===============================================================================
SEI INDEX FUNDS
===============================================================================
SEMI-ANNUAL REPORT
===============================================================================
September 30, 1995
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI Index Funds -- September 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
S&P 500 INDEX PORTFOLIO
- -------------------------------------------------------------------------------
Market
Description Shares Value (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--96.8%
AGRICULTURE--0.1%
Pioneer Hi Bred International 10,200 $ 469
-------
AIR TRANSPORTATION--0.4%
AMR* 12,680 762
Delta Air Lines 5,985 414
Federal Express* 6,635 551
Southwest Airlines 17,100 432
US Air Group* 7,165 82
-------
2,241
-------
AIRCRAFT--1.9%
Allied Signal 33,770 1,490
Boeing 40,603 2,771
General Dynamics 7,530 413
Lockheed Martin 25,316 1,699
McDonnell Douglas 13,795 1,142
Northrop 5,865 357
Teledyne 6,650 180
Textron 10,455 714
United Technologies 14,465 1,279
-------
10,045
-------
APPAREL/TEXTILES--0.2%
Fruit of the Loom* 9,800 202
Liz Claiborne 9,350 236
Russell 4,765 122
Springs Industries, Class A 2,370 93
VF 7,730 394
-------
1,047
-------
AUTOMOTIVE--2.8%
Chrysler 45,142 2,393
Cooper Tire & Rubber 10,000 243
Dana 11,830 342
Dial 11,000 272
Eaton 9,330 494
Echlin 7,135 255
Fleetwood Enterprises 5,490 109
Ford Motor 129,040 4,016
General Motors 89,930 4,215
Genuine Parts 14,595 586
Goodyear Tire & Rubber 18,070 712
Navistar International 8,926 107
Paccar 4,454 208
Republic New York 6,500 380
TRW 7,760 577
-------
14,909
-------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Market
Description Shares Value (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
BANKS--5.0%
H.F. Ahmanson 14,000 $ 355
Barnett Banks 18,760 894
Boatmen's Bancshares 15,200 563
Chase Manhattan 21,780 1,331
Chemical Banking 30,251 1,842
Citicorp 47,545 3,364
CoreStates Financial 17,200 630
First Chicago 10,960 752
First Fidelity Bancorp 9,635 650
First Interstate Bancorp 9,440 951
First Union 20,950 1,069
Fleet Financial Group 16,850 636
Golden West Financial 7,205 364
Great Western Financial 15,970 379
KeyCorp 28,671 982
Mellon Bank 17,205 768
J.P. Morgan 22,530 1,743
NBD Bancorp 19,065 729
National City 17,600 543
NationsBank 32,961 2,217
Norwest 38,786 1,270
PNC Bank 28,060 782
Shawmut National 15,400 518
SunTrust Banks 14,065 930
U.S. Bancorp 11,700 331
Wachovia 20,400 880
Wells Fargo 6,335 1,176
-------
26,649
-------
CHEMICALS--3.4%
Air Products & Chemicals 14,270 744
Dow Chemical 33,050 2,462
E.I. Du Pont De Nemours 66,695 4,585
Eastman Chemical 9,891 633
FMC* 4,365 332
First Mississippi 2,470 99
B.F. Goodrich 2,995 197
W.R. Grace 11,205 748
Great Lakes Chemical 7,900 534
Hercules 13,995 812
Eli Lilly 34,855 3,133
Monsanto 13,910 1,401
Morton International 17,595 545
Nalco Chemical 7,900 270
Praxair 16,365 438
Rohm & Haas 8,035 485
Union Carbide 17,765 706
-------
18,124
-------
</TABLE>
1
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI Index Funds -- September 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
S&P 500 INDEX PORTFOLIO
- -------------------------------------------------------------------------------
Market
Description Shares Value (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
COMMUNICATIONS--9.5%
Airtouch Communcations 58,890 $ 1,804
ALLTEL 22,500 672
Ameritech 66,610 3,472
Avon Products 60,235 3,782
Baker Hughes 79,525 4,928
CBS 7,810 624
Capital Cities/ABC 18,400 2,164
Comcast, Class A 28,627 573
DSC Communications* 13,530 802
GTE 115,980 4,552
Harris 4,565 251
ITT 13,365 1,657
Interpublic Group 9,200 366
MCI Communications 81,030 2,112
Motorola 70,860 5,412
Northern Telecom Ltd. 30,165 1,075
NYNEX 50,900 2,430
Pacific Telesis Group 52,190 1,605
SBC Communcations 72,690 3,998
Scientific-Atlanta 9,084 153
Sprint 41,600 1,456
Tele-Communcations, Class A 78,035 1,366
Tellabs 10,500 442
US West 56,260 2,651
Viacom, Class B 43,400 2,159
Zenith Electronics* 5,445 47
-------
50,553
-------
COMPUTERS & SERVICES--6.6%
Amdahl 13,900 134
Apple Computer 61,726 2,264
CUC International* 20,400 712
Cabletron Systems* 8,500 560
Ceridian 5,365 238
Cisco Systems* 32,600 2,249
Compaq Computer* 31,190 1,509
Computer Associates
International 28,657 1,211
Computer Sciences* 6,560 422
Cray Research* 2,940 65
Data General* 4,370 45
Digital Equipment* 17,515 799
First Data 14,800 918
Hewlett Packard 60,930 5,080
Intergraph* 5,335 65
International Business Machines 70,080 6,614
Microsoft 70,300 6,362
Novell* 44,300 808
Oracle Systems 52,075 1,998
Pitney Bowes 18,560 780
Safety-Kleen 6,910 101
Shared Medical Systems 2,795 116
Silicon Graphics 18,600 639
Sun Microsystems 11,300 712
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Market
Description Shares Value (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
Tandem Computers* 13,850 $ 170
Tandy 9,797 595
Unisys* 20,485 161
-------
35,327
-------
CONSTRUCTION--0.5%
Armstrong World Industries 14,358 946
Centex 3,340 97
Fluor 9,830 550
Foster Wheeler 4,265 151
Halliburton 13,570 567
McDermott International 6,465 128
Morrison-Knudsen 3,900 30
Owens-Corning Fiberglass* 6,065 271
-------
2,740
-------
CONTAINERS & PACKAGING--0.2%
Crown Cork & Seal* 10,685 414
-------
ELECTRONIC & OTHER ELECTRICAL
EQUIPMENT--2.7%
Advanced Micro Devices* 12,830 374
AMP 25,878 996
Honeywell 15,460 663
Intel 98,820 5,942
Johnson Controls 4,665 295
Loral 10,090 575
Micron Technology 24,400 1,940
Millipore 5,390 202
National Semiconductor* 14,825 410
Perkin Elmer 4,965 177
Raytheon 15,370 1,306
Rockwell International 25,930 1,225
Tektronix 3,870 228
Thomas & Betts 2,370 153
-------
14,486
-------
ENVIRONMENTAL SERVICES--0.5%
Browning-Ferris Industries 25,435 773
Laidlaw, Class B 33,500 293
WMX Technologies 57,780 1,647
-------
2,713
-------
FINANCIAL SERVICES--3.3%
Allstate 53,752 1,901
American Express 59,147 2,625
Benefical 6,290 329
Dean Witter Discover 20,308 1,142
Federal Home Loan Mortgage
Corporation 21,500 1,486
Federal National Mortgage
Association 32,615 3,376
Household International 11,530 715
MBNA 17,700 737
</TABLE>
2
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Market
Description Shares Value (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
Merrill Lynch 21,300 $ 1,331
Morgan Stanley Group 9,200 884
Salomon 12,665 484
Transamerica 8,330 594
Travelers Group 38,272 2,033
-------
17,637
-------
FOOD, BEVERAGE & TOBACCO--8.6%
American Brands 24,040 1,016
Archer Daniels Midland 87,694 2,067
Brown-Forman, Class B 8,260 321
CPC International 17,460 1,152
Campbell Soup 29,730 1,494
Coca-Cola 153,380 10,582
Conagra 29,542 1,171
Adolph Coors, Class B 4,565 83
Fleming Companies 4,270 102
General Mills 18,860 1,051
H.J. Heinz 29,080 1,330
Hershey Foods 10,300 663
Kellogg 26,540 1,921
PepsiCo 94,490 4,819
Philip Morris 101,610 8,483
Quaker Oats 15,960 529
Ralston, Ralston-Purina Group 12,460 721
Sara Lee 57,080 1,698
Seagram 44,400 1,593
SuperValu 8,230 242
Sysco 21,810 594
UST 23,940 688
Unilever NV 19,135 2,488
Whitman 12,595 260
William Wrigley, Jr. 13,905 702
-------
45,770
-------
FOOTWEAR--0.5%
Brown Group 2,170 40
Illinois Tool Works 13,570 799
Nike 8,430 937
Premark International 7,250 369
Reebok International 9,720 334
Stride Rite 5,700 65
-------
2,544
-------
GLASS PRODUCTS--0.4%
Corning 27,260 780
Newell 18,800 465
PPG Industries 24,590 1,143
-------
2,388
-------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Market
Description Shares Value (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
HOUSEHOLD PRODUCTS--3.6%
Alberto-Culver, Class B 3,290 $ 100
Atlantic Richfield 20,788 2,100
Clorox 6,135 438
Colgate Palmolive 17,294 1,152
Ecolab 8,050 222
Gillette 52,888 2,519
International Flavors &
Fragrances 13,295 641
Masco 19,040 524
Maytag 12,830 225
Minnesota Mining &
Manufacturing 51,130 2,888
National Service Industries 5,885 172
Procter & Gamble 82,554 6,357
Raychem 5,265 237
Rubbermaid 19,160 529
Sherwin Williams 9,880 346
Snap-On Tools 4,865 185
Stanley Works 5,115 222
Whirlpool 8,805 508
-------
19,365
-------
INSURANCE--3.2%
Aetna Life & Casualty 13,395 983
Alexander & Alexander Services 5,265 128
American General 24,480 915
American International Group 56,526 4,805
Cigna 8,630 899
Chubb 10,430 1,001
General Re 9,600 1,450
Jefferson-Pilot 5,647 363
Lincoln National 11,330 534
Loews 7,100 1,033
Marsh & McLennan 8,805 774
Providian 11,430 474
SAFECO 7,460 490
St. Paul 10,080 588
Torchmark 8,487 358
UNUM 8,700 459
USF&G 13,230 256
United Healthcare 20,600 1,007
U.S. Healthcare 19,100 676
USLIFE 3,945 115
-------
17,308
-------
LUMBER & WOOD PRODUCTS--0.2%
Crown Vantage 980 22
Georgia-Pacific 10,800 945
Louisiana-Pacific 13,412 324
-------
1,291
-------
</TABLE>
3
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI Index Funds -- September 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
S&P 500 INDEX PORTFOLIO
- -------------------------------------------------------------------------------
Market
Description Shares Value (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
MACHINERY--5.2%
Applied Materials* 23,931 $ 1,686
Black & Decker 10,135 346
Briggs & Stratton 3,540 142
Brunswick 11,430 231
Caterpillar 23,950 1,362
Cincinnati Milacron 4,095 129
Cooper Industries 13,995 493
Crane 3,642 126
Cummins Engine 4,940 190
Deere 10,330 841
Dover 13,720 525
Dresser Industries 21,770 520
Emerson Electric 27,865 1,992
General Electric 203,980 13,004
General Signal 5,394 158
Giddings & Lewis 4,100 72
Harnischfeger Industries 5,505 184
Ingersoll Rand 12,570 471
Kaufman & Broad Home 3,737 47
NACCO Industries, Class A 1,025 61
Outboard Marine 2,370 51
Pall 13,893 323
Parker-Hannifin 8,752 333
PULTE 3,095 88
Tenneco 22,512 1,041
Texas Instruments 22,060 1,762
Timken 3,770 161
Trinova 3,415 115
Tyco Labs 8,800 554
Varity* 4,970 221
Westinghouse Electric 44,480 667
Zurn Industries 1,470 37
-------
27,933
-------
MEDICAL PRODUCTS & SERVICES--8.9%
Abbott Labs 95,660 4,078
Allergan 7,600 254
ALZA* 9,800 225
American Home Products 37,270 3,163
Amgen* 31,800 1,586
Asarco 11,300 350
Bausch & Lomb 12,580 534
Automatic Data Processing 50,783 2,550
Becton Dickinson 14,795 795
Beverly Enterprises 11,685 161
Biomet* 13,800 238
Boston Scientific* 17,800 759
Bristol-Myers Squibb 60,920 4,440
Columbia HCA Healthcare 53,273 2,590
Community Psychiatric Centers 5,165 61
Johnson & Johnson 77,220 5,724
Mallinckrodt Group 9,085 360
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Market
Description Shares Value (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
Manor Care 7,447 $ 253
Medtronic 27,520 1,479
Merck 150,125 8,407
Pfizer 76,220 4,068
St. Jude Medical 5,300 335
Schering Plough 44,680 2,301
Tenet Healthcare 23,760 413
United States Surgical 6,800 182
Upjohn 20,650 922
Warner Lambert 16,010 1,525
--------
47,753
--------
METAL & METAL INDUSTRIES--4.5%
Alcan Aluminum 26,752 866
Aluminum Company of America 21,300 1,126
Armco* 57,188 2,757
Barrick Gold 231,599 13,537
Bethlehem Steel 13,130 185
Cyprus AMAX Minerals 11,002 309
Echo Bay Mines 13,400 146
Engelhard 17,017 432
Freeport-McMoran Copper
& Gold, Class B 24,000 615
Homestake Mining 16,400 279
Inco 14,000 480
Inland Steel Industries* 5,765 131
Newmont Mining 10,301 438
Nucor 10,380 465
Phelps Dodge 8,430 528
Placer Dome Group 28,429 746
Reynolds Metals 7,435 429
Santa Fe Pacific Gold 15,712 198
USX-U.S. Steel Group 9,767 303
Worthington Industries 10,822 199
--------
24,169
--------
OIL & GAS--7.7%
Amerada Hess 11,130 541
Amoco 59,295 3,802
Burlington Resources 15,100 585
Chevron 78,320 3,808
Exxon 149,195 10,779
Helmerich & Payne 2,895 81
Kerr McGee 6,135 341
Louisiana Land & Exploration 4,040 144
Mobil 47,145 4,697
NICOR 6,000 164
Occidental Petroleum 37,930 834
Oryx Energy 12,370 161
Pennzoil 5,465 240
Phillips Petroleum 31,235 1,015
Rowan* 10,105 76
Royal Dutch Petroleum 63,935 7,848
</TABLE>
4
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Market
Description Shares Value (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
Santa Fe Energy Resources 10,781 $ 102
Schlumberger 28,865 1,883
Sun 9,770 252
Texaco 30,910 1,998
USX-Marathon Group 35,535 702
Unocal 29,590 843
Western Atlas 6,290 298
-------
41,194
-------
PAPER & PAPER PRODUCTS--1.7%
Alco Standard 6,465 548
Bemis 6,090 168
Boise Cascade 5,631 227
Champion International 11,100 598
Federal Paper Board 5,465 210
International Paper 30,540 1,283
James River 9,802 314
Kimberly-Clark 19,360 1,300
Mead 6,760 396
Potlatch 3,470 142
Scott Paper 18,010 873
Stone Container* 11,416 217
Temple-Inland 6,690 356
Union Camp 8,355 481
Westvaco 8,060 368
Weyerhaeuser 24,570 1,121
Willamette Industries 6,700 447
-------
9,049
-------
PHOTOGRAPHIC EQUIPMENT &
SUPPLIES--0.8%
Eastman Kodak 40,565 2,403
Polaroid 5,558 221
Xerox 12,625 1,696
-------
4,320
-------
PRINTING & PUBLISHING--1.3%
American Greetings, Class A 8,900 271
Deluxe 9,855 326
R.R. Donnelley & Sons 18,060 704
Dow Jones 11,700 431
Gannett Company 16,735 914
John H. Harland 3,650 81
Knight-Ridder* 6,235 366
McGraw-Hill 5,935 485
Meredith 3,240 129
Moore 11,900 239
New York Times, Class A 12,230 335
Time Warner 46,364 1,843
Times Mirror, Class A 14,565 419
Tribune 7,930 526
-------
7,069
-------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Market
Description Shares Value (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
PROFESSIONAL SERVICES--0.4%
H & R Block 12,470 $ 474
Dun & Bradstreet 20,232 1,171
EG & G 6,340 124
Ogden 5,865 138
Service International 11,222 439
-------
2,346
-------
RECREATIONAL PRODUCTS &
SERVICES--1.1%
Andrew* 10,085 333
Walt Disney 62,560 3,589
Harra's Entertainment 12,185 356
Hasbro 10,452 325
Hilton Hotels 5,740 367
Jostens 5,450 128
King World Productions* 4,262 156
Mattel 26,662 783
-------
6,037
-------
RETAIL--5.5%
Albertson's 30,240 1,032
Campbell Soup 17,660 501
Bruno's 263 3
Charming Shoppes 12,270 55
Circuit City Stores 11,500 364
Darden Restaurants 18,860 217
Dayton-Hudson 8,530 647
Dillard Department Stores,
Class A 13,520 431
The Gap 17,260 621
Giant Food, Class A 6,860 215
Great Atlantic & Pacific Tea 4,365 122
Handleman 4,082 36
Harcourt General 9,266 388
Home Depot 56,974 2,272
K mart 55,080 799
Kroger 14,680 501
The Limited 42,660 811
Longs Drug Stores 2,395 99
Lowe's 19,060 572
Luby's Cafeterias 2,955 64
Marriott International 14,770 552
May Department Stores 29,662 1,298
McDonald's 83,300 3,186
Melville 12,570 434
Mercantile Stores 4,215 190
Nordstrom 9,830 410
J.C. Penney 27,730 1,376
Pep Boys-Manny Moe & Jack 7,350 199
Price/Costco 24,758 424
Rite Aid 10,030 281
Ryan's Family Steak Houses* 6,125 48
</TABLE>
5
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI Index Funds -- September 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
S&P 500 INDEX PORTFOLIO
- -------------------------------------------------------------------------------
Market
Description Shares Value (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
Sears Roebuck 46,825 $ 1,727
Shoney's* 5,015 55
TJX 8,410 100
Toys R Us* 33,065 893
Wal-Mart Stores 275,920 6,864
Walgreen 29,340 822
Wendys International 12,075 255
Winn Dixie Stores 8,930 532
F.W. Woolworth 15,820 249
-------
29,645
-------
TRANSPORTATION SERVICES--1.2%
Burlington Northern-Santa Fe 18,000 1,305
CSX 12,459 1,048
Conrail 9,910 681
Consolidated Freightways 5,115 127
Norfolk Southern 16,100 1,203
Pittston Services Group 4,765 129
Roadway Services 4,465 222
Ryder System 9,430 239
Union Pacific 24,540 1,626
Yellow 3,320 46
-------
6,626
-------
UTILITIES, ELECTRIC & GAS--4.7%
American Electric Power 22,025 801
Baltimore Gas & Electric 48,495 2,383
Carolina Power & Light 18,700 629
Central & South West 22,700 579
Cinergy 18,492 515
Coastal 12,502 420
Columbia Gas System 6,015 232
Consolidated Edison 27,990 850
Consolidated Natural Gas 11,130 449
Detroit Edison 17,235 556
Dominion Resources 20,475 770
Duke Power 24,450 1,061
Eastern Enterprises 2,391 77
Enron 30,160 1,010
Enserch 8,035 133
Entergy 27,120 709
FPL Group 22,328 913
General Public Utilities 13,800 430
Houston Industries 15,670 691
Niagara Mohawk Power 17,165 225
Noram Energy 14,625 115
Northern States Power 7,960 361
Ohio Edison 18,235 415
Oneok 3,200 74
PECO Energy 26,475 758
Pacific Enterprises 9,842 247
Pacific Gas & Electric 51,545 1,540
Pacificorp 33,900 644
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Shares/Face Market
Description Amount (000) Value (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
Panhandle Eastern 18,523 $ 505
Peoples Energy 4,140 114
Public Service Enterprise Group 29,183 868
SCE 53,440 949
Sonat 10,430 334
Southern 79,526 1,879
Texas Utilities 26,905 938
UNICOM 25,495 771
Union Electric 12,200 456
Williams 11,830 461
-------
24,862
-------
WHOLESALE--0.2%
Sigma Aldrich 5,900 286
W.W. Grainger 6,090 368
-------
654
-------
Total Common Stock
(Cost $387,113,000) 517,677
-------
PREFERRED STOCKS--0.0%
Teledyne, Series E 195 3
-------
Total Preferred Stocks
(Cost $2,000) 3
-------
U. S. TREASURY OBLIGATION--0.3%
U.S. Treasury Bill
5.40%, 4/4/96 (1) $1,500 1,458
-------
Total U. S. Treasury Obligation
(Cost $1,459,000) 1,458
-------
REPURCHASE AGREEMENT--2.7%
J.P. Morgan
6.40%, dated 09/29/95, matures
10/02/95, repurchase price
$14,352,284 (collateralized by
FHLMC obligation, par value
$8,568,528, 6.429%, matures
10/01/20; FNMA obligation, par
value $11,856,365, 7.50%,
matures 12/25/22: total market
value $14,632,000) 14,345 14,345
-------
Total Repurchase Agreement
(Cost $14,345,000) 14,345
-------
Total Investments--99.8%
(Cost $402,919,000) 533,483
-------
</TABLE>
6
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Market
Description Value (000)
- -------------------------------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES--0.2%
Other Assets and Liabilities, Net $ 878
-------
NET ASSETS:
Portfolio shares (unlimited
authorization -- no par value) based
on 27,866,024 outstanding shares of
beneficial interest 392,707
Accumulated net realized gain on
investments 8,670
Net unrealized appreciation on
investments 130,564
Net unrealized appreciation on
futures contracts 214
Undistributed net investment income 2,206
-------
Net assets--100.0% $534,361
========
Net Asset Value, Offering and
Redemption Price Per Share $ 19.18
========
<FN>
(1) Security pledged as collateral on open futures contracts.
* Non-Income producing security.
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
</FN>
</TABLE>
<TABLE>
<CAPTION>
BOND INDEX PORTFOLIO
- -------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
U. S. TREASURY OBLIGATIONS--42.1%
U.S. Treasury Bonds
13.130%, 05/15/01 $ 525 $ 701
12.000%, 05/15/05 300 423
9.380%, 02/15/06 800 988
7.630%, 02/15/07 350 374
10.380%, 11/15/12 300 397
8.880%, 02/15/19 340 428
8.500%, 02/15/20 650 793
7.880%, 02/15/21 680 780
8.000%, 11/15/21 1,315 1,531
7.130%, 02/15/23 285 302
U.S. Treasury Notes
8.000%, 01/15/97 2,300 2,362
8.500%, 05/15/97 663 690
6.380%, 06/30/97 1,000 1,009
9.250%, 08/15/98 990 1,076
8.880%, 11/15/98 1,720 1,862
9.130%, 05/15/99 1,765 1,942
6.380%, 01/15/00 1,000 1,014
7.500%, 11/15/01 500 535
6.380%, 08/15/02 550 558
6.250%, 02/15/03 375 377
--------
Total U. S. Treasury Obligations
(Cost $17,489,000) 18,142
--------
U.S. GOVERNMENT AGENCY POOLED
MORTGAGES--30.8%
FHLMC
8.500%, 10/01/01 25 25
9.000%, 11/01/04 48 50
7.500%, 05/01/07 175 178
8.500%, 08/01/07 143 148
7.000%, 11/01/07 148 149
7.000%, 03/01/08 382 384
6.500%, 07/01/08 225 222
6.000%, 01/01/09 157 152
9.000%, 07/01/09 27 28
8.500%, 01/01/10 123 127
9.000%, 04/01/17 132 137
9.500%, 08/01/17 83 87
10.500%, 12/01/17 43 47
9.500%, 01/01/19 46 48
10.500%, 06/01/19 23 25
9.500%, 10/01/20 56 59
9.000%, 09/01/21 181 189
9.500%, 02/01/21 17 18
8.000%, 01/01/22 199 204
8.000%, 09/01/22 296 303
7.500%, 01/01/23 180 181
8.500%, 01/01/23 74 77
7.500%, 05/01/23 223 225
</TABLE>
The accompanying notes are an integral part of the financial statements.
7
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI Index Funds -- September 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
BOND INDEX PORTFOLIO
- -------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
7.000%, 08/01/23 $ 717 $ 709
7.000%, 05/01/24 241 239
FNMA
9.200%, 01/10/96 275 278
8.250%, 10/12/04 500 531
9.000%, 10/01/06 43 45
7.500%, 06/01/07 149 152
8.000%, 08/01/07 129 132
7.500%, 01/01/08 168 171
7.000%, 02/01/08 247 248
7.000%, 04/01/08 76 77
8.000%, 12/01/08 101 103
6.000%, 12/25/08 409 396
10.500%, 03/01/14 44 49
10.500%, 06/01/18 113 124
8.000%, 02/01/19 111 114
9.500%, 02/01/20 225 237
9.500%, 07/01/20 37 39
9.500%, 02/01/21 16 17
8.500%, 03/01/22 147 152
8.000%, 06/01/22 317 325
8.500%, 10/01/22 96 99
7.500%, 01/01/23 330 332
8.000%, 05/01/23 215 221
7.000%, 06/01/23 423 418
6.000%, 12/25/23 195 184
6.000%, 01/01/24 524 494
8.000%, 01/01/24 62 64
8.500%, 05/01/07 56 58
GNMA
8.000%, 10/15/07 55 56
9.500%, 09/15/09 47 50
12.500%, 12/15/13 299 345
11.500%, 04/15/15 40 45
9.000%, 04/15/17 508 535
9.000%, 02/15/17 150 158
8.500%, 02/15/17 76 79
8.500%, 05/15/17 170 177
9.500%, 07/15/17 56 60
9.750%, 10/15/17 58 63
10.000%, 09/15/18 141 153
10.000%, 06/15/19 88 96
11.000%, 10/15/19 8 9
9.000%, 11/15/19 326 343
10.000%, 10/15/20 59 64
10.000%, 02/20/21 37 40
9.000%, 08/15/21 35 37
8.500%, 11/15/21 105 109
8.500%, 08/15/22 316 329
8.500%, 11/15/22 55 57
7.500%, 01/15/23 221 223
7.000%, 05/15/23 436 431
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
8.000%, 09/15/23 $ 326 $ 336
7.000%, 11/15/23 391 387
-------
Total U.S. Government Agency Pooled
Mortgages
(Cost $13,347,000) 13,253
-------
CORPORATE BONDS--17.6%
BP America
8.880%, 12/01/97 200 210
Baltimore Gas & Electric
7.250%, 07/01/02 200 209
Banc One
7.250%, 08/01/02 200 207
BankAmerica
6.000%, 07/15/97 500 498
Cabot
8.340%, 08/05/22 500 537
Campbell Soup
8.880%, 05/01/21 300 361
Chase Manhattan
8.500%, 03/01/96 200 202
Chemical Bank
8.630%, 05/01/02 150 165
Commonwealth Edison
6.500%, 04/15/00 250 250
R.R. Donnelley & Sons
9.130%, 12/01/00 239 269
Household Finance
7.800%, 11/01/96 500 508
Integra Financial
8.500%, 05/15/02 250 268
International Bank
8.250%, 09/01/16 200 229
Landeskredit Bank
7.880%, 04/15/04 250 271
Manufacturers Hanover
8.500%, 02/15/99 200 212
Masco
9.000%, 04/15/96 100 101
JP Morgan
5.750%, 10/15/08 200 181
New York Telephone
8.630%, 11/15/10 200 230
Occidental Petroleum
11.750%, 03/15/11 200 214
Rockwell International
6.750%, 09/15/02 150 153
Sprint
9.250%, 04/15/22 300 356
Tenneco
9.880%, 02/01/01 250 283
Texaco Capital
9.000%, 12/15/99 200 219
</TABLE>
8
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
Tokyo Metropolis
8.700%, 10/05/99 $ 125 $ 135
Union Electric
5.500%, 03/01/97 345 342
Union Oil California
9.150%, 02/15/06 350 408
Virginia Electric & Power
7.250%, 03/01/97 165 168
Whirlpool
9.100%, 02/01/08 250 294
Xerox
9.200%, 07/15/99 100 103
-------
Total Corporate Bonds
(Cost $7,353,000) 7,583
-------
YANKEE BONDS--1.2%
New Zealand Government
8.250%, 09/25/96 180 183
9.130%, 09/25/16 102 124
Republic of Ireland
7.880%, 12/01/01 200 214
-------
Total Yankee Bonds
(Cost $508,000) 521
-------
U.S. GOVERNMENT AGENCY
OBLIGATIONS--6.1%
FHLB
8.250%, 09/25/96 355 363
8.220%, 05/29/98 125 132
5.440%, 10/15/03 150 141
FHLMC
7.900%, 09/19/01 250 270
FNMA
6.750%, 04/22/97 100 101
8.200%, 03/10/98 225 236
8.450%, 07/12/99 200 216
9.050%, 04/10/00 200 222
8.250%, 12/18/00 50 54
7.500%, 02/11/02 100 106
Zero Coupon, 07/05/14 415 113
10.350%, 12/10/15 290 396
Resolution Funding Corporation
8.880%, 04/15/30 230 291
-------
Total U.S. Government Agency
Obligations
(Cost $2,531,000) 2,641
-------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT--0.6%
Lehman Brothers
6.05%, dated 09/29/95, matures
10/02/95, repurchase price
$254,047 (collateralized by
U.S. Treasury Bond, par value
$199,327, 11.125%, matures
08/15/03: market value
$261,000) $ 254 $ 254
-------
Total Repurchase Agreement
(Cost $254,000) 254
-------
Total Investments--98.4%
(Cost $41,482,000) 42,394
-------
OTHER ASSETS AND LIABILITIES--1.6%
Other Assets and Liabilities, Net 690
-------
NET ASSETS:
Portfolio shares (unlimited
authorization -- no par value) based
on 4,162,405 outstanding shares of
beneficial interest 42,945
Accumulated net realized loss on
investments (982)
Net unrealized appreciation on
investments 912
Undistributed net investment income 209
-------
Net assets--100.0% $43,084
=======
Net Asset Value, Offering and
Redemption Price Per Share $ 10.35
=======
<FN>
FHLMC Federal Home Loan Mortgage Corporation
FHLB Federal Home Loan Bank
FNMA Federal National Mortgage Association
GNMA Government National Mortgage Association
</FN>
</TABLE>
The accompanying notes are an integral part of the financial statements.
9
<PAGE>
STATEMENT OF OPERATIONS (000)
===============================================================================
SEI Index Funds -- For the Period Ended September 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
--------- ---------
S&P 500 Bond
Index Index
Portfolio Portfolio
--------- ---------
<S> <C> <C>
INVESTMENT INCOME:
Dividends $ 6,049 $ --
Interest 544 1,465
-------- --------
Total investment income 6,593 1,465
-------- --------
EXPENSES:
Management fees 545 77
Waiver of management fees (241) (19)
Investment advisory fees 74 6
Custodian / wire agent fees 37 3
Trustee fees 8 1
Pricing fees 8 1
Professional fees 31 3
Registration fees 16 2
Distribution expense 100 6
Administrative expense 41 4
-------- --------
Total expenses 619 84
-------- --------
NET INVESTMENT INCOME 5,974 1,381
-------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain from securities sold 835 64
Net realized gain on futures contracts 2,895 --
-------- --------
Net realized gain from security transactions 3,730 64
-------- --------
Change in unrealized appreciation on investment securities 72,452 1,974
Change in unrealized depreciation on futures contracts (308) --
-------- --------
Net change in unrealized appreciation on investments 72,144 1,974
-------- --------
Net realized and unrealized gain on investments 75,874 2,038
-------- --------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 81,848 $ 3,419
======== ========
</TABLE>
The accompanying notes are an integral part of the financial statements.
10
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
===============================================================================
SEI Index Funds -- For the Period Ended September 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
---------------------- ------------------------
S&P 500 Index Bond Index
Portfolio Portfolio
---------------------- ------------------------
4/1/95- 4/1/94- 4/1/95- 4/1/94-
9/30/95 3/31/95 9/30/95 3/31/95
--------- --------- ---------- ---------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITIES:
Net investment income $ 5,974 $ 11,398 $ 1,381 $ 3,153
Net realized gain (loss) from security transactions 3,730 11,239 64 (990)
Net change in unrealized appreciation (depreciation) of
investment securities 72,144 37,932 1,974 (261)
--------- --------- --------- ---------
Net increase in net assets resulting from operations 81,848 60,569 3,419 1,902
--------- --------- --------- ---------
DISTRIBUTIONS:
Net investment income (4,981) (11,407) (1,424) (3,169)
Net realized gain -- (12,233) -- --
--------- --------- --------- ---------
Total distributions (4,981) (23,640) (1,424) (3,169)
--------- --------- --------- ---------
TRUST SHARE TRANSACTIONS:*
Shares issued 118,605 244,921 6,553 21,194
Shares issued in lieu of cash distributions 2,534 12,249 203 333
Shares redeemed (121,657) (260,734) (11,310) (30,778)
--------- --------- --------- ---------
Net decrease from trust share transactions (518) (3,564) (4,554) (9,251)
--------- --------- --------- ---------
Net increase (decrease) in net assets 76,349 33,365 (2,559) (10,518)
--------- --------- --------- ---------
NET ASSETS:
Beginning of period 458,012 424,647 45,643 56,161
--------- --------- --------- ---------
End of period $ 534,361 $ 458,012 $ 43,084 $ 45,643
========= ========= ========= =========
* SHARES ISSUED AND REDEEMED:
Shares issued 6,668 15,806 644 2,169
Shares issued in lieu of cash distributions 144 810 20 34
Shares redeemed (6,873) (16,871) (1,114) (3,155)
========= ========= ========= =========
</TABLE>
The accompanying notes are an integral part of the financial statements.
11
<PAGE>
FINANCIAL HIGHLIGHTS
===============================================================================
SEI Index Funds -- (Unaudited)
For a Share Outstanding Throughout each Period
<TABLE>
<CAPTION>
Net
Realized
and
Unrealized Ratio of Net
Net Asset Gains or Dividends Distributions Ratio of Investment
Value Net (Losses) from Net from Net Asset Net Assets Expenses Income
Beginning Investment on Investment Capital Value-End Total End of to Average to Average
of Period Income(1) Securities Income Gains of Period Return Year (000) Net Assets Net Assets
=======================================================================================================================
- -------------------------
S & P 500 INDEX PORTFOLIO
- -------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995* $16.40 $0.22 $2.74 $(0.18) -- $19.18 18.16%(a) $534,361 0.25% 2.41%
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%
- --------------------
BOND INDEX PORTFOLIO
- --------------------
1995* $ 9.90 $0.33 $0.45 $(0.33) -- $10.35 7.97%(a) $43,084 0.38% 6.28%
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%
</TABLE>
<TABLE>
<CAPTION>
Ratio of
Ratio of Net Investment
Expenses Income
to Average to Average
Net Assets Net Assets Portfolio
(Excluding (Excluding Turnover
Waivers) Waivers) Rate
===================================================
- -------------------------
S & P 500 INDEX PORTFOLIO
- -------------------------
<S> <C> <C> <C>
1995* 0.35% 2.31% 1%
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%
- --------------------
BOND INDEX PORTFOLIO
- --------------------
1995* 0.47% 6.19% 12%
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%
<FN>
* For the period ended 9/30/95. All ratios for that period have been annualized.
** For the year ended March 31.
(a) The total return is not annualized.
(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 $.21, $.41, $.41, $.39, $.38 and $.42 for the S&P 500 Index
Portfolio for the period ended 9/30/95 and years ended 3/31/95 through 3/31/91,
respectively and $.32, $.62, $.55, $.65, $.71 and $.78 for the Bond Index
Portfolio for the period ended 9/30/95 and years ended 3/31/95 through 3/31/91,
respectively.
</FN>
</TABLE>
The accompanying notes are an integral part of the financial statements.
12
<PAGE>
NOTES TO FINANCIAL STATEMENTS
===============================================================================
SEI Index Funds -- September 30, 1995 (Unaudited)
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
management 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
exceeding 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
Agreements 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 collateral 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 $10,000 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 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 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
assets 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 the form of monthly dividends. Any net realized
13
<PAGE>
NOTES TO FINANCIAL STATEMENTS
===============================================================================
SEI Index Funds -- September 30, 1995 (Unaudited)
capital gains on sales of securities 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
directors of the Manager. The Trust pays each unaffiliated Trustee an annual fee
for attendance at quarterly, interim and committee meetings. Compensation of
officers 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 January
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
Portfolio 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.
5. INVESTMENT TRANSACTIONS:
The cost of security purchases and the proceeds from the sale of securities,
other than temporary cash investments, during the period ended September 30,
1995 were as follows:
U.S.
Government
Securities All Other Total
(000) (000) (000)
---------- ---------- ----------
S&P 500 INDEX PORTFOLIO
Purchases $ 0 $30,279 $30,279
Sales 0 3,195 3,195
BOND INDEX PORTFOLIO
Purchases $4,736 $ 354 $ 5,090
Sales 8,802 195 8,997
On September 30, 1995, the total cost of securities for Federal income tax
purposes was not materially different from amounts reported for financial
reporting purposes. The aggregate gross unrealized appreciation and depreciation
on securities at September 30,1995, for each Portfolio is as follows:
Net
Appreciated Depreciated Unrealized
Securities Securities Appreciation
(000) (000) (000)
----------- ----------- ------------
S&P 500 Index Portfolio $141,683 $10,905 $130,778
Bond Index Portfolio 1,259 347 912
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 instrumentalities. The ability of the issuers of the repurchase agreements
and other bonds held by the Portfolio to meet their obligations may be affected
by economic 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
14
<PAGE>
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 September 30, 1995:
% of
Portfolio
Moody's Value
-------- ---------
U.S. Government Securities 80.28%
Repurchase Agreements .... 0.59%
Other Bonds:
Aaa ................. 1.52%
Aa .................. 4.82%
A ................... 7.09%
Baa ................. 5.70%
------
100.00%
======
At March 31, 1995, the Bond Index Portfolio had a capital loss carryover of
$1,046,000 which expires in 2003.
6. FUTURES CONTRACTS:
A summary of the open S&P 500 Index futures contracts held by the S&P 500 Index
Portfolio is as follows:
Unrealized
Number of Trade Face Settlement Gain/(Loss)
Contracts Price Amount Month (000)
- -------- -------- -------- ---------- -----------
10 $576.70 $5,000 Dec 1995 $ 57
10 578.75 5,000 Dec 1995 47
10 580.85 5,000 Dec 1995 37
4 585.70 2,000 Dec 1995 5
4 585.80 2,000 Dec 1995 5
3 585.50 1,500 Dec 1995 4
2 576.95 1,000 Dec 1995 11
2 579.80 1,000 Dec 1995 8
2 578.80 1,000 Dec 1995 9
2 579.00 1,000 Dec 1995 9
2 584.30 1,000 Dec 1995 4
2 586.10 1,000 Dec 1995 2
1 574.85 500 Dec 1995 7
1 583.75 500 Dec 1995 2
1 587.20 500 Dec 1995 1
1 587.15 500 Dec 1995 1
1 586.35 500 Dec 1995 1
1 585.70 500 Dec 1995 1
1 582.50 500 Dec 1995 3
----
$214
====
15
<PAGE>
==========================
SEI INDEX FUNDS
==========================
SEMI-ANNUAL REPORT
==========================
September 30, 1995 (Unaudited)
Robert A. Nesher
Chairman
TRUSTEES
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
Todd Cipperman
Vice President, Assistant Secretary
Kathryn L. Stanton
Vice President, Assistant Secretary
Sandra K. Orlow
Vice President, Assistant Secretary
Joseph M. Lydon
Vice President, Assistant Secretary
Kevin P. Robins
Vice President, Assistant Secretary
Jeffrey A. Cohen
Controller, Assistant Secretary
Richard W. Grant
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 LLP
INDEPENDENT PUBLIC ACCOUNTANTS
Arthur Andersen 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
Financial Services Company, the Distributor of the SEI Funds, is not affiliated
with any bank.
For more information call 1(BULLET)800(BULLET)DIAL(BULLET)SEI/
1(BULLET)800(BULLET)342(BULLET)5734
<PAGE>
SEI-F-040-05
