Semi-Annual Report as of
September 30, 1999 (Unaudited)
SEI INDEX FUNDS
- --------------------------------------------------------------------------------
S&P 500 Index
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Bond Index
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SEI
Investments {Logo Omitted]
The art of people.
The science of results.
<PAGE>
TABLE OF CONTENTS
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Statements of Net Assets............................................. 1
Statement of Operations.............................................. 11
Statement of Changes in Net Assets................................... 12
Financial Highlights................................................. 13
Notes to Financial Statements........................................ 14
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Index Funds -- September 30, 1999 (Unaudited)
S&P 500 Index Fund
- -----------------------------------------------------------
Market
Shares Value (000)
- -----------------------------------------------------------
Common Stocks -- 97.0%
Aerospace & Defense -- 0.2%
Raytheon, Cl B 76,440 $ 3,793
--------
Agriculture -- 0.1%
Pioneer Hi Bred International 54,200 2,158
--------
Air Transportation -- 0.3%
AMR* 34,070 1,857
Delta Air Lines 31,770 1,541
FDX* 67,304 2,608
Southwest Airlines 114,100 1,733
US Air Group* 16,265 427
--------
8,166
--------
Aircraft -- 1.4%
Allegheny Teledyne 43,048 726
Allied Signal 124,440 7,459
Boeing 217,271 9,261
General Dynamics 45,060 2,813
Lockheed Martin 89,432 2,923
Northrop 15,765 1,002
Rockwell International 43,230 2,270
Textron 34,010 2,632
United Technologies 108,944 6,462
--------
35,548
--------
Apparel/Textiles -- 0.1%
Fruit of the Loom, Cl A* 16,400 54
Liz Claiborne 13,850 429
Russell 7,565 107
Springs Industries, Cl A 4,070 138
VF 26,860 833
--------
1,561
--------
Automotive -- 1.4%
Cooper Tire & Rubber 17,200 303
Dana 37,457 1,391
Delphi Automotive Systems* 127,817 2,053
Eaton 16,330 1,409
Fleetwood Enterprises 7,490 151
Ford Motor 273,740 13,738
General Motors 145,730 9,172
Genuine Parts 40,492 1,076
Goodyear Tire & Rubber 35,370 1,702
ITT Industries 19,865 632
Navistar International* 14,926 694
Paccar 17,708 901
TRW 27,420 1,364
--------
34,586
--------
Banks -- 5.9%
Amsouth Bancorp 40,000 938
Bank of America 390,812 21,763
- -----------------------------------------------------------
Market
Shares Value (000)
- -----------------------------------------------------------
Bank of New York 166,300 $ 5,561
Bank One 265,301 9,236
Bankboston 67,724 2,938
BB&T 72,300 2,341
Chase Manhattan 189,277 14,267
Comerica 35,350 1,790
Fifth Third Bancorp 61,350 3,733
First Union 216,414 7,696
Firstar 222,694 5,707
Fleet Financial Group 128,832 4,718
Golden West Financial 12,405 1,219
Huntington Bancshares 52,167 1,386
JP Morgan 39,730 4,539
KeyCorp 101,542 2,621
Mellon Bank 116,320 3,926
National City 139,800 3,731
Northern Trust 25,200 2,104
PNC Bank 68,760 3,623
Regions Financial 50,600 1,518
Republic New York 23,700 1,456
SouthTrust 37,900 1,360
State Street 36,500 2,359
Summit Bancorp 40,100 1,301
SunTrust Banks 72,830 4,789
Synovus Financial 61,400 1,147
US Bancorp 165,531 4,997
Union Planters 32,300 1,316
Wachovia 45,678 3,591
Washington Mutual 130,947 3,830
Wells Fargo 373,052 14,782
--------
146,283
--------
Broadcasting, Newspapers &
Advertising -- 0.8%
Clear Channel Communications* 76,400 6,102
Mediaone Group* 137,160 9,370
Omnicom Group 40,200 3,183
--------
18,655
--------
Chemicals -- 1.5%
Air Products & Chemicals 51,940 1,510
Avery Dennison 25,630 1,352
BF Goodrich 24,850 721
Dow Chemical 49,750 5,653
Eastman Chemical 17,691 708
EI du Pont de Nemours 220,286 13,410
FMC* 7,165 346
Great Lakes Chemical 13,200 502
Hercules 23,995 687
Monsanto 143,350 5,116
Nalco Chemical 14,600 737
Praxair 36,065 1,659
Rohm & Haas 49,223 1,778
1
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Index Funds -- September 30, 1999 (Unaudited)
S&P 500 Index Fund -- Continued
- -----------------------------------------------------------
Market
Shares Value (000)
- -----------------------------------------------------------
Union Carbide 30,165 $ 1,714
WR Grace* 16,100 259
--------
36,152
--------
Communications -- 9.3%
Alltel 68,982 4,855
Ameritech 248,720 16,711
Andrew* 18,515 322
AT&T 722,887 31,446
Bell Atlantic 351,314 23,648
BellSouth 428,212 19,270
Comcast, Cl A* 169,554 6,761
GTE 221,880 17,057
Harris* 18,030 498
Interpublic Group 63,800 2,624
Lucent Technologies 693,232 44,973
Marriott International, Cl A* 56,240 1,838
Motorola 137,460 12,096
SBC Telecommunications 445,032 22,724
Scientific-Atlanta 17,284 857
Sprint 196,200 10,644
Tellabs* 88,600 5,045
Viacom, Cl B* 157,600 6,659
--------
228,028
--------
Communications Equipment -- 1.1%
ADC Telecommunications* 30,700 1,287
General Instrument* 39,200 1,887
Network Appliance* 16,700 1,196
Nortel Networks 300,200 15,310
Qualcomm* 36,300 6,868
--------
26,548
--------
Computers & Services -- 15.6%
America Online* 250,700 26,073
Apple Computer* 36,420 2,306
Cabletron Systems* 39,300 617
Ceridian* 32,730 814
Cirrus Logic* 29,200 2,351
Cisco Systems* 735,500 50,428
Compaq Computer* 384,556 8,821
Computer Associates International 121,652 7,451
Computer Sciences* 36,220 2,547
Data General* 11,470 242
Dell Computer* 574,800 24,034
EMC* 229,300 16,381
First Data 97,104 4,260
Gateway* 70,900 3,151
Hewlett Packard 229,260 21,092
IBM 409,220 49,669
Microsoft* 1,154,600 104,563
Novell* 75,700 1,566
Oracle Systems* 325,614 14,815
- -----------------------------------------------------------
Market
Shares Value (000)
- -----------------------------------------------------------
Pitney Bowes 60,520 $ 3,688
Seagate Technology* 50,400 1,553
Shared Medical Systems 5,995 280
Silicon Graphics* 42,700 467
Sun Microsystems* 175,100 16,284
Tandy 43,688 2,258
Texas Instruments 177,740 14,619
Unisys* 69,185 3,122
--------
383,452
--------
Construction -- 0.3%
Armstrong World Industries 8,965 403
Centex 13,480 399
Fluor 17,130 689
Foster Wheeler 9,265 112
Halliburton 99,810 4,092
McDermott International 13,365 271
Owens-Corning Fiberglass 12,365
--------
6,234
--------
Containers & Packaging -- 0.1%
Ball 6,895 304
Crown Cork & Seal 27,685 671
Newell Rubbermaid 63,736 1,820
Owens-Illinois* 35,300 699
--------
3,494
--------
Drugs -- 0.0%
Watson Pharmaceuticals* 21,700 663
--------
Electrical Services -- 0.5%
AES* 43,400 2,561
Ameren 31,000 1,172
CMS Energy 26,700 906
Consolidated Edison 49,990 2,075
Constellation Energy Group* 33,895 953
FirstEnergy* 53,005 1,352
Florida Progress 22,300 1,031
New Century Energies 26,000 869
Niagara Mohawk Holdings* 42,365 654
Reliant Energy 66,951 1,812
--------
13,385
--------
Electronic & Other Electrical Equipment -- 3.2%
3Com* 80,900 2,326
Advanced Micro Devices* 33,230 571
Autodesk 13,300 291
Automatic Data Processing 139,940 6,245
Honeywell 28,860 3,212
Intel 748,380 55,614
Johnson Controls 19,330 1,282
LSI Logic* 33,300 1,715
Micron Technology 56,600 3,767
2
<PAGE>
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Market
Shares Value (000)
- -----------------------------------------------------------
Millipore 10,190 $ 383
National Semiconductor* 38,012 1,159
Tektronix 10,655 357
Thomas & Betts 12,840 655
--------
77,577
--------
Entertainment -- 0.0%
Mirage Resorts* 45,000 633
--------
Environmental Services -- 0.2%
Allied Waste Industries* 42,600 498
Ecolab 29,300 1,000
Laidlaw 74,700 504
Waste Management* 140,114 2,697
--------
4,699
--------
Financial Services -- 3.6%
Allstate* 180,604 4,504
American Express 101,647 13,684
Associates First Capital 164,692 5,929
Bear Stearns 26,355 1,013
Capital One Financial 44,600 1,739
Charles Schwab 185,000 6,232
Countrywide Credit Industries 25,500 822
Equifax 32,500 914
FHLMC 157,300 8,180
FNMA 231,860 14,535
Franklin Resources 57,000 1,753
Household International 108,291 4,345
Lehman Brothers Holding 27,100 1,580
MBNA 181,412 4,138
Merrill Lynch 83,600 5,617
Morgan Stanley 129,061 11,511
Painewebber Group 32,900 1,193
SLM Holding 36,400 1,565
--------
89,254
--------
Food, Beverage & Tobacco -- 4.8%
Adolph Coors, Cl B 8,265 447
Anheuser Busch 105,700 7,406
Archer-Daniels-Midland 139,689 1,702
Bestfoods 63,020 3,056
Brown-Forman, Cl B 15,560 971
Campbell Soup 98,260 3,844
Coca-Cola 96,200 2,171
Coca-Cola 558,660 26,851
Conagra 110,484 2,493
Fortune Brands 37,640 1,214
General Mills 34,560 2,804
Hershey Foods 31,500 1,534
HJ Heinz 81,020 3,484
Kellogg 91,680 3,432
Nabisco Group Holdings 73,800 1,107
PepsiCo 330,780 10,006
- -----------------------------------------------------------
Market
Shares Value (000)
- -----------------------------------------------------------
Philip Morris 540,730 $ 18,486
Quaker Oats 30,260 1,872
Ralston-Ralston Purina Group 73,180 2,035
Sara Lee 204,360 4,790
Seagram 97,800 4,450
Supervalu 31,360 684
Sysco 74,820 2,623
Unilever NV** 129,250 8,805
UST 39,340 1,188
William Wrigley, Jr. 26,305 1,810
--------
119,265
--------
Footwear -- 0.2%
Nike, Cl B 63,620 3,618
Reebok International 12,720 136
--------
3,754
--------
Gas/Natural Gas -- 0.1%
Oneok* 7,100 215
Sempra Energy* 54,427 1,133
--------
1,348
--------
Glass Products -- 0.3%
Corning 55,360 3,796
PPG Industries 39,190 2,351
--------
6,147
--------
Household Products -- 2.8%
Alberto-Culver, Cl B 12,580 291
Avon Products 59,040 1,465
Clorox 53,418 2,043
Colgate Palmolive 131,976 6,038
Danaher* 32,100 1,691
Gillette 245,476 8,331
International Flavors & Fragrances 23,995 828
Jostens 7,650 146
Masco 100,180 3,106
Maytag 19,730 657
Minnesota Mining &
Manufacturing 91,130 8,754
National Service Industries 9,085 286
Procter & Gamble 300,508 28,173
Sherwin Williams 38,260 801
Snap-On Tools 14,797 481
Solectron* 61,000 4,381
Stanley Works 20,130 507
Tupperware 13,050 264
Whirlpool 17,105 1,117
--------
69,360
--------
Insurance -- 4.3%
Aetna 31,887 1,570
Aflac 60,200 2,521
3
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Index Funds -- September 30, 1999 (Unaudited)
S&P 500 Index Fund -- Continued
- -----------------------------------------------------------
Market
Shares Value (000)
- -----------------------------------------------------------
American General 56,339 $ 3,560
American International Group 350,247 30,450
Aon 57,875 1,711
Chubb 39,918 1,988
Cigna 44,990 3,498
Cincinnati Financial 37,300 1,400
Citigroup 764,056 33,618
Conseco 73,953 1,428
Hartford Financial Services Group 51,130 2,090
Jefferson Pilot 23,905 1,510
Lincoln National 44,960 1,689
Loews 24,300 1,706
Marsh & McLennan 59,715 4,090
MBIA 22,600 1,054
MGIC Investment 24,700 1,179
Progressive of Ohio 16,500 1,348
Providian Financial 32,095 2,542
SAFECO 29,720 832
St Paul 51,276 1,410
Torchmark 30,074 778
United Healthcare 39,200 1,909
Unumprovident 54,073 1,592
Wellpoint Health Networks* 14,800 844
--------
106,317
--------
Lumber & Wood Products -- 0.1%
Georgia-Pacific 38,800 1,571
Louisiana-Pacific 24,312 380
--------
1,951
--------
Machinery -- 5.1%
Applied Materials* 84,900 6,596
Baker Hughes 74,348 2,156
Black & Decker 19,635 897
Briggs & Stratton 5,240 306
Brunswick 20,730 516
Case Equipment 17,600 877
Caterpillar 80,400 4,407
Cooper Industries 21,395 1,000
Crane 15,319 344
Cummins Engine 9,540 475
Deere 52,890 2,046
Dover 47,140 1,927
Emerson Electric 98,330 6,213
General Electric 742,060 87,980
Illinois Tool Works 56,640 4,223
Ingersoll Rand 37,305 2,049
Kaufman & Broad Home 10,837 224
Milacron 8,295 147
NACCO Industries, Cl A 1,825 128
Pall 28,093 651
Parker-Hannifin 24,578 1,101
PULTE 9,790 213
- -----------------------------------------------------------
Market
Shares Value (000)
- -----------------------------------------------------------
Tenneco 38,512 $ 655
Timken 13,940 225
WW Grainger 21,080 1,013
--------
126,369
--------
Marine Transportation -- 0.2%
Carnival, Cl A 138,800 6,038
--------
Measuring Devices -- 0.2%
KLA Instruments* 19,900 1,294
Mallinckrodt 16,085 486
PE - PE Biosystems 23,130 1,671
Thermo Electron* 35,700 480
--------
3,931
--------
Medical Products & Services -- 9.7%
Abbott Laboratories 344,120 12,646
Allergan 14,900 1,639
Alza* 23,020 986
American Home Products 295,580 12,267
Amgen* 115,400 9,405
Bausch & Lomb 12,980 856
Baxter International 65,873 3,969
Becton, Dickinson 56,620 1,589
Biomet* 25,400 668
Boston Scientific* 93,500 2,308
Bristol-Myers Squibb 449,380 30,333
Columbia HCA Healthcare 127,659 2,705
CR Bard 11,635 548
Eli Lilly 247,320 15,828
Guidant 68,300 3,663
Healthsouth Rehabilitation* 93,812 569
Humana* 37,900 261
Johnson & Johnson 304,140 27,943
Manor Care* 24,247 417
Medtronic 265,480 9,425
Merck 530,650 34,393
Pfizer 876,620 31,504
Pharmacia & Upjohn 114,642 5,689
Schering Plough 332,120 14,489
Sigma Aldrich 22,800 724
St Jude Medical 19,150 603
Tenet Healthcare* 70,260 1,234
Warner Lambert 193,360 12,834
--------
239,495
--------
Metal & Metal Industries -- 0.5%
Alcan Aluminum 51,052 1,595
Asarco 8,965 240
Barrick Gold 88,200 1,918
Bethlehem Steel* 29,630 219
Cyprus AMAX Minerals 20,402 400
Engelhard 28,517 519
4
<PAGE>
- -----------------------------------------------------------
Market
Shares Value (000)
- -----------------------------------------------------------
Freeport-McMoran Copper &
Gold, Cl B 37,000 $ 576
Homestake Mining 58,900 541
Inco 43,400 928
Newmont Mining 37,922 981
Nucor 19,680 937
Phelps Dodge 13,130 723
Placer Dome Group 73,629 1,095
Reynolds Metals 14,235 859
USX-US Steel Group 19,967 514
Worthington Industries 20,722 352
--------
12,397
--------
Metals & Mining -- 0.0%
Vulcan Materials 22,700 831
--------
Miscellaneous Business Services -- 0.7%
Adobe Systems 13,800 1,566
BMC Software* 54,182 3,877
Cendant* 163,010 2,893
Compuware* 80,800 2,106
Electronic Data Systems 111,500 5,903
Parametric Technology* 60,900 822
Peoplesoft* 55,000 932
--------
18,099
--------
Miscellaneous Manufacturing -- 0.8%
Tyco International 189,270 19,542
--------
Oil & Gas -- 4.5%
Amerada Hess 20,430 1,251
Ashland 16,325 549
Atlantic Richfield 72,960 6,466
Burlington Resources 40,163 1,476
Chevron 148,320 13,163
Coastal 48,304 1,977
Exxon 549,190 41,704
Helmerich & Payne 11,190 283
Kerr McGee 19,552 1,077
Mobil 177,190 17,852
Occidental Petroleum 78,830 1,823
Phillips Petroleum 57,235 2,790
Rowan* 18,805 306
Schlumberger 123,834 7,716
Texaco 125,020 7,892
Unocal 54,790 2,031
USX-Marathon Group 69,835 2,043
--------
110,399
--------
Paper & Paper Products -- 0.8%
Bemis 11,790 399
Boise Cascade 12,931 471
Champion International 21,800 1,120
Fort James 49,927 1,332
- -----------------------------------------------------------
Market
Shares Value (000)
- -----------------------------------------------------------
International Paper 93,489 $ 4,493
Kimberly-Clark 120,574 6,330
Mead 23,220 798
Potlatch 6,570 271
Temple-Inland 12,590 762
Westvaco 22,690 581
Weyerhaeuser 45,470 2,620
Willamette Industries 25,200 1,087
--------
20,264
--------
Petroleum & Fuel Products -- 0.1%
Anadarko Petroleum 28,900 883
Apache 25,700 1,110
Union Pacific Resources 56,991 915
--------
2,908
--------
Petroleum Refining -- 1.4%
Conoco* 141,866 3,884
Royal Dutch Petroleum 485,040 28,648
Sunoco 20,470 560
Tosco 34,500 871
--------
33,963
--------
Photographic Equipment & Supplies -- 0.5%
Eastman Kodak 71,665 5,406
Polaroid 10,058 262
Xerox 150,050 6,293
--------
11,961
--------
Printing & Publishing -- 1.4%
American Greetings, Cl A 15,200 391
Deluxe 17,155 583
Dow Jones 20,500 1,094
Gannett 63,270 4,377
Knight-Ridder 18,370 1,008
McGraw-Hill 44,540 2,155
Meredith 11,780 428
New York Times, Cl A 39,360 1,476
RR Donnelley & Sons 28,860 833
Time Warner 292,628 17,777
Times Mirror, Cl A 16,265 1,070
Tribune 53,620 2,668
--------
33,860
--------
Professional Services -- 0.3%
Dun & Bradstreet* 36,432 1,088
EG&G 10,440 416
H&R Block 22,170 963
Ikon Office Solutions 33,830 362
IMS Health* 70,764 1,614
Paychex 55,650 1,899
Service International 61,544 650
--------
6,992
--------
5
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Index Funds -- September 30, 1999 (Unaudited)
S&P 500 Index Fund -- Concluded
- -----------------------------------------------------------
Market
Shares Value (000)
- -----------------------------------------------------------
Railroads -- 0.0%
Kansas City Southern Industries 25,000 $ 1,161
--------
Recreational Products & Services -- 0.7%
Harrah's Entertainment* 29,085 807
Hasbro 44,067 945
Hilton Hotels 57,605 569
King World Productions* 16,124 605
Mattel 95,065 1,806
Walt Disney 466,501 12,071
--------
16,803
--------
Retail -- 6.4%
Albertson's 95,123 3,763
Autozone* 33,700 946
Best Buy* 46,100 2,861
Circuit City Stores 45,400 1,915
Consolidated Stores* 24,924 550
Costco Wholesale* 49,658 3,575
CVS 88,713 3,621
Darden Restaurants* 29,860 584
Dayton-Hudson 99,980 6,005
Dillards, Cl A 24,220 492
Dollar General 50,768 1,567
Federated Department Stores* 47,200 2,062
Great Atlantic & Pacific Tea 8,665 263
Harcourt General 16,166 673
Home Depot 335,522 23,025
JC Penney 59,630 2,050
Kmart* 111,680 1,305
Kohls* 36,800 2,433
Kroger* 187,620 4,139
Longs Drug Stores* 8,790 263
Lowe's 86,288 4,207
May Department Stores 75,543 2,753
McDonald's 306,400 13,175
Nordstrom 31,760 858
Office Depot* 84,800 864
Pep Boys 11,950 178
Rite Aid 58,660 810
Sears Roebuck 86,025 2,699
Staples* 105,150 2,294
The Gap 194,030 6,209
The Limited 48,448 1,853
TJX 71,840 2,016
Too* 1,106 20
Toys R Us* 55,965 839
Tricon Global Restaurants* 34,798 1,425
Wal-Mart Stores 1,006,740 47,883
Walgreen 226,960 5,759
Wendy's International 27,475 725
Winn Dixie Stores 33,660 999
--------
157,658
--------
- -----------------------------------------------------------
Market
Shares Value (000)
- -----------------------------------------------------------
Rubber & Plastic -- 0.0%
Sealed Air* 18,886 $ 969
--------
Specialty Machinery -- 0.3%
CBS 159,380 7,371
--------
Steel & Steel Works -- 0.2%
Alcoa 82,966 5,149
--------
Telephones & Telecommunication -- 2.2%
Centurytel 31,500 1,280
Global Crossing* 173,760 4,605
MCI WorldCom* 423,707 30,454
Nextel Communications, Cl A* 75,000 5,086
Sprint (PCS Group)* 99,450 7,415
US West 114,216 6,517
--------
55,357
--------
Transportation Services -- 0.4%
Burlington Northern-Santa Fe 105,100 2,890
CSX 49,218 2,086
Norfolk Southern 86,100 2,109
Ryder System 15,830 323
Union Pacific 56,040 2,693
--------
10,101
--------
Utilities, Electric & Gas -- 2.0%
American Electric Power 43,725 1,492
Carolina Power & Light 36,100 1,277
Central & South West 48,100 1,016
Cinergy 35,992 1,019
Columbia Gas System 18,572 1,028
Consolidated Natural Gas 21,730 1,355
Dominion Resources 43,375 1,957
DTE Energy 32,735 1,183
Duke Power 82,606 4,554
Eastern Enterprises 6,091 283
Edison International 78,540 1,910
Enron 161,468 6,661
Entergy 55,820 1,615
FPL Group 40,628 2,047
General Public Utilities 28,400 927
Nicor 10,700 398
Northern States Power 34,920 753
Pacificorp 67,300 1,354
PECO Energy 42,175 1,582
Peoples Energy 8,040 283
PG&E 86,845 2,247
PP&L Resources 35,700 966
Public Service Enterprise 49,583 1,915
Sonat 24,930 989
6
<PAGE>
- -----------------------------------------------------------
Shares/Face Market
Amount (000) Value (000)
- -----------------------------------------------------------
Southern 154,526 $ 3,979
Texas Utilities 62,535 2,333
UNICOM 49,195 1,817
Williams 98,190 3,676
----------
50,616
----------
Wholesale -- 0.4%
Cardinal Health 61,658 3,360
McKesson HBOC 63,591 1,844
Safeway* 115,500 4,396
----------
9,600
----------
Total Common Stocks
(Cost $1,398,949) 2,390,845
----------
U.S. Treasury Obligations -- 0.1%
U.S. Treasury Bill (A)
4.570%, 10/14/99 $ 3,500 3,494
4.570%, 12/16/99 275 271
----------
Total U.S. Treasury Obligations
(Cost $3,766) 3,765
----------
Repurchase Agreement -- 2.2%
JP Morgan
5.350%, dated 09/30/99, matures
10/01/99, repurchase price
$54,142,000, (collateralized by
various FNMA obligations and
FHLMC obligations, total par
value $59,569,000, 6.000%-6.500%,
12/01/28-07/01/29, total market
value: $55,217,000) 54,134 54,134
----------
Total Repurchase Agreements
(Cost $54,134) 54,134
----------
Total Investments -- 99.3%
(Cost $1,456,849) 2,448,744
----------
Other Assets and Liabilities, Net -- 0.7% 16,608
----------
Net Assets:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 43,221,580 outstanding shares
of beneficial interest 646,993
Portfolio Shares of Class E (unlimited
authorization -- no par value) based
on 18,283,449 outstanding shares
of beneficial interest 808,606
Undistributed net investment income 6,681
- -----------------------------------------------------------
Face Market
Amount (000) Value (000)
- -----------------------------------------------------------
Accumulated net realized gain
on investments $ 10,943
Net unrealized appreciation on investments 991,895
Net unrealized appreciation on futures 234
----------
Total Net Assets -- 100.0% $2,465,352
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $40.11
======
Net Asset Value, Offering and Redemption
Price Per Share -- Class E $40.01
======
(A) Securities pledged as collateral on open futures contracts
* Non-Income producing security
Cl -- Class
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
Bond Index Fund
U.S. Treasury Obligations -- 31.3%
U.S. Treasury Bonds
13.125%, 05/15/01 $ 325 $ 362
11.625%, 11/15/02 200 232
10.750%, 05/15/03 2,500 2,888
8.750%, 05/15/17 445 551
8.875%, 02/15/19 1,165 1,473
8.500%, 02/15/20 600 737
8.000%, 11/15/21 300 355
7.625%, 11/15/22 1,425 1,629
6.750%, 08/15/26 300 314
6.500%, 11/15/26 475 483
6.625%, 02/15/27 625 646
6.375%, 08/15/27 150 150
U.S. Treasury Notes
6.125%, 09/30/00 600 604
6.375%, 03/31/01 1,500 1,516
7.875%, 08/15/01 2,000 2,077
7.500%, 11/15/01 300 311
6.250%, 01/31/02 300 304
6.625%, 04/30/02 850 868
6.500%, 05/31/02 200 204
6.250%, 06/30/02 100 101
7.500%, 02/15/05 600 641
7.000%, 07/15/06 200 210
6.500%, 10/15/06 775 792
6.250%, 02/15/07 725 731
6.125%, 08/15/07 250 250
5.625%, 05/15/08 1,800 1,747
-------
Total U.S. Treasury Obligations
(Cost $20,279) 20,176
-------
The accompanying notes are an integral part of the financial statements.
7
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Index Funds -- September 30, 1999 (Unaudited)
Bond Index Fund -- Continued
- --------------------------------------------------------------
Face Market
Amount (000) Value (000)
- --------------------------------------------------------------
U.S. Agency Mortgage-Backed Obligations -- 32.7%
FHLMC
5.500%, 02/01/14 $ 192 $ 181
6.000%, 06/01/11-04/01/29 1,452 1,367
6.300%, 06/01/04 300 295
6.500%, 07/01/08-05/01/29 2,512 2,420
7.000%, 09/01/03-07/01/29 1,696 1,672
7.500%, 05/01/27-05/01/07 731 736
8.000%, 01/01/11-09/01/27 228 239
8.500%, 10/01/01-01/01/23 76 79
9.000%, 11/01/04-07/01/29 26 28
9.500%, 08/01/17-02/01/21 61 65
10.500%, 12/01/17-06/01/19 20 23
FNMA
5.500%, 12/01/13 191 180
6.000%, 05/01/04-12/01/28 2,128 2,013
6.500%, 03/01/03-06/01/29 2,938 2,830
7.000%, 02/01/08-09/01/28 1,952 1,922
7.500%, 06/01/07-09/01/29 860 865
8.000%, 08/01/07-12/01/24 363 370
8.250%, 10/12/04 500 500
8.500%, 05/01/07-10/01/22 72 77
9.000%, 10/01/06-11/01/26 59 62
9.500%, 07/01/20-02/01/21 13 15
FNMA TBA
6.500%, 08/01/14 300 294
GNMA
6.000%, 09/15/28 346 321
6.500%, 03/15/11-01/15/29 1,142 1,094
7.000%, 06/15/14-09/15/28 1,385 1,365
7.500%, 01/15/23-07/15/29 867 869
8.000%, 10/15/07-09/15/23 574 586
8.500%, 02/15/17-11/15/22 193 200
9.000%, 11/15/19-09/15/25 296 311
9.500%, 09/15/09-07/15/17 27 30
9.750%, 10/15/17 22 25
10.000%, 09/15/18-02/20/21 21 24
11.500%, 04/15/15 22 25
-------
Total U.S. Agency Mortgage-Backed Obligations
(Cost $21,508) 21,083
-------
U.S. Government Agency Obligations -- 7.1%
FHLB
5.440%, 10/15/03 150 145
FHLB Discount Note
5.580%, 08/17/01 300 301
FHLMC
6.450%, 04/29/09 400 382
7.900%, 09/19/01 250 258
5.750%, 07/15/03 800 786
5.750%, 04/15/08 250 235
5.750%, 06/15/01 200 199
- --------------------------------------------------------------
Face Market
Amount (000) Value (000)
- --------------------------------------------------------------
FNMA
6.160%, 08/07/28 $ 40 $ 36
6.250%, 05/15/29 100 92
9.050%, 04/10/00 200 203
8.250%, 12/18/00 50 51
7.500%, 02/11/02 100 103
6.240%, 01/14/08 150 143
6.000%, 05/15/08 650 623
6.500%, 07/05/14 415 154
5.625%, 03/15/01 400 398
Resolution Funding Corporation
8.875%, 04/15/30 230 293
Tennessee Valley Authority
6.375%, 06/15/05 200 196
-------
Total U.S. Government Agency Obligations
(Cost $4,667) 4,598
-------
Corporate Bonds -- 22.1%
Alltel
6.800%, 05/01/29 100 88
American Airlines
7.024%, 10/15/09 125 127
Aristar
6.500%, 11/15/03 250 247
Associates of North America
5.600%, 01/15/01 300 297
AT&T
5.625%, 03/15/04 250 239
Auburn Hills Trust
12.000%, 05/01/20 100 146
Bankamerica Capital II
8.000%, 12/15/26 125 121
Bellsouth Telecommunications
6.500%, 06/15/05 100 98
Bowater
9.000%, 08/01/09 150 164
Cable & Wireless Communications
6.750%, 03/06/08 100 102
Cabot
8.340%, 08/05/22 500 519
Campbell Soup
8.875%, 05/01/21 300 355
Canada Government
5.250%, 11/05/08 100 90
Capital One Bank
6.700%, 05/15/08 100 93
Carolina Power & Light
7.500%, 03/01/23 85 81
Chase Manhattan
8.625%, 05/01/02 150 156
Chrysler
7.450%, 03/01/27 40 40
8
<PAGE>
- -------------------------------------------------------------------------------
- --------------------------------------------------------------
Face Market
Amount (000) Value (000)
- --------------------------------------------------------------
CIT Group Holdings
5.875%, 10/15/08 $ 200 $ 180
Citigroup
8.625%, 02/01/07 200 217
CNA Financial
6.600%, 12/15/08 100 92
Coastal
9.625%, 05/15/12 125 146
Coca Cola Enterprises
8.500%, 02/01/22 100 108
Commercial Credit
6.500%, 08/01/04 150 147
ConAgra
7.400%, 09/15/04 260 263
Conoco
6.950%, 04/15/29 100 93
Countrywide Home Credit
7.200%, 10/30/06 100 99
Daimler Chrysler
6.900%, 09/01/04 100 101
Dayton Hudson
6.400%, 02/15/03 150 148
Dell Computer
7.100%, 04/15/28 100 92
Delphi Auto Systems
6.500%, 05/01/09 100 93
EI du Pont de Nemours
8.250%, 09/15/06 100 107
Enron
6.750%, 09/01/04 100 98
EOP Operating
6.800%, 01/15/09 150 138
Federated Department Stores
8.125%, 10/15/02 150 156
Finova Capital
6.250%, 08/15/00 300 301
7.250%, 07/12/06 100 99
First Union
6.300%, 04/15/28 300 278
Fleet Financial
6.375%, 05/15/08 150 140
Ford Motor Credit
7.500%, 01/15/03 125 127
6.125%, 01/09/06 400 383
GE Global Insurance
7.000%, 02/15/26 100 93
General Motors
8.500%, 01/01/03 150 157
GNMA
6.500%, 07/15/29 698 668
Goldman Sachs
6.650%, 05/15/09 100 95
Grand Metropolitan Investment
8.000%, 09/15/22 100 103
- --------------------------------------------------------------
Face Market
Amount (000) Value (000)
- --------------------------------------------------------------
Hilton Hotels
7.375%, 06/01/02 $ 50 $ 50
Household Finance
6.125%, 07/15/02 100 98
Hydro-Quebec
9.500%, 11/15/30 50 61
Integra Financial
8.500%, 05/15/02 250 261
JP Morgan
5.750%, 10/15/08 200 180
Korea Development Bank
7.375%, 09/17/04 200 194
Malaysia
8.750%, 06/01/09 50 50
May Dept. Stores
9.875%, 12/01/02 100 109
Merita Bank
6.500%, 01/15/06 200 190
Morgan Stanley Group
6.875%, 03/01/07 200 196
NationsBank
7.625%, 04/15/05 100 103
New York Telephone
8.625%, 11/15/10 200 222
Nordstrom
5.625%, 01/15/09 100 90
Norfolk Southern
7.700%, 05/15/17 170 171
Occidental Petroleum
7.375%, 11/15/08 200 197
Oracle
6.720%, 02/15/04 100 99
Pacific Gas & Electric
6.750%, 10/01/23 100 89
Province of Ontario
8.000%, 10/17/01 250 258
Public Service of Colorado
7.125%, 06/01/06 200 199
RR Donnelley & Sons
9.125%, 12/01/00 239 247
Raytheon
7.200%, 08/15/27 100 94
Rockwell International
6.750%, 09/15/02 150 151
Salamon Smith Barney
7.375%, 05/15/07 250 250
Sanwa Bank
8.350%, 07/15/09 100 102
Societe Generale
7.400%, 06/01/06 100 99
Sony
6.125%, 03/04/03 250 246
Sprint
9.250%, 04/15/22 150 176
9
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Index Funds -- September 30, 1999 (Unaudited)
Bond Index Fund -- Concluded
- --------------------------------------------------------------
Face Market
Amount (000) Value (000)
- --------------------------------------------------------------
Sun Microsystems
7.350%, 08/15/04 $ 200 $ 202
TCI Communications
8.750%, 08/01/15 100 112
Tenn Valley Authority
6.000%, 03/15/13 100 93
Tenneco
10.075%, 02/01/01 250 262
Texas Utilities
6.750%, 03/01/03 150 149
Trans-Canada Pipelines
8.625%, 05/15/12 150 163
Tyco International Group
6.125%, 01/15/09 100 92
Viacom
7.750%, 06/01/05 550 558
Virginia Electric & Power
7.375%, 07/01/02 150 153
Wal-Mart Stores
6.875%, 08/10/09 100 100
Walt Disney
6.750%, 03/30/06 100 100
Wells Fargo
8.375%, 05/15/02 230 239
Worldcom
6.400%, 08/15/05 150 146
-------
Total Corporate Bonds
(Cost $14,498) 14,236
-------
Asset-Backed Obligations -- 1.4%
Discover Card Master Trust I,
Ser 98-6, Cl A
5.850%, 01/17/06 400 390
Peco Energy Transition
6.130%, 03/01/09 150 141
Sears Credit Account Master Trust II,
Ser 95-3, Cl A
7.000%, 10/15/04 416 420
-------
Total Asset-Backed Obligations
(Cost $1,060) 951
-------
Yankee Bonds -- 2.3%
International Bank
8.250%, 09/01/16 200 222
Landeskredit Bank
7.875%, 04/15/04 250 262
Quebec Province
8.625%, 01/19/05 500 538
Republic of Ireland
7.875%, 12/01/01 200 206
<PAGE>
- --------------------------------------------------------------
Face Market
Amount (000) Value (000)
- --------------------------------------------------------------
Santander Financial
7.750%, 05/15/05 $ 150 $ 151
Sumitomo Bank
8.500%, 06/15/09 100 103
-------
Total Yankee Bonds
(Cost $1,476) 1,482
-------
Repurchase Agreements -- 2.5%
Lehman Brothers,
5.000%, dated 09/30/99,
matures 10/01/99,
repurchase price $1,608,000,
(collateralized by U.S. Treasury
Note, par value $1,550,000, 7.250%,
08/15/04, total market value:
$1,645,000) 1,607 1,607
-------
Total Repurchase Agreements
(Cost $1,607) 1,607
-------
Total Investments -- 99.5%
(Cost $65,095) 64,133
-------
Other Assets and Liabilities, Net -- 0.5% 289
-------
Net Assets:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 6,318,367 outstanding shares
of beneficial interest 66,088
Undistributed net investment income (1)
Accumulated net realized loss on
investments (703)
Net unrealized depreciation on investments (962)
-------
Total Net Assets -- 100.0% $64,422
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $10.20
======
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
TBA -- To Be Announced
The accompanying notes are an integral part of the financial statements.
10
<PAGE>
STATEMENT OF OPERATIONS (000)
- --------------------------------------------------------------------------------
SEI Index Funds -- For the Six Month Period Ended September 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
-------- -------
S&P 500 Bond
Index Index
Fund Fund
-------- -------
<S> <C> <C>
Investment Income:
Dividends $ 16,579 $ --
Interest Income 1,110 1,905
-------- -------
Total Investment income 17,689 1,905
-------- -------
Expenses:
Management Fees 2,711 106
Waiver of Management Fees (248) (26)
Investment Advisory Fees 370 21
Waiver of Investment Advisory Fees (108) --
Custodian Fees 98 2
Transfer Agent Fees 41 3
Professional Fees 37 7
Registration Fees 120 3
Trustee Fees 10 --
Pricing 8 --
Insurance Expense 15 --
12B-1 Fees 557 --
Licensing Fee 24 --
Withholding Tax Expense 88 --
Other Expenses 1 --
-------- -------
Total Expenses 3,724 116
-------- -------
Net Investment Income 13,965 1,789
-------- -------
Net Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) from Investments 5,836 (232)
Net Change in Unrealized Depreciation on Investments (19,418) (1,816)
Net Realized and Unrealized Loss on Investments (13,434) (2,048)
-------- -------
Net Increase (Decrease) in net assets from operations $ 383 $ (259)
======== =======
Amounts designated as "--" are zero or have been rounded to zero.
</TABLE>
The accompanying notes are an integral part of the financial statements.
11
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI Index Funds -- For the Six Month Period Ended September 30, 1999 (Unaudited)
and for the Years Ended March 31, 1999
<TABLE>
<CAPTION>
---------------------------- ----------------------------
S&P 500 Index Bond Index
Fund Fund
---------------------------- ----------------------------
4/1/99- 4/1/98- 4/1/99- 4/1/98-
9/30/99 3/31/99 9/30/99 3/31/99
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Operations:
Net Investment Income (Loss) $ 13,965 $ 22,687 $ 1,789 $ 2,830
Net Realized gain (Loss) from Securities Sold 5,836 45,489 (232) 181
Net Change in Unrealized Depreciation of
Investments (19,418) 260,224 (1,816) (250)
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets from Operations 383 328,400 (259) 2,761
----------- ----------- ----------- -----------
Distributions to Shareholders:
Net Investment Income:
Class A (9,345) (22,176) (1,790) (2,830)
Class E (3,515) -- -- --
Net Realized Gains: (17,545) --
Class A -- (22,176) -- (2,830)
Class E -- --
----------- ----------- ----------- -----------
Total Distributions (12,712) (39,721) (1,790) (2,830)
----------- ----------- ----------- -----------
Capital Share Transactions:
Class A:
Shares Issued 286,187 344,080 19,778 28,081
Reinvestment of Cash Distributions 5,799 10,245 362 722
Shares Redeemed (156,417) (199,284) (10,650) (15,035)
Increase (Decrease) in Net Assets Derived from
Class A Transactions 135,569 155,041 9,490 13,768
----------- ----------- ----------- -----------
Class E:
Shares Issued 166,097 439,964 -- --
Reinvestment of Cash Distributions 3,364 17,726 -- --
Shares Redeemed (121,356) (298,234) -- --
----------- ----------- ----------- -----------
Increase (Decrease) in Net Assets Derived from
Class E Transactions 48,105 98,434 -- --
----------- ----------- ----------- -----------
Increase (Decrease) in Net Assets Derived from
Class Share Transactions 183,674 253,475 9,490 13,768
----------- ----------- ----------- -----------
Net increase (Decrease) in Net Assets 171,197 542,154 7,441 13,699
----------- ----------- ----------- -----------
Net Assets:
Beginning of Period 2,294,155 1,752,001 56,981 43,282
----------- ----------- ----------- -----------
End of Period $ 2,465,352 $ 2,294,155 $ 64,422 $ 56,981
=========== =========== =========== ===========
Shares issued and redeemed:
Class A:
Shares Issued 6,905 9,422 49,658 2,626
Shares Issued in Lieu of Cash Distributions 138 291 858 68
Shares Redeemed (3,755) (5,571) (24,235) (1,411)
----------- ----------- ----------- -----------
Total Class A transactions 3,288 4,142 26,281 1,283
----------- ----------- ----------- -----------
Class E:
Shares Issued 3,985 12,076 -- --
Shares Issued in Lieu of Cash Distributions 80 502 -- --
Shares Redeemed (2,918) (8,321) -- --
----------- ----------- ----------- -----------
Total Class E Transactions 1,147 2,520 -- --
=========== =========== =========== ===========
</TABLE>
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
12
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SEI Index Funds -- For the Period Ended September 30, 1999 (Unaudited)
and for the Years Ended March 31,
For a Share Outstanding Throughout each Period
<TABLE>
<CAPTION>
Net Asset Net Realized and Dividends Distributions Ratio of
Value, Net Unrealized from Net from Net Asset Net Assets Expenses
Beginning Investment Gains or (Losses) Investment Capital Value, End Total End of to Average
of Period Income on Securities Income Gains of Period Return Period (000) Net Assets
-----------------------------------------------------------------------------------------------------------------
- ------------------
S&P 500 Index Fund
- ------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A+
1999* $40.13 $0.21 $(0.13) $(0.20) $ -- $40.01 0.13% $ 731,582 0.40%
1999 34.71 0.40 5.76 (0.40) (0.34) 40.13 18.05% 687,706 0.40%
1998 24.06 0.41 10.86 (0.41) (0.21) 34.71 47.43% 451,077 0.40%
1997 20.87 0.48 3.47 (0.43) (0.33) 24.06 19.22% 108,770 0.40%
1996(1) 20.82 -- 0.05 -- -- 20.87 0.24%* 3,007 0.46%
Class E++
1999* $40.23 $0.24 $(0.13) $(0.23) $ -- $40.11 0.28% $1,733,770 0.25%
1999 34.77 0.57 5.68 (0.45) (0.34) 40.23 18.29% 1,606,449 0.25%
1998 24.10 0.45 10.88 (0.45) (0.21) 34.77 47.62% 1,300,924 0.25%
1997 20.88 0.46 3.54 (0.45) (0.33) 24.10 19.46% 835,889 0.25%
1996 16.40 0.44 4.72 (0.37) (0.31) 20.88 31.88% 630,566 0.25%
1995 15.07 0.42 1.79 (0.42) (0.46) 16.40 15.26% 458,012 0.25%
- ------------------
Bond Index Fund
- ------------------
1999* $10.55 $0.30 $(0.35) $(0.30) $ -- $10.20 (0.42)% $ 64,422 0.38%
1999 10.52 0.62 0.03 (0.62) -- 10.55 6.25% 56,981 0.38%
1998 10.01 0.64 0.51 (0.64) -- 10.52 11.81% 43,282 0.38%
1997 10.26 0.64 (0.21) (0.68) -- 10.01 4.36% 35,691 0.38%
1996(2) 9.90 0.64 0.36 (0.64) -- 10.26 10.31% 51,185 0.38%
1995 10.09 0.63 (0.20) (0.62) -- 9.90 4.54% 45,643 0.38%
</TABLE>
<TABLE>
<CAPTION>
Ratio of
Ratio Net Investment
Ratio of Net of Expenses Income
Investment to Average to Average
Income Net Assets Net Assets Portfolio
to Average (Excluding (Excluding Turnover
Net Assets Waivers) Waivers) Rate
------------------------------------------------------
- ------------------
S&P 500 Index Fund
- ------------------
<S> <C> <C> <C> <C>
Class A+
1999* 1.04% 0.43% 1.01% 9%
1999 1.11% 0.44% 1.07% 7%
1998 1.37% 0.44% 1.33% 4%
1997 1.84% 0.46% 1.78% 2%
1996(1) 0.97% 0.58% 0.85% 3%
Class E++
1999* 1.19% 0.28% 1.16% 9%
1999 1.26% 0.54% 0.97% 7%
1998 1.55% 0.54% 1.26% 4%
1997 2.03% 0.54% 1.74% 2%
1996 2.31% 0.35% 2.21% 3%
1995 2.69% 0.35% 2.59% 4%
- ------------------
Bond Index Fund
- ------------------
1999* 5.92% 0.71% 5.59% 41%
1999 5.79% 0.72% 5.45% 40%
1998 6.22% 0.78% 5.82% 44%
1997 6.26% 0.71% 5.93% 46%
1996(2) 6.20% 0.48% 6.10% 59%
1995 6.33% 0.48% 6.23% 21%
</TABLE>
* For the period ended 9/30/99. 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.
13
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI Index Funds -- September 30, 1999 (Unaudited)
1. Organization
SEI Index Funds (the "Trust") was organized as a Massachusetts Business Trust
under a Declaration of Trust dated March 6, 1985. The Trust is registered under
the Investment Company Act of 1940, as amended, as a diversified, open-end
management investment company with two 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
14
<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 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
15
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI Index Funds -- September 30, 1999 (Unaudited)
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.
Comercia 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 September 30, 1999,
were as follows:
U.S.
Government
Securities All Other Total
(000) (000) (000)
---------- --------- ------
S&P 500 Index Fund
Purchases $ -- $213,571 $213,571
Sales -- 41,882 41,882
Bond Index Fund
Purchases $19,108 $ 4,451 $ 23,559
Sales 12,999 932 13,931
The aggregate gross unrealized appreciation and depreciation on securities
at September 30, 1999, for each Fund is as follows:
Net
Unrealized
Appreciated Depreciated Appreciation/
Securities Securities Depreciation
(000) (000) (000)
----------- ----------- -------------
S&P 500 Index Fund $1,041,826 $(49,697) $992,129
Bond Index Fund 426 (1,388) (962)
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 September
30, 1999.
% of
Fund
Moody's Value
------- -------
U.S. Government Securities .............. 71.19%
Repurchase Agreements ................... 2.51%
Other Bonds
Aaa ................................ 3.92%
Aa ................................. 4.44%
A .................................. 10.94%
Baa ................................ 7.00%
------
100.00%
======
16
<PAGE>
- --------------------------------------------------------------------------------
6. Futures Contracts
A summary of the open S&P 500 Index futures contracts held by the S&P 500 Index
Fund at September 30, 1999 is as follows:
Unrealized
Number of Trade Settlement Gain (Loss)
Contracts Price Month (000)
--------- -------- ------------- -----------
10 1,283.00 December 1999 38
15 1,284.00 December 1999 53
23 1,289.00 December 1999 53
15 1,277.00 December 1999 76
3 1,279.50 December 1999 14
----
$234
====
17
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
- ---------------------
SEI INDEX FUNDS
- ---------------------
SEMI-ANNUAL REPORT
- ---------------------
September 30, 1999
Robert A. Nesher
Chairman
Trustees
William M. Doran
F. Wendell Gooch
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
Linda Striegel
Vice President, Assistant Secretary
James Foggo
Vice President, Assistant Secretary
Kevin P. Robins
Vice President, Assistant Secretary
Cynthia M. Parrish
Vice President, Assistant Secretary
Lydia Gavalis
Vice President, Assistant Secretary
Richard W. Grant
Secretary
Investment Advisers
SEI Investments Management Corporation
Mellon Bond Associates
Sub-Advisor
World Asset Management
Manager and Shareholder Servicing Agent
SEI Investments Fund Management
Distributor
SEI Investments Distribution Co.
Legal Counsel
Morgan, Lewis & Bockius LLP
Independent Public Accountants
Arthur Andersen LLP
This semi-annual report and the financial statements contained herein are
submitted for the general information of the shareholders of the Trust and must
be preceded or accompanied by a current prospectus. Shares of the SEI Funds are
not deposits or obligations of, or guaranteed or endorsed by, any bank. The
shares are not federally insured by the Federal Deposit Insurance Corporation
(FDIC), the Federal Reserve Board, or any other government agency. Investment in
the shares involves risk, including the possible loss of principal. SEI
Investments Distribution Co., the Distributor of the SEI Funds, is not
affiliated with any bank.
For more information call 1-800-DIAL-SEI/1-800-342-5734
<PAGE>
SEI Investments
Distribution
Co.
Oaks, PA 19456
800-DIAL-SEI/800-342-5734
SEI-F-040-09
