 30,661 1,556
NBD Bancorp 18,265 594
Norwest 36,186 918
PNC Financial 26,660 650
Shawmut National 13,700 361
SunTrust Banks 13,565 726
US Bancorp Oregon 11,400 296
Wachovia 19,500 692
Wells Fargo 6,335 991
--------
23,744
--------
CHEMICALS -- 3.6%
Air Products & Chemicals 12,970 676
B F Goodrich 2,995 133
Dow Chemical 31,350 2,289
E.I. duPont de Nemours 77,195 4,669
Eastman Chemical 9,391 522
Eli Lilly 33,355 2,439
First Mississippi 2,270 60
FMC* 4,165 252
Great Lakes Chemical 7,900 493
Hercules 13,995 653
Monsanto 13,510 1,084
Morton International 16,695 484
Nalco Chemical 7,900 266
Praxair 15,365 357
Premark International 7,250 320
Rohm & Haas 7,735 456
Sigma Aldrich 5,500 213
Union Carbide 17,165 526
W R Grace 10,705 570
--------
16,462
--------
</TABLE>
6
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
------------------------------------------------------
Market
Shares Value (000)
------------------------------------------------------
<S> <C> <C>
COMMUNICATIONS -- 10.4%
Airtouch Communications* 56,090 $ 1,528
Alltel 21,300 612
Ameritech 62,210 2,566
Andrew* 4,440 181
AT&T 178,399 9,235
Bell Atlantic 49,700 2,622
BellSouth 58,628 3,488
Capital Cities/ABC 17,500 1,544
CBS 6,710 429
Comcast Special, Cl A 26,327 411
DSC Communications* 12,730 415
GTE 108,880 3,621
Harris* 4,565 219
Interpublic Group 8,600 321
ITT 13,365 1,372
MCI Communications 77,430 1,597
Motorola 63,360 3,461
Northern Telecom 28,565 1,082
NYNEX 47,300 1,874
Pacific Telesis Group 47,990 1,452
Scientific Atlanta 8,684 203
Southwestern Bell 68,390 2,881
Sprint 39,100 1,183
Tele-Communications, Cl A* 70,035 1,471
US West 51,660 2,066
Viacom, Cl B* 39,400 1,763
Zenith Electronics* 4,145 32
--------
47,629
--------
COMPUTERS & SERVICES -- 5.5%
Amdahl 13,100 144
Apple Computer 13,320 470
Autodesk 5,500 232
Automatic Data Processing 16,210 1,021
Ceridian* 4,965 166
Cisco Systems* 29,100 1,109
Compaq Computer* 28,690 990
Computer Associates International 18,805 1,117
Computer Sciences* 5,760 284
Cray Research* 2,940 54
Data General* 4,070 30
Digital Equipment* 15,715 595
First Data 12,500 648
Harris Computer Systems* 238 4
Hewlett Packard 28,765 3,463
Intergraph* 5,035 60
International Business Machines 66,180 5,417
Lotus Development* 5,165 198
Microsoft* 65,500 4,659
Novell* 36,600 695
Oracle Systems* 49,575 1,549
Pitney Bowes 18,060 650
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------
Market
Shares Value (000)
----------------------------------------------
<S> <C> <C>
Shared Medical Systems 2,595 $ 95
Silicon Graphics* 16,100 572
Sun Microsystems* 10,700 372
Tandem Computers 12,950 201
Tandy 7,197 344
Unisys 19,385 179
-------
25,318
-------
CONSTRUCTION -- 0.3%
Armstrong World Industries 4,265 195
Centex 3,340 81
Fluor 9,330 450
Foster Wheeler 4,065 138
Halliburton 12,970 470
JWP* 6,100
McDermott International 6,065 166
Morrison Knudsen 3,600 22
-------
1,522
-------
CONTAINERS & PACKAGING -- 0.2%
Ball 3,295 113
Crown Cork & Seal* 10,085 442
Newell 18,000 460
-------
1,015
-------
ELECTRONIC & OTHER ELECTRICAL
EQUIPMENT -- 2.0%
Advanced Micro Devices* 10,630 360
AMP 23,940 862
Applied Materials* 9,500 524
E-Systems 3,840 174
Honeywell 14,860 555
Intel 46,810 3,972
Johnson Controls 4,665 237
M/A Com* 2,995 30
Micron Technology 11,600 882
Millipore 2,395 134
National Semiconductor* 13,625 238
Perkin Elmer 4,965 145
Raytheon 15,370 1,120
Tektronix 3,370 135
Thomas & Betts 2,170 141
-------
9,509
-------
ENVIRONMENTAL SERVICES -- 0.6%
Browning Ferris Industries 22,035 749
Laidlaw, Cl B 33,500 293
Safety Kleen 6,610 118
WMX Technologies 55,080 1,515
-------
2,675
-------
</TABLE>
7
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI Index Funds -- March 31, 1995
S&P 500 INDEX PORTFOLIO (CONTINUED)
<TABLE>
<CAPTION>
----------------------------------------------
Market
Shares Value (000)
----------------------------------------------
<S> <C> <C>
FINANCIAL SERVICES -- 2.4%
American Express 56,347 $ 1,965
Beneficial 5,990 235
Dean Witter Discover 19,408 791
FHLMC 20,600 1,246
FNMA 31,115 2,532
Household International 10,730 467
MBNA 16,900 490
Merrill Lynch 23,300 993
Salomon 12,665 429
Transamerica 8,030 455
Travelers 36,872 1,424
--------
11,027
--------
FOOD, BEVERAGE & TOBACCO -- 8.4%
American Brands 22,940 900
Anheuser Busch 29,900 1,753
Archer Daniels Midland 58,719 1,094
Brown-Forman, Cl B 7,860 262
Campbell Soup 28,530 1,380
Coca-Cola 147,280 8,323
Conagra 28,242 936
Coors Adolph, Cl B 4,365 71
CPC International 17,060 923
Fleming 4,270 97
General Mills 18,060 1,077
H J Heinz 28,680 1,104
Hershey Foods 10,000 511
Kellogg 25,640 1,497
Pepsico 90,990 3,549
Philip Morris 99,910 6,519
Quaker Oats 15,260 505
Ralston Purina Group 11,460 547
Sara Lee 54,480 1,423
Seagram 42,400 1,346
Supervalu 8,230 220
Sysco 20,910 549
Unilever N V 18,235 2,393
UST 23,340 741
Whitman 11,995 229
Wrigley William Jr 13,205 586
--------
38,535
--------
FOOTWEAR -- 0.2%
Brown Group 1,970 57
Nike, Cl B 8,430 629
Reebok International 9,420 336
Stride Rite 5,700 72
--------
1,094
--------
GLASS PRODUCTS -- 0.4%
Corning 23,760 855
PPG Industries 24,190 914
--------
1,769
--------
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------
Market
Shares Value (000)
------------------------------------------------------
<S> <C> <C>
HOUSEHOLD PRODUCTS -- 3.5%
Alberto Culver, Cl B 3,090 $ 92
Avon Products 8,235 498
Bassett Furniture Industries 1,608 42
Clorox 6,135 368
Colgate Palmolive 16,694 1,102
Ecolab 7,150 173
Gillette 25,144 2,052
International Flavors & Fragrances 12,795 661
Jostens 5,150 102
Masco 17,840 493
Maytag 12,130 208
Minnesota Mining & Manufacturing 48,230 2,800
National Service Industries 5,585 151
Procter & Gamble 77,854 5,156
Raychem 4,965 202
Rubbermaid 18,260 603
Sherwin Williams 9,880 335
Snap-On Tools 4,865 178
Stanley Works 5,115 201
Whirlpool 8,505 466
--------
15,883
--------
INSURANCE -- 3.0%
Aetna Life & Casualty 12,695 724
Alexander & Alexander Services 4,865 115
American General 24,480 789
American International Group 36,184 3,773
Chubb 10,030 792
Cigna 8,230 615
Continental 6,335 124
General Re 9,600 1,267
Jefferson Pilot 5,647 334
Lincoln National 10,630 428
Marsh & McLennan 8,405 690
Providian 11,430 401
Safeco 7,160 392
Saint Paul 9,680 484
Torchmark 8,187 340
U S F & G 9,730 136
U.S. Life 2,630 100
United Healthcare 18,800 879
UNUM 8,700 394
US Healthcare 18,500 819
--------
13,596
--------
LUMBER & WOOD PRODUCTS -- 0.2%
Georgia-Pacific 10,300 821
Louisiana-Pacific 12,612 348
Skyline 1,270 23
--------
1,192
--------
</TABLE>
8
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
---------------------------------------------
Market
Shares Value (000)
---------------------------------------------
<S> <C> <C>
MACHINERY -- 4.9%
Baker Hughes 16,015 $ 326
Black & Decker 9,535 275
Briggs & Stratton 3,340 123
Brunswick 10,830 218
Caterpillar 23,150 1,288
Cincinnati Milacron 3,795 87
Clark Equipment* 1,970 163
Cooper Industries 13,195 511
Crane 3,342 102
Cummins Engine 4,640 208
Deere 9,730 791
Dover 6,560 425
Dresser Industries 19,870 422
E G & G 6,340 95
Emerson Electric 25,565 1,700
General Electric 194,780 10,542
General Signal 5,394 192
Giddings & Lewis 3,900 66
Harnischfeger Industries 5,205 146
Illinois Tool Works 12,870 629
Ingersoll Rand 12,070 397
Kaufman & Broad Home 3,737 44
Nacco Industries, Cl A 925 50
Outboard Marine 2,270 48
Pall 13,193 277
Parker-Hannifin 5,535 245
Pulte 3,095 73
SPX 1,370 20
Tenneco 19,212 905
Texas Instruments 10,430 923
Timken 3,470 123
Trinova 3,215 98
Tyco International 5,100 270
Varity* 4,970 189
Westinghouse Electric 40,180 568
Zurn Industries 1,370 25
--------
22,564
--------
MEDICAL PRODUCTS & SERVICES --
7.6%
Abbott Laboratories 93,460 3,330
Allergan 7,200 212
Alza* 9,300 198
American Home Products 35,370 2,520
Amgen* 15,100 1,017
Bard C.R. 5,935 164
Bausch & Lomb 6,780 242
Baxter International 31,473 1,031
Becton Dickinson 8,330 452
Beverly Enterprises* 9,485 138
Biomet* 13,100 221
Boston Scientific* 16,900 416
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------
Market
Shares Value (000)
--------------------------------------------------
<S> <C> <C>
Bristol Myers Squibb 58,220 $ 3,668
Columbia HCA Healthcare 38,373 1,650
Community Psychiatric Centers 4,865 63
Johnson & Johnson 73,220 4,357
Mallinckrodt Group 8,785 296
Manor Care 7,047 214
Medtronic 13,260 920
Merck 142,825 6,088
National Medical Enterprises 21,860 347
Pfizer 37,460 3,212
St Jude Medical 5,300 229
Schering Plough 22,040 1,639
United States Surgical 6,500 148
Upjohn 19,750 706
Warner Lambert 15,210 1,190
--------
34,668
--------
METAL & METAL INDUSTRIES -- 1.7%
Alcan Aluminum 25,552 680
Aluminum of America 20,100 832
Armco 11,900 82
Asarco 4,765 126
Barrick Gold 39,900 995
Bethlehem Steel 12,130 196
Cyprus AMAX Minerals 10,502 298
Echo Bay Mines 12,700 132
Engelhard 10,845 321
Homestake Mining 15,600 289
Inco 13,200 368
Inland Steel Industries 4,665 128
Newmont Mining 9,701 415
Nucor 9,880 556
Phelps Dodge 8,030 457
Placer Dome 27,129 661
Reynolds Metals 6,835 337
Santa Fe Pacific Gold 13,112 166
USX-U.S. Steel Group 8,667 293
Worthington Industries 10,322 205
--------
7,537
--------
OIL & GAS -- 8.8%
Amerada Hess 10,630 525
Amoco 56,495 3,594
Ashland 6,825 243
Atlantic Richfield 18,280 2,102
Burlington Resources 14,700 599
Chevron 74,220 3,563
Exxon 141,495 9,445
Helmerich & Payne 2,895 79
Kerr McGee 5,835 298
</TABLE>
9
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI Index Funds -- March 31, 1995
S&P 500 INDEX PORTFOLIO (CONTINUED)
<TABLE>
<CAPTION>
--------------------------------------------------
Market
Shares Value (000)
--------------------------------------------------
<S> <C> <C>
Louisiana Land & Exploration 3,740 $ 140
Mobil 45,345 4,200
Nicor 6,000 150
Occidental Petroleum 34,830 762
Oryx Energy 10,970 138
Pennzoil 5,165 245
Phillips Petroleum 29,835 1,093
Rowan* 9,505 62
Royal Dutch Petroleum 61,035 7,324
Santa Fe Energy Resources 10,281 99
Schlumberger 27,765 1,655
Sun 12,170 347
Texaco 29,510 1,962
Unocal 27,490 790
USX-Marathon Group 32,635 571
Western Atlas* 5,290 228
--------
40,214
--------
PAPER & PAPER PRODUCTS -- 1.6%
Alco Standard 6,165 447
Avery Dennison 6,465 258
Bemis 5,790 170
Boise Cascade 4,331 151
Champion International 10,600 458
Federal Paper Board 4,865 139
International Paper 14,170 1,065
James River 9,302 242
Kimberly Clark 18,360 955
Mead 6,760 363
Owens Corning* 4,865 175
Potlatch 3,270 138
Scott Paper 8,505 760
Stone Container 10,316 236
Temple-Inland 6,390 287
Union Camp 7,955 413
Westvaco 7,660 318
Weyerhaeuser 23,370 909
--------
7,484
--------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES --
0.8%
Eastman Kodak 38,465 2,043
Polaroid 5,258 183
Xerox 11,825 1,388
--------
3,614
--------
PRINTING & PUBLISHING -- 1.4%
American Greetings 8,500 254
Deluxe 9,355 267
Dow Jones 11,300 428
Gannett 16,735 893
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------
Market
Shares Value (000)
---------------------------------------------------
<S> <C> <C>
John H Harland 3,450 $ 78
Knight-Ridder 6,235 352
McGraw Hill 5,635 404
Meredith 3,240 84
Moore 11,300 220
New York Times, Cl A 12,230 283
R R Donnelley & Sons 18,060 621
Time Warner 43,064 1,626
Times Mirror 14,565 280
Tribune 7,630 422
--------
6,212
--------
PROFESSIONAL SERVICES -- 0.4%
Dun & Bradstreet 19,332 1,017
H & R Block 12,070 524
Ogden 4,865 98
Service International 9,622 269
--------
1,908
--------
RECREATIONAL PRODUCTS & SERVICES --
1.2%
Bally Entertainment* 5,345 45
Hasbro 10,052 339
Hilton Hotels 5,440 403
King World Productions* 4,262 168
Mattel 25,162 620
Promus* 11,685 438
Walt Disney 61,160 3,265
--------
5,278
--------
RETAIL -- 6.1%
Albertson's 28,840 930
American Stores 16,260 417
Bruno's 8,800 79
Charming Shoppes 11,670 66
Circuit City Stores 10,900 287
Dayton Hudson 8,130 581
Dillard Department Stores, Cl A 12,820 354
Gap 16,560 588
Giant Food, Cl A 6,860 164
Great Atlantic & Pacific Tea 4,365 99
Handleman 3,782 41
Harcourt General 8,866 346
Home Depot 51,074 2,260
J C Penney 26,830 1,204
K mart 48,280 664
Kroger* 12,380 327
Limited 41,360 956
Longs Drug Stores 2,395 79
Lowe's 17,760 613
Luby's Cafeterias 2,955 63
Marriott International 14,370 499
</TABLE>
10
<PAGE>
<TABLE>
<CAPTION>
----------------------------------------------------
Market
Shares Value (000)
----------------------------------------------------
<S> <C> <C>
May Department Stores 28,362 $ 1,049
McDonald's 80,600 2,750
Melville 11,970 446
Mercantile Stores 4,215 188
Nordstrom 9,330 380
Pep Boys -- Manny Moe & Jack 6,950 215
Price/Costco* 24,758 365
Rite Aid 10,030 246
Ryan's Family Steak Houses* 6,125 41
Sears Roebuck 40,025 2,136
Shoney's* 4,715 51
TJX Companies 8,410 110
Toys R US* 33,065 847
Wal-Mart Stores 261,720 6,676
Walgreen 14,070 677
Wendy's International 11,675 191
Winn Dixie Stores 8,530 477
Woolworth 15,020 276
--------
27,738
--------
TRANSPORTATION -- 1.2%
Burlington Northern 10,130 601
Conrail 9,010 506
Consolidated Freightways 4,115 110
CSX 11,959 942
Norfolk Southern 15,800 1,057
Pittston Services Group 4,765 131
Roadway Services 4,465 215
Ryder Systems 8,830 212
Santa Fe Pacific 9,615 221
Union Pacific 23,340 1,283
Yellow 3,120 50
--------
5,328
--------
UTILITIES, ELECTRIC, & GAS -- 4.2%
American Electric Power 21,025 668
Baltimore Gas & Electric 16,595 392
Carolina Power & Light 18,300 496
Central & South West 21,500 521
Cinergy 16,592 413
Coastal 11,902 342
Columbia Gas System 5,715 169
Consolidated Edison of New York 26,690 727
Consolidated Natural Gas 10,630 411
Detroit Edison Company 16,735 458
Dominion Resources 19,175 690
Duke Power 23,350 899
Eastern Enterprises 2,391 66
Enron 28,360 936
Enserch 7,535 112
Entergy 26,220 547
FPL Group 21,328 776
General Public Utilities 13,000 379
Houston Industries 14,870 567
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
------------------------------------------------------------------------------
Shares/Face Market
Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
Niagara Mohawk Power 16,265 $ 224
Noram Energy 13,925 75
Northern States Power 7,560 333
Ohio Edison 17,335 347
Oneok 3,000 57
Pacific Enterprises 9,842 244
Pacific Gas & Electric 48,645 1,210
Pacificorp 32,200 624
Panhandle Eastern 17,556 404
Peco Energy 25,175 633
Peoples Energy 3,940 99
Public Service Enterprise Group 27,883 763
SCE 51,040 798
Sonat 9,930 298
Southern 73,826 1,503
Texas Utilities 25,705 816
Unicom 24,395 579
Union Electric 11,600 410
Williams 11,830 362
--------
19,348
--------
Total Common Stocks
(Cost $359,197) 417,307
--------
PREFERRED STOCKS -- 0.0%
AIRCRAFT -- 0.0%
Teledyne, Ser E 63 1
--------
Total Preferred Stocks
(Cost $1) 1
--------
U. S. TREASURY OBLIGATIONS -- 0.6%
U.S. TREASURY BILLS
5.380%, 06/29/95 $1,200 1,183
4.670%, 09/21/95 1,500 1,457
--------
Total U. S. Treasury Obligations
(Cost $2,638) 2,640
--------
REPURCHASE AGREEMENT -- 8.0%
JP Morgan
6.20%, dated 03/31/95, matures 04/03/95, repurchase
price $36,432,174 (collateralized by various FNMA
obligations, total par value $255,783,000, interest
rates .937% - 9.500%, maturity dates 01/25/19-
04/01/29: FHLMC obligations total par value
$250,687,000, interest rates 0.000% - 7.000%,
maturity dates 10/15/08-02/15/24: total market
value $37,154,000) 36,426 36,426
--------
Total Repurchase Agreement
(Cost $36,426) 36,426
--------
Total Investments (99.6%)
(Cost $398,262) 456,374
--------
</TABLE>
11
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI Index Funds -- March 31, 1995
S&P 500 INDEX PORTFOLIO
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
Market
Value (000)
-------------------------------------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES -- 0.4%
Other Assets and Liabilities, Net $ 1,638
--------
NET ASSETS:
Portfolio shares (unlimited authorization -- no par value)
based on 27,927,363 outstanding shares of beneficial interest 393,225
Accumulated net realized gain on investments 4,940
Net unrealized appreciation on investments 58,112
Net unrealized appreciation on futures contracts 522
Undistributed net investment income 1,213
--------
Total Net Assets: 100.0% $458,012
========
Net Asset Value, Offering and Redemption Price Per Share $ 16.40
========
</TABLE>
CLClass
SerSeries
FHLMCFederal Home Loan Mortgage Corporation
FNMAFederal National Mortgage Association
* Denotes non-income producing security.
The accompanying notes are an integral part of the financial statements.
BOND INDEX PORTFOLIO
<TABLE>
<CAPTION>
----------------------------------------------------------
Face Market
Amount (000) Value (000)
----------------------------------------------------------
<S> <C> <C>
U. S. TREASURY OBLIGATIONS -- 41.6%
U.S. Treasury Bonds
13.125%, 05/15/01 $ 525 $ 681
12.375%, 05/15/04 230 307
12.000%, 05/15/05 300 399
9.375%, 02/15/06 800 924
7.625%, 02/15/07 350 354
10.375%, 11/15/12 800 986
7.250%, 05/15/16 1,425 1,379
8.875%, 02/15/19 340 388
8.500%, 02/15/20 650 716
7.875%, 02/15/21 680 702
7.250%, 08/15/22 50 48
7.125%, 02/15/23 885 844
U.S. Treasury Notes
8.875%, 07/15/95 425 428
5.125%, 11/15/95 375 372
9.375%, 04/15/96 600 617
8.000%, 01/15/97 1,500 1,531
8.500%, 05/15/97 663 684
6.375%, 06/30/97 1,000 990
9.250%, 08/15/98 690 736
8.875%, 11/15/98 520 550
9.125%, 05/15/99 1,765 1,895
6.750%, 05/31/99 400 396
6.375%, 01/15/00 1,000 972
7.875%, 08/15/01 585 607
7.500%, 11/15/01 500 509
6.375%, 08/15/02 550 524
6.250%, 02/15/03 475 447
------
Total U. S. Treasury Obligations
(Cost $19,246) 18,986
------
U.S. GOVERNMENT AGENCY POOLED MORTGAGES --
31.0%
FHLMC
8.500%, 10/01/01 27 27
9.000%, 11/01/04 50 51
7.500%, 05/01/07 180 178
8.500%, 08/01/07 157 161
7.000%, 11/01/07 162 157
7.000%, 03/01/08 409 397
6.500%, 07/01/08 243 230
6.000%, 01/01/09 163 152
9.000%, 07/01/09 31 32
8.500%, 01/01/10 131 131
9.000%, 04/01/17 133 136
9.500%, 08/01/17 89 92
10.500%, 12/01/17 46 49
9.500%, 01/01/19 54 56
10.500%, 06/01/19 24 26
9.500%, 10/01/20 64 67
9.500%, 02/01/21 40 42
9.000%, 09/01/21 182 187
8.000%, 01/01/22 200 198
8.000%, 09/01/22 298 295
7.500%, 01/01/23 218 211
</TABLE>
12
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
-------------------------------------------
Face Market
Amount (000) Value (000)
-------------------------------------------
<S> <C> <C>
8.500%, 01/01/23 $ 75 $ 76
7.500%, 05/01/23 225 218
7.000%, 08/01/23 739 699
7.000%, 05/01/24 243 229
FNMA
9.000%, 10/01/06 53 55
8.500%, 05/01/07 57 58
7.500%, 06/01/07 170 168
8.000%, 08/01/07 141 142
7.500%, 01/01/08 175 174
7.000%, 02/01/08 265 257
7.000%, 04/01/08 81 79
8.000%, 12/01/08 111 110
6.000%, 12/25/08 419 389
10.500%, 03/01/14 48 52
9.500%, 12/01/17 420 438
10.500%, 06/01/18 120 129
8.000%, 02/01/19 138 136
9.500%, 02/01/20 255 266
9.500%, 07/01/20 37 39
9.650%, 08/10/20 375 399
9.500%, 02/01/21 18 19
8.500%, 03/01/22 200 202
8.000%, 06/01/22 320 317
8.500%, 10/01/22 128 130
7.500%, 01/01/23 332 321
8.000%, 05/01/23 241 239
7.000%, 06/01/23 456 429
7.000%, 11/01/23 671 632
6.000%, 12/25/23 197 174
6.000%, 01/01/24 536 474
8.000%, 01/01/24 68 67
GNMA
8.000%, 10/15/07 58 57
9.500%, 09/15/09 49 51
11.500%, 04/15/15 74 82
8.500%, 02/15/17 124 126
9.000%, 02/15/17 163 168
9.000%, 04/15/17 523 540
8.500%, 05/15/17 178 180
9.500%, 07/15/17 62 65
9.750%, 10/15/17 122 129
10.000%, 09/15/18 178 191
10.000%, 06/15/19 96 103
11.000%, 10/15/19 11 13
9.000%, 11/15/19 387 400
10.000%, 10/15/20 59 64
10.000%, 02/20/21 43 45
9.000%, 08/15/21 41 42
8.500%, 11/15/21 106 107
8.500%, 08/15/22 349 353
8.500%, 11/15/22 62 63
7.500%, 01/15/23 244 237
7.000%, 05/15/23 489 458
8.000%, 09/15/23 347 343
7.000%, 11/15/23 394 368
----
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------------------
Face Market
Amount (000) Value (000)
-----------------------------------------------------------------------
<S> <C> <C>
Total U.S. Government Agency Pooled Mortgages
(Cost $14,797) $14,177
-------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 7.6%
FHLB
8.250%, 09/25/96 $355 361
8.220%, 05/29/98 125 128
5.440%, 10/15/03 150 131
FHLMC
8.700%, 07/06/95 180 181
7.900%, 09/19/01 250 256
FNMA
9.200%, 01/10/96 275 280
6.750%, 04/22/97 100 99
8.200%, 03/10/98 225 231
8.450%, 07/12/99 200 209
9.050%, 04/10/00 200 215
8.250%, 12/18/00 50 52
7.500%, 02/11/02 100 100
8.250%, 10/12/04 500 510
Zero Coupon, 07/05/14 415 88
10.350%, 12/10/15 290 364
Resolution Funding
8.875%, 04/15/30 230 262
-------
Total U.S. Government Agency Obligations
(Cost $3,495) 3,467
-------
CORPORATE OBLIGATIONS -- 15.5%
Alcan Aluminum
9.400%, 06/01/95 195 196
Baltimore Gas and Electric
7.250%, 07/01/02 200 196
Banc One
7.250%, 08/01/02 200 194
BankAmerica
6.000%, 07/15/97 500 485
BP America
8.875%, 12/01/97 200 208
Cabot
8.340%, 08/05/22 500 483
Campbell Soup
8.875%, 05/01/21 300 327
Chase Manhattan
8.500%, 03/01/96 200 202
Chemical Banking
8.625%, 05/01/02 150 155
Commonwealth Edison
6.500%, 04/15/00 250 236
Household Finance
7.800%, 11/01/96 500 502
Integra Financial
8.500%, 05/15/02 250 255
International Bank
8.250%, 09/01/16 200 205
</TABLE>
13
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI Index Funds -- March 31, 1995
BOND INDEX PORTFOLIO (CONTINUED)
<TABLE>
<CAPTION>
-----------------------------------------------------
Face Market
Amount (000) Value (000)
-----------------------------------------------------
<S> <C> <C>
JP Morgan
5.750%, 10/15/08 $200 $ 166
Landeskredit Bank
7.875%, 04/15/04 250 255
Manufacturers Hanover
8.500%, 02/15/99 200 205
Masco
9.000%, 04/15/96 100 102
New York Telephone
8.625%, 11/15/10 200 213
Occidental Petroleum
11.750%, 03/15/11 200 217
R R Donnelley & Sons
9.125%, 12/01/00 239 260
Rockwell International
6.750%, 09/15/02 150 144
Tenneco
9.875%, 02/01/01 250 273
Texaco Capital
9.000%, 12/15/99 200 212
Tokyo Metropolis
8.700%, 10/05/99 125 131
Union Electric
5.500%, 03/01/97 345 336
Union Oil
9.150%, 02/15/06 350 374
Virginia Electric and Power
7.250%, 03/01/97 165 165
Whirlpool
9.100%, 02/01/08 250 273
Xerox
9.200%, 07/15/99 100 103
-----
Total Corporate Obligations
(Cost $7,215) 7,073
-----
YANKEE BONDS -- 1.1%
New Zealand Government
8.250%, 09/25/96 180 183
9.125%, 09/25/16 102 112
Republic of Ireland
7.875%, 12/01/01 200 202
-----
Total Yankee Bonds
(Cost $509) 497
-----
</TABLE>
The accompanying notes are an integral part of the financial statements.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------
Face Market
Amount (000) Value (000)
------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 1.5%
Shearson
5.89%, dated 03/31/95, matures 04/03/95, repurchase
price $686,270 (collateralized by U.S. Treasury
Bill, par value $749,481, 5.94%, matures 03/07/96:
market value $706,536) $686 $ 686
-------
Total Repurchase Agreement
(Cost $686) 686
-------
Total Investments 98.3%
(Cost $45,948) 44,886
-------
OTHER ASSETS AND LIABILITIES -- 1.7%
Other Assets and Liabilities, Net 757
-------
Total Other Assets and Liabilities 757
-------
NET ASSETS:
Portfolio shares (unlimited authorization -- no par
value) based on 4,612,408 outstanding shares of
beneficial interest 47,499
Accumulated net realized loss on investments ( 1,046)
Net unrealized depreciation on investments ( 1,062)
Undistributed net investment income 252
-------
Total Net Assets: 100.0% $45,643
=======
Net Asset Value, Offering and Redemption Price Per
Share $ 9.90
=======
</TABLE>
FHLBFederal Home Loan Bank
FHLMCFederal Home Loan Mortgage Corporation
FNMAFederal National Mortgage Association
GNMAGovernment National Mortgage Association
14
<PAGE>
STATEMENT OF OPERATIONS (000)
--------------------------------------------------------------------------------
SEI Index Funds -- For the Year Ended March 31, 1995
<TABLE>
<CAPTION>
--------- ---------
S&P 500 BOND
INDEX INDEX
PORTFOLIO PORTFOLIO
--------- ---------
<S> <C> <C>
INVESTMENT INCOME:
Dividends $11,492 $ --
Interest 967 3,343
------- ------
Total investment income 12,459 3,343
------- ------
EXPENSES:
Management fees 934 175
Waiver of management fees (404) (50)
Investment advisory fees 127 15
Custodian/wire agent fees 75 9
Trustee fees 18 2
Pricing fees 18 2
Professional fees 62 8
Registration fees 34 4
Distribution expense 135 15
Administrative expense 62 10
------- ------
Total expenses 1,061 190
------- ------
NET INVESTMENT INCOME 11,398 3,153
------- ------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from securities sold 10,456 (990)
Net realized gain on futures contracts 783 --
------- ------
Net realized gain (loss) from security transactions 11,239 (990)
------- ------
Change in unrealized appreciation (depreciation) on
investment securities 36,939 (261)
Change in unrealized appreciation on futures contracts 993 --
------- ------
Net change in unrealized appreciation (depreciation) on
investments 37,932 (261)
------- ------
Net realized and unrealized gain (loss) on investments 49,171 (1,251)
------- ------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $60,569 $1,902
======= ======
</TABLE>
The accompanying notes are an integral part of the financial statements.
15
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
--------------------------------------------------------------------------------
SEI Index Funds -- For the Years Ended March 31
<TABLE>
<CAPTION>
------------------- -----------------
S&P 500 INDEX BOND INDEX
PORTFOLIO PORTFOLIO
------------------- -----------------
4/1/94- 4/1/93- 4/1/94- 4/1/93-
3/31/95 3/31/94 3/31/95 3/31/94
-------- --------- ------- --------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITIES:
Net investment income $ 11,398 $ 14,110 $ 3,153 $ 3,306
Net realized gain (loss) from security
transactions 11,239 17,772 (990) 488
Excess of market value over book value
of securities distributed upon
redemption of shares -- 75,524 -- --
Net change in unrealized appreciation
(depreciation) of investment
securities 37,932 (95,172) (261) (2,347)
-------- --------- ------- --------
Net increase in net assets resulting
from operations 60,569 12,234 1,902 1,447
-------- --------- ------- --------
DISTRIBUTIONS:
Net investment income (11,407) (14,536) (3,169) (3,318)
Net realized gain (12,233) (17,207) -- --
-------- --------- ------- --------
Total distributions (23,640) (31,743) (3,169) (3,318)
-------- --------- ------- --------
TRUST SHARE TRANSACTIONS:*
Shares issued 244,921 331,452 21,194 47,608
Shares issued in lieu of cash
distributions 12,249 17,593 333 536
Shares redeemed (260,734) (580,373) (30,778) (46,144)
-------- --------- ------- --------
Net increase (decrease) from trust
share transactions (3,564) (231,328) (9,251) 2,000
-------- --------- ------- --------
Increase (decrease) in net assets 33,365 (250,837) (10,518) 129
-------- --------- ------- --------
NET ASSETS:
Beginning of year 424,647 675,484 56,161 56,032
-------- --------- ------- --------
End of year (including undistributed
net investment income of $1,213;
$1,222; $252 and $268) $458,012 $ 424,647 $45,643 $ 56,161
======== ========= ======= ========
* SHARES ISSUED AND REDEEMED:
Shares issued 15,806 20,849 2,169 4,525
Shares issued in lieu of cash
distributions 810 1,116 34 51
Shares redeemed (16,871) (36,547) (3,155) (4,385)
======== ========= ======= ========
</TABLE>
The accompanying notes are an integral part of the financial statements.
16
<PAGE>
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
SEI Index Funds -- For the Years Ended March 31
For a Share Outstanding Throughout each Year
<TABLE>
<CAPTION>
Ratio of Net
Net Asset Net Realized and Dividends Distributions Ratio of Investment
Value Net Unrealized from Net from Net Asset Net Assets Expenses Income
Beginning Investment Gains or (Losses) Investment Capital Value-End Total End of to Average to Average
of Year Income(1) on Securities Income Gains of Year Return Year (000) Net Assets Net Assets
--------------------------------------------------------------------------------------------------------------------------
-------------------------
S & P 500 INDEX PORTFOLIO
-------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995 $15.07 $0.42 $ 1.79 $(0.42) $(0.46) $16.40 15.26% $458,012 0.25% 2.69%
1994 15.80 0.43 (0.22) (0.42) (0.52) 15.07 1.19% 424,647 0.25% 2.57%
1993 14.17 0.40 1.69 (0.40) (0.06) 15.80 14.97% 675,484 0.25% 2.75%
1992 13.43 0.40 1.01 (0.41) (0.26) 14.17 10.71% 470,847 0.25% 2.99%
1991 12.45 0.43 1.24 (0.43) (0.26) 13.43 14.18% 261,165 0.25% 3.56%
<CAPTION>
--------------------
BOND INDEX PORTFOLIO
--------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995 $10.09 $0.63 $(0.20) $(0.62) -- $ 9.90 4.54% $ 45,643 0.38% 6.33%
1994 10.43 0.56 (0.33) (0.57) -- 10.09 2.10% 56,161 0.38% 5.35%
1993 9.87 0.66 0.56 (0.66) -- 10.43 12.73% 56,032 0.38% 6.49%
1992 9.73 0.73 0.15 (0.74) -- 9.87 9.48% 38,449 0.38% 7.45%
1991 9.46 0.80 0.28 (0.81) -- 9.73 11.92% 22,602 0.38% 8.52%
<CAPTION>
Ratio of Net
Ratio of Expenses Investment Income
to Average to Average Portfolio
Net Assets Net Assets Turnover
(Excluding Waivers) (Excluding Waivers) Rate
--------------------------------------------------------------------------------------------------------------------------
-------------------------
S & P 500 INDEX PORTFOLIO
-------------------------
<S> <C> <C> <C>
1995 0.35% 2.59% 4%
1994 0.33% 2.49% 23%
1993 0.35% 2.65% 1%
1992 0.34% 2.90% 1%
1991 0.32% 3.49% 40%
<CAPTION>
--------------------
BOND INDEX PORTFOLIO
--------------------
<S> <C> <C> <C>
1995 0.48% 6.23% 21%
1994 0.47% 5.26% 55%
1993 0.45% 6.42% 115%
1992 0.51% 7.32% 99%
1991 0.61% 8.29% 26%
</TABLE>
(1) Had management fees not been waived, and certain other expenses not been
absorbed by the Manager for the Portfolios, the net investment income per
share would have been $.41, $.41, $.39, $.38 and $.42 for the S&P 500 In-
dex Portfolio for the years ended 3/31/95 through 3/31/91, respectively
and $.62, $.55, $.65, $.71, and $.78 for the Bond Index Portfolio for the
periods ended 3/31/95 through 3/31/91, respectively.
The accompanying notes are an integral part of the financial statements.
17
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
SEI Index Funds -- March 31, 1995
1. ORGANIZATION:
SEI Index Funds (the "Trust") was organized as a Massachusetts business trust
under a Declaration of Trust dated March 6, 1985. The Trust is registered under
the Investment Company Act of 1940, as amended, as a diversified, open-end man-
agement investment company with two portfolios; the S&P 500 Index Portfolio and
the Bond Index Portfolio (the "Portfolios"). The assets of each Portfolio are
segregated, and a shareholder's interest is limited to the Portfolio in which
shares are held.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of the significant accounting policies followed by
the Portfolios.
Security Valuation--Investments in equity securities which are traded on a
national securities exchange (or reported on the NASDAQ national market system)
are stated at the last quoted sales price if readily available for such equity
securities on each business day; other equity securities traded in the over-
the-counter market and listed equity securities for which no sale was reported
on that date are stated at the last quoted bid price. Debt obligations exceed-
ing sixty days to maturity for which market quotations are readily available
are valued at the most recently quoted bid price. Debt obligations with sixty
days or less remaining until maturity may be valued at their amortized cost.
Federal Income Taxes--It is each Portfolio's intention to continue 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
provisions for Federal income taxes are 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, and interest income is recognized on the
accrual basis. Costs used in determining realized gains and losses on the sales
of investment securities are those of the specific securities sold adjusted for
the accretion and amortization of purchase discounts and premiums during the
respective holding periods. Purchase discounts and premiums on securities held
by the Portfolios are accreted and amortized to maturity using a method which
approximates the effective interest method.
Repurchase Agreements--Securities pledged as collateral for Repurchase Agree-
ments are held by the custodian bank until the respective agreements mature.
Provisions of the Repurchase Agreements and procedures adopted by the Manager
and adviser ensure that the market value of the collateral, including accrued
interest thereon, is sufficient in the event of default by the counterparty. If
the counterparty defaults and the value of the collateral declines or if the
counterparty enters into an insolvency proceeding, realization of the collat-
eral by the Portfolios may be delayed or limited.
Futures Contracts--The S&P 500 Index Portfolio invests in S&P 500 futures
contracts. For each S&P 500 futures contract, the Portfolio pledges Treasury
bills with the broker valued at approximately $7,500 per contract. Subsequent
payments to and from the broker are made on a daily basis or upon expiration or
closing of the position, as the value of the S&P 500 Index fluctuates. These
fluctuations make the positions in the futures contracts more or less valuable,
which results in gains or losses to the Portfolio. The S&P 500 Index Portfo-
lio's investment in S&P 500 Index futures contracts is designed to assist the
Portfolio in more closely approximating the performance of the S&P 500 Index.
Risks of entering into S&P 500 Index futures contracts include the possibility
that there may be an illiquid market and that a change in the value of the con-
tract may not correlate with changes in the value of the underlying securities.
Should the S&P 500 Index move unexpectedly , the Portfolio may not receive the
anticipated benefits from the S&P 500 Index futures contracts and may realize a
loss.
Net Asset Value Per Share--The net asset value per share of each Portfolio is
calculated on each business day. In general, it is computed by dividing the as-
sets of each Portfolio, less its liabilities, by the number of outstanding
shares of the Portfolio.
Other--Distributions from net investment income for the Portfolios are paid
to shareholders in
18
<PAGE>
--------------------------------------------------------------------------------
the form of monthly dividends. Any net realized capital gains on sales of secu-
rities are distributed to shareholders at least annually.
3. TRANSACTIONS WITH AFFILIATES:
The Trust and SEI Financial Management Corporation (the "Manager") are parties
to management agreements (the "Management Agreement") for the S&P 500 Index
Portfolio and Bond Index Portfolio dated July 25, 1986 and January 20, 1986,
respectively, under which the Manager provides management, administrative,
transfer agent, and shareholder services to the Portfolios for an annual fee
equal to .22% of the average daily net assets of the S&P 500 Index Portfolio
and .35% of average daily net assets of the Bond Index Portfolio. The Manager
has agreed to waive its fee so that the total annual expenses of each Portfolio
will not exceed the lower of the maximum limitations established by certain
states or voluntary expense limitations adopted by the Manager. In the event
that the total annual expenses of a Portfolio, after reflecting a waiver of all
fees by the Manager, exceed the specific limitation, the Manager has agreed to
bear such excess.
Certain officers and/or Trustees of the Trust are also officers and/or direc-
tors of the Manager. The Trust pays each unaffiliated Trustee an annual fee for
attendance at quarterly, interim and committee meetings. Compensation of offi-
cers and affiliated Trustees is paid by the Manager.
SEI Financial Services Company acts as the distributor (the "Distributor") of
the shares of the Portfolios under a distribution plan which provides for the
Trust to reimburse the Distributor for its distribution expenses. On an annual
basis such expenses may not exceed .05% of the Portfolios' average daily net
assets.
4. INVESTMENT ADVISORY AGREEMENT:
Under an investment advisory agreement (the "Advisory Agreement"), dated Janu-
ary 31, 1995, World Asset Management serves as the Investment Adviser of the
Portfolios and in this capacity monitors the indexing systems and determines
which securities to purchase and sell in order to keep the S&P 500 Index Port-
folio and the Bond Index Portfolio in balance with the S&P 500 Index and Lehman
Aggregate Bond Index, respectively. For its services as Investment Adviser,
World Asset Management receives a monthly fee at an annual rate of .03% of the
average daily net assets of each of the Portfolios.
Prior to January 31, 1995, Woodbridge Capital Management, Inc. acted as in-
vestment administrator for the Trust. For its services Woodbridge was paid a
monthly fee at an annual rate of .03% of the average daily net assets of the
Portfolios. For the year ended March 31, 1995, World Asset Management and
Woodbridge Capital Management, Inc. received $21,000, and $106,000, for the S&P
500 Index Portfolio and $2,000, and $13,000, for the Bond Index Portfolio, re-
spectively.
5. INVESTMENT TRANSACTIONS:
The cost of security purchases and the proceeds from the sale of securities,
other than temporary cash investments, during the year ended March 31, 1995
were as follows:
<TABLE>
<CAPTION>
U.S.
Government
Securities All Other Total
(000) (000) (000)
---------- --------- -------
S&P 500 INDEX PORTFOLIO
<S> <C> <C> <C>
Purchases $ 0 $15,305 $15,305
Sales 0 67,505 67,505
<CAPTION>
BOND INDEX PORTFOLIO
<S> <C> <C> <C>
Purchases $ 9,424 $ 991 $10,415
Sales 14,089 5,366 19,455
</TABLE>
On March 31, 1995, the total cost of securities for Federal income tax pur-
poses was not materially different from amounts reported for financial report-
ing purposes. The aggregate gross unrealized appreciation and depreciation on
securities at March 31, 1995, for each Portfolio is as follows:
<TABLE>
<CAPTION>
Net
Unrealized
Appreciated Depreciated Appreciation/
Securities Securities (Depreciation)
(000) (000) (000)
----------- ----------- --------------
<S> <C> <C> <C>
S&P 500 Index Portfolio $76,143 $17,509 $58,634
Bond Index Portfolio 318 1,380 (1,062)
</TABLE>
19
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
--------------------------------------------------------------------------------
SEI Index Funds -- March 31, 1995
The Bond Index Portfolio invests primarily in securities issued or guaranteed
as to principal and interest by the U.S. Government or its agencies or instru-
mentalities. The ability of the issuers of the repurchase agreements and other
bonds held by the Portfolio to meet their obligations may be affected by eco-
nomic developments in a specific industry, state or region. The market value of
the Portfolio's investments will change in response to interest rate changes
and other factors. During periods of falling interest rates, the values of
fixed income securities generally rise. Conversely, during periods of rising
interest rates, the values of such securities generally decline. Changes by
recognized rating agencies in the ratings of any fixed income security and in
the ability of an issuer to make payments of interest and principal may also
affect the value of these investments. The following is a summary of credit
quality ratings for securities held by the Portfolio at March 31, 1995:
<TABLE>
<CAPTION>
% OF
PORTFOLIO
MOODY'S VALUE
------- ---------
<S> <C>
U.S. Government Securities 81.60%
Repurchase Agreements 1.52%
Other Bonds:
Aaa................................................................ 1.32%
Aa................................................................. 3.11%
A.................................................................. 8.13%
Baa................................................................ 4.32%
------
100.00%
======
</TABLE>
At March 31, 1995, the Bond Index Portfolio had a capital loss carryover of
$1,046,000 which expires in 2003.
6. FUTURES CONTRACTS:
The S&P 500 Index Portfolio's investment in S&P 500 Index futures contracts is
designed to assist the Portfolio in more closely approximating the performance
of the S&P 500 Index. Risks of entering into S&P 500 Index futures contracts
include the possibility that there may be an illiquid market and that a change
in the value of the contract may not correlate with changes in the value of the
underlying securities. Should the S&P 500 Index move unexpectedly, the Portfo-
lio may not receive the anticipated benefits from the S&P 500 Index futures
contracts and may realize a loss. At March 31, 1995, open S&P 500 Index futures
contracts were as follows:
<TABLE>
<CAPTION>
Unrealized
Number of Trade Face Settlement Gain/(Loss)
Contracts Price Amount Month (000)
--------- ------- ------- ---------- -----------
<S> <C> <C> <C> <C>
21 $494.85 $10,500 June 1995 $100
20 496.10 10,000 June 1995 83
20 496.00 10,000 June 1995 84
15 497.10 7,500 June 1995 55
10 488.75 5,000 June 1995 77
9 506.00 4,500 June 1995 (7)
9 504.70 4,500 June 1995 (1)
8 507.60 4,000 June 1995 (13)
5 500.25 2,500 June 1995 10
5 499.70 2,500 June 1995 12
5 499.55 2,500 June 1995 12
5 499.25 2,500 June 1995 13
5 494.70 2,500 June 1995 23
4 505.50 2,000 June 1995 (2)
4 499.55 2,000 June 1995 10
4 499.30 2,000 June 1995 10
4 488.80 2,000 June 1995 31
2 499.35 1,000 June 1995 5
2 494.90 1,000 June 1995 10
2 498.75 1,000 June 1995 6
1 497.00 500 June 1995 4
----
$522
====
</TABLE>
7. SHAREHOLDER VOTING RESULTS:
There was a special meeting of shareholders on March 8, 1995 for the Trust to
approve the selection of World Asset Management as the investment adviser for
the Trust and to approve the adoption of the Investment Advisory Agreement be-
tween the Trust and World Asset Management. The following were the results of
the vote (Unaudited):
<TABLE>
<CAPTION>
S&P 500 INDEX BOND INDEX
------------- ----------
<S> <C> <C>
For.................................................... 17,506,853 3,550,698
Against................................................ 5,419 9,196
Abstain................................................ 688,350 21,230
</TABLE>
There were no broker non-votes for either Portfolio. There were no other pro-
posals voted upon at such meeting.
20
<PAGE>
NOTICE TO SHAREHOLDERS
--------------------------------------------------------------------------------
March 31, 1995 -- Unaudited
For shareholders that do not have a March 31, 1995 taxable year end, this no-
tice is for informational purposes only. For shareholders with a March 31, 1995
taxable year end, please consult your tax advisor as to the pertinence of this
notice.
For the fiscal year ended March 31, 1995 the funds of the SEI Index Funds 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
PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS)
--------- ------------- ------------- -------------
<S> <C> <C> <C>
S & P 500 2% 98% 100%
Bond Index 0% 100% 100%
<CAPTION>
(C) (D) (E)
QUALIFYING TAX-EXEMPT FOREIGN
PORTFOLIO DIVIDENDS(1) INTEREST TAX CREDIT
--------- ------------- ------------- -------------
<S> <C> <C> <C>
S & P 500 97% 0% 0%
Bond Index 0% 0% 0%
</TABLE>
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction.
* Items (A) and (B) are based on the percentage of each Portfolio's total dis-
tribution.
** Item (C) is based on the percentage of ordinary income of the Portfolio.
*** Items (D) & (E) are based on the percentage of the gross income of the
Portfolio.
21
<PAGE>
----------------------
SEI INDEX FUNDS
----------------------
1995 ANNUAL REPORT
----------------------
Year Ended March 31, 1995
Robert A. Nesher
Chairman
TRUSTEES
Edward W. Binshadler
Richard F. Blanchard
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
OFFICERS
David G. Lee
President, Chief Executive Officer
Carmen V. Romeo
Treasurer, Assistant Secretary
Robert B. Carroll
Vice President, Assistant Secretary
Kathryn L. Stanton
Vice President, Assistant Secretary
Sandra K. Orlow
Vice President, Assistant Secretary
Kevin P. Robins
Vice President, Assistant Secretary
Jeffrey A. Cohen
Controller, Assistant Secretary
Richard W. Grant
Secretary
John H. Grady, Jr.
Assistant Secretary
INVESTMENT ADVISER
World Asset Management
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Financial Management Corporation
DISTRIBUTOR
SEI Financial Services Company
LEGAL COUNSEL
Morgan, Lewis & Bockius
INDEPENDENT PUBLIC ACCOUNTANTS
Arthur Andersen 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 pre-
ceded or accompanied by a current prospectus. Shares of the SEI Funds are not
deposits or obligations of, or guaranteed or endorsed by, any bank. The shares
are not federally insured by the Federal Deposit Insurance Corporation (FDIC),
the Federal Reserve Board, or any other government agency. Investment in the
shares involves risk, including the possible loss of principal. SEI Financial
Services Company, the Distributor of the SEI Funds, is not affiliated with any
bank.
For more information call 1.800.DIAL.SEI/1.800.342.5734
<PAGE>
[SEI-F-091-02]
