SEMI-ANNUAL REPORT AS OF
SEPTEMBER 30, 1997 (UNAUDITED)
SEI INDEX FUNDS
============================================================
S&P 500 Index
============================================================
Bond Index
============================================================
(LOGO)
[GRAPHIC OMITTED]
<PAGE>
TABLE OF CONTENTS
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STATEMENT OF NET ASSETS.............................................. 1
S&P 500 INDEX PORTFOLIO........................................ 1
BOND INDEX PORTFOLIO........................................... 7
STATEMENT OF OPERATIONS.............................................. 10
STATEMENTS OF CHANGES IN NET ASSETS.................................. 11
FINANCIAL HIGHLIGHTS................................................. 12
NOTES TO FINANCIAL STATEMENTS........................................ 13
<PAGE>
STATEMENT OF NET ASSETS
===========================================================
SEI INDEX FUNDS -- SEPTEMBER 30, 1997 (UNAUDITED)
S&P 500 INDEX PORTFOLIO
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
COMMON STOCKS -- 97.5%
AEROSPACE DEFENSE -- 0.0%
Telecom-TCI Ventures Group A* 21,827 $ 450
-----------
AGRICULTURE -- 0.1%
Pioneer Hi Bred International 14,900 1,356
-----------
AIR TRANSPORTATION -- 0.4%
AMR* 16,685 1,847
Delta Air Lines 13,285 1,251
Federal Express* 20,770 1,662
Southwest Airlines 26,400 843
US Air Group* 14,265 590
-----------
6,193
-----------
AIRCRAFT -- 2.1%
Allegheny Teledyne 31,848 912
Allied Signal 102,440 4,354
Boeing 181,271 9,868
General Dynamics 11,330 987
Lockheed Martin 35,116 3,744
Northrop 12,065 1,464
Rockwell International 37,830 2,381
Textron 29,910 1,944
United Technologies 42,630 3,453
-----------
29,107
-----------
APPAREL/TEXTILES -- 0.2%
Fruit of the Loom, Cl A* 13,500 380
Liz Claiborne 12,550 689
Russell 6,565 193
Springs Industries, Cl A 3,670 193
VF 11,330 1,049
-----------
2,504
-----------
AUTOMOTIVE -- 2.4%
Chrysler 122,084 4,494
Cooper Tire & Rubber 14,300 380
Dana 18,930 935
Eaton 14,030 1,296
Echlin 11,435 401
Fleetwood Enterprises 6,490 218
Ford Motor 216,140 9,780
General Motors 131,930 8,831
Genuine Parts 32,592 1,004
Goodyear Tire & Rubber 28,270 1,944
ITT Industries 21,465 712
Navistar International* 13,226 365
Paccar 14,108 790
TRW 22,220 1,219
-----------
32,369
-----------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
BANKS -- 7.5%
Banc One 105,486 $ 5,887
Bank of New York 68,700 3,298
BankAmerica 126,376 9,265
Bankboston 26,450 2,339
Bankers Trust New York 18,225 2,233
Barnett Banks 35,970 2,545
Chase Manhattan 77,365 9,129
Citicorp 82,945 11,109
Comerica 19,100 1,508
CoreStates Financial 38,245 2,531
Fifth Third Bancorp 28,200 1,844
First Chicago 53,502 4,026
First Union 101,624 5,088
Fleet Financial Group 46,489 3,048
Golden West Financial 10,205 916
H.F. Ahmanson 18,000 1,023
J.P. Morgan 32,730 3,719
KeyCorp 39,671 2,524
Mellon Bank 45,910 2,514
National City 39,200 2,413
NationsBank 129,614 8,020
Norwest 67,886 4,158
PNC Bank 57,360 2,800
Republic New York 9,900 1,125
SunTrust Banks 39,130 2,658
Wachovia 28,900 2,081
Wells Fargo 15,828 4,353
-----------
102,154
-----------
CHEMICALS -- 2.4%
Air Products & Chemicals 19,870 1,648
Avery Dennison 18,630 745
B.F. Goodrich 9,790 443
Dow Chemical 41,650 3,777
E.I. du Pont de Nemours 204,690 12,601
Eastman Chemical 14,191 880
FMC* 6,765 600
Great Lakes Chemical 10,800 533
Hercules 17,795 885
Monsanto 106,650 4,159
Morton International 25,395 902
Nalco Chemical 12,100 485
Praxair 28,565 1,462
Rohm & Haas 11,035 1,059
Union Carbide 22,465 1,094
W.R. Grace* 13,100 964
-----------
32,237
-----------
1
<PAGE>
STATEMENT OF NET ASSETS
===========================================================
SEI INDEX FUNDS -- SEPTEMBER 30, 1997 (UNAUDITED)
S&P 500 INDEX PORTFOLIO
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
COMMUNICATIONS -- 8.4%
Airtouch Communications* 91,190 $ 3,232
Alltel 33,800 1,166
Ameritech 99,510 6,617
Andrew* 16,215 425
AT&T 293,999 13,028
Bell Atlantic 140,457 11,298
BellSouth 181,965 8,416
Clear Channel Communications* 17,700 1,148
Comcast, Special, Cl A* 63,127 1,626
DSC Communications* 21,230 572
GTE 173,080 7,854
Harris* 14,130 646
Interpublic Group 22,550 1,157
Lucent Technologies 116,173 9,454
MCI Communications 125,230 3,679
Motorola 107,760 7,745
Northern Telecom Ltd. 47,465 4,933
SBC Telecommunications 165,416 10,152
Scientific-Atlanta 14,084 319
Sprint 77,900 3,895
Tele-Communications, Cl A* 91,807 1,882
Tellabs* 32,800 1,689
US West 86,760 3,340
US West Media Group* 109,760 2,449
Viacom, Cl B* 63,900 2,021
WorldCom* 163,300 5,777
-----------
114,520
-----------
COMPUTERS & SERVICES -- 9.3%
Adobe Systems 13,200 665
Apple Computer* 23,020 499
Bay Networks* 36,000 1,391
Cabletron Systems* 28,500 912
Ceridian* 14,565 539
Cisco Systems* 121,100 8,848
Compaq Computer* 139,013 10,391
Computer Associates
International 65,835 4,728
Computer Sciences* 13,960 988
CUC International* 74,100 2,297
Data General* 8,670 231
Dell Computer* 59,800 5,793
Digital Equipment* 27,615 1,196
EMC* 44,700 2,609
First Data 80,304 3,016
Hewlett Packard 188,260 13,096
International Business Machines 177,760 18,831
Microsoft* 216,900 28,699
Netscape Communications* 123 4
Novell* 63,200 567
Oracle Systems* 177,343 6,462
Parametric Technology* 23,100 1,019
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Pitney Bowes 26,160 $ 2,176
Safety-Kleen 10,510 252
Seagate Technology* 44,300 1,600
Shared Medical Systems 4,395 232
Silicon Graphics* 32,000 840
Sun Microsystems* 66,800 3,127
Tandy 19,994 672
Texas Instruments 34,660 4,683
Unisys* 31,685 485
-----------
126,848
-----------
CONSTRUCTION -- 0.4%
Armstrong World Industries 7,265 487
Centex 5,140 300
Fluor 15,230 817
Foster Wheeler 7,365 324
Halliburton 45,840 2,384
McDermott International 10,065 367
Owens-Corning Fiberglass 9,665 353
-----------
5,032
-----------
CONTAINERS & PACKAGING -- 0.1%
Ball 5,495 191
Crown Cork & Seal 23,185 1,069
-----------
1,260
-----------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT -- 3.4%
3Com* 62,400 3,198
Advanced Micro Devices* 25,530 831
AMP 39,778 2,131
Autodesk 8,700 395
Automatic Data Processing 53,020 2,651
Honeywell 23,060 1,549
Intel 295,540 27,282
Johnson Controls 15,130 750
LSI Logic* 25,700 826
Micron Technology 38,100 1,322
Millipore 7,890 388
National Semiconductor* 26,325 1,079
Perkin Elmer 7,965 582
Raytheon 42,740 2,527
Tektronix 5,970 403
Thomas & Betts 9,940 543
-----------
46,457
-----------
ENVIRONMENTAL SERVICES -- 0.4%
Browning-Ferris Industries 38,535 1,467
Ecolab 11,750 571
Waste Management 82,040 2,866
-----------
4,904
-----------
2
<PAGE>
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- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
FINANCIAL SERVICES -- 5.1%
Allstate* 78,752 $ 6,330
American Express 84,847 6,947
Beneficial 9,590 731
Charles Schwab 47,900 1,712
Equifax 27,300 858
Federal Home Loan Mortgage
Corporation 125,800 4,434
Federal National Mortgage
Association 192,060 9,027
Green Tree Financial 24,600 1,156
Hartford Financial Services Group 21,365 1,839
Household International 19,330 2,188
Huntington Bancshares 28,800 1,039
MBNA 60,450 2,448
Merrill Lynch 60,000 4,451
Morgan Stanley, Dean Witter,
Discover and Company 106,261 5,745
Providian Financial* 16,930 672
Salomon 19,465 1,464
State Street 29,100 1,773
Transamerica 11,830 1,177
Travelers Group 116,044 7,920
U.S. Bancorp 44,277 4,273
Washington Mutual 45,303 3,160
-----------
69,344
-----------
FOOD, BEVERAGE & TOBACCO -- 7.7%
Adolph Coors, Cl B 6,565 249
Anheuser Busch 89,000 4,016
Archer-Daniels-Midland 101,364 2,426
Brown-Forman, Cl B 12,460 619
Campbell Soup 83,260 4,080
Coca-Cola 448,960 27,359
Conagra 42,842 2,828
CPC International 25,960 2,405
Fleming Companies 6,870 126
Fortune Brands 31,040 1,046
General Mills 28,960 1,996
H.J. Heinz 66,820 3,086
Hershey Foods 25,900 1,463
Kellogg 74,680 3,146
PepsiCo 276,980 11,235
Philip Morris 438,530 18,226
Quaker Oats 24,860 1,252
Ralston-Ralston Purina Group 19,260 1,705
Sara Lee 86,980 4,479
Seagram 67,100 2,365
Supervalu 11,830 464
Sysco 31,610 1,168
Unilever NV, ADR 28,935 6,152
UST 33,240 1,016
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Whitman 18,395 $ 501
William Wrigley, Jr. 21,005 1,582
-----------
104,990
-----------
FOOTWEAR -- 0.2%
Nike, Cl B 52,220 2,768
Reebok International 10,220 498
Stride Rite 8,700 118
-----------
3,384
-----------
GLASS PRODUCTS -- 0.4%
Corning 41,760 1,973
Newell 28,800 1,152
Owens-Illinois* 25,400 862
PPG Industries 32,490 2,037
-----------
6,024
-----------
HOUSEHOLD PRODUCTS -- 3.5%
Alberto-Culver, Cl B 10,180 310
Avon Products 23,970 1,486
Clorox 18,670 1,384
Colgate Palmolive 53,588 3,734
Gillette 101,288 8,742
International Flavors &
Fragrances 19,795 970
Jostens 7,050 191
Masco 29,840 1,367
Maytag 17,830 608
Minnesota Mining &
Manufacturing 75,230 6,959
National Service Industries 8,185 360
Procter & Gamble 244,508 16,886
Raychem 7,865 665
Rubbermaid 27,160 694
Sherwin Williams 31,260 920
Snap-On Tools 11,097 511
Stanley Works 16,130 694
Tupperware 10,950 308
Whirlpool 13,505 896
-----------
47,685
-----------
INSURANCE -- 3.5%
Aetna 27,087 2,206
American General 44,938 2,331
American International Group 126,939 13,099
Aon 30,250 1,599
Chubb 31,260 2,221
Cigna 13,430 2,501
Conseco 34,000 1,660
Countrywide Credit Industries 19,400 707
General Re 14,300 2,839
Jefferson Pilot 12,770 1,009
3
<PAGE>
STATEMENT OF NET ASSETS
===========================================================
SEI INDEX FUNDS -- SEPTEMBER 30, 1997 (UNAUDITED)
S&P 500 INDEX PORTFOLIO
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Lincoln National 18,330 $ 1,276
Loews 20,800 2,349
Marsh & McLennan 30,510 2,338
MBIA 8,100 1,016
MGIC Investment 20,900 1,198
Progressive of Ohio 13,000 1,393
SAFECO 22,820 1,209
St. Paul 15,180 1,238
SunAmerica 35,300 1,383
Torchmark 25,074 984
United Healthcare 33,900 1,695
UNUM 25,300 1,154
USF&G 20,030 459
-----------
47,864
-----------
LUMBER & WOOD PRODUCTS -- 0.2%
Georgia-Pacific 16,600 1,733
Louisiana-Pacific 19,812 495
-----------
2,228
-----------
MACHINERY -- 5.5%
Applied Materials* 33,000 3,143
Baker Hughes 30,515 1,335
Black & Decker 17,135 638
Briggs & Stratton 4,840 239
Brunswick 17,930 632
Case Equipment 13,500 899
Caterpillar 68,100 3,673
Cincinnati Milacron 7,095 191
Cooper Industries 22,095 1,195
Crane 8,313 342
Cummins Engine 6,940 542
Deere 45,590 2,450
Dover 20,120 1,366
Dresser Industries 31,670 1,362
Emerson Electric 80,230 4,623
General Electric 592,660 40,338
General Signal 9,094 393
Harnischfeger Industries 8,805 376
Illinois Tool Works 45,140 2,257
Ingersoll Rand 30,005 1,292
Kaufman & Broad Home 7,037 153
NACCO Industries, Cl A 1,525 179
Pall 22,993 496
Parker-Hannifin 20,178 908
PULTE 3,895 149
Tenneco 30,812 1,475
Timken 11,440 458
W.W. Grainger 9,090 809
Westinghouse Electric 117,080 3,168
-----------
75,081
-----------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
MEASURING DEVICES -- 0.2%
KLA Instruments* 15,200 $ 1,027
Mallinckrodt 13,285 478
Thermo Electron* 27,200 1,088
-----------
2,593
-----------
MEDICAL PRODUCTS & SERVICES -- 10.4%
Abbott Laboratories 139,260 8,904
Aerquip-Vickers 5,015 246
Allergan 11,700 423
Alza* 15,400 447
American Home Products 117,440 8,573
Amgen* 48,000 2,301
Bausch & Lomb 10,080 408
Baxter International 50,573 2,642
Becton, Dickinson 22,160 1,061
Beverly Enterprises* 19,985 347
Biomet* 20,100 482
Boston Scientific* 35,100 1,937
Bristol-Myers Squibb 180,440 14,931
C.R. Bard 10,435 354
Cardinal Health 19,600 1,392
Columbia HCA Healthcare 118,559 3,409
Eli Lilly 100,710 12,129
Guidant 26,800 1,501
Healthsouth Rehabilitation* 62,200 1,660
Humana* 29,600 705
Johnson & Johnson 240,840 13,878
Manor Care 11,547 384
Medtronic 84,640 3,978
Merck 218,625 21,849
Pfizer 233,940 14,051
Pharmacia & Upjohn 91,942 3,356
Schering Plough 132,560 6,827
Sigma Aldrich 18,100 596
St. Jude Medical 16,650 584
Tenet Healthcare* 54,860 1,598
Tyco International Ltd 48,269 3,961
United States Surgical 13,300 388
Warner Lambert 49,120 6,628
-----------
141,930
-----------
METAL & METAL INDUSTRIES -- 1.1%
Alcan Aluminum 41,052 1,427
Aluminum Company of America 31,500 2,583
Armco* 19,400 116
Asarco 7,565 242
Barrick Gold 67,500 1,671
Battle Mountain Gold, Cl A 41,600 299
Bethlehem Steel* 20,430 211
Cyprus AMAX Minerals 16,902 406
Echo Bay Mines 25,200 143
Engelhard 26,117 563
4
<PAGE>
===========================================================
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Freeport-McMoran Copper
& Gold, Cl B 36,000 $ 1,037
Homestake Mining 26,600 407
Inco 30,200 757
Inland Steel Industries 8,765 192
Newmont Mining 28,321 1,273
Nucor 15,880 837
Phelps Dodge 11,030 856
Placer Dome Group 43,329 829
Reynolds Metals 13,335 944
USX-U.S. Steel Group 15,467 537
Worthington Industries 17,522 355
-----------
15,685
-----------
OIL & GAS -- 6.9%
Amerada Hess 16,630 1,026
Amoco 88,795 8,558
Anadarko Petroleum 10,800 776
Apache 16,300 699
Ashland 13,525 735
Atlantic Richfield 58,060 4,961
Burlington Resources 22,400 1,149
Chevron 118,520 9,859
Coastal 19,202 1,176
Enserch Exploration* 5 --
Exxon 447,890 28,693
Helmerich & Payne 4,395 352
Kerr McGee 8,535 587
Louisiana Land & Exploration 6,140 481
Mobil 142,290 10,529
Occidental Petroleum 59,930 1,554
Oryx Energy* 19,070 485
Pennzoil 8,565 683
Phillips Petroleum 47,635 2,459
Rowan* 15,705 559
Schlumberger 89,630 7,546
Sun 13,170 577
Texaco 95,620 5,875
Unocal 44,690 1,933
USX-Marathon Group 52,135 1,939
Western Atlas* 9,790 862
-----------
94,053
-----------
PAPER & PAPER PRODUCTS -- 1.3%
Bemis 9,590 429
Boise Cascade 10,031 422
Champion International 17,400 1,060
Fort James 34,227 1,568
International Paper 54,779 3,016
Kimberly-Clark 100,714 4,929
Mead 9,460 683
Potlatch 5,170 260
Stone Container 18,016 280
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Temple-Inland 10,290 $ 659
Union Camp 12,555 774
Westvaco 18,490 667
Weyerhaeuser 36,070 2,142
Willamette Industries 20,100 769
-----------
17,658
-----------
PETROLEUM & FUEL PRODUCTS -- 1.7%
Royal Dutch Petroleum 388,140 21,542
Union Pacific Resources 45,891 1,202
-----------
22,744
-----------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.7%
Eastman Kodak 58,965 3,829
Polaroid 8,258 423
Xerox 58,875 4,957
-----------
9,209
-----------
PRINTING & PUBLISHING -- 1.2%
American Greetings, Cl A 13,600 502
Deluxe 14,955 502
Dow Jones 17,400 813
Gannett 25,635 2,767
John H. Harland 5,550 128
Knight-Ridder 16,070 878
McGraw-Hill 17,870 1,210
Meredith 9,680 321
Moore 16,100 306
New York Times, Cl A 17,330 910
R.R. Donnelley & Sons 26,460 944
Time Warner 101,364 5,493
Times Mirror, Cl A 17,365 954
Tribune 22,260 1,187
-----------
16,915
-----------
PROFESSIONAL SERVICES -- 0.4%
Cognizant 29,732 1,212
Dun & Bradstreet 30,832 875
EG & G 8,140 168
H & R Block 18,870 729
Ikon Office Solutions 24,030 614
Service International 45,544 1,466
-----------
5,064
-----------
RECREATIONAL PRODUCTS & SERVICES -- 1.5%
Harrah's Entertainment* 18,285 410
Hasbro 22,978 646
HFS* 28,700 2,136
Hilton Hotels 45,305 1,526
ITT* 21,065 1,427
King World Productions* 6,662 288
Marriott International 23,070 1,639
5
<PAGE>
STATEMENT OF NET ASSETS
===========================================================
SEI INDEX FUNDS -- SEPTEMBER 30, 1997 (UNAUDITED)
S&P 500 INDEX PORTFOLIO
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Mattel 52,565 $ 1,741
Mirage Resorts* 32,400 976
Walt Disney 122,167 9,850
-----------
20,639
-----------
RETAIL -- 5.0%
Albertson's 44,540 1,553
American Stores 51,720 1,261
Autozone* 27,300 819
Charming Shoppes* 19,170 118
Circuit City Stores 17,800 718
Costco* 38,458 1,447
CVS 31,170 1,773
Darden Restaurants* 27,660 320
Dayton-Hudson 39,390 2,361
Dillards Incorporated, Cl A 20,120 882
F.W. Woolworth* 24,420 540
Federated Department Stores* 37,900 1,634
Giant Food, Cl A 10,860 354
Great Atlantic & Pacific Tea 6,965 221
Harcourt General 12,766 633
Home Depot 132,161 6,889
J.C. Penney 45,030 2,623
Kmart* 88,080 1,233
Kroger* 46,060 1,390
Longs Drug Stores 7,090 189
Lowe's 31,460 1,223
May Department Stores 41,962 2,287
McDonald's 124,500 5,929
Mercantile Stores 6,515 410
Nordstrom 14,130 901
Pep Boys - Manny Moe & Jack 11,450 312
Rite Aid 22,230 1,232
Sears Roebuck 70,925 4,038
The Gap 48,620 2,434
The Limited 49,112 1,200
TJX 29,520 902
Toys "R" Us* 51,665 1,834
Wal-Mart Stores 409,920 15,013
Walgreen 89,080 2,283
Wendy's International 23,875 507
Winn Dixie Stores 26,960 955
-----------
68,418
-----------
TELEPHONES & TELECOMMUNICATION -- 0.1%
Commscope* 7,866 107
Frontier 29,700 683
NextLevel Systems* 26,700 447
-----------
1,237
-----------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
TRANSPORTATION SERVICES -- 0.9%
Burlington Northern-Santa Fe 28,200 $ 2,725
Caliber System 7,065 383
CSX 39,418 2,306
Laidlaw 59,500 889
Norfolk Southern 22,700 2,344
Ryder System 13,930 501
Union Pacific 44,740 2,802
-----------
11,950
-----------
UTILITIES, ELECTRIC & GAS -- 2.9%
American Electric Power 34,225 1,557
Baltimore Gas & Electric 26,695 741
Carolina Power & Light 27,400 985
Central & South West 38,400 852
Cinergy 28,492 953
Columbia Gas System 10,015 701
Consolidated Edison of New York 42,590 1,448
Consolidated Natural Gas 17,230 1,003
Dominion Resources 33,675 1,275
DTE Energy 26,235 799
Duke Power 65,306 3,229
Eastern Enterprises 3,591 134
Edison International 74,040 1,870
Enron 55,384 2,132
Entergy 43,620 1,137
FPL Group 32,928 1,688
General Public Utilities 21,900 786
Houston Industries 51,652 1,123
Niagara Mohawk Power* 26,165 250
Nicor 8,800 330
Northern States Power 12,560 625
Ohio Edison 27,635 648
Oneok 5,000 163
Pacific Enterprises 15,042 510
Pacificorp 53,600 1,199
PECO Energy 40,275 944
Peoples Energy 6,240 235
PG&E 79,345 1,840
PP&L Resources 29,900 654
Public Service Enterprise Group 41,983 1,081
Sonat 15,530 790
Southern 123,926 2,796
Texas Utilities 43,535 1,567
UNICOM 39,195 916
Union Electric 18,500 711
Williams 28,795 1,348
-----------
39,020
-----------
Total Common Stocks
(Cost $796,545) 1,329,106
-----------
6
<PAGE>
===========================================================
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bills (A) (B)
5.400%, 10/16/97 $ 3,000 $ 2,994
----------
Total U.S. Treasury Obligation
(Cost $2,993) 2,994
----------
REPURCHASE AGREEMENT -- 2.1%
J.P. Morgan
6.50%, dated 09/30/97, matures
10/01/97, repurchase price
$28,231,970 (collateralized by
various GNMA obligations
ranging in par value $404,881-
$1,980,000, 7.50%-8.50%,
04/15/25-09/15/27:
total market value
$28,795,609) (C) 28,232 28,232
----------
Total Repurchase Agreement
(Cost $28,232) 28,232
----------
Total Investments -- 99.8%
(Cost $827,770) 1,360,332
----------
OTHER ASSETS AND LIABILITIES, NET -- 0.2% 2,338
----------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 8,532,957 outstanding shares of
beneficial interest 215,042
Portfolio Shares of Class E (unlimited
authorization -- no par value) based on
36,701,769 outstanding shares of
beneficial interest 528,663
Underdistributed net investment income 5,113
Accumulated net realized gain
on investments 81,279
Net unrealized appreciation
on investments 532,561
Net unrealized appreciation
on futures contracts 12
----------
Total Net Assets-- 100.0% $1,362,670
==========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $ 30.08
==========
Net Asset Value, Offering and Redemption
Price Per Share-- Class E $ 30.13
==========
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
(B) THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS REPRESENTS THE
SECURITY'S DISCOUNT RATE AT PURCHASE.
(C) TRI-PARTY REPURCHASE AGREEMENT.
* NON-INCOME PRODUCING SECURITY.
ADR--AMERICAN DEPOSITORY RECEIPT
CL--CLASS
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
BOND INDEX PORTFOLIO
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 42.5%
U.S. Treasury Bonds
13.125%, 05/15/01 $ 325 $ 400
11.625%, 11/15/02 200 249
10.750%, 02/15/03 230 279
10.750%, 05/15/03 200 244
13.750%, 08/15/04 250 355
12.000%, 05/15/05 100 135
7.625%, 02/15/07 300 316
12.750%, 11/15/10 375 528
9.250%, 02/15/16 400 519
8.750%, 05/15/17 445 556
8.875%, 02/15/19 490 624
8.500%, 02/15/20 200 247
8.125%, 08/15/21 280 335
8.000%, 11/15/21 775 915
7.625%, 11/15/22 250 285
6.500%, 11/15/26 975 982
U.S. Treasury Notes
8.875%, 11/15/98 1,120 1,158
9.125%, 05/15/99 2,015 2,117
7.750%, 11/30/99 3,325 3,451
6.125%, 09/30/00 250 251
7.750%, 02/15/01 700 738
6.375%, 03/31/01 500 506
6.250%, 06/30/02 900 908
7.000%, 07/15/06 200 211
6.500%, 10/15/06 500 511
----------
Total U.S. Treasury Obligations
(Cost $16,440) 16,820
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 5.8%
FHLB
8.220%, 05/29/98 125 127
5.440%, 10/15/03 150 144
FHLMC
7.900%, 09/19/01 250 265
FNMA
8.450%, 07/12/99 200 208
8.350%, 11/10/99 200 209
9.050%, 04/10/00 200 214
8.250%, 12/18/00 50 53
7.500%, 02/11/02 100 105
8.250%, 10/12/04 500 518
0.000%, 07/05/14 415 133
Resolution Funding Corporation
8.875%, 04/15/30 230 301
----------
Total U.S. Government Agency Obligations
(Cost $2,168) 2,277
----------
7
<PAGE>
STATEMENT OF NET ASSETS
===========================================================
SEI INDEX FUNDS -- SEPTEMBER 30, 1997 (UNAUDITED)
BOND INDEX PORTFOLIO
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
CORPORATE BONDS -- 15.4%
Associates of North America
5.600%, 01/15/01 $300 $ 294
Auburn Hills Trust
12.000%, 05/01/20 100 154
Baltimore Gas & Electric
7.250%, 07/01/02 200 207
Cabot
8.340%, 08/05/22 500 542
Campbell Soup
8.875%, 05/01/21 300 365
Chase Manhattan
8.625%, 05/01/02 150 162
Commercial Credit
6.500%, 08/01/04 150 149
Commonwealth Edison
6.500%, 04/15/00 100 100
ConAgra
7.400%, 09/15/04 260 268
First Union
7.050%, 08/01/05 500 508
Ford Motor Credit
6.125%, 01/09/06 200 192
Grand Metropolitan Investment
8.000%, 09/15/22 100 109
Hilton Hotels
7.375%, 06/01/02 50 51
Integra Financial
8.500%, 05/15/02 250 271
J.P. Morgan
5.750%, 10/15/08 200 184
Manufacturers Hanover
8.500%, 02/15/99 200 206
New York Telephone
8.625%, 11/15/10 200 232
Norfolk Southern
7.700%, 05/15/17 70 74
Oracle
6.720%, 02/15/04 100 100
Public Service of Colorado
7.125%, 06/01/06 200 206
R.R. Donnelley & Sons
9.125%, 12/01/00 239 258
Rockwell International
6.750%, 09/15/02 150 152
Sprint
9.250%, 04/15/22 150 183
Tenneco
10.075%, 02/01/01 250 276
Texaco Capital
9.000%, 12/15/99 100 106
Texas Utilities
6.750%, 03/01/03 150 151
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Union Oil California
9.150%, 02/15/06 $150 $ 173
Virginia Electric and Power
7.375%, 07/01/02 150 156
Wells Fargo
8.375%, 05/15/02 230 247
-------
Total Corporate Bonds
(Cost $5,877) 6,076
-------
U.S. GOVERNMENT AGENCY POOLED MORTGAGES -- 29.3%
FHLMC
6.000%, 04/01/98 103 103
8.500%, 10/01/01 14 15
7.000%, 09/01/03 143 146
9.000%, 11/01/04 32 33
7.500%, 05/01/07 110 113
7.000%, 11/01/07 113 114
6.500%, 07/01/08 173 172
9.000%, 07/01/09 16 17
8.500%, 01/01/10 78 82
8.000%, 01/01/11 100 104
6.500%, 04/01/11 133 132
6.000%, 06/01/11 334 326
9.500%, 08/01/17 50 54
10.500%, 12/01/17 27 30
9.500%, 01/01/19 29 31
10.500%, 06/01/19 12 14
9.500%, 10/01/20 37 40
9.500%, 02/01/21 8 9
8.000%, 01/01/22 24 26
7.500%, 01/01/23 125 128
8.500%, 01/01/23 55 58
7.500%, 05/01/23 170 174
7.000%, 05/01/24 219 219
6.500%, 10/01/25 183 179
6.500%, 04/01/26 337 329
7.000%, 04/01/26 248 248
7.500%, 05/01/26 251 256
8.000%, 05/01/26 328 339
7.000%, 06/01/26 334 334
7.500%, 05/01/27 198 202
FNMA
6.500%, 03/01/03 206 206
9.000%, 10/01/06 31 33
8.500%, 05/01/07 26 28
7.500%, 06/01/07 100 103
8.000%, 08/01/07 85 89
7.000%, 02/01/08 180 182
7.000%, 04/01/08 54 55
8.000%, 12/01/08 68 70
6.000%, 12/25/08 313 305
6.500%, 04/01/11 172 171
8
<PAGE>
===========================================================
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
9.500%, 07/01/20 $ 22 $ 24
9.500%, 02/01/21 10 11
8.500%, 03/01/22 85 89
8.000%, 06/01/22 185 192
8.500%, 10/01/22 72 75
7.500%, 01/01/23 302 308
8.000%, 05/01/23 188 194
7.000%, 06/01/23 321 321
6.000%, 12/25/23 171 163
6.500%, 06/01/25 199 194
7.500%, 01/01/26 433 440
6.500%, 02/01/26 273 266
7.000%, 03/01/26 374 373
7.500%, 06/01/27 245 250
GNMA
8.000%, 10/15/07 44 46
9.500%, 09/15/09 30 33
6.500%, 03/15/11 129 130
11.500%, 04/15/15 38 43
8.500%, 02/15/17 73 77
8.500%, 05/15/17 110 116
9.500%, 07/15/17 24 27
9.750%, 10/15/17 23 26
10.000%, 09/15/18 29 32
11.000%, 10/15/19 2 3
9.000%, 11/15/19 154 165
10.000%, 02/20/21 19 21
9.000%, 08/15/21 17 19
8.500%, 11/15/21 102 107
8.000%, 03/15/22 248 256
8.500%, 11/15/22 40 42
7.500%, 01/15/23 182 185
7.000%, 05/15/23 300 301
8.000%, 09/15/23 319 331
7.000%, 11/15/23 336 337
6.500%, 02/15/24 204 200
7.500%, 05/15/24 486 495
7.500%, 03/15/26 428 435
-------
Total U.S. Government Agency Pooled Mortgages
(Cost $11,543) 11,596
-------
YANKEE BONDS -- 3.6%
International Bank
8.250%, 09/01/16 200 235
Landeskredit Bank
7.875%, 04/15/04 250 268
Quebec Province
8.625%, 01/19/05 500 555
Republic of Ireland
7.875%, 12/01/01 200 211
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Santander Financial
7.750%, 05/15/05 $ 150 $ 158
-------
Total Yankee Bonds
(Cost $1,398) 1,427
-------
REPURCHASE AGREEMENT -- 2.7%
Lehman Brothers
5.430%, dated 09/30/97, matures
10/01/97, repurchase price
$1,089,796 (collateralized by U.S.
Treasury Bond, par value $875,238,
8.75%, matures 08/15/20: total
market value $1,121,945) 1,090 1,090
-------
Total Repurchase Agreement
(Cost $1,090) 1,090
-------
Total Investments -- 99.3%
(Cost $38,516) 39,286
-------
OTHER ASSETS AND LIABILITIES, NET -- 0.7% 281
-------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
3,817,157 outstanding shares of
beneficial interest 39,742
Overdistributed net investment income (1)
Accumulated net realized loss
on investments (945)
Net unrealized appreciation on investments 771
-------
Total Net Assets -- 100.0% $39,567
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $10.37
=======
FHLB--FEDERAL HOME LOAN BANK
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA--GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
9
<PAGE>
STATEMENT OF OPERATIONS (000)
===============================================================================
SEI INDEX FUNDS -- FOR THE PERIOD ENDED SEPTEMBER 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
--------- ---------
S&P 500 BOND
INDEX INDEX
PORTFOLIO PORTFOLIO
--------- ---------
<S> <C> <C>
INVESTMENT INCOME:
Dividends $ 10,228 $ --
Interest 1,201 1,250
-------- ------
Total Investment Income 11,429 1,250
-------- ------
EXPENSES:
Management Fees 1,305 65
Waiver of Management Fees (242) (35)
Investment Advisory Fees 178 13
Custodian/Wire Agent Fees 74 2
Trustee Fees 9 1
Pricing Fees 7 1
Professional Fees 32 1
Registration Fees 16 1
Distribution Fees (1) 52 --
Waiver of Distribution Fees 134 --
Distribution Fees--Class A (2) 21 21
Printing Expense 32 1
Other Expenses -- --
-------- ------
Total Expenses 1,618 71
-------- ------
NET INVESTMENT INCOME 9,811 1,179
-------- ------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net Realized Gain (Loss) from Securities Sold 1,504 (25)
Net Realized Gain from Futures Contracts 6,058 --
-------- ------
Net Realized Gain (Loss) from Security Transactions 7,562 (25)
-------- ------
Change in Unrealized Appreciation on Investment Securities 259,043 1,302
Change in Unrealized Depreciation on Futures Contracts (16,454) --
-------- ------
Net Change in Unrealized Appreciation on Investments 242,589 1,302
-------- ------
Net Realized and Unrealized Gain on Investments 250,151 1,277
-------- ------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 259,962 2,456
-------- ------
<FN>
(1) INCLUDES CLASS SPECIFIC DISTRIBUTION AND SHAREHOLDER SERVICING FEES.
(2) FEES ARE INCURRED AT THE CLASS A LEVEL ONLY.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
10
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
===============================================================================
SEI INDEX FUNDS -- FOR THE PERIOD ENDED SEPTEMBER 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
------------------- ------------------
S&P 500 INDEX BOND INDEX
PORTFOLIO PORTFOLIO
------------------- ------------------
4/1/97- 4/1/96- 4/1/97- 4/1/96-
9/30/97 3/31/97 9/30/97 3/31/97
------- ------- ------- -------
<S> <C> <C> <C> <C>
OPERATIONS:
Net Investment Income $ 9,811 $ 15,761 $ 1,179 $ 2,864
Net Realized Gain (Loss) from Security Transactions 7,562 8,567 (25) (215)
Net Change in Unrealized Appreciation (Depreciation) of
Investment Securities 242,589 109,273 1,302 (648)
---------- -------- ------- -------
Net Increase in Net Assets Resulting from Operations 259,962 133,601 2,456 2,001
---------- -------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (9,033) (14,687) (1,180) (3,102)
Net Realized Gain -- (11,751) -- --
---------- -------- ------- -------
Total Distributions (9,033) (26,438) (1,180) (3,102)
---------- -------- ------- -------
CAPITAL SHARE TRANSACTIONS:*
CLASS A:
Proceeds from Shares Issued 119,613 107,351 10,723 16,462
Reinvestment of Cash Distributions 1,098 1,543 360 1,023
Cost of Shares Redeemed (8,269) (9,319) (8,483) (31,878)
---------- -------- ------- -------
Net Increase (Decrease) from Class A Transactions 112,442 99,575 2,600 (14,393)
---------- -------- ------- -------
CLASS E:
Proceeds from Shares Issued 202,667 402,704 -- --
Reinvestment of Cash Distributions 3,887 12,852 -- --
Cost of Shares Redeemed (151,914) (311,208) -- --
---------- -------- ------- -------
Net Increase from Class E Transactions 54,640 104,348 -- --
---------- -------- ------- -------
Net Increase (Decrease) in Net Assets 418,011 311,086 3,876 (15,494)
---------- -------- ------- -------
Net Increase (Decrease) from Capital Share Transactions 167,082 203,923 2,600 (14,393)
---------- -------- ------- -------
NET ASSETS:
Beginning of Year 944,659 633,573 35,691 51,185
---------- -------- ------- -------
End of Year $1,362,670 $944,659 $39,567 $35,691
========== ======== ======= =======
*SHARES ISSUED AND REDEEMED:
CLASS A:
Shares Issued 4,262 4,708 1,047 1,624
Shares Issued in Lieu of Cash Distributions 42 67 35 101
Shares Redeemed (292) (398) (832) (3,145)
---------- -------- ------- -------
Total Class A Transactions 4,012 4,377 250 (1,420)
---------- -------- ------- -------
CLASS E:
Shares Issued 7,307 17,481 -- --
Shares Issued in Lieu of Cash Distributions 149 569 -- --
Shares Redeemed (5,441) (13,558) -- --
---------- -------- ------- -------
Total Class E Transactions 2,015 4,492 -- --
---------- -------- ------- -------
Increase (Decrease) in Shares 6,027 8,869 250 (1,420)
========== ======== ======= =======
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
11
<PAGE>
FINANCIAL HIGHLIGHTS
===============================================================================
SEI INDEX FUNDS -- FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD ENDED SEPTEMBER
30, 1997 (UNAUDITED) AND FOR THE YEARS ENDED MARCH 31.
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
NET ASSET NET REALIZED AND DIVIDENDS DISTRIBUTIONS
VALUE, NET UNREALIZED FROM NET FROM NET ASSET NET ASSETS
BEGINNING INVESTMENT GAINS OR (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000)
- ---------------------------------------------------------------------------------------------------------------------------
- -----------------------
S&P 500 INDEX PORTFOLIO
- -----------------------
CLASS A++
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1997* $24.06 $0.31 $ 5.91 $(0.20) $ -- $30.08 26.02%** $ 256,699
1997 20.87 0.48 3.47 (0.43) (0.33) 24.06 19.22% 108,770
1996(1) 20.82 -- 0.05 -- -- 20.87 0.24%** 3,007
CLASS E+++
1997* $24.10 $0.34 $ 5.91 $(0.22) $ -- $30.13 26.10%** $1,105,971
1997 20.88 0.46 3.54 (0.45) (0.33) 24.10 19.46% 835,889
1996 16.40 0.44 4.72 (0.37) (0.31) 20.88 31.88% 630,566
1995 15.07 0.42 1.79 (0.42) (0.46) 16.40 15.26% 458,012
1994 15.80 0.43 (0.22) (0.42) (0.52) 15.07 1.19% 424,647
1993 14.17 0.40 1.69 (0.40) (0.06) 15.80 14.97% 675,484
- --------------------
BOND INDEX PORTFOLIO
- --------------------
1997* $10.01 $0.33 $ 0.36 $(0.33) $ -- $10.37 6.92%** $ 39,567
1997 10.26 0.64 (0.21) (0.68) -- 10.01 4.36% 35,691
1996(2) 9.90 0.64 0.36 (0.64) -- 10.26 10.31% 51,185
1995 10.09 0.63 (0.20) (0.62) -- 9.90 4.54% 45,643
1994 10.43 0.56 (0.33) (0.57) -- 10.09 2.10% 56,161
1993 9.87 0.66 0.56 (0.66) -- 10.43 12.73% 56,032
</TABLE>
<TABLE>
<CAPTION>
RATIO OF
RATIO NET INVESTMENT
RATIO OF NET OF EXPENSES INCOME
RATIO OF INVESTMENT TO AVERAGE TO AVERAGE
EXPENSES INCOME NET ASSETS NET ASSETS PORTFOLIO AVERAGE
TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER COMMISSION
NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE RATE+
- -------------------------------------------------------------------------------------------------
- -----------------------
S&P 500 INDEX PORTFOLIO
- -----------------------
CLASS A++
<S> <C> <C> <C> <C> <C> <C>
1997* 0.40% 1.52% 0.44% 1.48% 1% $.0001
1997 0.40% 1.84% 0.46% 1.78% 2% .0197
1996(1) 0.46% 0.97% 0.58% 0.85% 3% n/a
CLASS E++
1997* 0.25% 1.68% 0.29% 1.64% 1% $.0001
1997 0.25% 2.03% 0.54% 1.74% 2% .0197
1996 0.25% 2.31% 0.35% 2.21% 3% n/a
1995 0.25% 2.69% 0.35% 2.59% 4% n/a
1994 0.25% 2.57% 0.33% 2.49% 23% n/a
1993 0.25% 2.75% 0.35% 2.65% 1% n/a
- --------------------
BOND INDEX PORTFOLIO
- --------------------
1997* 0.38% 6.32% 0.58% 6.12% 25% n/a
1997 0.38% 6.26% 0.71% 5.93% 46% n/a
1996(2) 0.38% 6.20% 0.48% 6.10% 59% n/a
1995 0.38% 6.33% 0.48% 6.23% 21% n/a
1994 0.38% 5.35% 0.47% 5.26% 55% n/a
1993 0.38% 6.49% 0.45% 6.42% 115% n/a
<FN>
* FOR THE PERIOD ENDED 9/30/97. ALL RATIOS FOR THAT PERIOD HAVE BEEN
ANNUALIZED.
** THE TOTAL RETURN HAS NOT BEEN ANNUALIZED.
+ AVERAGE COMMISSION RATE PAID PER SHARE FOR SECURITY PURCHASES AND SALES
DURING THE PERIOD. PRESENTATION OF THE RATE IS ONLY REQUIRED FOR THE FISCAL
YEARS BEGINNING AFTER SEPTEMBER 1, 1995.
++ ON JANUARY 28, 1997 THE BOARD OF TRUSTEES APPROVED THE RENAMING OF THE CLASS
E SHARES TO CLASS A SHARES.
+++ON JANUARY 28, 1997 THE BOARD OF TRUSTEES APPROVED THE RENAMING OF THE
CLASS A SHARES TO CLASS E SHARES.
(1)S&P 500 INDEX CLASS A SHARES WERE OFFERED BEGINNING FEBRUARY 28, 1996. ALL
RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
(2)THE INVESTMENT ADVISER WAS CHANGED FROM WORLD ASSET MANAGEMENT TO MELLON
BOND ASSOCIATES EFFECTIVE OCTOBER 2, 1996.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
</FN>
</TABLE>
12
<PAGE>
NOTES TO FINANCIAL STATEMENTS
===============================================================================
SEI INDEX FUNDS -- SEPTEMBER 30, 1997 (UNAUDITED)
1. ORGANIZATION:
SEI Index Funds (the "Trust") was organized as a Massachusetts Business Trust
under a Declaration of Trust dated March 6, 1985. The Trust is registered under
the Investment Company Act of 1940, as amended, as a diversified, open-end
management investment company with two portfolios: the S&P 500 Index Portfolio
and the Bond Index Portfolio (the "Portfolios"). The Trust's prospectus provides
a description of each Portfolio's investment objectives, policies and
strategies. The Trust is registered to offer Class A and Class E shares of the
S&P 500 Index Portfolio and Class A shares of the Bond Index Portfolio. The
assets of each Portfolio are segregated, and a shareholder's interest is limited
to the Portfolio in which shares are held.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of the significant accounting policies followed by
the Portfolios.
SECURITY VALUATION -- Investments in equity securities which are traded
on a national securities exchange (or reported on the NASDAQ national market
system) are stated at the last quoted sales price if readily available for such
equity securities on each business day; other equity securities traded in the
over-the-counter market and listed equity securities for which no sale was
reported on that date are stated at the last quoted bid price. Debt obligations
exceeding sixty days to maturity for which market quotations are readily
available are valued at the most recently quoted bid price. Debt obligations
with sixty days or less remaining until maturity may be valued at their
amortized cost.
FEDERAL INCOME TAXES -- It is each Portfolio's intention to continue to
qualify as a regulated investment company for Federal income tax purposes by
complying with the appropriate provisions of the Internal Revenue Code.
Accordingly, no provisions for Federal income taxes are required in the
accompanying financial statements.
SECURITY TRANSACTIONS AND RELATED INCOME -- Security transactions are
accounted for on the date the security is purchased or sold (trade date).
Dividend income is recognized on the ex-dividend date, and interest income is
recognized on the accrual basis. Costs used in determining realized gains and
losses on the sales of investment securities are those of the specific
securities sold adjusted for the accretion and amortization of purchase
discounts and premiums during the respective holding periods. Purchase discounts
and premiums on securities held by the Portfolios are accreted and amortized to
maturity using a method which approximates the effective interest method.
REPURCHASE AGREEMENTS -- Securities pledged as collateral for Repurchase
Agreements are held by the custodian bank until the respective agreements
mature. Provisions of the Repurchase Agreements and procedures adopted by the
Manager and adviser ensure that the market value of the collateral, including
accrued interest thereon, is sufficient in the event of default by the
counterparty. If the counterparty defaults and the value of the collateral
declines or if the counterparty enters into an insolvency proceeding,
realization of the collateral by the Portfolios may be delayed or limited.
FUTURES CONTRACTS -- The S&P 500 Index Portfolio invests in S&P 500 futures
contracts. For each S&P 500 futures contract, the Portfolio pledges Treasury
bills with the broker valued at approximately $10,000 per contract. Subsequent
payments to and from the broker are made on a daily basis or upon expiration or
closing of the position, as the value of the S&P 500 Index fluctuates. These
fluctuations make the positions in the futures contracts more or less valuable,
which results in gains or losses to the Portfolio. The S&P 500 Index Portfolio's
investment in S&P 500 Index futures contracts is designed to assist the
Portfolio in more closely approximating the performance of the S&P 500 Index.
Risks of entering into S&P 500 Index futures contracts include the possibility
that there may be an illiquid market and that a change in the value of the
contract may not correlate with changes in the value of the underlying
securities. Should the S&P 500 Index move unexpectedly, the Portfolio may not
receive the anticipated benefits from the S&P 500 Index futures contracts and
may realize a loss.
CLASSES -- Class specific expenses are borne by that class of shares.
Income, expenses, and realized and unrealized gains/losses are allocated to the
respective classes on the basis of relative daily net assets.
13
<PAGE>
NOTES TO FINANCIAL STATEMENTS
===============================================================================
SEI INDEX FUNDS -- SEPTEMBER 30, 1997 (UNAUDITED)
EXPENSES -- Expenses that are directly related to one of the Portfolios are
charged directly to that Portfolio. Other operating expenses of the Fund are
prorated to the Portfolios on the basis of relative net assets.
NET ASSET VALUE PER SHARE -- The net asset value per share of each
Portfolio is calculated on each business day. In general, it is computed by
dividing the assets of each Portfolio, less its liabilities, by the number of
outstanding shares of the Portfolio.
OTHER -- Distributions from net investment income for the Portfolios are
paid to shareholders in the form of monthly dividends for the Bond Index
Portfolio and quarterly for the S&P 500 Index Portfolio. Any net realized
capital gains on sales of securities are distributed to shareholders at
least annually.
Dividends from net investment income and distributions from net realized
capital gains are determined in accordance with U.S. federal income tax
regulations, which may differ from those amounts determined under generally
accepted accounting principals. These book/tax differences are either temporary
or permanent in nature. To the extent these differences are permanent, they are
charged or credited to paid-in capital or accumulated net realized gain, as
appropriate, in the period that the differences arise. These reclassifications
have no effect on net assets or net asset values per share.
3. TRANSACTIONS WITH AFFILIATES:
The Trust and SEI Fund Management (the "Manager") are parties to management
agreements for the S&P 500 Index Portfolio and Bond Index Portfolio dated July
25, 1986 and January 20, 1986, respectively, under which the Manager provides
management, administrative, transfer agent, and shareholder services to the
Portfolios for an annual fee equal to .22% of the average daily net assets of
the S&P 500 Index Portfolio and .35% of average daily net assets of the Bond
Index Portfolio. The Manager has agreed to waive its fee so that the total
annual expenses of each Portfolio will not exceed the lower of the maximum
limitations established by certain states or voluntary expense limitations
adopted by the Manager. In the event that the total annual expenses of a
Portfolio, after reflecting a waiver of all fees by the Manager, exceed the
specific limitation, the Manager has agreed to bear such excess. Any such waiver
is voluntary and may be terminated at any time at the Manager's sole discretion.
Certain officers of the Trust are also officers of the Manager. The Trust
pays each unaffiliated Trustee an annual fee for attendance at quarterly,
interim and committee meetings. Compensation of officers is paid by the Manager.
For the period April 1, 1996 to April 30, 1996, SEI Investments
Distribution Co., ("SIDCO")a wholly-owned subsidiary of SEI Investments and a
registered broker-dealer acted as the distributor of the shares of the Trust
under distribution plans which provide for the Trust to reimburse SIDCO for
certain distribution-related expenses incurred by SIDCO.
Effective May 1, 1996, SIDCO ("the Distributor") continued to act as the
distributor of the shares of the Trust under new Distribution Agreements. The
Trust has adopted shareholder servicing plans (the "Plans") for its Class A and
Class E shares pursuant to which shareholder servicing fees of up to .25% or
.15%, respectively, of the average daily net assets attributable to the
particular class of shares are paid to the Distributor. Under the Plans, the
Distributor may perform, or may compensate other service providers for
performing, certain shareholder and administrative services. Under the Plans,
the Distributor may retain as a profit any difference between the fee it
receives and the amount it pays to third parties.
4. INVESTMENT ADVISORY AGREEMENT:
Under an investment advisory agreement dated January 31, 1995, World Asset
Management serves as the Investment Adviser of the S&P 500 Index Portfolio. For
its services as Investment Adviser, World Asset Management receives a monthly
fee at an annual rate of .03% of the average daily net assets of the S&P 500
Index Portfolio. Mellon Bond Associates serves as the Investment Adviser of the
Bond Index Portfolio under an advisory agreement dated October 2, 1995. For its
services as Investment Adviser, Mellon Bond Associates receives a monthly fee at
an annual rate of .07% of the average daily net assets of the Bond Index
Portfolio.
14
<PAGE>
===============================================================================
5. INVESTMENT TRANSACTIONS:
The cost of security purchases and the proceeds from the sale of securities,
other than temporary cash investments, during the period ended September 30,
1997, were as follows:
U.S.
GOVERNMENT
SECURITIES ALL OTHER TOTAL
(000) (000) (000)
---------- --------- --------
S&P 500 INDEX PORTFOLIO
Purchases $ -- $191,291 $191,291
Sales -- 8,629 8,629
BOND INDEX PORTFOLIO
Purchases $10,646 $ 866 $ 11,512
Sales 8,883 223 9,106
On September 30, 1997, the total cost of securities for federal income tax
purposes was not materially different from amounts reported for financial
reporting purposes. The aggregate gross unrealized appreciation and depreciation
on securities at September 30, 1997, for each Portfolio is as follows:
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES (DEPRECIATION)
(000) (000) (000)
----------- ----------- -------------
S&P 500 Index Portfolio $545,042 $(12,469) $532,573
Bond Index Portfolio 871 (100) 771
The Bond Index Portfolio invests primarily in securities issued or
guaranteed as to principal and interest by the U.S. Government or its agencies
or instrumentalities. The ability of the issuers of the repurchase agreements
and other bonds held by the Portfolio to meet their obligations may be affected
by economic developments in a specific industry, state or region. The market
value of the Portfolio's investments will change in response to interest rate
changes and other factors. During periods of falling interest rates, the values
of fixed income securities generally rise. Conversely, during periods of rising
interest rates, the values of such securities generally decline. Changes by
recognized rating agencies in the ability of an issuer to make payments of
interest and principal may also affect the value of these investments. The
following is a summary of credit quality ratings for securities held by the
Portfolio at September 30, 1997.
% OF
PORTFOLIO
MOODY'S VALUE
------- ---------
U.S. Government Securities .................... 78.10%
Repurchase Agreements ......................... 2.80%
Other Bonds
Aaa ...................................... 1.50%
Aa ....................................... 3.10%
A ........................................ 10.10%
Baa ...................................... 4.40%
-------
100.00%
=======
At March 31, 1997, the Bond Index Portfolio had capital loss carryforwards
to the extent provided in the regulations for Federal income tax as follows:
CAPITAL LOSS
CARRYOVER EXPIRES EXPIRES EXPIRES
3/31/97 2003 2004 2005
---------- ---------- ---------- ----------
$831,060 $514,316 $100,980 $215,764
6. FUTURES CONTRACTS:
A summary of the open S&P 500 Index futures contracts held by the S&P 500 Index
Portfolio at September 30, 1997 is as follows:
UNREALIZED
NUMBER OF TRADE FACE SETTLEMENT (LOSS)
CONTRACTS PRICE AMOUNT MONTH (000)
---------- ------- ------ ---------- ------------
1 $960.10 $ 500 Dec. 1997 $ (241)
1 962.22 500 Dec. 1997 (242)
2 946.77 1,000 Dec. 1997 (470)
2 956.72 1,000 Dec. 1997 (479)
2 956.77 1,000 Dec. 1997 (480)
5 961.27 2,500 Dec. 1997 (952)
4 953.27 2,000 Dec. 1997 (962)
4 933.72 2,000 Dec. 1997 (1,210)
10 933.72 5,000 Dec. 1997 (2,282)
13 956.05 6,500 Dec. 1997 (3,112)
25 959.05 12,500 Dec. 1997 (6,022)
--------
$(16,452)
========
15
<PAGE>
NOTES
<PAGE>
==================================
SEI INDEX FUNDS
==================================
SEMI-ANNUAL REPORT
==================================
SEPTEMBER 30, 1997
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
George J. Sullivan, Jr.
OFFICERS
David G. Lee
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Mark Nagle
CONTROLLER AND CHIEF FINANCIAL OFFICER
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Kathryn L. Stanton
VICE PRESIDENT, ASSISTANT SECRETARY
Sandra K. Orlow
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Barbara A. Nugent
VICE PRESIDENT, ASSISTANT SECRETARY
Marc H. Cahn
VICE PRESIDENT, ASSISTANT SECRETARY
Richard W. Grant
SECRETARY
John H. Grady, Jr.
ASSISTANT SECRETARY
INVESTMENT ADVISERS
World Asset Management
Mellon Bond Associates
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Fund Management
DISTRIBUTOR
SEI Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT PUBLIC ACCOUNTANTS
Arthur Andersen LLP
THIS SEMI-ANNUAL REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE
SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE TRUST AND MUST
BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. SHARES OF THE SEI FUNDS ARE
NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY, ANY BANK. THE
SHARES ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION
(FDIC), THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENT AGENCY. INVESTMENT
IN THE SHARES INVOLVES RISK, INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. SEI
INVESTMENTS DISTRIBUTION CO., THE DISTRIBUTOR OF THE SEI FUNDS, IS NOT
AFFILIATED WITH ANY BANK.
FOR MORE INFORMATION CALL 1(BULLET)800(BULLET)DIAL(BULLET)SEI/1(BULLET)800
(BULLET)342(BULLET)5734
<PAGE>
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INVESTMENT
DISTRIBUTION
COMPANY
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