SEMI-ANNUAL REPORT AS OF
SEPTEMBER 30, 2000
(UNAUDITED)
SEI INDEX FUNDS
--------------------------------------------------------------------------------
S&P 500 Index Fund
--------------------------------------------------------------------------------
Bond Index Fund
--------------------------------------------------------------------------------
SEI INVESTMENTS [logo omitted]
<PAGE>
TABLE OF CONTENTS
--------------------------------------------------------------------------------
STATEMENTS OF NET ASSETS............................................. 1
STATEMENTS OF OPERATIONS............................................. 12
STATEMENTS OF CHANGES IN NET ASSETS.................................. 13
FINANCIAL HIGHLIGHTS................................................. 14
NOTES TO FINANCIAL STATEMENTS........................................ 15
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INDEX FUNDS -- SEPTEMBER 30, 2000 (UNAUDITED)
S&P 500 INDEX FUND
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
COMMON STOCKS -- 99.4%
AEROSPACE & DEFENSE -- 1.1%
BF Goodrich 24,050 $ 942
Boeing 212,471 13,386
General Dynamics 46,960 2,950
Lockheed Martin 101,132 3,333
Northrop Grumman 16,965 1,542
Raytheon 80,540 2,290
United Technologies 110,844 7,676
--------
32,119
--------
AIR TRANSPORTATION -- 0.6%
AMR* 35,470 1,159
Delta Air Lines 28,970 1,286
FedEx* 67,504 2,993
Honeywell International 189,702 6,758
Southwest Airlines 118,100 2,864
Textron 34,010 1,569
US Airways Group* 15,865 483
--------
17,112
--------
APPAREL/TEXTILES -- 0.1%
Liz Claiborne 12,650 487
Russell 7,665 122
Springs Industries 4,270 120
VF 27,160 671
--------
1,400
--------
AUTOMOTIVE -- 1.0%
Cooper Tire & Rubber 17,200 173
Dana 35,357 760
Delphi Automotive Systems 132,617 2,006
Ford Motor 448,238 11,346
General Motors 127,030 8,257
Genuine Parts 41,392 789
Goodyear Tire & Rubber 37,070 667
ITT Industries 20,865 677
Navistar International* 14,026 420
Paccar 18,108 671
Rockwell International 43,830 1,326
TRW 29,420 1,195
Visteon 30,995 469
--------
28,756
--------
BANKS -- 5.3%
Amsouth Bancorporation 89,200 1,115
Bank of America 389,012 20,375
Bank of New York 174,800 9,800
Bank One 273,601 10,568
BB&T 94,700 2,853
Charter One Financial 49,720 1,212
Chase Manhattan 309,865 14,312
Comerica 37,050 2,165
Fifth Third Bancorp 110,075 5,930
First Union 233,214 7,507
Firstar 226,894 5,077
FleetBoston Financial 213,644 8,332
Golden West Financial 37,415 2,006
Huntington Bancshares 59,553 875
Keycorp 101,942 2,580
Mellon Financial 115,620 5,362
National City 143,800 3,182
Northern Trust 52,500 4,666
Old Kent Financial 32,405 938
PNC Financial Services Group 68,460 4,450
Regions Financial 51,800 1,175
SouthTrust 39,800 1,251
State Street 38,200 4,966
Summit Bancorp 41,200 1,421
Suntrust Banks 70,630 3,518
Synovus Financial 67,300 1,426
Union Planters 31,900 1,055
US Bancorp 176,631 4,018
Wachovia 48,178 2,731
Washington Mutual 127,647 5,082
Wells Fargo 389,852 17,909
--------
157,857
--------
BEAUTY PRODUCTS -- 1.5%
Alberto-Culver, Cl B 13,180 380
Avon Products 56,240 2,299
Colgate-Palmolive 135,976 6,418
Gillette 249,276 7,696
International Flavors &
Fragrances 23,695 432
Kimberly-Clark 127,474 7,115
Procter & Gamble 309,708 20,750
--------
45,090
--------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.8%
Clear Channel Communications* 138,635 7,833
Comcast, Cl A* 214,254 8,771
Interpublic Group 72,900 2,483
Omnicom Group 42,100 3,071
Young & Rubicam 17,400 861
--------
23,019
--------
BUILDING & CONSTRUCTION -- 0.2%
Armstrong Holdings 9,565 114
Centex 13,980 449
Fluor 17,930 538
Kaufman & Broad Home 11,437 308
Masco 108,280 2,017
Pulte 9,590 316
Vulcan Materials 23,900 960
--------
4,702
--------
1
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INDEX FUNDS -- SEPTEMBER 30, 2000 (UNAUDITED)
S&P 500 INDEX FUND--CONTINUED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
CHEMICALS -- 0.9%
Air Products & Chemicals 54,340 $ 1,956
Ashland 16,525 557
Dow Chemical 160,550 4,004
Eastman Chemical 18,191 672
EI du Pont de Nemours 246,886 10,230
Engelhard 30,217 491
FMC* 7,165 481
Great Lakes Chemical 12,400 363
Hercules 25,395 359
PPG Industries 41,190 1,635
Praxair 37,465 1,400
Rohm & Haas 51,323 1,492
Sigma-Aldrich 19,100 630
Union Carbide 31,965 1,207
WR Grace* 15,900 109
--------
25,586
--------
COMPUTERS & SERVICES -- 16.4%
America Online* 546,700 29,385
Apple Computer* 76,940 1,981
Autodesk 13,600 345
Cabletron Systems* 43,600 1,281
Ceridian* 34,430 966
Cisco Systems* 1,680,400 92,842
Compaq Computer 402,556 11,102
Computer Associates
International 139,952 3,525
Computer Sciences* 39,820 2,957
Dell Computer* 612,600 18,876
Electronic Data Systems 110,500 4,586
EMC-Mass* 516,300 51,178
Gateway* 76,300 3,567
Hewlett-Packard 236,160 22,908
International Business Machines 416,920 46,904
Lexmark International* 30,200 1,133
Microsoft* 1,246,100 75,155
NCR* 22,700 858
Novell* 76,900 764
Oracle* 666,528 52,489
Palm* 133,801 7,083
Sapient* 28,100 1,143
Seagate Technology* 54,200 3,740
Sun Microsystems* 375,700 43,863
Unisys* 74,085 833
Veritas Software* 95,200 13,518
--------
492,982
--------
CONTAINERS & PACKAGING -- 0.1%
Ball 6,895 218
Bemis 12,590 404
Crown Cork & Seal 29,785 318
Newell Rubbermaid 63,136 1,440
Owens-Illinois* 34,600 320
Pactiv* 40,112 449
Sealed Air* 19,786 895
--------
4,044
--------
DATA PROCESSING -- 0.5%
Automatic Data Processing 148,540 9,934
First Data 96,004 3,750
IMS Health 70,364 1,460
--------
15,144
--------
DIVERSIFIED MANUFACTURING -- 1.2%
Cooper Industries 22,095 779
Crane 14,419 330
Danaher 33,600 1,672
Illinois Tool Works 71,434 3,991
Minnesota Mining &
Manufacturing 93,630 8,532
National Service Industries 9,685 189
Tyco International Ltd. 398,940 20,695
--------
36,188
--------
DRUGS -- 8.2%
Abbott Laboratories 367,020 17,456
Allergan 31,100 2,626
Alza* 27,370 2,368
American Home Products 308,680 17,460
Biogen* 35,000 2,135
Bristol-Myers Squibb 465,380 26,585
Cardinal Health 65,758 5,799
Eli Lilly 267,420 21,694
McKesson HBOC 67,291 2,057
Medimmune* 49,700 3,839
Merck 544,750 40,550
Pfizer 1,495,035 67,183
Pharmacia 307,255 18,493
Schering-Plough 346,920 16,132
Watson Pharmaceutical* 24,200 1,570
--------
245,947
--------
ELECTRICAL SERVICES -- 6.9%
AES* 108,200 7,412
Ameren 32,500 1,361
American Electric Power 76,265 2,984
Cinergy 37,592 1,243
CMS Energy 26,100 703
Consolidated Edison 50,190 1,713
Constellation Energy Group 35,495 1,766
CP&L Energy 37,800 1,576
Dominion Resources 56,308 3,269
DTE Energy 33,735 1,290
Duke Energy 87,106 7,469
Edison International 77,140 1,490
2
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Emerson Electric 101,130 $ 6,776
Entergy 52,820 1,968
FirstEnergy 54,105 1,457
Florida Progress 23,400 1,239
FPL Group 42,128 2,770
General Electric 2,345,380 135,299
GPU 28,700 931
Niagara Mohawk Holdings* 37,965 598
PECO Energy 40,175 2,433
PG&E 91,345 2,209
Pinnacle West Capital 20,100 1,023
PPL 34,200 1,428
Public Service Enterprise Group 50,783 2,269
Reliant Energy 69,651 3,239
Southern 153,626 4,983
TXU 62,535 2,478
Unicom 41,595 2,337
XCEL Energy 80,320 2,209
--------
207,922
--------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT -- 0.7%
Adaptec* 23,500 470
Adobe Systems 28,400 4,409
American Power Conversion* 46,100 885
Eaton 17,230 1,062
Johnson Controls 20,330 1,081
Millipore 10,990 532
Molex 46,500 2,531
Sanmina* 35,800 3,352
Solectron* 142,400 6,568
Tektronix 11,355 872
Thomas & Betts 13,740 240
--------
22,002
--------
ENTERTAINMENT -- 1.4%
Time Warner 313,428 24,526
Walt Disney 493,601 18,880
--------
43,406
--------
ENVIRONMENTAL SERVICES -- 0.1%
Allied Waste Industries* 46,600 428
Ecolab 30,300 1,093
Waste Management 147,214 2,567
--------
4,088
--------
FINANCIAL SERVICES -- 6.8%
American Express 315,341 19,157
Associates First Capital, Cl A 172,492 6,555
Bear Stearns 25,507 1,607
Capital One Financial 46,500 3,258
Charles Schwab 326,932 11,606
CIT Group, Cl A 62,100 1,087
Citigroup 1,067,975 57,737
Countrywide Credit Industries 27,000 1,019
Equifax 33,400 900
Fannie Mae 238,560 17,057
Franklin Resources 57,700 2,564
Freddie Mac 164,600 8,899
Household International 111,891 6,336
JP Morgan 37,630 6,148
Lehman Brothers Holdings 28,700 4,240
MBNA 201,712 7,766
Merrill Lynch 190,200 12,553
Morgan Stanley Dean Witter 266,422 24,361
Paine Webber Group 35,000 2,384
Providian Financial 33,795 4,292
Stilwell Financial* 53,200 2,314
T. Rowe Price Associates 28,700 1,347
USA Education 36,800 1,773
--------
204,960
--------
FOOD, BEVERAGE & TOBACCO -- 4.2%
Adolph Coors, Cl B 8,765 554
Anheuser-Busch 214,500 9,076
Archer-Daniels-Midland 149,728 1,291
Bestfoods 65,720 4,781
Brown-Forman, Cl B 16,260 890
Campbell Soup 99,760 2,581
Coca-Cola 586,560 32,334
Coca-Cola Enterprises 99,100 1,579
Conagra 126,184 2,532
Fortune Brands 37,140 984
General Mills 67,620 2,401
HJ Heinz 82,320 3,051
Hershey Foods 32,400 1,754
Kellogg 96,080 2,324
Nabisco Group Holdings 77,300 2,203
Pepsico 341,680 15,717
Philip Morris 533,230 15,697
Quaker Oats 31,360 2,481
Ralston Purina Group 72,680 1,722
Sara Lee 205,860 4,182
Seagram Ltd. 103,400 5,939
Supervalu 31,360 472
Sysco 78,920 3,655
Unilever ADR 135,350 6,531
UST 38,440 879
Wm. Wrigley Jr. 26,905 2,015
--------
127,625
--------
FOOTWEAR -- 0.1%
Nike, Cl B 63,920 2,561
Reebok International Ltd.* 13,520 254
--------
2,815
--------
3
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INDEX FUNDS -- SEPTEMBER 30, 2000 (UNAUDITED)
S&P 500 INDEX FUND--CONTINUED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
GAS/NATURAL GAS -- 0.9%
Columbia Energy Group 18,872 $ 1,340
Eastern Enterprises 6,391 408
EL Paso Energy 55,030 3,391
Enron 174,968 15,332
KeySpan 31,800 1,276
Nicor 10,900 394
Oneok 6,900 274
Peoples Energy 8,340 278
Sempra Energy 48,327 1,006
Williams 104,890 4,432
--------
28,131
--------
HOTEL & MOTEL -- 0.1%
Harrah's Entertainment* 27,585 759
Hilton Hotels 87,305 1,009
Marriott International, Cl A 56,840 2,071
--------
3,839
--------
HOUSEHOLD PRODUCTS -- 0.2%
Clorox 55,618 2,200
Leggett & Platt 46,500 735
Maytag 18,330 569
Sherwin-Williams 38,560 824
Tupperware 13,650 246
Whirlpool 16,905 657
--------
5,231
--------
INSURANCE -- 3.8%
Aetna 33,387 1,939
Aflac 62,800 4,023
Allstate 173,904 6,043
American General 59,839 4,667
American International Group 547,920 52,429
AON 60,375 2,370
Chubb 41,418 3,277
Cigna 37,290 3,893
Cincinnati Financial 38,100 1,353
Conseco 77,053 588
Hartford Financial Services 53,130 3,875
Jefferson-Pilot 24,405 1,656
Lincoln National 45,160 2,173
Loews 23,400 1,951
Marsh & McLennan 64,215 8,525
MBIA 23,300 1,657
MGIC Investment 25,200 1,540
Progressive-Ohio 17,400 1,425
Safeco 30,220 823
St. Paul 52,876 2,607
Torchmark 30,174 839
UnitedHealth Group 38,000 3,753
UnumProvident 56,973 1,553
--------
112,959
--------
LEISURE PRODUCTS -- 0.1%
Brunswick 20,630 376
Hasbro 40,767 466
Mattel 100,965 1,130
--------
1,972
--------
MACHINERY & MANUFACTURING OPERATIONS -- 0.4%
Black & Decker 19,735 675
Briggs & Stratton 5,140 194
Caterpillar 81,900 2,764
Cummins Engine 9,840 295
Deere 55,590 1,848
Dover 48,040 2,255
Ingersoll-Rand 38,105 1,291
McDermott International 14,265 157
Pall 29,193 582
Parker-Hannifin 26,478 894
Snap-On 13,897 327
Stanley Works 20,430 471
Timken 14,340 196
WW Grainger 22,280 586
--------
12,535
--------
MARINE TRANSPORTATION -- 0.1%
Carnival 139,600 3,438
--------
MEASURING DEVICES -- 0.5%
Agilent Technologies* 107,237 5,248
Mallinckrodt 15,885 725
PE Biosystems Group 49,360 5,750
PerkinElmer 11,640 1,215
Thermo Electron* 41,100 1,069
--------
14,007
--------
MEDICAL PRODUCTS & SERVICES -- 3.0%
Amgen* 243,500 17,003
Bausch & Lomb 12,580 490
Baxter International 69,173 5,521
Becton Dickinson 59,920 1,584
Biomet 42,100 1,474
Boston Scientific* 96,200 1,581
CR Bard 12,035 508
Guidant* 72,700 5,139
HCA - Healthcare 132,159 4,906
Healthsouth* 91,312 742
Humana* 39,300 422
Johnson & Johnson 329,240 30,928
Manor Care* 24,247 380
Medtronic 283,680 14,698
St. Jude Medical* 19,950 1,017
Tenet Healthcare* 74,560 2,712
Wellpoint Health Networks* 14,900 1,430
--------
90,535
--------
4
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
METAL & METAL INDUSTRIES -- 0.4%
Alcan Aluminium Ltd. 51,852 $ 1,500
Alcoa 205,054 5,190
Allegheny Technologies 19,274 349
Barrick Gold 93,700 1,429
Bethlehem Steel* 31,330 94
Freeport-McMoran Copper
& Gold, Cl B* 36,200 319
Homestake Mining 62,300 323
Inco Ltd.* 43,000 693
Newmont Mining 39,822 677
Nucor 19,180 578
Phelps Dodge 18,680 780
Placer Dome 77,529 732
USX-US Steel Group 20,967 318
Worthington Industries 20,322 191
--------
13,173
--------
MISCELLANEOUS BUSINESS SERVICES -- 0.3%
Cendant* 171,910 1,870
Convergys* 36,400 1,415
Deluxe 17,155 348
Dun & Bradstreet 38,432 1,324
Block H&R 23,170 859
Paychex 88,125 4,627
--------
10,443
--------
MOTORCYCLES -- 0.1%
Harley-Davidson 71,600 3,428
--------
OFFICE SUPPLIES & EQUIPMENT -- 0.2%
Avery Dennison 26,430 1,226
Pitney Bowes 60,420 2,383
Xerox 157,850 2,378
--------
5,987
--------
PAPER & PAPER PRODUCTS -- 0.4%
Boise Cascade 13,531 359
Fort James 48,427 1,480
Georgia-Pacific Group 40,400 949
International Paper 114,490 3,284
Louisiana-Pacific 24,712 227
Mead 24,320 568
Potlatch 6,770 214
Temple-Inland 12,090 458
Westvaco 23,790 635
Weyerhaeuser 52,170 2,106
Willamette Industries 25,900 725
--------
11,005
--------
PETROLEUM & FUEL PRODUCTS -- 5.9%
Amerada Hess 21,330 1,428
Anadarko Petroleum 57,541 3,824
Apache 28,900 1,709
Baker Hughes 78,348 2,909
Burlington Resources 51,063 1,880
Chevron 154,520 13,173
Coastal 50,804 3,766
Conoco, Cl B 147,466 3,972
Devon Energy 30,196 1,816
Exxon Mobil 824,907 73,520
Halliburton 105,510 5,163
Kerr-McGee 22,352 1,481
Occidental Petroleum 87,330 1,905
Phillips Petroleum 60,335 3,786
Rowan* 22,305 647
Royal Dutch Petroleum ADR 507,740 30,433
Schlumberger Ltd. 134,934 11,107
Sunoco 20,670 557
Texaco 130,520 6,852
Tosco 34,200 1,067
Transocean Sedco Forex 49,816 2,920
Unocal 57,490 2,037
USX-Marathon Group 73,935 2,098
--------
178,050
--------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.1%
Eastman Kodak 72,865 2,978
Polaroid 10,658 143
--------
3,121
--------
PRINTING & PUBLISHING -- 0.5%
American Greetings, Cl A 15,300 268
Dow Jones 20,700 1,252
Gannett 62,470 3,311
Knight Ridder 17,870 908
McGraw-Hill 46,140 2,933
Meredith 11,980 353
New York Times, Cl A 39,560 1,555
R.R. Donnelley & Sons 28,860 709
Tribune 73,020 3,186
--------
14,475
--------
RAILROADS -- 0.2%
Burlington Northern Santa Fe 95,700 2,064
CSX 51,818 1,130
Norfolk Southern 90,800 1,328
Union Pacific 58,740 2,284
--------
6,806
--------
5
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INDEX FUNDS -- SEPTEMBER 30, 2000 (UNAUDITED)
S&P 500 INDEX FUND--CONCLUDED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
RETAIL -- 5.5%
Albertson's 100,223 $ 2,105
Autozone* 30,200 685
Bed Bath & Beyond* 66,900 1,632
Best Buy* 49,000 3,118
Circuit City Stores-
Circuit City Group 48,600 1,118
Cons Stores* 26,324 355
CVS 92,513 4,285
Darden Restaurants 28,960 603
Dillards, Cl A 22,120 235
Dollar General 77,785 1,303
Federated Department Stores* 49,200 1,285
Gap 201,330 4,052
Harcourt General 17,266 1,019
Home Depot 548,383 29,099
JC Penney 61,930 732
K Mart* 113,680 682
Kohl's* 78,100 4,505
Kroger* 195,520 4,411
Limited 102,196 2,255
Longs Drug Stores 8,990 172
Lowe's Companies 90,588 4,065
May Department Stores 75,243 1,542
McDonald's 312,700 9,440
Nordstrom 30,860 480
Office Depot* 72,400 566
Radio Shack 43,988 2,843
Safeway* 117,700 5,495
Sears Roebuck 81,225 2,633
Staples* 107,550 1,526
Starbucks* 44,300 1,775
Target 215,460 5,521
Tiffany 34,400 1,327
TJX 69,240 1,558
Toys 'R' Us* 51,165 831
Tricon Global Restaurants* 34,498 1,057
Wal-Mart Stores 1,057,640 50,899
Walgreen 239,160 9,073
Wendy's International 26,875 539
Winn-Dixie Stores 33,360 480
--------
165,301
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 5.9%
Advanced Micro Devices* 73,760 1,743
Altera* 94,500 4,512
Analog Devices* 84,100 6,944
Applied Materials* 192,100 11,394
Broadcom, Cl A* 52,600 12,821
Conexant Systems* 53,900 2,257
Intel 1,589,860 66,079
JDS Uniphase* 221,600 20,983
Kla-Tencor* 44,000 1,812
Linear Technology 73,700 4,772
LSI Logic* 73,500 2,150
Maxim Integrated Products* 66,900 5,381
Micron Technology* 133,700 6,150
National Semiconductor* 42,012 1,691
Novellus Systems* 31,000 1,443
Teradyne* 41,100 1,439
Texas Instruments 409,280 19,313
Xilinx* 77,800 6,662
--------
177,546
--------
SOFTWARE -- 1.0%
BMC Software* 58,482 1,118
Citrix Systems* 44,000 883
Compuware* 86,400 724
Mercury Interactive* 18,900 2,963
Parametric Technology* 64,500 705
Peoplesoft* 66,262 1,851
Siebel Systems* 98,700 10,987
Yahoo* 130,100 11,839
--------
31,070
--------
TELEPHONE & TELECOMMUNICATION -- 11.6%
ADC Telecommunications* 167,200 4,496
Alltel 74,682 3,897
Andrew* 19,215 503
AT&T 889,384 26,126
BellSouth 443,812 17,863
CenturyTel 33,300 907
Comverse Technology* 36,900 3,985
Corning 69,646 20,685
Global Crossing Ltd.* 208,460 6,462
Lucent Technologies 790,732 24,167
Motorola 516,351 14,587
Network Appliance* 74,000 9,426
Nextel Communications, Cl A* 180,300 8,429
Nortel Networks 707,300 42,129
Qualcomm* 176,400 12,569
Qwest Communications
International* 393,228 18,900
SBC Communications 802,585 40,129
Scientific-Atlanta 37,668 2,397
Sprint (FON Group) 209,500 6,141
Sprint (PCS Group)* 219,800 7,707
Tellabs* 97,100 4,637
Verizon Communications* 643,631 31,176
Viacom, Cl B* 359,079 21,006
Worldcom* 680,310 20,664
--------
348,988
--------
TESTING LABORATORIES -- 0.0%
Quintiles Transnational* 27,400 437
--------
6
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
TRAVEL SERVICES -- 0.0%
Sabre Holdings* 30,532 $ 884
----------
TRUCKING & LEASING -- 0.0%
Ryder System 14,130 261
----------
WHOLESALE -- 0.1%
Costco Wholesale* 105,816 3,697
----------
Total Common Stocks
(Cost $1,661,683) 2,990,083
----------
U.S. TREASURY OBLIGATIONS -- 0.1%
United States Treasury Bills (A)
6.152%, 12/07/00
5.840%, 12/07/00 $ 3,500 3,461
----------
Total U.S. Treasury Obligations
(Cost $3,461) 3,461
----------
REPURCHASE AGREEMENT -- 1.0%
JP Morgan
6.600%, dated 09/29/00,
matures 10/02/00, repurchase
price $29,681,275 (collateralized
by various GNMA obligations, par
value $34,907,532, 6.00%-6.500%,
10/15/28-04/20/29, total market
value $30,263,805) 29,670 29,670
----------
Total Repurchase Agreement
(Cost $29,670) 29,670
----------
Total Investments -- 100.5%
(Cost $1,694,814) 3,023,214
----------
Other Assets and Liabilities, Net -- (0.5%) (14,770)
----------
NET ASSETS:
Fund Shares of Class A
(unlimited authorization -- no par value)
based on 22,823,289 outstanding shares
of beneficial interest $ 760,394
Fund Shares of Class E
(unlimited authorization -- no par value)
based on 44,717,077 outstanding shares
of beneficial interest 964,371
Undistributed net investment income 6,267
Accumulated net realized loss
on investments (50,051)
Net unrealized depreciation on futures (937)
Net unrealized appreciation on investments 1,328,400
----------
Total Net Assets -- 100.0% 3,008,444
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $44.46
======
Net Asset Value, Offering and Redemption
Price Per Share -- Class E $44.58
======
* NON-INCOME PRODUCING SECURITY
(A) SECURITIES PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS. THE RATE SHOWN
IS THE EFFECTIVE YIELD AT TIME OF PURCHASE.
ADR -- AMERICAN DEPOSITARY RECEIPT
CL -- CLASS
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
LTD. -- LIMITED
The acompanying notes are an integral part of the financial statements.
7
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INDEX FUNDS -- SEPTEMBER 30, 2000 (UNAUDITED)
BOND INDEX FUND
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 26.2%
U.S. Treasury Bonds
11.750%, 02/15/10-11/15/14 $ 600 $ 800
8.875%, 02/15/19 990 1,287
8.750%, 05/15/17 445 565
8.500%, 02/15/20 200 253
8.000%, 11/15/21 180 220
7.625%, 11/15/22 1,445 1,707
6.500%, 11/15/26 625 660
6.375%, 08/15/27 500 520
6.250%, 08/15/23 1,375 1,400
U.S. Treasury Notes
11.625%, 11/15/02 200 222
10.750%, 05/15/03-08/15/05 2,975 3,319
9.125%, 05/15/09 1,050 1,150
7.500%, 11/15/01 100 102
7.000%, 07/15/06 200 210
6.750%, 05/15/05 300 311
6.500%, 05/31/02-10/15/06 2,070 2,120
6.250%, 01/31/02-06/30/02 750 751
6.000%, 08/15/04 1,325 1,329
-------
Total U.S. Treasury Obligations
(Cost $16,561) 16,926
-------
U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS -- 37.2%
FHLMC
10.500%, 12/01/17-06/01/19 18 19
9.500%, 08/01/17-02/01/21 51 52
9.000%, 11/01/04-07/01/09 19 19
8.500%, 10/01/01-01/01/10 35 36
8.000%, 01/01/11-08/01/30 578 587
7.500%, 05/01/07-11/01/29 1,191 1,190
7.000%, 09/01/03-10/01/29 1,977 1,945
6.500%, 07/01/08-05/01/29 2,838 2,737
6.000%, 06/01/11-04/01/29 1,643 1,554
5.500%, 02/01/14 175 166
FNMA
9.500%, 02/01/21 4 4
9.000%, 11/01/26 39 41
8.500%, 05/01/07-04/01/30 159 164
8.000%, 08/01/07-02/01/30 842 854
7.500%, 06/01/07-05/01/30 1,206 1,206
7.000%, 02/01/08-12/01/29 2,470 2,423
6.500%, 03/01/03-06/01/29 3,076 2,970
6.000%, 05/01/04-01/01/29 1,958 1,853
5.500%, 12/01/13-02/01/29 265 246
GNMA
11.500%, 04/15/15 22 24
10.000%, 09/15/18-02/20/21 14 15
9.500%, 09/15/09-07/15/17 24 25
9.000%, 11/15/19-09/15/25 245 254
8.500%, 02/15/17-11/15/22 157 161
8.000%, 10/15/07-03/15/30 532 541
7.500%, 01/15/23-01/15/30 1,065 1,067
7.000%, 06/15/14-07/15/29 1,833 1,808
6.500%, 03/15/11-07/15/29 1,730 1,668
6.000%, 09/15/28-02/15/29 440 413
-------
Total U.S. Agency Mortgage-Backed Obligations
(Cost $24,362) 24,042
-------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 11.4%
FFCB
6.000%, 10/01/01 300 299
FHLB
6.000%, 08/15/02 225 223
5.800%, 09/02/08 250 235
5.580%, 08/17/01 300 298
5.440%, 10/15/03 150 146
FHLMC
7.900%, 09/19/01 250 253
7.000%, 07/15/05 235 239
6.750%, 09/15/29 100 98
6.450%, 04/29/09 400 379
6.300%, 06/01/04 300 295
5.750%, 06/15/01-04/15/08 1,750 1,716
FNMA
8.250%, 12/18/00 50 50
7.500%, 02/11/02 100 101
7.125%, 01/15/30 35 36
6.250%, 05/15/29 225 209
6.000%, 05/15/08 650 621
5.250%, 01/15/09 650 587
4.750%, 11/14/03 700 665
FNMA (A)
8.764%, 07/05/14 415 162
FNMA MTN
6.240%, 01/14/08 150 143
Resolution Funding Corporation
8.875%, 04/15/30 230 290
Tennessee Valley Authority
6.375%, 06/15/05 200 197
6.000%, 03/15/13 100 92
-------
Total U.S. Government Agency Obligations
(Cost $7,393) 7,334
-------
8
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
CORPORATE BONDS -- 19.4%
Alcoa
6.750%, 01/15/28 $ 85 $ 76
Alltel
6.800%, 05/01/29 100 85
American Airlines
7.024%, 10/15/09 125 122
Associates of North America
5.750%, 11/01/03 375 363
5.600%, 01/15/01 300 299
AT&T
5.625%, 03/15/04 500 477
AT&T Capital MTN
6.600%, 05/15/05 200 196
Auburn Hills Trust
12.000%, 05/01/20 100 142
Bank of America
7.625%, 04/15/05 100 102
Bankamerica Capital II
8.000%, 12/15/26 125 117
BellSouth Telecommunications
6.500%, 06/15/05 100 98
Boeing
6.750%, 09/15/02 150 150
Bowater
9.000%, 08/01/09 150 156
Burlington Northern Santa Fe
6.125%, 03/15/09 100 91
Cabot
8.340%, 08/05/22 500 481
Campbell Soup
8.875%, 05/01/21 300 341
Canada Government
5.250%, 11/05/08 265 240
Capital One Bank
6.700%, 05/15/08 100 92
Caterpillar
8.000%, 02/15/23 50 50
Chase Manhattan
8.625%, 05/01/02 150 154
CIT Group
5.875%, 10/15/08 200 179
CitiFinancial
6.500%, 08/01/04 150 147
Citigroup
8.625%, 02/01/07 200 216
CNA Financial
6.600%, 12/15/08 100 88
Coastal
9.625%, 05/15/12 125 143
Coca-Cola Enterprises
8.500%, 02/01/22 100 106
ConAgra
7.400%, 09/15/04 260 261
Conoco
6.950%, 04/15/29 100 92
Countrywide Home Loan MTN
7.200%, 10/30/06 100 98
CP&L Energy
7.500%, 03/01/23 85 79
DaimlerChrysler
7.450%, 03/01/27 40 38
Dell Computer
7.100%, 04/15/28 100 90
Diageo PLC
8.000%, 09/15/22 100 101
EI du Pont de Nemours
8.250%, 09/15/06 100 107
Enron
6.750%, 09/01/04 100 99
EOP Operating LP
6.800%, 01/15/09 150 139
Federated Department Stores
8.125%, 10/15/02 150 151
First Union
6.300%, 04/15/28 300 272
FleetBoston Financial
6.375%, 05/15/08 150 141
Ford Motor
6.625%, 02/15/28 125 105
Ford Motor Credit
7.500%, 01/15/03 125 126
6.125%, 01/09/06 400 378
General Electric Global
Insurance
7.000%, 02/15/26 100 92
General Motors Acceptance
8.500%, 01/01/03 150 155
Hertz
7.000%, 01/15/28 100 87
Household Finance MTN
6.125%, 07/15/02 100 98
JP Morgan
5.750%, 10/15/08 200 181
Marconi PLC
7.750%, 09/15/10 125 124
May Department Stores
9.875%, 12/01/02 100 106
Midamerican Energy Holdings
8.480%, 09/15/28 70 73
Morgan Stanley Dean Witter
6.875%, 03/01/07 200 197
National City Bank of Michigan
8.500%, 05/15/02 250 255
9
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INDEX FUNDS -- SEPTEMBER 30, 2000 (UNAUDITED)
BOND INDEX FUND--CONCLUDED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
New Century Energies
7.125%, 06/01/06 $ 200 $ 198
New York Telephone
8.625%, 11/15/10 200 215
News America Holdings
7.700%, 10/30/25 150 138
Niagara Mohawk Power
7.750%, 05/15/06 225 230
Nordstrom
5.625%, 01/15/09 100 85
Norfolk Southern
7.700%, 05/15/17 170 164
Occidental Petroleum
7.375%, 11/15/08 200 198
Oracle
6.720%, 02/15/04 100 99
Park Place Entertainment
7.375%, 06/01/02 50 50
PG&E
6.750%, 10/01/23 100 84
Raytheon
7.200%, 08/15/27 200 182
Rhom & Haas
7.400%, 07/15/09 200 199
R.R. Donnelley & Sons
9.125%, 12/01/00 239 240
Salomon Smith Barney Holdings
7.375%, 05/15/07 250 251
Societe Generale
7.400%, 06/01/06 100 100
Sprint
9.250%, 04/15/22 150 173
Sun Microsystems
7.350%, 08/15/04 200 202
Target
6.400%, 02/15/03 150 148
TCI Communications
8.750%, 08/01/15 100 107
Texas Utilities Electric
6.750%, 03/01/03 150 149
Viacom
7.750%, 06/01/05 550 563
Virginia Electric Power
7.375%, 07/01/02 150 151
Wells Fargo
8.375%, 05/15/02 230 235
-------
Total Corporate Bonds
(Cost $12,914) 12,517
-------
ASSET-BACKED OBLIGATIONS -- 1.8%
DaimlerChrysler Auto Trust,
Ser 2000-B, Cl A4
7.630%, 06/08/05 350 358
Discover Card Master Trust I,
Ser 1998-6, Cl A
5.850%, 01/17/06 400 390
Discover Card Master Trust I,
Ser 1999-6, Cl A
6.850%, 07/17/07 96 95
Peco Energy Transition Trust,
Ser 1999-A, Cl A7
6.130%, 03/01/09 150 143
Sears Credit Account Master
Trust II, Ser 1995-3, Cl A
7.000%, 10/15/04 188 188
-------
Total Asset-Backed Obligations
(Cost $1,193) 1,174
-------
MORTGAGE-BACKED OBLIGATIONS -- 1.9%
Bear Stearns
Commercial Mortgage Securities,
Ser 1999-WF2, Cl A2
7.080%, 06/15/09 200 200
DLJ Commercial Mortgage,
Ser 1998-CF2, Cl A1B
6.240%, 11/12/31 200 189
Heller Financial Commercial
Mortgage, Ser 1999-PH1, Cl A2
6.847%, 05/15/31 200 196
JP Morgan
Commercial Mortgage,
Ser 2000-C10, Cl A2
7.371%, 08/15/32 200 201
Morgan Stanley Capital I,
Ser 1998-WF1, Cl A
6.250%, 07/15/07 456 447
-------
Total Mortgage-Backed Obligations
(Cost $1,222) 1,233
-------
YANKEE BONDS -- 8.2%
DaimlerChrysler Holdings
6.900%, 09/01/04 100 100
Delphi Auto Systems
6.500%, 05/01/09 100 91
Deutsche Telekom
8.000%, 06/15/10 250 257
Diageo Capital PLC
6.625%, 06/24/04 250 247
Electronic Data Systems
7.125%, 10/15/09 75 74
10
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Ford Motor Credit
5.750%, 02/23/04 $ 525 $ 501
Goldman Sachs Group
7.800%, 01/28/10 100 102
Hydro-Quebec
9.500%, 11/15/30 50 61
Inter-American
Development Bank
5.750%, 02/26/08 80 76
International Bank
8.250%, 09/01/16 200 222
Kingdom of Spain
7.000%, 07/19/05 160 162
Korea Development Bank
7.375%, 09/17/04 200 197
LB Baden-Wuerttemberg
7.875%, 04/15/04 250 258
Malaysia
8.750%, 06/01/09 50 53
Merita Bank Ltd.
6.500%, 01/15/06 200 190
Norsk Hydro
6.360%, 01/15/09 160 149
Province of Ontario
8.000%, 10/17/01 250 253
6.000%, 02/21/06 100 96
Province of Saskatchewan
9.125%, 02/15/21 50 58
Quebec Province
8.625%, 01/19/05 500 531
Republic of Ireland
7.875%, 12/01/01 200 202
Republic of Italy
6.875%, 09/27/23 100 98
Santander Financial
7.750%, 05/15/05 250 254
Sanwa Finance Aruba
8.350%, 07/15/09 100 100
Sony
6.125%, 03/04/03 250 246
Sumitomo Bank
8.500%, 06/15/09 100 102
Trans-Canada Pipelines
8.625%, 05/15/12 150 162
Tyco International Group
6.125%, 01/15/09 100 92
Wal-Mart Stores
6.875%, 08/10/09 100 99
Walt Disney
6.750%, 03/30/06 100 100
Worldcom
6.400%, 08/15/05 150 145
-------
Total Yankee Bonds
(Cost $5,307) 5,278
-------
REPURCHASE AGREEMENT -- 0.4%
Morgan Stanley
6.600%, dated 09/29/00,
matures 10/02/00, repurchase
price $242,613 (collateralized
by various U.S. Treasury
obligations, par value $177,326,
6.300%, 10/02/00, total market
value $248,603) $243 243
-------
Total Repurchase Agreement
(Cost $243) 243
-------
Total Investments -- 106.5%
(Cost $69,195) 68,747
-------
Other Assets and Liabilities, Net -- (6.5%) (4,176)
-------
NET ASSETS:
Fund Shares of Class A
(unlimited authorization -- no par value)
based on 6,309,816 outstanding shares
of beneficial interest 65,880
Undistributed net investment income 18
Accumulated net realized loss on investments (879)
Net unrealized depreciation on investments (448)
-------
Total Net Assets -- 100.0% $64,571
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $10.23
======
(A) ZERO COUPON SECURITY. THE RATE REPORTED ON THE STATEMENT OF NET ASSETS IS
THE EFFECTIVE YIELD AT TIME OF PURCHASE.
CL -- CLASS
FFCB -- FEDERAL FARM CREDIT BANK
FHLB -- FEDERAL HOME LOAN BANK
FHLMC -- FEDERAL HOME LOAN MORTGAGE
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
LP -- LIMITED PARTNERSHIP
LTD. -- LIMITED
MTN -- MEDIUM TERM NOTE
PLC -- PUBLIC LIMITED COMPANY
SER -- SERIES
The acompanying notes are an integral part of the financial statements.
11
<PAGE>
STATEMENTS OF OPERATIONS (000)
--------------------------------------------------------------------------------
SEI INDEX FUNDS -- FOR THE SIX MONTH PERIOD ENDED SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
--------- ------
S&P 500 BOND
INDEX INDEX
FUND FUND
--------- ------
<S> <C> <C>
INVESTMENT INCOME:
Dividends $ 17,201 $ --
Interest Income 1,370 2,358
--------- ------
Total investment income 18,571 2,358
--------- ------
EXPENSES:
Management fees 3,409 122
Waiver of management fees (372) (27)
Investment advisory fees 465 24
Custodian/Wire Agent Fees 109 2
Transfer Agent fees 26 1
Professional fees 38 1
Registration fees 115 3
Trustee fees 10 --
Pricing 8 3
Insurance Expense 26 --
Shareholder Servicing Fees 3,359 88
Waiver of Shareholder Servicing Fees (2,597) (88)
Printing Expense 20 3
Licensing Fee 23 --
Other expenses 3 --
--------- ------
Total expenses 4,642 132
--------- ------
NET INVESTMENT INCOME 13,929 2,226
--------- ------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized Loss from Securities Sold (22,020) (4)
Net Realized Gain from Futures Contracts 121 --
--------- ------
Net Realized Loss from Investment Transactions (21,899) (4)
--------- ------
Change in unrealized Appreciation (Depreciation) on investment Securities (105,030) 907
Change in Unrealized Depreciation on Futures Contracts (2,966) --
--------- ------
Net Change in Unrealized Appreciation (Depreciation) on Investments (107,996) 907
--------- ------
Net Realized and Unrealized Gain (Loss) on Investments (129,895) 903
--------- ------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $(115,966) $3,129
========= ======
<FN>
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
--------------------------------------------------------------------------------
SEI INDEX FUNDS -- FOR THE SIX MONTH PERIOD ENDED SEPTEMBER 30, 2000 (UNAUDITED)
AND FOR THE YEAR ENDED MARCH 31, 2000
<TABLE>
<CAPTION>
--------------------------------------------------
S&P 500 INDEX BOND INDEX
FUND FUND
--------------------------------------------------
4/1/00 4/1/99 4/1/00 4/1/99
9/30/00 3/31/00 9/30/00 3/31/00
---------- ---------- --------- ---------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 13,929 $ 26,830 $ 2,226 $ 3,815
Net realized Loss from Securities Sold (21,899) (12,091) (4) (404)
Net change in unrealized Appreciation (depreciation)
of investments (107,996) 423,912 907 (2,209)
---------- ---------- --------- ---------
Net increase (Decrease) in net assets from operations (115,966) 438,651 3,129 1,202
---------- ---------- --------- ---------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class A (3,853) (7,075) (2,225) (3,798)
Class E (9,355) (19,070) -- --
Net Capital gains:
Class A -- (5,677) -- --
Class E -- (13,435) -- --
---------- ---------- --------- ---------
Total distributions (13,208) (45,257) (2,225) (3,798)
---------- ---------- --------- ---------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares issued 258,093 448,334 12,136 36,555
Reinvestment of cash distributions 3,678 12,084 582 860
Cost of Shares redeemed (207,517) (266,547) (19,552) (21,299)
---------- ---------- --------- ---------
Increase (Decrease) in Net Assets Derived from
Class A Transactions 54,254 193,871 (6,834) 16,116
---------- ---------- --------- ---------
CLASS E:
Proceeds from Shares issued 232,009 553,797 -- --
Reinvestment of cash distributions 6,441 21,923 -- --
Cost of Shares redeemed (213,138) (399,088) -- --
---------- ---------- --------- ---------
increase in Net Assets Derived from
Class E transactions 25,312 176,632 -- --
---------- ---------- --------- ---------
increase (Decrease) in Net Assets Derived from
Capital Share transactions 79,566 370,503 (6,834) 16,116
---------- ---------- --------- ---------
Net increase (Decrease) in net assets (49,608) 763,897 (5,930) 13,520
---------- ---------- --------- ---------
NET ASSETS:
Beginning of Period 3,058,052 2,294,155 70,501 56,981
---------- ---------- --------- ---------
End of Period $3,008,444 $3,058,052 $ 64,571 $ 70,501
========== ========== ========= =========
SHARES ISSUED AND REDEEMED:
CLASS A:
Shares issued 5,727 10,455 1,203 3,589
Shares issued in lieu of cash distributions 80 283 58 85
Shares redeemed (4,586) (6,272) (1,932) (2,092)
---------- ---------- --------- ---------
Total Class A transactions 1,221 4,466 (671) 1,582
---------- ---------- --------- ---------
CLASS E:
Shares issued 5,130 13,075 -- --
Shares issued in lieu of cash distributions 140 512 -- --
Shares Redeemed (4,719) (9,354) -- --
---------- ---------- --------- ---------
Total Class E transactions 551 4,233 -- --
---------- ---------- --------- ---------
Net Increase (Decrease) From Share Transactions 1,772 8,699 (671) 1,582
========== ========== ========= =========
</TABLE>
Amounts designated as "--" are zero or have been rounded to zero
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
13
<PAGE>
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
SEI INDEX FUNDS
FOR A SHARE OUTSTANDING THROUGHOUT THE SIX-MONTH PERIOD ENDED SEPTEMBER 30, 2000
(UNAUDITED), AND THE YEARS ENDED MARCH 31,
<TABLE>
<CAPTION>
RATIO OF NET
NET ASSET NET REALIZED AND DIVIDENDS DISTRIBUTIONS NET ASSET RATIO OF INVESTMENT
VALUE, NET UNREALIZED FROM NET FROM VALUE, NET ASSETS EXPENSES INCOME
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT CAPITAL END OF TOTAL END OF TO AVERAGE TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS PERIOD RETURN PERIOD (000) NET ASSETS NET ASSETS
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
------------------
S&P 500 INDEX FUND
------------------
CLASS A (+)
2000* $46.42 $0.19 $(1.97) $(0.18) $ -- $44.46 (3.86)%** $1,014,811 0.40% 0.80%
2000 40.13 0.39 6.60 (0.39) (0.31) 46.42 17.52 1,002,691 0.40 0.93
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 (++)
2000* $46.54 $0.22 $(1.97) $(0.21) $ -- $44.58 (3.78)%** $1,993,633 0.25% 0.95%
2000 40.23 0.45 6.62 (0.45) (0.31) 46.54 17.79 2,055,361 0.25 1.07
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
---------------
BOND INDEX FUND
---------------
2000* $10.10 $0.32 $ 0.13 $(0.32) $ -- $10.23 4.55%** $64,571 0.38% 6.33%
2000 10.55 0.61 (0.45) (0.61) -- 10.10 1.62 70,501 0.38 6.02
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
</TABLE>
[table continued]
RATIO OF
RATIO NET INVESTMENT
OF EXPENSES INCOME
TO AVERAGE TO AVERAGE
NET ASSETS NET ASSETS PORTFOLIO
(EXCLUDING (EXCLUDING TURNOVER
WAIVERS) WAIVERS) RATE
----------------------------------------------
------------------
S&P 500 INDEX FUND
------------------
CLASS A (+)
2000* 0.42% 0.78% 6%
2000 0.43 0.90 7
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 (++)
2000* 0.52% 0.68% 6%
2000 0.52 0.80 7
1999 0.54 0.97 7
1998 0.54 1.26 4
1997 0.54 1.74 2
1996 0.35 2.21 3
---------------
BOND INDEX FUND
---------------
2000* 0.70% 6.01% 14%
2000 0.71 5.69 47
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
* FOR THE SIX MONTHS ENDED 9/30/00. ALL RATIOS FOR THE PERIOD HAVE BEEN
ANNUALIZED.
** TOTAL RETURN IS FOR THE PERIOD INDICATED AND 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.
14
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
SEI INDEX FUNDS -- SEPTEMBER 30, 2000 (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
may be an illiquid market and that a change in the
15
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
SEI INDEX FUNDS -- SEPTEMBER 30, 2000 (UNAUDITED)
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.
A summary of the open S&P 500 Index futures contracts held by the S&P 500
Index Fund at September 30, 2000, is as follows:
CONTRACT UNREALIZED
NUMBER OF VALUE DEPRECIATION
CONTRACTS (000) EXPIRATION (000)
--------- -------- ---------- ------------
101 $36,706 12/15/00 $(937)
CLASSES -- Class specific expenses are borne by that class of shares.
Income, expenses, and realized and unrealized gains/losses are allocated to the
espective 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.
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.
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, and for the Bond Index Fund 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 November 18, 1998, SEI Investments
Management Corporation ("SIMC") serves as the Investment Adviser of the S&P 500
Index Fund. For its services as
16
<PAGE>
--------------------------------------------------------------------------------
Investment Adviser, SIMC receives a monthly fee at an annual rate of .03% of the
average daily net assets of the S&P 500 Index Fund. World Asset Management
serves as an investment sub-advisor of the S&P 500 Index Fund and is party to an
investment sub-advisory agreement with the Trust and SIMC dated November 18,
1998. Mellon Bond Associates serves as the Investment Adviser of the Bond Index
Fund under an advisory agreement dated October 2, 1996. 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.
Comerica Bank, an affiliate of World Asset Management, serves as custodian
of the Funds under an agreement dated 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 period ended September 30,
2000, were as follows:
U.S.
GOVERNMENT
SECURITIES ALL OTHER TOTAL
(000) (000) (000)
---------- --------- -----
S&P 500 INDEX FUND
Purchases $ -- $278,914 $278,914
Sales -- 175,506 175,506
BOND INDEX FUND
Purchases 5,795 3,880 9,675
Sales 10,761 295 11,056
The aggregate gross unrealized appreciation and depreciation on securities
at September 30, 2000, for each Fund is as follows:
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION
SECURITIES SECURITIES (DEPRECIATION)
(000) (000) (000)
----------- ----------- --------------
S&P 500 Index Fund $1,479,659 $(152,196) $1,327,463
Bond Index Fund 739 (1,187) (448)
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. A summary of credit
quality ratings for securities held by the Fund at September 30, 2000, is as
follows:
% OF
FUND
MOODY'S VALUE
------- ---------
U.S. Government Securities 70.28%
Repurchase Agreements 0.35
Other Bonds
Aaa ................................. 4.32
Aa .................................. 4.78
A ................................... 14.16
Baa ................................. 6.11
------
100.00%
======
6. LINE OF CREDIT
The Funds have a bank line of credit. Borrowings under the line of credit are
secured by investment securities of the Funds equal to 110% of such borrowings
which may not exceed 10% of the Funds' total assets. During the period ended
September 30, 2000, no borrowings were made from this line of credit.
17
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
--------------------------------------------------------------------------------
SEI INDEX FUNDS
--------------------------------------------------------------------------------
SEMI-ANNUAL REPORT
--------------------------------------------------------------------------------
SEPTEMBER 30, 2000
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Rosemarie B. Greco
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
Timothy D. Barto
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
Christine McCullough
VICE PRESIDENT, ASSISTANT SECRETARY
Richard W. Grant
SECRETARY
John H.Grady
ASSISTANT SECRETARY
INVESTMENT ADVISERS
SEI Investments Management Corporation
Mellon Bond Associates
SUB-ADVISER
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.
<PAGE>
[SEI logo omitted]
SEI INVESTMENTS DISTRIBUTION CO.
OAKS, PA 19456
800-DIAL-SEI/800-342-5734
SEI-F-040 (9/00)
