ANNUAL REPORT AS OF
MARCH 31, 1998
SEI INDEX FUNDS
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S&P 500 Index
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Bond Index
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[Logo Omitted]
SEI INVESTMENTS
THE ART OF PEOPLE.
THE SCIENCE OF RESULTS.
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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.............................................. 15
STATEMENT OF CHANGES IN NET ASSETS................................... 16
FINANCIAL HIGHLIGHTS................................................. 17
NOTES TO FINANCIAL STATEMENTS........................................ 18
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, 1998
S&P 500 INDEX PORTFOLIO
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CLASS A S&P 500 INDEX PORTFOLIO
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AVERAGE ANNUAL TOTAL RETURN1
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Annualized Inception
One Year Return to Date
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47.43% 31.17%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI S&P 500
INDEX PORTFOLIO, CLASS A, VERSUS THE S&P 500 COMPOSITE INDEX
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
SEI S&P 500 INDEX FUND, CLASS A S&P 500 COMPOSITE 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
6/97 14,134 14,208
9/97 15,163 15,272
12/97 15,582 15,710
3/98 17,738 17,900
1 FOR THE PERIODS ENDED MARCH 31, 1998. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 02/28/96. EFFECTIVE
07/31/97, THE BOARD OF TRUSTEES APPROVED THE RENAMING OF CLASS A SHARES TO
CLASS E SHARES.
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 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
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CLASS E S&P 500 INDEX PORTFOLIO
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AVERAGE ANNUAL TOTAL RETURN1
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One Annualized Annualized Annualized Annualized
Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
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47.62% 32.49% 22.09% 18.63% 17.80%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI S&P 500
INDEX PORTFOLIO, CLASS E, VERSUS THE S&P 500 COMPOSITE INDEX
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
SEI S&P 500 INDEX FUND, CLASS E S&P 500 COMPOSITE 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
3/98 79,665 84,047
1 FOR THE PERIODS ENDED MARCH 31, 1998. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. CLASS E SHARES WERE OFFERED BEGINNING 08/01/85. EFFECTIVE
07/31/97, THE BOARD OF TRUSTEES APPROVED THE RENAMING OF CLASS E SHARES TO
CLASS A SHARES.
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.
ANALYSIS. The S&P 500 Index Portfolio (Class E shares) returned 47.62% for
the fiscal year ended March 31, 1998, providing investors with the strongest
1-year return since the Fund's inception over eleven years ago. The sharp
advance is a result of various positive influences on the U.S. economy and on
equity investments.
1
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INDEX FUNDS -- MARCH 31, 1998
S&P 500 INDEX (CONTINUED)
Strong but controlled economic growth over the last seven years coupled
with the lowest inflation since the 1960's provided the backdrop for continued
robust corporate earnings and revenue growth. Additionally, as a result of huge
capital investments in technology and production facilities, U.S. corporations
have regained their dominance in the world economy thus further enhancing their
competitiveness and earnings power. U.S. equities have enjoyed large cash
inflows due to the relatively low yields available on fixed income securities
and the increase savings by the baby-boomers. This increased demand contributed
to an increase in the broad market as measured by the S&P 500 Index.
While the Index, which is largely made-up of large cap companies, outpaced
the Russell 2000 Index, which represents the small-cap sector, the gap was not
as significant as other recent years thereby suggesting a healthy broadening in
the market. This broadening would prove beneficial to most equity investors.
However, growth stocks did significantly outpace value stocks during the year.
Industries demonstrating sharp advances include technology, financial services,
healthcare, telephones, retail, motor vehicles and air transportation while
apparel and precious metal stocks were the only sectors demonstrating negative
returns.
The Fund continues to closely track the overall performance of its target
benchmark, the Index. This year the Portfolio's deviation from its benchmark
which stood at 0.10% was modestly higher than in previous years though it is
still very close and within expectations.
BOND INDEX PORTFOLIO
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
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BOND INDEX PORTFOLIO
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AVERAGE ANNUAL TOTAL RETURN1
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One Annualized Annualized Annualized Annualized
Year 3 Year 5 Year 10 Year Inception
Return Return Return Return Return
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11.81% 8.78% 6.56% 8.28% 7.97%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI BOND
INDEX PORTFOLIO, VERSUS THE SALOMON BROAD BOND INDEX, AND THE LEHMAN AGGREGATE
BOND INDEX
SEI BOND SALOMON BROAD LEHMAN AGGREGATE
INDEX PORTFOLIO BOND 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 24,412 24,318
3/98 25,126 27,393 27,236
1 FOR THE PERIODS ENDED MARCH 31, 1998. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. THE PORTFOLIO WAS OFFERED BEGINNING 05/19/86.
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, 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 fixed rate debt issues rated investment grade (Baa3) 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 obliga-
2
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BOND INDEX (CONTINUED)
tions 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 an impressive
performance for the fiscal year ending March 31, 1998, returning 11.99% as
measured by the Lehman Index. The SEI Bond Index Portfolio kept pace with the
market, rising 11.81% for the period. The Portfolio's lockstep performance was a
direct result of its similar sector weightings relative to the Lehman Index.
Portfolio expenses explain the slight performance lag relative to the Lehman
Index.
After a brief setback in early April in reaction to a Federal Reserve rate
hike the month prior, the market trended higher throughout the remainder of the
fiscal year. News of a moderating economy and the lack of inflationary pressures
fueled the markets. In addition, during the fourth quarter of 1997, the U.S.
investment-grade bond market was a major benefactor of worldwide capital market
volatility, as the demand for Treasury securities surged in the global
flight-to-quality away from the crisis in Southeast Asia. Long-term bond yields
declined dramatically during the fiscal year, dropping from 7.10% to 5.93%. In
contrast, yields on securities with less than one year to maturity fell only 25
basis points throughout the period as the Federal Reserve held the overnight
rate firm throughout the fiscal year.
During the above scenario, mortgage-backed securities provided the best
sector performance on a duration-adjusted basis. The 10-year Treasury yield,
which is used as a base for most mortgage calculations, declined to 5.65% from
6.91% during the fiscal year. Throughout most of the 1.26% decline in 10-year
yields the mortgage market had apparently ignored the associated rise in
prepayments. However, as the end of the period approached, prepayment fears
escalated as mortgage investors pondered the potential risk of the largest wave
of mortgage refinancing since 1993. Discount securities, which actually benefit
from rising prepayments, began to outperform in conjunction with the escalation
of these fears.
U.S. investment-grade corporate securities posted the worst broad sector
performance on a duration-adjusted basis for the period. Despite strong
performance during initial stages of the fiscal year, the crisis in Southeast
Asia caused significant spread widening across the credit spectrum. The Yankee
sub-sector was hit particularly hard, as many of these issuers were more
directly impacted by the Asian situation. As yield levels fell, new supply
proliferated as issuers rushed to lock in low long-term borrowing rates, placing
further upward pressure on corporate spreads.
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,
1998, and the related statements of operations, statements of 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, 1998, by correspondence with the custodian and broker. 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, 1998,
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 8, 1998
4
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STATEMENT OF NET ASSETS
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SEI INDEX FUNDS -- MARCH 31, 1998
S&P 500 INDEX PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 98.2%
AEROSPACE & DEFENSE -- 0.2%
Raytheon Company, Cl B 68,040 $ 3,972
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AGRICULTURE -- 0.1%
Pioneer Hi-Bred International 15,700 1,532
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AIR TRANSPORTATION -- 0.5%
AMR* 17,885 2,561
Delta Air Lines 14,985 1,772
FDX* 29,502 2,098
Southwest Airlines 44,300 1,310
US Air Group* 18,365 1,361
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9,102
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AIRCRAFT -- 1.9%
Allegheny Teledyne 39,348 1,094
Allied Signal 113,240 4,756
Boeing 200,771 10,465
General Dynamics 12,630 1,088
Lockheed Martin 39,016 4,389
Northrop 13,365 1,436
Rockwell International 41,030 2,354
Textron 33,010 2,542
United Technologies 46,830 4,323
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32,447
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APPAREL/TEXTILES -- 0.2%
Fruit of the Loom, Cl A* 14,400 441
Liz Claiborne 13,350 666
Russell 6,965 187
Springs Industries, Cl A 3,870 213
VF 24,660 1,296
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2,803
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AUTOMOTIVE -- 2.4%
Chrysler 132,284 5,498
Cooper Tire & Rubber 15,800 375
Dana 21,130 1,229
Eaton 15,530 1,478
Echlin 12,735 668
Fleetwood Enterprises 6,890 321
Ford Motor 240,940 15,616
General Motors 142,930 9,639
Genuine Parts 35,892 1,368
Goodyear Tire & Rubber 31,370 2,376
ITT Industries 23,765 905
Navistar International* 14,126 494
Paccar 15,608 930
TRW 24,720 1,363
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42,260
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MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
BANKS -- 9.0%
Banc One 129,634 $ 8,199
Bank of New York 75,600 4,749
BankAmerica 139,276 11,508
BankBoston 29,322 3,233
Bankers Trust, New York 19,753 2,377
BB&T 28,600 1,936
Chase Manhattan 85,134 11,483
Citicorp 91,745 13,028
Comerica 21,100 2,233
CoreStates Financial 40,345 3,621
Fifth Third Bancorp 31,200 2,668
First American Bank 17,500 1,514
First Chicago 58,102 5,120
First Union 129,824 7,367
Fleet Financial Group 54,766 4,659
Golden West Financial 11,405 1,093
H.F. Ahmanson 19,300 1,496
Huntington Bancshares 38,400 1,399
J.P. Morgan 35,630 4,786
KeyCorp 88,242 3,337
Mellon Bank 51,110 3,245
Mercantile Bancorp 26,300 1,442
National City 42,400 3,108
NationsBank 188,797 13,770
Northern Trust 22,400 1,674
Norwest 151,672 6,304
PNC Bank 61,160 3,666
Republic New York 10,600 1,414
State Street 32,300 2,198
Summit Bancorp 35,300 1,767
SunTrust Banks 42,330 3,191
Synovus Financial 35,200 1,307
U.S. Bancorp 49,277 6,147
Wachovia 41,378 3,509
Washington Mutual 51,703 3,708
Wells Fargo 17,428 5,773
----------
158,029
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BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.2%
Clear Channel Communications* 20,900 2,048
Omnicom Group 32,500 1,530
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3,578
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CHEMICALS -- 2.3%
Air Products & Chemicals 23,670 1,962
Avery Dennison 20,630 1,101
B.F. Goodrich 14,050 717
Dow Chemical 45,550 4,430
E.I. du Pont de Nemours 227,290 15,456
Eastman Chemical 15,791 1,065
FMC* 7,165 562
Great Lakes Chemical 12,000 648
5
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INDEX FUNDS -- MARCH 31, 1998
S&P 500 INDEX PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
Hercules 19,095 $ 943
Monsanto 119,050 6,191
Morton International 27,095 889
Nalco Chemical 13,400 544
Praxair 31,665 1,629
Rohm & Haas 12,335 1,274
Union Carbide 24,765 1,241
W.R. Grace* 14,900 1,247
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39,899
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COMMUNICATIONS -- 9.9%
Airtouch Communications* 101,390 4,962
Alltel 36,600 1,599
Ameritech 219,820 10,867
Andrew* 17,415 345
AT&T 326,199 21,407
Bell Atlantic 155,957 15,986
BellSouth 199,169 13,456
Comcast, Cl A* 70,127 2,476
DSC Communications* 23,730 432
GTE 192,280 11,513
Harris* 15,630 815
Interpublic Group 25,250 1,569
Lucent Technologies 130,673 16,710
MCI Communications 139,830 6,922
Motorola 119,860 7,267
Northern Telecom Ltd 104,530 6,755
SBC Telecommunications 368,232 16,064
Scientific-Atlanta 15,884 311
Sprint 86,300 5,841
Tele-Communications, Cl A* 101,807 3,166
Tellabs* 36,400 2,443
US West 97,060 5,314
US West Media Group* 121,960 4,238
Viacom, Cl B* 70,900 3,811
WorldCom* 203,400 8,759
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173,028
----------
COMMUNICATIONS EQUIPMENT -- 0.0%
General Instrument* 29,700 622
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COMPUTERS & SERVICES -- 8.3%
Apple Computer* 26,620 732
Bay Networks* 44,100 1,196
Cabletron Systems* 31,800 463
Ceridian* 15,465 834
Cisco Systems* 204,400 13,976
Compaq Computer 304,026 7,867
Computer Associates
International 109,652 6,332
Computer Sciences* 31,320 1,723
Data General* 9,770 173
Dell Computer* 131,100 8,882
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MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
Digital Equipment* 30,015 $ 1,570
EMC* 99,600 3,766
First Data 87,004 2,828
Hewlett Packard 208,860 13,236
International Business Machines 195,260 20,283
Microsoft* 459,300 41,107
Novell* 70,500 756
Oracle Systems* 197,643 6,238
Pitney Bowes 58,220 2,922
Seagate Technology* 48,700 1,230
Shared Medical Systems 4,595 360
Silicon Graphics* 37,700 525
Sun Microsystems* 75,800 3,162
Tandy 21,194 996
Texas Instruments 78,420 4,244
Unisys* 50,085 952
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146,353
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CONSTRUCTION -- 0.3%
Armstrong World Industries 7,765 672
Centex 11,880 453
Fluor 16,830 837
Foster Wheeler 7,865 240
Halliburton 52,640 2,642
McDermott International 11,265 465
Owens-Corning Fiberglass 10,365 372
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5,681
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CONTAINERS & PACKAGING -- 0.2%
Ball 5,895 193
Crown Cork & Seal 25,785 1,379
Owens-Illinois* 28,200 1,220
----------
2,792
----------
ELECTRICAL SERVICES -- 0.3%
Ameren 27,600 1,163
Consolidated Edison 47,190 2,206
FirstEnergy* 46,205 1,424
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4,793
----------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT -- 2.4%
3Com* 71,200 2,559
Advanced Micro Devices* 28,430 826
AMP 44,178 1,936
Autodesk 9,300 401
Automatic Data Processing 60,020 4,085
Honeywell 25,560 2,113
Intel 308,340 24,070
Johnson Controls 16,930 1,027
LSI Logic* 28,400 717
Micron Technology 42,500 1,235
Millipore 8,490 295
6
<PAGE>
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MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
National Semiconductor* 33,012 $ 691
Perkin Elmer 9,765 706
Tektronix 10,155 453
Thomas & Betts 10,640 681
----------
41,795
----------
ENTERTAINMENT -- 0.1%
Mirage Resorts* 36,000 875
----------
ENVIRONMENTAL SERVICES -- 0.3%
Browning-Ferris Industries 40,935 1,335
Ecolab 25,900 751
Laidlaw 66,000 1,048
Safety-Kleen 11,710 332
Waste Management 91,340 2,814
----------
6,280
----------
FINANCIAL SERVICES -- 4.6%
Allstate 86,152 7,921
American Express 93,347 8,570
Beneficial 10,290 1,279
Charles Schwab 53,300 2,025
Countrywide Credit Industries 21,800 1,159
Equifax 30,200 1,102
Federal Home Loan Mortgage 139,600 6,622
Federal National Mortgage
Association 213,060 13,476
Green Tree Financial 27,300 776
Household International 21,530 2,966
Lehman Brothers Holding 20,500 1,535
MBNA 100,675 3,605
Merrill Lynch 66,900 5,553
Morgan Stanley 118,961 8,669
Transamerica 12,630 1,471
Travelers Group 230,259 13,816
----------
80,545
----------
FOOD, BEVERAGE & TOBACCO -- 7.4%
Adolph Coors, Cl B 7,465 261
Anheuser Busch 98,400 4,557
Archer-Daniels-Midland 114,764 2,518
Bestfoods 28,860 3,373
Brown-Forman, Cl B 13,860 762
Campbell Soup 91,660 5,202
Coca-Cola 473,560 36,671
Conagra 95,484 3,067
Fortune Brands 34,440 1,373
General Mills 31,360 2,383
H.J. Heinz 73,420 4,286
Hershey Foods 28,700 2,056
Kellogg 82,480 3,557
PepsiCo 304,680 13,006
Philip Morris 486,830 20,295
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
Quaker Oats 27,860 $ 1,595
Ralston-Ralston Purina Group 21,560 2,285
Sara Lee 94,980 5,853
Seagram 72,700 2,776
Supervalu 11,630 542
Sysco 68,620 1,758
Unilever NV, ADR 128,540 8,821
UST 37,040 1,195
Whitman 600 12
William Wrigley, Jr. 23,305 1,905
Vlasic Foods International* 9,166 234
----------
130,343
----------
FOOTWEAR -- 0.2%
Nike, Cl B 58,420 2,585
Reebok International 10,920 333
----------
2,918
----------
GAS/NATURAL GAS -- 0.0%
Oneok* 6,200 253
----------
GLASS PRODUCTS -- 0.3%
Corning 46,460 2,056
Newell 32,000 1,550
PPG Industries 35,790 2,431
----------
6,037
----------
HOUSEHOLD PRODUCTS -- 3.1%
Alberto-Culver, Cl B 11,380 346
Avon Products 26,470 2,065
Clorox 20,770 1,780
Colgate Palmolive 59,388 5,144
Gillette 112,488 13,351
International Flavors &
Fragrances 21,895 1,032
Jostens 7,550 181
Masco 33,140 1,972
Maytag 19,030 910
National Service Industries 8,685 511
Procter & Gamble 257,108 21,693
Raychem 16,830 699
Rubbermaid 30,060 857
Sherwin Williams 34,760 1,234
Snap-On Tools 11,797 538
Stanley Works 17,930 1,000
Tupperware 12,250 326
Whirlpool 15,105 1,036
----------
54,675
----------
7
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INDEX FUNDS -- MARCH 31, 1998
S&P 500 INDEX PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
INSURANCE -- 3.8%
Aetna 29,487 $ 2,460
American General 50,939 3,295
American International Group 140,839 17,737
Aon 33,650 2,179
Chubb 33,960 2,662
Cigna 14,830 3,040
Cincinnati Financial 10,700 1,340
Conseco 37,800 2,140
General Re 15,800 3,486
Hartford Financial Services Group 23,665 2,568
Jefferson Pilot 14,270 1,269
Lincoln National 20,530 1,742
Loews 23,100 2,408
Marsh & McLennan 34,110 2,978
MBIA 19,700 1,527
MGIC Investment 22,900 1,504
Progressive of Ohio 14,500 1,953
Providian Financial 19,130 1,099
SAFECO 28,320 1,548
St. Paul 16,780 1,496
SunAmerica 39,200 1,877
Torchmark 28,074 1,286
United Healthcare 37,800 2,448
UNUM 27,900 1,540
USF&G 22,630 564
----------
66,146
----------
LUMBER & WOOD PRODUCTS -- 0.1%
Georgia-Pacific 18,600 1,204
Louisiana-Pacific 22,012 512
Timber Group* 200 5
----------
1,721
----------
MACHINERY -- 5.2%
Aerquip-Vickers 5,315 307
Applied Materials* 73,500 2,595
Baker Hughes 34,015 1,369
Black & Decker 19,035 1,010
Briggs & Stratton 5,040 231
Brunswick 20,030 699
Case Equipment 15,100 1,029
Caterpillar 74,800 4,119
Cincinnati Milacron 7,595 242
Cooper Industries 24,295 1,444
Crane 8,913 472
Cummins Engine 7,440 410
Deere 50,090 3,102
Dover 44,640 1,696
Dresser Industries 35,270 1,695
Emerson Electric 89,030 5,804
General Electric 625,760 53,933
General Signal 9,794 458
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
Harnischfeger Industries 9,505 $ 325
Illinois Tool Works 50,140 3,247
Ingersoll Rand 33,205 1,592
Kaufman & Broad Home 7,537 245
NACCO Industries, Cl A 1,725 231
Pall 25,093 539
Parker-Hannifin 22,278 1,142
PULTE 4,095 190
Tenneco 34,212 1,460
Timken 12,240 414
W.W. Grainger 9,790 1,007
----------
91,007
----------
MEASURING DEVICES -- 0.1%
KLA Instruments* 16,900 646
Mallinckrodt 14,685 580
Thermo Electron* 30,400 1,227
----------
2,453
----------
MEDICAL PRODUCTS & SERVICES -- 10.9%
Abbott Laboratories 153,560 11,565
Allergan 13,100 498
Allergan Specialty
Therapeutics, Cl A* 625 8
Alza* 17,100 766
American Home Products 130,440 12,441
Amgen* 52,900 3,220
Bausch & Lomb 10,780 493
Baxter International 56,273 3,102
Becton Dickinson 24,560 1,672
Biomet* 22,400 672
Boston Scientific* 39,100 2,639
Bristol-Myers Squibb 199,640 20,825
C.R. Bard 11,135 409
Columbia HCA Healthcare 130,059 4,194
Eli Lilly 222,820 13,286
Guidant 30,300 2,223
Healthsouth Rehabilitation* 79,012 2,217
Humana* 32,900 816
Johnson & Johnson 270,040 19,797
Manor Care 12,347 457
Medtronic 94,140 4,884
Merck 229,425 29,452
Pfizer 247,640 24,687
Pharmacia & Upjohn 101,942 4,460
Schering Plough 147,060 12,013
Sigma Aldrich 20,100 749
St. Jude Medical 18,450 617
Tenet Healthcare* 61,460 2,232
United States Surgical 15,200 502
Warner Lambert 54,720 9,319
----------
190,215
----------
8
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
METAL & METAL INDUSTRIES -- 0.8%
Alcan Aluminum 45,652 $ 1,427
Aluminum Company of America 34,200 2,353
Armco* 21,700 127
Asarco 8,065 215
Barrick Gold 74,900 1,620
Battle Mountain Gold, Cl A 46,100 294
Bethlehem Steel* 22,630 307
Cyprus AMAX Minerals 18,802 313
Engelhard 29,017 551
Freeport-McMoran Copper &
Gold, Cl B 39,000 778
Homestake Mining 29,500 321
Inco 33,500 626
Inland Steel Industries 9,465 261
Newmont Mining 31,422 960
Nucor 17,680 962
Phelps Dodge 11,630 751
Placer Dome Group 49,629 654
Reynolds Metals 14,835 911
USX-U.S. Steel Group 17,267 652
Worthington Industries 19,422 352
----------
14,435
----------
MISCELLANEOUS BUSINESS SERVICES -- 0.6%
Adobe Systems 14,100 637
Cendant* 162,710 6,447
HBO 42,300 2,554
Netscape Communications* 123 2
Parametric Technology* 51,500 1,716
Siebel Systems* 88 3
----------
11,359
----------
MISCELLANEOUS MANUFACTURING -- 0.8%
Minnesota Mining &
Manufacturing 81,630 7,444
Tyco International Ltd 114,938 6,279
----------
13,723
----------
OIL & GAS -- 5.7%
Amerada Hess 18,430 1,075
Amoco 97,795 8,447
Ashland 15,125 856
Atlantic Richfield 64,460 5,068
Burlington Resources 35,463 1,700
Chevron 131,920 10,595
Coastal 21,302 1,387
Exxon 472,190 31,932
Helmerich & Payne 10,090 315
Kerr McGee 9,135 635
Mobil 157,490 12,068
Occidental Petroleum 68,030 1,994
Oryx Energy* 21,270 553
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
Pennzoil 9,165 $ 592
Phillips Petroleum 52,835 2,638
Rowan* 17,405 505
Schlumberger 99,930 7,570
Sun 14,070 575
Texaco 110,020 6,629
Unocal 49,490 1,915
USX-Marathon Group 57,935 2,180
Western Atlas* 10,990 850
----------
100,079
----------
PAPER & PAPER PRODUCTS -- 1.1%
Bemis 10,290 464
Boise Cascade 11,331 409
Champion International 19,300 1,048
Fort James 41,927 1,921
International Paper 60,679 2,841
Kimberly-Clark 111,574 5,593
Mead 21,020 753
Potlatch 5,470 236
Stone Container 19,916 249
Temple-Inland 10,990 683
Union Camp 13,955 834
Westvaco 20,490 630
Weyerhaeuser 40,070 2,264
Willamette Industries 22,300 838
----------
18,763
----------
PETROLEUM & FUEL PRODUCTS -- 0.2%
Anadarko Petroleum 12,000 828
Apache 19,200 706
Union Pacific Resources 50,991 1,217
----------
2,751
----------
PETROLEUM REFINING -- 1.3%
Royal Dutch Petroleum 410,640 23,329
----------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.7%
Eastman Kodak 65,265 4,234
Polaroid 8,858 390
Xerox 65,475 6,969
----------
11,593
----------
PRINTING & PUBLISHING -- 1.3%
American Greetings, Cl A 14,500 667
Deluxe 15,955 526
Dow Jones 19,300 1,022
Gannett 56,970 4,095
Knight-Ridder 17,070 954
McGraw-Hill 19,870 1,511
Meredith 10,380 437
Moore 17,800 296
New York Times, Cl A 19,230 1,346
9
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INDEX FUNDS -- MARCH 31, 1998
S&P 500 INDEX PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
R.R. Donnelley & Sons 29,260 $ 1,201
Time Warner 116,164 8,364
Times Mirror, Cl A 18,565 1,177
Tribune 24,660 1,739
----------
23,335
----------
PROFESSIONAL SERVICES -- 0.4%
Cognizant 32,532 1,867
Dun & Bradstreet 34,232 1,170
EG & G 8,740 254
H&R Block 21,070 1,002
Ikon Office Solutions 27,030 934
Service International 50,544 2,145
----------
7,372
----------
RECREATIONAL PRODUCTS & SERVICES -- 1.3%
Harrah's Entertainment* 20,285 498
Hasbro 25,378 896
Hilton Hotels 50,305 1,603
King World Productions* 14,824 434
Marriott International* 25,670 955
Marriott International, Cl A* 25,670 919
Mattel 58,365 2,313
Sodexho Marriott Services* 6,417 170
Walt Disney 135,567 14,472
----------
22,260
----------
REPAIR SERVICES -- 0.0%
Midas* 100 2
----------
RETAIL -- 5.6%
Albertson's 49,340 2,597
American Stores 55,120 1,433
Arbor Drugs 11,900 280
Autozone* 30,500 1,033
Charming Shoppes* 21,370 102
Circuit City Stores 19,800 846
Consolidated Stores* 21,624 928
Costco* 43,058 2,298
CVS 34,570 2,610
Darden Restaurants 30,060 468
Dayton-Hudson 43,890 3,862
Dillards Incorporated, Cl A 21,920 810
F.W. Woolworth* 27,120 678
Federated Department Stores* 42,100 2,181
Giant Food, Cl A 12,060 466
Great Atlantic & Pacific Tea 7,465 226
Harcourt General 14,166 784
Home Depot 146,961 9,911
J.C. Penney 50,230 3,802
Kmart* 97,980 1,635
Kroger* 51,160 2,363
Longs Drug Stores 7,590 231
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE (000)
- --------------------------------------------------------------------------------
Lowe's 35,160 $ 2,468
May Department Stores 46,462 2,950
McDonald's 138,300 8,298
Mercantile Stores 7,415 498
Nordstrom 15,530 991
Pep Boys 12,750 296
Rite Aid 51,760 1,773
Sears Roebuck 78,725 4,522
The Gap 79,480 3,577
The Limited 54,712 1,570
TJX 32,020 1,449
Toys "R" Us* 57,065 1,716
Tricon Global Restaurants* 30,198 908
Wal-Mart Stores 430,120 21,855
Walgreen 99,480 3,500
Wendy's International 26,575 593
Winn Dixie Stores 29,860 1,385
----------
97,893
----------
RUBBER & PLASTIC -- 0.0%
Sealed Air* 8,500 557
----------
SPECIALTY MACHINERY -- 0.3%
CBS 142,880 4,849
----------
TELEPHONES & TELECOMMUNICATION -- 0.2%
Frontier 33,000 1,075
Nextel Communications, Cl A* 52,700 1,779
----------
2,854
----------
TRANSPORTATION SERVICES -- 0.7%
Burlington Northern-Santa Fe 31,400 3,266
CSX 43,818 2,607
Norfolk Southern 75,700 2,829
Ryder System 15,330 583
Union Pacific 49,640 2,789
----------
12,074
----------
UTILITIES, ELECTRIC & GAS -- 2.8%
American Electric Power 38,125 1,916
Baltimore Gas & Electric 29,695 971
Carolina Power & Light 29,800 1,348
Central & South West 42,600 1,140
Cinergy 31,692 1,173
Columbia Gas System 10,715 833
Consolidated Natural Gas 19,130 1,104
Dominion Resources 38,875 1,633
DTE Energy 29,135 1,145
Duke Power 72,306 4,307
Eastern Enterprises 3,791 163
Edison International 77,840 2,287
Enron 62,484 2,898
Entergy 49,020 1,458
10
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
FPL Group 36,528 $ 2,347
General Public Utilities 25,500 1,128
Houston Industries 56,751 1,632
Niagara Mohawk Power* 28,965 377
Nicor 9,400 397
Northern States Power 14,960 883
Pacific Enterprises 16,742 683
Pacificorp 59,600 1,468
PECO Energy 44,675 988
Peoples Energy 6,640 242
PG&E 88,045 2,905
PP&L Resources 33,300 787
Public Service Enterprise Group 46,583 1,764
Sonat 22,130 963
Southern 138,626 3,838
Texas Utilities 49,535 1,947
UNICOM 43,495 1,522
Williams 64,190 2,054
----------
48,301
----------
WHOLESALE -- 0.1%
Cardinal Health 22,000 1,940
----------
Total Common Stocks
(Cost $968,523) 1,719,623
----------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bill (A)
Zero coupon, 04/30/98 $ 3,215 3,201
----------
Total U.S. Treasury Obligation
(Cost $3,202) 3,201
----------
REPURCHASE AGREEMENT -- 1.7%
J.P. Morgan
6.030%, dated 03/31/98, matures
04/01/98, repurchase price
$30,410,000 (collateralized by
two GNMA obligations, par value
$35,133,000, 9.00%,
11/15/26-12/15/26, and a
FNMA obligation, par
value $4,771,000, 6.207%,
11/01/22, total market
value: $31,039,000) (B) 30,405 30,405
----------
Total Repurchase Agreement
(Cost $30,405) 30,405
----------
Total Investments -- 100.1%
(Cost $1,002,130) 1,753,229
----------
OTHER ASSETS AND LIABILITIES, NET -- (0.1%) (1,228)
----------
- --------------------------------------------------------------------------------
MARKET
VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
12,993,790 outstanding shares of
beneficial interest $ 355,201
Portfolio Shares of Class E (unlimited
authorization -- no par value) based on
37,413,582 outstanding shares of
beneficial interest 621,251
Undistributed net investment income 5,065
Accumulated net realized gain
on investments 19,161
Net unrealized appreciation on
futures contracts 224
Net unrealized appreciation
on investments 751,099
----------
Total Net Assets -- 100.0% $1,752,001
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $ 34.71
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class E $ 34.77
==========
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS
(B) TRI-PARTY REPURCHASE AGREEMENT
* NON-INCOME PRODUCING SECURITY
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
LTD -- LIMITED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
11
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INDEX FUNDS -- MARCH 31, 1998
BOND INDEX PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 39.7%
U.S. Treasury Bonds
13.125%, 05/15/01 $ 325 $ 394
11.625%, 11/15/02 200 248
10.750%, 05/15/03 700 855
12.000%, 05/15/05 100 136
12.750%, 11/15/10 325 462
9.250%, 02/15/16 500 677
8.750%, 05/15/17 445 583
8.875%, 02/15/19 490 655
8.500%, 02/15/20 600 779
8.000%, 11/15/21 300 374
7.625%, 11/15/22 1,150 1,383
6.500%, 11/15/26 475 507
U.S. Treasury Notes
6.375%, 05/15/99 520 524
9.125%, 05/15/99 715 742
7.750%, 11/30/99 2,825 2,919
6.125%, 09/30/00 600 607
7.750%, 02/15/01 700 738
6.375%, 03/31/01 1,500 1,528
6.625%, 04/30/02 200 207
6.250%, 06/30/02 1,250 1,275
7.000%, 07/15/06 200 216
6.500%, 10/15/06 1,325 1,390
----------
Total U.S. Treasury Obligations
(Cost $16,716) 17,199
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 5.7%
FHLB
8.220%, 05/29/98 125 126
5.836%, 11/26/99 200 200
5.440%, 10/15/03 150 145
FHLMC
6.540%, 05/19/00 250 254
7.900%, 09/19/01 250 266
FNMA
8.450%, 07/12/99 200 206
9.050%, 04/10/00 200 212
8.250%, 12/18/00 50 53
7.500%, 02/11/02 100 106
6.240%, 01/14/08 150 149
0.000%, 07/05/14 415 152
Resolution Funding Corporation
8.875%, 04/15/30 230 311
Tennessee Valley Authority
Government Agency
6.375%, 06/15/05 200 204
6.000%, 03/15/13 100 99
----------
Total U.S. Government Agency Obligations
(Cost $2,373) 2,483
----------
- --------------------------------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
CORPORATE BONDS -- 16.8%
Associates of North America
5.600%, 01/15/01 $300 $ 297
Auburn Hills Trust
12.000%, 05/01/20 100 159
Baltimore Gas & Electric
7.250%, 07/01/02 200 208
Cabot
8.340%, 08/05/22 500 562
Campbell Soup
8.875%, 05/01/21 300 378
Chase Manhattan
8.625%, 05/01/02 150 162
Commercial Credit
6.500%, 08/01/04 150 150
Commonwealth Edison
6.500%, 04/15/00 100 101
ConAgra
7.400%, 09/15/04 260 272
Dayton Hudson
6.400%, 02/15/03 150 150
Enron
6.750%, 09/01/04 100 101
Federated Department Stores
8.125%, 10/15/02 150 160
First Union
7.050%, 08/01/05 500 519
Ford Motor Credit
6.125%, 01/09/06 200 196
GE Global Insurance
7.000%, 02/15/26 100 104
Grand Metropolitan Investment
8.000%, 09/15/22 100 112
Hilton Hotels
7.375%, 06/01/02 50 51
Integra Financial
8.500%, 05/15/02 250 271
J.P. Morgan
5.750%, 10/15/08 200 188
Manufacturers Hanover
8.500%, 02/15/99 200 204
May Dept. Stores
9.875%, 12/01/02 100 115
New York Telephone
8.625%, 11/15/10 200 236
Norfolk Southern
7.700%, 05/15/17 70 77
Oracle
6.720%, 02/15/04 100 101
Public Service of Colorado
7.125%, 06/01/06 200 210
R.R. Donnelley & Sons
9.125%, 12/01/00 239 257
12
<PAGE>
- --------------------------------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Rockwell International
6.750%, 09/15/02 $150 $ 153
Salomon Smith Barney
7.375%, 05/15/07 250 265
Sprint
9.250%, 04/15/22 150 190
Tenneco
10.075%, 02/01/01 250 274
Texaco Capital
9.000%, 12/15/99 100 105
Texas Utilities
6.750%, 03/01/03 150 153
Union Oil California
9.150%, 02/15/06 150 175
USA Waste Service
7.000%, 10/01/04 100 103
Virginia Electric & Power
7.375%, 07/01/02 150 156
Walt Disney
6.750%, 03/30/06 100 103
Wells Fargo
8.375%, 05/15/02 230 247
----------
Total Corporate Bonds
(Cost $6,975) 7,265
----------
U.S. GOVERNMENT AGENCY POOLED MORTGAGES -- 31.5%
FHLMC
6.000%, 04/01/98 15 15
8.500%, 10/01/01 8 9
7.000%, 09/01/03 114 117
9.000%, 11/01/04 29 31
7.500%, 05/01/07 105 109
7.000%, 11/01/07 98 100
6.500%, 07/01/08 166 167
9.000%, 07/01/09 15 17
8.500%, 01/01/10 74 79
8.000%, 01/01/11 74 77
6.500%, 04/01/11 124 125
6.000%, 06/01/11 310 306
7.000%, 02/01/13 198 201
9.500%, 08/01/17 46 50
10.500%, 12/01/17 23 26
9.500%, 01/01/19 25 27
10.500%, 06/01/19 11 13
9.500%, 10/01/20 36 39
9.500%, 02/01/21 8 9
8.000%, 01/01/22 24 25
7.500%, 01/01/23 124 128
8.500%, 01/01/23 54 57
7.500%, 05/01/23 169 173
7.000%, 02/01/24 288 291
7.000%, 05/01/24 192 195
6.500%, 10/01/25 177 176
- --------------------------------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
6.500%, 04/01/26 $323 $ 321
7.000%, 04/01/26 229 231
7.500%, 05/01/26 236 242
8.000%, 05/01/26 287 298
7.000%, 06/01/26 321 325
7.500%, 05/01/27 184 189
8.000%, 09/01/27 88 92
7.000%, 12/01/27 295 299
6.500%, 04/01/28 198 196
FNMA
8.350%, 11/10/99 200 208
6.500%, 03/01/03 184 186
8.250%, 10/12/04 500 518
9.000%, 10/01/06 25 26
8.500%, 05/01/07 25 27
7.500%, 06/01/07 94 98
8.000%, 08/01/07 75 78
7.000%, 02/01/08 163 167
7.000%, 04/01/08 47 49
8.000%, 12/01/08 60 62
6.000%, 12/25/08 274 271
6.500%, 04/01/11 166 167
9.500%, 07/01/20 22 24
9.500%, 02/01/21 9 10
8.500%, 03/01/22 84 89
8.000%, 06/01/22 166 172
8.500%, 10/01/22 71 75
7.500%, 01/01/23 300 308
8.000%, 05/01/23 182 189
7.000%, 06/01/23 301 304
6.000%, 12/25/23 164 159
6.500%, 06/01/25 198 196
7.500%, 01/01/26 395 406
6.500%, 02/01/26 271 268
7.000%, 03/01/26 356 360
9.000%, 11/01/26 190 202
7.500%, 06/01/27 229 235
6.500%, 12/01/27 198 196
7.000%, 03/01/28 198 200
GNMA
8.000%, 10/15/07 38 40
9.500%, 09/15/09 29 32
6.500%, 03/15/11 127 128
11.500%, 04/15/15 23 26
8.500%, 02/15/17 72 77
8.500%, 05/15/17 93 99
9.500%, 07/15/17 22 24
9.750%, 10/15/17 23 25
10.000%, 09/15/18 26 29
11.000%, 10/15/19 2 3
9.000%, 11/15/19 118 127
10.000%, 02/20/21 15 17
9.000%, 08/15/21 17 19
13
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INDEX FUNDS -- MARCH 31, 1998
BOND INDEX PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
8.500%, 11/15/21 $ 101 $ 107
8.000%, 03/15/22 218 226
8.500%, 11/15/22 37 40
7.500%, 01/15/23 133 137
7.000%, 05/15/23 297 301
8.000%, 09/15/23 318 329
7.000%, 11/15/23 311 314
6.500%, 02/15/24 203 201
7.500%, 05/15/24 441 453
7.500%, 03/15/26 395 406
7.000%, 01/15/28 249 252
6.500%, 04/15/28 198 196
----------
Total U.S. Government Agency Pooled Mortgages
(Cost $13,447) 13,613
----------
YANKEE BONDS -- 4.0%
International Bank
8.250%, 09/01/16 200 244
Landeskredit Bank
7.875%, 04/15/04 250 272
Province of Ontario
8.000%, 10/17/01 250 265
Quebec Province
8.625%, 01/19/05 500 561
Republic of Ireland
7.875%, 12/01/01 200 213
Santander Financial
7.750%, 05/15/05 150 160
----------
Total Yankee Bonds
(Cost $1,660) 1,715
----------
REPURCHASE AGREEMENT -- 3.4%
Lehman Brothers
5.250%, dated 03/31/98, matures
04/01/98, repurchase price
$1,488,000, (collateralized
by U.S. Treasury Note, par
value $1,472,000,
6.500%, matures 04/30/99,
total market
value: $1,526,000) (A) 1,488 1,488
----------
Total Repurchase Agreement
(Cost $1,488) 1,488
----------
Total Investments -- 101.1%
(Cost $42,659) 43,763
----------
- --------------------------------------------------------------------------------
MARKET
VALUE (000)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES, NET -- (1.1%)
Accrued Income $ 655
Investment Securities Purchased Payable (1,003)
Other Assets and Liabilities, Net (133)
----------
TOTAL OTHER ASSETS AND LIABILITIES (481)
----------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
4,115,860 outstanding shares of
beneficial interest 42,830
Accumulated net realized loss
on investments (652)
Net unrealized appreciation
on investments 1,104
----------
Total Net Assets -- 100.0% $ 43,282
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $ 10.52
==========
(A) 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.
14
<PAGE>
STATEMENT OF OPERATIONS (000)
================================================================================
SEI INDEX FUNDS -- FOR THE YEAR ENDED MARCH 31, 1998
<TABLE>
<CAPTION>
------------- --------------
S&P 500 BOND
INDEX INDEX
PORTFOLIO PORTFOLIO
------------- --------------
INVESTMENT INCOME:
<S> <C> <C>
Dividends $ 21,406 $ --
Interest 2,458 2,587
--------- ------
Total Investment Income 23,864 2,587
--------- ------
EXPENSES:
Management Fees 2,924 137
Waiver of Management Fees (520) (59)
Investment Advisory Fees 399 27
Custodian/Wire Agent Fees 209 6
Trustee Fees 20 1
Pricing Fees 12 2
Professional Fees 57 1
Registration Fees 105 3
Distribution Fees (1) 2,691 98
Waiver of Distribution Fees (2,691) (98)
Distribution Fees--Class A (2) 378 --
Printing Expense 56 30
Licensing Fee 40 --
Other Expenses 21 1
--------- ------
Total Expenses 3,701 149
--------- ------
NET INVESTMENT INCOME 20,163 2,438
--------- ------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net Realized Gain from Securities Sold 13,501 210
Net Realized Gain from Futures Contracts 12,275 --
--------- ------
Net Realized Gain from Security Transactions 25,776 210
--------- ------
Change in Unrealized Appreciation on Investment Securities 458,775 1,636
Change in Unrealized Appreciation on Futures Contracts 2,563 --
--------- ------
Net Change in Unrealized Appreciation on Investments 461,338 1,636
--------- ------
Net Realized and Unrealized Gain on Investments 487,114 1,846
--------- ------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 507,277 $4,284
========= ======
<FN>
(1) INCLUDES CLASS SPECIFIC DISTRIBUTION AND SHAREHOLDER SERVICING FEES.
(2) FEES ARE INCURRED AT THE CLASS A LEVEL ONLY.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
15
<PAGE>
STATEMENT 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
--------------------- --------------------
4/1/97- 4/1/96- 4/1/97- 4/1/96-
3/31/98 3/31/97 3/31/98 3/31/97
---------- -------- ------- ---------
OPERATIONS:
<S> <C> <C> <C> <C>
Net Investment Income $ 20,163 $ 15,761 $ 2,438 $ 2,864
Net Realized Gain (Loss) from Security Transactions 25,776 8,567 210 (215)
Net Change in Unrealized Appreciation (Depreciation) of
Investment Securities 461,338 109,273 1,636 (648)
---------- -------- ------- -------
Net Increase in Net Assets Resulting from Operations 507,277 133,601 4,284 2,001
---------- -------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (19,320) (14,687) (2,438) (3,102)
Net Realized Gain (9,993) (11,751) -- --
---------- -------- ------- -------
Total Distributions (29,313) (26,438) (2,438) (3,102)
---------- -------- ------- -------
CAPITAL SHARE TRANSACTIONS:*
CLASS A: (1)
Proceeds from Shares Issued 290,554 107,351 23,021 16,462
Reinvestment of Cash Distributions 5,032 1,543 704 1,023
Cost of Shares Redeemed (43,002) (9,319) (17,980) (31,878)
---------- -------- ------- -------
Net Increase (Decrease) from Class A Transactions 252,584 99,575 5,745 (14,393)
---------- -------- ------- -------
CLASS E: (2)
Proceeds from Shares Issued 434,840 402,704 -- --
Reinvestment of Cash Distributions 13,097 12,852 -- --
Cost of Shares Redeemed (371,143) (311,208) -- --
---------- -------- ------- -------
Net Increase from Class E Transactions 76,794 104,348 -- --
---------- -------- ------- -------
Net Increase (Decrease) from Capital Share Transactions 329,378 203,923 5,745 (14,393)
---------- -------- ------- -------
Net Increase (Decrease) in Net Assets 807,342 311,086 7,591 (15,494)
---------- -------- ------- -------
NET ASSETS:
Beginning of Year 944,659 633,573 35,691 51,185
---------- -------- ------- -------
End of Year $1,752,001 $944,659 $43,282 $35,691
========== ======== ======= =======
*SHARES ISSUED AND REDEEMED:
CLASS A: (1)
Shares Issued 9,710 4,708 2,216 1,624
Shares Issued in Lieu of Cash Distributions 171 67 68 101
Shares Redeemed (1,408) (398) (1,736) (3,145)
---------- -------- ------- -------
Total Class A Transactions 8,473 4,377 548 (1,420)
---------- -------- ------- -------
CLASS E: (2)
Shares Issued 14,759 17,481 -- --
Shares Issued in Lieu of Cash Distributions 450 569 -- --
Shares Redeemed (12,483) (13,558) -- --
---------- -------- ------- -------
Total Class E Transactions 2,726 4,492 -- --
---------- -------- ------- -------
Increase (Decrease) in Shares 11,199 8,869 548 (1,420)
========== ======== ======= =======
<FN>
(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.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
16
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
SEI INDEX FUNDS -- FOR THE PERIODS ENDED MARCH 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
NET REALIZED
AND RATIO OF NET
NET ASSET UNREALIZED DIVIDENDS DISTRIBUTIONS RATIO OF INVESTMENT
VALUE, NET GAINS OR FROM NET FROM NET ASSET NET ASSETS EXPENSES INCOME
BEGINNING INVESTMENT (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>
1998 $24.06 $0.41 $10.86 $(0.41) $(0.21) $34.71 47.43% $ 451,077 0.40% 1.37%
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%
CLASS E+++
1998 $24.10 $0.45 $10.88 $(0.45) $(0.21) $34.77 47.62% $1,300,924 0.25% 1.55%
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%
- --------------------
BOND INDEX PORTFOLIO
- --------------------
1998 $10.01 $0.64 $ 0.51 $(0.64) -- $10.52 11.81% $ 43,282 0.38% 6.22%
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 NET
RATIO OF INVESTMENT
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>
1998 0.44% 1.33% 4% $.0169
1997 0.46% 1.78% 2% .0197
1996(1) 0.58% 0.85% 3% n/a
CLASS E+++
1998 0.54% 1.26% 4% $.0169
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
- --------------------
BOND INDEX PORTFOLIO
- --------------------
1998 0.78% 5.82% 44% n/a
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.
++ ON JULY 31, 1997 THE BOARD OF TRUSTEES APPROVED THE RENAMING OF THE CLASS E
SHARES TO CLASS A SHARES.
+++ 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 BEENANNUALIZED.
(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.
17
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INDEX FUNDS -- MARCH 31, 1998
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-
18
<PAGE>
================================================================================
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. Accordingly for the S&P
500 Index Portfolio, $14,000 was reclassified from undistributed net investment
income to accumulated net realized gain on investments. In addition, permanent
differences have been reclassified from undistributed net investment income to
paid in capital in the amount of $99,000. 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
19
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INDEX FUNDS -- MARCH 31, 1998
Distributor. Under the Plans, the Distributor may perform, or may
compensate other service providers for performing, certain shareholder and
administrative services. Under the Plans, the Distributor may retain as a profit
any difference between the fee it receives and the amount it pays to third
parties.
4. INVESTMENT ADVISORY AGREEMENT:
Under an investment advisory agreement dated January 31, 1995, World Asset
Management serves as the Investment Adviser of the S&P 500 Index Portfolio. For
its services as Investment Adviser, World Asset Management receives a monthly
fee at an annual rate of .03% of the average daily net assets of the S&P 500
Index Portfolio. Mellon Bond Associates serves as the Investment Adviser of the
Bond Index Portfolio under an advisory agreement dated October 2, 1995. For its
services as Investment Adviser, Mellon Bond Associates receives a monthly fee at
an annual rate of .07% of the average daily net assets of the Bond Index
Portfolio.
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 March 31, 1998,
were as follows:
U.S.
GOVERNMENT
SECURITIES ALL OTHER TOTAL
(000) (000) (000)
---------- --------- -------
S&P 500 INDEX PORTFOLIO
Purchases $ -- $388,696 $388,696
Sales -- 45,966 45,966
BOND INDEX PORTFOLIO
Purchases $20,434 $ 2,341 $ 22,775
Sales 16,520 223 16,743
On March 31, 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 March 31, 1998, for each Portfolio is as follows:
NET
APPRECIATED DEPRECIATED UNREALIZED
SECURITIES SECURITIES APPRECIATION
(000) (000) (000)
----------- ----------- ------------
S&P 500 Index Portfolio $765,367 $(14,044) $751,323
Bond Index Portfolio 1,163 (59) 1,104
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, 1998.
% OF
PORTFOLIO
MOODY'S VALUE
------- ---------
U.S. Government Securities ..................... 76.10%
Repurchase Agreements .......................... 3.40%
Other Bonds
Aaa ....................................... 1.20%
Aa ........................................ 3.20%
A ......................................... 10.90%
Baa ....................................... 5.20%
-------
100.00%
=======
20
<PAGE>
================================================================================
At March 31, 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
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, 1998 is as follows:
UNREALIZED
NUMBER OF TRADE FACE SETTLEMENT GAIN (LOSS)
CONTRACTS PRICE AMOUNT MONTH (000)
--------- --------- --------- ----------- -----------
45 $1,118.00 $11,250 June 1998 $ (85)
20 1,097.95 5,000 June 1998 63
15 1,107.10 3,750 June 1998 13
10 1,110.50 2,500 June 1998 --
8 1,080.50 2,000 June 1998 60
8 1,092.50 2,000 June 1998 36
7 1,111.80 1,750 June 1998 (2)
6 1,079.50 1,500 June 1998 46
6 1,079.60 1,500 June 1998 46
6 1,097.40 1,500 June 1998 20
6 1,106.20 1,500 June 1998 6
6 1,110.50 1,500 June 1998 --
5 1,091.50 1,250 June 1998 24
4 1,112.50 1,000 June 1998 (2)
2 1,111.50 500 June 1998 (1)
------
$ 224
======
7. SUBSEQUENT EVENT:
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.
21
<PAGE>
NOTICETO SHAREHOLDERS
================================================================================
MARCH 31, 1998 -- (UNAUDITED)
For shareholders that do not have a March 31, 1998 taxable year end, this notice
is for informational purposes only. For shareholders with a March 31, 1998
taxable year end, please consult your tax advisor as to the pertinence of this
notice.
For the fiscal year ended March 31, 1998 the Portfolios of the SEI Index Funds
are designating long term and mid term capital gains and qualifying dividend
income with regard to distributions paid during the year as follows:
<TABLE>
<CAPTION>
(A) (B) (C)
LONG TERM MID TERM ORDINARY
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS
PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS) (TAX BASIS)
- ---------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
S&P 500 Index 22% 2% 76% 100%
Bond Index (2) 0% 0% 100% 100%
(D) (E) (F)
QUALIFYING TAX-EXEMPT FOREIGN
PORTFOLIO DIVIDENDS(1) INTEREST TAX CREDIT
- ---------- ------------ ---------- ----------
S&P 500 Index 79% 0% 0%
Bond Index 0% 0% 0%
<FN>
(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) and (C) are based on the percentage of each Portfolio's
total distribution.
** Item (D) is based on the percentage of ordinary income of the Portfolio.
*** Items (E) and (F) are based on the percentage of gross income of the
Portfolio.
</FN>
</TABLE>
22
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
===============
SEI INDEX FUNDS
===============
ANNUAL REPORT
===============
MARCH 31, 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
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 Fund Management
DISTRIBUTOR
SEI Investments Distribution Co.
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 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>
SEI
INVESTMENTS
DISTRIBUTION
CO.
Oaks, PA 19456
800-DIAL-SEI/800-342-5734
SEI-F-091-05
