SEMI-ANNUAL REPORT AS OF
SEPTEMBER 30, 1996 (UNAUDITED)
SEI INDEX FUNDS
================================================================================
S&P 500 Index
================================================================================
Bond Index
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SEI Logo
[GRAPHIC OMITTED]
<PAGE>
TABLE OF CONTENTS
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STATEMENT OF NET ASSETS.............................................. 1
STATEMENT OF OPERATIONS.............................................. 10
STATEMENTS OF CHANGES IN NET ASSETS.................................. 11
FINANCIAL HIGHLIGHTS................................................. 12
NOTES TO FINANCIAL STATEMENTS........................................ 13
SHAREHOLDER VOTING RESULTS........................................... 16
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INDEX FUNDS -- SEPTEMBER 30, 1996 (UNAUDITED)
S&P 500 INDEX PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 96.0%
AGRICULTURE -- 0.1%
Pioneer Hi Bred International 11,400 $ 690
---------
AIR TRANSPORTATION -- 0.4%
AMR* 12,585 1,002
Delta Air Lines 10,885 784
Federal Express* 7,835 621
Southwest Airlines 20,000 457
US Air Group* 8,865 146
---------
3,010
---------
AIRCRAFT -- 2.0%
Allied Signal 39,070 2,574
Boeing 48,103 4,546
General Dynamics 8,730 601
Lockheed Martin 27,616 2,489
McDonnell Douglas 29,690 1,559
Northrop 7,965 639
Textron 11,055 940
United Technologies 16,865 2,026
---------
15,374
---------
APPAREL/TEXTILES -- 0.2%
Fruit of the Loom*, Cl A 10,500 325
Liz Claiborne 10,150 378
Russell 5,365 173
Springs Industries, Cl A 2,770 123
VF 8,730 525
---------
1,524
---------
AUTOMOTIVE -- 2.4%
Chrysler 100,584 2,879
Cooper Tire & Rubber 11,600 251
Dana 14,030 424
Eaton 10,730 648
Echlin 8,435 265
Fleetwood Enterprises 4,890 150
Ford Motor 163,340 5,104
General Motors 104,430 5,013
Genuine Parts 16,695 730
Goodyear Tire & Rubber 21,470 990
ITT Industries 16,265 392
Navistar International* 10,426 89
Paccar 5,354 293
TRW 8,860 824
---------
18,052
---------
BANKS -- 7.2%
Banc One 60,186 2,468
Bank of Boston 21,507 1,245
Bank of New York 53,300 1,566
BankAmerica 49,688 4,081
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Bankers Trust, New York 11,504 $ 905
Barnett Banks 26,670 900
Boatmen's Bancshares 21,600 1,207
Chase Manhattan 61,214 4,905
Citicorp 66,345 6,013
Comerica 15,900 819
CoreStates Financial 30,745 1,330
Fifth Third Bancorp 14,600 849
First Chicago 43,702 1,978
First Union 38,062 2,541
Fleet Financial Group 36,289 1,615
Golden West Financial 8,005 467
Great Western Financial 18,970 503
H.F. Ahmanson 14,800 414
J.P. Morgan 25,730 2,287
KeyCorp 31,771 1,398
Mellon Bank 17,905 1,061
National City 30,600 1,289
NationsBank 40,261 3,498
Norwest 51,186 2,092
PNC Bank 47,060 1,571
Republic New York 7,600 525
SunTrust Banks 30,430 1,248
U.S. Bancorp 21,300 841
Wachovia 23,000 1,138
Wells Fargo 12,928 3,361
---------
54,115
---------
CHEMICALS -- 2.7%
Air Products & Chemicals 15,370 895
B.F. Goodrich 7,390 333
Dow Chemical 33,850 2,716
E.I. du Pont de Nemours 77,495 6,839
Eastman Chemical 10,791 630
FMC* 5,165 351
Great Lakes Chemical 8,800 502
Hercules 14,795 810
Monsanto 80,950 2,955
Morton International 19,695 783
Nalco Chemical 9,300 337
Praxair 21,465 923
Rohm & Haas 9,035 592
Union Carbide 17,865 815
W.R. Grace* 11,300 588
---------
20,069
---------
COMMUNICATIONS -- 8.3%
Airtouch Communications* 68,890 1,903
ALLTEL 26,200 730
Ameritech 75,910 3,995
AT&T 222,699 11,636
Bell Atlantic 60,500 3,622
BellSouth 140,627 5,203
1
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INDEX FUNDS -- SEPTEMBER 30, 1996 (UNAUDITED)
S&P 500 INDEX PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Comcast, Special Cl A* 32,227 $ 495
DSC Communications* 16,130 403
GTE 133,680 5,147
Harris* 5,365 349
Interpublic Group 11,200 529
Lucent Technologies 9,000 413
MCI Communications 95,030 2,435
Motorola 81,860 4,226
Northern Telecom Ltd. 35,665 2,060
NYNEX 60,600 2,636
Pacific Telesis Group 59,190 1,990
SBC Telecommunications 84,190 4,052
Scientific-Atlanta 10,584 168
Sprint 59,500 2,313
Tele-Communications, Cl A* 90,235 1,348
Tellabs* 12,300 869
US West 65,960 1,962
US West Media Group* 65,460 1,105
Viacom, Cl B* 49,300 1,750
WorldCom* 53,600 1,146
---------
62,485
---------
COMPUTERS & SERVICES -- 8.0%
Amdahl* 16,700 158
Apple Computer* 17,220 382
Autodesk 6,300 163
Automatic Data Processing 40,020 1,746
Bay Networks* 26,000 708
Cabletron Systems* 10,500 718
Ceridian* 9,465 473
Cisco Systems* 89,400 5,548
Compaq Computer* 37,190 2,385
Computer Associates International 50,335 3,008
Computer Sciences* 10,360 796
CUC International* 34,000 1,356
Data General* 5,470 77
Dell Computer* 12,500 972
Digital Equipment* 21,515 769
EMC* 32,000 724
First Data 30,952 2,526
Hewlett Packard 141,260 6,886
International Business Machines 72,980 9,086
Intergraph* 6,535 72
Microsoft* 82,600 10,893
Novell* 48,800 537
Oracle Systems* 90,362 3,846
Pitney Bowes 20,560 1,082
Safety-Kleen 8,010 132
Seagate Technology* 14,600 816
Shared Medical Systems 3,195 182
Silicon Graphics* 23,800 527
Sun Microsystems* 25,400 1,578
Tandem Computers* 16,250 175
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Tandy 8,197 $ 331
Texas Instruments 26,160 1,442
Unisys* 23,985 147
---------
60,241
---------
CONSTRUCTION -- 0.4%
Armstrong World Industries 5,065 316
Centex 3,940 129
Fluor 11,530 709
Foster Wheeler 5,565 243
Halliburton 15,870 819
McDermott International 7,565 165
Owens-Corning Fiberglass 7,165 264
---------
2,645
---------
CONTAINERS & PACKAGING -- 0.1%
Ball 4,195 103
Crown Cork & Seal 17,685 816
---------
919
---------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT-- 2.9%
3Com* 23,300 1,399
Advanced Micro Devices* 18,730 276
AMP 30,278 1,173
Honeywell 17,460 1,102
Intel 113,620 10,844
Johnson Controls 5,765 432
LSI Logic* 17,800 414
Micron Technology 28,800 878
Millipore 5,990 237
National Semiconductor* 19,125 385
Perkin Elmer 6,065 351
Raytheon 32,640 1,816
Rockwell International 30,130 1,699
Tektronix 4,570 187
Thomas & Betts 5,540 227
---------
21,420
---------
ENVIRONMENTAL SERVICES -- 0.5%
Browning-Ferris Industries 29,335 733
Ecolab 8,850 299
Laidlaw, Cl B 43,200 475
WMX Technologies 67,880 2,232
---------
3,739
---------
FINANCIAL SERVICES -- 3.6%
Allstate 61,452 3,027
American Express 65,547 3,032
Beneficial 7,390 425
Dean Witter Discover 22,708 1,249
Federal Home Loan Mortgage
Corporation 24,700 2,418
2
<PAGE>
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- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Federal National Mortgage
Association 150,860 $ 5,261
First Bank System 19,500 1,304
Green Tree Financial 19,000 746
Household International 13,330 1,096
MBNA 30,800 1,070
Merrill Lynch 23,300 1,529
Morgan Stanley Group 21,000 1,045
Salomon 14,565 665
Transamerica 9,130 638
Travelers Group 66,058 3,245
---------
26,750
---------
FOOD, BEVERAGE & TOBACCO -- 8.5%
Adolph Coors, Cl B 5,265 115
American Brands 23,540 995
Anheuser Busch 67,700 2,547
Archer Daniels Midland 75,428 1,452
Brown-Forman, Cl B 9,560 374
CPC International 19,960 1,494
Campbell Soup 34,330 2,678
Coca-Cola 344,360 17,519
Conagra 33,542 1,652
Fleming Companies 5,270 92
General Mills 21,960 1,326
H.J. Heinz 51,120 1,725
Hershey Foods 21,200 1,065
Kellogg 29,240 2,014
PepsiCo 216,380 6,113
Philip Morris 113,110 10,152
Quaker Oats 18,760 687
Ralston-Ralston Purina Group 14,660 1,004
Sara Lee 67,080 2,398
Seagram 51,700 1,932
Supervalu 9,330 257
Sysco 25,110 844
UST 25,940 768
Unilever NV, ADR 22,135 3,489
Whitman 14,495 335
William Wrigley, Jr. 16,005 964
---------
63,991
---------
FOOTWEAR -- 0.4%
Nike, Cl B 19,760 2,401
Reebok International 7,720 268
Stride Rite 6,800 61
---------
2,730
---------
GLASS PRODUCTS -- 0.4%
Corning 31,760 1,239
Newell 21,900 657
PPG Industries 25,790 1,402
---------
3,298
---------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 3.5%
Alberto-Culver, Cl B 3,790 $ 164
Avon Products 18,370 912
Clorox 7,135 684
Colgate Palmolive 20,294 1,763
Gillette 61,488 4,435
International Flavors & Fragrances 15,295 667
Jostens 5,350 112
Masco 22,140 664
Maytag 13,930 272
Minnesota Mining & Manufacturing 57,930 4,048
National Service Industries 6,585 230
Procter & Gamble 94,654 9,229
Raychem 6,165 462
Rubbermaid 20,660 506
Sherwin Williams 11,880 551
Snap-On Tools 8,397 270
Stanley Works 12,330 347
Tupperware 8,550 419
Whirlpool 10,305 522
---------
26,257
---------
INSURANCE -- 3.1%
Aetna 20,787 1,463
Alexander & Alexander Services 6,265 104
American General 28,280 1,068
American International Group 64,826 6,531
Aon 14,900 808
Chubb 24,060 1,107
Cigna 10,530 1,262
General Re 10,900 1,545
ITT Hartford Group 16,165 954
Jefferson Pilot 9,870 511
Lincoln National 14,430 633
Loews 15,900 1,230
Marsh & McLennan 10,005 972
MGIC Investment 8,100 546
Providian 12,930 556
SAFECO 17,420 610
St. Paul 11,580 643
Torchmark 9,887 454
UNUM 10,100 648
USF&G 16,230 300
United Healthcare 25,400 1,057
USLIFE 4,745 142
---------
23,144
---------
LUMBER & WOOD PRODUCTS -- 0.2%
Georgia-Pacific 12,600 997
Louisiana-Pacific 15,012 342
---------
1,339
---------
3
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INDEX FUNDS -- SEPTEMBER 30, 1996 (UNAUDITED)
S&P 500 INDEX PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MACHINERY -- 5.4%
Applied Materials* 24,800 $ 685
Baker Hughes 19,915 605
Black & Decker 12,135 504
Briggs & Stratton 4,040 179
Brunswick 13,630 327
Case Equipment 10,000 487
Caterpillar 26,650 2,009
Cincinnati Milacron 5,495 104
Cooper Industries 14,895 644
Crane 4,142 184
Cummins Engine 5,440 214
Deere 35,690 1,499
Dover 15,720 751
Dresser Industries 24,770 737
Emerson Electric 30,965 2,791
General Electric 228,080 20,755
General Instrument* 19,000 470
General Signal 6,894 303
Giddings & Lewis 4,800 57
Harnischfeger Industries 6,505 246
Illinois Tool Works 16,870 1,217
Ingersoll Rand 15,070 716
Kaufman & Broad Home 5,337 69
NACCO Industries, Cl A 1,225 58
Pall 15,893 449
Parker-Hannifin 10,252 431
PULTE 3,295 84
Tenneco 23,612 1,184
Timken 4,370 172
Trinova 3,915 123
Tyco Labs 21,100 910
Westinghouse Electric 58,080 1,082
W.W. Grainger 7,090 498
---------
40,544
---------
MEDICAL PRODUCTS & SERVICES -- 10.1%
Abbott Laboratories 107,860 5,312
Allergan 9,000 343
ALZA* 11,700 314
American Home Products 86,840 5,536
Amgen* 36,600 2,310
Bausch & Lomb 7,780 286
Baxter International 37,673 1,761
Becton, Dickinson 17,160 759
Beverly Enterprises* 13,685 149
Biomet* 16,000 262
Boston Scientific* 24,500 1,409
Bristol-Myers Squibb 69,320 6,681
C.R. Bard 7,835 244
Columbia HCA Healthcare 61,773 3,513
Community Psychiatric Centers* 6,165 58
Eli Lilly 75,510 4,870
Humana* 22,400 454
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Johnson & Johnson 184,040 $ 9,432
Mallinckrodt Group 10,285 428
Manor Care 8,647 332
Medtronic 33,120 2,124
Merck 168,025 11,825
Pfizer 88,720 7,020
Pharmacia & Upjohn 70,242 2,897
Schering Plough 51,080 3,141
Sigma Aldrich 6,900 393
St. Jude Medical 11,150 450
Tenet Healthcare* 29,860 664
United States Surgical 8,600 365
Warner Lambert 37,420 2,470
---------
75,802
---------
METAL & METAL INDUSTRIES -- 1.5%
Alcan Aluminum 31,252 938
Allegheny Teledyne 24,048 544
Aluminum Company of America 24,100 1,422
Armco* 14,700 66
Asarco 5,865 156
Barrick Gold 49,300 1,239
Battle Mountain Gold, Cl A 31,000 240
Bethlehem Steel* 15,330 153
Cyprus AMAX Minerals 12,902 277
Echo Bay Mines 19,200 169
Engelhard 19,917 458
Freeport-McMoran Copper &
Gold, Cl B 27,000 844
Homestake Mining 20,300 297
Inco 23,200 713
Inland Steel Industries 6,665 119
Newmont Mining 13,701 647
Nucor 12,080 613
Phelps Dodge 9,030 579
Placer Dome Group 33,029 780
Reynolds Metals 8,835 452
Santa Fe Pacific Gold 18,112 226
USX-U.S. Steel Group 11,667 333
Worthington Industries 12,522 250
---------
11,515
---------
OIL & GAS -- 8.2%
Amerada Hess 12,830 678
Amoco 68,695 4,843
Ashland 8,925 355
Atlantic Richfield 22,180 2,828
Burlington Resources 17,300 768
Chevron 90,120 5,644
Coastal 14,602 602
Exxon 171,495 14,277
Helmerich & Payne 3,395 148
Kerr McGee 6,835 416
4
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Louisiana Land & Exploration 4,740 $ 249
Mobil 54,445 6,302
Occidental Petroleum 44,630 1,043
Oryx Energy* 14,470 257
Pennzoil 6,465 342
Phillips Petroleum 36,335 1,553
Rowan* 11,705 218
Royal Dutch Petroleum 74,035 11,559
Santa Fe Energy Resources* 12,581 179
Schlumberger 33,865 2,862
Sun 10,170 234
Texaco 36,510 3,359
Unocal 34,290 1,234
USX-Marathon Group 39,735 859
Western Atlas* 7,390 460
---------
61,269
---------
PAPER & PAPER PRODUCTS -- 1.6%
Alco Standard 18,030 899
Avery Dennison 7,265 403
Bemis 7,290 247
Boise Cascade 6,731 229
Champion International 13,200 606
International Paper 41,379 1,759
James River 11,802 326
Kimberly-Clark 38,907 3,429
Mead 7,260 426
Potlatch 3,970 154
Stone Container 13,716 214
Temple-Inland 7,690 406
Union Camp 9,455 462
Westvaco 14,090 417
Weyerhaeuser 27,370 1,262
Willamette Industries 7,600 498
---------
11,737
---------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.8%
Eastman Kodak 46,565 3,655
Polaroid 6,258 275
Xerox 44,875 2,406
---------
6,336
---------
PRINTING & PUBLISHING -- 1.2%
American Greetings, Cl A 10,300 295
Deluxe 11,355 429
Dow Jones 13,400 496
Gannett 19,435 1,368
John H. Harland 4,250 127
Knight-Ridder 13,270 491
McGraw-Hill 13,770 587
Meredith 3,740 185
Moore 13,800 254
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
New York Times, Cl A 13,530 $ 457
R.R. Donnelley & Sons 21,160 682
Time Warner 54,064 2,088
Times Mirror, Cl A 14,265 635
Tribune 8,430 658
---------
8,752
---------
PROFESSIONAL SERVICES -- 0.4%
Dun & Bradstreet 23,532 1,403
EG & G 6,540 117
H&R Block 14,270 425
Service International 32,544 984
---------
2,929
---------
RECREATIONAL PRODUCTS & SERVICES -- 1.6%
Andrew* 8,310 414
Bally Entertainment* 7,045 200
Harrah's Entertainment* 14,185 264
Hasbro 11,952 444
HFS* 17,000 1,137
Hilton Hotels 26,960 765
ITT* 16,165 705
King World Productions* 5,162 190
Marriott International 17,670 974
Mattel 37,777 977
Walt Disney 93,667 5,936
---------
12,006
---------
RETAIL -- 5.4%
Albertson's 34,840 1,468
American Stores 20,160 806
Charming Shoppes* 14,370 86
Circuit City Stores 13,500 488
Darden Restaurants* 21,860 189
Dayton-Hudson 29,890 986
Dillard Department Stores, Cl A 15,720 507
F.W. Woolworth* 18,320 378
Federated Department Stores* 28,700 961
The Gap 39,620 1,144
Giant Food, Cl A 8,260 281
Great Atlantic & Pacific Tea 5,265 136
Harcourt General 10,066 556
Home Depot 66,174 3,764
J.C. Penney 31,030 1,679
Kmart* 67,080 688
Kroger* 17,380 778
The Limited 37,412 715
Longs Drug Stores 2,695 117
Lowe's 23,760 971
Luby's Cafeterias 3,355 81
May Department Stores 34,462 1,676
McDonald's 96,600 4,576
5
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INDEX FUNDS -- SEPTEMBER 30, 1996 (UNAUDITED)
S&P 500 INDEX PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Melville 14,570 $ 643
Mercantile Stores 5,115 276
Nordstrom 11,230 427
Pep Boys - Manny Moe & Jack 8,550 305
Price/Costco* 27,058 555
Rite Aid 11,630 422
Ryan's Family Steak Houses* 7,025 54
Sears Roebuck 54,025 2,418
Shoney's* 6,615 60
TJX 10,110 363
Toys "R" Us* 37,765 1,100
Wal-Mart Stores 316,720 8,353
Walgreen 34,040 1,259
Wendy's International 17,775 382
Winn Dixie Stores 20,960 731
---------
40,379
---------
TRANSPORTATION SERVICES -- 1.2%
Burlington Northern-Santa Fe 21,100 1,780
CSX 29,218 1,475
Caliber System 5,365 87
Conrail 11,210 811
Consolidated Freightways 6,115 150
Norfolk Southern 17,400 1,590
Ryder System 11,230 333
Union Pacific 33,640 2,464
Yellow* 3,920 51
---------
8,741
---------
UTILITIES, ELECTRIC & GAS -- 3.7%
American Electric Power 25,925 1,053
Baltimore Gas & Electric 20,395 533
Carolina Power & Light 21,000 724
Central & South West 29,000 754
Cinergy 21,792 673
Columbia Gas System 7,615 426
Consolidated Edison of New York 32,490 902
Consolidated Natural Gas 13,030 699
Dominion Resources 24,575 928
DTE Energy 20,035 561
Duke Power 28,050 1,308
Eastern Enterprises 2,791 105
Edison International 60,540 1,082
Enron 35,060 1,429
Enserch 9,535 199
Entergy 31,520 851
FPL Group 25,328 1,095
General Public Utilities 16,600 510
Houston Industries 36,340 804
Niagara Mohawk Power* 19,965 160
Nicor 6,900 233
Noram Energy 18,925 282
Northern States Power 9,460 441
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Ohio Edison 21,035 $ 408
Oneok 3,800 104
PECO Energy 30,775 731
PP&L Resources 22,300 488
Pacific Enterprises 11,742 355
Pacific Gas & Electric 57,445 1,249
Pacificorp 40,600 837
Panenergy 21,451 745
Peoples Energy 4,840 165
Public Service Enterprise Group 33,783 904
Sonat 11,930 528
Southern 93,026 2,105
Texas Utilities 31,005 1,229
UNICOM 29,795 749
Union Electric 14,100 520
Williams 14,530 741
---------
27,610
---------
Total Common Stocks
(Cost $499,797,000) 719,412
---------
PREFERRED STOCKS -- 0.0%
INSURANCE -- 0.0%
Aetna 1,498 109
---------
Total Preferred Stocks
(Cost $99,000) 109
---------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bill
5.060%, 12/12/96 (A) $2,250 2,227
---------
Total U.S. Treasury Obligation
(Cost $2,227,000) 2,227
---------
REPURCHASE AGREEMENT -- 3.5%
J.P. Morgan
5.770%, dated 09/30/96, matures
10/01/96, repurchase price
$26,305,328 (collateralized by
various GNMA obligations
ranging in par value $550,000 -
$1,880,548, 7.000%, 08/15/25 -
05/15/26: total market
value $26,845,779) 26,301 26,301
---------
Total Repurchase Agreement
(Cost $26,301,000) 26,301
---------
Total Investments -- 99.8%
(Cost $528,424,000) 748,049
---------
OTHER ASSETS AND LIABILITIES -- 0.2%
Other assets and liabilities, net 1,249
---------
6
<PAGE>
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS -- 100.0% $749,298
========
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
31,457,676 outstanding shares
of beneficial interest $466,876
Portfolio Shares of Class E (unlimited
authorization -- no par value) based on
2,264,649 outstanding shares of
beneficial interest 47,923
Undistributed net investment income 3,871
Accumulated net realized gain on investments 10,555
Net unrealized appreciation on futures
contracts 448
Net unrealized appreciation on investments 219,625
---------
Total Net Assets-- 100.0% $749,298
=========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $22.22
=========
Net Asset Value, Offering and Redemption
Price Per Share-- Class E $22.19
=========
* NON-INCOME PRODUCING SECURITY.
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR--AMERICAN DEPOSITORY RECEIPT
CL--CLASS
GNMA--GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
BOND INDEX PORTFOLIO
U.S. TREASURY OBLIGATIONS -- 41.5%
U.S. Treasury Bonds
13.125%, 05/15/01 $ 525 $ 664
10.750%, 02/15/03 680 826
10.750%, 05/15/03 950 1,159
12.000%, 05/15/05 300 403
10.750%, 08/15/05 430 544
7.625%, 02/15/07 350 363
12.750%, 11/15/10 320 448
9.250%, 02/15/16 700 863
8.875%, 02/15/19 340 409
8.125%, 08/15/19 380 425
8.500%, 02/15/20 200 232
7.875%, 02/15/21 1,000 1,092
8.000%, 11/15/21 915 1,014
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. Treasury Notes
8.750%, 10/15/97 $ 950 $ 977
6.000%, 11/30/97 2,650 2,653
8.875%, 11/15/98 1,720 1,811
9.125%, 05/15/99 2,015 2,152
6.875%, 07/31/99 300 304
6.375%, 01/15/00 1,500 1,502
5.875%, 11/15/05 500 472
---------
Total U.S. Treasury Obligations
(Cost $18,325,000) 18,313
---------
U.S. GOVERNMENT AGENCY POOLED
MORTGAGES -- 29.5%
FHLMC
6.000%, 04/01/98 240 235
8.500%, 10/01/01 18 19
9.000%, 11/01/04 44 46
7.500%, 05/01/07 118 119
8.500%, 08/01/07 108 111
7.000%, 11/01/07 122 121
6.500%, 07/01/08 186 180
6.000%, 01/01/09 141 134
9.000%, 07/01/09 22 23
8.500%, 01/01/10 94 97
8.000%, 01/01/11 142 145
6.500%, 04/01/11 146 142
9.500%, 08/01/17 64 69
10.500%, 12/01/17 32 35
9.500%, 01/01/19 35 37
10.500%, 06/01/19 16 17
9.500%, 10/01/20 40 42
9.500%, 02/01/21 9 9
8.000%, 01/01/22 25 26
7.500%, 01/01/23 141 139
8.500%, 01/01/23 73 75
7.500%, 05/01/23 188 186
7.000%, 08/01/23 400 387
7.000%, 05/01/24 228 221
8.000%, 01/01/25 177 179
6.500%, 10/01/25 200 188
7.500%, 05/01/26 262 259
8.000%, 05/01/26 361 364
FNMA
6.500%, 03/01/03 238 234
8.250%, 10/12/04 500 513
9.000%, 10/01/06 37 39
8.500%, 05/01/07 45 46
7.500%, 06/01/07 131 132
8.000%, 08/01/07 105 107
7.500%, 01/01/08 141 142
7.000%, 02/01/08 210 208
7.000%, 04/01/08 65 64
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
7
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- SEPTEMBER 30, 1996 (UNAUDITED)
BOND INDEX PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
8.000%, 12/01/08 $ 84 $ 85
6.000%, 12/25/08 370 351
6.500%, 03/01/11 144 139
6.500%, 04/01/11 197 191
10.500%, 03/01/14 35 39
10.500%, 06/01/18 94 104
8.000%, 02/01/19 71 71
9.500%, 07/01/20 23 24
9.500%, 02/01/21 13 14
8.500%, 03/01/22 146 149
8.000%, 06/01/22 191 193
8.500%, 10/01/22 95 97
7.500%, 01/01/23 325 321
8.000%, 05/01/23 198 200
7.000%, 06/01/23 382 368
6.000%, 12/25/23 175 160
6.000%, 01/01/24 495 451
8.000%, 01/01/24 40 41
7.500%, 01/01/26 470 465
6.500%, 02/01/26 298 280
7.000%, 03/01/26 587 567
GNMA
8.000%, 10/15/07 49 49
9.500%, 09/15/09 35 37
6.500%, 03/15/11 140 136
11.500%, 04/15/15 39 44
8.500%, 02/15/17 75 77
9.000%, 04/15/17 330 346
8.500%, 05/15/17 134 138
9.500%, 07/15/17 43 46
9.750%, 10/15/17 24 26
10.000%, 09/15/18 36 40
11.000%, 10/15/19 3 3
9.000%, 11/15/19 269 282
10.000%, 02/20/21 25 27
9.000%, 08/15/21 22 23
8.500%, 11/15/21 104 107
8.500%, 11/15/22 43 44
7.500%, 01/15/23 198 196
7.000%, 05/15/23 370 356
8.000%, 09/15/23 323 326
7.000%, 11/15/23 342 330
6.500%, 02/15/24 330 308
7.500%, 02/15/26 234 231
7.500%, 03/15/26 457 451
---------
Total U.S. Government Agency Pooled
Mortgages
(Cost $13,318,000) 13,023
---------
CORPORATE BONDS -- 17.1%
Associates NA
5.600%, 01/15/01 300 285
Baltimore Gas & Electric
7.250%, 07/01/02 200 203
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Banc One
7.250%, 08/01/02 $ 200 $ 203
BankAmerica
6.000%, 07/15/97 500 500
BP America
8.875%, 12/01/97 200 206
Cabot
8.340%, 08/05/22 500 516
Campbell Soup
8.875%, 05/01/21 300 343
Chase Manhattan
8.625%, 05/01/02 150 161
Commonwealth Edison
6.500%, 04/15/00 250 246
ConAgra
7.400%, 09/15/04 260 260
First Union
7.050%, 08/01/05 500 490
Grand Metropolitan Investment
8.000%, 09/15/22 100 104
Integra Financial
8.500%, 05/15/02 250 267
J.P. Morgan
5.750%, 10/15/08 200 175
Manufacturers Hanover
8.500%, 02/15/99 200 208
New York Telephone
8.625%, 11/15/10 200 222
Public Service of Colorado
7.125%, 06/01/06 200 199
R.R. Donnelley & Sons
9.125%, 12/01/00 239 259
Rockwell International
6.750%, 09/15/02 150 149
Sprint
9.250%, 04/15/22 300 348
Tenneco
9.875%, 02/01/01 250 275
Texaco Capital
9.000%, 12/15/99 200 214
Texas Utilities
6.750%, 03/01/03 300 293
Union Electric
5.500%, 03/01/97 345 344
Union Oil California
9.150%, 02/15/06 350 393
Virginia Electric & Power
7.250%, 03/01/97 165 166
Wells Fargo
8.375%, 05/15/02 230 244
Whirlpool
9.100%, 02/01/08 250 283
---------
Total Corporate Bonds
(Cost $7,483,000) 7,556
---------
8
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
YANKEE BONDS -- 3.4%
International Bank
8.250%, 09/01/16 $ 200 $ 220
Landeskredit Bank
7.875%, 04/15/04 250 262
Quebec Province
8.625%, 01/19/05 500 541
Republic of Ireland
7.875%, 12/01/01 200 208
Santander Financial
7.750%, 05/15/05 150 153
Tokyo Metropolis
8.700%, 10/05/99 125 132
---------
Total Yankee Bonds
(Cost $1,535,000) 1,516
---------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 4.8%
FHLB
8.220%, 05/29/98 125 129
5.440%, 10/15/03 150 139
FHLMC
7.900%, 09/19/01 250 263
FNMA
8.200%, 03/10/98 225 231
8.450%, 07/12/99 200 210
9.050%, 04/10/00 200 215
8.250%, 12/18/00 50 53
7.500%, 02/11/02 100 104
0.000%, 07/05/14 415 114
10.350%, 12/10/15 290 379
Resolution Funding Corporation
8.875%, 04/15/30 230 281
---------
Total U.S. Government Agency Obligations
(Cost $2,059,000) 2,118
---------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.5%
Lehman Brothers
5.330%, dated 09/30/96, matures
10/01/96, repurchase price
$1,123,652 (collateralized by
U.S. Treasury Note, par value
$1,159,788, 6.000%, matures
09/30/98: total market
value $1,157,977) $1,123 $ 1,123
---------
Total Repurchase Agreement
(Cost $1,123,000) 1,123
---------
Total Investments -- 98.8%
(Cost $43,843,000) 43,649
---------
OTHER ASSETS AND LIABILITIES -- 1.2%
Other assets and liabilities, net 510
---------
NET ASSETS -- 100.0% $44,159
=========
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 4,372,251 outstanding shares
of beneficial interest $45,361
Accumulated net realized loss on investments (1,008)
Net unrealized depreciation on investments (194)
---------
Total Net Assets -- 100.0% $44,159
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $10.10
=========
FHLB--FEDERAL HOME LOAN BANK
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA--GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
9
<PAGE>
STATEMENT OF OPERATIONS (000)
================================================================================
SEI INDEX FUNDS -- FOR THE SIX MONTH PERIOD ENDED SEPTEMBER 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
------------ ----------
S&P 500 BOND
INDEX INDEX
PORTFOLIO PORTFOLIO
------------ ----------
<S> <C> <C>
INVESTMENT INCOME:
Dividends $ 7,402 $ --
Interest 1,024 1,586
---------- --------
Total Investment Income 8,426 1,586
---------- --------
EXPENSES:
Management Fees 753 84
Waiver of Management Fees (214) (25)
Investment Advisory Fees 103 17
Custodian/Wire Agent Fees 54 4
Trustee Fees 10 1
Pricing Fees 8 1
Professional Fees 33 2
Registration Fees 26 2
Distribution Fees 15 1
Shareholder Servicing Fees--Class E (1) 21 --
Printing Expense 44 4
Other Expenses 24 --
---------- --------
Total Expenses 877 91
---------- --------
NET INVESTMENT INCOME 7,549 1,495
---------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain (Loss) from Securities Sold 1,976 (304)
Net Realized Gain from Futures Contracts 2,032 --
---------- --------
Net Realized Gain (Loss) from Security Transactions 4,008 (304)
---------- --------
Change in Unrealized Appreciation (Depreciation) on Investment Securities 39,031 (309)
Change in Unrealized Appreciation on Futures Contracts 330 --
---------- --------
Net Change in Unrealized Appreciation (Depreciation) on Investments 39,361 (309)
---------- --------
Net Realized and Unrealized Gain (Loss) on Investments 43,369 (613)
---------- --------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 50,918 $ 882
========== ========
<FN>
(1) FEES ARE INCURRED AT THE CLASS E LEVEL ONLY.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
10
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
================================================================================
SEI INDEX FUNDS -- FOR THE SIX MONTH PERIOD ENDED SEPTEMBER 30, 1996 (UNAUDITED)
AND FOR THE YEAR ENDED MARCH 31, 1996.
<TABLE>
<CAPTION>
------------------- -------------------
S&P 500 INDEX BOND INDEX
PORTFOLIO PORTFOLIO
------------------- -------------------
4/1/96- 4/1/95- 4/1/96- 4/1/95-
9/30/96 3/31/96 9/30/96 3/31/96
------- ------- ------- --------
<S> <C> <C> <C> <C>
OPERATIONS:
Net Investment Income $ 7,549 $ 12,377 $ 1,495 $ 2,753
Net Realized Gain (Loss) from Security Transactions 4,008 10,434 (304) 342
Net Change in Unrealized Appreciation (Depreciation) of
Investment Securities 39,361 122,078 (309) 1,178
------- -------- ------- -------
Net Increase in Net Assets Resulting from Operations 50,918 144,889 882 4,273
------- -------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income:
Class A (6,774) (10,329) (1,734) (2,767)
Class E (164) -- -- --
Net Realized Gain:
Class A -- (8,827) -- --
Class E -- -- -- --
------- -------- ------- -------
Total Distributions (6,938) (19,156) (1,734) (2,767)
------- -------- ------- -------
CAPITAL SHARE TRANSACTIONS:*
CLASS A:
Shares Issued 134,336 324,157 6,880 24,406
Shares Issued in Lieu of Cash Distributions 3,354 10,239 541 561
Shares Redeemed (110,831) (287,592) (13,595) (20,931)
-------- -------- ------- -------
Net Increase (Decrease) from Class A Transactions 26,859 46,804 (6,174) 4,036
-------- -------- ------- -------
CLASS E:
Shares Issued 46,605 3,243 -- --
Shares Issued in Lieu of Cash Distributions 157 -- -- --
Shares Redeemed (1,876) (219) -- --
-------- -------- -------- --------
Net Increase from Class E Transactions 44,886 3,024 -- --
-------- -------- -------- --------
Net Increase (Decrease) from Capital Share Transactions 71,745 49,828 (6,174) 4,036
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets 115,725 175,561 (7,026) 5,542
-------- -------- -------- --------
NET ASSETS:
Beginning of Period 633,573 458,012 51,185 45,643
-------- -------- -------- --------
End of Period (including undistributed net investment
income of $3,871; $3,261; $0 and $238) $749,298 $633,573 $44,159 $ 51,185
======== ======== ======== ========
*SHARES ISSUED AND REDEEMED:
CLASS A:
Shares Issued 6,362 16,895 682 2,354
Shares Issued in Lieu of Cash Distributions 157 532 54 54
Shares Redeemed (5,470) (15,159) (1,351) (2,033)
-------- -------- ------- -------
Total Class A Transactions 1,049 2,268 (615) 375
-------- -------- ------- -------
CLASS E:
Shares Issued 2,201 155 -- --
Shares Issued in Lieu of Cash Distributions 7 -- -- --
Shares Redeemed (88) (11) -- --
-------- -------- ------- -------
Total Class E Transactions 2,120 144 -- --
-------- -------- ------- -------
Increase (Decrease) in Capital Shares 3,169 2,412 (615) 375
======== ======== ======= =======
<FN>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
</TABLE>
11
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
SEI INDEX FUNDS -- FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD ENDED SEPTEMBER
30, 1996 (UNAUDITED) AND FOR THE YEAR ENDED MARCH 31.
<TABLE>
NET REALIZED
NET ASSET AND DISTRIBUTIONS DISTRIBUTIONS RATIO OF
VALUE, NET UNREALIZED FROM NET FROM NET ASSET NET ASSETS EXPENSES
BEGINNING INVESTMENT GAINS OR (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------
- ------------------------
S&P 500 INDEX PORTFOLIO
- ------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A
1996* $20.88 $0.23 $ 1.33 $(0.22) $ -- $22.22 7.53%** $699,036 0.25%
1996 16.40 0.44 4.72 (0.37) (0.31) 20.88 31.88% 630,566 0.25%
1995 15.07 0.42 1.79 (0.42) (0.46) 16.40 15.26% 458,012 0.25%
1994 15.80 0.43 (0.22) (0.42) (0.52) 15.07 1.19% 424,647 0.25%
1993 14.17 0.40 1.69 (0.40) (0.06) 15.80 14.97% 675,484 0.25%
1992 13.43 0.40 1.01 (0.41) (0.26) 14.17 10.71% 470,847 0.25%
Class E
1996* $20.87 $0.28 $ 1.26 $(0.22) $ -- $22.19 7.41%** $ 50,262 0.40%
1996(1) 20.82 -- 0.05 -- -- 20.87 0.24%** 3,007 0.46%
- ---------------------
BOND INDEX PORTFOLIO
- ---------------------
1996* $10.26 $0.31 $(0.11) $(0.36) $ -- $10.10 2.04%** $ 44,159 0.38%
1996(2) 9.90 0.64 0.36 (0.64) -- 10.26 10.31% 51,185 0.38%
1995 10.09 0.63 (0.20) (0.62) -- 9.90 4.54% 45,643 0.38%
1994 10.43 0.56 (0.33) (0.57) -- 10.09 2.10% 56,161 0.38%
1993 9.87 0.66 0.56 (0.66) -- 10.43 12.73% 56,032 0.38%
1992 9.73 0.73 0.15 (0.74) -- 9.87 9.48% 38,449 0.38%
</TABLE>
RATIO OF
RATIO NET INVESTMENT
RATIO OF NET OF EXPENSES INCOME
INVESTMENT TO AVERAGE TO AVERAGE
INCOME NET ASSETS NET ASSETS PORTFOLIO AVERAGE
TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER COMMISSION
NET ASSETS WAIVERS) WAIVERS) RATE RATE+
- --------------------------------------------------------------------------
<TABLE>
- ------------------------
S&P 500 INDEX PORTFOLIO
- ------------------------
<S> <C> <C> <C> <C> <C>
CLASS A
1996* 2.21% 0.31% 2.15% 1% $0.0231
1996 2.31% 0.35% 2.21% 3% n/a
1995 2.69% 0.35% 2.59% 4% n/a
1994 2.57% 0.33% 2.49% 23% n/a
1993 2.75% 0.35% 2.65% 1% n/a
1992 2.99% 0.34% 2.90% 1% n/a
CLASS E
1996* 2.09% 0.46% 2.03% 1% $0.0231
1996(1) 0.97% 0.58% 0.85% 3% n/a
- ---------------------
BOND INDEX PORTFOLIO
- ---------------------
1996* 6.24% 0.49% 6.13% 25% n/a
1996(2) 6.20% 0.48% 6.10% 59% n/a
1995 6.33% 0.48% 6.23% 21% n/a
1994 5.35% 0.47% 5.26% 55% n/a
1993 6.49% 0.45% 6.42% 115% n/a
1992 7.45% 0.51% 7.32% 99% n/a
<FN>
* FOR THE PERIOD ENDED 9/30/96. ALL RATIOS FOR THAT PERIOD HAVE BEEN
ANNUALIZED.
** TOTAL RETURN HAS NOT BEEN ANNUALIZED.
+ AVERAGE COMMISSION RATE PAID PER SHARE FOR SECURITY PURCHASES AND SALES
DURING THE PERIOD. PRESENTATION OF THE RATE IS REQUIRED FOR FISCAL YEARS
BEGINNING AFTER SEPTEMBER 1, 1995.
(1) S&P 500 INDEX CLASS E SHARES WERE OFFERED BEGINNING FEBRUARY 28, 1996. ALL
RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
(2) THE INVESTMENT ADVISER WAS CHANGED FROM WORLD ASSET MANAGEMENT TO MELLON
BOND ASSOCIATES EFFECTIVE 10/2/96.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INDEX FUNDS -- SEPTEMBER 30, 1996 (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 Trust's prospectus provides
a description of each Portfolio's investment objectives, policies and
strategies. The Trust is registered to offer Class A and Class E shares of the
S&P 500 Index Portfolio and Class A shares of the Bond Index Portfolio. 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.
CLASSES -- Class specific expenses are borne by that class of shares.
Income, expenses, and realized and unrealized gains/losses are allocated to the
respective classes on the basis of relative daily net assets.
13
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI Index Funds -- September 30, 1996 (Unaudited)
EXPENSES -- Expenses that are directly related to one of the Portfolios are
charged directly to that Portfolio. Other operating expenses of the Fund are
prorated to the portfolios on the basis of relative net assets.
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.
3. TRANSACTIONS WITH AFFILIATES:
The Trust and SEI Fund Management (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. Any
such waiver is voluntary and may be terminated at any time at the Manager's sole
discretion.
Certain officers of the Trust are also officers of the Manager. The Trust
pays each unaffiliated Trustee an annual fee for attendance at quarterly,
interim and committee meetings. Compensation of officers is paid by the Manager.
SEI Financial Services Company ("the Distributor"), a wholly-owned
subsidiary of SEI Corporation and a registered broker-dealer, acts as the
distributor of the shares of the Trust under a Distribution Agreement. The Trust
has adopted shareholder servicing plans (the "Plans") for its Class A and Class
E shares pursuant to which shareholder servicing fees of up to .25% or .15%,
respectively, of the average daily net assets attributable to the particular
class of shares are paid to the Distributor. Under the Plans, the Distributor
may perform, or may compensate other service providers for performing, certain
shareholder and administrative services. Under the Plans, the Distributor may
retain as a profit any difference between the fee it receives and the amount it
pays to third parties.
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
S&P 500 Index Portfolio. 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 the S&P 500 Index Portfolio. Mellon Bond Associates serves as the
Investment Adviser of the Bond Index Portfolio under an advisory agreement dated
October 2, 1995. For its services as Investment Adviser, Mellon Bond Associates
receives a monthly fee at an annual rate of .07% of the average daily net assets
of the Bond Index Portfolio.
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,
1996, were as follows:
U.S.
GOVERNMENT
SECURITIES ALL OTHER TOTAL
(000) (000) (000)
---------- --------- -------
S&P 500 INDEX PORTFOLIO
Purchases $ -- $85,376 $85,376
Sales -- 5,246 5,246
BOND INDEX PORTFOLIO
Purchases $10,397 $ 986 $11,383
Sales 16,548 685 17,233
On September 30, 1996, 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, 1996, for each Portfolio is as follows:
14
<PAGE>
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES (DEPRECIATION)
(000) (000) (000)
----------- ------------ --------------
S&P 500 Index Portfolio $234,483 $(14,410) $220,073
Bond Index Portfolio 518 (712) (194)
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
interest rates, the values of such securities generally decline. Changes by
recognized rating agencies 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, 1996.
% OF
PORTFOLIO
MOODY'S VALUE
------------ ----------
U.S. Government Securities .................. 76.64%
Repurchase Agreements ....................... 2.57%
Other Bonds .................................
Aaa .................................... 1.41%
Aa ..................................... 3.13%
A ...................................... 11.25%
Baa .................................... 5.00%
--------
100.00%
========
At March 31, 1996, the Bond Index Portfolio had capital loss carryforwards
to the extent provided in the regulations for Federal income tax as follows:
CAPITAL LOSS
CARRYOVER EXPIRES EXPIRES EXPIRES
3/31/96 1997 2003 2004
------------- ---------- --------- ----------
$672,000 $57,000 $514,000 $101,000
6. FUTURES CONTRACTS:
A summary of the open S&P 500 Index futures contracts held by the S&P 500 Index
Portfolio at September 30, 1996 is as follows:
UNREALIZED
NUMBER OF TRADE FACE SETTLEMENT GAIN/(LOSS)
CONTRACTS PRICE AMOUNT MONTH (000)
----------- -------- -------- ------------ -----------
10 $668.97 $5,000 Dec. 1996 $112
10 669.02 5,000 Dec. 1996 112
10 675.92 5,000 Dec. 1996 78
10 675.97 5,000 Dec. 1996 77
10 684.02 5,000 Dec. 1996 37
10 685.97 5,000 Dec. 1996 27
1 686.52 500 Dec. 1996 3
1 687.77 500 Dec. 1996 2
1 687.92 500 Dec. 1996 2
1 688.77 500 Dec. 1996 1
1 690.02 500 Dec. 1996 1
2 690.75 1,000 Dec. 1996 1
3 691.02 1,500 Dec. 1996 0
1 691.37 500 Dec. 1996 0
10 692.02 5,000 Dec. 1996 (3)
2 691.97 1,000 Dec. 1996 (1)
1 692.52 500 Dec. 1996 (1)
1 691.52 500 Dec. 1996 0
----
$448
====
15
<PAGE>
SHAREHOLDER VOTING RESULTS
================================================================================
SEPTEMBER 30, 1996--(UNAUDITED)
March 20, 1996
- --------------
There was a special meeting scheduled for July 5, 1996 at which the
shareholders of the SEI Index Funds voted on a proposal to elect a Board of
Trustees. Due to a lack of quorum on July 5, 1996, the meeting was adjourned
until August 14, 1996. The name of each Trustee elected at the meeting and the
results of the Shareholder Vote are listed below. There are no additional
trustees whose term of office continued after the meeting.
PROPOSAL 1: To consider and act upon a proposal to elect a Board of
Trustees.
TRUSTEE SHARES VOTED "FOR" SHARES WITHHELD AUTHORITY
-------- -------------------- ----------------------------
Robert A. Nesher 33,381,170 60,227
Frank E. Morris 33,381,170 60,227
William M. Doran 33,381,170 60,227
F. Wendell Gooch 33,381,170 60,227
James M. Storey 33,381,170 60,227
George J. Sullivan, Jr. 33,381,170 60,227
16
<PAGE>
===================
SEI INDEX FUNDS
===================
SEMI-ANNUAL REPORT
===================
SEPTEMBER 30, 1996 (UNAUDITED)
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
George J. Sullivan, Jr.
OFFICERS
David G. Lee
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Stephen G. Meyer
CONTROLLER AND CHIEF FINANCIAL OFFICER
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Kathryn L. Stanton
VICE PRESIDENT, ASSISTANT SECRETARY
Sandra K. Orlow
VICE PRESIDENT, ASSISTANT SECRETARY
Joseph M. Lydon
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Barbara A. Nugent
VICE PRESIDENT, ASSISTANT SECRETARY
Marc H. Cahn
VICE PRESIDENT, ASSISTANT SECRETARY
Richard W. Grant
SECRETARY
John H. Grady, Jr.
ASSISTANT SECRETARY
INVESTMENT ADVISERS
World Asset Management
Mellon Bond Associates
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Fund Management
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.
<PAGE>
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[GRAPHIC OMITTED]
Financial
Services
Company
680 East Swedesford Road
Wayne, PA 19087-1658
800-DIAL-SEI/800-342-5734
SEI-F-040-06
