<PAGE>
ANNUAL REPORT AS OF
MARCH 31, 1999
SEI INDEX FUNDS
- --------------------------------------------------------------------------------
S&P 500 Index
- --------------------------------------------------------------------------------
Bond Index
- --------------------------------------------------------------------------------
[LOGO OMITTED]
<PAGE>
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
MANAGEMENT'S DISCUSSION AND ANALYSIS
OF FUND PERFORMANCE
S&P 500 INDEX FUND............................................. 1
BOND INDEX FUND................................................ 2
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS............................. 4
STATEMENTS 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............................................... 22
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- MARCH 31, 1999
S&P 500 INDEX FUND
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND CLASS A
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized Annualized
One Year 3 Year Inception to
Return Return Date
- --------------------------------------------------------------------------------
18.05% 27.57% 26.87%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI S&P 500
INDEX FUND, CLASS A, VERSUS THE S&P 500 COMPOSITE INDEX
[GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
SEI S&P 500 INDEX FUND, S&P 500
CLASS A COMPOSITE INDEX
2/29/96 10,000 10,000
3/96 10,092 10,096
3/97 12,032 12,097
3/98 17,738 17,900
3/99 20,949 21,210
1FOR THE PERIODS ENDED MARCH 31, 1999. 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.
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S&P 500 INDEX FUND CLASS E
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
One Annualized Annualized Annualized Annualized
Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
18.29% 27.76% 25.96% 18.69% 17.83%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI S&P 500
INDEX FUND, CLASS E, VERSUS THE S&P 500 COMPOSITE INDEX
[GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
SEI S&P 500 INDEX FUND, S&P 500
CLASS E COMPOSITE INDEX
3/31/89 10,000 10,000
3/90 11,902 11,924
3/91 13,590 13,639
3/92 15,047 15,148
3/93 17,299 17,453
3/94 17,507 17,704
3/95 20,178 20,455
3/96 26,611 27,015
3/97 31,789 32,369
3/98 46,927 47,897
3/99 55,501 56,753
1FOR THE PERIODS ENDED MARCH 31, 1999. 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.
OBJECTIVES. The S&P 500 Index Fund, (the "Fund") 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 Fund attempts to match the performance of the
widely followed Index by duplicating its composition in full. Deviation on
performance between the fund 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 Fund will result in under performance of the Index
during rising markets and overperformance during falling markets. Transaction
costs incurred during fund purchases and sales will also contribute to tracking
error. To mitigate these effects, the Fund may use stock index futures to hedge
its cash position. Futures contracts enable the Fund 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 Fund may not exceed 20% of the Fund's assets.
ANALYSIS. The S&P 500 Index Fund, Class A returned 18.05% for the fiscal
year representing another in a string of sharp advances. The robust performance
was marked by a number of very strong market sectors coupled with severe
weakness in select market sectors.
The market was characterized by strength in technology, media and
telephone companies largely as a result of the continued proliferation of the
internet while consumer spending pushed stock prices for retail and auto
companies signif-
1
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- MARCH 31, 1999
S&P 500 INDEX (CONTINUED)
icantly higher as well. Healthcare companies had mixed results as stock prices
for pharmaceutical companies moved higher while health services companies such
as HMOs were off sharply. Weakness in Asia caused weakness in the money center
banks and brokerage firms; however, the brokerage firms managed a rebound while
the major banks remain down. Also hurt by Asia's troubles was the commodity
sector including paper, chemical and oil companies as well as the transportation
and shipping companies whose business has dropped off due to the lower demand
for these products.
In addition to the effects of individual industries, the fund's dedication
to large-cap companies benefited return as the small-cap and international
markets did not keep pace with the sharp advances provided by the large-cap area
of the market.
The Fund continues to closely track the overall performance of its target
benchmark, the Index.
BOND INDEX FUND
OBJECTIVES. The Bond Index Fund, (the "Fund") seeks to provide investment
results that correspond to the aggregate price and interest performance of the
Lehman Aggregate Bond Index (the "Lehman Index"). The Fund's ability to
duplicate the performance of the Lehman Index will depend to some extent on the
size and timing of cash flows into and out of the Fund, the extent of the Fund's
expenses, and the capability of the Fund 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
BOND INDEX FUND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
One Annualized Annualized Annualized Annualized
Year 3 Year 5 Year 10 Year Inception
Return Return Return Return Return
- --------------------------------------------------------------------------------
6.25% 7.42% 7.41% 8.49% 7.83%
- --------------------------------------------------------------------------------
[GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS:
SEI BOND SALOMON BROAD LEHMAN AGGREGATE
FUND BOND INDEX BOND INDEX
3/31/89 10,000 10,000 10,000
3/90 11,204 11,222 11,234
3/91 12,540 12,661 12,685
3/92 13,728 14,138 14,130
3/93 15,476 16,030 16,008
3/94 15,801 16,437 16,386
3/95 16,518 17,262 17,205
3/96 18,221 19,139 19,060
3/97 19,016 20,076 19,996
3/98 21,261 22,481 22,395
3/99 22,590 23,943 23,847
1FOR THE PERIODS ENDED MARCH 31, 1999. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. THE FUND WAS OFFERED BEGINNING 05/19/86.
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 Fund intends to invest its assets primarily in up to 300 of
the debt obligations included in the Lehman Index so long as the net assets of
the Fund are less than $100 million. The Fund will be invested in 100 to 500 of
such obligations at net asset levels of $100 million or more. The Fund 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 Fund's assets to be invested in the aggregate
obligations included
2
<PAGE>
- --------------------------------------------------------------------------------
BOND INDEX (CONTINUED)
in a particular sector of the Lehman Index will approximate, to the maximum
extent feasible, the percentage such sector represents in the Lehman Index. The
ability of the Fund to duplicate the Lehman Index's performance can be
influenced by the Fund's asset size. To the extent that the size of Fund assets
limits the number of issues that the Fund can purchase, there is more potential
for deviation from the Lehman Index's performance than at larger asset levels.
Under these circumstances, the Fund 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, 1999, returning 6.48% as
measured by the Lehman Index. The SEI Bond Index Fund kept pace with the market,
rising 6.25% for the same period. The Fund's performance was a direct
result of its similar sector weightings relative to the Lehman Index. Fund
expenses explain the slight performance lag relative to the Lehman Index.
The U.S. fixed income market started off the fiscal year on strong footing
as riots in Indonesia, nuclear testing in India and overall negative market
sentiment surrounding Asia lured investors to the safe haven of U.S. Treasuries.
The domestic economic picture remained healthy, showing strong growth and a tame
inflationary picture. The global picture showed signs of deterioration in
August, when the Russian crisis led to a ruble devaluation, effectively
exacerbating the plummeting Asian financial markets. While investors fled global
equity and debt markets, U.S. Treasury securities reaped the benefits, with the
30-year bond yield falling to 4.96%, its lowest level in 30 years. By September,
the Fed lowered the federal funds rate to 5.25% from 5.50%. In the last months
of 1998, the Federal Reserve reduced interest rates twice more. It wasn't until
February that interest rates began to head north. A string of economic reports
suggesting strong growth and wage inflation, combined with a sharp rise in oil
prices in the last two months of the fiscal year, drove the Treasury market
lower. Despite the late period sell-off, U.S. Treasuries posted a strong fiscal
year, as the 30-year bond closed at a yield of 5.63%, down 0.30% on the year.
Mortgage-backed securities (MBS) ended the fiscal year strong, lagging the
Treasury market in the first half of the year, but making up ground in the
second half. As prepayment fears heightened early on, mortgages began to fall
behind Treasuries. This scenario escalated as rates dipped sharply amidst the
Asian crisis. Additionally, the mortgage sector did not benefit from the global
flight to quality in the way that the highly liquid and safe U.S. Treasury
market did. Later on, rumors of hedge fund liquidations of stockpiled MBS pushed
spreads even higher. After debt markets calmed down and prepayment speeds
slowed, the mortgage market recovered smoothly through the end of the fiscal
year.
Despite spread tightening in the latter half of the fiscal year, corporate
bonds were unable to fully recover from the widening experienced during the
Asian and Russian crises. Investment banks, Yankee securities, net exporters and
companies with significant overseas revenue suffered during this time. Quality
and liquidity became the two most important attributes as investor risk
tolerances contracted dramatically. This effect began to ease near the end of
1998 and continued to do so through March 1999, as investors re-deployed assets
into the corporate market seeking relative value amidst high relative yields.
For the year, however, corporate bonds lagged Treasuries on both an absolute as
well as duration-adjusted basis.
3
<PAGE>
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Shareholders and Trustees of
SEI Index Funds:
We have audited the accompanying statements of net assets of the S&P 500
Index and Bond Index Funds of SEI Index Funds (the "Trust") as of March 31,
1999, and the related statements of operations, changes in net assets, and
financial highlights for the periods presented. These financial statements and
financial highlights are the responsibility of the Trust's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights. Our procedures included confirmation of
securities owned as of March 31, 1999, by correspondence with the custodian and
brokers. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement 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 Funds of SEI Index Funds as of March 31, 1999, 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, Pennsylvania
May 3, 1999
4
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- MARCH 31, 1999
S&P 500 INDEX FUND
- -----------------------------------------------------------
MARKET
SHARES VALUE (000)
- -----------------------------------------------------------
COMMON STOCKS -- 97.2%
AEROSPACE & DEFENSE -- 0.2%
Raytheon, Cl B 71,440 $ 4,188
----------
AGRICULTURE -- 0.1%
Pioneer Hi-Bred International 51,200 1,926
----------
AIR TRANSPORTATION -- 0.4%
AMR* 38,670 2,265
Delta Air Lines 30,270 2,104
FDX* 31,302 2,905
Southwest Airlines 71,300 2,157
US Air Group* 18,565 906
----------
10,337
----------
AIRCRAFT -- 1.3%
Allegheny Teledyne 41,548 787
Allied Signal 118,740 5,841
Boeing 199,171 6,797
General Dynamics 26,860 1,726
Lockheed Martin 83,232 3,137
Northrop 14,565 872
Rockwell International 40,530 1,720
Textron 33,610 2,601
United Technologies 47,930 6,492
----------
29,973
----------
APPAREL/TEXTILES -- 0.1%
Fruit of the Loom, Cl A* 15,300 159
Liz Claiborne 13,650 445
Russell 7,665 154
Springs Industries, Cl A 4,070 110
VF 25,460 1,201
----------
2,069
----------
AUTOMOTIVE -- 1.5%
Cooper Tire & Rubber 16,100 296
Dana 35,057 1,332
Eaton 15,130 1,082
Fleetwood Enterprises 7,290 209
Ford Motor 256,540 14,559
General Motors 138,730 12,052
Genuine Parts 38,192 1,100
Goodyear Tire & Rubber 33,070 1,647
ITT Industries 21,965 777
Navistar International* 14,126 568
Paccar 16,608 684
TRW 25,420 1,157
----------
35,463
----------
BANKS -- 7.0%
Amsouth Bancorp 25,200 1,147
Bank of New York 161,300 5,797
Bank One 249,701 13,749
- -----------------------------------------------------------
MARKET
SHARES VALUE (000)
- -----------------------------------------------------------
BankAmerica 367,512 $ 25,956
BankBoston 63,452 2,748
Bankers Trust New York 20,226 1,785
BB&T 65,900 2,385
Chase Manhattan 179,324 14,581
Comerica 32,950 2,057
Fifth Third Bancorp 56,550 3,729
First Union 210,114 11,228
Firstar 48,800 4,368
Fleet Financial Group 120,532 4,535
Golden West Financial 12,105 1,156
Huntington Bancshares 44,770 1,385
JP Morgan 37,030 4,569
KeyCorp 96,542 2,926
Mellon Bank 55,410 3,899
Mercantile Bancorp 33,400 1,586
National City 69,300 4,600
Northern Trust 23,500 2,087
PNC Bank 63,760 3,543
Regions Financial 46,900 1,624
Republic New York 22,700 1,047
SouthTrust 35,000 1,306
State Street 34,000 2,794
Summit Bancorp 36,800 1,435
SunTrust Banks 68,030 4,235
Synovus Financial 56,700 1,159
US Bancorp 154,731 5,271
Union Planters 28,800 1,265
Wachovia 42,978 3,489
Washington Mutual 125,747 5,140
Wells Fargo 349,052 12,239
----------
160,820
----------
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 0.9%
CBS 149,680 6,128
Clear Channel Communications* 55,900 3,749
Mediaone Group* 128,660 8,170
Omnicom Group 35,800 2,862
----------
20,909
----------
CHEMICALS -- 1.5%
Air Products & Chemicals 49,040 1,680
Avery Dennison 24,630 1,416
BF Goodrich 15,750 540
Dow Chemical 46,950 4,375
EI du Pont de Nemours 238,690 13,859
Eastman Chemical 16,791 706
FMC* 7,265 359
Great Lakes Chemical 12,500 459
Hercules 21,295 538
Monsanto 132,850 6,103
Morton International 25,695 944
5
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- MARCH 31, 1999
S&P 500 INDEX FUND--CONTINUED
- -----------------------------------------------------------
MARKET
SHARES VALUE (000)
- -----------------------------------------------------------
Nalco Chemical 13,900 $ 369
Praxair 33,465 1,207
Rohm & Haas 35,305 1,185
Union Carbide 28,165 1,273
WR Grace* 15,600 189
----------
35,202
----------
COMMUNICATIONS -- 9.1%
Airtouch Communications* 121,290 11,720
Alltel 58,182 3,629
Ameritech 233,320 13,503
Andrew* 17,615 217
AT&T 445,525 35,559
Bell Atlantic 329,614 17,037
BellSouth 414,084 16,589
Comcast, Cl A* 78,227 4,923
GTE 204,680 12,383
Harris* 16,930 485
Interpublic Group 29,450 2,293
Lucent Technologies 280,646 30,240
Marriott International, Cl A* 51,540 1,733
Motorola 127,260 9,322
Northern Telecom Ltd. 140,950 8,757
SBC Telecommunications 415,332 19,573
Scientific-Atlanta 15,884 433
Sprint 94,900 9,312
Tellabs* 41,200 4,027
Viacom, Cl B* 73,800 6,195
----------
207,930
----------
COMMUNICATIONS EQUIPMENT -- 0.2%
Ascend Communications* 46,000 3,850
General Instrument* 35,500 1,076
----------
4,926
----------
COMPUTERS & SERVICES -- 13.6%
America Online* 218,200 31,857
Apple Computer* 28,520 1,025
Cabletron Systems* 36,600 300
Ceridian* 30,330 1,109
Cisco Systems* 334,850 36,687
Compaq Computer* 358,256 11,352
Computer Associates
International 114,152 4,060
Computer Sciences* 33,620 1,855
Data General* 10,370 105
Dell Computer* 540,100 22,077
EMC* 106,400 13,593
First Data 93,904 4,014
Gateway 2000* 33,100 2,269
Hewlett Packard 215,560 14,618
IBM 195,960 34,734
Microsoft* 1,071,600 96,042
- -----------------------------------------------------------
MARKET
SHARES VALUE (000)
- -----------------------------------------------------------
Novell* 71,700 $ 1,806
Oracle Systems* 305,714 8,063
Pitney Bowes 57,820 3,686
Seagate Technology* 52,000 1,537
Shared Medical Systems 5,495 306
Silicon Graphics* 39,700 662
Sun Microsystems* 81,800 10,230
Tandy 20,994 1,340
Texas Instruments 82,720 8,210
Unisys* 55,385 1,533
----------
313,070
----------
CONSTRUCTION -- 0.2%
Armstrong World Industries 8,465 383
Centex 12,580 420
Fluor 16,230 438
Foster Wheeler 8,565 104
Halliburton 93,210 3,589
McDermott International 12,465 316
Owens-Corning Fiberglass 11,365 362
----------
5,612
----------
CONTAINERS & PACKAGING -- 0.2%
Ball 6,495 305
Crown Cork & Seal 25,985 742
Newell Rubbermaid 59,536 2,828
Owens-Illinois* 32,900 822
----------
4,697
----------
ELECTRICAL SERVICES -- 0.4%
AES* 38,200 1,423
Ameren 29,100 1,053
Consolidated Edison 49,490 2,243
FirstEnergy* 50,305 1,405
New Century Energies 24,200 824
Niagara Mohawk Holdings* 39,765 534
Reliant Energy 60,351 1,573
----------
9,055
----------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT-- 2.7%
3Com* 76,000 1,772
Advanced Micro Devices* 30,730 476
AMP 46,378 2,490
Autodesk 12,600 510
Automatic Data Processing 130,840 5,413
Honeywell 26,660 2,021
Intel 353,940 42,075
Johnson Controls 17,930 1,118
LSI Logic* 30,000 936
Micron Technology 52,500 2,533
Millipore 9,290 224
National Semiconductor* 35,212 328
6
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
MARKET
SHARES VALUE (000)
- -----------------------------------------------------------
Perkin Elmer 10,565 $ 1,025
Tektronix 10,055 254
Thomas & Betts 12,040 452
----------
61,627
----------
ENTERTAINMENT -- 0.0%
Mirage Resorts* 38,200 812
----------
ENVIRONMENTAL SERVICES -- 0.4%
Browning-Ferris Industries 33,535 1,293
Ecolab 27,400 973
Laidlaw 69,900 406
Waste Management 127,114 5,641
----------
8,313
----------
FINANCIAL SERVICES -- 4.2%
Allstate* 174,004 6,449
American Express 95,847 11,262
Associates First Capital 154,592 6,957
Bear Stearns 23,655 1,057
Capital One Financial 13,900 2,099
Charles Schwab 85,050 8,175
Countrywide Credit Industries 23,700 889
Equifax 31,300 1,076
FHLMC 143,900 8,220
FNMA 219,860 15,225
Franklin Resources 53,700 1,510
Household International 102,391 4,672
Lehman Brothers Holding 24,100 1,440
MBNA 170,012 4,059
Merrill Lynch 75,200 6,650
Morgan Stanley 122,461 12,238
SLM Holding 35,100 1,465
Transamerica 26,460 1,879
----------
95,322
----------
FOOD, BEVERAGE & TOBACCO -- 5.5%
Adolph Coors, Cl B 7,665 414
Anheuser Busch 101,300 7,718
Archer-Daniels-Midland 125,742 1,847
Bestfoods 60,620 2,849
Brown-Forman, Cl B 14,460 833
Campbell Soup 94,360 3,839
Coca-Cola 606,560 34,641
Conagra 103,784 2,653
Fortune Brands 36,240 1,402
General Mills 32,460 2,453
HJ Heinz 76,720 3,635
Hershey Foods 30,400 1,702
Kellogg 85,980 2,907
PepsiCo 311,580 12,210
Philip Morris 516,930 18,189
- -----------------------------------------------------------
MARKET
SHARES VALUE (000)
- -----------------------------------------------------------
Quaker Oats 28,860 $ 1,806
Ralston-Ralston Purina Group 69,680 1,860
RJR Nabisco 68,900 1,722
Sara Lee 193,660 4,793
Seagram 84,700 4,235
Supervalu 25,560 527
Sysco 70,820 1,863
Unilever NV, ADR 135,740 9,018
UST 39,440 1,030
William Wrigley, Jr 24,605 2,225
----------
126,371
----------
FOOTWEAR -- 0.2%
Nike, Cl B 60,020 3,462
Reebok International 11,820 188
----------
3,650
----------
GAS/NATURAL GAS -- 0.0%
Oneok* 6,600 163
Sempra Energy* 50,927 977
----------
1,140
----------
GLASS PRODUCTS -- 0.2%
Corning 49,060 2,944
PPG Industries 37,590 1,926
----------
4,870
----------
HOUSEHOLD PRODUCTS -- 3.1%
Alberto-Culver, Cl B 11,680 273
Avon Products 55,740 2,623
Clorox 24,859 2,913
Colgate Palmolive 62,088 5,712
Danaher* 28,400 1,484
Gillette 235,176 13,978
International Flavors &
Fragrances 22,495 845
Jostens 7,550 160
Masco 71,880 2,031
Maytag 19,030 1,149
Minnesota Mining &
Manufacturing 85,130 6,023
National Service Industries 8,685 296
Procter & Gamble 281,908 27,609
Raychem 16,830 380
Sherwin Williams 36,460 1,025
Snap-On Tools 12,497 362
Solectron* 53,400 2,593
Stanley Works 18,830 483
Tupperware 12,250 221
Whirlpool 16,105 876
----------
71,036
----------
7
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- MARCH 31, 1999
S&P 500 INDEX FUND--CONTINUED
- -----------------------------------------------------------
MARKET
SHARES VALUE (000)
- -----------------------------------------------------------
INSURANCE -- 4.7%
Aetna 30,287 $ 2,514
American General 53,439 3,767
American International Group 260,778 31,456
Aon 36,050 2,280
Chubb 34,560 2,024
Cigna 43,790 3,670
Cincinnati Financial 35,400 1,290
Citigroup 479,471 30,626
Conseco 68,053 2,101
Hartford Financial Services
Group 49,530 2,814
Jefferson Pilot 22,505 1,525
Lincoln National 21,430 2,119
Loews 24,100 1,798
Marsh & McLennan 54,515 4,044
MBIA 21,100 1,224
MGIC Investment 23,200 813
Progressive of Ohio 15,400 2,210
Provident 28,700 992
Providian Financial 29,995 3,299
SAFECO 28,920 1,169
St. Paul 49,976 1,552
Torchmark 29,774 942
United Healthcare 39,500 2,079
UNUM 29,300 1,394
----------
107,702
----------
LUMBER & WOOD PRODUCTS -- 0.1%
Georgia-Pacific 18,700 1,388
Louisiana-Pacific 23,012 429
----------
1,817
----------
MACHINERY -- 4.7%
Aeroquip-Vickers 5,915 339
Applied Materials* 78,400 4,836
Baker Hughes 69,348 1,686
Black & Decker 18,635 1,033
Briggs & Stratton 5,140 253
Brunswick 19,530 372
Case Equipment 15,400 391
Caterpillar 76,100 3,496
Cooper Industries 21,895 933
Crane 14,419 349
Cummins Engine 8,740 311
Deere 50,590 1,954
Dover 47,340 1,556
Emerson Electric 92,830 4,914
General Electric 695,760 76,968
Harnischfeger Industries 10,005 57
Illinois Tool Works 53,040 3,282
Ingersoll Rand 34,905 1,732
Kaufman & Broad Home 10,137 229
Milacron 8,195 129
- -----------------------------------------------------------
MARKET
SHARES VALUE (000)
- -----------------------------------------------------------
NACCO Industries, Cl A 1,725 $ 128
Pall 26,293 435
Parker-Hannifin 22,978 787
PULTE 9,190 191
Tenneco 36,112 1,009
Timken 13,140 214
WW Grainger 20,180 869
----------
108,453
----------
MARINE TRANSPORTATION -- 0.3%
Carnival, Cl A 130,100 6,318
----------
MEASURING DEVICES -- 0.1%
KLA Instruments* 18,500 898
Mallinckrodt 15,085 402
Thermo Electron* 33,700 457
----------
1,757
----------
MEDICAL PRODUCTS & SERVICES -- 11.4%
Abbott Laboratories 321,820 15,065
Allergan 14,000 1,230
Alza* 21,220 812
American Home Products 279,480 18,236
Amgen* 107,900 8,079
Bausch & Lomb 11,880 772
Baxter International 60,673 4,004
Becton, Dickinson 52,920 2,027
Biomet* 23,800 998
Boston Scientific* 83,300 3,379
Bristol-Myers Squibb 421,980 27,139
CR Bard 11,335 572
Columbia HCA Healthcare 136,859 2,592
Eli Lilly 233,220 19,795
Guidant 63,900 3,866
HCR Manor Care* 23,547 537
Healthsouth Rehabilitation* 89,712 931
Humana* 35,500 612
Johnson & Johnson 285,140 26,714
Medtronic 123,840 8,886
Merck 505,850 40,563
Pfizer 275,140 38,176
Pharmacia & Upjohn 107,742 6,720
Schering Plough 311,620 17,236
Sigma Aldrich 21,300 623
St. Jude Medical 17,850 435
Tenet Healthcare* 65,660 1,243
Warner Lambert 174,160 11,527
----------
262,769
----------
METAL & METAL INDUSTRIES -- 0.4%
Alcan Aluminum 48,252 1,246
Asarco 8,265 114
Barrick Gold 79,100 1,350
Battle Mountain Gold, Cl A 48,700 134
8
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
MARKET
SHARES VALUE (000)
- -----------------------------------------------------------
Bethlehem Steel* 27,530 $ 227
Cyprus AMAX Minerals 19,302 234
Engelhard 30,417 515
Freeport-McMoran Copper &
Gold, Cl B 35,100 382
Homestake Mining 50,700 437
Inco 35,200 469
Newmont Mining 35,422 620
Nucor 18,580 819
Phelps Dodge 12,330 607
Placer Dome Group 53,029 593
Reynolds Metals 13,635 659
USX-US Steel Group 18,767 441
Worthington Industries 19,622 231
----------
9,078
----------
MISCELLANEOUS BUSINESS SERVICES-- 0.6%
Adobe Systems 12,900 732
BMC Software* 49,683 1,841
Cendant* 180,910 2,849
Compuware* 77,900 1,860
Electronic Data Systems 104,500 5,088
Parametric Technology* 56,800 1,122
Peoplesoft* 49,400 722
----------
14,214
----------
MISCELLANEOUS MANUFACTURING -- 0.4%
Tyco International Ltd 138,455 9,934
----------
OIL & GAS -- 4.3%
Amerada Hess 19,130 962
Ashland 16,225 664
Atlantic Richfield 69,260 5,056
Burlington Resources 37,563 1,500
Chevron 138,320 12,233
Coastal 45,104 1,488
Exxon 516,190 36,424
Helmerich & Payne 10,690 243
Kerr McGee 18,352 602
Mobil 165,390 14,554
Occidental Petroleum 73,330 1,320
Phillips Petroleum 54,035 2,553
Rowan* 17,805 226
Schlumberger 115,734 6,966
Texaco 113,320 6,431
Unocal 51,190 1,884
USX-Marathon Group 65,235 1,794
----------
94,900
----------
PAPER & PAPER PRODUCTS -- 0.8%
Bemis 11,090 344
Boise Cascade 11,931 385
Champion International 20,300 834
Fort James 46,727 1,481
- -----------------------------------------------------------
MARKET
SHARES VALUE (000)
- -----------------------------------------------------------
International Paper 65,179 $ 2,750
Kimberly-Clark 114,874 5,507
Mead 21,820 671
Potlatch 6,070 206
Temple-Inland 11,790 740
Union Camp 14,555 977
Westvaco 21,490 451
Weyerhaeuser 42,170 2,340
Willamette Industries 23,500 887
----------
17,573
----------
PETROLEUM & FUEL PRODUCTS -- 0.1%
Anadarko Petroleum 25,500 963
Apache 20,700 539
Union Pacific Resources 53,191 632
----------
2,134
----------
PETROLEUM REFINING -- 1.1%
Royal Dutch Petroleum 455,340 23,678
Sunoco 19,870 717
----------
24,395
----------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES-- 0.5%
Eastman Kodak 68,665 4,386
Polaroid 9,258 186
Xerox 139,050 7,422
----------
11,994
----------
PRINTING & PUBLISHING -- 1.4%
American Greetings, Cl A 15,000 381
Deluxe 17,055 497
Dow Jones 19,900 939
Gannett 59,670 3,759
Knight-Ridder 16,670 834
McGraw-Hill 41,740 2,275
Meredith 11,080 348
Moore 18,800 186
New York Times, Cl A 38,660 1,102
RR Donnelley & Sons 28,760 926
Time Warner 260,128 18,485
Times Mirror, Cl A 16,865 912
Tribune 25,160 1,646
----------
32,290
----------
PROFESSIONAL SERVICES -- 0.3%
Dun & Bradstreet* 35,432 1,262
EG&G 9,440 249
H&R Block 20,770 984
Ikon Office Solutions 31,230 400
IMS Health* 67,964 2,251
Paychex 34,700 1,646
Service International 57,944 826
----------
7,618
----------
9
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- MARCH 31, 1999
S&P 500 INDEX FUND--CONCLUDED
- -----------------------------------------------------------
MARKET
SHARES VALUE (000)
- -----------------------------------------------------------
RECREATIONAL PRODUCTS & SERVICES-- 0.8%
Harrah's Entertainment* 26,785 $ 511
Hasbro 41,567 1,203
Hilton Hotels 55,305 778
King World Productions* 15,524 474
Mattel 60,965 1,517
Walt Disney 436,501 13,586
----------
18,069
----------
RETAIL -- 6.8%
Albertson's 52,040 2,826
American Stores 58,220 1,921
Autozone* 31,800 966
Circuit City Stores 21,300 1,632
Consolidated Stores* 23,224 704
Costco* 46,358 4,245
CVS 82,713 3,929
Darden Restaurants* 29,460 608
Dayton-Hudson 93,280 6,215
Dillards, Cl A 22,620 574
Dollar General 37,575 1,278
Federated Department Stores* 44,500 1,786
Fred Meyer* 32,800 1,931
Great Atlantic & Pacific Tea 8,065 242
Harcourt General 15,066 668
Home Depot 313,022 19,486
JC Penney 55,930 2,265
Kmart* 104,480 1,757
Kohl's* 33,500 2,374
Kroger* 54,360 3,255
Longs Drug Stores* 8,190 249
Lowe's 74,720 4,521
May Department Stores 74,043 2,897
McDonald's 286,900 13,000
Nordstrom 30,160 1,233
Pep Boys 11,150 170
Rite Aid 54,760 1,369
Sears Roebuck 81,225 3,670
Staples* 97,850 3,217
The Gap 121,020 8,146
The Limited 48,312 1,914
TJX 68,340 2,324
Toys "R" Us* 53,265 1,002
Tricon Global Restaurants* 32,298 2,269
Wal-Mart Stores 472,120 43,524
Walgreen 211,960 5,988
Wendy's International 26,375 750
Winn Dixie Stores 31,460 1,176
----------
156,081
----------
RUBBER & PLASTIC -- 0.0%
Sealed Air* 17,683 870
----------
- -----------------------------------------------------------
MARKET
SHARES VALUE (000)
- -----------------------------------------------------------
STEEL & STEEL WORKS -- 0.1%
Alcoa 77,866 $ 3,207
----------
TELEPHONES & TELECOMMUNICATION -- 2.2%
Century Telephone Enterprises 19,600 1,377
Frontier 36,400 1,888
MCI WorldCom* 389,307 34,478
Nextel Communications, Cl A* 61,000 2,234
Sprint (PCS Group)* 93,250 4,132
US West 106,516 5,865
----------
49,974
----------
TRANSPORTATION SERVICES -- 0.5%
Burlington Northern-Santa Fe 99,500 3,271
CSX 46,318 1,804
Norfolk Southern 80,400 2,121
Ryder System 15,230 421
Union Pacific 52,440 2,802
----------
10,419
----------
UTILITIES, ELECTRIC & GAS -- 2.0%
American Electric Power 40,525 1,608
Baltimore Gas & Electric 31,595 802
Carolina Power & Light 32,100 1,214
Central & South West 45,100 1,057
Cinergy 33,592 924
Columbia Gas System 17,672 923
Consolidated Natural Gas 20,330 990
Dominion Resources 41,375 1,528
DTE Energy 30,735 1,181
Duke Power 76,706 4,190
Eastern Enterprises 4,791 174
Edison International 74,740 1,663
Enron 70,084 4,503
Entergy 52,320 1,439
FPL Group 38,328 2,041
General Public Utilities 27,100 1,011
Nicor 10,000 359
Northern States Power 32,320 749
Pacificorp 63,000 1,087
PECO Energy 47,475 2,196
Peoples Energy 7,540 244
PG&E 81,145 2,521
PP&L Resources 32,100 794
Public Service Enterprise 47,383 1,809
Sonat 23,330 700
Southern 147,826 3,446
Texas Utilities 59,835 2,494
UNICOM 46,095 1,685
Williams 90,690 3,582
----------
46,914
----------
10
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
SHARES/FACE MARKET
AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
WHOLESALE -- 0.6%
Cardinal Health 57,458 $ 3,792
McKesson HBOC 58,791 3,880
Safeway* 103,100 5,290
----------
12,962
----------
Total Common Stocks
(Cost $1,218,859) 2,230,760
----------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bill (A)
4.500%, 10/14/99 $ 3,500 3,416
----------
Total U.S. Treasury Obligation
(Cost $3,414) 3,416
----------
REPURCHASE AGREEMENT -- 1.0%
JP Morgan
4.950%, dated 03/31/99,
matures 04/01/99, repurchase
price $21,803,000
(collateralized by various
GNMA obligations, par value
$24,372,000, 6.50%-
7.50%, 10/15/27-03/15/29,
total market value:
$22,236,000) 21,800 21,800
----------
Total Repurchase Agreement
(Cost $21,800) 21,800
----------
Total Investments -- 98.3%
(Cost $1,244,073) 2,255,976
----------
OTHER ASSETS AND LIABILITIES, NET -- 1.7% 38,179
----------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value)
based on 17,136,048
outstanding shares of
beneficial interest 511,424
Fund Shares of Class E
(unlimited authorization --
no par value) based on
39,933,059 outstanding shares
of beneficial interest 760,501
Undistributed net investment income 5,576
Accumulated net realized gain
on investments 5,107
Net unrealized appreciation on investments 1,011,903
Net unrealized depreciation on futures (356)
----------
Total Net Assets -- 100.0% $2,294,155
==========
- -----------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $ 40.13
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class E $ 40.23
==========
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS
* NON-INCOME PRODUCING SECURITY
ADR--AMERICAN DEPOSITORY RECEIPT
CL--CLASS
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
LTD --LIMITED
SER--SERIES
BOND INDEX FUND
U.S. TREASURY OBLIGATIONS -- 33.8%
U.S. Treasury Bonds
13.125%, 05/15/01 $ 325 $ 377
11.625%, 11/15/02 200 241
10.750%, 05/15/03 2,500 3,000
8.750%, 05/15/17 445 585
8.875%, 02/15/19 490 658
8.500%, 02/15/20 600 785
8.000%, 11/15/21 300 377
7.625%, 11/15/22 1,700 2,067
6.500%, 11/15/26 475 515
6.625%, 02/15/27 925 1,020
U.S. Treasury Notes
6.000%, 08/15/00 2,050 2,077
6.125%, 09/30/00 600 610
7.750%, 02/15/01 200 210
6.375%, 03/31/01 1,500 1,538
7.500%, 11/15/01 300 317
6.250%, 01/31/02 300 309
6.625%, 04/30/02 100 104
6.500%, 05/31/02 200 208
6.250%, 06/30/02 100 103
7.250%, 08/15/04 300 328
7.875%, 11/15/04 900 1,011
7.000%, 07/15/06 200 219
6.500%, 10/15/06 1,325 1,412
6.250%, 02/15/07 400 421
6.125%, 08/15/07 250 262
5.625%, 05/15/08 400 407
4.750%, 11/15/08 100 96
----------
Total U.S. Treasury Obligations
(Cost $18,872) 19,257
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
11
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- MARCH 31, 1999
BOND INDEX FUND
- -----------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 31.8%
FHLMC
5.500%, 02/01/14 $ 199 $ 194
6.000%, 06/01/11-01/01/29 1,155 1,134
6.500%, 07/01/08-01/01/29 1,709 1,704
7.000%, 09/01/03-10/01/29 1,456 1,480
7.500%, 05/01/07-05/01/27 838 862
8.000%, 01/01/11-05/01/26 232 238
8.500%, 10/01/01-01/01/23 82 87
9.000%, 11/01/04-09/01/27 87 91
9.500%, 08/01/17-02/01/21 72 76
10.500%, 12/01/17-06/01/19 25 28
FNMA
5.500%, 12/01/13 200 195
6.000%, 12/25/08-12/01/28 1,508 1,479
6.500%, 03/01/03-09/01/28 2,384 2,378
7.000%, 02/01/08-08/01/28 1,493 1,517
7.500%, 06/01/07-06/01/27 689 707
8.000%, 08/01/07-12/01/24 473 492
8.250%, 10/12/04 500 508
8.500%, 05/01/07-10/01/22 96 99
9.000%, 10/01/06-11/01/26 84 89
9.500%, 07/01/20-02/01/21 28 29
GNMA
6.000%, 09/15/28 348 338
6.500%, 03/15/11-01/15/29 1,204 1,200
7.000%, 05/15/23-09/15/28 1,187 1,204
7.500%, 01/15/23-03/15/26 726 747
8.000%, 10/15/07-09/15/23 416 433
8.500%, 02/15/17-11/15/22 262 277
9.000%, 11/15/19-09/15/25 365 390
9.500%, 09/15/09-07/15/17 34 36
9.750%, 10/15/17 23 25
10.000%, 09/15/18-02/20/21 28 31
11.500%, 04/15/15 23 26
----------
Total U.S. Agency Mortgage-Backed Obligations
(Cost $17,987) 18,094
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 7.0%
FHLB
5.440%, 10/15/03 150 149
FHLB Discount Note
5.580%, 08/17/01 300 301
FHLMC
6.540%, 05/19/00 250 254
7.900%, 09/19/01 250 264
5.750%, 07/15/03 800 807
5.750%, 04/15/08 250 248
- -----------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
FNMA
9.050%, 04/10/00 $ 200 $ 208
8.250%, 12/18/00 50 53
7.500%, 02/11/02 100 106
6.240%, 01/14/08 150 152
6.000%, 05/15/08 650 657
6.500%, 07/05/14 415 163
Resolution Funding Corporation
8.875%, 04/15/30 230 317
Tennessee Valley Authority
6.375%, 06/15/05 200 204
Tennessee Valley Authority
6.000%, 03/15/13 100 100
----------
Total U.S. Government Agency Obligations
(Cost $3,897) 3,983
----------
CORPORATE BONDS -- 19.2%
Associates of North America
5.600%, 01/15/01 300 301
AT&T
5.625%, 03/15/04 250 249
Auburn Hills Trust
12.000%, 05/01/20 100 155
Baltimore Gas & Electric
7.250%, 07/01/02 200 209
BellSouth Telecommunications
6.500%, 06/15/05 100 103
Bowater
9.000%, 08/01/09 150 170
Cable & Wireless Communications
6.750%, 03/06/08 100 101
Cabot
8.340%, 08/05/22 500 552
Campbell Soup
8.875%, 05/01/21 300 379
Carolina Power & Light
7.500%, 03/01/23 285 289
Chase Manhattan
8.625%, 05/01/02 150 161
CIT Group Holdings
5.875%, 10/15/08 200 195
Citigroup
8.625%, 02/01/07 200 227
CNA Financial
6.600%, 12/15/08 100 95
12
<PAGE>
- --------------------------------------------------------------------------------
- -----------------------------------------------------------
FACE MARKET
AMOUNT VALUE (000)
- -----------------------------------------------------------
Coca-Cola Enterprises
8.500%, 02/01/22 $ 100 $ 119
Commercial Credit
6.500%, 08/01/04 150 152
Commonwealth Edison
6.500%, 04/15/00 100 101
Conagra
7.400%, 09/15/04 260 271
Countrywide Home Credit
7.200%, 10/30/06 100 102
Dayton Hudson
6.400%, 02/15/03 150 153
Dell Computer
7.100%, 04/15/28 100 101
Enron
6.750%, 09/01/04 100 101
Federated Department Stores
8.125%, 10/15/02 150 160
Finova Capital
6.250%, 08/15/00 300 302
First Union
6.300%, 04/15/28 300 299
Ford Motor Credit
6.125%, 01/09/06 200 199
GE Global Insurance
7.000%, 02/15/26 100 104
General Motors
8.500%, 01/01/03 150 163
Grand Metropolitan Investment
8.000%, 09/15/22 100 110
Hilton Hotels
7.375%, 06/01/02 50 50
Household Finance
6.125%, 07/15/02 100 101
Integra Financial
8.500%, 05/15/02 250 268
JP Morgan
5.750%, 10/15/08 200 190
May Dept. Stores
9.875%, 12/01/02 100 112
Morgan Stanley Group
6.875%, 03/01/07 100 103
New York Telephone
8.625%, 11/15/10 200 239
Nordstrom
5.625%, 01/15/09 100 96
Norfolk Southern
7.700%, 05/15/17 170 186
Oracle Systems
6.720%, 02/15/04 100 102
Pacific Gas & Electric
6.750%, 10/01/23 100 96
Public Service of Colorado
7.125%, 06/01/06 200 210
- -----------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
RR Donnelley & Sons
9.125%, 12/01/00 $ 239 $ 252
Raytheon
7.200%, 08/15/27 100 104
Rockwell International
6.750%, 09/15/02 150 155
Salomon Smith Barney
7.375%, 05/15/07 250 262
Sony
6.125%, 03/04/03 250 253
Sprint
9.250%, 04/15/22 150 190
TCI Communications
8.750%, 08/01/15 100 122
Tenneco
10.075%, 02/01/01 250 268
Texaco Capital
9.000%, 12/15/99 100 103
Texas Utilities
6.750%, 03/01/03 150 154
Trans-Canada Pipelines
8.625%, 05/15/12 150 175
Union Oil California
9.150%, 02/15/06 150 167
USA Waste Service
7.000%, 10/01/04 100 103
Viacom
7.750%, 06/01/05 550 584
Virginia Electric & Power
7.375%, 07/01/02 150 157
Walt Disney
6.750%, 03/30/06 100 105
Wells Fargo
8.375%, 05/15/02 230 245
Worldcom
6.400%, 08/15/05 150 152
----------
Total Corporate Bonds
(Cost $11,088) 10,927
----------
YANKEE BONDS -- 3.3%
International Bank
8.250%, 09/01/16 200 238
Landeskredit Bank
7.875%, 04/15/04 250 273
Merita Bank
6.500%, 01/15/06 200 199
Province of Ontario
8.000%, 10/17/01 250 264
Quebec Province
8.625%, 01/19/05 500 560
13
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- MARCH 31, 1999
BOND INDEX FUND--CONCLUDED
- -----------------------------------------------------------
FACE MARKET
AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Republic of Ireland
7.875%, 12/01/01 $ 200 $ 212
Santander Financial
7.750%, 05/15/05 150 158
--------
Total Yankee Bonds
(Cost $1,383) 1,904
--------
ASSET-BACKED OBLIGATIONS -- 1.6%
Discover Card Master
Trust I, Ser 98-6, Cl A
5.850%, 01/17/06 400 402
Sears Credit Account Master
Trust II, Ser 95-3, Cl A
7.000%, 10/15/04 500 509
--------
Total Asset-Backed Obligations
(Cost $995) 911
--------
REPURCHASE AGREEMENT -- 4.3%
Lehman Brothers,
4.500%, dated 03/31/99, matures
04/01/99, repurchase price $2,458,000,
(collateralized by U.S. Treasury Note,
par value $2,458,000, 5.625%,
matures 10/31/99, total market:
$2,519,000) 2,458 2,458
--------
Total Repurchase Agreement
(Cost $2,458) 2,458
--------
Total Investments -- 101.0%
(Cost $56,680) 57,534
--------
OTHER ASSETS AND LIABILITIES, NET -- (1.0%) (553)
--------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based on
5,398,911 outstanding shares of
beneficial interest 56,598
Accumulated net realized loss
on investments (471)
Net unrealized appreciation on investments 854
--------
Total Net Assets -- 100.0% 56,981
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $10.55
========
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.
14
<PAGE>
STATEMENT OF OPERATIONS (000)
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- FOR THE YEAR ENDED MARCH 31, 1999
<TABLE>
<CAPTION>
------------ --------
S&P 500 BOND
INDEX INDEX
FUND FUND
------------ --------
INVESTMENT INCOME:
<S> <C> <C>
Dividends $ 26,454 $ --
Interest 1,701 3,015
-------- ------
Total investment income 28,155 3,015
-------- ------
EXPENSES:
Management fees 4,113 171
Waiver of management fees (700) (44)
Investment advisory fees 561 34
Custodian/wire agent fees 281 7
Trustee fees 21 1
Pricing fees 13 6
Professional fees 70 1
Registration fees 212 7
Distribution Fees (1) 4,145 122
Waiver of Distribution Fees (1) (3,352) (122)
Printing expense 42 2
Licensing Fee 52 --
Other expenses 10 --
-------- ------
Total expenses 5,468 185
-------- ------
NET INVESTMENT INCOME 22,687 2,830
-------- ------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain from securities Sold 43,052 181
Net realized gain from futures contracts 2,437 --
-------- ------
Net realized gain from Investment transactions 45,489 181
-------- ------
Change in unrealized Appreciation/Depreciation on investment securities 260,804 (250)
Change in unrealized Appreciation/Depreciation on futures contracts (580) --
-------- ------
Net change in unrealized appreciation/Depreciation on investments 260,224 (250)
-------- ------
Net realized and unrealized gain/Loss on investments 305,713 (69)
-------- ------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $328,400 $2,761
======== ======
</TABLE>
(1) INCLUDES CLASS SPECIFIC DISTRIBUTION AND SHAREHOLDER SERVICING FEES.
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
FUND FUND
-------------------------- --------------------------
1999 1998 1999 1998
---------- ---------- ---------- ----------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 22,687 $ 20,163 $ 2,830 $ 2,438
Net realized gain from Investment transactions 45,489 25,776 181 210
Net change in unrealized appreciation/(depreciation) of
investment securities 260,224 461,338 (250) 1,636
---------- ---------- -------- --------
Net increase in net assets resulting from operations 328,400 507,277 2,761 4,284
---------- ---------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income (22,176) (19,320) (2,830) (2,438)
Net realized gain (17,545) (9,993) -- --
---------- ---------- -------- --------
Total distributions (39,721) (29,313) (2,830) (2,438)
---------- ---------- -------- --------
CAPITAL SHARE TRANSACTIONS:
CLASS A: (1)
Proceeds from Shares issued 344,080 290,554 28,081 23,021
Reinvestment of cash distributions 10,245 5,032 722 704
Cost of Shares redeemed (199,284) (43,002) (15,035) (17,980)
---------- ---------- -------- --------
Net increase from Class A transactions 155,041 252,584 13,768 5,745
---------- ---------- -------- --------
CLASS E: (2)
Proceeds from Shares issued 439,964 434,840 -- --
Reinvestment of cash distributions 17,726 13,097 -- --
Redemption In-Kind Transaction (Note 7) (61,022) -- -- --
Cost of Shares redeemed (298,234) (371,143) -- --
---------- ---------- -------- --------
Net increase from Class E transactions 98,434 76,794 -- --
---------- ---------- -------- --------
Net increase from Capital share transactions 253,475 329,378 13,768 5,745
---------- ---------- -------- --------
Net increase in net assets 542,154 807,342 13,699 7,591
---------- ---------- -------- --------
NET ASSETS:
Beginning of year 1,752,001 944,659 43,282 35,691
---------- ---------- -------- --------
End of year $2,294,155 $1,752,001 $ 56,981 $ 43,282
========== ========== ======== ========
SHARES ISSUED AND REDEEMED:
CLASS A: (1)
Shares issued 9,422 9,710 2,626 2,216
Shares issued in lieu of cash distributions 291 171 68 68
Shares redeemed (5,571) (1,408) (1,411) (1,736)
---------- ---------- -------- --------
Total Class A transactions 4,142 8,473 1,283 548
---------- ---------- -------- --------
CLASS E: (2)
Shares issued 12,076 14,759 -- --
Shares issued in lieu of cash distributions 502 450 -- --
Redemption In-Kind Transaction (Note 7) (1,737) -- -- --
Shares Redeemed (8,321) (12,483) -- --
---------- ---------- -------- --------
Total Class E transactions 2,520 2,726 -- --
---------- ---------- -------- --------
Increase in shares 6,662 11,199 1,283 548
========== ========== ======== ========
</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.
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>
1999 $34.71 $0.40 $ 5.76 $(0.40) $(0.34) $40.13 18.05% $ 687,706 0.40% 1.11%
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++
1999 $34.77 $0.57 $ 5.68 $(0.45) $(0.34) $40.23 18.29% $1,606,449 0.25% 1.26%
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%
- --------------------
BOND INDEX PORTFOLIO
- --------------------
1999 $10.52 $0.62 $ 0.03 $(0.62) -- $10.55 6.25% $ 56,981 0.38% 5.79%
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%
</TABLE>
<TABLE>
<CAPTION>
RATIO OF NET
RATIO OF INVESTMENT
EXPENSES INCOME
TO AVERAGE TO AVERAGE
NET ASSETS NET ASSETS PORTFOLIO
(EXCLUDING (EXCLUDING TURNOVER
WAIVERS) WAIVERS) RATE
- --------------------------------------------------------
- -----------------------
S&P 500 INDEX PORTFOLIO
- -----------------------
CLASS A++
<S> <C> <C> <C>
1999 0.44% 1.07% 7%
1998 0.44% 1.33% 4%
1997 0.46% 1.78% 2%
1996(1) 0.58% 0.85% 3%
CLASS E+++
1999 0.54% 0.97% 7%
1998 0.54% 1.26% 4%
1997 0.54% 1.74% 2%
1996 0.35% 2.21% 3%
1995 0.35% 2.59% 4%
- --------------------
BOND INDEX PORTFOLIO
- --------------------
1999 0.72% 5.45% 40%
1998 0.78% 5.82% 44%
1997 0.71% 5.93% 46%
1996(2) 0.48% 6.10% 59%
1995 0.48% 6.23% 21%
</TABLE>
* THE TOTAL RETURN HAS NOT BEEN ANNUALIZED.
+ 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 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.
17
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- MARCH 31, 1999
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 funds: the S&P 500 Index Fund and the
Bond Index Fund (the "Funds"). The Trust's prospectus provides a description of
each Fund's investment objectives, policies and strategies. The trust is
registered to offer Class A and Class E shares of the S&P 500 Index Fund and
Class A shares of the Bond Index Fund. The assets of each Fund are segregated,
and a shareholder's interest is limited to the Fund in which shares are held.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by
the Funds.
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 Fund'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 Funds 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
Investments 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 Funds may be
delayed or limited.
FUTURES CONTRACTS -- The S&P 500 Index Fund invests in S&P 500 futures
contracts. For each S&P 500 futures contract, the Fund 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 Fund. The S&P 500 Index Fund's
investment in S&P 500 Index futures contracts is designed to assist the Fund in
more closely approximating the performance of the S&P 500 Index. Risks of
entering into S&P 500 Index futures contracts include the possibility that there
18
<PAGE>
- --------------------------------------------------------------------------------
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 Fund 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 Funds are
charged directly to that Fund. Other operating expenses of the Fund are prorated
to the Funds on the basis of relative net assets.
NET ASSET VALUE PER SHARE -- The net asset value per share of each Fund is
calculated on each business day. In general, it is computed by dividing the
assets of each fund, less its liabilities, by the number of outstanding shares
of the Fund.
RECLASSIFICATION OF COMPONENTS OF NET ASSETS -- In accordance with
Statement of Position 93-2, "Determination, Disclosure, and Financial Statement
Presentation of Income, Capital Gain, and Return of Capital Distribution by
Investment Companies", the S&P 500 Index Fund reclassified $4,179,308 from
accumulated net realized gains on investments to paid in capital. This
reclassification had no effect on net asset value.
OTHER -- Distributions from net investment income for the Funds are paid to
shareholders in the form of monthly dividends for the Bond Index Fund and
quarterly for the S&P 500 Index Fund. 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 Fund and bond Index Fund dated July 25, 1986 and January 20, 1986,
respectively, under which the Manager provides management, administrative,
transfer agent, and shareholder services to the Funds for an annual fee equal to
.22% of the average daily net assets of the S&P 500 Index Fund and .35% of
average daily net assets of the Bond Index Fund. The Manager has agreed to waive
its fee so that the total annual expenses of each Fund will not exceed voluntary
expense limitations adopted by the Manager. In the event that the total annual
expenses of a Fund, 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 Company ("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, with the exception of the Bond Index Fund
19
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- MARCH 31, 1999
which will pay up to .25%, of the average daily net assets attributable to the
particular class of shares are paid to the Distributor. Under the Plans, the
Distributor may perform, or may compensate other service providers for
performing, certain shareholder and administrative services. Under the Plans,
the Distributor may retain as a profit any difference between the fee it
receives and the amount it pays to third parties.
4. INVESTMENT ADVISORY AND
CUSTODIAN AGREEMENT
Under an investment advisory agreement dated January 31, 1995, World Asset
Management serves as the Investment Adviser of the S&P 500 Index Fund. 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
Fund. Mellon Bond Associates serves as the Investment Adviser of the Bond Index
Fund 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 Fund.
Commercia Bank (formerly known as Manufacturers Bank of Detroit), an
affiliate of World Asset Management, serves as custodian of the Funds under an
agreement dated July 10, 1985. This agreement was amended on January 3, 1986.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than temporary cash investments, during the year ended March 31, 1999,
were as follows:
U.S.
GOVERNMENT
SECURITIES ALL OTHER TOTAL
(000) (000) (000)
---------- --------- -----
S&P 500 INDEX FUND
Purchases $ -- $342,421 $342,421
Sales -- 134,053 134,053
BOND INDEX FUND
Purchases $26,825 $ 5,601 $ 32,426
Sales 18,031 723 18,754
The aggregate gross unrealized appreciation and depreciation
on securities at March 31, 1999, for each Fund is as follows:
NET
APPRECIATED DEPRECIATED UNREALIZED
SECURITIES SECURITIES APPRECIATION
(000) (000) (000)
----------- ----------- ------------
S&P 500 Index Fund $1,068,400 $(56,497) $1,011,903
Bond Index Fund 1,162 (308) 854
The Bond Index Fund 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 Fund to meet their obligations may be affected by
economic developments in a specific industry, state or region. The market value
of the Fund'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 Fund at March 31,
1999.
% OF
FUND
MOODY'S VALUE
------- -------
U.S.Government Securities ................ 71.85%
Repurchase Agreements .................... 4.27%
Other Bonds
Aaa ................................. 2.64%
Aa .................................. 4.69%
A ................................... 9.75%
Baa ................................. 6.80%
--------
100.00%
========
20
<PAGE>
- --------------------------------------------------------------------------------
At March 31, 1999, the Bond Index Fund had capital loss carryforwards to
the extent provided in the regulations for federal income tax as follows:
CAPITAL LOSS
CARRYOVER EXPIRES EXPIRES EXPIRES
3/31/99 2002 2003 2004
------------ -------- -------- --------
$464,443 $121,767 $100,980 $241,696
The S&P 500 Index Fund had cumulative wash sales at March 31, 1999
amounting to $4,946,019. These wash sale losses cannot be used for Federal
income tax purposes in the current year and have been deferred for use in future
years.
6. FUTURES CONTRACTS
A summary of the open S&P 500 Index futures contracts held by the S&P 500
Index Fund at March 31, 1999 is as follows:
UNREALIZED
NUMBER OF TRADE FACE SETTLEMENT GAIN (LOSS)
CONTRACTS PRICE AMOUNT MONTH (000)
--------- --------- ------ ---------- ----------
20 $1,320.85 $5,000 June 1999 $(138)
9 1,318.50 2,250 June 1999 (57)
7 1,300.00 1,750 June 1999 (12)
7 1,306.00 1,750 June 1999 (22)
6 1,317.00 1,500 June 1999 (36)
5 1,277.00 1,250 June 1999 20
4 1,306.90 1,000 June 1999 (14)
4 1,321.50 1,000 June 1999 (28)
4 1,312.50 1,000 June 1999 (19)
4 1,286.80 1,000 June 1999 7
4 1,309.50 1,000 June 1999 (16)
3 1,316.80 750 June 1999 (18)
3 1,331.00 750 June 1999 (28)
3 1,273.50 750 June 1999 15
2 1,313.00 500 June 1999 (10)
-----
$(356)
=====
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 Fund and received a
portion of its redemption through the transfer of securities (in-kind) for a
value of $59,853,681 with the remainder in cash of $1,168,212. As a result of
the redemption in-kind, the fund realized a gain for book purposes of
$37,819,108, which represents the appreciation, as of the date of the transfer,
in the securities transferred. For tax purposes, the Fund will not be required
to distribute this realized gain to shareholders and therefore, the amount has
been reclassified to paid in capital in accordance with Statement of Position
93-2. This reclassification had no effect on the Funds' net asset value.
21
<PAGE>
NOTICE TO SHAREHOLDERS
- --------------------------------------------------------------------------------
MARCH 31, 1999 -- (UNAUDITED)
For shareholders that do not have a March 31, 1999 taxable year end, this notice
is for informational purposes only. For shareholders with a March 31, 1999
taxable year end, please consult your tax advisor as to the pertinence of this
notice.
For the fiscal year ended March 31, 1999 the Funds of the SEI Index Funds are
designating long term capital gains and qualifying dividend income with regard
to distributions paid during the year as follows:
(A) (B)
LONG TERM ORDINARY
CAPITAL GAINS INCOME TOTAL
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS
FUND (TAX BASIS) (TAX BASIS) (TAX BASIS)
- ---------- ------------- ------------- -------------
S&P 500 Index 39% 61% 100%
Bond Index (2) 0% 100% 100%
(C) (D) (E)
QUALIFYING TAX-EXEMPT FOREIGN
FUND DIVIDENDS(1) INTEREST TAX CREDIT
- ---------- ----------- ---------- ----------
S&P 500 Index 93% 0% 0%
Bond Index 0% 0% 0%
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction.
(2) The Bond Index fund satisfies CA, CT and NY's statutory requirements to
pass-through income from Federal obligations. Accordingly, the pro-rata
portion of income from Federal obligations may be exempt for those
respective state's income tax purposes.
Items (A) and (B) are based on the percentage of each Fund's total distribution.
Item (C) is based on the percentage of ordinary income of the Fund.
Items (D) and (E) are based on the percentage of gross income of the Fund.
22
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
- -----------------------------
SEI INDEX FUNDS
- -----------------------------
ANNUAL REPORT
- -----------------------------
MARCH 31, 1999
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>
[LOGO OMITTED]
INVESTMENTS
DISTRIBUTION
CO.
Oaks, PA 19456
800-DIAL-SEI/800-342-5734
SEI-F-09-06
