ANNUAL REPORT AS OF
MARCH 31, 1997
SEI INDEX FUNDS
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S&P 500 Index
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Bond Index
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[SEI Investments Logo]
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TABLE OF CONTENTS
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MANAGEMENT'S DISCUSSION AND ANALYSIS
OF FUND PERFORMANCE
S&P 500 INDEX PORTFOLIO........................................ 1
BOND INDEX PORTFOLIO........................................... 2
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS............................. 4
STATEMENT OF NET ASSETS.............................................. 5
STATEMENT OF OPERATIONS.............................................. 14
STATEMENTS OF CHANGES IN NET ASSETS.................................. 15
FINANCIAL HIGHLIGHTS................................................. 16
NOTES TO FINANCIAL STATEMENTS........................................ 17
NOTICE TO SHAREHOLDERS............................................... 21
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INDEX FUNDS -- MARCH 31, 1997
S&P 500 INDEX PORTFOLIO
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CLASS A S&P 500 INDEX PORTFOLIO
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AVERAGE ANNUAL TOTAL RETURN (1)
- --------------------------------------------------------------------------------
One Annualized Annualized Annualized Annualized
Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
19.46% 22.00% 16.14% 12.99% 15.55%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE S&P 500 INDEX
PORTFOLIO, CLASS A, VERSUS THE S&P 500 COMPOSITE INDEX
[LINE GRAPH]
S&P 500 Index S&P 500 Composite
Portfolio, Class A Index
7/31/85 10,000 10,000
3/86 12,692 12,846
3/87 15,918 16,212
3/88 14,441 14,858
3/89 16,982 17,547
3/90 20,212 20,924
3/91 23,079 23,932
3/92 25,543 26,582
3/93 29,367 30,625
3/94 29,720 31,066
3/95 34,255 35,894
3/96 45,175 47,405
3/97 53,966 56,800
(1) FOR THE PERIODS ENDED MARCH 31, 1997. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 08/01/85.
OBJECTIVES. The S&P 500 Index Portfolio seeks to provide investment
results that correspond to the aggregate price and dividend performance of the
securities in the S&P 500 Composite Stock Price Index (the "Index"). The fifty
largest stocks in the Index account for approximately 50% of the weighting of
the Index, and the Index represents approximately two-thirds of the market value
of the common stocks listed on the New York Stock Exchange.
STRATEGY. The S&P 500 Index Portfolio attempts to match the performance of
the widely followed Index by duplicating its composition in full. Deviation on
performance between the portfolio and the index, called tracking error, is
typically attributable to trading
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CLASS E S&P 500 INDEX PORTFOLIO
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AVERAGE ANNUAL TOTAL RETURN (1)
- --------------------------------------------------------------------------------
One Annualized
Year Inception
Return to Date
- --------------------------------------------------------------------------------
19.22% 17.80%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE S&P 500 INDEX
PORTFOLIO, CLASS E, VERSUS THE S&P 500 COMPOSITE INDEX
[LINE GRAPH]
S&P 500 Index S&P 500 Composite
Portfolio, Class E Index
2/29/96 10,000 10,000
3/96 10,092 10,096
6/96 10,532 10,548
9/96 10,841 10,874
12/96 11,733 11,780
3/97 12,033 12,097
(1) FOR THE PERIODS ENDED MARCH 31, 1997. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. CLASS E SHARES WERE OFFERED BEGINNING 02/28/96.
costs and cash reserves held for liquidity needs. The presence of cash in
the Portfolio will result in under performance of the Index during rising
markets and overperformance during falling markets. Transaction costs incurred
during portfolio purchases and sales will also contribute to tracking error. To
mitigate these effects, the Portfolio may use stock index futures to hedge its
cash position. Futures contracts enable the Portfolio to maintain exposure to
the market and reduce trading expenses as the cost of a contract is nominal in
comparison to the cost of purchasing 500 stocks in the Index. The value of stock
index futures held by the Portfolio may not exceed 20% of the Portfolio's
assets.
1
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INDEX FUNDS -- MARCH 31, 1997
S&P 500 INDEX (CONTINUED)
ANALYSIS. For the fiscal year ended March 31, 1997, the S&P 500 Index
Portfolio, Class A was up 19.46% versus the S&P 500 Composite Index which was up
19.82%. The return differential was mostly attributable to Portfolio expenses.
The S&P 500 Index Portfolio had another strong yet volatile year. Even
with market downturns in July of 1996 and March of 1997, the Portfolio posted
gains for every quarter in 1997. Once again the largest capitalized stocks in
the U.S. equity market outperformed the smaller. The Portfolio outperformed both
its MidCap and SmallCap Index equivalents by approximately 9% and 11%
respectively. As opposed to the more broad based gains in 1996, the performance
in the Portfolio heavily leaned toward growth over value stocks. The S&P Growth
Index was up 23.1% for the fiscal year while the Value component was up 16.7%.
The gains can be attributed to relatively low inflation, strong corporate
earnings, and probably most importantly record cash inflows into mutual funds.
BOND INDEX PORTFOLIO
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BOND INDEX PORTFOLIO
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AVERAGE ANNUAL TOTAL RETURN(1)
- --------------------------------------------------------------------------------
One Annualized Annualized Annualized Annualized
Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
4.36% 6.37% 6.73% 7.44% 7.62%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE BOND INDEX
PORTFOLIO, VERSUS THE SALOMON BROAD BOND INDEX, AND THE LEHMAN AGGREGATE BOND
INDEX
[LINE GRAPH]
Bond Salomon Lehman
Index Broad Bond Aggregate
Portfolio Index Bond Index
5/31/86 10,000 10,000 10,000
3/87 10,973 11,013 11,024
3/88 11,343 11,579 11,566
3/89 11,821 12,185 12,161
3/90 13,244 13,674 13,662
3/91 14,823 15,426 15,427
3/92 16,224 17,227 17,184
3/93 18,289 19,532 19,468
3/94 18,673 20,028 19,928
3/95 19,521 21,033 20,924
3/96 21,533 23,319 23,180
3/97 22,472 24,462 24,318
(1) FOR THE PERIODS ENDED MARCH 31, 1997. PAST PERFORMANCE IS NO
INDICATION OF FUTURE PERFORMANCE. THE PORTFOLIO WAS OFFERED BEGINNING
05/19/86.
OBJECTIVES. The Bond Index Portfolio seeks to provide investment results
that correspond to the aggregate price and performance of the Lehman Aggregate
Bond Index (the "Lehman Index"). The Portfolio's ability to duplicate the
performance of the Lehman Index will depend to some extent on the size and
timing of cash flows into and out of the Portfolio as well as the extent of the
Portfolio's expenses, and the capability of the Portfolio to select a
representative sample of the securities included in the Lehman Index.
The Lehman Index is made up of the Government/Corporate Index, the
Mortgage Backed Securities Index and the Asset-Backed Securities Index.
The Lehman Index includes
2
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BOND INDEX (CONTINUED)
fixed rate debt issues rated investment grade or higher by Moody's
Investor Service. All issues have at least one year to maturity and an
outstanding par value of at least $100 million. Price, coupon and total return
are reported for all sectors on a month-end basis. All returns are market value
weighted inclusive of accrued interest.
STRATEGY. The Portfolio intends to invest its assets primarily in up to
300 of the debt obligations included in the Lehman Index so long as the net
assets of the Portfolio are less than $100 million. The Portfolio will be
invested in 100 to 500 of such obligations at net asset levels of $100 million
or more. The Portfolio will be managed in a manner designed to generally reflect
the current performance of the Lehman Index. Obligations included in the Lehman
Index have been categorized into sectors which have been organized on the basis
of type of issuer and then further classified by quality and remaining term to
maturity.
The percentage of the Portfolio's assets to be invested in the aggregate
obligations included in a particular sector of the Lehman Index will
approximate, to the maximum extent feasible, the percentage such sector
represents in that Lehman Index. The ability of the Portfolio to duplicate the
Lehman Index's performance can be influenced by the Portfolio's asset size. To
the extent that the size of Portfolio assets limits the number of issues that
the Portfolio can purchase, there is more potential for deviation from the
Lehman Index's performance than at larger asset levels. Under these
circumstances, the Portfolio will implement strategies designed to minimize this
potential for greater deviation.
ANALYSIS. The investment-grade fixed income market posted modest gains for
the fiscal year ending March 31, 1997, as a robust economy pushed yields higher.
The bond market got off to a difficult start during the fiscal year, as
political uncertainty combined with mixed economic data left the timing and
direction of the next Fed move in question. Strong economic data continued
throughout the remainder of the year, with employment data continuing to cause
volatility within the fixed income markets. The broad fixed income market posted
strong rallies during October and November, amid moderate growth and tame
inflation. The market then reversed its course as yields rose from December
through March. Renewed signs of a strong economy and tight labor market,
combined with comments by Fed chairman Alan Greenspan, sparked investor fears of
a Fed rate increase. Despite the lack of clear evidence for inflation, the Fed
increased the overnight lending rate 25 basis points on March 25 in order to
slow growth. Yields ended the period higher across the curve, and the 2- to
30-year Treasury spread narrowed 19 basis points.
Mortgage-backed securities performed extremely well versus comparable
Treasuries in this environment of rising interest rates. This outperformance can
be attributed to decreased prepayment concerns as a result of higher mortgage
rates and strong investor demand for yield. Corporates also outperformed
duration equivalent Treasuries as strong investor demand, healthy profitability,
and lower new issuance in 1997 all contributed to the excess returns.
Over the entire fiscal year, the fixed income market as measured by the
Lehman Aggregate Bond Index returned 4.91%, while the Bond Index Portfolio
returned 4.36%. The return differential was mostly attributable to Portfolio
expenses and the transaction costs associated with keeping the Portfolio
aligned with the Index.
3
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REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
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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 (the "Trust") as of March 31,
1997, and the related statements of operations, changes in net assets, and
financial highlights for the periods presented. These financial statements and
financial highlights are the responsibility of the Trust'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
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights 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, 1997, by correspondence with the custodian. An audit also includes assessing
the accounting principles used and significant estimates made by management, as
well as evaluating the overall financial statement presentation. We believe that
our audits provide a reasonable basis for our opinion.
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, 1997,
the results of their operations, changes in their net assets, and financial
highlights for the periods presented, in conformity with generally accepted
accounting principles.
ARTHUR ANDERSEN LLP
Philadelphia, PA
May 2, 1997
4
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STATEMENT OF NET ASSETS
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SEI INDEX FUNDS -- MARCH 31, 1997
S&P 500 INDEX PORTFOLIO
- -----------------------------------------------------------
MARKET
SHARES VALUE (000)
- -----------------------------------------------------------
COMMON STOCK -- 95.8%
AGRICULTURE -- 0.1%
Pioneer Hi Bred International 12,900 $ 811
-------
AIR TRANSPORTATION -- 0.4%
AMR* 14,185 1,170
Delta Air Lines 11,385 958
Federal Express* 17,770 926
Southwest Airlines 22,600 500
US Air Group* 10,065 247
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3,801
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AIRCRAFT -- 2.3%
Allegheny Teledyne 27,248 766
Allied Signal 44,170 3,147
Boeing 55,927 5,516
General Dynamics 9,830 662
Lockheed Martin 30,116 2,530
McDonnell Douglas 33,090 2,018
Northrop 8,965 678
Rockwell International 34,130 2,214
Textron 12,955 1,360
United Technologies 37,030 2,786
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21,677
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APPAREL/TEXTILES -- 0.2%
Fruit of the Loom, Cl A* 12,000 498
Liz Claiborne 11,150 486
Russell 5,965 213
Springs Industries, Cl A 3,170 142
VF 9,930 664
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2,003
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AUTOMOTIVE -- 2.3%
Chrysler 109,684 3,291
Cooper Tire & Rubber 12,800 237
Dana 15,930 524
Eaton 12,030 853
Echlin 9,735 331
Fleetwood Enterprises 5,590 140
Ford Motor 185,040 5,806
General Motors 118,030 6,536
Genuine Parts 18,795 876
Goodyear Tire & Rubber 24,270 1,268
ITT Industries 18,465 413
Navistar International* 11,426 107
Paccar 6,054 404
TRW 19,820 1,026
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21,812
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BANKS -- 7.9%
H.F. Ahmanson 16,500 602
Banc One 66,686 2,651
- -----------------------------------------------------------
MARKET
SHARES VALUE (000)
- -----------------------------------------------------------
Bank of Boston* 23,977 $ 1,607
Bank of New York 61,200 2,249
BankAmerica 55,988 5,641
Bankers Trust 12,985 1,065
Barnett Banks 30,470 1,417
Chase Manhattan 68,502 6,414
Citicorp 72,345 7,831
Comerica 16,800 947
CoreStates Financial 34,945 1,660
Fifth Third Bancorp 16,500 1,279
First Bank System 21,000 1,533
First Chicago 49,802 2,696
First Union 44,262 3,591
Fleet Financial Group 40,989 2,347
Golden West Financial 8,905 559
Great Western Financial 21,470 867
KeyCorp 35,171 1,715
MBNA 52,150 1,454
Mellon Bank 20,205 1,470
J.P. Morgan 28,930 2,842
National City 34,800 1,623
NationsBank 120,314 6,662
Norwest 57,786 2,673
PNC Bank 52,360 2,094
Republic New York 8,600 758
SunTrust Banks 34,830 1,615
U.S. Bancorp 23,600 1,263
Wachovia 25,800 1,406
Wells Fargo 14,428 4,099
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74,630
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CHEMICALS -- 2.6%
Air Products & Chemicals 17,470 1,186
Avery Dennison 16,230 625
Dow Chemical 37,950 3,036
E.I. du Pont de Nemours 87,895 9,317
Eastman Chemical 12,091 650
FMC* 5,765 353
B.F. Goodrich 8,390 307
W.R. Grace* 13,000 616
Great Lakes Chemical 9,900 455
Hercules 15,995 676
Monsanto 91,750 3,509
Morton International 22,195 938
Nalco Chemical 10,500 392
Praxair 24,465 1,098
Rohm & Haas 9,935 744
Union Carbide 19,865 879
--------
24,781
--------
COMMUNICATIONS -- 8.5%
Airtouch Communications* 78,290 1,801
ALLTEL 29,200 949
Ameritech 85,710 5,271
Andrew* 14,215 514
5
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STATEMENT OF NET ASSETS
================================================================================
SEI INDEX FUNDS -- MARCH 31, 1997
S&P 500 INDEX PORTFOLIO
- -----------------------------------------------------------
MARKET
SHARES VALUE (000)
- -----------------------------------------------------------
AT&T 252,899 $ 8,788
Bell Atlantic 68,300 4,158
BellSouth 154,744 6,538
Comcast, Special Cl A* 50,927 859
DSC Communications* 18,330 384
Frontier 25,500 456
GTE 150,080 6,997
Harris* 6,065 466
Interpublic Group 12,700 670
Lucent Technologies 99,573 5,252
MCI Communications 106,930 3,809
Motorola 92,560 5,588
Northern Telecom Ltd. 40,365 2,639
NYNEX 68,700 3,134
Pacific Telesis Group 66,890 2,525
SBC Telecommunications 94,190 4,957
Scientific-Atlanta 12,084 184
Sprint 67,200 3,058
Tele-Communications, Cl A* 103,635 1,244
Tellabs* 28,000 1,011
US West 74,860 2,545
US West Media Group* 97,460 1,815
Viacom, Cl B* 55,200 1,828
WorldCom* 135,100 2,972
--------
80,412
--------
COMPUTERS & SERVICES -- 7.5%
Amdahl* 18,900 177
Apple Computer* 19,420 354
Bay Networks* 30,800 551
CUC International* 61,900 1,393
Cabletron Systems* 24,300 711
Ceridian* 10,765 386
Cisco Systems* 102,600 4,938
Compaq Computer* 42,290 3,240
Computer Associates International 56,635 2,202
Computer Sciences* 11,960 739
Data General* 6,270 107
Dell Computer* 27,300 1,846
Digital Equipment* 24,515 671
EMC* 38,400 1,363
First Data 69,904 2,368
Hewlett Packard 158,260 8,427
Intergraph* 7,435 58
International Business Machines 80,780 11,097
Microsoft* 187,800 17,219
Novell* 54,000 513
Oracle Systems* 105,462 4,067
Pitney Bowes 23,160 1,361
Safety-Kleen 9,110 134
Seagate Technology* 38,600 1,732
Shared Medical Systems 3,695 172
Silicon Graphics* 27,500 536
Sun Microsystems* 57,500 1,660
- -----------------------------------------------------------
MARKET
SHARES VALUE (000)
- -----------------------------------------------------------
Tandem Computers* 18,550 $ 220
Tandy 9,097 456
Texas Instruments 29,760 2,228
Unisys* 27,285 174
---------
71,100
---------
CONSTRUCTION -- 0.3%
Armstrong World Industries 6,465 419
Centex 4,540 160
Fluor 13,130 689
Foster Wheeler 6,365 225
Halliburton 19,570 1,326
McDermott International 8,565 183
Owens-Corning Fiberglass 8,165 329
---------
3,331
---------
CONTAINERS & PACKAGING -- 0.1%
Ball 4,795 127
Crown Cork & Seal 19,985 1,032
---------
1,159
---------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT-- 3.2%
3Com* 27,500 901
Advanced Micro Devices* 21,330 885
AMP 34,278 1,178
Autodesk 7,000 217
Automatic Data Processing 45,620 1,910
Honeywell 19,760 1,341
Intel 128,120 17,825
Johnson Controls 6,465 520
LSI Logic* 20,100 698
Micron Technology 32,700 1,324
Millipore 6,790 288
National Semiconductor* 21,825 600
Perkin Elmer 6,765 435
Raytheon 36,840 1,662
Tektronix 5,170 261
Thomas & Betts 8,340 357
---------
30,402
---------
ENVIRONMENTAL SERVICES -- 0.5%
Browning-Ferris Industries 33,235 960
Ecolab 10,050 382
Laidlaw, Cl B 49,000 674
WMX Technologies 75,380 2,308
---------
4,324
---------
FINANCIAL SERVICES -- 3.4%
Allstate* 69,452 4,124
American Express 73,947 4,428
Beneficial 8,390 542
Dean Witter Discover 50,216 1,751
6
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- -----------------------------------------------------------
MARKET
SHARES VALUE (000)
- -----------------------------------------------------------
Federal Home Loan Mortgage
Corporation 111,600 $ 3,041
Federal National Mortgage
Association 170,460 6,158
Green Tree Financial 21,500 726
Household International 15,130 1,299
Merrill Lynch 25,700 2,207
Morgan Stanley Group 23,800 1,398
Salomon 17,065 851
Transamerica 10,330 925
Travelers Group 99,744 4,775
---------
32,225
---------
FOOD, BEVERAGE & TOBACCO -- 8.6%
American Brands 26,540 1,344
Anheuser Busch 77,900 3,282
Archer Daniels Midland 84,828 1,516
Brown-Forman, Cl B 10,760 514
CPC International 22,460 1,842
Campbell Soup 72,960 3,384
Coca-Cola 388,360 21,700
Conagra 37,442 2,031
Adolph Coors, Cl B 5,965 127
Fleming Companies 5,870 103
General Mills 25,160 1,563
H.J. Heinz 57,520 2,272
Hershey Foods 24,000 1,200
Kellogg 32,940 2,215
PepsiCo 242,480 7,911
Philip Morris 127,110 14,506
Quaker Oats 21,160 772
Ralston-Ralston Purina Group 16,560 1,294
Sara Lee 75,080 3,041
Seagram 57,900 2,215
Supervalu 10,430 310
Sysco 27,610 942
UST 29,040 809
Unilever NV, ADR 24,935 4,644
Whitman 16,195 397
William Wrigley, Jr. 18,105 1,057
---------
80,991
---------
FOOTWEAR -- 0.3%
Nike, Cl B 45,020 2,791
Reebok International 8,720 391
Stride Rite 7,700 115
---------
3,297
---------
- -----------------------------------------------------------
MARKET
SHARES VALUE (000)
- -----------------------------------------------------------
GLASS PRODUCTS -- 0.3%
Corning 35,660 $ 1,582
Newell 24,800 831
---------
2,413
---------
HOUSEHOLD PRODUCTS -- 3.8%
Alberto-Culver, Cl B 8,680 227
Avon Products 20,770 1,090
Clorox 8,035 901
Colgate Palmolive 22,894 2,281
Gillette 86,588 6,288
International Flavors & Fragrances 17,195 752
Jostens 6,050 137
Masco 25,040 895
Maytag 15,630 322
Minnesota Mining &
Manufacturing 65,230 5,512
National Service Industries 7,085 277
PPG Industries 28,590 1,544
Procter & Gamble 106,054 12,196
Raychem 6,965 574
Rubbermaid 23,360 581
Sherwin Williams 26,760 723
Snap-On Tools 9,497 368
Stanley Works 13,830 524
Tupperware 9,750 327
Whirlpool 11,605 553
---------
36,072
---------
INSURANCE -- 3.4%
Aetna Life & Casualty 23,587 2,026
American General 31,780 1,295
American International Group 73,326 8,607
Aon 16,900 1,035
Chubb 27,160 1,463
Cigna 11,730 1,714
Conseco 26,500 944
General Re 12,900 2,038
ITT Hartford Group 18,365 1,325
Jefferson Pilot 11,070 602
Lincoln National 16,330 874
Loews 17,900 1,591
Marsh & McLennan 11,205 1,269
MBIA 6,700 642
MGIC Investment 9,200 651
Providian 14,630 783
SAFECO 19,720 789
St. Paul 12,980 842
Torchmark 10,987 608
UNUM 11,400 832
7
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INDEX FUNDS -- MARCH 31, 1997
S&P 500 INDEX PORTFOLIO
- -----------------------------------------------------------
MARKET
SHARES VALUE (000)
- -----------------------------------------------------------
USF&G 18,030 $ 388
United Healthcare 28,700 1,367
USLIFE 5,345 250
---------
31,935
---------
LUMBER & WOOD PRODUCTS -- 0.1%
Georgia-Pacific 14,300 1,037
Louisiana-Pacific 17,012 353
---------
1,390
---------
MACHINERY -- 5.3%
Applied Materials* 28,200 1,308
Baker Hughes 22,715 872
Black & Decker 14,735 473
Briggs & Stratton 4,540 204
Brunswick 15,330 412
Case Equipment 11,500 584
Caterpillar 29,850 2,395
Cincinnati Milacron 6,195 116
Cooper Industries 16,895 733
Crane 7,213 226
Cummins Engine 6,140 315
Deere 39,990 1,740
Dover 17,520 920
Dresser Industries 27,470 831
Emerson Electric 69,730 3,138
General Electric 256,980 25,505
General Instrument* 21,400 490
General Signal 7,794 305
Giddings & Lewis 5,200 77
W.W. Grainger 8,290 613
Harnischfeger Industries 7,705 358
Illinois Tool Works 19,370 1,581
Ingersoll Rand 17,070 745
Kaufman & Broad Home 6,037 80
NACCO Industries, Cl A 1,325 65
Pall 19,593 453
Parker-Hannifin 11,652 498
PULTE 3,595 105
Tenneco 26,612 1,038
Timken 4,870 261
Trinova 4,415 148
Tyco Labs 26,000 1,430
Westinghouse Electric 94,280 1,673
---------
49,692
---------
MEASURING DEVICES -- 0.1%
Mallinckrodt 11,585 476
Thermo Electron* 23,300 719
---------
1,195
---------
- -----------------------------------------------------------
MARKET
SHARES VALUE (000)
- -----------------------------------------------------------
MEDICAL PRODUCTS & SERVICES -- 10.0%
Abbott Laboratories 121,260 $ 6,806
Allergan 10,200 297
ALZA* 13,200 363
American Home Products 99,640 5,978
Amgen* 41,300 2,308
Bausch & Lomb 8,680 343
Baxter International 42,573 1,836
Becton, Dickinson 19,160 862
Beverly Enterprises* 15,485 221
Biomet* 17,900 302
Boston Scientific* 27,800 1,717
Bristol-Myers Squibb 156,340 9,224
C.R. Bard 8,935 255
Columbia HCA Healthcare 104,759 3,523
Eli Lilly 86,110 7,083
Guidant 11,600 713
Healthsouth Rehabilitation* 49,200 941
Humana* 25,400 559
Johnson & Johnson 207,840 10,990
Manor Care 9,847 240
Medtronic 37,420 2,329
Merck 188,125 15,850
Pfizer 100,620 8,465
Pharmacia & Upjohn 79,342 2,906
Schering Plough 57,680 4,196
Sigma Aldrich 15,600 482
St. Jude Medical 12,650 422
Tenet Healthcare* 47,060 1,159
Transitional Hospitals* 233 2
United States Surgical 9,800 299
Warner Lambert 42,320 3,661
---------
94,332
---------
METAL & METAL INDUSTRIES -- 1.3%
Alcan Aluminum 35,352 1,198
Aluminum Company of America 27,100 1,843
Armco* 16,600 66
Asarco 6,665 187
Barrick Gold 55,800 1,325
Battle Mountain Gold, Class A 35,100 233
Bethlehem Steel* 17,430 144
Cyprus AMAX Minerals 14,602 347
Echo Bay Mines 21,800 144
Engelhard 22,417 471
Freeport-McMoran Copper
& Gold, Cl B 30,200 917
Homestake Mining 22,900 346
Inco 26,300 858
Inland Steel Industries 7,665 149
8
<PAGE>
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- -----------------------------------------------------------
MARKET
SHARES VALUE (000)
- -----------------------------------------------------------
Newmont Mining 15,501 $ 601
Nucor 13,680 626
Phelps Dodge 10,130 741
Placer Dome Group 37,329 677
Reynolds Metals 9,935 616
Santa Fe Pacific Gold 20,512 338
USX-U.S. Steel Group 13,267 353
Worthington Industries 15,022 287
---------
12,467
---------
OIL & GAS -- 8.6%
Amerada Hess 14,530 770
Amoco 77,595 6,722
Ashland 10,125 408
Atlantic Richfield 25,180 3,399
Burlington Resources 19,500 834
Chevron 101,820 7,089
Coastal 16,402 787
Exxon 193,795 20,881
Helmerich & Payne 3,895 180
Kerr McGee 7,535 466
Louisiana Land & Exploration 5,340 253
Mobil 61,445 8,026
Occidental Petroleum 51,330 1,264
Oryx Energy* 16,370 315
Pennzoil 7,265 376
Phillips Petroleum 41,035 1,677
Rowan* 13,305 301
Royal Dutch Petroleum 83,635 14,636
Santa Fe Energy Resources* 14,181 197
Schlumberger 38,465 4,125
Sun 11,370 297
Texaco 41,310 4,523
Unocal 39,090 1,490
USX-Marathon Group 44,835 1,250
Western Atlas* 8,390 509
---------
80,775
---------
PAPER & PAPER PRODUCTS -- 1.3%
Bemis 8,190 328
Boise Cascade 7,531 230
Champion International 14,900 678
International Paper 46,879 1,822
James River 13,402 390
Kimberly-Clark 44,107 4,383
Mead 8,160 432
Potlatch 4,470 184
Stone Container 15,516 173
Temple-Inland 8,690 456
Union Camp 10,855 512
Westvaco 15,890 399
Weyerhaeuser 30,970 1,382
Willamette Industries 8,600 537
---------
11,906
---------
- -----------------------------------------------------------
MARKET
SHARES VALUE (000)
- -----------------------------------------------------------
PETROLEUM & FUEL PRODUCTS--0.1%
Union Pacific Resources 38,991 $ 1,043
---------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES--0.8%
Eastman Kodak 51,965 3,943
Polaroid 7,058 281
Xerox 50,675 2,882
---------
7,106
---------
PRINTING & PUBLISHING--1.3%
American Greetings, Cl A 11,700 374
Deluxe 12,855 416
R.R. Donnelley & Sons 23,560 822
Dow Jones 15,100 613
Gannett Company 22,035 1,892
John H. Harland 4,850 115
Knight-Ridder 14,670 585
McGraw-Hill 15,570 796
Meredith 8,380 194
Moore 15,600 312
New York Times, Cl A 15,130 668
Time Warner 88,764 3,839
Times Mirror, Cl A 15,465 845
Tribune 19,260 780
---------
12,251
---------
PROFESSIONAL SERVICES--0.4%
H & R Block 16,270 478
Cognizant 26,532 773
Dun & Bradstreet 26,532 673
EG & G 7,340 153
Ikon Office Solutions 21,030 704
Service International 36,744 1,093
---------
3,874
---------
RECREATIONAL PRODUCTS & SERVICES--1.5%
Walt Disney 105,367 7,692
Harrah's Entertainment* 16,085 275
Hasbro 20,178 552
HFS* 20,100 1,183
Hilton Hotels 38,605 936
ITT* 18,165 1,069
King World Productions* 5,862 214
Marriott International 19,970 993
Mattel 45,065 1,082
---------
13,996
---------
RETAIL -- 5.0%
Albertson's 39,140 1,331
American Stores 22,760 1,013
Autozone* 23,500 529
Charming Shoppes* 16,470 89
Circuit City Stores 15,300 511
Costco* 32,758 905
9
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INDEX FUNDS -- MARCH 31, 1997
S&P 500 INDEX PORTFOLIO
- -----------------------------------------------------------
MARKET
SHARES VALUE (000)
- -----------------------------------------------------------
CVS 16,470 $ 760
Darden Restaurants* 24,960 197
Dayton-Hudson 33,890 1,415
Dillard Department Stores, Cl A 17,720 558
Federated Department Stores* 32,500 1,068
The Gap 43,620 1,461
Giant Food, Cl A 9,360 300
Great Atlantic & Pacific Tea 5,965 151
Harcourt General 11,066 515
Home Depot 74,974 4,011
Kmart* 75,580 916
Kroger* 19,680 999
The Limited 42,312 777
Longs Drug Stores 6,090 143
Lowe's 26,960 1,008
May Department Stores 38,262 1,741
McDonald's 108,900 5,146
Mercantile Stores 5,715 265
Nordstrom 12,530 475
Pep Boys - Manny Moe & Jack 9,350 280
J.C. Penney 38,530 1,835
Rite Aid 19,130 803
Sears Roebuck 61,125 3,072
TJX 12,110 518
Toys "R" Us* 45,365 1,270
Wal-Mart Stores 358,020 9,980
Walgreen 38,440 1,610
Wendy's International 20,175 416
Winn Dixie Stores 23,460 774
F.W. Woolworth* 20,920 489
---------
47,331
---------
TRANSPORTATION SERVICES--1.0%
Burlington Northern-Santa Fe 23,900 1,769
CSX 33,818 1,573
Caliber System 6,065 161
Conrail 12,510 1,410
Norfolk Southern 19,500 1,662
Ryder System 12,730 372
Union Pacific 38,240 2,170
---------
9,117
---------
UTILITIES, ELECTRIC & GAS -- 3.3%
American Electric Power 29,225 1,206
Baltimore Gas & Electric 22,995 615
Carolina Power & Light 23,600 855
Central & South West 32,900 703
Cinergy 24,592 839
Columbia Gas System 8,615 499
Consolidated Edison of New York 36,690 1,101
- -----------------------------------------------------------
SHARES/FACE MARKET
AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Consolidated Natural Gas 14,830 $ 747
Dominion Resources 28,075 1,021
DTE Energy 22,635 608
Duke Power 31,450 1,388
Eastern Enterprises 3,091 95
Edison International 67,640 1,522
Enron 39,760 1,511
Enserch 10,835 222
Entergy 36,020 882
FPL Group 28,528 1,259
General Public Utilities 18,800 604
Houston Industries 36,540 763
Niagara Mohawk Power* 22,565 192
Nicor 7,800 250
Noram Energy 21,425 313
Northern States Power 10,760 510
Ohio Edison 23,835 504
Oneok 4,300 112
PECO Energy 34,775 709
PG&E 64,345 1,512
PP&L Resources 25,300 512
Pacific Enterprises 13,242 401
Pacificorp 46,000 983
Panenergy 23,707 1,022
Peoples Energy 5,440 180
Public Service Enterprise Group 37,183 976
Sonat 13,430 732
Southern 105,126 2,221
Texas Utilities 35,105 1,202
UNICOM 33,695 657
Union Electric 15,900 586
Williams 24,495 1,090
---------
31,104
---------
Total Common Stock
(Cost $612,431) 904,755
---------
U.S. TREASURY OBLIGATION--0.3%
U.S. Treasury Bill
5.282%, 04/03/97 (A)(B) $3,000 2,999
---------
Total U.S. Treasury Obligation
(Cost $2,999) 2,999
---------
10
<PAGE>
================================================================================
- -----------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
REPURCHASE AGREEMENT -- 3.5%
J.P. Morgan
6.450%, dated 03/31/97, matures
04/01/97, repurchase price
$33,416,184 (collateralized by
various GNMA obligations
ranging in par value $7,275,000-
$26,794,549, 6.00%, 08/20/26-
02/20/27: total market
value $34,092,932) (C) $33,410 $ 33,410
---------
Total Repurchase Agreement
(Cost $33,410) 33,410
---------
Total Investments -- 99.6%
(Cost $648,840) 941,164
---------
OTHER ASSETS AND LIABILITIES -- 0.4%
Other assets and liabilities, net 3,495
---------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on 34,687,060
outstanding shares of beneficial interest 544,377
Portfolio Shares of Class E
(unlimited authorization -- no
par value) based on 4,521,157
outstanding shares of beneficial interest 102,599
Accumulated net realized gain
on investments 3,363
Net unrealized appreciation on investments 292,324
Net unrealized depreciation on futures contracts (2,339)
Undistributed net investment income 4,335
---------
Total Net Assets -- 100.0% $944,659
=========
Net Asset Value, Offering and
Redemption Price Per Share -- Class A $ 24.10
=========
Net Asset Value and Redemption
Price Per Share -- Class E $ 24.06
=========
(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
GNMA--GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
BOND INDEX PORTFOLIO
- -------------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 44.1%
U.S. Treasury Bonds
13.125%, 05/15/01 $ 325 $ 399
10.750%, 02/15/03 630 748
10.750%, 05/15/03 700 835
12.000%, 05/15/05 300 393
7.625%, 02/15/07 100 103
12.750%, 11/15/10 525 716
9.250%, 02/15/16 700 847
8.750%, 05/15/17 245 285
8.875%, 02/15/19 490 577
8.500%, 02/15/20 200 228
8.000%, 11/15/21 1,515 1,647
7.250%, 08/15/22 300 301
U.S. Treasury Notes
8.875%, 11/15/98 2,720 2,823
9.125%, 05/15/99 2,015 2,119
6.375%, 01/15/00 3,250 3,237
6.375%, 03/31/01 500 494
---------
Total U.S. Treasury Obligations
(Cost $15,991) 15,752
---------
U.S. GOVERNMENT AGENCY POOLED MORTGAGES -- 29.7%
FHLMC
6.000%, 04/01/98 107 104
8.500%, 10/01/01 16 17
7.000%, 09/01/03 149 148
9.000%, 11/01/04 37 38
7.500%, 05/01/07 114 115
7.000%, 11/01/07 118 116
6.500%, 07/01/08 180 173
9.000%, 07/01/09 20 20
8.500%, 01/01/10 85 87
8.000%, 01/01/11 107 109
6.500%, 04/01/11 141 136
9.500%, 08/01/17 58 62
10.500%, 12/01/17 30 33
9.500%, 01/01/19 34 36
10.500%, 06/01/19 14 16
9.500%, 10/01/20 38 41
9.500%, 02/01/21 9 9
8.000%, 01/01/22 25 25
7.500%, 01/01/23 127 125
8.500%, 01/01/23 72 74
7.500%, 05/01/23 186 183
7.000%, 05/01/24 221 212
6.500%, 10/01/25 192 179
6.500%, 04/01/26 345 321
7.500%, 05/01/26 258 253
8.000%, 05/01/26 344 346
7.000%, 06/01/26 344 330
11
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INDEX FUNDS -- MARCH 31, 1997
BOND INDEX PORTFOLIO
- ------------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
FNMA
6.500%, 03/01/03 $ 227 $ 221
8.250%, 10/12/04 500 510
9.000%, 10/01/06 34 35
8.500%, 05/01/07 34 35
7.500%, 06/01/07 120 120
8.000%, 08/01/07 96 98
7.000%, 02/01/08 196 192
7.000%, 04/01/08 60 59
8.000%, 12/01/08 77 78
6.000%, 12/25/08 346 326
6.500%, 04/01/11 189 182
9.500%, 07/01/20 22 24
9.500%, 02/01/21 12 13
8.500%, 03/01/22 86 88
8.000%, 06/01/22 188 188
8.500%, 10/01/22 94 96
7.500%, 01/01/23 306 300
8.000%, 05/01/23 193 194
7.000%, 06/01/23 344 329
6.000%, 12/25/23 173 156
7.500%, 01/01/26 455 446
6.500%, 02/01/26 285 265
7.000%, 03/01/26 383 367
GNMA
8.000%, 10/15/07 47 47
9.500%, 09/15/09 34 37
6.500%, 03/15/11 133 128
11.500%, 04/15/15 39 44
8.500%, 02/15/17 74 76
8.500%, 05/15/17 126 129
9.500%, 07/15/17 31 34
9.750%, 10/15/17 24 26
10.000%, 09/15/18 32 35
11.000%, 10/15/19 3 3
9.000%, 11/15/19 156 163
10.000%, 02/20/21 23 24
9.000%, 08/15/21 22 23
8.500%, 11/15/21 103 105
8.000%, 03/15/22 265 266
8.500%, 11/15/22 43 44
7.500%, 01/15/23 186 183
7.000%, 05/15/23 321 306
8.000%, 09/15/23 322 323
7.000%, 11/15/23 340 324
6.500%, 02/15/24 227 210
7.500%, 03/15/26 452 443
---------
Total U.S. Government Agency Pooled Mortgages
(Cost $10,875) 10,603
---------
- --------------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- --------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS--4.8%
FHLB
8.220%, 05/29/98 $ 125 $ 128
5.440%, 10/15/03 150 138
FHLMC
7.900%, 09/19/01 250 259
FNMA
8.200%, 03/10/98 225 229
8.450%, 07/12/99 200 208
9.050%, 04/10/00 200 212
8.250%, 12/18/00 50 52
7.500%, 02/11/02 100 102
0.000%, 07/05/14 (A) 415 115
Resolution Funding Corporation
8.875%, 04/15/30 230 274
---------
Total U.S. Government Agency Obligations
(Cost $1,696) 1,717
---------
CORPORATE BONDS -- 14.6%
Associates of North America
5.600%, 01/15/01 300 285
Baltimore Gas & Electric
7.250%, 07/01/02 200 200
Cabot
8.340%, 08/05/22 500 505
Campbell Soup
8.875%, 05/01/21 300 340
Chase Manhattan
8.625%, 05/01/02 150 159
Commonwealth Edison
6.500%, 04/15/00 100 98
ConAgra
7.400%, 09/15/04 260 257
R.R. Donnelley & Sons
9.125%, 12/01/00 239 255
First Union
7.050%, 08/01/05 500 485
Grand Metropolitan Investment
8.000%, 09/15/22 100 101
Integra Financial
8.500%, 05/15/02 250 264
Manufacturers Hanover
8.500%, 02/15/99 200 206
J.P. Morgan
5.750%, 10/15/08 200 174
New York Telephone
8.625%, 11/15/10 200 218
Public Service of Colorado
7.125%, 06/01/06 200 195
Rockwell International
6.750%, 09/15/02 150 148
12
<PAGE>
================================================================================
- -----------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Sprint
9.250%, 04/15/22 $ 150 $ 170
Tenneco
10.075%, 02/01/01 250 274
Texaco Capital
9.000%, 12/15/99 100 105
Texas Utilities
6.750%, 03/01/03 150 146
Union Oil California
9.150%, 02/15/06 350 386
Wells Fargo
8.375%, 05/15/02 230 241
-------
Total Corporate Bonds
(Cost $5,203) 5,212
-------
YANKEE BONDS -- 3.9%
International Bank
8.250%, 09/01/16 200 219
Landeskredit Bank
7.875%, 04/15/04 250 259
Quebec Province
8.625%, 01/19/05 500 533
Republic of Ireland
7.875%, 12/01/01 200 206
Santander Financial
7.750%, 05/15/05 150 152
-------
Total Yankee Bonds
(Cost $1,420) 1,369
-------
REPURCHASE AGREEMENT -- 2.7%
Lehman Brothers
5.580%, dated 03/31/97, matures
04/01/97, repurchase price
$954,068 (collateralized by U.S.
Treasury Note, par value $1,011,967,
6.750%, matures 08/15/25:
market value $980,343) (B) 954 954
-------
Total Repurchase Agreement
(Cost $954) 954
-------
Total Investments -- 99.8%
(Cost $36,139) 35,607
-------
OTHER ASSETS AND LIABILITIES -- 0.2%
Other assets and liabilities, net 84
-------
- ---------------------------------------------------------------
MARKET
VALUE (000)
- ---------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on 3,567,073
outstanding shares of beneficial interest $37,085
Accumulated net realized loss on investments (862)
Net unrealized depreciation on investments (532)
-------
Total Net Assets -- 100.0% $35,691
=======
Net Asset Value, Offering and
Redemption Price Per Share -- Class A $ 10.01
=======
(A)ZERO COUPON BOND
(B) TRI-PARTY REPURCHASE AGREEMENT
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.
13
<PAGE>
STATEMENT OF OPERATIONS (000)
================================================================================
SEI INDEX FUNDS -- FOR THE YEAR ENDED MARCH 31, 1997
<TABLE>
<CAPTION>
------------ ------------
S&P 500 BOND
INDEX INDEX
PORTFOLIO PORTFOLIO
------------ ------------
INVESTMENT INCOME:
<S> <C> <C>
Dividends $ 15,618 $ --
Interest 2,173 3,038
--------- -------
Total Investment Income 17,791 3,038
--------- -------
EXPENSES:
Management Fees 1,717 160
Waiver of Management Fees (446) (46)
Investment Advisory Fees 234 32
Custodian/Wire Agent Fees 119 7
Trustee Fees 19 1
Pricing Fees 15 3
Professional Fees 73 4
Registration Fees 46 4
Distribution Fees (1) 1,700 105
Waiver of Distribution Fees (1,685) (104)
Distribution Fees--Class E (2) 79 --
Printing Expense 97 6
Other Expenses 62 2
--------- -------
Total Expenses 2,030 174
--------- -------
NET INVESTMENT INCOME 15,761 2,864
--------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain (Loss) from Securities Sold 2,068 (215)
Net Realized Gain from Futures Contracts 6,499 --
--------- -------
Net Realized Gain (Loss) from Security Transactions 8,567 (215)
--------- -------
Change in Unrealized Appreciation (Depreciation) on Investment Securities 111,730 (648)
Change in Unrealized Depreciation on Futures Contracts (2,457) --
--------- -------
Net Change in Unrealized Appreciation (Depreciation) on Investments 109,273 (648)
--------- -------
Net Realized and Unrealized Gain (Loss)on Investments 117,840 (863)
--------- -------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $133,601 $2,001
========= =======
<FN>
(1) INCLUDES CLASS SPECIFIC DISTRIBUTION AND SHAREHOLDER SERVICING FEES.
(2) FEES ARE INCURRED AT THE CLASS E LEVEL ONLY.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
14
<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
---------------------- ---------------------
4/1/96- 4/1/95- 4/1/96- 4/1/95-
3/31/97 3/31/96 3/31/97 3/31/96
---------- --------- --------- ----------
OPERATIONS:
<S> <C> <C> <C> <C>
Net Investment Income $ 15,761 $ 12,377 $ 2,864 $ 2,753
Net Realized Gain (Loss) from Security Transactions 8,567 10,434 (215) 342
Net Change in Unrealized Appreciation (Depreciation) of
Investment Securities 109,273 122,078 (648) 1,178
--------- -------- -------- -------
Net Increase in Net Assets Resulting from Operations 133,601 144,889 2,001 4,273
--------- -------- -------- -------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (14,687) (10,329) (3,102) (2,767)
Net Realized Gain (11,751) (8,827) -- --
--------- -------- -------- -------
Total Distributions (26,438) (19,156) (3,102) (2,767)
--------- -------- -------- -------
CAPITAL SHARE TRANSACTIONS:*
CLASS A:
Shares Issued 402,704 324,157 16,462 24,406
Shares Issued in Lieu of Cash Distributions 12,852 10,239 1,023 561
Shares Redeemed (311,208) (287,592) (31,878) (20,931)
--------- -------- -------- -------
Net Increase (Decrease) from Class A Transactions 104,348 46,804 (14,393) 4,036
--------- -------- -------- -------
CLASS E:
Shares Issued 107,351 3,243 -- --
Shares Issued in Lieu of Cash Distributions 1,543 -- -- --
Shares Redeemed (9,319) (219) -- --
--------- -------- -------- -------
Net Increase from Class E Transactions 99,575 3,024 -- --
--------- -------- -------- -------
Net Increase (Decrease) from Capital Share Transactions 203,923 49,828 (14,393) 4,036
--------- -------- -------- -------
Net Increase (Decrease) in Net Assets 311,086 175,561 (15,494) 5,542
--------- -------- -------- -------
NET ASSETS:
Beginning of Year 633,573 458,012 51,185 45,643
--------- -------- -------- -------
End of Year (including undistributed net investment
income of $4,335; $3,261; $0 and $238) $944,659 $633,573 $35,691 $51,185
========= ======== ======== =======
*SHARES ISSUED AND REDEEMED:
CLASS A:
Shares Issued 17,481 16,895 1,624 2,354
Shares Issued in Lieu of Cash Distributions 569 532 101 54
Shares Redeemed (13,558) (15,159) (3,145) (2,033)
--------- -------- -------- -------
Total Class A Transactions 4,492 2,268 (1,420) 375
--------- -------- -------- -------
CLASS E:
Shares Issued 4,708 155 -- --
Shares Issued in Lieu of Cash Distributions 67 -- -- --
Shares Redeemed (398) (11) -- --
--------- -------- -------- -------
Total Class E Transactions 4,377 144 -- --
--------- -------- -------- -------
Increase (Decrease) in Capital Shares 8,869 2,412 (1,420) 375
========= ======== ======== =======
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
15
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
SEI INDEX FUNDS -- FOR THE PERIODS ENDED MARCH 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<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 PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------------
- -----------------------
S&P 500 INDEX PORTFOLIO
- -----------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1997 $20.88 $0.46 $ 3.54 $(0.45) $(0.33) $24.10 19.46% $835,889 0.25% 2.03%
1996 16.40 0.44 4.72 (0.37) (0.31) 20.88 31.88% 630,566 0.25% 2.31%
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%
CLASS E
1997 $20.87 $0.48 $ 3.47 $(0.43) $(0.33) $24.06 19.22% $108,770 0.40% 1.84%
1996(1) 20.82 -- 0.05 -- -- 20.87 0.24%* 3,007 0.46% 0.97%
- --------------------
BOND INDEX PORTFOLIO
- --------------------
1997 $10.26 $0.64 $(0.21) $(0.68) -- $10.01 4.36% $ 35,691 0.38% 6.26%
1996(2) 9.90 0.64 0.36 (0.64) -- 10.26 10.31% 51,185 0.38% 6.20%
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%
</TABLE>
<TABLE>
<CAPTION>
RATIO OF
RATIO NET INVESTMENT
OF EXPENSES INCOME
TO AVERAGE TO AVERAGE
NET ASSETS NET ASSETS PORTFOLIO AVERAGE
(EXCLUDING (EXCLUDING TURNOVER COMMISSION
WAIVERS) WAIVERS) RATE RATE+
- -----------------------------------------------------------
- -----------------------
S&P 500 INDEX PORTFOLIO
- -----------------------
CLASS A
<S> <C> <C> <C> <C>
1997 0.54% 1.74% 2% $.0197
1996 0.35% 2.21% 3% n/a
1995 0.35% 2.59% 4% n/a
1994 0.33% 2.49% 23% n/a
1993 0.35% 2.65% 1% n/a
CLASS E
1997 0.46% 1.78% 2% $.0197
1996(1) 0.58% 0.85% 3% n/a
- --------------------
BOND INDEX PORTFOLIO
- --------------------
1997 0.71% 5.93% 46% n/a
1996(2) 0.48% 6.10% 59% n/a
1995 0.48% 6.23% 21% n/a
1994 0.47% 5.26% 55% n/a
1993 0.45% 6.42% 115% n/a
<FN>
* 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.
(1) S&P 500 INDEX CLASS E SHARES WERE OFFERED BEGINNING FEBRUARY 28, 1996. ALL
RATIOS FOR THAT PERIOD HAVE BEEN ANNUALIZED.
(2) THE INVESTMENT ADVISER WAS CHANGED FROM WORLD ASSET MANAGEMENT TO MELLON
BOND ASSOCIATES EFFECTIVE OCTOBER 2, 1996.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
16
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INDEX FUNDS -- MARCH 31, 1997
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.
17
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INDEX FUNDS -- MARCH 31, 1997
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. Accordingly, a permanent
difference of $57,000, attributable to the expiration of a capital loss
carryforward, which for tax purposes is not available to offset future net
realized gains, has been reclassified from accumulated net realized gain to
paid-in capital. 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 Financial Services
Company ("SFS"), 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 SFS for certain
distribution-related expenses incurred by SFS.
Effective May 1, 1996, SFS ("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
18
<PAGE>
================================================================================
fee at an annual rate of .07% of the average daily net assets of the Bond Index
Portfolio.
5. INVESTMENT TRANSACTIONS:
The cost of security purchases and the proceeds from the sale of securities,
other than temporary cash investments, during the year ended March 31, 1997,
were as follows:
U.S.
GOVERNMENT
SECURITIES ALL OTHER TOTAL
(000) (000) (000)
---------- --------- --------
S&P 500 INDEX PORTFOLIO
Purchases $ -- $204,908 $204,908
Sales -- 12,333 12,333
BOND INDEX PORTFOLIO
Purchases $18,503 $ 1,264 $ 19,767
Sales 30,101 3,381 33,482
On March 31, 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 March 31, 1997, for each Portfolio is as follows:
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES (DEPRECIATION)
(000) (000) (000)
----------- ----------- --------------
S&P 500 Index Portfolio $314,762 $(22,438) $292,324
Bond Index Portfolio 249 (781) (532)
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 March 31, 1997.
% OF
PORTFOLIO
MOODY'S VALUE
------- ---------
U.S. Government Securities 78.84%
Repurchase Agreements 2.68%
Other Bonds
Aaa 1.34%
Aa 2.82%
A 9.64%
Baa 4.68%
-------
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 March 31, 1997 is as follows:
UNREALIZED
NUMBER OF TRADE FACE SETTLEMENT (LOSS)
CONTRACTS PRICE AMOUNT MONTH (000)
--------- ---------- --------- ---------- ----------
15 $822.75 $ 7,500 June 1997 $ (486)
15 818.70 7,500 June 1997 (455)
20 801.50 10,000 June 1997 (435)
15 808.60 7,500 June 1997 (380)
5 797.10 2,500 June 1997 (99)
3 804.50 1,500 June 1997 (70)
7 777.50 3,500 June 1997 (68)
4 789.00 2,000 June 1997 (62)
3 796.60 1,500 June 1997 (58)
3 795.25 1,500 June 1997 (56)
3 793.60 1,500 June 1997 (53)
2 797.50 1,000 June 1997 (40)
1 802.50 500 June 1997 (22)
1 797.40 500 June 1997 (20)
1 788.90 500 June 1997 (15)
1 788.80 500 June 1997 (15)
2 763.00 1,000 June 1997 (5)
-------
$(2,339)
=======
19
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INDEX FUNDS -- MARCH 31, 1997
7. SHAREHOLDER VOTING RESULTS:
(Unaudited)
There was a special meeting scheduled for July 5, 1996 at which the shareholders
of the SEI Index Funds voted on a proposal to elect a Board of Trustees. Due to
a lack of quorum on July 5, 1996, the meeting was adjourned until August 14,
1996. The name of each Trustee elected at the meeting and the results of the
shareholder vote are listed below. There are no additional trustees whose term
of office continued after the meeting.
PROPOSAL 1: To consider and act upon a proposal to elect a Board of
Trustees.
SHARES SHARES
TRUSTEE VOTED "FOR" WITHHELD AUTHORITY
- -------- ----------- ------------------
Robert A. Nesher 33,381,170 60,227
Frank E. Morris 33,381,170 60,227
William M. Doran 33,381,170 60,227
F. Wendell Gooch 33,381,170 60,227
James M. Storey 33,381,170 60,227
George J. Sullivan,Jr. 33,381,170 60,227
20
<PAGE>
NOTICE TO SHAREHOLDERS
================================================================================
MARCH 31, 1997 -- (UNAUDITED)
For shareholders that do not have a March 31, 1997 taxable year end, this notice
is for informational purposes only. For shareholders with a March 31, 1997
taxable year end, please consult your tax advisor as to the pertinence of this
notice.
For the fiscal year ended March 31, 1997 the Portfolios of the SEI Index Funds
are designating long term capital gains and qualifying dividend income with
regard to distributions paid during the year as follows:
(A) (B)
LONG TERM ORDINARY
CAPITAL GAINS INCOME TOTAL
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS
PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS)
- ---------- ------------- ------------- --------------
S&P 500 Index 21% 79% 100%
Bond Index (2) 0% 100% 100%
(C) (D) (E)
QUALIFYING TAX-EXEMPT FOREIGN
PORTFOLIO DIVIDENDS(1) INTEREST TAX CREDIT
- ---------- ------------ ---------- ----------
S&P 500 Index 93% 0% 0%
Bond Index 0% 0% 0%
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction.
(2) The Bond Index Fund satisfies CA, CT and NY's statutory requirements to
pass-through income from Federal obligations. Accordingly, the pro-rata
portion of income from Federal obligations may be exempt for those
respective state's income tax purpose.
* Items (A) and (B) are based on the percentage of each Portfolio's total
distribution.
** Item (C) is based on the percentage of ordinary income of the Portfolio.
*** Items (D) and (E) are based on the percentage of gross income of the
Portfolio.
21
<PAGE>
NOTES
22
<PAGE>
NOTES
23
<PAGE>
NOTES
24
<PAGE>
===============
SEI INDEX FUNDS
===============
ANNUAL REPORT
===============
MARCH 31, 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
Joseph M. Lydon
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Barbara A. Nugent
VICE PRESIDENT, ASSISTANT SECRETARY
Marc H. Cahn
VICE PRESIDENT, ASSISTANT SECRETARY
Richard W. Grant
SECRETARY
John H. Grady, Jr.
ASSISTANT SECRETARY
INVESTMENT ADVISERS
World Asset Management
Mellon Bond Associates
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Fund Management
DISTRIBUTOR
SEI Financial Services Company
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT PUBLIC ACCOUNTANTS
Arthur Andersen LLP
THIS ANNUAL REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED
FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE TRUST AND MUST BE
PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. SHARES OF THE SEI FUNDS ARE NOT
DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY, ANY BANK. THE SHARES
ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION (FDIC),
THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENT AGENCY. INVESTMENT IN THE
SHARES INVOLVES RISK, INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. SEI FINANCIAL
SERVICES COMPANY, THE DISTRIBUTOR OF THE SEI FUNDS, IS NOT AFFILIATED WITH ANY
BANK.
FOR MORE INFORMATION CALL
1(BULLET)800(BULLET)DIAL(BULLET)SEI/1(BULLET)800(BULLET)342(BULLET)5734
<PAGE>
[SEI LOGO]
FINANCIAL
SERVICES
COMPANY
Oaks PA 19456
800-DIAL-SEI/800-342-5734
SEI-F-091-04
