<PAGE>
SEI INDEX FUNDS
FEBRUARY 26, 1996
- --------------------------------------------------------------------------------
S&P 500 INDEX PORTFOLIO
- --------------------------------------------------------------------------------
This Prospectus sets forth concisely information about the above-referenced
Portfolio that an investor needs to know before investing. Please read this
Prospectus carefully, and keep it on file for future reference.
A Statement of Additional Information dated July 31, 1995 has been filed with
the Securities and Exchange Commission and is available upon request and
without charge through the Distributor, SEI Financial Services Company, 680
East Swedesford Road, Wayne, PA 19087 or by calling 1-800-342-5734. The
Statement of Additional Information is incorporated into this Prospectus by
reference.
SEI Index Funds (the "Trust") is an open-end investment management company that
offers financial institutions a convenient means of investing their own funds
or funds for which they act in a fiduciary, agency or custodial capacity in
professionally managed diversified portfolios of securities. Each Portfolio may
offer separate classes of shares that differ from each other primarily in the
allocation of certain distribution expenses. This Prospectus offers Class E
shares of the Trust's S&P 500 Index Portfolio (the "Portfolio").
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THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE SECURITIES AND
EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION NOR HAS THE SECURITIES
AND EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION PASSED UPON THE AC-
CURACY OR ADEQUACY OF THIS PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS A
CRIMINAL OFFENSE.
THE TRUST'S SHARES ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED
OR ENDORSED BY, ANY BANK. THE TRUST'S SHARES ARE NOT FEDERALLY IN-
SURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION, THE FEDERAL RE-
SERVE BOARD OR ANY OTHER GOVERNMENT AGENCY. INVESTMENT IN THE SHARES
INVOLVES RISK, INCLUDING POSSIBLE LOSS OF PRINCIPAL.
<PAGE>
ANNUAL OPERATING EXPENSES (as a percentage of average net assets)
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<TABLE>
<CAPTION>
S&P 500
INDEX
-------
<S> <C>
Management/Advisory Fees (after fee waiver) /1/ .15%
12b-1 Fees .20%
Other Expenses .05%
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Total Operating Expenses (after waiver) /2/ .40%
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</TABLE>
1 The Manager has waived, on a voluntary basis, a portion of its fee, and the
management/advisory fees shown reflect this voluntary waiver. The Manager
reserves the right to terminate its waiver at any time in its sole
discretion. Absent such fee waiver, management/advisory fees for the
Portfolio would be .25%.
2 Absent the voluntary fee waivers described above, total operating expenses
for the Portfolio would be .50%. Additional information may be found under
"The Manager and Shareholder Servicing Agent."
EXAMPLE
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An investor in a Portfolio would pay
the following expenses on a $1,000
investment assuming (1) 5% annual re-
turn and (2) redemption at the end of
each time period:
<TABLE>
<CAPTION>
1YR. 3YRS. 5YRS. 10YRS.
---- ----- ----- ------
<S> <C> <C> <C>
$ 4 $13 $22 $51
- ----------------------------
</TABLE>
THE EXAMPLE SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE
EXPENSES. ACTUAL EXPENSES MAY BE GREATER OR LESS THAN THOSE SHOWN.
The purpose of the expense table and example is to assist the investor in
understanding the various costs and expenses that may be directly or indirectly
borne by investors in shares of the Portfolio. A person who purchases shares
through a financial institution may be charged separate fees by that
institution. The information set forth in the foregoing table and example
relates only to the Portfolio's Class E shares (a class of shares of the
Portfolio). The Portfolio also offers Class A shares which are subject to the
same expenses, except there are different distribution costs. Additional
Information may be found under "The Manager and Shareholder Servicing Agent,"
"The Adviser" and "Distribution."
2
<PAGE>
FINANCIAL HIGHLIGHTS ___________________________________________________________
The following financial highlights, for a share outstanding throughout each
period, have been audited by Arthur Andersen LLP, independent public
accountants, whose report thereon was unqualified. This information should be
read in conjunction with the Trust's financial statements and notes thereto,
which are included in the Trust's Statement of Additional Information and which
appear, along with the report of Arthur Andersen LLP, in the Trust's March 31,
1995 Annual Report to Shareholders. Additional performance information is set
forth in the Annual Report to Shareholders and is available upon request and
without charge by calling 1-800-342-5734.
FOR A CLASS A SHARE OUTSTANDING THROUGHOUT THE PERIOD**
<TABLE>
<CAPTION>
Income from Investment
Operations
----------------------
Net
Realized Less Distributions
and -------------------------------- Net Net
Net Asset Unrealized Dividends Asset Assets,
Value, Net Gain (Loss) Total from from Net Distributions Returns Value, End of
Beginning Investment on Investment Investment from Capital of Total End of Total Period
of Period Income /2/ Investments Operations Income Gains Capital Distributions Period Return (000)
- -------------------------------------------------------------------------------------------------------------------------------
- -----------------------
S&P 500 INDEX PORTFOLIO
=======================
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4/1/94 to
3/31/95 $15.07 $0.42 $1.79 $2.21 $(0.42) $(0.46) -- $(0.88) $16.40 15.26% $458,012
4/1/93 to
3/31/94 15.80 0.43 (0.22) 0.21 (0.42) (0.52) -- (0.94) 15.07 1.19 424,647
4/1/92 to
3/31/93 14.17 0.40 1.69 2.09 (0.40) (0.06) -- (0.46) 15.80 14.97 675,484
4/1/91 to
3/31/92 13.43 0.40 1.01 1.41 (0.41) (0.26) -- (0.67) 14.17 10.71 470,847
4/1/90 to
3/31/91 12.45 0.43 1.24 1.67 (0.43) (0.26) -- (0.69) 13.43 14.18 261,165
4/1/89 to
3/31/90 10.88 0.42 1.64 2.06 (0.43) (0.06) -- (0.49) 12.45 19.02 192,154
4/1/88 to
3/31/89 9.63 0.39 1.26 1.65 (0.40) -- -- (0.40) 10.88 17.60 125,714
4/1/87 to
3/31/88 12.68 0.43 (1.65) (1.22) (0.45) (1.38) -- (1.83) 9.63 (9.35) 105,473
4/1/86 to
3/31/87 12.45 0.42 2.63 3.05 (0.38) (2.44) -- (2.82) 12.68 25.96 103,468
8/1/85 to
3/31/86 /1/ 10.00 0.29 2.37 2.66 (0.21) -- -- (0.21) 12.45 40.43* 94,224
<CAPTION>
Ratios and Supplemental Data
----------------------------------------------------
Ratio of
Net
Ratio of Investment
Ratios of Expenses Ratio of Income to
Expenses to Average Net Average
to Net Assets Investment Net Assets
Average (Excluding Income to (Excluding Portfolio
Net Fee Average Fee Turnover
Assets Waivers) Net Assets Waivers) Rate
- -----------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
4/1/94 to
3/31/95 0.25% 0.35% 2.69% 2.59% 4.00%
4/1/93 to
3/31/94 0.25 0.33 2.57 2.49 23.00
4/1/92 to
3/31/93 0.25 0.35 2.75 2.65 1.00
4/1/91 to
3/31/92 0.25 0.34 2.99 2.90 1.00
4/1/90 to
3/31/91 0.25 0.32 3.56 3.49 40.00
4/1/89 to
3/31/90 0.25 0.36 3.58 3.47 10.00
4/1/88 to
3/31/89 0.25 0.39 4.03 3.89 47.00
4/1/87 to
3/31/88 0.25 0.43 3.74 3.56 77.00
4/1/86 to
3/31/87 0.23 0.44 3.29 3.08 145.00
8/1/85 to
3/31/86 /1/ 0.20* 0.44* 4.10* 3.86 66.00
</TABLE>
* Annualized
** Class A share financial information is provided to investors for
informational purposes only and should be referred to as an historical guide
to the Portfolio's operations. Past performance does not indicate future
results. Financial information for Class E shares will be provided to
investors upon the completion of the Portfolio's fiscal year.
1 Commenced operations on 8/1/85
2 Had management fees not been waived and certain other expenses not been
absorbed by the Manager for the Portfolio, the net investment income per
share would have been $.41, $.41, $.39, $.38, $.42, $.41, $.37, $.41, $.39
and $.27 for the periods ending 3/31/95 through 3/31/86, respectively.
3
<PAGE>
THE TRUST ______________________________________________________________________
SEI Index Funds (the "Trust") is an open-end management investment company that
has diversified portfolios. The Trust offers units of beneficial interest
("shares") in separate investment portfolios. The S&P 500 Index Portfolio (the
"Portfolio") has two separate classes of shares, Class A and Class E, which
provide for variations in distribution expenses. This prospectus offers Class E
shares of the Portfolio. Additional information pertaining to the Trust may be
obtained in writing from SEI Financial Services Company, 680 East Swedesford
Road, Wayne, PA 19087 or by calling 1-800-342-5734.
INVESTMENT
OBJECTIVES AND
POLICIES _______________________________________________________________________
S&P 500 INDEX The S&P 500 Index Portfolio seeks to provide investment
PORTFOLIO results that correspond to the aggregate price and dividend
performance of the securities in the Standard & Poor's 500
Composite Stock Price Index (the "S&P 500 Index") which is
comprised of 500 selected common stocks, most which are
listed on the New York Stock Exchange. There is no assurance
that the Portfolio will achieve its investment objective.
The S&P 500 Index Portfolio's ability to duplicate the
performance of the S&P 500 Index will depend to some extent
on the size and timing and cashflows into and out of the
Portfolio as well as the extent of the Portfolio's expenses.
Adjustments made to accommodate cash flows will track the
index to the maximum extent possible and may result in
brokerage expenses for the Portfolio. Over time, the
correlation between the performance of the Portfolio and the
S&P 500 Index is expected to be over 0.95. A correlation of
1.00 would indicate perfect correlation, which would be
achieved when the net asset value of the Portfolio,
including the value of its dividend and capital gains
distributions, increased or decreased in exact proportion to
changes in the S&P 500 Index. An investment in shares of the
Portfolio involves risks similar to those of investing in a
portfolio consisting of the common stocks of some or all of
the companies included in the Index.
The Portfolio will normally be invested in all of the
stocks which comprise the S&P 500 Index, except when changes
are made to the S&P 500 Index itself. The Portfolio's policy
is to be fully invested in common stocks, and it is expected
that cash reserve items would normally be less than 10% of
net assets.
The weightings of stocks in the S&P 500 Index are based
on each stock's relative total market value, i.e., market
price per share times the number of shares outstanding.
Because of this weighting, approximately 50% of the S&P 500
Index is currently composed of the 50 largest companies in
the S&P 500 Index, and the S&P 500 Index currently
represents over 65% of the market value of all U.S. common
stocks listed on the New York Stock Exchange.
World Asset Management, the Portfolio's investment
adviser (the "Adviser" or "World"), makes no attempt to
"manage" the Portfolio in the traditional sense by using
economic, financial or market analysis. The adverse
financial situation of a company usually
4
<PAGE>
will not result in the elimination of a stock from the
Portfolio. However, the Trust reserves the right, without
the obligation, to remove an investment from the Portfolio
if, in the judgment of World, the merit of the investment
has been substantially impaired by extraordinary events or
financial conditions. Furthermore, administrative
adjustments may be made in the Portfolio from time to time
because of mergers, changes in the composition of the S&P
500 Index and similar reasons. In certain circumstances,
World may exercise discretion in determining whether to
exercise warrants or rights issued in respect to portfolio
securities or whether to tender portfolio securities
pursuant to a tender or exchange offer.
The S&P 500 Index Portfolio is not sponsored, endorsed,
sold or promoted by Standard & Poor's Corporation ("S&P").
S&P makes no representation or warranty, implied or express,
to the purchasers of the Portfolio or any member of the
public regarding the advisability of investing in index
funds or the Portfolio or the ability of the Index to track
general stock market performance.
S&P DOES NOT GUARANTEE THE ACCURACY AND/OR THE
COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN. S&P
MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE
OBTAINED BY THE PORTFOLIO, OWNERS OF THE PORTFOLIO, OR ANY
DATA INCLUDED THEREIN. S&P MAKES NO EXPRESS OR IMPLIED
WARRANTIES, AND HEREBY DISCLAIMS ALL WARRANTIES OF
MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE
WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN.
S&P'S ONLY RELATIONSHIP TO THE PORTFOLIO IS THE LICENSING OF
THE S&P MARKS AND THE INDEX, WHICH IS DETERMINED, COMPOSED,
AND CALCULATED BY S&P WITHOUT REGARD TO THE LICENSEE OR THE
PORTFOLIO.
The equity securities in which the S&P 500 Index
Portfolio may invest are common stocks, preferred stocks,
warrants to acquire common stock and securities convertible
into common stock.
The Portfolio may enter into stock index futures
contracts, provided that the value of these contracts does
not exceed 20% of the Portfolio's total assets. The
Portfolio may purchase futures contracts solely to maintain
adequate liquidity to meet its redemption demands while
maximizing the level of the Portfolio's assets which are
tracking the performance of the Index. In addition, the
Portfolio may only purchase those stock index futures
contracts--such as futures contracts on the index--that are
likely to closely duplicate the performance of the S&P 500
Index. The Portfolio also can sell such futures contracts in
order to close out a previously established position. The
Portfolio will not enter into any stock index futures
contract for the purpose of speculation, and will only enter
into contracts traded on national securities exchanges with
standardized maturity dates. The Portfolio will not purchase
or sell futures contracts if immediately thereafter the sum
of the amount of margin deposits on its existing futures
positions would exceed 5% of its total assets.
5
<PAGE>
The Portfolio may invest in the stock of foreign issuers
which is traded in the United States. The Portfolio
ordinarily will purchase securities of foreign issuers in
U.S. markets. However, the Portfolio may purchase securities
of foreign issuers directly in foreign markets if the
Adviser determines that it is in the best interest of the
Portfolio to do so.
The Portfolio may invest cash reserves in securities
issued by the U.S. Government, its agencies or
instrumentalities, bankers' acceptances, commercial paper
rated at least A-1 by S&P and/or Prime-1 by Moody's
Investors Services, Inc. ("Moody's"), certificates of
deposit and repurchase agreements involving such
obligations. Such investments will not be used for defensive
purposes.
GENERAL
INVESTMENT
POLICIES _______________________________________________________________________
The Portfolio may lend up to 20% of its assets to qualified
institutions for the purpose of realizing additional income,
however the Portfolio has no present intention to lend its
securities. The Portfolio may invest in illiquid securities,
however, not more than 10% of the total assets of the
Portfolio will be invested in such instruments. The
Portfolio may enter into forward commitments, or purchase
securities on a when-issued or delayed delivery basis.
For additional information regarding the Portfolio's
permitted investments see "Description of Permitted
Investments and Risk Factors" in this Prospectus and in the
Statement of Additional Information. For a description of
the above ratings, see the Statement of Additional
Information.
INVESTMENT
LIMITATIONS ____________________________________________________________________
The investment objective and investment limitations are
fundamental policies of the Portfolio. Fundamental policies
cannot be changed with respect to the Trust or a Portfolio
without the consent of the holders of a majority of the
Trust's or that Portfolio's outstanding shares.
The Portfolio may not:
1. Purchase securities of any issuer (except securities
issued or guaranteed by the United States Government, its
agencies or instrumentalities) and if, as a result, more
than 5% of total assets of the Portfolio would be
invested in the securities of such issuer. This
restriction applies to 75% of the Portfolio's total
assets.
2. Purchase any securities which would cause more than 25%
of the total assets of the Portfolio to be invested in
the securities of one or more issuers conducting their
principal business activities in the same industry,
provided that this limitation does not
6
<PAGE>
apply to investments in obligations issued or guaranteed by
the United States Government or its agencies and
instrumentalities.
3. Borrow money except for temporary or emergency purposes
and then only in an amount not exceeding 10% of the value
of the total assets of the Portfolio. This borrowing
provision is included solely to facilitate the orderly
sale of portfolio securities to accommodate substantial
redemption requests if they should occur and is not for
investment purposes. All borrowings will be repaid before
making additional investments for the Portfolio and any
interest paid on such borrowings will reduce the
Portfolio's income.
4. Make loans, except that the Portfolio may enter into
repurchase agreements, provided that repurchase
agreements and time deposits maturing in more than seven
days, and other illiquid securities, including securities
which are not readily marketable or are restricted, are
not to exceed, in the aggregate, 10% of the Portfolio's
total assets, may engage in securities lending as
described in this Prospectus and may purchase or hold
debt instruments in accordance with its investment
objectives and policies.
The foregoing percentage limitations will apply at the time
of the purchase of a security. Additional investment
limitations are set forth in the Statement of Additional
Information.
THE MANAGER
AND SHAREHOLDER
SERVICING AGENT ________________________________________________________________
SEI Financial Management Corporation (the "Manager" or the
"Transfer Agent"), a wholly-owned subsidiary of SEI
Corporation ("SEI"), and the Trust are parties to a
management agreement (the "Management Agreement"). Under the
terms of the Management Agreement, the Manager is
responsible for providing the Trust with overall management
services, regulatory reporting, all necessary office space,
equipment, personnel and facilities and for acting as
transfer agent, dividend disbursing agent, and shareholder
servicing agent.
For these services, the Manager is entitled to a fee
which is calculated daily and paid monthly at an annual rate
of .22% of the average daily net assets of the Portfolio.
The Manager may from time to time waive all or a portion of
its fee in order to limit the operating expenses of the
Portfolio. Any such waiver is voluntary and may be
terminated at any time in its sole discretion.
For the fiscal year ended March 31, 1995, the Portfolio
paid management fees, after fee waivers, of .12% of its
average daily net assets.
7
<PAGE>
THE ADVISER ____________________________________________________________________
World Asset Management ("World" or the "Adviser") is a
general partnership organized by Munder Capital Management
("MCM"), a general partnership formed in December, 1994,
which engages in investment management and advisory
services. As of December 31, 1994 total assets under
management of World were $6.0 billion and assets under
management of MCM were $29.5 billion. The principal business
address for the Adviser is 100 Renaissance Center, 38th
Floor, Detroit, Michigan 48275-3040.
The Adviser and the Trust are parties to an investment
advisory agreement relating to the Portfolios (the "Advisory
Agreement").
Under the terms of this Advisory Agreement, the Adviser
provides the Trust with certain record keeping and
management services in connection with the Portfolios
including monitoring the indexing systems and determining
which securities to purchase and sell in order to keep each
Portfolio in balance with its respective index.
The Adviser is entitled to a fee, which is calculated
daily and paid monthly, at an annual rate of .03% of the
average daily net assets of each Portfolio. No monthly
payment to the Adviser shall exceed the payment actually
made to the Manager pursuant to the current Management
Agreement between the Manager and the Trust. For the fiscal
year ended March 31, 1995, the Portfolio paid advisory fees,
after waivers, of .03% of its average daily net assets to
each of Woodbridge Capital Management and World.
DISTRIBUTION ___________________________________________________________________
SEI Financial Services Company (the "Distributor"), a
wholly-owned subsidiary of SEI, serves as the Portfolio's
distributor pursuant to a distribution agreement (the
"Distribution Agreement") with the Trust. Each Class of the
Trust has adopted a distribution plan relating to its shares
(the "Class A Plan" and "Class E Plan", respectively),
pursuant to Rule 12b-1 under the Investment Company Act of
1940 (the "1940 Act").
The Class E Plan provides for reimbursement for expenses
incurred by the Distributor in an amount not to exceed .05%
of the average daily net assets of the Portfolio on an
annualized basis.
Distribution-related expenses reimbursable to the
Distributor under the budget include those related to the
costs of the printing, reports, prospectuses, notices and
similar materials for persons other than current
shareholders, advertising expenses and promotional and sales
expenses including expenses for travel, communication and
compensation and benefits for sales personnel. Distribution
expenses not attributable to a specific Portfolio are
allocated among each of the portfolios of the Trust based on
the
8
<PAGE>
basis of their relative average net assets. The Trust is not
obligated to reimburse the Distributor for any expenditures
in excess of the approved budget.
The Class E Plan, in addition to providing for the
reimbursement payments described above, provides for
payments to the Distributor at an annual rate of .15% of the
Portfolio's average daily net assets attributable to Class E
shares. These payments are characterized as "compensation,"
and are not directly tied to expenses incurred by the
Distributor. Accordingly, the payments the Distributor
receives during any year may be higher or lower than its
actual expenses. These additional payments compensate the
Distributor for its services in connection with distribution
assistance or the provision of shareholder services, and
some or all of it may be used to pay financial institutions
and intermediaries such as banks, savings and loan
associations, insurance companies, and investment
counselors, broker-dealers (including the Distributor's
affiliates and subsidiaries) for services or reimbursement
of expenses incurred in connection with distribution
assistance or the provision of shareholder services.
Currently, the Distributor is taking this additional
compensation payment under the Class E Plan at a rate of
.15% of the Portfolio's average daily net assets, on an
annualized basis, attributable to Class E shares.
It is possible that an institution may offer different
classes of shares to its customers and thus receive
different compensation with respect to different classes.
These financial institutions may also charge separate fees
to their customers.
The Trust may execute brokerage or other agency
transactions through the Distributor for which the
Distributor may receive compensation.
The Distributor may, from time to time in its sole
discretion, institute one or more promotional incentive
programs, which will be paid for by the Distributor from the
sales charge it receives or from any other source available
to it. Under any such program, the Distributor will provide
promotional incentives, in the form of cash or other
compensation, including merchandise, airline vouchers, trips
and vacation packages, to all dealers selling shares of the
Portfolio. Such promotional incentives will be offered
uniformly to all shares of the Portfolio, and also will be
offered uniformly to all dealers, predicated upon the amount
of shares of the Portfolio sold by such dealer.
PURCHASE AND
REDEMPTION
OF SHARES ____________________________________________________________________
Financial institutions may acquire shares of the Portfolio
for their own account or as a record owner on behalf of
fiduciary, agency or custody accounts by placing orders with
the Transfer Agent. Institutions that use certain SEI
proprietary systems may place orders electronically through
those systems. State securities laws may require banks and
financial institutions purchasing shares for their customers
to register as dealers pursuant to state laws. Financial
institutions may impose an earlier cut-off time for receipt
of purchase orders directed through them to allow for
processing and transmittal of these orders to
9
<PAGE>
the Transfer Agent for effectiveness the same day. Financial
institutions which purchase shares for the accounts of their
customers may impose separate charges on these customers for
account services. Shares of the Portfolio are offered only
to residents of states in which the shares are eligible for
purchase.
Shares of the Portfolio may be purchased or redeemed on
days on which the New York Stock Exchange is open for
business ("Business Days"). However, fund shares cannot be
purchased by Federal Reserve wire on federal holidays
restricting wire transfers.
Shareholders who desire to purchase shares for cash must
place their orders with the Transfer Agent prior to 4:00
p.m. Eastern time on any Business Day for the order to be
accepted on that Business Day. Cash investments must be
transmitted or delivered in federal funds to the wire agent
on the next Business Day following the day the order is
placed. The Trust reserves the right to reject a purchase
order when the Distributor determines that it is not in the
best interest of the Trust or shareholders to accept such
purchase order.
Purchases will be made in full and fractional shares of
the Portfolio calculated to three decimal places. The Trust
will send shareholders a statement of shares owned after
each transaction. The purchase price of shares is the net
asset value next determined after a purchase order is
received and accepted by the Trust. The net asset value per
share of the Portfolio is determined by dividing the total
market value of the Portfolio's investment and other assets,
less any liabilities, by the total outstanding shares of the
Portfolio. Net asset value per share is determined daily as
of the close of business of the New York Stock Exchange
(currently, 4:00 p.m. Eastern time) on any Business Day.
The market value of each portfolio security is obtained
by the Manager from an independent pricing service. The
pricing service relies primarily on prices of actual market
transactions as well as trader quotations. However, the
pricing service may use a matrix system to determine
valuations of equity and fixed income securities. This
system considers such factors as security prices, yields,
maturities, call features, ratings and developments relating
to specific securities in arriving at valuations. The
pricing service may also provide market quotations. The
procedures of the pricing service and its valuations are
reviewed by the officers of the Trust under the general
supervision of the Trustees.
Shareholders who desire to redeem shares of the Portfolio
must place their redemption orders with the Transfer Agent
prior to 4:00 p.m. Eastern time on any Business Day. The
redemption price is the net asset value per share of the
Portfolio next determined after receipt by the Transfer
Agent of the redemption order. Payment on redemption will be
made as promptly as possible and, in any event, within seven
days after the redemption order is received.
Shares of the Portfolio may be purchased in exchange for
securities included in the Portfolio subject to the
Manager's or the Adviser's determination that the securities
are acceptable. Securities accepted in an exchange will be
valued at market value. All accrued interest and
subscription of other rights which are reflected in the
market price of
10
<PAGE>
accepted securities at the time of valuation become the
property of the Trust and must be delivered by the
Shareholder to the Trust upon receipt from the issuer.
The Manager or Adviser will not accept securities for a
Portfolio unless (1) such securities are appropriate in the
Portfolio at the time of the exchange; (2) such an exchange
will not cause the Portfolio's weightings to become
materially imbalanced with respect to the weightings of the
securities included in the Index; (3) such securities are
acquired for investment and not for resale; (4) the
Shareholder represents and agrees that all securities
offered to the Trust for the Portfolio are not subject to
any restrictions upon their sale by the Portfolio under the
Securities Act of 1933, or otherwise; (5) such securities
are traded on the American Stock Exchange, the New York
Stock Exchange or on NASDAQ in an unrelated transaction with
a quoted sales price on the same day the exchange valuation
is made or, if not listed on such exchanges or on NASDAQ,
have prices available from an independent pricing service
approved by the Trust's Board of Trustees; and (6) the
securities may be acquired under the investment restrictions
applicable to the Portfolio.
Purchase and redemption orders may be placed by
telephone. Neither the Trust nor the Trust's transfer agent
will be responsible for any loss, liability, cost or expense
for acting upon wire instructions or upon telephone
instructions that it reasonably believes to be genuine. The
Trust and the Trust's transfer agent will each employ
reasonable procedures to confirm that instructions
communicated by telephone are genuine, including requiring a
form of personal identification prior to acting upon
instructions received by telephone and recording telephone
instructions.
If market conditions are extraordinarily active, or other
extraordinary circumstances exist, Shareholders may
experience difficulties placing redemption orders by
telephone, and may wish to consider placing orders by other
means.
PERFORMANCE ____________________________________________________________________
From time to time, the Portfolio may advertise yield and
total return. These figures will be based on historical
earnings and are not intended to indicate future
performance. No representation can be made concerning actual
future yields or returns. The yield of a Portfolio refers to
the income generated by a hypothetical investment in the
Portfolio over a thirty day period. This income is then
"annualized," i.e., the income over thirty days is assumed
to be generated over one year and is shown as a percentage
of the investment.
The total return of the Portfolio refers to the average
compounded rate of return on a hypothetical investment for
designated time periods, assuming that the entire investment
is redeemed at the end of each period and assuming the
reinvestment of all dividend and capital gain distributions.
The Portfolio may periodically compare its performance to
the performance of: other mutual funds tracked by mutual
fund rating services (such as Lipper Analytical); financial
and business publications and periodicals; broad groups of
comparable mutual
11
<PAGE>
funds; unmanaged indices which may assume investment of
dividends but generally do not reflect deductions for
administrative and management costs; or to other investment
alternatives. The Portfolio may quote Morningstar, Inc., a
service that ranks mutual funds on the basis of risk-
adjusted performance. The Portfolio may use long-term
performance of these capital markets to demonstrate general
long-term risk versus reward scenarios and could include the
value of a hypothetical investment in any of the capital
markets. The Portfolio may also quote financial and business
publications and periodicals as they relate to fund
management, investment philosophy and investment techniques.
The Portfolio may quote various measures of volatility
and benchmark correlation in advertising and may compare
these measures to those of other funds. Measures of
volatility attempt to compare historical share price
fluctuations or total returns to a benchmark while measures
of benchmark correlation indicate how valid a comparative
benchmark might be. Measures of volatility and correlation
are calculated using averages of historical data and cannot
be calculated precisely.
The performance on Class A shares will normally be higher
than that on the Class E shares of the Portfolio because of
the additional distribution expenses charged to Class E
shares.
TAXES __________________________________________________________________________
The following summary of federal income tax consequences is
based on current tax laws and regulations, which may be
changed by legislative, judicial or administrative action.
No attempt has been made to present a detailed explanation
of the federal, state or local income tax treatment of the
Portfolio or its shareholders. Accordingly, shareholders are
urged to consult their tax advisers regarding specific
questions as to federal, state and local taxes. State and
local tax consequences of an investment in the Portfolio may
differ from the federal income tax consequences described
below. Additional information concerning taxes is set forth
in the Statement of Additional Information.
Tax Status of The Portfolio is treated as a separate entity for federal
the Portfolio income tax purposes and is not combined with the Trust's
other portfolios. The Portfolio intends to qualify for the
special tax treatment afforded regulated investment
companies ("RICs") under Subchapter M of the Code, so as to
be relieved of federal income tax on net investment company
taxable income and net capital gains (the excess of net
long-term capital gain over net short-term capital losses)
distributed to shareholders.
Tax Status of The Portfolio distributes substantially all of its net
Distributions investment income (including net short-term capital gains)
to shareholders. Dividends from the Portfolio's net
investment income are taxable to its shareholders as
ordinary income (whether received in cash or in additional
shares) and will not qualify for the deduction for the
corporate dividends-received deduction. Distributions of net
capital gains are taxable to shareholders as long-term
capital gains. The Portfolio provides annual reports to
shareholders of the federal income tax status of all
distributions.
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<PAGE>
Dividends declared by the Portfolio in October, November
or December of any year and payable to shareholders of
record on a date in such a month will be deemed to have been
paid by the Portfolio and received by the Shareholders on
December 31 of the year declared if paid by the Portfolio at
any time during the following January.
The Portfolio intends to make sufficient distributions to
avoid liability for the federal excise tax.
Investment income received by the Portfolio from sources
within foreign countries may be subject to foreign income
taxes withheld at the source. To the extent that the
Portfolio is liable for foreign income taxes so withheld,
the Portfolio intends to operate so as to meet the
requirements of the Code to pass through to the shareholders
credit for foreign income taxes paid. Although the Portfolio
intends to meet Code requirements to pass through credit for
such taxes, there can be no assurance that the Portfolio
will be able to do so.
Sale, exchange or redemption of Portfolio shares is a
taxable transaction to the shareholder.
GENERAL
INFORMATION ____________________________________________________________________
The Trust The Trust was organized as a Massachusetts business trust
under a Declaration of Trust dated March 6, 1985. The
Declaration of Trust permits the Trust to offer separate
series of shares and different classes of each portfolio. In
addition to the Portfolio, the Trust consists of the Bond
Index Portfolio. All consideration received by the Trust for
shares of any class of any portfolio and all assets of such
portfolio or class belong to that portfolio or class,
respectively, and would be subject to the liabilities
related thereto.
The Trust pays its expenses, including fees of its
service providers, audit and legal expenses, expenses of
preparing prospectuses, proxy solicitation materials and
reports to shareholders, costs of custodial services and
registering the shares under federal and state securities
laws, pricing, insurance expenses, litigation and other
extraordinary expenses, brokerage costs, interest charges,
taxes and organization expenses.
Trustees of the The management and affairs of the Trust are supervised by
Trust the Trustees under the laws of the Commonwealth of
Massachusetts. The Trustees have approved contracts under
which, as described above, certain companies provide
essential management services to the Trust.
Voting Rights Each share held entitles the shareholder of record to one
vote. The shareholders of each Portfolio or class will vote
separately on matters pertaining solely to that Portfolio or
class, such as any distribution plan. As a Massachusetts
business trust, the Trust is not required to hold annual
meetings of shareholders but approval will be sought for
certain changes in the operation of the Trust and for the
election of Trustees under certain circumstances. In
addition, a Trustee may be removed by the remaining Trustees
or by shareholders at a special meeting called upon written
request of shareholders owning at
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<PAGE>
least 10% of the outstanding shares of the Trust. In the
event that such a meeting is requested, the Trust will
provide appropriate assistance and information to the
shareholders requesting the meeting.
Reporting The Trust issues unaudited financial statements semi-
annually and audited financial statements annually. The
Trust furnishes proxy statements and other reports to
shareholders of record.
Shareholder Shareholder inquiries should be directed to the Manager, SEI
Inquiries Financial Management Corporation, 680 East Swedesford Road,
Wayne, PA 19087.
Dividends Substantially all of the net investment income (exclusive of
capital gains) of the Portfolio is periodically declared and
paid as a dividend. Dividends are paid currently on a
quarterly basis. Currently, net capital gains (the excess of
net long-term capital gain over net short-term capital loss)
realized, if any, will be distributed at least annually.
Shareholders automatically receive all income dividends
and capital gain distributions in additional shares at the
net asset value next determined following the record date,
unless the shareholder has elected to take such payment in
cash. Shareholders may change their election by providing
written notice to the Manager at least 15 days prior to the
distribution.
Dividends and capital gains of the Portfolio are paid on
a per-share basis. The value of each share will be reduced
by the amount of any such payment. If shares are purchased
shortly before the record date for a dividend or capital
gains distributions, a shareholder will pay the full price
for the share and receive some portion of the price back as
a taxable dividend or distribution.
The dividends on Class A shares of the Portfolio are
normally higher than those on the Class E shares because of
the additional distribution expenses charged to Class E
shares.
Counsel and Morgan, Lewis & Bockius LLP serves as counsel to the Trust.
Independent Arthur Andersen LLP serves as the independent public
Accountants accountants of the Trust.
Custodian and Comerica Bank acts as custodian of the Trust's assets. The
Wire Agent Custodian holds cash, securities and other assets of the
Trust as required by the Investment Company Act of 1940, as
amended (the "1940 Act"). CoreStates Bank, N.A., Broad and
Chestnut Streets, P.O. Box 7618, Philadelphia, PA 19101 acts
as wire agent of the Trust's assets.
14
<PAGE>
DESCRIPTION OF
PERMITTED
INVESTMENTS AND
RISK FACTORS _________________________________________________________________
The following is a description of the permitted investment
practices for the Portfolio, and the associated risk
factors:
Bankers' Bankers' acceptances are bills of exchange or time drafts
Acceptances drawn on and accepted by a commercial bank. Bankers'
acceptances are used by corporations to finance the shipment
and storage of goods and to furnish dollar exchange.
Maturities are generally six months or less.
Certificates of Certificates of deposit are interest bearing instruments
Deposit with a specific maturity. They are issued by banks and
savings and loan institutions in exchange for the deposit of
funds and normally can be traded in the secondary market
prior to maturity. Certificates of deposit have penalties
for early withdrawal.
Commercial Commercial paper is a term used to describe unsecured short-
Paper term promissory notes issued by banks, municipalities,
corporations and other entities. Maturities on these issues
vary from a few to 270 days.
Equity Investments in equity securities in general are subject to
Securities market risks that may cause their prices to fluctuate over
time. The value of convertible equity securities is also
affected by prevailing interest rates, the credit quality of
the issuer and any call provision. Fluctuations in the value
of equity securities in which the Portfolio invests will
cause the net asset value of the Portfolio to fluctuate.
Illiquid Illiquid securities are securities which cannot be disposed
Securities of within seven business days at approximately the price at
which they are being carried on the Trust's books. An
illiquid security includes a demand instrument with a demand
notice period exceeding seven days, where there is no
secondary market for such security and repurchase agreements
with durations (or maturities) over 7 days in length.
Repurchase Repurchase agreements are agreements by which the Portfolio
Agreements obtains a security and simultaneously commits to return the
security to the seller at an agreed-upon price on an agreed-
upon date. The Custodian will hold the security as
collateral for the repurchase agreement. The Portfolio bears
a risk of loss in the event the other party defaults on its
obligations and the Portfolio is delayed or prevented from
its right to dispose of the collateral or if the Portfolio
realizes a loss on the sale of the collateral. The Portfolio
will enter into repurchase agreements only with financial
institutions deemed to present minimal risk of bankruptcy
during the term of the agreement based on established
guidelines. Repurchase agreements are considered loans under
the 1940 Act.
Securities of There are certain risks connected with investing in foreign
Foreign Issuers securities. These include risks of adverse political and
economic developments (including possible governmental
seizure or
15
<PAGE>
nationalization of assets), the possible imposition of
exchange controls or other governmental restrictions, less
uniformity in accounting and reporting requirements, the
possibility that there will be less information on such
securities and their issuers available to the public, the
difficulty of obtaining or enforcing court judgments abroad,
restrictions on foreign investments in other jurisdictions,
difficulties in effecting repatriation of capital invested
abroad, and difficulties in transaction settlements and the
effect of delay on shareholder equity. Foreign securities
may be subject to foreign taxes, and may be less marketable
than comparable U.S. securities. The value of a Fund's
investments denominated in foreign currencies will depend on
the relative strengths of those currencies and the U.S.
dollar, and a Fund may be affected favorably or unfavorably
by changes in the exchange rates or exchange control
regulations between foreign currencies and the U.S. dollars.
Changes in foreign currency exchange rates also may affect
the value of dividends and interest earned, gains and losses
realized on the sale of securities and net investment income
and gains, if any, to be distributed to shareholders by a
Fund.
Stock Index A stock index futures contract is a bilateral agreement
Futures pursuant to which two parties agree to take or make delivery
of an amount of cash equal to a specified dollar amount
times the difference between the stock index value at the
close of trading of the contract and the price at which the
futures contract is originally struck. No physical delivery
of the stocks comprising the Index is made; generally
contracts are closed out prior to the expiration date of the
contract. No price is paid upon entering into futures
contracts. Instead, a Portfolio would be required to deposit
an amount of cash or U.S. Treasury securities known as
"initial margin." Subsequent payments, call "variation
margin," to and from the broker, would be made on a daily
basis as the value of the futures position varies (a process
known as "marking to market"). The margin is in the nature
of a performance bond or good-faith deposit on a futures
contract.
In order to avoid leveraging and related risks, when a
Portfolio purchases futures contracts, it will collateralize
its position by depositing an amount of cash or cash
equivalents, equal to the market value of the futures
positions held, less margin deposits, in a segregated
account with the Trust's custodian. Collateral equal to the
current market value of the futures position will be marked
to market on a daily basis.
In considering the proposed use of futures contracts,
particular note should be taken that futures contracts
relate to the anticipated levels at some point in the
future, not to the current level of the underlying
instrument. Thus trading of stock index futures may not
reflect the trading of the securities which are used to
formulate an index or even actual fluctuations in the
relevant index itself. There is, in addition, a risk that
movements in the price of futures contracts will not
correlate with the movement in prices of the stock index
being tracked.
Time Deposits Time deposits are non-negotiable receipts issued by a bank
in exchange for the deposit of funds. Like a certificate of
deposit, a time deposit earns a specified rate of interest
over a
16
<PAGE>
definite period of time; however, it cannot be traded in the
secondary market. Time deposits are considered to be
illiquid securities.
U.S. Government Obligations issued or guaranteed by agencies of the United
Agencies States Government including, among others, the Federal Farm
Credit Bank, the Federal Housing Administration, and the
Small Business Administration and obligations issued or
guaranteed by instrumentalities of the United States
Government including, among others, the Federal Home Loan
Mortgage Corporation, the Federal Land Banks, and the U.S.
Postal Service. Some of these securities are supported by
the full faith and credit of the U.S. Treasury (e.g.,
Government National Mortgage Association), and others are
supported by the right of the issuer to borrow from the
Treasury (e.g., Federal Farm Credit Bank), and still others
are supported only by the credit of the instrumentality
(e.g., Federal National Mortgage Association). Guarantees of
principal by agencies or instrumentalities of the United
States Government may be a guarantee of payment at the
maturity of the obligation so that in the event of a default
prior to maturity there might not be a market and thus no
means of realizing on the obligation prior to maturity.
Guarantees as to the timely payment of principal and
interest do not extend to the value or yield of these
securities nor to the value of the Portfolios' shares.
Warrants Warrants are instruments giving holders the right, but not
the obligation, to buy shares of a company at a given price
during a specified period.
When-Issued and When-issued or delayed delivery basis transactions involve
Delayed the purchase of an instrument with payment and delivery
Delivery taking place in the future. Delivery of and payment for
Securities these securities may occur a month or more after the date of
the purchase commitment. The Portfolio will maintain with
the custodian a separate account with liquid, high grade
debt securities or cash in an amount at least equal to these
commitments. The interest rate realized on these securities
is fixed as of the purchase date, and no interest accrues to
the Portfolio before settlement. These securities are
subject to market fluctuation due to changes in market
interest rates, and it is possible that the market value at
the time of settlement could be higher or lower than the
purchase price if the general level of interest rates has
changed. Although the Portfolio generally purchases
securities on a when-issued or forward commitment basis with
the intention of actually acquiring securities for its
portfolio, the Portfolio may dispose of a when-issued
security or forward commitment prior to settlement if it
deems appropriate.
Additional information on other permitted investments can
be found in the Statement of Additional Information.
17
<PAGE>
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Annual Operating Expenses............ 2
Financial Highlights................. 3
The Trust............................ 4
Investment Objectives and Policies... 4
General Investment Policies.......... 6
Investment Limitations............... 6
The Manager & Shareholder Servicing
Agent................................ 7
The Adviser.......................... 8
Distribution......................... 8
Purchase & Redemption of Shares...... 9
Performance.......................... 11
Taxes................................ 12
General Information.................. 13
Description of Permitted Investments
and Risk Factors..................... 15
</TABLE>
<PAGE>
SEI INDEX FUNDS
Manager and Shareholder Servicing Agent:
SEI Financial Management Corporation
Distributor:
SEI Financial Services Company
Investment Adviser:
World Asset Management
This Statement of Additional Information is not a Prospectus. It is intended to
provide additional information regarding the activities and operations of the
Trust and should be read in conjunction with the Trust's Prospectuses dated July
31, 1995 and February 26, 1996. A prospectus may be obtained through SEI
Financial Services Company, 680 E. Swedesford Road, Wayne, PA 19087. Unless
otherwise defined herein, capitalized terms used herein but not defined herein
shall have the respective meanings set forth in the Prospectus.
TABLE OF CONTENTS
<TABLE>
<S> <C>
The Trust.................................................................. 2
Description of Certain Permitted Investments............................... 2
Investment Limitations..................................................... 5
The Manager and Shareholder Servicing Agent................................ 6
The Adviser................................................................ 7
Distribution............................................................... 8
Trustees and Officers of the Trust......................................... 9
Performance................................................................ 11
Purchase and Redemption of Shares.......................................... 12
Taxes...................................................................... 13
Portfolio Transactions..................................................... 15
Description of Shares...................................................... 16
Limitation of Trustees' Liability.......................................... 17
Shareholder Liability...................................................... 17
5% Shareholders............................................................ 17
Custodian and Independent Public Accountant................................ 18
Experts.................................................................... 19
Financial Information...................................................... F-1
</TABLE>
July 31, 1995, as supplemented February 26, 1996
SEI-F-047-05
<PAGE>
THE TRUST
SEI Index Funds (the "Trust") is a diversified, open-end management investment
company established under Massachusetts law as a Massachusetts business trust
under a Declaration of Trust dated March 6, 1985. The Declaration of Trust
permits the Trust to offer separate series of units of beneficial interest
("shares") and separate classes of series. Except for differences between Class
A and Class E shares of the S&P 500 Index Portfolio pertaining to distribution
plans, each share of each portfolio represents an equal proportionate interest
in that portfolio with each other share of that portfolio.
This Statement of Additional Information relates to the S&P 500 Index Portfolio
and the Bond Index Portfolio (the "Portfolios").
The S&P 500 Index Portfolio is not sponsored, endorsed, sold or promoted by
Standard & Poor's Corporation ("S&P"). S&P makes no representation or warranty,
express or implied, to the purchasers of the Portfolio or any member of the
public regarding the advisability of investing in index funds or the Portfolio
or the ability of the S&P 500 Composite Stock Price Index (the "S&P 500 Index")
to track general stock market performance. S&P's only relationship to the
licensee, the Trust, is the licensing of certain trademarks and trade names of
S&P and of the S&P 500 Index which is determined, composed and calculated by S&P
without regard to the licensee or the Portfolio. S&P has no obligation to take
the needs of the licensee or the owners of the Portfolio into consideration in
determining, composing or calculating the S&P 500 Index. S&P is not responsible
for and has not participated in the determination of, the timing of, prices at,
or quantities of the Portfolio to be issued or in the determination or
calculation of the equation by which the Portfolio is to be converted into cash.
S&P has no obligation or liability in connection with the administration,
marketing or trading of the Portfolio.
S&P DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE S&P 500 INDEX
OR ANY DATA INCLUDED THEREIN. S&P MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO
RESULTS TO BE OBTAINED BY THE PORTFOLIO, OWNERS OF THE PORTFOLIO, OR ANY OTHER
PERSON OR ENTITY FROM THE USE OF THE S&P 500 INDEX OR ANY DATA INCLUDED THEREIN
IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. S&P
MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND HEREBY DISCLAIMS ALL WARRANTIES OF
MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE
S&P 500 INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE
FOREGOING, IN NO EVENT SHALL S&P HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE,
INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF
THE POSSIBILITY OF SUCH DAMAGES.
DESCRIPTION OF CERTAIN PERMITTED INVESTMENTS
The following information supplements the information about permitted
investments set forth in the corresponding Prospectus for the relevant
Portfolio.
Bank Obligations - The Portfolios may invest in bank obligations of U.S.
commercial banks or savings and loan institutions. The bank obligations which
the Portfolios may buy will include certificates of deposit, time deposits and
bankers' acceptances. A time deposit is an account containing a currency
balance pledged to remain at a particular bank for a specified period in return
for payment of interest. A bankers' acceptance is a bill of exchange guaranteed
by a bank or trust company for payment within one to six months. Bankers'
acceptances are used to provide manufacturers and exporters with capital to
operate between the time of manufacture or export and payment by the purchaser.
2
<PAGE>
Mortgage Pass-Through Securities - The Bond Index Portfolio may purchase
securities representing interests in mortgage pools guaranteed by GNMA, FNMA,
FHLMC, conventional mortgage-pass through obligations, and FHA-insured project
mortgage pools.
GNMA is a wholly-owned U.S. Government corporation which guarantees the timely
payment of principal and interest. The market value and interest yield of these
instruments can vary due to market interest rate fluctuations and early
prepayments of underlying mortgages. These securities represent ownership in a
pool of federally insured mortgage loans. GNMA certificates consist of
underlying mortgages with a maximum maturity of 30 years. However, due to
scheduled and unscheduled principal payments, GNMA certificates have a shorter
average maturity and, therefore, less principal volatility than a comparable
30-year bond. Since prepayment rates vary widely, it is not possible to predict
accurately the average maturity of a particular GNMA pool. The scheduled monthly
interest and principal payments relating to mortgages in the pool will be
"passed through" to investors. GNMA securities differ from conventional bonds in
that principal is paid back to the certificate holders over the life of the loan
rather than at maturity. As a result, the Portfolio will receive monthly
scheduled payments of principal and interest. In addition, the Portfolio may
receive unscheduled principal payments representing prepayments on the
underlying mortgages. Any prepayments will be reinvested at the then prevailing
interest rate.
Repurchase Agreements - The Portfolios may invest in repurchase agreements under
which securities are acquired from a securities dealer or bank subject to resale
on an agreed upon date and at an agreed upon price which includes principal and
interest. A Portfolio bears a risk of loss in the event that the other party to
a repurchase agreement defaults on its obligations and the Portfolio is delayed
or prevented from exercising its rights to dispose of the collateral securities.
The Administrator enters into repurchase agreements only with financial
institutions which it deems to present minimal risk of bankruptcy during the
term of the agreement based on guidelines which are periodically reviewed by the
Board of Trustees. These guidelines currently permit a Portfolio to enter into
repurchase agreements only with primary government securities dealers, as
recognized by the Federal Reserve Bank of New York, which have minimum net
capital of $100 million or a member bank of the Federal Reserve System.
Repurchase agreements are considered to be loans collateralized by the
underlying security. Repurchase agreements entered into by a Portfolio will
provide that the underlying security at all times shall have a value at least
equal to 102% of the price stated in the agreement. This underlying security
will be marked to market daily. The Administrator monitors compliance with this
requirement.
Under all repurchase agreements entered into by a Portfolio, the Custodian or
its agent must take possession of the underlying collateral. However, if the
seller defaults, a Portfolio could realize a loss on the sale of the underlying
security to the extent that the proceeds of sale including accrued interest are
less than the resale price provided in the agreement including interest. In
addition, even though the Federal Bankruptcy Code provides protection for most
repurchase agreements, if the seller should be involved in bankruptcy or
insolvency proceedings, the Portfolio may incur delay and costs in selling the
underlying security or may suffer a loss of principal and interest if the
Portfolio is treated as an unsecured creditor and required to return the
underlying security to the seller's estate.
Securities Lending - In order to generate additional income, the Portfolios may
lend securities in which it is invested pursuant to agreements requiring that
the loans be continuously secured by cash, securities of the U.S. Government or
its agencies, or any combination of cash and such securities as collateral equal
to at least the market value at all times of the securities lent. Such loans
will not be made if, as a result, the aggregate amount of all outstanding
securities loans for a Portfolio exceeds 20% of the value of the Portfolio's
total assets taken at current value. The Portfolio will continue to receive
income on the securities lent while simultaneously earning interest on the
investment of the cash collateral in U.S. Government securities. However, the
Portfolios will normally pay lending fees to such broker-dealers and related
expenses from the interest earned on invested collateral. There may be risks of
delay in receiving
3
<PAGE>
additional collateral or risks of delay in recovery of the securities or even
loss of rights in the collateral should the borrower of the securities fail
financially. However, loans are made only to borrowers deemed by the
Administrator to be of good standing and when, in the judgment of the
Administrator, the consideration which can be earned currently from such loans
justifies the attendant risk. Any loan may be terminated by either party upon
reasonable notice to the other part. The Portfolios will vote the securities
while the collateral is outstanding.
Stock Index Futures - The S&P 500 Index Portfolio may invest in stock index
futures. The nature of initial and variation margin in futures transactions is
different from that of margin in security transactions in that futures contract
margin does not involve the borrowing of funds to finance the transactions.
Rather, the margin is in the nature of a performance bond or good-faith deposit
on the contract that is returned to the Portfolio upon termination of the
contract, assuming all contractual obligations have been satisfied. Initial
margin generally is equal to approximately 2.4% of the contract value which
would be deposited in a segregated account in the name of the futures broker.
Positions in futures contracts may be closed only on an exchange or board of
trade providing a secondary market for such futures contracts. The value of the
contract usually will vary in direct proportion to the total face value. Market
value of a futures position is defined as the closing value of the Index
multiplied by 500 times the number of contracts held.
The Portfolio's ability to effectively utilize futures trading depends on
several factors. First, it is possible that there will not be a perfect price
correlation between the futures contracts and their underlying stock index. In
addition, the purchase of a futures contract involves the risk that the
Portfolio could lose more than the original margin deposit required to initiate
a futures transaction.
In considering the proposed use of futures contracts, particular note should be
taken that futures contracts relate to the anticipated levels at some point in
the future not to the current level of the underlying instrument; thus, for
example, trading of stock index futures may not reflect the trading of the
securities which are used to formulate an index or even actual fluctuations in
the relevant index itself. There is, in addition, a risk that movements in the
price of futures contracts will not correlate with the movement in prices of the
stock index being tracked. There may be several reasons unrelated to the value
of the underlying securities which causes this situation to occur. First, all
participants in the futures market are subject to initial and variation margin
requirements. If, to avoid meeting additional margin deposit requirements or for
other reasons, investors choose to close a significant number of futures
contracts through offsetting transactions, distortions in the normal price
relationship between the securities markets and the futures markets may occur.
Second, because the deposit requirements in the futures market are less onerous
than margin requirements in the securities market, there may be increased
participation by speculators in the futures market which may also cause
temporary price distortions.
The Portfolio has undertaken to restrict its futures contract trading as
follows: First, the Portfolio will not engage in transactions in futures
contracts for speculative purposes. Second, the Portfolio will not purchase or
sell futures contracts if immediately thereafter the sum of the amount of margin
deposits on its existing futures positions would exceed 5% of the Portfolio's
total assets. Third, the Portfolio will not market itself to the public as a
commodity pool or otherwise as a vehicle for trading in the commodities futures
or commodity options markets. Fourth, the Portfolio will disclose to all
prospective shareholders the purpose of and limitations on its commodity futures
trading. Fifth, the Portfolio will submit to the Commodity Futures Trading
Commission ("CFTC") special calls for information. Accordingly, registration as
a commodities pool operator with the CFTC is not expected to be required.
U.S. Government Securities - The Portfolios may invest in U.S. Government
Securities which include bills, notes and bonds issued by the United States
Treasury, obligations issued or guaranteed by agencies of the United States
Government including, among others, Export Import Bank of the United States,
Farmers Home Administration, Federal Farm Credit Bank, Federal Housing
Administration, Maritime
4
<PAGE>
Administration, Small Business Administration, and The Tennessee Valley
Authority and obligations issued or guaranteed by instrumentalities of the
United States Government, among others, Federal Home Loan Banks, Federal Home
Loan Mortgage Corporation, Federal Intermediate Credit Banks, Federal Land
Banks, Federal National Mortgage Association and the United States Postal
Service. Some of these securities are supported by the full faith and credit of
the United States Treasury (e.g., Government National Mortgage Association),
others are supported by the right of the issuer to borrow from the Treasury
(e.g., Federal Farm Credit Bank) and still others are supported only by the
credit of the instrumentality (e.g., Federal National Mortgage Association).
Guarantees of principal by agencies or instrumentalities of the United States
Government may be a guarantee of payment at the maturity of the obligation so
that in the event of a default prior to maturity there might not be a market and
thus no means of realizing on the obligation prior to maturity. Guarantees as
to the timely payment of principal and interest do not extend to the value or
yield of these securities nor to the value of the Portfolio's shares.
When-Issued Securities - The Bond Index Portfolio may purchase debt obligations
on a when-issued basis, in which case delivery and payment normally take place
within 45 days after the date of the commitment to purchase. The Portfolio will
only make commitments to purchase obligations on a when-issued basis with the
intention of actually acquiring the securities, but may sell them before the
settlement date if it is deemed advisable. The when-issued securities are
subject to market fluctuation, and no interest accrues to the purchaser during
the period prior to settlement. The payment obligation and the interest rate
that will be received on the securities are each fixed at the time the purchaser
enters into the commitment. Purchasing obligations on a when-issued basis is a
form of leveraging and can involve a risk that the yields available in the
market when the delivery takes place may actually be higher than those obtained
in the transaction itself, in which case there could be an unrealized loss at
the time of delivery.
The Portfolio will establish a segregated account with a custodian and maintain
high quality, liquid assets in an amount at least equal in value to the
Portfolio's commitments to purchase when-issued securities. If the value of
these assets declines, the Portfolio will place additional liquid assets in the
account on a daily basis so that the value of the assets in the account is equal
to the amount of such commitments.
INVESTMENT LIMITATIONS
The Portfolios may not:
1. Pledge, mortgage or hypothecate assets except to secure temporary
borrowings as described in the Prospectus in aggregate amounts not to
exceed 10% of the net assets of the Portfolio taken at current value at the
time of the incurrence of such loan and, as to the S&P 500 Index Portfolio,
in connection with stock index futures trading as provided in the
Prospectus and this Statement of Additional Information.
2. Invest in companies for the purpose of exercising control.
3. Purchase or sell real estate, real estate limited partnership interests,
commodities or commodities contracts. However, subject to its permitted
investments, a Portfolio may purchase obligations issued by companies which
invest in real estate, commodities or commodities contracts.
4. Make short sales of securities, maintain a short position or purchase
securities on margin, except that the Trust may obtain short-term credits
as necessary for the clearance of security transactions.
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5. Act as an underwriter of securities of other issuers except as it may be
deemed an underwriter in selling a portfolio security.
6. Purchase securities of other investment companies except as permitted by
the Investment Company Act of 1940 and the rules and regulations thereunder
and may only purchase securities of money market funds.
7. Issue senior securities (as defined in the Investment Company Act of 1940)
except in connection with permitted borrowings as described in the
Prospectus and this Statement of Additional Information or as permitted by
rule, regulation or order of the Securities and Exchange Commission
("SEC").
8. Purchase or retain securities of an issuer if, to the knowledge of the
Trust, an officer, trustee, partner or director of the Trust or any
investment adviser of the Trust owns beneficially more than 1/2 of 1% of
the shares or securities of such issuer and all such officers, trustees,
partners and directors owning more than 1/2 of 1% of such shares or
securities together own more than 5% of such shares or securities.
9. Purchase securities of any company which has (with predecessors) a record
of less than three years continuing operations if, as a result, more than
5% of the total assets (taken at current value) would be invested in such
securities.
10. Purchase warrants, puts, calls, straddles, spreads or combinations thereof.
11. Invest in interests in oil, gas or other mineral exploration or development
programs.
12. Purchase restricted securities (securities which must be registered under
the Securities Act of 1933 before they may be offered or sold to the
public) or other illiquid securities except as described in the Prospectus
and this Statement of Additional Information.
The foregoing percentages will apply at the time of the purchase of a security
and shall not be considered violated unless an excess or deficiency occurs or
exists immediately after and as a result of a purchase of such security. These
investment limitations and the investment limitations in the Prospectus are
fundamental policies of the Trust and may not be changed without Shareholder
approval. Notwithstanding the Portfolios' limited right to purchase securities
of other investment companies, the Adviser has no intention to purchase any
securities of other investment companies.
THE MANAGER AND SHAREHOLDER SERVICING AGENT
The Management Agreement provides that the Manager, SEI Financial Management
Corporation, shall not be liable for any error of judgment or mistake of law or
for any loss suffered by the Trust in connection with the matters to which the
Management Agreement relates, except a loss resulting from willful misfeasance,
bad faith or gross negligence on the part of the Manager in the performance of
its duties or from reckless disregard of its duties and obligations thereunder.
The continuance of the Management Agreement must be specifically approved at
least annually (i) by the vote of a majority of the Trustees or by the vote of a
majority of the outstanding voting securities of the Portfolio, and (ii) by the
vote of a majority of the Trustees of the Trust who are not parties to the
Management Agreement or an "interested person" (as that term is defined in the
Investment Company Act of 1940) of any party thereto, cast in person at a
meeting called for the purpose of voting on such approval. The Management
Agreement is terminable at any time without penalty by the Trustees of the
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Trust, by a vote of a majority of the outstanding shares of a Portfolio or by
the Manager on not less than 30 days nor more than 60 days written notice. This
Agreement shall not be assignable by either party without the written consent of
the other party.
The Manager, a wholly-owned subsidiary of SEI Corporation ("SEI"), was organized
as a Delaware corporation in 1969 and has its principal business offices at 680
E. Swedesford Road, Wayne, Pennsylvania 19087. Alfred P. West, Jr., Henry H.
Greer, Carmen V. Romeo, and Robert A. Nesher constitute the Board of Directors
of the Manager. Mr. West serves as the Chairman of the Board of Directors and
Chief Executive Officer of SEI, the Manager and the Distributor. Mr. Greer
serves as a Director, President and the Chief Operating Officer of SEI, the
Manager and the Distributor. SEI and its subsidiaries are leading providers of
funds evaluation services, trust accounting systems, and brokerage and
information services to financial institutions, institutional investors and
money managers. The Manager also serves as manager to the following other
institutional mutual funds: SEI Liquid Asset Trust; SEI Tax Exempt Trust; SEI
Institutional Managed Trust; SEI International Trust; SEI Daily Income Trust;
SEI Insurance Investment Products Trust; CrestFunds, Inc.; Stepstone Funds; The
Compass Capital Group; FFB Lexicon Funds; The Pillar Funds; STI Classic Funds;
CUFund; CoreFunds, Inc.; The Advisors' Inner Circle Fund; First American
Investment Funds, Inc.; PBHG Funds, Inc.; First American Funds, Inc.; Rembrandt
Funds; The Arbor Fund; 1784 Funds; Marquis Funds; Inventor Funds, Inc.; The
Achievement Funds Trust; Bishop Street Funds, Nationar Funds, Inc. and Morgan
Grenfell Investment Trust.
If operating expenses of either Portfolio exceed limitations established by
certain states, the Manager will pay such excess. The Manager will not be
required to bear expenses of the Portfolios to an extent which would result in
the Portfolio's inability to qualify as a regulated investment company under
provisions of the Internal Revenue Code. The term "expenses" is defined in such
laws or regulations, and generally excludes brokerage commissions, distribution
expenses, taxes, interest and extraordinary expenses.
For the fiscal years ended March 31, 1993, 1994 and 1995, the Manager received
fees of $1,203,817, $1,206,920, and $933,762, respectively, from the S&P 500
Index Portfolio, of which $562,746, $436,000, and $404,164, respectively, was
waived. For the fiscal years ended March 31, 1993, 1994, and 1995, the Manager
received fees of $177,360, $216,261, and $174,635, from the Bond Index
Portfolio, of which $34,425, $55,472, and $49,700, respectively, was waived.
THE ADVISER
On March 8, 1995, the Portfolios' shareholders approved the Trust's advisory
agreement with World Asset Management (the "Adviser"), under which World Asset
Management will continue to serve as Investment Adviser to the Portfolios.
The Adviser is a general partnership formed under Delaware law. Munder Capital
Management ("MCM"), a newly-formed general partnership, and Munder Trust are its
general partners. MCM was created by a merger between the Trust's former
investment administrator, Woodbridge Capital Management, Inc. ("Woodbridge"),
World Asset Management, Inc. and Munder Capital Management, Inc. As of March
31, 1995, total assets under management of the Adviser exceeded $6.7 billion,
and assets managed by MCM totalled approximately $31.3 billion. The principal
address for the Adviser is 100 Renaissance Center, Detroit, Michigan 48243.
The Investment Advisory Agreement provides that the Adviser shall not be
protected against any liability to the Trust or its Shareholders by reason of
willful misfeasance, bad faith or gross negligence on its part in the
performance of its duties or from reckless disregard of its obligations or
duties thereunder.
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The continuance of the Investment Advisory Agreement after the first two (2)
years must be specifically approved at least annually (i) by the vote of a
majority of the outstanding shares of the Portfolios or by the Trustees, and
(ii) by the vote of a majority of the Trustees who are not parties to such
Investment Advisory Agreement or "interested persons" of any party thereto,
cast in person at a meeting called for the purpose of voting on such approval.
The Investment Advisory Agreement will terminate automatically in the event of
its assignment, and is terminable at any time without penalty by the Trustees of
the Trust or, with respect to the Portfolio, by a majority of the outstanding
shares of the Portfolio, on not less than 30 days nor more than 60 days written
notice to the Adviser, or by the Adviser on 90 days written notice to the Trust.
World Asset Management, the Adviser to the Portfolios, is a general partnership
organized by Munder Capital Management, a general partnership formed in
December, 1994, which engages in investment management and advisory services.
Counsel to World has advised the Trust that the Adviser may perform the services
contemplated by the Investment Advisory Agreement without violation of
applicable banking laws or regulations. Such counsel has pointed out, however,
that future changes in either federal or state statutes and regulations relating
to the permissible activities of banks or trust companies, as well as judicial
or administrative decisions or interpretations, could prevent the Adviser from
continuing to perform such services for the Trust. In such event, the Trustees
would seek to retain other administrators, which would require approval by a
majority of the outstanding shares of each Portfolio.
The Adviser is entitled to a fee for its investment advisory services which is
calculated daily and paid monthly at an annual rate of .03% of the average daily
net assets of each Portfolio. No monthly payment to the Adviser shall exceed
the payment actually made to the Manager pursuant to the current Management
Agreement between the Manager and the Trust. For the fiscal year ended March
31, 1993, the S&P 500 Index Portfolio and the Bond Index Portfolio incurred fees
of $164,156.87 and $15,202.32, respectively, of which $33,024.55 and $2,771.47,
respectively, was paid to Manufacturers Bank, N.A., the former investment
administrator to the Trust, for services rendered to the Trust until June 1992
and $131,132.32 and $412,430.85, respectively, was paid to Woodbridge for its
services rendered for the remaining portion of the fiscal year.
For the fiscal years ended March 31, 1994 and 1995, the Adviser and its
predecessor, Woodbridge, received fees of $164,581 and $127,331, respectively,
respectively, from the S&P 500 Index Portfolio, and fees of $18,537 and $14,969,
respectively, from the Bond Index Portfolio.
DISTRIBUTION
The Distribution Agreement is renewable annually and may be terminated by the
Distributor, a majority vote of the Disinterested Trustees or by a majority vote
of the outstanding securities of the Trust upon not more than 60 days written
notice by either party. No compensation is paid to the Distributor under the
Distribution Agreement. The Distributor, SEI Financial Services Company, is a
wholly-owned subsidiary of SEI.
The Trust has adopted a Distribution Plan for Class A and Class E shares of the
Portfolios (the "Plans") in accordance with the provisions of Rule 12b-1 under
the Investment Company Act of 1940 which regulates circumstances under which an
investment company may directly or indirectly bear expenses relating to the
distribution of its shares. In this connection, the Board of Trustees has
determined that the Plans and Distribution Agreement are in the best interests
of Shareholders. Continuance of the Plans must be approved annually by a
majority of the Trustees of the Trust and by a majority of the Trustees who are
not interested persons and have no financial interest in the Plans or any
related agreement ("Qualified Trustees"). The Plans require that quarterly
written reports of amounts spent under the Plans and the purposes of such
expenditures be furnished and reviewed by the Trustees. The Plans may not
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be amended to increase materially the amount which may be spent thereunder
without approval by a majority of the outstanding shares of the Trust. All
material amendments of the Plans will require approval by a majority of the
Trustees of the Trust and of the Qualified Trustees.
The Distribution Agreement and the Class E Distribution Plan provide for
reimbursement of expenses incurred by the Distributor in an amount not to exceed
.05% of the S&P 500 Index Portfolio's average daily net assets on an annualized
basis, provided those expenses are permissible as to both type and amount under
a budget. This budget must be approved and monitored quarterly the Trustees,
including Qualified Trustees. The Class E Plan provides for additional payments
for distribution and shareholder services as described below.
The Class E Plan, in addition to providing for the reimbursement payments
described above, provides for payments to the Distributor at an annual rate of
.15% of the Class E average daily net assets. These additional payments are
characterized as "compensation," and are not directly tied to expenses incurred
by the Distributor; the payments the Distributor receives during any year may
therefore be higher or lower than its actual expenses. The Distributor may use
these additional payments to compensate Class E shareholders that are
institutions that provide administrative services to their customers. These
institutions may also charge separate fees for these and related services. It
is possible that an institution may offer different classes of shares to its
customers and thus receive compensation with respect to different classes.
Certain Class E shareholders offering shares to their customers may be required
to register as dealers pursuant to state laws.
Distribution expenditures by the Portfolios will be the lesser of the approved
budget or actual expenditures by the Distributor. For the fiscal year ended
March 31, 1993, the S&P 500 Index Portfolio and the Bond Index Portfolio
incurred distribution expenses of $273,958 and $23,747 under the Plan or .05% of
net assets, respectively, during such period. These expenditures included
$141,432 and $4,478, respectively, for sales expenses; $53,356 and $11,459,
respectively, for printing and mailing costs; and $79,170 and $7,810,
respectively, for costs associated with registration fees.
For the fiscal year ended March 31, 1994, the S&P 500 Index Portfolio and the
Bond Index Portfolio incurred distribution expenses of $210,394 and $26,265
under the Plan or .05% of net assets, respectively, during such period. These
expenditures included $170,537 and $13,104, respectively, for sales expenses;
and $39,857 and $13,161, respectively, for printing and mailing costs.
For the fiscal year ended March 31, 1995, the S&P Index Portfolio and the Bond
Index Portfolio incurred distribution expenses of $201,693 and $25,212 under the
Plan or .05% of net assets, respectively, during such period. These
expenditures included $134,725 and $14,686, respectively, for sales expenses;
$32,836 and $6,763, respectively, for printing and mailing costs; and $34,132
and $3,763, respectively, for costs associated with registration fees.
The distribution-related services that may be provided under the Plans include
establishing and maintaining customer accounts and records; aggregating and
processing purchase and redemption orders with the Distributor; automatically
investing customer account cash balances; providing periodic statements to
customers; arranging for wires; answering customer inquiries concerning their
investments; assisting customers in changing dividend options, account
designations and addresses; performing sub-accounting functions; processing
dividend payments from the Trust on behalf of customers; and forwarding
shareholder communications from the Trust (such as proxies, shareholder reports,
and dividend distribution and tax notices) to these customers with respect to
investments in the trust. Certain state securities laws may require those
financial institutions providing such distribution services to register as
dealers pursuant to state law.
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TRUSTEES AND OFFICERS OF THE TRUST
The Trustees and executive officers of the Trust and their principal occupations
for the last five years are set forth below. Each may have held other positions
with the named companies during that period. Unless otherwise noted, the
business address of each Trustee and executive officer is SEI Financial
Management Corporation, 680 E. Swedesford Road, Wayne, PA 19087. Certain
officers of the Trust also serve as trustees and/or officers of SEI Liquid Asset
Trust, SEI Institutional Managed Trust, SEI Tax Exempt Trust, SEI International
Trust, SEI Daily Income Trust, Stepstone Funds, The Compass Capital Group, FFB
Lexicon Funds, The Pillar Funds, STI Classic Funds, CUFund, CoreFunds, Inc., The
Advisors' Inner Circle Fund, First American Funds, Inc., PBHG Funds, Inc., First
American Investment Funds, Inc., Rembrandt Funds, Bishop Street Funds, Conestoga
Family of Funds, The Achievement Funds Trust, The Arbor Fund, 1784 Funds,
Marquis Funds, Morgan Grenfell Investment Trust, and Insurance Investment
Products Trust open-end management investment companies which are managed by SEI
Financial Management Corporation and distributed by SEI Financial Services
Company.
ROBERT A. NESHER - Chairman of the Board of Trustees* - Retired since 1994.
Executive Vice President of SEI, 1986-1994. Director and Executive Vice
President of the Manager and the Distributor, 1981-1994.
RICHARD F. BLANCHARD - Trustee** - P.O. Box 76, Canfield Road, Convent Station,
NJ 07961. Private Investor. Director of AEA Investors Inc. (acquisition and
investment firm) June 1981-86. Director of Baker Hughes Corp. (oil service
company), 1976-1988. Director of Imperial Clevite Industries (transportation
equipment company), 1981-1987. Executive Vice President of American Express
Company (financial services company), responsible for the investment function
before June 1981.
WILLIAM M. DORAN - Trustee* - 2000 One Logan Square, Philadelphia, PA 19103.
Partner, Morgan, Lewis & Bockius LLP (law firm), counsel to the Trust, Manager
and Distributor, Director and Secretary of SEI and Secretary of the Manager and
Distributor.
F. WENDELL GOOCH - Trustee** - P.O. Box 190, Paoli, IN 47454. President, Orange
County Publishing Co., Inc. since October 1981. Publisher of the Paoli News and
the Paoli Republican and Editor of the Paoli Republican since January 1981.
President, H & W Distribution, Inc. since July 1984. Executive Vice President,
Trust Department, Harris Trust and Savings Bank and Chairman of the Board of
Directors of The Harris Trust Company of Arizona before January 1981.
FRANK E. MORRIS - Trustee** - 105 Walpole Street, Dover, MA 02030. Retired
since 1990. Peter Drucker Professor of Management, Boston College, 1989-1990.
President, Federal Reserve Bank of Boston, 1968-1988.
JAMES M. STOREY - Trustee** - One Post Office Square South, Boston, MA 02109.
Retired since 1993. Formerly Partner of Dechert Price & Rhoads (law firm).
DAVID G. LEE - President and Chief Executive Officer - Senior Vice President of
the Manager and Distributor since 1993. Vice President of the Manager and
Distributor, 1991-1993. President, GW Sierra Trust Funds before 1991.
SANDRA K. ORLOW - Vice President, Assistant Secretary - Vice President and
Assistant Secretary of the Manager and Distributor since 1988.
KEVIN P. ROBINS - Vice President, Assistant Secretary - Senior Vice President
and General Counsel of SEI, the Administrator and Distributor since 1994. Vice
President and Assistant Secretary of SEI, the Administrator and Distributor,
1992-1994. Associate, Morgan, Lewis & Bockius LLP (law firm), 1988-1992.
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RICHARD W. GRANT - Secretary - 2000 One Logan Square, Philadelphia, PA 19103,
Partner, Morgan, Lewis & Bockius LLP (law firm), counsel to the Trust, Manager
and Distributor.
ROBERT B. CARROLL - Vice President, Assistant Secretary - Vice President,
Assistant Secretary of SEI, the Administrator and Distributor, since 1994.
United States Securities and Exchange Commission, Division of Investment
Management, 1990-1994. Associate, McGuire, Woods, Battle and Boothe (law firm)
before 1990.
KATHRYN L. STANTON - Vice President, Assistant Secretary - Vice President,
Assistant Secretary of SEI, the Administrator and Distributor since 1994.
Associate, Morgan, Lewis & Bockius LLP (law firm), 1989-1994.
JOSEPH P. LYDON - Vice President and Assistant Secretary - Director, Business
Administration of Fund Resources, April 1995. Vice President, Fund Group,
Dremen Value Management, LP, President Dremen Financial Services, Inc. prior to
1995.
JEFFREY A. COHEN - Controller and Chief Financial Officer - Director,
International and Domestic Funds Accounting, SEI Corporation, 1991 to Present;
Price Waterhouse, Audit Manager prior to 1991.
_________________________
* Messrs. Nesher and Doran are Trustees who may be deemed to be "interested
persons" of the Trust as the term is defined in the Investment Company Act
of 1940.
** Messrs. Blanchard, Gooch, Morris, and Storey serve as members of the Audit
Committee of the Trust.
The Trustees and officers of the Trust own less than 1% of the outstanding
shares of the Trust.
As of March 31, 1995, the Trustees and officers of the Trust received the
following compensation:
<TABLE>
<CAPTION>
Pension or Total
Aggregate Retirement Estimated Compensation From
Name of Person Compensation Benefits Accrued Annual Registrant and
and Position From Registrant as Part of Fund Benefits Upon Fund Complex Paid to
for FYE 95 Expenses Retirement Directors for FYE 95
<S> <C> <C> <C> <C>
Robert A. Nesher,
Chairman of the Board -- -- -- --
Richard F. Blanchard, $3,753 -- -- $3,753 for services on 1
Trustee board(s)
William M. Doran,
Trustee -- -- -- --
F. Wendell Gooch,
Trustee $3,753 -- -- $3,753 for services on 1
board(s)
Frank E. Morris, Trustee $3,753 -- -- $3,753 for services on 1
board(s)
James M. Storey,
Trustee $3,753 -- -- $3,753 for services on 1
board(s)
Edward W. Binshadler, $2,816 -- -- $2,816 for services on 1
Trustee (retired) board(s)
</TABLE>
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PERFORMANCE
From time to time, a Portfolio may advertise yield. These figures will be based
on historical earnings and are not intended to indicate future performance. The
yield of a Portfolio refers to the annualized income generated by an investment
in such Portfolio over a specified 30-day period. The yield is calculated by
assuming that the income generated by the investment during that period is
generated over a one year and is shown as a percentage of the investment. In
particular, yield will be calculated according to the following formula:
Yield = 2[(a-b/cd + 1)/6/ - 1], where a = dividends and interest
earned during the period; b = expenses accrued for the period (net of
reimbursement); c = the current daily number of shares outstanding
during the period that were entitled to receive dividends; and d = the
maximum offering price per share on the last day of the period.
Actual yield will depend on such variables as asset quality, average asset
maturity, the type of instruments a Portfolio invests in, changes in interest
rates on money market instruments, changes in the expenses of the Portfolio
and other factors. For the 30-day period ending March 31, 1995, the yield for
the S&P 500 Index Portfolio was 2.69% and the yield for the Bond Index Portfolio
was 7.02%.
From time to time, the Portfolio may advertise total return. The total return of
the Portfolio refers to the average compounded rate of return to a hypothetical
investment for designated time periods (including, but not limited to, the
period from which the Portfolio commenced operations through the specified
date), assuming that the entire investment is redeemed at the end of each
period. In particular, total return will be calculated according to the
following formula:
P(1 + T)/n/ = ERV, where P = a hypothetical initial payment of $1,000;
T = average annual total return; n = number of years; and ERV = ending
redeemable value of a hypothetical $1,000 payment made at the
beginning of the designated time period as of the end of such period.
For the fiscal year ended March 31, 1995, the one year total return of the S&P
500 Index Portfolio was 15.26% and the average annual total return for the past
five years and since the inception of the Portfolio was 11.13% and 13.58%,
respectively. For the fiscal year ended March 31, 1995, the one year total
return of the Bond Index Portfolio was 4.54% and the average annual total return
for the past five years and since the inception of the Portfolio was 8.07% and
7.69%, respectively.
PURCHASE AND REDEMPTION OF SHARES
The market value of portfolio securities is obtained by the Manager from an
independent pricing service. Portfolio securities listed on a securities
exchange for which market quotations are available are valued at the last quoted
sale price on each Business Day or, if there is no such reported sale, at the
most recently quoted bid price. Unlisted securities for which market quotations
are readily available are valued at the most recently quoted bid price. The
pricing service may also use a matrix system to determine valuations, which
system considers such factors as security prices, yields, maturities, call
features, ratings and developments relating to specific securities in arriving
at valuations. The procedures of the pricing service and its valuations are
reviewed by the officers of the Trust under the general supervision of the
Trustees.
The Trust reserves the right to suspend the right of redemption and/or to
postpone the date of payment upon redemption for any period during which trading
on the New York Stock Exchange is restricted, or during the existence of an
emergency (as determined by the SEC by rule or regulation) as a result of which
disposal or evaluation of the portfolio securities is not reasonably
practicable, or for such other
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<PAGE>
periods as the SEC may by order permit. The Trust also reserves the right to
suspend sales of shares of the Portfolio for any period during which the New
York Stock Exchange, the Manager, the Administrator, the Distributor and/or the
Custodians are not open for business. The New York Stock Exchange will not open
in observance of the following holidays: New Year's Day, Presidents' Day, Good
Friday, Memorial Day, Independence Day, Labor Day, Thanksgiving and Christmas.
It is currently the Trust's policy to pay for all redemptions in cash. The Trust
retains the right, however, to alter this policy to provide for redemptions in
whole or in part by a distribution in kind of securities held by a Portfolio in
lieu of cash. Shareholders may incur brokerage charges on the sale of any such
securities so received in payment of redemptions. However, a Shareholder will at
all times be entitled to aggregate cash redemptions from the Portfolio of the
Trust during any 90-day period of up to the lesser of $250,000 or 1% of the
Trust's net assets in cash. A gain or loss for federal income tax purposes would
be realized by a Shareholder subject to taxation upon an in-kind redemption
depending upon the Shareholder's basis in the shares of the Portfolio redeemed.
TAXES
Qualification as a RIC
The following discussion of federal income tax consequences is based on the
Internal Revenue Code of 1986, as amended (the "Code") and the regulations
issued thereunder as in effect on the date of this Statement of Additional
Information. Certain legislation proposed at the time of writing, as well as
administrative changes or court decisions, may significantly change the
conclusions expressed herein and may have a retroactive effect with respect to
the transactions contemplated herein.
Each Portfolio intends to qualify as a "regulated investment company" ("RIC") as
defined under Subchapter M of the Code. By following such a policy, each of the
Portfolios expects to eliminate or reduce to a nominal amount the federal taxes
to which such Portfolio may be subject. In order to qualify for treatment as a
RIC under the Code, each Portfolio must distribute annually to its Shareholders
at least 90% of its investment company taxable income (generally, net investment
income, including net short-term capital gain) ("Distribution Requirement") and
must meet several additional requirements. Among these requirements are the
following: (i) at least 90% of the Portfolio's gross income each taxable year
must be derived from dividends, interest, payments with respect to securities
loans and gains from the sale or other disposition of stocks or securities or
other income derived with respect to its business of investing in stocks or
securities; (ii) less than 30% of a Portfolio's gross income each taxable year
may be derived from the sale or other disposition of any of the following
investments that were held for less than three months: (a) stock or securities
(as defined in Section 2(a)(30) of the Investment Company Act); (b) options,
futures, or forward contracts (other than options, futures, or forward contracts
on foreign currencies); and (c) foreign currencies (or options, futures, or
forward contracts on foreign currencies) but only if such currencies (or
options, futures, or forward contracts) are not directly related to the
Portfolio's principal business of investing in stock or securities; (iii) at the
close of each quarter of a Portfolio's taxable year, at least 50% of the value
of its total assets must be represented by cash and cash items, U.S. Government
securities, securities of other RICs and other securities, with such other
securities limited, in respect of any one issuer, to an amount that does not
exceed 5% of the value of the Portfolio's total assets and that does not
represent more than 10% of the outstanding voting securities of the issuer; and
(iv) at the close of each quarter of the Portfolio's taxable year, not more than
25% of the value of its total assets may be invested in securities (other than
U.S. Government securities or the securities of other RICs) of any one issuer,
or of two or more issuers that the Portfolio controls or that are engaged in the
same, similar or related trades or businesses.
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Notwithstanding the Distribution Requirement described above, which only
requires each Portfolio to distribute at least 90% of its annual investment
company taxable income and does not require any minimum distribution of net
capital gain (the excess of net long-term capital gain over net short-term
capital loss), a Portfolio will be subject to a nondeductible 4% federal excise
tax to the extent it fails to distribute by the end of any calendar year 98% of
its ordinary income for that year and 98% of its capital gain net income (the
excess of short and long-term capital gains over short and long-term capital
losses) for the one-year period ending on October 31 of that year, plus certain
other amounts. If capital gain distributions have been made with respect to
shares that are sold at a loss after being held for six months or less, then the
loss is treated as a long-term capital loss to the extent of the capital gain
distributions.
Although each Portfolio intends to distribute substantially all of its net
investment income and capital gains for any taxable (i.e., fiscal) year, a
Portfolio will be subject to Federal income taxation to the extent any such
income or gains are not distributed. If, for any taxable year a Portfolio does
not qualify as a RIC, all of its taxable income will be subject to tax at
regular corporate rates without any deduction for distributions to Shareholders.
In such case, distributions (including capital gains distributions) will be
taxable as ordinary dividends to the extent of the Portfolio's current and
accumulated earnings and profits.
Tax Status of Distributions: Dividends from a Portfolio's net investment income
will be taxable to Shareholders as ordinary income (whether received in cash or
in additional shares) to the extent of the Portfolio's earnings and profits. A
portion of the dividends received from the S&P 500 Index Portfolio, not
exceeding the aggregate dividends received by the Portfolio from domestic
corporations, are eligible for the dividends-received deduction allowed to
corporations; however, dividends received by a corporate shareholder and
deducted by it pursuant to the dividends-received deduction may be subject to
the alternative minimum tax. Distributions of net capital gain will not qualify
for the dividends-received deduction and are taxable to Shareholders as
long-term capital gain, regardless of how long Shareholders have held their
shares.
A Portfolio may either retain or distribute to Shareholders its excess of net
long-term capital gains over net short-term capital losses ("net capital
gains"). If such gains are distributed as capital gains, they are taxable to
Shareholders as long-term capital gains, regardless of the length of time the
Shareholder has held shares. Conversely, if a Portfolio elects to retain its net
capital gains, it will be taxed thereon (except to the extent of any available
capital loss carryovers) at the applicable corporate capital gains tax rate. In
this event, it is expected that a Portfolio also will elect to have shareholders
treated as having received a distribution of such gains, with the result that
they will be required to report such gains on their returns as long-term capital
gains, will receive a tax credit for their allocable share of capital gains tax
paid by the Portfolio on the gains, and will increase the tax basis for their
shares by an amount equal to the deemed distribution less the tax credit.
Ordinarily, Shareholders will include in their incomes all dividends declared by
a Portfolio in the year of payment. However, dividends declared by a Portfolio
in October, November, or December of any year and payable to Shareholders of
record on a date in such a month will be deemed to have been paid by the
Portfolio and received by the Shareholders on December 31 of the year declared
if paid by the Portfolio during the following January. The Portfolios will make
annual reports to Shareholders of the federal income tax status of all
distributions, including the amount of dividends eligible for the corporate
dividends received deduction. Generally, gains or losses on the sale or exchange
of a share will be capital gains or losses which will be long-term if the share
is held for more than one year. However, if a Shareholder realizes a loss on the
sale, exchange or redemption of a share held for six months or less and has
previously received a capital gains distribution with respect to the share (or
any undistributed net capital gains of a Portfolio with respect to such share
are included in determining the shareholder's long-term capital gains), the
shareholder must treat the loss as a long-term capital loss to the extent of the
amount of the prior capital gains distribution (or any undistributed net capital
gains of the Portfolio which have been included in determining such investor's
long-term capital gains). In addition, any loss realized on a sale
14
<PAGE>
or other disposition of shares will be disallowed to the extent an investor
repurchases (or enters into a contract or option to repurchase) shares within a
period of 61 days (beginning 30 days before and ending 30 days after the
disposition of the shares). Investors should particularly note that this loss
disallowance rule will apply to shares received through the reinvestment of
dividends during the 61-day period.
Each Portfolio will be required in certain cases to withhold and remit to the
United States Treasury 31% of distributions payable to any Shareholder who (1)
has provided either an incorrect tax identification number or no number at all,
(2) who is subject to backup withholding by the Internal Revenue Service for
failure to properly report payments of interest or dividends, or (3) who has
failed to certify to the Portfolio that such Shareholder is not subject to
backup withholding.
The S&P 500 Index Portfolio may invest in stock index futures. The use of stock
index futures contracts involves specialized and complex income tax rules that
will determine the character and timing of recognition of the income received in
connection therewith by the Portfolio and thereby affect the amount and
proportion of income that will be available for distribution as dividends or
capital gain distributions.
Stock index futures contracts held by the Portfolio at the end of each taxable
year will be required to be "marked to market" for Federal income tax purposes
(that is, treated as having been sold at that time at market value). Any
unrealized gain or loss taxed pursuant to this rule will be added to realized
gains and losses recognized on other futures contracts sold by the Portfolio
during the year, and the resulting gain or loss will be deemed to consist of
60% long-term capital gain or loss and 40% short-term capital gain or loss. The
Portfolio may elect to exclude certain hedging transactions from the
mark-to-market rule. Gain from hedging transactions is treated as ordinary
income.
The Trust has obtained a private letter ruling from the Internal Revenue Service
confirming that the income and assets attributable to transactions in stock
index futures contracts qualify under the above-described income and asset tests
applicable to RICs.
For purposes of the Distribution Requirement (as well as for other purposes) the
Bond Index Portfolio will be required to treat any recognized market discount on
debt obligations which it holds as interest income. Generally, market discount
is the amount by which the stated redemption price of a bond exceeds the amount
paid by a purchaser of the bond (most common where the value of a bond decreases
after original issue as a result of a decline in the creditworthiness of the
issuer or an increase in prevailing interest rates). Generally, market discount
is recognized on the disposition, or receipt of any principal payment, with
respect to a bond bearing market discount, by treating a portion of the proceeds
as interest income. The application of these rules (and the rules regarding
original issue discount) to debt obligations held by the Bond Index Portfolio
could affect (i) the amount and timing of distributions to Shareholders and (ii)
the ability of the Portfolio to satisfy the Distribution Requirement.
State Taxes
The Portfolios are not liable for any income or franchise tax in Massachusetts
if it qualifies as a RIC for Federal income tax purposes. Distributions by the
Portfolios to Shareholders and the ownership of shares may be subject to state
and local taxes.
PORTFOLIO TRANSACTIONS
The Trust has no obligation to deal with any dealer or group of dealers in the
execution of transactions in portfolio securities. Subject to policies
established by the Trustees, the Administrator is responsible for placing orders
to execute portfolio transactions. In placing orders, it is the Trust's policy
to seek to obtain the best net results taking into account such factors as price
(including the applicable dealer spread), size,
15
<PAGE>
type and difficulty of the transaction involved, the firm's general execution
and operational facilities, and the firm's risk in positioning the securities
involved. While the Administrator generally seeks reasonably competitive spreads
or commissions, the Trust will not necessarily be paying the lowest spread or
commission available. The Trust's policy of investing in securities with short
maturities will result in high portfolio turnover. The Trust will not purchase
portfolio securities from any affiliated person acting as principal except in
conformity with the regulations of the SEC.
The Trust does not expect to use one particular dealer, but, subject to the
Trust's policy of seeking the best net results, dealers who provide supplemental
investment research to the Administrator may receive orders for transactions by
the Trust. Information so received will be in addition to and not in lieu of the
services required to be performed by the Administrator under the Administration
Agreement, and the expenses of the Administrator will not necessarily be reduced
as a result of the receipt of such supplemental information.
The money market securities in which the Portfolios invest are traded primarily
in the over-the-counter market. Bonds and debentures are usually traded
over-the-counter, but may be traded on an exchange. Where possible, the
Administrator will deal directly with the dealers who make a market in the
securities involved except in those circumstances where better prices and
execution are available elsewhere. Such dealers usually are acting as principal
for their own account. On occasion, securities may be purchased directly from
the issuer. Money market securities are generally traded on a net basis and do
not normally involve either brokerage commissions or transfer taxes. The cost of
executing portfolio securities transactions of the Portfolio will primarily
consist of dealer spreads and underwriting commissions.
It is expected that either of the Portfolios may execute brokerage or other
agency transactions through the Distributor, a registered broker-dealer, for a
commission, in conformity with the Investment Company Act of 1940, the
Securities Exchange Act of 1934 and the rules and regulations thereunder. Under
these provisions, the Distributor is permitted to receive and retain
compensation for effecting portfolio transactions for a Portfolio on an exchange
if a written contract is in effect between the Distributor and the Trust
expressly permitting the Distributor to receive and retain such compensation.
These provisions further require that commissions paid to the Distributor by the
Trust for exchange transactions not exceed "usual and customary" brokerage
commissions. The rules define "usual and customary" commissions to include
amounts which are "reasonable and fair compared to the commission, fee or other
remuneration received or to be received by other brokers in connection with
comparable transactions involving similar securities being purchased or sold on
a securities exchange during a comparable period of time." The Trustees,
including those who are not "interested persons" of the Trust, have adopted
procedures for evaluating the reasonableness of commissions paid to the
Distributor and will review these procedures periodically.
Since the Trust does not market its shares through intermediary brokers or
dealers, it is not the Trust's practice to allocate brokerage or principal
business on the basis of sales of its shares which may be made through such
firms. However, the Administrator may place portfolio orders with qualified
broker-dealers who recommend the Trust to clients, and may, when a number of
brokers and dealers can provide best price and execution on a particular
transaction, consider such recommendations by a broker or dealer in selecting
among broker-dealers.
It is expected that the Portfolio turnover rate will normally not exceed 100%
for any Portfolio. A Portfolio turnover rate would exceed 100% if all of its
securities, exclusive of U.S. Government securities and other securities whose
maturities at the time of acquisition are one year or less, are replaced in the
period of one year. Turnover rates may vary from year to year and may be
affected by cash requirements for redemptions and by requirements which enable a
Portfolio to receive favorable tax treatment.
16
<PAGE>
The portfolio turnover rate for the S&P 500 Index Portfolio for the fiscal years
ending March 31, 1993, 1994 and 1995 were 1%, 23%, and 4%, respectively. The
portfolio turnover rate for the Bond Index Portfolio for the fiscal years ending
March 31, 1993, 1994 and 1995 were 115%, 55%, and 21%, respectively.
For the fiscal years ended March 31, 1993, 1994 and 1995, the S&P 500 Index
Portfolio paid $15,977, $27,000 and $33,285 for brokerage commissions. For the
fiscal years ended March 31, 1993, 1994 and 1995, the Bond Index Portfolio paid
no brokerage commissions.
DESCRIPTION OF SHARES
The Declaration of Trust authorizes the issuance of an unlimited number of
shares of each Portfolio, each of which represents an equal proportionate
interest in such Portfolio. Each share upon liquidation entitles a Shareholder
to a pro rata share in the net assets of the Portfolio. Shareholders have no
preemptive rights. The Declaration of Trust provides that the Trustees of the
Trust may create additional portfolios of shares or classes of portfolios. Share
certificates representing the shares will not be issued.
LIMITATION OF TRUSTEES' LIABILITY
The Declaration of Trust provides that a Trustee shall be liable only for his
own willful defaults and, if reasonable care has been exercised in the selection
of officers, agents, employees or administrators, shall not be liable for any
neglect or wrongdoing of any such person. The Declaration of Trust also provides
that the Trust will indemnify its Trustees and officers against liabilities and
expenses incurred in connection with actual or threatened litigation in which
they may be involved because of their offices with the Trust unless it is
determined in the manner provided in the Declaration of Trust that they have not
acted in good faith in the reasonable belief that their actions were in the best
interests of the Trust. However, nothing in the Declaration of Trust shall
protect or indemnify a Trustee against any liability for his wilful misfeasance,
bad faith, gross negligence or reckless disregard of his duties.
SHAREHOLDER LIABILITY
The Trust is an entity of the type commonly known as a "Massachusetts business
trust." Under Massachusetts law, Shareholders of such a Trust could, under
certain circumstances, be held personally liable as partners for the obligations
of the Trust. Even if, however, the Trust were held to be a partnership, the
possibility of the Shareholders' incurring financial loss for that reason
appears remote because the Trust's Declaration of Trust contains an express
disclaimer of Shareholder liability for obligations of the Trust and requires
that notice of such disclaimer be given in each agreement, obligation or
instrument entered into or executed by or on behalf of the Trust or the
Trustees, and because, the Declaration of Trust provides for indemnification out
of the Trust property for any Shareholders held personally liable for the
obligations of the Trust.
5% SHAREHOLDERS
As of May 16, 1995, the following persons were the only persons who were record
owners (or to the knowledge of the Trust, beneficial owners) of 5% or more of
the shares of the Portfolios. The Trust believes that most of the shares
referred to above were held by the above persons in accounts for their
fiduciary, agency, or custodial customers.
17
<PAGE>
S&P Index Portfolio:
<TABLE>
<CAPTION>
Address Number of Shares Percentage
------- ---------------- ----------
<S> <C> <C>
Calhoun & Co. 1,760,785.511 6.36%
c/o Comerica Bank
Attn: Dennis Miriani
P.O. Box 1319, 7th Floor
Detroit, MI 48231
Nabank & Co. 3,031,828.434 10.94%
c/o Bank of Oklahoma, N.A.
Attn: Lisa Marrs
P.O. Box 2300
Tulsa, OK 74192
West One Bank, Idaho N.A. 2,035,563.018 7.35%
Attn: Tom Coleman
Trust Department Securities
Clearance
P.O. Box 7928
Boise, ID 83707
Lane & Company 1,449,920.827 5.23%
c/o Union Bank
Attn: Linda Brown
P.O. Box 109
San Diego, CA 92112
Bond Index Portfolio:
West One Bank, Idaho N.A. 603,666.702 13.92%
Attn: Tom Coleman
Trust Department Securities
Clearance
P.O. Box 7928
Boise, ID 83707
Transco & Company 1,140,126.849 26.29%
c/o Intrust Bank, N.A.
Attn: Pat Wills
P..O. Box 48698
Wichita, KS 67201
New Haven Savings Bank 339,361.069 7.83%
Attn. Laura Vitelli
195 Church Street
New Haven, CT 06510
</TABLE>
18
<PAGE>
<TABLE>
<S> <C> <C>
Smith & Co. 513,713.391 11.85%
c/o First Security Bank of
Utah, N.A.
Attn: Rick Parr
P.O. Box 30007
Salt Lake City, UT 84130
Eagle Trust Company 327,817.670 7.56%
Attn: Jacqueline Esposito
680 E. Swedesford Road
Wayne, PA 19087
</TABLE>
CUSTODIAN AND INDEPENDENT PUBLIC ACCOUNTANTS
Comerica Bank, the custodian for the Portfolios, holds cash, securities and
other assets of the Trust as required by the Investment Company Act of 1940.
The principal business address of Comerica Bank is 411 W. Lafayette, Detroit,
MI 48226.
Arthur Andersen LLP, the independent public accountants for the Portfolios,
provides audit services and assistance and consultation with respect to taxes
and the preparation of filings with the Securities and Exchange Commission. The
principal business address of Arthur Andersen LLP is 1601 Market Street,
Philadelphia, PA 19103.
EXPERTS
The financial statements in this Statement of Additional Information and the
Financial Highlights included in the Prospectus have been audited by Arthur
Andersen LLP, independent public accountants, as indicated in their report, with
respect thereto, and are included herein in reliance upon the authority of said
firm as experts in giving said report.
19
<PAGE>
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Shareholders and Trustees of
SEI Index Funds:
We have audited the accompanying statements of net assets of the S&P 500 Index
and Bond Index Portfolios of SEI Index Funds as of March 31, 1995, and the re-
lated statements of operations, changes in net assets and financial highlights
for the years presented. These financial statements and financial highlights
are the responsibility of the Company's management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.
We conducted our audits in accordance with generally accepted auditing stan-
dards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial high-
lights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
March 31, 1995, by correspondence with the custodian and brokers. An audit also
includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement pre-
sentation. We believe that our audits provide a reasonable basis for our opin-
ion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
S&P 500 Index and Bond Index Portfolios of SEI Index Funds as of March 31,
1995, the results of their operations, changes in their net assets and finan-
cial highlights for the years presented, in conformity with generally accepted
accounting principles.
Arthur Andersen LLP
Philadelphia, PA
May 12, 1995
5
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Index Funds -- March 31, 1995
S&P 500 INDEX PORTFOLIO
<TABLE>
<CAPTION>
- --------------------------------------------------
Market
Shares Value (000)
- --------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- 91.1%
AGRICULTURE -- 0.1%
Pioneer Hi-Bred International 10,200 $ 367
--------
AIR TRANSPORTATION -- 0.4%
AMR* 8,685 563
Delta Air Lines 5,685 357
Federal Express* 6,335 428
Southwest Airlines 16,300 291
US Air Group 6,765 41
--------
1,680
--------
AIRCRAFT -- 1.9%
Allied Signal 32,470 1,274
Boeing 38,803 2,091
General Dynamics 7,130 335
Lockheed* 22,416 1,185
Loral 9,490 403
McDonnell Douglas 13,395 747
Northrop 5,565 272
Rockwell International 25,130 980
Teledyne* 6,350 167
Textron 10,055 569
United Technologies 14,465 1,000
--------
9,023
--------
APPAREL/TEXTILES -- 0.2%
Hartmarx 3,670 20
Liz Claiborne 8,950 159
Oshkosh B'Gosh, Cl A 1,670 24
Russell 4,765 141
Springs Industries, Cl A 1,970 74
V F 7,330 389
--------
807
--------
AUTOMOTIVE -- 2.7%
Chrysler 40,242 1,685
Cooper Tire & Rubber 9,500 270
Dana 11,230 286
Dial 10,500 266
Eaton 8,730 474
Echlin 6,735 259
Fleetwood Enterprises 5,190 123
Ford Motor 114,040 3,079
General Motors 84,730 3,749
Genuine Parts 14,195 566
Goodyear Tire & Rubber 17,170 631
Navistar International* 8,626 110
Paccar 4,454 189
Strattec Strategy* 668 8
TRW 7,360 507
W W Grainger 5,790 365
--------
12,567
--------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------
Market
Shares Value (000)
- --------------------------------------------
<S> <C> <C>
BANKS -- 5.2%
Banc One 45,006 $ 1,283
Bank of Boston 12,410 369
Bank of New York 20,400 671
BankAmerica 39,688 1,914
Bankers Trust New York 9,465 495
Barnett Banks 11,035 502
Boatmen's Bancshares 13,700 414
Chase Manhattan 21,520 767
Chemical Banking 28,670 1,082
Citicorp 43,945 1,868
CoreStates Financial 15,000 480
First Chicago 10,360 519
First Fidelity Bancorp 9,335 462
First Interstate Bancorp 9,440 746
First Union 19,350 839
Fleet Financial Group 15,650 507
Golden West Financial 7,205 276
Great Western Financial 15,070 283
H F Ahmanson 13,300 239
JP Morgan 22,030 1,344
Keycorp 27,471 776
Mellon Bank 16,405 669
National City 17,100 455
NationsBank 30,661 1,556
NBD Bancorp 18,265 594
Norwest 36,186 918
PNC Financial 26,660 650
Shawmut National 13,700 361
SunTrust Banks 13,565 726
US Bancorp Oregon 11,400 296
Wachovia 19,500 692
Wells Fargo 6,335 991
--------
23,744
--------
CHEMICALS -- 3.6%
Air Products & Chemicals 12,970 676
B F Goodrich 2,995 133
Dow Chemical 31,350 2,289
E.I. duPont de Nemours 77,195 4,669
Eastman Chemical 9,391 522
Eli Lilly 33,355 2,439
First Mississippi 2,270 60
FMC* 4,165 252
Great Lakes Chemical 7,900 493
Hercules 13,995 653
Monsanto 13,510 1,084
Morton International 16,695 484
Nalco Chemical 7,900 266
Praxair 15,365 357
Premark International 7,250 320
Rohm & Haas 7,735 456
Sigma Aldrich 5,500 213
Union Carbide 17,165 526
W R Grace 10,705 570
--------
16,462
--------
</TABLE>
6
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------
Market
Shares Value (000)
- ------------------------------------------------------
<S> <C> <C>
COMMUNICATIONS -- 10.4%
Airtouch Communications* 56,090 $ 1,528
Alltel 21,300 612
Ameritech 62,210 2,566
Andrew* 4,440 181
AT&T 178,399 9,235
Bell Atlantic 49,700 2,622
BellSouth 58,628 3,488
Capital Cities/ABC 17,500 1,544
CBS 6,710 429
Comcast Special, Cl A 26,327 411
DSC Communications* 12,730 415
GTE 108,880 3,621
Harris* 4,565 219
Interpublic Group 8,600 321
ITT 13,365 1,372
MCI Communications 77,430 1,597
Motorola 63,360 3,461
Northern Telecom 28,565 1,082
NYNEX 47,300 1,874
Pacific Telesis Group 47,990 1,452
Scientific Atlanta 8,684 203
Southwestern Bell 68,390 2,881
Sprint 39,100 1,183
Tele-Communications, Cl A* 70,035 1,471
US West 51,660 2,066
Viacom, Cl B* 39,400 1,763
Zenith Electronics* 4,145 32
--------
47,629
--------
COMPUTERS & SERVICES -- 5.5%
Amdahl 13,100 144
Apple Computer 13,320 470
Autodesk 5,500 232
Automatic Data Processing 16,210 1,021
Ceridian* 4,965 166
Cisco Systems* 29,100 1,109
Compaq Computer* 28,690 990
Computer Associates International 18,805 1,117
Computer Sciences* 5,760 284
Cray Research* 2,940 54
Data General* 4,070 30
Digital Equipment* 15,715 595
First Data 12,500 648
Harris Computer Systems* 238 4
Hewlett Packard 28,765 3,463
Intergraph* 5,035 60
International Business Machines 66,180 5,417
Lotus Development* 5,165 198
Microsoft* 65,500 4,659
Novell* 36,600 695
Oracle Systems* 49,575 1,549
Pitney Bowes 18,060 650
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------
Market
Shares Value (000)
- ----------------------------------------------
<S> <C> <C>
Shared Medical Systems 2,595 $ 95
Silicon Graphics* 16,100 572
Sun Microsystems* 10,700 372
Tandem Computers 12,950 201
Tandy 7,197 344
Unisys 19,385 179
-------
25,318
-------
CONSTRUCTION -- 0.3%
Armstrong World Industries 4,265 195
Centex 3,340 81
Fluor 9,330 450
Foster Wheeler 4,065 138
Halliburton 12,970 470
JWP* 6,100
McDermott International 6,065 166
Morrison Knudsen 3,600 22
-------
1,522
-------
CONTAINERS & PACKAGING -- 0.2%
Ball 3,295 113
Crown Cork & Seal* 10,085 442
Newell 18,000 460
-------
1,015
-------
ELECTRONIC & OTHER ELECTRICAL
EQUIPMENT -- 2.0%
Advanced Micro Devices* 10,630 360
AMP 23,940 862
Applied Materials* 9,500 524
E-Systems 3,840 174
Honeywell 14,860 555
Intel 46,810 3,972
Johnson Controls 4,665 237
M/A Com* 2,995 30
Micron Technology 11,600 882
Millipore 2,395 134
National Semiconductor* 13,625 238
Perkin Elmer 4,965 145
Raytheon 15,370 1,120
Tektronix 3,370 135
Thomas & Betts 2,170 141
-------
9,509
-------
ENVIRONMENTAL SERVICES -- 0.6%
Browning Ferris Industries 22,035 749
Laidlaw, Cl B 33,500 293
Safety Kleen 6,610 118
WMX Technologies 55,080 1,515
-------
2,675
-------
</TABLE>
7
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Index Funds -- March 31, 1995
S&P 500 INDEX PORTFOLIO (CONTINUED)
<TABLE>
<CAPTION>
- ----------------------------------------------
Market
Shares Value (000)
- ----------------------------------------------
<S> <C> <C>
FINANCIAL SERVICES -- 2.4%
American Express 56,347 $ 1,965
Beneficial 5,990 235
Dean Witter Discover 19,408 791
FHLMC 20,600 1,246
FNMA 31,115 2,532
Household International 10,730 467
MBNA 16,900 490
Merrill Lynch 23,300 993
Salomon 12,665 429
Transamerica 8,030 455
Travelers 36,872 1,424
--------
11,027
--------
FOOD, BEVERAGE & TOBACCO -- 8.4%
American Brands 22,940 900
Anheuser Busch 29,900 1,753
Archer Daniels Midland 58,719 1,094
Brown-Forman, Cl B 7,860 262
Campbell Soup 28,530 1,380
Coca-Cola 147,280 8,323
Conagra 28,242 936
Coors Adolph, Cl B 4,365 71
CPC International 17,060 923
Fleming 4,270 97
General Mills 18,060 1,077
H J Heinz 28,680 1,104
Hershey Foods 10,000 511
Kellogg 25,640 1,497
Pepsico 90,990 3,549
Philip Morris 99,910 6,519
Quaker Oats 15,260 505
Ralston Purina Group 11,460 547
Sara Lee 54,480 1,423
Seagram 42,400 1,346
Supervalu 8,230 220
Sysco 20,910 549
Unilever N V 18,235 2,393
UST 23,340 741
Whitman 11,995 229
Wrigley William Jr 13,205 586
--------
38,535
--------
FOOTWEAR -- 0.2%
Brown Group 1,970 57
Nike, Cl B 8,430 629
Reebok International 9,420 336
Stride Rite 5,700 72
--------
1,094
--------
GLASS PRODUCTS -- 0.4%
Corning 23,760 855
PPG Industries 24,190 914
--------
1,769
--------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------
Market
Shares Value (000)
- ------------------------------------------------------
<S> <C> <C>
HOUSEHOLD PRODUCTS -- 3.5%
Alberto Culver, Cl B 3,090 $ 92
Avon Products 8,235 498
Bassett Furniture Industries 1,608 42
Clorox 6,135 368
Colgate Palmolive 16,694 1,102
Ecolab 7,150 173
Gillette 25,144 2,052
International Flavors & Fragrances 12,795 661
Jostens 5,150 102
Masco 17,840 493
Maytag 12,130 208
Minnesota Mining & Manufacturing 48,230 2,800
National Service Industries 5,585 151
Procter & Gamble 77,854 5,156
Raychem 4,965 202
Rubbermaid 18,260 603
Sherwin Williams 9,880 335
Snap-On Tools 4,865 178
Stanley Works 5,115 201
Whirlpool 8,505 466
--------
15,883
--------
INSURANCE -- 3.0%
Aetna Life & Casualty 12,695 724
Alexander & Alexander Services 4,865 115
American General 24,480 789
American International Group 36,184 3,773
Chubb 10,030 792
Cigna 8,230 615
Continental 6,335 124
General Re 9,600 1,267
Jefferson Pilot 5,647 334
Lincoln National 10,630 428
Marsh & McLennan 8,405 690
Providian 11,430 401
Safeco 7,160 392
Saint Paul 9,680 484
Torchmark 8,187 340
U S F & G 9,730 136
U.S. Life 2,630 100
United Healthcare 18,800 879
UNUM 8,700 394
US Healthcare 18,500 819
--------
13,596
--------
LUMBER & WOOD PRODUCTS -- 0.2%
Georgia-Pacific 10,300 821
Louisiana-Pacific 12,612 348
Skyline 1,270 23
--------
1,192
--------
</TABLE>
8
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------
Market
Shares Value (000)
- ---------------------------------------------
<S> <C> <C>
MACHINERY -- 4.9%
Baker Hughes 16,015 $ 326
Black & Decker 9,535 275
Briggs & Stratton 3,340 123
Brunswick 10,830 218
Caterpillar 23,150 1,288
Cincinnati Milacron 3,795 87
Clark Equipment* 1,970 163
Cooper Industries 13,195 511
Crane 3,342 102
Cummins Engine 4,640 208
Deere 9,730 791
Dover 6,560 425
Dresser Industries 19,870 422
E G & G 6,340 95
Emerson Electric 25,565 1,700
General Electric 194,780 10,542
General Signal 5,394 192
Giddings & Lewis 3,900 66
Harnischfeger Industries 5,205 146
Illinois Tool Works 12,870 629
Ingersoll Rand 12,070 397
Kaufman & Broad Home 3,737 44
Nacco Industries, Cl A 925 50
Outboard Marine 2,270 48
Pall 13,193 277
Parker-Hannifin 5,535 245
Pulte 3,095 73
SPX 1,370 20
Tenneco 19,212 905
Texas Instruments 10,430 923
Timken 3,470 123
Trinova 3,215 98
Tyco International 5,100 270
Varity* 4,970 189
Westinghouse Electric 40,180 568
Zurn Industries 1,370 25
--------
22,564
--------
MEDICAL PRODUCTS & SERVICES --
7.6%
Abbott Laboratories 93,460 3,330
Allergan 7,200 212
Alza* 9,300 198
American Home Products 35,370 2,520
Amgen* 15,100 1,017
Bard C.R. 5,935 164
Bausch & Lomb 6,780 242
Baxter International 31,473 1,031
Becton Dickinson 8,330 452
Beverly Enterprises* 9,485 138
Biomet* 13,100 221
Boston Scientific* 16,900 416
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------
Market
Shares Value (000)
- --------------------------------------------------
<S> <C> <C>
Bristol Myers Squibb 58,220 $ 3,668
Columbia HCA Healthcare 38,373 1,650
Community Psychiatric Centers 4,865 63
Johnson & Johnson 73,220 4,357
Mallinckrodt Group 8,785 296
Manor Care 7,047 214
Medtronic 13,260 920
Merck 142,825 6,088
National Medical Enterprises 21,860 347
Pfizer 37,460 3,212
St Jude Medical 5,300 229
Schering Plough 22,040 1,639
United States Surgical 6,500 148
Upjohn 19,750 706
Warner Lambert 15,210 1,190
--------
34,668
--------
METAL & METAL INDUSTRIES -- 1.7%
Alcan Aluminum 25,552 680
Aluminum of America 20,100 832
Armco 11,900 82
Asarco 4,765 126
Barrick Gold 39,900 995
Bethlehem Steel 12,130 196
Cyprus AMAX Minerals 10,502 298
Echo Bay Mines 12,700 132
Engelhard 10,845 321
Homestake Mining 15,600 289
Inco 13,200 368
Inland Steel Industries 4,665 128
Newmont Mining 9,701 415
Nucor 9,880 556
Phelps Dodge 8,030 457
Placer Dome 27,129 661
Reynolds Metals 6,835 337
Santa Fe Pacific Gold 13,112 166
USX-U.S. Steel Group 8,667 293
Worthington Industries 10,322 205
--------
7,537
--------
OIL & GAS -- 8.8%
Amerada Hess 10,630 525
Amoco 56,495 3,594
Ashland 6,825 243
Atlantic Richfield 18,280 2,102
Burlington Resources 14,700 599
Chevron 74,220 3,563
Exxon 141,495 9,445
Helmerich & Payne 2,895 79
Kerr McGee 5,835 298
</TABLE>
9
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Index Funds -- March 31, 1995
S&P 500 INDEX PORTFOLIO (CONTINUED)
<TABLE>
<CAPTION>
- --------------------------------------------------
Market
Shares Value (000)
- --------------------------------------------------
<S> <C> <C>
Louisiana Land & Exploration 3,740 $ 140
Mobil 45,345 4,200
Nicor 6,000 150
Occidental Petroleum 34,830 762
Oryx Energy 10,970 138
Pennzoil 5,165 245
Phillips Petroleum 29,835 1,093
Rowan* 9,505 62
Royal Dutch Petroleum 61,035 7,324
Santa Fe Energy Resources 10,281 99
Schlumberger 27,765 1,655
Sun 12,170 347
Texaco 29,510 1,962
Unocal 27,490 790
USX-Marathon Group 32,635 571
Western Atlas* 5,290 228
--------
40,214
--------
PAPER & PAPER PRODUCTS -- 1.6%
Alco Standard 6,165 447
Avery Dennison 6,465 258
Bemis 5,790 170
Boise Cascade 4,331 151
Champion International 10,600 458
Federal Paper Board 4,865 139
International Paper 14,170 1,065
James River 9,302 242
Kimberly Clark 18,360 955
Mead 6,760 363
Owens Corning* 4,865 175
Potlatch 3,270 138
Scott Paper 8,505 760
Stone Container 10,316 236
Temple-Inland 6,390 287
Union Camp 7,955 413
Westvaco 7,660 318
Weyerhaeuser 23,370 909
--------
7,484
--------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES --
0.8%
Eastman Kodak 38,465 2,043
Polaroid 5,258 183
Xerox 11,825 1,388
--------
3,614
--------
PRINTING & PUBLISHING -- 1.4%
American Greetings 8,500 254
Deluxe 9,355 267
Dow Jones 11,300 428
Gannett 16,735 893
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------
Market
Shares Value (000)
- ---------------------------------------------------
<S> <C> <C>
John H Harland 3,450 $ 78
Knight-Ridder 6,235 352
McGraw Hill 5,635 404
Meredith 3,240 84
Moore 11,300 220
New York Times, Cl A 12,230 283
R R Donnelley & Sons 18,060 621
Time Warner 43,064 1,626
Times Mirror 14,565 280
Tribune 7,630 422
--------
6,212
--------
PROFESSIONAL SERVICES -- 0.4%
Dun & Bradstreet 19,332 1,017
H & R Block 12,070 524
Ogden 4,865 98
Service International 9,622 269
--------
1,908
--------
RECREATIONAL PRODUCTS & SERVICES --
1.2%
Bally Entertainment* 5,345 45
Hasbro 10,052 339
Hilton Hotels 5,440 403
King World Productions* 4,262 168
Mattel 25,162 620
Promus* 11,685 438
Walt Disney 61,160 3,265
--------
5,278
--------
RETAIL -- 6.1%
Albertson's 28,840 930
American Stores 16,260 417
Bruno's 8,800 79
Charming Shoppes 11,670 66
Circuit City Stores 10,900 287
Dayton Hudson 8,130 581
Dillard Department Stores, Cl A 12,820 354
Gap 16,560 588
Giant Food, Cl A 6,860 164
Great Atlantic & Pacific Tea 4,365 99
Handleman 3,782 41
Harcourt General 8,866 346
Home Depot 51,074 2,260
J C Penney 26,830 1,204
K mart 48,280 664
Kroger* 12,380 327
Limited 41,360 956
Longs Drug Stores 2,395 79
Lowe's 17,760 613
Luby's Cafeterias 2,955 63
Marriott International 14,370 499
</TABLE>
10
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------
Market
Shares Value (000)
- ----------------------------------------------------
<S> <C> <C>
May Department Stores 28,362 $ 1,049
McDonald's 80,600 2,750
Melville 11,970 446
Mercantile Stores 4,215 188
Nordstrom 9,330 380
Pep Boys -- Manny Moe & Jack 6,950 215
Price/Costco* 24,758 365
Rite Aid 10,030 246
Ryan's Family Steak Houses* 6,125 41
Sears Roebuck 40,025 2,136
Shoney's* 4,715 51
TJX Companies 8,410 110
Toys R US* 33,065 847
Wal-Mart Stores 261,720 6,676
Walgreen 14,070 677
Wendy's International 11,675 191
Winn Dixie Stores 8,530 477
Woolworth 15,020 276
--------
27,738
--------
TRANSPORTATION -- 1.2%
Burlington Northern 10,130 601
Conrail 9,010 506
Consolidated Freightways 4,115 110
CSX 11,959 942
Norfolk Southern 15,800 1,057
Pittston Services Group 4,765 131
Roadway Services 4,465 215
Ryder Systems 8,830 212
Santa Fe Pacific 9,615 221
Union Pacific 23,340 1,283
Yellow 3,120 50
--------
5,328
--------
UTILITIES, ELECTRIC, & GAS -- 4.2%
American Electric Power 21,025 668
Baltimore Gas & Electric 16,595 392
Carolina Power & Light 18,300 496
Central & South West 21,500 521
Cinergy 16,592 413
Coastal 11,902 342
Columbia Gas System 5,715 169
Consolidated Edison of New York 26,690 727
Consolidated Natural Gas 10,630 411
Detroit Edison Company 16,735 458
Dominion Resources 19,175 690
Duke Power 23,350 899
Eastern Enterprises 2,391 66
Enron 28,360 936
Enserch 7,535 112
Entergy 26,220 547
FPL Group 21,328 776
General Public Utilities 13,000 379
Houston Industries 14,870 567
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
Shares/Face Market
Amount (000) Value (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
Niagara Mohawk Power 16,265 $ 224
Noram Energy 13,925 75
Northern States Power 7,560 333
Ohio Edison 17,335 347
Oneok 3,000 57
Pacific Enterprises 9,842 244
Pacific Gas & Electric 48,645 1,210
Pacificorp 32,200 624
Panhandle Eastern 17,556 404
Peco Energy 25,175 633
Peoples Energy 3,940 99
Public Service Enterprise Group 27,883 763
SCE 51,040 798
Sonat 9,930 298
Southern 73,826 1,503
Texas Utilities 25,705 816
Unicom 24,395 579
Union Electric 11,600 410
Williams 11,830 362
--------
19,348
--------
Total Common Stocks
(Cost $359,197) 417,307
--------
PREFERRED STOCKS -- 0.0%
AIRCRAFT -- 0.0%
Teledyne, Ser E 63 1
--------
Total Preferred Stocks
(Cost $1) 1
--------
U. S. TREASURY OBLIGATIONS -- 0.6%
U.S. TREASURY BILLS
5.380%, 06/29/95 $1,200 1,183
4.670%, 09/21/95 1,500 1,457
--------
Total U. S. Treasury Obligations
(Cost $2,638) 2,640
--------
REPURCHASE AGREEMENT -- 8.0%
JP Morgan
6.20%, dated 03/31/95, matures 04/03/95, repurchase
price $36,432,174 (collateralized by various FNMA
obligations, total par value $255,783,000, interest
rates .937% - 9.500%, maturity dates 01/25/19-
04/01/29: FHLMC obligations total par value
$250,687,000, interest rates 0.000% - 7.000%,
maturity dates 10/15/08-02/15/24: total market
value $37,154,000) 36,426 36,426
--------
Total Repurchase Agreement
(Cost $36,426) 36,426
--------
Total Investments (99.6%)
(Cost $398,262) 456,374
--------
</TABLE>
11
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Index Funds -- March 31, 1995
S&P 500 INDEX PORTFOLIO
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Market
Value (000)
- -------------------------------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES -- 0.4%
Other Assets and Liabilities, Net $ 1,638
--------
NET ASSETS:
Portfolio shares (unlimited authorization -- no par value)
based on 27,927,363 outstanding shares of beneficial interest 393,225
Accumulated net realized gain on investments 4,940
Net unrealized appreciation on investments 58,112
Net unrealized appreciation on futures contracts 522
Undistributed net investment income 1,213
--------
Total Net Assets: 100.0% $458,012
========
Net Asset Value, Offering and Redemption Price Per Share $ 16.40
========
</TABLE>
CL Class
Ser Series
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
* Denotes non-income producing security.
BOND INDEX PORTFOLIO
<TABLE>
<CAPTION>
- ----------------------------------------------------------
Face Market
Amount (000) Value (000)
- ----------------------------------------------------------
<S> <C> <C>
U. S. TREASURY OBLIGATIONS -- 41.6%
U.S. Treasury Bonds
13.125%, 05/15/01 $ 525 $ 681
12.375%, 05/15/04 230 307
12.000%, 05/15/05 300 399
9.375%, 02/15/06 800 924
7.625%, 02/15/07 350 354
10.375%, 11/15/12 800 986
7.250%, 05/15/16 1,425 1,379
8.875%, 02/15/19 340 388
8.500%, 02/15/20 650 716
7.875%, 02/15/21 680 702
7.250%, 08/15/22 50 48
7.125%, 02/15/23 885 844
U.S. Treasury Notes
8.875%, 07/15/95 425 428
5.125%, 11/15/95 375 372
9.375%, 04/15/96 600 617
8.000%, 01/15/97 1,500 1,531
8.500%, 05/15/97 663 684
6.375%, 06/30/97 1,000 990
9.250%, 08/15/98 690 736
8.875%, 11/15/98 520 550
9.125%, 05/15/99 1,765 1,895
6.750%, 05/31/99 400 396
6.375%, 01/15/00 1,000 972
7.875%, 08/15/01 585 607
7.500%, 11/15/01 500 509
6.375%, 08/15/02 550 524
6.250%, 02/15/03 475 447
------
Total U. S. Treasury Obligations
(Cost $19,246) 18,986
------
U.S. GOVERNMENT AGENCY POOLED MORTGAGES --
31.0%
FHLMC
8.500%, 10/01/01 27 27
9.000%, 11/01/04 50 51
7.500%, 05/01/07 180 178
8.500%, 08/01/07 157 161
7.000%, 11/01/07 162 157
7.000%, 03/01/08 409 397
6.500%, 07/01/08 243 230
6.000%, 01/01/09 163 152
9.000%, 07/01/09 31 32
8.500%, 01/01/10 131 131
9.000%, 04/01/17 133 136
9.500%, 08/01/17 89 92
10.500%, 12/01/17 46 49
9.500%, 01/01/19 54 56
10.500%, 06/01/19 24 26
9.500%, 10/01/20 64 67
9.500%, 02/01/21 40 42
9.000%, 09/01/21 182 187
8.000%, 01/01/22 200 198
8.000%, 09/01/22 298 295
7.500%, 01/01/23 218 211
</TABLE>
The accompanying notes are an integral part of the financial statements.
12
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------
Face Market
Amount (000) Value (000)
- -------------------------------------------
<S> <C> <C>
8.500%, 01/01/23 $ 75 $ 76
7.500%, 05/01/23 225 218
7.000%, 08/01/23 739 699
7.000%, 05/01/24 243 229
FNMA
9.000%, 10/01/06 53 55
8.500%, 05/01/07 57 58
7.500%, 06/01/07 170 168
8.000%, 08/01/07 141 142
7.500%, 01/01/08 175 174
7.000%, 02/01/08 265 257
7.000%, 04/01/08 81 79
8.000%, 12/01/08 111 110
6.000%, 12/25/08 419 389
10.500%, 03/01/14 48 52
9.500%, 12/01/17 420 438
10.500%, 06/01/18 120 129
8.000%, 02/01/19 138 136
9.500%, 02/01/20 255 266
9.500%, 07/01/20 37 39
9.650%, 08/10/20 375 399
9.500%, 02/01/21 18 19
8.500%, 03/01/22 200 202
8.000%, 06/01/22 320 317
8.500%, 10/01/22 128 130
7.500%, 01/01/23 332 321
8.000%, 05/01/23 241 239
7.000%, 06/01/23 456 429
7.000%, 11/01/23 671 632
6.000%, 12/25/23 197 174
6.000%, 01/01/24 536 474
8.000%, 01/01/24 68 67
GNMA
8.000%, 10/15/07 58 57
9.500%, 09/15/09 49 51
11.500%, 04/15/15 74 82
8.500%, 02/15/17 124 126
9.000%, 02/15/17 163 168
9.000%, 04/15/17 523 540
8.500%, 05/15/17 178 180
9.500%, 07/15/17 62 65
9.750%, 10/15/17 122 129
10.000%, 09/15/18 178 191
10.000%, 06/15/19 96 103
11.000%, 10/15/19 11 13
9.000%, 11/15/19 387 400
10.000%, 10/15/20 59 64
10.000%, 02/20/21 43 45
9.000%, 08/15/21 41 42
8.500%, 11/15/21 106 107
8.500%, 08/15/22 349 353
8.500%, 11/15/22 62 63
7.500%, 01/15/23 244 237
7.000%, 05/15/23 489 458
8.000%, 09/15/23 347 343
7.000%, 11/15/23 394 368
----
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
Face Market
Amount (000) Value (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Total U.S. Government Agency Pooled Mortgages
(Cost $14,797) $14,177
-------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 7.6%
FHLB
8.250%, 09/25/96 $355 361
8.220%, 05/29/98 125 128
5.440%, 10/15/03 150 131
FHLMC
8.700%, 07/06/95 180 181
7.900%, 09/19/01 250 256
FNMA
9.200%, 01/10/96 275 280
6.750%, 04/22/97 100 99
8.200%, 03/10/98 225 231
8.450%, 07/12/99 200 209
9.050%, 04/10/00 200 215
8.250%, 12/18/00 50 52
7.500%, 02/11/02 100 100
8.250%, 10/12/04 500 510
Zero Coupon, 07/05/14 415 88
10.350%, 12/10/15 290 364
Resolution Funding
8.875%, 04/15/30 230 262
-------
Total U.S. Government Agency Obligations
(Cost $3,495) 3,467
-------
CORPORATE OBLIGATIONS -- 15.5%
Alcan Aluminum
9.400%, 06/01/95 195 196
Baltimore Gas and Electric
7.250%, 07/01/02 200 196
Banc One
7.250%, 08/01/02 200 194
BankAmerica
6.000%, 07/15/97 500 485
BP America
8.875%, 12/01/97 200 208
Cabot
8.340%, 08/05/22 500 483
Campbell Soup
8.875%, 05/01/21 300 327
Chase Manhattan
8.500%, 03/01/96 200 202
Chemical Banking
8.625%, 05/01/02 150 155
Commonwealth Edison
6.500%, 04/15/00 250 236
Household Finance
7.800%, 11/01/96 500 502
Integra Financial
8.500%, 05/15/02 250 255
International Bank
8.250%, 09/01/16 200 205
</TABLE>
13
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Index Funds -- March 31, 1995
BOND INDEX PORTFOLIO (CONTINUED)
<TABLE>
<CAPTION>
- -----------------------------------------------------
Face Market
Amount (000) Value (000)
- -----------------------------------------------------
<S> <C> <C>
JP Morgan
5.750%, 10/15/08 $200 $ 166
Landeskredit Bank
7.875%, 04/15/04 250 255
Manufacturers Hanover
8.500%, 02/15/99 200 205
Masco
9.000%, 04/15/96 100 102
New York Telephone
8.625%, 11/15/10 200 213
Occidental Petroleum
11.750%, 03/15/11 200 217
R R Donnelley & Sons
9.125%, 12/01/00 239 260
Rockwell International
6.750%, 09/15/02 150 144
Tenneco
9.875%, 02/01/01 250 273
Texaco Capital
9.000%, 12/15/99 200 212
Tokyo Metropolis
8.700%, 10/05/99 125 131
Union Electric
5.500%, 03/01/97 345 336
Union Oil
9.150%, 02/15/06 350 374
Virginia Electric and Power
7.250%, 03/01/97 165 165
Whirlpool
9.100%, 02/01/08 250 273
Xerox
9.200%, 07/15/99 100 103
-----
Total Corporate Obligations
(Cost $7,215) 7,073
-----
YANKEE BONDS -- 1.1%
New Zealand Government
8.250%, 09/25/96 180 183
9.125%, 09/25/16 102 112
Republic of Ireland
7.875%, 12/01/01 200 202
-----
Total Yankee Bonds
(Cost $509) 497
-----
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
Face Market
Amount (000) Value (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 1.5%
Shearson
5.89%, dated 03/31/95, matures 04/03/95, repurchase
price $686,270 (collateralized by U.S. Treasury
Bill, par value $749,481, 5.94%, matures 03/07/96:
market value $706,536) $686 $ 686
-------
Total Repurchase Agreement
(Cost $686) 686
-------
Total Investments 98.3%
(Cost $45,948) 44,886
-------
OTHER ASSETS AND LIABILITIES -- 1.7%
Other Assets and Liabilities, Net 757
-------
Total Other Assets and Liabilities 757
-------
NET ASSETS:
Portfolio shares (unlimited authorization -- no par
value) based on 4,612,408 outstanding shares of
beneficial interest 47,499
Accumulated net realized loss on investments ( 1,046)
Net unrealized depreciation on investments ( 1,062)
Undistributed net investment income 252
-------
Total Net Assets: 100.0% $45,643
=======
Net Asset Value, Offering and Redemption Price Per
Share $ 9.90
=======
</TABLE>
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.
14
<PAGE>
STATEMENT OF OPERATIONS (000)
- --------------------------------------------------------------------------------
SEI Index Funds -- For the Year Ended March 31, 1995
<TABLE>
<CAPTION>
--------- ---------
S&P 500 BOND
INDEX INDEX
PORTFOLIO PORTFOLIO
--------- ---------
<S> <C> <C>
INVESTMENT INCOME:
Dividends $11,492 $ --
Interest 967 3,343
------- ------
Total investment income 12,459 3,343
------- ------
EXPENSES:
Management fees 934 175
Waiver of management fees (404) (50)
Investment advisory fees 127 15
Custodian/wire agent fees 75 9
Trustee fees 18 2
Pricing fees 18 2
Professional fees 62 8
Registration fees 34 4
Distribution expense 135 15
Administrative expense 62 10
------- ------
Total expenses 1,061 190
------- ------
NET INVESTMENT INCOME 11,398 3,153
------- ------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from securities sold 10,456 (990)
Net realized gain on futures contracts 783 --
------- ------
Net realized gain (loss) from security transactions 11,239 (990)
------- ------
Change in unrealized appreciation (depreciation) on
investment securities 36,939 (261)
Change in unrealized appreciation on futures contracts 993 --
------- ------
Net change in unrealized appreciation (depreciation) on
investments 37,932 (261)
------- ------
Net realized and unrealized gain (loss) on investments 49,171 (1,251)
------- ------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $60,569 $1,902
======= ======
</TABLE>
The accompanying notes are an integral part of the financial statements.
15
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI Index Funds -- For the Years Ended March 31
<TABLE>
<CAPTION>
------------------- -----------------
S&P 500 INDEX BOND INDEX
PORTFOLIO PORTFOLIO
------------------- -----------------
4/1/94- 4/1/93- 4/1/94- 4/1/93-
3/31/95 3/31/94 3/31/95 3/31/94
-------- --------- ------- --------
<S> <C> <C> <C> <C>
INVESTMENT ACTIVITIES:
Net investment income $ 11,398 $ 14,110 $ 3,153 $ 3,306
Net realized gain (loss) from security
transactions 11,239 17,772 (990) 488
Excess of market value over book value
of securities distributed upon
redemption of shares -- 75,524 -- --
Net change in unrealized appreciation
(depreciation) of investment
securities 37,932 (95,172) (261) (2,347)
-------- --------- ------- --------
Net increase in net assets resulting
from operations 60,569 12,234 1,902 1,447
-------- --------- ------- --------
DISTRIBUTIONS:
Net investment income (11,407) (14,536) (3,169) (3,318)
Net realized gain (12,233) (17,207) -- --
-------- --------- ------- --------
Total distributions (23,640) (31,743) (3,169) (3,318)
-------- --------- ------- --------
TRUST SHARE TRANSACTIONS:*
Shares issued 244,921 331,452 21,194 47,608
Shares issued in lieu of cash
distributions 12,249 17,593 333 536
Shares redeemed (260,734) (580,373) (30,778) (46,144)
-------- --------- ------- --------
Net increase (decrease) from trust
share transactions (3,564) (231,328) (9,251) 2,000
-------- --------- ------- --------
Increase (decrease) in net assets 33,365 (250,837) (10,518) 129
-------- --------- ------- --------
NET ASSETS:
Beginning of year 424,647 675,484 56,161 56,032
-------- --------- ------- --------
End of year (including undistributed
net investment income of $1,213;
$1,222; $252 and $268) $458,012 $ 424,647 $45,643 $ 56,161
======== ========= ======= ========
* SHARES ISSUED AND REDEEMED:
Shares issued 15,806 20,849 2,169 4,525
Shares issued in lieu of cash
distributions 810 1,116 34 51
Shares redeemed (16,871) (36,547) (3,155) (4,385)
======== ========= ======= ========
</TABLE>
The accompanying notes are an integral part of the financial statements.
16
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SEI Index Funds -- For the Years Ended March 31
For a Share Outstanding Throughout each Year
<TABLE>
<CAPTION>
Ratio of Net
Net Asset Net Realized and Dividends Distributions Ratio of Investment
Value Net Unrealized from Net from Net Asset Net Assets Expenses Income
Beginning Investment Gains or (Losses) Investment Capital Value-End Total End of to Average to Average
of Year Income(1) on Securities Income Gains of Year Return Year (000) Net Assets Net Assets
- --------------------------------------------------------------------------------------------------------------------------
- -------------------------
S & P 500 INDEX PORTFOLIO
- -------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995 $15.07 $0.42 $ 1.79 $(0.42) $(0.46) $16.40 15.26% $458,012 0.25% 2.69%
1994 15.80 0.43 (0.22) (0.42) (0.52) 15.07 1.19% 424,647 0.25% 2.57%
1993 14.17 0.40 1.69 (0.40) (0.06) 15.80 14.97% 675,484 0.25% 2.75%
1992 13.43 0.40 1.01 (0.41) (0.26) 14.17 10.71% 470,847 0.25% 2.99%
1991 12.45 0.43 1.24 (0.43) (0.26) 13.43 14.18% 261,165 0.25% 3.56%
<CAPTION>
- --------------------
BOND INDEX PORTFOLIO
- --------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995 $10.09 $0.63 $(0.20) $(0.62) -- $ 9.90 4.54% $ 45,643 0.38% 6.33%
1994 10.43 0.56 (0.33) (0.57) -- 10.09 2.10% 56,161 0.38% 5.35%
1993 9.87 0.66 0.56 (0.66) -- 10.43 12.73% 56,032 0.38% 6.49%
1992 9.73 0.73 0.15 (0.74) -- 9.87 9.48% 38,449 0.38% 7.45%
1991 9.46 0.80 0.28 (0.81) -- 9.73 11.92% 22,602 0.38% 8.52%
<CAPTION>
Ratio of Net
Ratio of Expenses Investment Income
to Average to Average Portfolio
Net Assets Net Assets Turnover
(Excluding Waivers) (Excluding Waivers) Rate
- --------------------------------------------------------------------------------------------------------------------------
- -------------------------
S & P 500 INDEX PORTFOLIO
- -------------------------
<S> <C> <C> <C>
1995 0.35% 2.59% 4%
1994 0.33% 2.49% 23%
1993 0.35% 2.65% 1%
1992 0.34% 2.90% 1%
1991 0.32% 3.49% 40%
<CAPTION>
- --------------------
BOND INDEX PORTFOLIO
- --------------------
<S> <C> <C> <C>
1995 0.48% 6.23% 21%
1994 0.47% 5.26% 55%
1993 0.45% 6.42% 115%
1992 0.51% 7.32% 99%
1991 0.61% 8.29% 26%
</TABLE>
(1) Had management fees not been waived, and certain other expenses not been
absorbed by the Manager for the Portfolios, the net investment income per
share would have been $.41, $.41, $.39, $.38 and $.42 for the S&P 500 In-
dex Portfolio for the years ended 3/31/95 through 3/31/91, respectively
and $.62, $.55, $.65, $.71, and $.78 for the Bond Index Portfolio for the
periods ended 3/31/95 through 3/31/91, respectively.
The accompanying notes are an integral part of the financial statements.
17
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI Index Funds -- March 31, 1995
1. ORGANIZATION:
SEI Index Funds (the "Trust") was organized as a Massachusetts business trust
under a Declaration of Trust dated March 6, 1985. The Trust is registered under
the Investment Company Act of 1940, as amended, as a diversified, open-end man-
agement investment company with two portfolios; the S&P 500 Index Portfolio and
the Bond Index Portfolio (the "Portfolios"). The assets of each Portfolio are
segregated, and a shareholder's interest is limited to the Portfolio in which
shares are held.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of the significant accounting policies followed by
the Portfolios.
Security Valuation--Investments in equity securities which are traded on a
national securities exchange (or reported on the NASDAQ national market system)
are stated at the last quoted sales price if readily available for such equity
securities on each business day; other equity securities traded in the over-
the-counter market and listed equity securities for which no sale was reported
on that date are stated at the last quoted bid price. Debt obligations exceed-
ing sixty days to maturity for which market quotations are readily available
are valued at the most recently quoted bid price. Debt obligations with sixty
days or less remaining until maturity may be valued at their amortized cost.
Federal Income Taxes--It is each Portfolio's intention to continue to qualify
as a regulated investment company for Federal income tax purposes by complying
with the appropriate provisions of the Internal Revenue Code. Accordingly, no
provisions for Federal income taxes are required in the accompanying financial
statements.
Security Transactions and Related Income--Security transactions are accounted
for on the date the security is purchased or sold (trade date). Dividend income
is recognized on the ex-dividend date, and interest income is recognized on the
accrual basis. Costs used in determining realized gains and losses on the sales
of investment securities are those of the specific securities sold adjusted for
the accretion and amortization of purchase discounts and premiums during the
respective holding periods. Purchase discounts and premiums on securities held
by the Portfolios are accreted and amortized to maturity using a method which
approximates the effective interest method.
Repurchase Agreements--Securities pledged as collateral for Repurchase Agree-
ments are held by the custodian bank until the respective agreements mature.
Provisions of the Repurchase Agreements and procedures adopted by the Manager
and adviser ensure that the market value of the collateral, including accrued
interest thereon, is sufficient in the event of default by the counterparty. If
the counterparty defaults and the value of the collateral declines or if the
counterparty enters into an insolvency proceeding, realization of the collat-
eral by the Portfolios may be delayed or limited.
Futures Contracts--The S&P 500 Index Portfolio invests in S&P 500 futures
contracts. For each S&P 500 futures contract, the Portfolio pledges Treasury
bills with the broker valued at approximately $7,500 per contract. Subsequent
payments to and from the broker are made on a daily basis or upon expiration or
closing of the position, as the value of the S&P 500 Index fluctuates. These
fluctuations make the positions in the futures contracts more or less valuable,
which results in gains or losses to the Portfolio. The S&P 500 Index Portfo-
lio's investment in S&P 500 Index futures contracts is designed to assist the
Portfolio in more closely approximating the performance of the S&P 500 Index.
Risks of entering into S&P 500 Index futures contracts include the possibility
that there may be an illiquid market and that a change in the value of the con-
tract may not correlate with changes in the value of the underlying securities.
Should the S&P 500 Index move unexpectedly , the Portfolio may not receive the
anticipated benefits from the S&P 500 Index futures contracts and may realize a
loss.
Net Asset Value Per Share--The net asset value per share of each Portfolio is
calculated on each business day. In general, it is computed by dividing the as-
sets of each Portfolio, less its liabilities, by the number of outstanding
shares of the Portfolio.
Other--Distributions from net investment income for the Portfolios are paid
to shareholders in
18
<PAGE>
- --------------------------------------------------------------------------------
the form of monthly dividends. Any net realized capital gains on sales of secu-
rities are distributed to shareholders at least annually.
3. TRANSACTIONS WITH AFFILIATES:
The Trust and SEI Financial Management Corporation (the "Manager") are parties
to management agreements (the "Management Agreement") for the S&P 500 Index
Portfolio and Bond Index Portfolio dated July 25, 1986 and January 20, 1986,
respectively, under which the Manager provides management, administrative,
transfer agent, and shareholder services to the Portfolios for an annual fee
equal to .22% of the average daily net assets of the S&P 500 Index Portfolio
and .35% of average daily net assets of the Bond Index Portfolio. The Manager
has agreed to waive its fee so that the total annual expenses of each Portfolio
will not exceed the lower of the maximum limitations established by certain
states or voluntary expense limitations adopted by the Manager. In the event
that the total annual expenses of a Portfolio, after reflecting a waiver of all
fees by the Manager, exceed the specific limitation, the Manager has agreed to
bear such excess.
Certain officers and/or Trustees of the Trust are also officers and/or direc-
tors of the Manager. The Trust pays each unaffiliated Trustee an annual fee for
attendance at quarterly, interim and committee meetings. Compensation of offi-
cers and affiliated Trustees is paid by the Manager.
SEI Financial Services Company acts as the distributor (the "Distributor") of
the shares of the Portfolios under a distribution plan which provides for the
Trust to reimburse the Distributor for its distribution expenses. On an annual
basis such expenses may not exceed .05% of the Portfolios' average daily net
assets.
4. INVESTMENT ADVISORY AGREEMENT:
Under an investment advisory agreement (the "Advisory Agreement"), dated Janu-
ary 31, 1995, World Asset Management serves as the Investment Adviser of the
Portfolios and in this capacity monitors the indexing systems and determines
which securities to purchase and sell in order to keep the S&P 500 Index Port-
folio and the Bond Index Portfolio in balance with the S&P 500 Index and Lehman
Aggregate Bond Index, respectively. For its services as Investment Adviser,
World Asset Management receives a monthly fee at an annual rate of .03% of the
average daily net assets of each of the Portfolios.
Prior to January 31, 1995, Woodbridge Capital Management, Inc. acted as in-
vestment administrator for the Trust. For its services Woodbridge was paid a
monthly fee at an annual rate of .03% of the average daily net assets of the
Portfolios. For the year ended March 31, 1995, World Asset Management and
Woodbridge Capital Management, Inc. received $21,000, and $106,000, for the S&P
500 Index Portfolio and $2,000, and $13,000, for the Bond Index Portfolio, re-
spectively.
5. INVESTMENT TRANSACTIONS:
The cost of security purchases and the proceeds from the sale of securities,
other than temporary cash investments, during the year ended March 31, 1995
were as follows:
<TABLE>
<CAPTION>
U.S.
Government
Securities All Other Total
(000) (000) (000)
---------- --------- -------
S&P 500 INDEX PORTFOLIO
<S> <C> <C> <C>
Purchases $ 0 $15,305 $15,305
Sales 0 67,505 67,505
<CAPTION>
BOND INDEX PORTFOLIO
<S> <C> <C> <C>
Purchases $ 9,424 $ 991 $10,415
Sales 14,089 5,366 19,455
</TABLE>
On March 31, 1995, the total cost of securities for Federal income tax pur-
poses was not materially different from amounts reported for financial report-
ing purposes. The aggregate gross unrealized appreciation and depreciation on
securities at March 31, 1995, for each Portfolio is as follows:
<TABLE>
<CAPTION>
Net
Unrealized
Appreciated Depreciated Appreciation/
Securities Securities (Depreciation)
(000) (000) (000)
----------- ----------- --------------
<S> <C> <C> <C>
S&P 500 Index Portfolio $76,143 $17,509 $58,634
Bond Index Portfolio 318 1,380 (1,062)
</TABLE>
19
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
- --------------------------------------------------------------------------------
SEI Index Funds -- March 31, 1995
The Bond Index Portfolio invests primarily in securities issued or guaranteed
as to principal and interest by the U.S. Government or its agencies or instru-
mentalities. The ability of the issuers of the repurchase agreements and other
bonds held by the Portfolio to meet their obligations may be affected by eco-
nomic developments in a specific industry, state or region. The market value of
the Portfolio's investments will change in response to interest rate changes
and other factors. During periods of falling interest rates, the values of
fixed income securities generally rise. Conversely, during periods of rising
interest rates, the values of such securities generally decline. Changes by
recognized rating agencies in the ratings of any fixed income security and in
the ability of an issuer to make payments of interest and principal may also
affect the value of these investments. The following is a summary of credit
quality ratings for securities held by the Portfolio at March 31, 1995:
<TABLE>
<CAPTION>
% OF
PORTFOLIO
MOODY'S VALUE
------- ---------
<S> <C>
U.S. Government Securities 81.60%
Repurchase Agreements 1.52%
Other Bonds:
Aaa................................................................ 1.32%
Aa................................................................. 3.11%
A.................................................................. 8.13%
Baa................................................................ 4.32%
------
100.00%
======
</TABLE>
At March 31, 1995, the Bond Index Portfolio had a capital loss carryover of
$1,046,000 which expires in 2003.
6. FUTURES CONTRACTS:
The S&P 500 Index Portfolio's investment in S&P 500 Index futures contracts is
designed to assist the Portfolio in more closely approximating the performance
of the S&P 500 Index. Risks of entering into S&P 500 Index futures contracts
include the possibility that there may be an illiquid market and that a change
in the value of the contract may not correlate with changes in the value of the
underlying securities. Should the S&P 500 Index move unexpectedly, the Portfo-
lio may not receive the anticipated benefits from the S&P 500 Index futures
contracts and may realize a loss. At March 31, 1995, open S&P 500 Index futures
contracts were as follows:
<TABLE>
<CAPTION>
Unrealized
Number of Trade Face Settlement Gain/(Loss)
Contracts Price Amount Month (000)
- --------- ------- ------- ---------- -----------
<S> <C> <C> <C> <C>
21 $494.85 $10,500 June 1995 $100
20 496.10 10,000 June 1995 83
20 496.00 10,000 June 1995 84
15 497.10 7,500 June 1995 55
10 488.75 5,000 June 1995 77
9 506.00 4,500 June 1995 (7)
9 504.70 4,500 June 1995 (1)
8 507.60 4,000 June 1995 (13)
5 500.25 2,500 June 1995 10
5 499.70 2,500 June 1995 12
5 499.55 2,500 June 1995 12
5 499.25 2,500 June 1995 13
5 494.70 2,500 June 1995 23
4 505.50 2,000 June 1995 (2)
4 499.55 2,000 June 1995 10
4 499.30 2,000 June 1995 10
4 488.80 2,000 June 1995 31
2 499.35 1,000 June 1995 5
2 494.90 1,000 June 1995 10
2 498.75 1,000 June 1995 6
1 497.00 500 June 1995 4
----
$522
====
</TABLE>
7. SHAREHOLDER VOTING RESULTS:
There was a special meeting of shareholders on March 8, 1995 for the Trust to
approve the selection of World Asset Management as the investment adviser for
the Trust and to approve the adoption of the Investment Advisory Agreement be-
tween the Trust and World Asset Management. The following were the results of
the vote (Unaudited):
<TABLE>
<CAPTION>
S&P 500 INDEX BOND INDEX
------------- ----------
<S> <C> <C>
For.................................................... 17,506,853 3,550,698
Against................................................ 5,419 9,196
Abstain................................................ 688,350 21,230
</TABLE>
There were no broker non-votes for either Portfolio. There were no other pro-
posals voted upon at such meeting.
20
