SEMI-ANNUAL REPORT AS OF
SEPTEMBER 30, 1998 (UNAUDITED)
SEI INDEX FUNDS
- --------------------------------------------------------------------------------
S&P 500 Index
- --------------------------------------------------------------------------------
Bond Index
- --------------------------------------------------------------------------------
[LOGO OMITTED]
The art of people.
The science of results.
<PAGE>
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS.............................................. 1
STATEMENT OF OPERATIONS.............................................. 11
STATEMENT OF CHANGES IN NET ASSETS................................... 12
FINANCIAL HIGHLIGHTS................................................. 13
NOTES TO FINANCIAL STATEMENTS........................................ 14
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- SEPTEMBER 30, 1998 (UNAUDITED)
S&P 500 INDEX PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 97.8%
AEROSPACE & DEFENSE -- 0.2%
Raytheon Company, Cl B 67,440 $ 3,638
----------
AGRICULTURE -- 0.1%
Pioneer Hi-Bred International 48,600 1,276
----------
AIR TRANSPORTATION -- 0.4%
AMR* 36,670 2,033
Delta Air Lines 15,285 1,486
FDX* 29,602 1,336
Southwest Airlines 67,100 1,342
US Air Group* 18,765 950
----------
7,147
----------
AIRCRAFT -- 1.5%
Allegheny Teledyne 39,548 704
Allied Signal 112,540 3,981
Boeing 201,971 6,930
General Dynamics 25,460 1,278
Lockheed Martin 38,916 3,923
Northrop 13,665 998
Rockwell International 38,230 1,381
Textron 32,910 1,995
United Technologies 45,530 3,480
----------
24,670
----------
APPAREL/TEXTILES -- 0.1%
Fruit of the Loom, Cl A* 14,500 218
Liz Claiborne 13,050 342
Russell 7,265 191
Springs Industries, Cl A 3,870 134
VF 24,260 901
----------
1,786
----------
AUTOMOTIVE -- 2.0%
Chrysler 129,184 6,185
Cooper Tire & Rubber 15,900 286
Dana 33,257 1,241
Eaton 14,330 898
Fleetwood Enterprises 7,390 223
Ford Motor 242,040 11,361
General Motors 130,730 7,149
Genuine Parts 35,992 1,082
Goodyear Tire & Rubber 31,670 1,627
ITT Industries 23,865 808
Navistar International* 13,726 311
Paccar 15,708 647
TRW 24,720 1,097
----------
32,915
----------
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
BANKS -- 7.6%
Banc One 140,834 $ 6,003
Bank of New York 149,600 4,095
BankAmerica 137,076 8,242
BankBoston 59,160 1,952
Bankers Trust New York 19,885 1,173
BB&T 56,800 1,700
Chase Manhattan 171,555 7,420
Citicorp 90,445 8,406
Comerica 31,450 1,724
Fifth Third Bancorp 52,950 3,045
First Chicago 57,202 3,918
First Union 193,614 9,911
Fleet Financial Group 56,566 4,154
Golden West Financial 11,505 941
H.F. Ahmanson 21,500 1,193
Huntington Bancshares 42,570 1,070
J.P. Morgan 35,230 2,981
KeyCorp 87,642 2,531
Mellon Bank 51,810 2,853
Mercantile Bancorp 30,400 1,471
National City 65,900 4,345
NationsBank 192,297 10,288
Northern Trust 22,500 1,536
Norwest 152,972 5,478
PNC Bank 59,860 2,694
Regions Financial 42,700 1,548
Republic New York 21,700 857
State Street 32,500 1,773
Summit Bancorp 34,700 1,301
SunTrust Banks 42,030 2,606
Synovus Financial 52,400 1,035
U.S. Bancorp 148,431 5,279
Wachovia 41,478 3,536
Washington Mutual 77,104 2,602
Wells Fargo 17,128 6,080
----------
125,741
----------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.6%
Clear Channel Communications* 50,000 2,375
Mediaone Group* 121,760 5,411
Omnicom Group 34,300 1,544
----------
9,330
----------
CHEMICALS -- 2.0%
Air Products & Chemicals 46,640 1,388
Avery Dennison 23,630 1,032
B.F. Goodrich 14,650 479
Dow Chemical 44,850 3,832
E.I. du Pont de Nemours 226,090 12,689
Eastman Chemical 15,891 802
1
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- SEPTEMBER 30, 1998 (UNAUDITED)
S&P 500 INDEX PORTFOLIO - CONTINUED
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
FMC* 7,065 $ 364
Great Lakes Chemical 11,800 459
Hercules 19,095 574
Monsanto 120,250 6,779
Morton International 26,195 573
Nalco Chemical 13,100 386
Praxair 31,765 1,038
Rohm & Haas 35,905 999
Union Carbide 27,465 1,184
W.R. Grace* 15,300 190
----------
32,768
----------
COMMUNICATIONS -- 8.9%
Airtouch Communications* 114,690 6,537
Alltel 55,082 2,610
Ameritech 220,220 10,433
Andrew* 17,215 228
AT&T 361,299 21,113
Bell Atlantic 310,914 15,060
BellSouth 195,480 14,710
Comcast, Cl A* 73,927 3,470
GTE 192,880 10,608
Harris* 16,130 516
Interpublic Group 27,450 1,481
Lucent Technologies 262,746 18,146
Marriott International, Cl A* 49,940 1,192
Motorola 119,460 5,099
Northern Telecom Ltd 130,150 4,165
SBC Telecommunications 367,232 16,319
Scientific-Atlanta 15,684 331
Sodexho Marriott Services* 3,317 100
Sprint 85,700 6,170
Tele-Communications, Cl A* 104,607 4,093
Tellabs* 38,600 1,537
Viacom, Cl B* 71,500 4,147
----------
148,065
----------
COMMUNICATIONS EQUIPMENT -- 0.1%
Ascend Communications* 39,500 1,797
General Instrument* 30,200 653
----------
2,450
----------
COMPUTERS & SERVICES -- 10.5%
Apple Computer* 26,820 1,023
Cabletron Systems* 32,900 370
Ceridian* 14,665 841
Cisco Systems* 310,650 19,202
Compaq Computer 334,356 10,574
Computer Associates International 112,152 4,150
Computer Sciences* 31,420 1,712
Data General* 9,670 105
Dell Computer* 252,900 16,628
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
EMC* 99,800 $ 5,707
First Data 88,904 2,089
Gateway 2000* 14,900 777
Hewlett Packard 207,660 10,993
IBM 186,460 23,867
Microsoft* 491,100 54,052
Novell* 70,600 865
Oracle Systems* 194,043 5,652
Pitney Bowes 54,920 2,887
Seagate Technology* 48,400 1,213
Shared Medical Systems 5,295 282
Silicon Graphics* 38,000 356
Sun Microsystems* 75,400 3,756
Tandy 20,194 1,080
Texas Instruments 77,720 4,100
Unisys* 50,185 1,142
----------
173,423
----------
CONSTRUCTION -- 0.3%
Armstrong World Industries 8,065 431
Centex 11,980 413
Fluor 16,530 679
Foster Wheeler 8,165 112
Halliburton 87,710 2,505
McDermott International 12,165 328
Owens-Corning Fiberglass 10,865 354
----------
4,822
----------
CONTAINERS & PACKAGING -- 0.1%
Ball 6,095 215
Crown Cork & Seal 24,785 663
Owens-Illinois* 31,100 778
----------
1,656
----------
ELECTRICAL SERVICES -- 0.3%
Ameren 27,600 1,157
Consolidated Edison 46,890 2,444
FirstEnergy* 47,405 1,473
----------
5,074
----------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT -- 2.6%
3Com* 71,700 2,155
Advanced Micro Devices* 28,830 535
AMP 43,678 1,561
Autodesk 9,200 242
Automatic Data Processing 59,920 4,479
Honeywell 25,360 1,625
Intel 337,840 28,970
Johnson Controls 17,030 792
LSI Logic* 28,300 357
Micron Technology 42,300 1,288
Millipore 8,790 168
2
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
National Semiconductor* 33,112 $ 321
Perkin Elmer 9,665 664
Tektronix 10,055 156
Thomas & Betts 11,140 424
----------
43,737
----------
ENTERTAINMENT -- 0.0%
Mirage Resorts* 36,100 605
----------
ENVIRONMENTAL SERVICES -- 0.5%
Browning-Ferris Industries 37,035 1,120
Ecolab 25,900 737
Laidlaw 65,900 622
Waste Management* 112,514 5,408
----------
7,887
----------
FINANCIAL SERVICES -- 4.4%
Allstate* 167,104 6,966
American Express 91,147 7,075
Associates First Capital 68,946 4,499
Bear Stearns 22,700 702
Capital One Financial 13,100 1,356
Charles Schwab 53,100 2,091
Countrywide Credit Industries 21,900 912
Equifax 29,700 1,060
FHLMC 135,800 6,714
FNMA 207,160 13,310
Franklin Resources 50,400 1,512
Household International 98,391 3,690
Lehman Brothers Holding 23,900 675
MBNA 100,275 2,870
Merrill Lynch 69,600 3,297
Morgan Stanley 119,461 5,144
SLM Holding 33,900 1,100
Transamerica 12,430 1,318
Travelers Group 230,959 8,661
----------
72,952
----------
FOOD, BEVERAGE & TOBACCO -- 6.9%
Adolph Coors, Cl B 7,265 334
Agribrands International* 2,156 51
Anheuser Busch 96,700 5,222
Archer-Daniels-Midland 119,842 2,007
Bestfoods 57,520 2,786
Brown-Forman, Cl B 13,860 832
Campbell Soup 89,760 4,505
Coca-Cola 486,060 28,009
Conagra 97,484 2,626
Fortune Brands 34,840 1,032
General Mills 30,960 2,167
H.J. Heinz 72,320 3,697
Hershey Foods 28,800 1,971
Kellogg 81,480 2,684
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
PepsiCo 297,080 $ 8,745
Philip Morris 485,930 22,383
Quaker Oats 27,260 1,608
Ralston-Purina Group 62,380 1,825
RJR Nabisco 64,900 1,635
Sara Lee 92,980 5,021
Seagram 68,900 1,977
Supervalu 24,260 566
Sysco 67,220 1,584
Unilever NV, ADR 127,940 7,836
UST 37,340 1,104
William Wrigley, Jr. 23,405 1,777
----------
113,984
----------
FOOTWEAR -- 0.1%
Nike, Cl B 57,320 2,110
Reebok International 11,320 154
----------
2,264
----------
GAS/NATURAL GAS -- 0.1%
Oneok* 6,400 218
Sempra Energy* 48,127 1,254
----------
1,472
----------
GLASS PRODUCTS -- 0.3%
Corning 46,160 1,359
Newell 32,100 1,479
PPG Industries 35,690 1,947
----------
4,785
----------
HOUSEHOLD PRODUCTS -- 2.9%
Alberto-Culver, Cl B 11,480 268
Avon Products 52,640 1,477
Clorox 20,870 1,722
Colgate Palmolive 58,988 4,041
Gillette 224,376 8,582
International Flavors
& Fragrances 21,495 709
Jostens 7,350 153
Masco 67,980 1,674
Maytag 18,230 870
Minnesota Mining
& Manufacturing 80,530 5,934
National Service Industries 8,485 270
Procter & Gamble 267,908 19,005
Raychem 16,830 410
Rubbermaid 30,160 722
Sherwin Williams 34,960 756
Snap-On Tools 11,897 367
Stanley Works 17,630 524
Tupperware 12,550 147
Whirlpool 15,205 715
----------
48,346
----------
3
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- SEPTEMBER 30, 1998 (UNAUDITED)
S&P 500 INDEX PORTFOLIO - CONTINUED
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
INSURANCE -- 3.6%
Aetna 29,287 $ 2,035
American General 50,539 3,228
American International Group 209,758 16,151
Aon 33,950 2,190
Chubb 33,060 2,083
Cigna 41,990 2,777
Cincinnati Financial 33,600 1,033
Conseco 62,253 1,903
General Re 15,100 3,065
Hartford Financial Services Group 47,330 2,245
Jefferson Pilot 21,405 1,295
Lincoln National 20,230 1,664
Loews 23,200 1,958
Marsh & McLennan 51,115 2,543
MBIA 19,700 1,058
MGIC Investment 23,000 848
Progressive of Ohio 14,600 1,646
Provident 27,000 911
Providian Financial 19,130 1,622
SAFECO 28,420 1,185
St. Paul 47,176 1,533
SunAmerica 39,300 2,397
Torchmark 28,274 1,016
United Healthcare 38,800 1,358
UNUM 27,800 1,381
----------
59,125
----------
LUMBER & WOOD PRODUCTS -- 0.1%
Georgia-Pacific 18,300 835
Louisiana-Pacific 22,112 451
----------
1,286
----------
MACHINERY -- 4.7%
Aeroquip-Vickers 5,715 164
Applied Materials* 72,900 1,841
Baker Hughes 63,348 1,326
Black & Decker 18,535 772
Briggs & Stratton 4,940 203
Brunswick 20,030 259
Case Equipment 14,900 324
Caterpillar 73,000 3,253
Cincinnati Milacron 7,995 123
Cooper Industries 23,795 970
Crane 13,819 325
Cummins Engine 7,740 230
Deere 49,390 1,494
Dover 44,440 1,372
Emerson Electric 88,130 5,486
General Electric 646,860 51,466
General Signal 8,694 295
Harnischfeger Industries 9,405 106
Illinois Tool Works 49,740 2,711
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
Ingersoll Rand 33,305 $ 1,264
Kaufman & Broad Home 7,937 186
NACCO Industries, Cl A 1,625 163
Pall 24,993 555
Parker-Hannifin 22,278 661
PULTE 8,590 211
Tenneco 34,112 1,121
Timken 12,540 190
W.W. Grainger 19,680 829
----------
77,900
----------
MEASURING DEVICES -- 0.1%
KLA Instruments* 17,500 435
Mallinckrodt 14,485 294
Thermo Electron* 32,800 494
----------
1,223
----------
MEDICAL PRODUCTS & SERVICES -- 12.5%
Abbott Laboratories 307,320 13,349
Allergan 13,200 771
Alza* 17,400 755
American Home Products 262,880 13,768
Amgen* 50,600 3,823
Bausch & Lomb 11,180 440
Baxter International 56,973 3,390
Becton, Dickinson 49,520 2,037
Biomet* 22,500 780
Boston Scientific* 39,100 2,009
Bristol-Myers Squibb 198,740 20,644
C.R. Bard 11,435 422
Columbia HCA Healthcare 128,959 2,587
Eli Lilly 220,420 17,262
Guidant 30,400 2,257
HCR Manor Care* 12,847 377
Healthsouth Rehabilitation* 84,112 888
Humana* 33,500 549
Johnson & Johnson 268,740 21,029
Medtronic 93,740 5,425
Merck 237,925 30,826
Pfizer 258,540 27,389
Pharmacia & Upjohn 101,642 5,101
Schering Plough 146,660 15,188
Sigma Aldrich 20,200 583
St. Jude Medical 16,950 392
Tenet Healthcare* 61,360 1,764
United States Surgical 15,400 642
Warner Lambert 163,260 12,326
----------
206,773
----------
METAL & METAL INDUSTRIES -- 0.7%
Alcan Aluminum 45,252 1,061
Aluminum Company of America 37,333 2,651
4
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
Armco* 21,700 $ 109
Asarco 7,865 150
Barrick Gold 74,300 1,486
Battle Mountain Gold, Cl A 45,700 277
Bethlehem Steel* 25,830 213
Cyprus AMAX Minerals 18,902 250
Engelhard 29,117 515
Freeport-McMoran Copper
& Gold, Cl B 35,900 426
Homestake Mining 42,000 509
Inco 33,400 342
Newmont Mining 31,522 764
Nucor 17,680 718
Phelps Dodge 11,830 617
Placer Dome Group 49,729 687
Reynolds Metals 14,635 744
USX-U.S. Steel Group 17,467 417
Worthington Industries 19,522 244
----------
12,180
----------
MISCELLANEOUS BUSINESS SERVICES -- 0.5%
Adobe Systems 13,300 461
Cendant* 171,110 1,989
Electronic Data Systems 98,100 3,256
HBO 86,100 2,486
Parametric Technology* 54,400 547
----------
8,739
----------
MISCELLANEOUS MANUFACTURING -- 0.4%
Tyco International Ltd 117,038 6,466
----------
OIL & GAS -- 5.9%
Amerada Hess 18,430 1,063
Amoco 190,990 10,290
Ashland 15,325 709
Atlantic Richfield 63,860 4,530
Burlington Resources 35,663 1,333
Chevron 130,720 10,989
Coastal 42,804 1,445
Exxon 477,990 33,549
Helmerich & Payne 9,990 210
Kerr McGee 9,635 438
Mobil 156,190 11,861
Occidental Petroleum 70,530 1,516
Oryx Energy* 21,370 276
Pennzoil 9,565 335
Phillips Petroleum 51,935 2,344
Rowan* 17,505 196
Schlumberger 108,534 5,461
Sun 18,870 604
Texaco 107,720 6,753
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
Unocal 48,090 $ 1,743
USX-Marathon Group 58,035 2,057
----------
97,702
----------
PAPER & PAPER PRODUCTS -- 0.9%
Bemis 10,790 378
Boise Cascade 11,131 282
Champion International 19,400 607
Fort James 44,327 1,454
International Paper 61,179 2,852
Kimberly-Clark 110,774 4,486
Mead 20,720 610
Potlatch 5,870 200
Stone Container 20,116 174
Temple-Inland 11,290 541
Union Camp 13,955 549
Westvaco 20,190 485
Weyerhaeuser 39,570 1,669
Willamette Industries 22,400 643
----------
14,930
----------
PETROLEUM & FUEL PRODUCTS -- 0.1%
Anadarko Petroleum 24,200 951
Apache 19,900 534
Union Pacific Resources 49,991 616
----------
2,101
----------
PETROLEUM REFINING -- 1.2%
Royal Dutch Petroleum 426,140 20,295
----------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.6%
Eastman Kodak 64,265 4,969
Polaroid 8,758 215
Xerox 65,375 5,541
----------
10,725
----------
PRINTING & PUBLISHING -- 1.4%
American Greetings, Cl A 14,100 558
Deluxe 16,255 462
Dow Jones 18,900 879
Gannett 56,670 3,035
Knight-Ridder 15,570 693
McGraw-Hill 20,070 1,591
Meredith 10,580 339
Moore 17,800 188
New York Times, Cl A 38,660 1,063
R.R. Donnelley & Sons 28,260 994
Time Warner 119,764 10,487
Times Mirror, Cl A 17,865 949
Tribune 24,560 1,236
----------
22,474
----------
5
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- SEPTEMBER 30, 1998 (UNAUDITED)
S&P 500 INDEX PORTFOLIO - CONCLUDED
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
PROFESSIONAL SERVICES -- 0.4%
Dun & Bradstreet* 34,532 $ 932
EG&G 9,140 207
H&R Block 21,070 872
Ikon Office Solutions 27,230 196
IMS Health* 32,832 2,034
Service International 51,444 1,640
----------
5,881
----------
RECREATIONAL PRODUCTS & SERVICES -- 0.8%
Harrah's Entertainment* 20,385 271
Hasbro 26,278 775
Hilton Hotels 49,505 845
King World Productions* 14,624 382
Mattel 58,465 1,637
Walt Disney 410,001 10,378
----------
14,288
----------
REPAIR SERVICES -- 0.0%
Midas* 100 2
----------
RETAIL -- 5.9%
Albertson's 48,940 2,649
American Stores 54,920 1,768
Autozone* 30,700 756
Circuit City Stores 19,900 663
Consolidated Stores* 21,724 426
Costco* 42,958 2,035
CVS 77,813 3,409
Darden Restaurants* 28,460 455
Dayton-Hudson 87,580 3,131
Dillards Incorporated, Cl A 22,120 626
Dollar General 36,675 976
Federated Department Stores* 41,900 1,524
Fred Meyer* 30,500 1,186
Giant Food, Cl A 11,860 512
Great Atlantic & Pacific Tea 7,665 186
Harcourt General 14,266 690
Home Depot 293,522 11,594
J.C. Penney 50,530 2,271
Kmart* 98,380 1,174
Kohls* 31,500 1,229
Kroger* 50,960 2,548
Longs Drug Stores* 7,790 313
Lowe's 70,520 2,243
May Department Stores 45,962 2,367
McDonald's 136,800 8,165
Nordstrom 30,660 759
Pep Boys 12,550 168
Rite Aid 51,360 1,823
Sears Roebuck 78,425 3,465
The Gap 78,280 4,129
The Limited 45,212 992
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
TJX 63,340 $ 1,128
Toys 'R' Us* 55,165 893
Tricon Global Restaurants* 30,698 1,197
Venator Group* 27,120 236
Wal-Mart Stores 448,120 24,479
Walgreen 99,380 4,379
Wendy's International 26,475 587
Winn Dixie Stores 29,860 1,110
----------
98,241
----------
RUBBER & PLASTIC -- 0.0%
Sealed Air* 9,909 316
----------
SPECIALTY MACHINERY -- 0.2%
CBS 142,980 3,467
----------
TELEPHONES & TELECOMMUNICATION -- 1.5%
Frontier 34,500 944
MCI WorldCom* 354,807 17,341
Nextel Communications, Cl A* 57,100 1,153
US West 102,016 5,349
----------
24,787
----------
TRANSPORTATION SERVICES -- 0.6%
Burlington Northern-Santa Fe 94,800 3,034
CSX 43,618 1,835
Norfolk Southern 75,400 2,191
Ryder System 15,130 376
Union Pacific 49,240 2,099
----------
9,535
----------
UTILITIES, ELECTRIC & GAS -- 3.0%
American Electric Power 38,325 1,871
Baltimore Gas & Electric 29,795 994
Carolina Power & Light 30,500 1,409
Central & South West 42,700 1,220
Cinergy 31,792 1,216
Columbia Gas System 16,772 983
Consolidated Natural Gas 19,330 1,054
Dominion Resources 39,375 1,757
DTE Energy 29,235 1,321
Duke Power 72,106 4,773
Eastern Enterprises 4,091 172
Edison International 71,740 1,843
Enron 65,484 3,458
Entergy 49,020 1,507
FPL Group 36,528 2,546
General Public Utilities 25,700 1,092
Houston Industries 58,851 1,832
Niagara Mohawk Power* 41,665 641
Nicor 9,700 402
Northern States Power 30,320 851
Pacificorp 59,200 1,136
6
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
PECO Energy 44,275 $ 1,619
Peoples Energy 7,140 257
PG&E 76,445 2,441
PP&L Resources 30,200 781
Public Service Enterprise Group 46,183 1,816
Sonat 22,130 661
Southern 139,426 4,104
Texas Utilities 59,235 2,758
UNICOM 43,195 1,614
Williams 84,890 2,441
----------
50,570
----------
WHOLESALE -- 0.2%
Cardinal Health 26,660 2,753
----------
Total Common Stocks
(Cost $1,042,821) 1,622,552
----------
PREFERRED STOCK -- 0.0%
PAPER & PAPER PRODUCTS -- 0.0%
Sealed Air Convertible, Ser A 6,877 248
----------
Total Preferred Stock
(Cost $287) 248
----------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bill
5.193%, 10/15/98 (A) $ 3,000 2,995
----------
Total U.S. Treasury Obligation
(Cost $2,994) 2,995
----------
REPURCHASE AGREEMENT -- 1.9%
J.P. Morgan
5.600%, dated 09/30/98, matures
10/01/98, repurchase price
$30,537,000 (collateralized by
various GNMA obligations, par value
$39,596,000, 6.50%- 8.50%,
06/15/19-09/15/28,
total market value:
$31,143,000) (B) 30,532 30,532
----------
Total Repurchase Agreement
(Cost $30,532) 30,532
----------
Total Investments -- 99.9%
(Cost $1,076,634) 1,656,327
----------
OTHER ASSETS AND LIABILITIES, NET -- 0.1% 2,422
----------
- --------------------------------------------------------------------------------
MARKET
VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
14,797,532 outstanding shares
of beneficial interest $ 418,468
Portfolio Shares of Class E
(unlimited authorization --
no par value) based on
36,871,239 outstanding shares of
beneficial interest 601,348
Undistributed net investment income 5,698
Accumulated net realized gain
on investments 53,854
Net unrealized depreciation on futures (312)
Net unrealized appreciation on investments 579,693
----------
Total Net Assets -- 100.0% $1,658,749
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $ 32.06
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class E $ 32.12
==========
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
(B) TRI-PARTY REPURCHASE AGREEMENT.
* NON-INCOME PRODUCING SECURITY.
ADR--AMERICAN DEPOSITORY RECEIPT
CL--CLASS
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA--GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
LTD--LIMITED
SER--SERIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
7
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- SEPTEMBER 30, 1998 (UNAUDITED)
BOND INDEX PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 37.4%
U.S. Treasury Bonds
13.125%, 05/15/01 $ 325 $ 395
11.625%, 11/15/02 200 254
10.750%, 05/15/03 1,900 2,396
8.750%, 05/15/17 445 635
8.875%, 02/15/19 490 716
8.500%, 02/15/20 600 854
8.000%, 11/15/21 300 412
7.625%, 11/15/22 1,500 1,996
6.500%, 11/15/26 725 864
U.S. Treasury Notes
6.375%, 05/15/99 220 222
7.750%, 11/30/99 2,825 2,927
6.125%, 09/30/00 600 620
7.750%, 02/15/01 200 215
6.375%, 03/31/01 1,500 1,569
6.625%, 04/30/02 100 107
6.250%, 06/30/02 900 957
7.000%, 07/15/06 200 233
6.500%, 10/15/06 1,625 1,843
5.625%, 05/15/08 750 821
----------
Total U.S. Treasury Obligations
(Cost $16,665) 18,036
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 6.3%
FHLB
5.440%, 10/15/03 150 155
FHLB Discount Note
5.580%, 08/17/01 300 301
FHLMC
5.836%, 11/26/99 200 202
6.540%, 05/19/00 250 257
7.900%, 09/19/01 250 272
5.750%, 07/15/03 200 209
FNMA
8.450%, 07/12/99 200 205
9.050%, 04/10/00 200 213
8.250%, 12/18/00 50 54
7.500%, 02/11/02 100 109
6.240%, 01/14/08 150 158
6.000%, 05/15/08 150 163
Zero coupon, 07/05/14 415 176
Resolution Funding Corporation
8.875%, 04/15/30 230 345
Tennessee Valley Authority
Government Agency
6.375%, 06/15/05 200 215
----------
Total U.S. Government Agency Obligations
(Cost $2,797) 3,034
----------
- --------------------------------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
CORPORATE BONDS -- 19.8%
Associates of North America
5.600%, 01/15/01 $ 300 $ 304
Auburn Hills Trust
12.000%, 05/01/20 100 169
Baltimore Gas & Electric
7.250%, 07/01/02 200 216
Bowater
9.000%, 08/01/09 150 193
Cabot
8.340%, 08/05/22 500 604
Campbell Soup
8.875%, 05/01/21 300 406
Chase Manhattan
8.625%, 05/01/02 150 165
Commercial Credit
6.500%, 08/01/04 150 159
Commonwealth Edison
6.500%, 04/15/00 100 102
ConAgra
7.400%, 09/15/04 260 289
Dayton Hudson
6.400%, 02/15/03 150 156
Dell Computer
7.100%, 04/15/28 100 106
Enron
6.750%, 09/01/04 100 108
Federated Department Stores
8.125%, 10/15/02 150 164
First Union
6.300%, 04/15/28 300 303
Ford Motor Credit
6.125%, 01/09/06 200 207
GE Global Insurance
7.000%, 02/15/26 100 111
General Motors
8.500%, 01/01/03 150 167
Grand Metropolitan Investment
8.000%, 09/15/22 100 120
Hilton Hotels
7.375%, 06/01/02 50 51
Household Finance
6.125%, 07/15/02 100 103
Integra Financial
8.500%, 05/15/02 250 278
J.P. Morgan
5.750%, 10/15/08 200 203
Manufacturers Hanover
8.500%, 02/15/99 200 202
May Dept. Stores
9.875%, 12/01/02 100 117
Merita Bank
6.500%, 01/15/06 200 205
8
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
New York Telephone
8.625%, 11/15/10 $ 200 $ 255
Norfolk Southern
7.700%, 05/15/17 70 80
Oracle
6.720%, 02/15/04 100 107
Province of Ontario
8.000%, 10/17/01 250 271
Public Service of Colorado
7.125%, 06/01/06 200 223
R.R. Donnelley & Sons
9.125%, 12/01/00 239 260
Rockwell International
6.750%, 09/15/02 150 160
Salomon Smith Barney
7.375%, 05/15/07 250 280
Sears Credit Account Master
Trust II, Ser 95-5, Cl A
7.000%, 10/15/04 500 516
Sprint
9.250%, 04/15/22 150 201
TCI Communications
8.750%, 08/01/15 100 124
Tenn. Valley Authority
6.000%, 03/15/13 100 108
Tenneco
10.075%, 02/01/01 250 277
Texaco Capital
9.000%, 12/15/99 100 104
Texas Utilities
6.750%, 03/01/03 150 159
Travelers
8.625%, 02/01/07 200 241
Union Oil California
9.150%, 02/15/06 150 180
USA Waste Service
7.000%, 10/01/04 100 107
Virginia Electric & Power
7.375%, 07/01/02 150 162
Walt Disney
6.750%, 03/30/06 100 110
Wells Fargo
8.375%, 05/15/02 230 255
Worldcom
6.400%, 08/15/05 150 158
----------
Total Corporate Bonds
(Cost $8,858) 9,546
----------
- --------------------------------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY POOLED MORTGAGES -- 30.0%
FHLMC
8.500%, 10/01/01-01/01/23 $ 92 $ 98
7.000%, 09/01/03-12/01/27 1,521 1,567
9.000%, 11/01/04-07/01/09 38 42
7.500%, 05/01/07-05/01/27 667 688
6.500%, 07/01/08-04/01/28 1,569 1,599
8.000%, 01/01/11-09/01/27 409 426
6.000%, 06/01/11-05/01/28 478 482
9.500%, 08/01/17-02/01/21 90 98
10.500%, 12/01/17-06/01/19 29 34
FNMA
8.350%, 11/10/99 200 207
6.500%, 03/01/03-09/01/28 1,390 1,417
8.250%, 10/12/04 500 517
9.000%, 10/01/06-11/01/26 153 162
8.500%, 05/01/07-10/01/22 95 101
7.500%, 06/01/07-06/01/27 852 881
8.000%, 08/01/07-12/01/24 609 634
7.000%, 02/01/08-08/01/28 1,507 1,550
6.000%, 12/25/08-12/25/23 402 405
9.500%, 07/01/20-02/01/21 28 31
GNMA
8.000%, 10/15/07-09/15/23 516 539
9.500%, 09/15/09-07/15/17 40 44
6.500%, 03/15/11-04/15/28 511 525
11.500%, 04/15/15 22 26
8.500%, 02/15/17-11/15/22 290 308
9.750%, 10/15/17 23 25
10.000%, 09/15/18-02/20/21 34 38
11.000%, 10/15/19 2 3
9.000%, 11/15/19-08/15/21 94 102
7.500%, 01/15/23-03/15/26 877 911
7.000%, 05/15/23-09/15/28 1,010 1,043
----------
Total U.S. Government Agency Pooled Mortgages
(Cost $14,172) 14,503
----------
YANKEE BONDS -- 3.1%
International Bank
8.250%, 09/01/16 200 260
Landeskredit Bank
7.875%, 04/15/04 250 283
Quebec Province
8.625%, 01/19/05 500 581
Republic of Ireland
7.875%, 12/01/01 200 217
Santander Financial
7.750%, 05/15/05 150 164
----------
Total Yankee Bonds
(Cost $1,387) 1,505
----------
9
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- SEPTEMBER 30, 1998 (UNAUDITED)
BOND INDEX PORTFOLIO -- CONCLUDED
- --------------------------------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.3%
Lehman Brothers 5.000%,
dated 09/30/98, matures
10/01/98, repurchase price
$1,110,000, (collateralized
by U.S. Treasury Note,
par value $1,052,000,
7.750%, matures 02/15/01,
total market value:
$1,137,000) $ 1,110 $ 1,110
----------
Total Repurchase Agreement
(Cost $1,110) 1,110
----------
Total Investments -- 98.9%
(Cost $44,989) 47,734
----------
OTHER ASSETS AND LIABILITIES, NET -- 1.1% 546
----------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
4,420,698 outstanding shares of
beneficial interest 46,079
Accumulated net realized loss
on investments (544)
Net unrealized appreciation on investments 2,745
----------
Total Net Assets -- 100.0% $ 48,280
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $ 10.92
==========
CL--CLASS
FHLB--FEDERAL HOME LOAN BANK
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA--GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
SER--SERIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
10
<PAGE>
STATEMENT OF OPERATIONS (000)
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- FOR THE SIX MONTH PERIOD ENDED SEPTEMBER 30, 1998 (UNAUDITED)
--------- ---------
S&P 500 BOND
INDEX INDEX
PORTFOLIO PORTFOLIO
--------- ---------
INVESTMENT INCOME:
Dividends $ 13,262 $ --
Interest 936 1,412
--------- ------
Total Investment Income 14,198 1,412
--------- ------
EXPENSES:
Management Fees 1,932 79
Waiver of Management Fees (353) (20)
Investment Advisory Fees 264 16
Custodian/Wire Agent Fees 148 4
Trustee Fees 11 --
Pricing Fees 7 3
Professional Fees 33 1
Registration Fees 93 3
Distribution Fees (1) 1,584 56
Waiver of Distribution Fees (1,584) (56)
Distribution Fees--Class A (2) 367 --
Printing Expense 31 (3)
Licensing Fee 28 --
Other Expenses 2 2
--------- ------
Total Expenses 2,563 85
--------- ------
NET INVESTMENT INCOME 11,635 1,327
--------- ------
NET REALIZED AND UNREALIZED
GAIN ON INVESTMENTS
Net Realized Gain from
Securities Sold 37,189 108
Net Realized Loss from
Futures Contracts (2,496) --
--------- ------
Net Realized Gain from
Security Transactions 34,693 108
--------- ------
Change in Unrealized Appreciation
(Depreciation) on
Investment Securities (171,406) 1,642
Change in Unrealized Depreciation
on Futures Contracts (536) --
--------- ------
Net Change in Unrealized
Appreciation (Depreciation)
on Investments (171,942) 1,642
--------- ------
Net Realized and Unrealized
Gain (Loss) on Investments (137,249) 1,750
--------- ------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS $(125,614) $3,077
========= ======
(1) INCLUDES CLASS SPECIFIC DISTRIBUTION AND SHAREHOLDER SERVICING FEES.
(2) FEES ARE INCURRED AT THE CLASS A LEVEL ONLY.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
11
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- FOR THE SIX MONTH PERIOD ENDED SEPTEMBER 30, 1998 (UNAUDITED)
AND FOR THE YEAR ENDED MARCH 31, 1998
<TABLE>
----------------------------------------------
S&P 500 INDEX BOND INDEX
PORTFOLIO PORTFOLIO
----------------------------------------------
<S> <C> <C> <C> <C>
4/1/98- 4/1/97- 4/1/98- 4/1/97-
9/30/98 3/31/98 9/30/98 3/31/98
---------- ---------- ------- -------
OPERATIONS:
Net Investment Income $ 11,635 $ 20,163 $ 1,327 $ 2,438
Net Realized Gain from Security Transactions 34,693 25,776 108 210
Net Change in Unrealized Appreciation (Depreciation) of
Investment Securities (171,942) 461,338 1,642 1,636
---------- ---------- ------- -------
Net Increase (Decrease) in Net Assets Resulting from Operations (125,614) 507,277 3,077 4,284
---------- ---------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (11,002) (19,320) (1,327) (2,438)
Net Realized Gain -- (9,993) -- --
---------- ---------- ------- -------
Total Distributions (11,002) (29,313) (1,327) (2,438)
---------- ---------- ------- -------
CAPITAL SHARE TRANSACTIONS:*
CLASS A: (1)
Proceeds from Shares Issued 146,501 290,554 9,531 23,021
Reinvestment of Cash Distributions 2,703 5,032 270 704
Cost of Shares Redeemed (85,937) (43,002) (6,553) (17,980)
---------- ---------- ------- -------
Net Increase from Class A Transactions 63,267 252,584 3,248 5,745
---------- ---------- ------- -------
CLASS E: (2)
Proceeds from Shares Issued 184,922 434,840 -- --
Reinvestment of Cash Distributions 4,598 13,097 -- --
Cost of Shares Redeemed (209,423) (371,143) -- --
---------- ---------- ------- -------
Net Increase (Decrease) from Class E Transactions (19,903) 76,794 -- --
---------- ---------- ------- -------
Net Increase from Capital Share Transactions 43,364 329,378 3,248 5,745
---------- ---------- ------- -------
Net Increase (Decrease) in Net Assets (93,252) 807,342 4,998 7,591
---------- ---------- ------- -------
NET ASSETS:
Beginning of Year 1,752,001 944,659 43,282 35,691
---------- ---------- ------- -------
End of Year $1,658,749 $1,752,001 $48,280 $43,282
========== ========== ======= =======
*SHARES ISSUED AND REDEEMED:
CLASS A: (1)
Shares Issued 4,248 9,710 898 2,216
Shares Issued in Lieu of Cash Distributions 76 171 26 68
Shares Redeemed (2,520) (1,408) (619) (1,736)
---------- ---------- ------- -------
Total Class A Transactions 1,804 8,473 305 548
---------- ---------- ------- -------
CLASS E: (2)
Shares Issued 5,345 14,759 -- --
Shares Issued in Lieu of Cash Distributions 129 450 -- --
Shares Redeemed (6,016) (12,483) -- --
---------- ---------- ------- -------
Total Class E Transactions (542) 2,726 -- --
---------- ---------- ------- -------
Increase in Shares 1,262 11,199 305 548
========== ========== ======= =======
</TABLE>
(1) ON JULY 31, 1997 THE BOARD OF TRUSTEES APPROVED THE RENAMING OF THE CLASS E
SHARES TO CLASS A SHARES.
(2) ON JULY 31, 1997 THE BOARD OF TRUSTEES APPROVED THE RENAMING OF THE CLASS A
SHARES TO CLASS E SHARES.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- FOR THE PERIOD ENDED SEPTEMBER 30, 1998 (UNAUDITED)
AND FOR THE YEARS ENDED MARCH 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
NET ASSET NET REALIZED AND DIVIDENDS
VALUE, NET UNREALIZED FROM NET
BEGINNING INVESTMENT GAINS OR (LOSSES) INVESTMENT
OF PERIOD INCOME ON SECURITIES INCOME
- ------------------------------------------------------------------------
- -----------------------
S&P 500 INDEX PORTFOLIO
- -----------------------
CLASS A
1998* $34.71 $0.21 $(2.66) $(0.20)
1998 24.06 0.41 10.86 (0.41)
1997 20.87 0.48 3.47 (0.43)
1996(1) 20.82 -- 0.05 --
CLASS E
1998* $34.77 $0.23 $(2.66) $(0.22)
1998 24.10 0.45 10.88 (0.45)
1997 20.88 0.46 3.54 (0.45)
1996 16.40 0.44 4.72 (0.37)
1995 15.07 0.42 1.79 (0.42)
1994 15.80 0.43 (0.22) (0.42)
1993 14.17 0.40 1.69 (0.40)
- --------------------
BOND INDEX PORTFOLIO
- --------------------
1998* $10.52 $0.31 $0.40 $(0.31)
1998 10.01 0.64 0.51 (0.64)
1997 10.26 0.64 (0.21) (0.68)
1996(2) 9.90 0.64 0.36 (0.64)
1995 10.09 0.63 (0.20) (0.62)
1994 10.43 0.56 (0.33) (0.57)
1993 9.87 0.66 0.56 (0.66)
DISTRIBUTIONS RATIO OF
FROM NET ASSET NET ASSETS EXPENSES
CAPITAL VALUE, END TOTAL END OF TO AVERAGE
GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS
- -------------------------------------------------------------------------------
- -----------------------
S&P 500 INDEX PORTFOLIO
- -----------------------
CLASS A
1998* $ -- $32.06 (7.11)%** $ 474,455 0.40%
1998 (0.21) 34.71 47.43 451,077 0.40
1997 (0.33) 24.06 19.22 108,770 0.40
1996(1) -- 20.87 0.24** 3,007 0.46
CLASS E
1998* $ -- $32.12 (7.04)%** $1,184,294 0.25%
1998 (0.21) 34.77 47.62 1,300,924 0.25
1997 (0.33) 24.10 19.46 835,889 0.25
1996 (0.31) 20.88 31.88 630,566 0.25
1995 (0.46) 16.40 15.26 458,012 0.25
1994 (0.52) 15.07 1.19 424,647 0.25
1993 (0.06) 15.80 14.97 675,484 0.25
- ---------------------
BOND INDEX PORTFOLIO
- ---------------------
1998* $ -- $10.92 6.90%** $ 48,280 0.38%
1998 -- 10.52 11.81 43,282 0.38
1997 -- 10.01 4.36 35,691 0.38
1996(2) -- 10.26 10.31 51,185 0.38
1995 -- 9.90 4.54 45,643 0.38
1994 -- 10.09 2.10 56,161 0.38
1993 -- 10.43 12.73 56,032 0.38
RATIO OF
RATIO NET INVESTMENT
RATIO OF NET OF EXPENSES INCOME
INVESTMENT TO AVERAGE TO AVERAGE
INCOME NET ASSETS NET ASSETS PORTFOLIO
TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
NET ASSETS WAIVERS) WAIVERS) RATE
- --------------------------------------------------------------------------------
- -----------------------
S&P 500 INDEX PORTFOLIO
- -----------------------
CLASS A
1998* 1.22% 0.44% 1.18% 5%
1998 1.37 0.44 1.33 4
1997 1.84 0.46 1.78 2
1996(1) 0.97 0.58 0.85 3
CLASS E
1998* 1.37% 0.54% 1.08% 5%
1998 1.55 0.54 1.26 4
1997 2.03 0.54 1.74 2
1996 2.31 0.35 2.21 3
1995 2.69 0.35 2.59 4
1994 2.57 0.33 2.49 23
1993 2.75 0.35 2.65 1
- --------------------
BOND INDEX PORTFOLIO
- --------------------
1998* 5.91% 0.72% 5.57% 18%
1998 6.22 0.78 5.82 44
1997 6.26 0.71 5.93 46
1996(2) 6.20 0.48 6.10 59
1995 6.33 0.48 6.23 21
1994 5.35 0.47 5.26 55
1993 6.49 0.45 6.42 115
* FOR THE PERIOD ENDED 9/30/98. ALL RATIOS FOR THAT PERIOD HAVE
BEEN ANNUALIZED.
** THE TOTAL RETURN HAS NOT BEEN ANNUALIZED.
[DAGGER] ON JULY 31, 1997 THE BOARD OF TRUSTEES APPROVED THE RENAMING OF
THE CLASS E SHARES TO CLASS A SHARES.
[DOUBLE
DAGGER] ON JULY 31, 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, FORMERLY THE 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.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
13
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- SEPTEMBER 30, 1998 (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 SEI
Fund Management (the "Manager") and the 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 possi-
14
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- SEPTEMBER 30, 1998 (UNAUDITED)
bility 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.
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 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.
SEI Investments Distribution Co. ("the Distributor"), a wholly-owned
subsidiary of SEI Investments and a registered broker-dealer, acts as the
distributor of the shares of the Trust under the 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 .15% or
.25%, 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.
15
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- SEPTEMBER 30, 1998 (UNAUDITED)
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.
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,
1998, were as follows:
U.S.
GOVERNMENT
SECURITIES ALL OTHER TOTAL
(000) (000) (000)
---------- --------- --------
S&P 500 INDEX PORTFOLIO
Purchases $ -- $128,294 $128,294
Sales -- 89,828 89,828
BOND INDEX PORTFOLIO
Purchases $8,791 $ 2,047 $ 10,838
Sales 7,198 523 7,721
On September 30, 1998, 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, 1998, for each Portfolio is as follows:
NET
APPRECIATED DEPRECIATED UNREALIZED
SECURITIES SECURITIES APPRECIATION
(000) (000) (000)
----------- ----------- ------------
S&P 500 Index Portfolio $650,317 $(70,936) $579,381
Bond Index Portfolio 2,755 (10) 2,745
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, 1998.
% OF
PORTFOLIO
MOODY'S VALUE
------- ---------
U.S. Government Securities....................... 75.50%
Repurchase Agreements............................ 2.32%
Other Bonds
Aaa......................................... 1.46%
Aa.......................................... 4.17%
A........................................... 10.24%
Baa......................................... 6.31%
------
100.00%
======
At September 30, 1998, 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
3/31/98 2003 2004 2005
------------ -------- ---------- ----------
$645,487 $302,811 $100,980 $241,696
16
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- SEPTEMBER 30, 1998 (UNAUDITED)
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, 1998 is as follows:
UNREALIZED
NUMBER OF TRADE FACE SETTLEMENT GAIN (LOSS)
CONTRACTS PRICE AMOUNT MONTH (000)
- ------------ --------- ------ ---------- -----------
31 $1,029.90 $7,750 Dec. 1998 $ (30)
25 1,036.20 6,250 Dec. 1998 (64)
18 1,044.00 4,500 Dec. 1998 (81)
15 1,039.50 3,750 Dec. 1998 (51)
7 1,038.50 1,750 Dec. 1998 (22)
6 1,028.00 1,500 Dec. 1998 (3)
5 1,047.00 1,250 Dec. 1998 (26)
5 1,058.50 1,250 Dec. 1998 (41)
4 984.50 1,000 Dec. 1998 41
3 1,061.50 750 Dec. 1998 (26)
2 992.00 500 Dec. 1998 17
2 1,077.50 500 Dec. 1998 (26)
-----------
$ (312)
===========
7. In-Kind Redemption
On April 14, 1998, Michigan Masonic Charitable Foundation Liquidated its full
position of 1,737,031 shares in the S&P 500 Index Class E Portfolio and received
a portion of its redemption in-kind for a value of $59,853,681.
17
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
- -----------------------
SEI INDEX FUNDS
- -----------------------
SEMI-ANNUAL REPORT
- -----------------------
SEPTEMBER 30, 1998
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
George J. Sullivan, Jr.
OFFICERS
Edward D. Loughlin
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Mark Nagle
CONTROLLER AND CHIEF FINANCIAL OFFICER
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Kathy Heilig
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
Cynthia M. Parrish
VICE PRESIDENT, ASSISTANT SECRETARY
Joseph M. O'Donnell
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 Investments 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>
{LOGO OMITTED]
INVESTMENTS
DISTRIBUTION
CO.
OAKS, PA 19456
800-DIAL-SEI/800-342-5734
SEI-F-040-08
