ANNUAL REPORT AS OF
MARCH 31, 2000
SEI INDEX FUNDS
- --------------------------------------------------------------------------------
S&P 500 Index
- --------------------------------------------------------------------------------
Bond Index
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[SEI Investments LOGO OMITTED]
<PAGE>
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
MANAGEMENT'S DISCUSSION AND ANALYSIS
OF FUND PERFORMANCE
S&P 500 INDEX FUND............................................. 1
BOND INDEX FUND................................................ 2
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS............................. 4
STATEMENTS OF NET ASSETS............................................. 5
STATEMENT OF OPERATIONS.............................................. 16
STATEMENT OF CHANGES IN NET ASSETS................................... 17
FINANCIAL HIGHLIGHTS................................................. 18
NOTES TO FINANCIAL STATEMENTS........................................ 19
NOTICE TO SHAREHOLDERS............................................... 23
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- MARCH 31, 2000
S&P 500 INDEX FUND
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND CLASS A
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
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Annualized Annualized
One Year 3 Year Inception to
Return Return Date
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17.52% 26.96% 24.51%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI S&P 500
INDEX FUND, CLASS A, VERSUS THE S&P 500 COMPOSITE INDEX
[graph omitted]
plot points as follows:
SEI S&P 500 Index Fund, Class A S&P 500 Composite Index
2/29/96 10000 10000
3/96 10092 10096
3/97 12032 12097
3/98 17738 17900
3/99 20949 21210
3/00 24619 25015
1FOR THE PERIODS ENDED MARCH 31, 2000. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 02/28/96. EFFECTIVE
07/31/97, THE BOARD OF TRUSTEES APPROVED THE RENAMING OF CLASS A SHARES TO
CLASS E SHARES.
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S&P 500 INDEX FUND CLASS E
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AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
One Annualized Annualized Annualized Annualized
Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
17.79% 27.17% 26.50% 18.57% 17.82%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI S&P 500
INDEX FUND, CLASS E, VERSUS THE S&P 500 COMPOSITE INDEX
[graph omitted]
plot points as follows:
SEI S&P 500 Index Fund, Class E S&P 500 Composite Index
3/31/90 10000 10000
3/91 11418 11438
3/92 12642 12704
3/93 14535 14636
3/94 14709 14847
3/95 16954 17155
3/96 22358 22656
3/97 26709 27146
3/98 39428 40169
3/99 46632 47596
3/00 54927 56134
1FOR THE PERIODS ENDED MARCH 31, 2000. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. CLASS E SHARES WERE OFFERED BEGINNING 08/01/85. EFFECTIVE
07/31/97, THE BOARD OF TRUSTEES APPROVED THE RENAMING OF CLASS E SHARES TO
CLASS A SHARES.
OBJECTIVES. The S&P 500 Index Fund (the "Fund") seeks to provide investment
results that correspond to the aggregate price and dividend performance of the
securities in the S&P 500 Composite Stock Price Index (the "Index").
STRATEGY. The S&P 500 Index Fund attempts to match the performance of the
widely followed Index by replicating its composition in full. The forty largest
stocks in the index account for approximately 50% of the weighting of the index,
and the index represents more than three quarters of the market value of the
common stocks listed on the New York Stock Exchange. Deviation of performance
between the Fund and the Index, measured as tracking error, is typically
attributable to trading costs, operating expenses, and cash reserves held for
liquidity needs. The presence of cash in the fund may result in underperformance
relative to the Index in rising markets and outperformance in declining markets.
Transaction costs incurred by the Fund during security purchases and sales will
also contribute to tracking error. To mitigate these effects, the Fund may use
stock index futures to hedge its cash position. Futures contracts enable the
Fund to maintain exposure to the market with reduced trading expenses, since the
cost of the futures contract is relatively nominal. The value of stock index
futures held by the Fund may not exceed 20% of the Fund's assets.
ANALYSIS. The S&P 500 Index Fund, Class E, achieved a net return of 17.79%
for the year ended March 31, 2000, in line with the performance of the Index,
which returned 17.94%
1
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INDEX FUNDS -- MARCH 31, 2000
S&P 500 INDEX (CONTINUED)
over the period. Within the S&P 500 index, Growth stocks were the clear winner
over the year, as the S&P 500/BARRA Growth index returned 24.92% vs. the 9.86%
return of the S&P 500/BARRA Value Index. As market risk, measured by cross-
sectional dispersion of returns, in large caps has risen to unprecedented levels
during the period, particularly in the first quarter of 2000, the Fund's
disciplined approach to maintaining index-like qualities has provided investors
with a buffer against potentially significant disappointing returns and
exceptional volatility risk.
BOND INDEX FUND
OBJECTIVES. The Bond Index Fund seeks to provide investment results that
correspond to the aggregate price and interest performance of the Lehman
Aggregate Bond Index (the "Lehman Index"), which tracks the performance of debt
securities.
STRATEGY. The Fund intends to invest its assets primarily in up to 300 of
the debt obligations included in the Lehman Index so long as the net assets of
the Fund are less than $100 million. The Fund will be invested in 100 to 500 of
such obligations at net asset levels of $100 million or more. The Fund will be
managed in a manner designed to generally reflect the current performance of the
Lehman Index. Obligations included in the Lehman Index have been categorized
into sectors which have been organized on the basis of type of issuer and then
further classified by quality and remaining term to maturity.
The percentage of the Fund's assets to be invested in the aggregate
obligations included in a particular sector of the Lehman Index will
approximate, to the maximum extent feasible, the percentage such sector
represents in that Lehman Index. The ability of the Fund to duplicate the Lehman
Index's performance can be influenced by the Fund's asset size. To the extent
that the size of Fund assets limits the number of issues that the Fund can
purchase, there is more potential for deviation from the Lehman Index's
performance than at larger asset levels. Under these circumstances, the Fund
will implement strategies designed to minimize this potential for greater
deviation. The Fund's ability to duplicate the performance of the Lehman Index
will depend to some extent on the size and timing of cash flows into and out
of the Fund, the extent of the Fund's expenses.
ANALYSIS. The investment-grade fixed income market returned 1.88% as
measured by the Lehman Aggregate Bond Index for the fiscal year ending March 31,
2000. The SEI Bond Index Fund kept pace with the market, rising 1.62% for the
same period. The Fund's lockstep performance was a direct result of its similar
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BOND INDEX FUND CLASS A
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AVERAGE ANNUAL TOTAL RETURN1
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[graph omitted]
plot points as follows:
SEI Bond Index Salomon Broad Bond Index Lehman Aggregate Bond Index
3/31/90 10000 10000 10000
3/91 11192 11282 11292
3/92 12253 12599 12578
3/93 13813 14284 14250
3/94 14103 14647 14586
3/95 14743 15382 15315
3/96 16263 17054 16966
3/97 16972 17890 17799
3/98 18977 20033 19935
3/99 20163 21336 21227
3/00 20489 21722 21626
1FOR THE PERIODS ENDED MARCH 31, 2000. PAST PERFORMANCE IS NO
INDICATION OF FUTURE PERFORMANCE. THE FUND WAS OFFERED
BEGINNING 05/19/86.
2
<PAGE>
BOND INDEX (CONTINUED)
sector weightings relative to the Index. Fund expenses explain the slight
performance lag relative to the Lehman Aggregate Index on a net basis.
The fiscal year began with rather lackluster bond market performance. The
fixed income market experienced a sharp rise in interest rates during the
period, as market participants, driven by a string of economic reports pointing
towards strong economic growth, became increasingly concerned about the threat
of inflation. Treasury prices fell sharply, turning in record poor performance
in the first part of the fiscal year. Concern about inflation accelerated
following the April Consumer Price Index (CPI) report showing a surprising 0.7%
rise for the month, the highest increase in that figure in nine years. During
this period, the market was also daunted by the projected $35 billion Treasury
refunding.
Rising inflation fears due to robust economic growth and falling
unemployment rates brought the Federal Reserve into action. The Fed raised rates
three times during 1999, for a total of 0.75% in rate hikes. These rate
increases were viewed as a "take-back" of the rate cuts executed by the Fed to
restore calm to the financial markets during the 1998 global financial crisis.
The Fed increased rates two more times in the first quarter of 2000 as Fed
Chairman Greenspan expressed his determination to restrain economic growth and
contain inflationary pressures. For the fiscal year, short-term rates increased
1.52%, while long-term yields rose a more modest 0.22%. Short-term rates were
pushed up by actual Fed rate increases as well as expectations for further rate
hikes. Long term yields fared better, benefiting from expectations that Fed
vigilance would keep inflation under control and from expectations for ongoing
reductions in the supply of long maturity Treasury bonds, resulting from Reverse
Treasury Auctions (buybacks). This ultimately led to an inversion of the yield
curve from the two-year note to the thirty-year bond.
For several months during mid-1999, spreads in the corporate and mortgage
markets were rocked by expectations for heavy supply ahead of Y2K, fears of
further Fed rate hikes, and heightened risk aversion on the part of dealers.
Spread widening peaked in mid-August and began to retreat in early September
when new corporate issuance was lower than anticipated. Although corporate and
mortgage spreads tightened toward the end of 1999, early 2000 saw a re-widening
as the Treasury yield curve inversion created pricing confusion and hampered
spread sector liquidity. In addition to the inverted yield curve, spread
volatility has been high due to rate hike expectations, and concern over the
future credit status of Government Sponsored Enterprises (GSE).
3
<PAGE>
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
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To the Shareholders and Board of Trustees of
SEI Index Funds:
We have audited the accompanying statements of net assets of the S&P 500
Index and Bond Index Funds of SEI Index Funds (the "Trust") as of March 31,
2000, and the related statements of operations, the statements of changes in net
assets, and the financial highlights for the periods presented. These financial
statements and financial highlights are the responsibility of the Trust's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States. Those standards require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
and financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of March 31, 2000, by correspondence with
the custodian and the application of alternative auditing procedures with
respect to unsettled securities transactions. An audit also includes assessing
the accounting principles used and significant estimates made by management, as
well as evaluating the overall financial statement presentation. We believe that
our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of the
S&P 500 Index and Bond Index of SEI Index Funds as of March 31, 2000, the
results of their operations, the changes in their net assets, and their
financial highlights for the periods presented, in conformity with accounting
principles generally accepted in the United States.
Arthur Andersen LLP
Philadelphia, Pennsylvania
May 12, 2000
4
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- MARCH 31, 2000
S&P 500 INDEX FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 98.6%
AEROSPACE & DEFENSE -- 0.9%
BF Goodrich 26,050 $ 747
Boeing 205,171 7,784
General Dynamics 47,460 2,361
Lockheed Martin 93,532 1,912
Northrop 16,565 877
Raytheon, Cl B 79,940 1,419
Rockwell International 45,230 1,891
Textron 35,110 2,137
United Technologies 112,144 7,086
-----------
26,214
-----------
AIR TRANSPORTATION -- 0.3%
AMR* 34,970 1,115
Delta Air Lines 30,770 1,638
FedEx* 68,504 2,672
Southwest Airlines 119,100 2,479
US Airways Group* 17,065 475
-----------
8,379
-----------
APPAREL/TEXTILES -- 0.1%
Liz Claiborne 14,250 653
Russell 7,865 113
Springs Industries, Cl A 4,470 170
VF 27,860 670
-----------
1,606
-----------
AUTOMOTIVE -- 1.2%
Cooper Tire & Rubber 18,100 227
Dana 38,857 1,095
Delphi Automotive Systems 133,417 2,135
Eaton 17,530 1,367
Ford Motor 285,240 13,103
General Motors 151,130 12,515
Genuine Parts 41,992 1,003
Goodyear Tire & Rubber 36,870 860
ITT Industries 21,065 654
Navistar International* 15,226 611
Paccar 18,808 940
TRW 28,720 1,680
-----------
36,190
-----------
BANKS -- 4.9%
Amsouth Bancorporation 92,400 1,380
Bank of America 403,112 21,138
Bank of New York 173,900 7,228
Bank One 270,801 9,309
BB&T 82,000 2,301
Chase Manhattan 194,777 16,982
Comerica 36,950 1,547
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Fifth Third Bancorp 72,850 $ 4,590
First Union 233,214 8,687
Firstar 231,494 5,310
Fleet Boston Financial 216,244 7,893
Golden West Financial 38,115 1,189
Huntington Bancshares 54,067 1,210
JP Morgan 40,930 5,393
KeyCorp 105,642 2,007
Mellon Financial 120,120 3,544
National City 145,600 3,003
Northern Trust 52,600 3,554
Old Kent Financial 29,100 940
PNC Bank 69,460 3,130
Regions Financial 51,600 1,177
SouthTrust 39,600 1,007
State Street 37,800 3,662
Summit Bancorp 41,300 1,084
SunTrust Banks 75,530 4,362
Synovus Financial 66,100 1,248
Union Planters 33,300 1,026
US Bancorp 177,931 3,892
Wachovia 47,878 3,235
Washington Mutual 136,347 3,613
Wells Fargo 389,852 15,960
-----------
150,601
-----------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 1.5%
CBS* 180,064 10,196
Comcast, Cl A* 218,754 9,488
Clear Channel Communications* 79,900 5,518
InterPublic Group 66,300 3,133
Mediaone Group* 144,560 11,709
Omnicom Group 41,900 3,915
Young & Rubicam 16,600 780
-----------
44,739
-----------
BUILDING & CONSTRUCTION -- 0.2%
Armstrong World Industries 9,565 171
Centex 14,280 340
Fluor 18,130 562
Halliburton 104,310 4,277
McDermott International 14,265 131
Owens Corning 13,165 255
-----------
5,736
-----------
CHEMICALS -- 1.2%
Air Products & Chemicals 54,140 1,540
Avery Dennison 27,030 1,651
Dow Chemical 51,750 5,899
Eastman Chemical 18,791 855
EI du Pont de Nemours 246,686 13,044
FMC* 7,365 416
5
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- MARCH 31, 2000
S&P 500 INDEX FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Great Lakes Chemical 13,800 $ 469
Hercules 25,095 405
Monsanto 151,250 7,789
Praxair 37,565 1,564
Rohm & Haas 51,723 2,308
Union Carbide 31,565 1,841
WR Grace* 17,100 217
-----------
37,998
-----------
COAL MINING -- 0.0%
Arch Coal 4,239 30
-----------
COMPUTERS & SERVICES -- 20.2%
America Online* 538,800 36,234
Apple Computer* 38,520 5,231
Cabletron Systems* 43,300 1,269
Ceridian* 34,130 655
Cisco Systems* 1,615,800 124,922
Compaq Computer 400,056 10,651
Computer Associates
International 127,952 7,573
Computer Sciences* 39,920 3,159
Dell Computer* 605,700 32,670
EMC* 240,300 30,037
First Data 99,004 4,381
Gateway* 74,700 3,959
Hewlett-Packard 237,360 31,465
IBM 425,620 50,223
Lexmark International
Group, Cl A* 30,600 3,236
Microsoft* 1,229,100 130,592
Novell* 77,100 2,207
Oracle* 666,328 52,015
Pitney Bowes 62,620 2,798
Seagate Technology* 51,000 3,073
Shared Medical Systems 6,595 342
Silicon Graphics* 43,500 459
Sun Microsystems* 372,700 34,923
Tandy 45,688 2,319
Texas Instruments 191,940 30,710
Unisys* 73,385 1,871
Veritas Software* 92,700 12,144
-----------
619,118
-----------
CONTAINERS & PACKAGING -- 0.1%
Ball 7,295 252
Crown Cork & Seal 30,885 494
Newell Rubbermaid 66,636 1,653
Owens-Illinois* 35,400 597
Sealed Air* 20,086 1,091
-----------
4,087
-----------
DRUGS -- 0.4%
Biogen* 35,500 2,481
Honeywell International 186,902 9,847
Watson Pharmaceuticals* 22,900 909
-----------
13,237
-----------
ELECTRICAL SERVICES -- 0.5%
AES* 48,700 3,835
Ameren 32,800 1,015
CMS Energy 27,300 495
Consolidated Edison 52,190 1,514
Constellation Energy Group 35,295 1,125
Dominion Resources 57,808 2,222
FirstEnergy* 55,005 1,134
Florida Progress 23,500 1,078
New Century Energies 27,600 830
Niagara Mohawk Holdings* 44,265 598
Pinnacle West Capital 20,400 575
PPL 33,900 710
Reliant Energy 69,851 1,637
-----------
16,768
-----------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT -- 0.5%
3Com* 80,800 4,494
Autodesk 14,700 669
Automatic Data Processing 148,840 7,182
Johnson Controls 20,530 1,110
Millipore 10,890 615
Tektronix 11,355 636
Thomas & Betts 13,940 394
-----------
15,100
-----------
ENVIRONMENTAL SERVICES -- 0.1%
Allied Waste Industries* 44,600 293
Ecolab 31,000 1,137
Waste Management 146,314 2,003
-----------
3,433
-----------
FINANCIAL SERVICES -- 5.0%
American Express 105,747 15,750
Associates First Capital, Cl A 171,992 3,687
Bear Stearns Companies 27,007 1,232
Capital One Financial 46,600 2,234
Charles Schwab 193,600 10,999
Citigroup 796,156 47,222
Countrywide Credit Industries 27,100 738
Equifax 33,400 843
FHLMC 164,200 7,256
FNMA 242,060 13,661
Franklin Resources 58,700 1,963
Household International 110,991 4,141
Lehman Brothers Holdings 28,700 2,784
MBNA 189,312 4,827
6
<PAGE>
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Merrill Lynch 87,500 $ 9,187
Morgan Stanley Dean Witter 269,022 21,942
PaineWebber Group 33,700 1,483
SLM Holding 37,600 1,253
T Rowe Price & Associates 28,300 1,118
-----------
152,320
-----------
FOOD, BEVERAGE & TOBACCO -- 3.6%
Adolph Coors, Cl B 8,865 424
Anheuser-Busch 109,900 6,841
Archer-Daniels-Midland 143,389 1,488
Bestfoods 65,820 3,081
Brown-Forman, Cl B 16,360 891
Campbell Soup 100,660 3,095
Coca-Cola 100,500 2,167
Coca-Cola Enterprises 583,260 27,377
Conagra 116,284 2,108
Fortune Brands 38,740 969
General Mills 71,120 2,574
Hershey Foods 32,700 1,594
HJ Heinz 83,720 2,920
Kellogg 95,780 2,454
Nabisco Group Holdings 77,000 924
Pepsico 343,780 11,882
Philip Morris 558,730 11,803
Quaker Oats 31,560 1,913
Ralston-Ralston Purina Group 71,280 1,951
Sara Lee 214,560 3,862
Seagram Ltd 102,400 6,093
Supervalu 32,960 624
Sysco 77,920 2,781
Unilever NV ADR 134,950 6,494
UST 40,440 632
William Wrigley, Jr 27,305 2,097
-----------
109,039
-----------
FOOTWEAR -- 0.1%
Nike, Cl B 65,220 2,584
Reebok International* 13,520 125
-----------
2,709
-----------
GAS/NATURAL GAS -- 0.1%
El Paso Energy 53,930 2,177
Oneok 7,700 193
Sempra Energy 48,227 808
-----------
3,178
-----------
GLASS PRODUCTS -- 0.5%
Corning 65,146 12,638
PPG Industries 40,990 2,144
-----------
14,782
-----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
HOTEL & MOTEL -- 0.1%
Hilton Hotels 87,105 675
Marriott International, Cl A* 58,740 1,850
Mirage Resorts* 45,600 883
-----------
3,408
-----------
HOUSEHOLD PRODUCTS -- 2.0%
Alberto-Culver, Cl B 13,380 319
Avon Products 57,240 1,664
Clorox 55,818 1,814
Colgate Palmolive 137,576 7,756
Danaher 33,600 1,714
Gillette 253,276 9,545
International Flavors &
Fragrances 25,195 883
Jostens 7,950 194
Leggett & Platt 46,400 998
Masco 105,580 2,164
Maytag 20,330 673
Minnesota Mining &
Manufacturing 94,230 8,345
National Service Industries 9,685 204
Procter & Gamble 310,708 17,477
Sherwin Williams 39,160 859
Snap-On Tools 14,097 369
Solectron* 140,000 5,609
Stanley Works 21,530 568
Tupperware 13,850 219
Water Pik Technologies* 2,187 16
Whirlpool 17,805 1,044
-----------
62,434
-----------
INSURANCE -- 2.9%
Aetna 34,087 1,898
Aflac 62,800 2,861
Allstate 190,204 4,529
American General 58,339 3,274
American International Group 365,647 40,038
AON 60,575 1,954
Chubb 41,518 2,805
Cigna 40,190 3,044
Cincinnati Financial 38,800 1,460
Conseco 77,253 884
Hartford Financial Services Group 52,330 2,760
Jefferson Pilot 24,705 1,644
Lincoln National 46,160 1,546
Loews 25,400 1,270
Marsh & McLennan 63,015 6,951
MBIA 23,900 1,244
MGIC Investment 25,300 1,104
Progressive of Ohio 17,400 1,323
Providian Financial 33,495 2,902
SAFECO 31,120 827
7
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- MARCH 31, 2000
S&P 500 INDEX FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
St Paul 53,676 $ 1,832
Torchmark 31,474 728
UnumProvident 56,673 963
-----------
87,841
-----------
LUMBER & WOOD PRODUCTS -- 0.1%
Georgia-Pacific 40,400 1,598
Louisiana-Pacific 25,512 354
-----------
1,952
-----------
MACHINERY & MANUFACTURING OPERATIONS -- 5.5%
Applied Materials* 180,700 17,031
Baker Hughes 77,748 2,352
Black & Decker 20,935 786
Briggs & Stratton 5,640 232
Brunswick 22,030 417
Caterpillar 84,000 3,313
Cooper Industries 22,595 791
Crane 15,819 373
Cummins Engine 9,840 370
Deere 55,290 2,101
Dover 48,040 2,300
Emerson Electric 101,830 5,384
General Electric 774,760 120,233
Illinois Tool Works 70,934 3,919
Ingersoll Rand 38,605 1,708
Kaufman & Broad Home 11,437 245
Linear Technology 74,200 4,081
Milacron 8,895 128
NACCO Industries, Cl A 2,025 97
Pall 29,693 666
Parker-Hannifin 26,878 1,110
PULTE 10,390 217
Timken 14,840 241
WW Grainger 22,380 1,214
-----------
169,309
-----------
MARINE TRANSPORTATION -- 0.1%
Carnival, Cl A 145,700 3,615
-----------
MEASURING DEVICES -- 0.4%
Kla-Tencor* 43,800 3,690
Mallinckrodt 16,585 477
PE Biosystems Group 48,660 4,696
Teradyne* 40,400 3,323
Thermo Electron* 37,400 762
-----------
12,948
-----------
MEDICAL PRODUCTS & SERVICES -- 8.5%
Abbott Laboratories 363,020 12,774
Allergan 31,000 1,550
Alza* 24,420 917
American Home Products 308,380 16,537
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Amgen* 241,200 $ 14,804
Bausch & Lomb 13,780 719
Baxter International 68,673 4,305
Becton Dickinson 59,420 1,563
Biomet 26,600 968
Boston Scientific* 97,900 2,086
Bristol-Myers Squibb 468,480 27,055
Columbia HCA Healthcare 133,059 3,368
CR Bard 12,435 481
Eli Lilly 257,520 16,224
Guidant* 72,600 4,270
Healthsouth Rehabilitation* 91,212 507
Humana* 39,600 290
Johnson & Johnson 328,540 23,018
Manor Care* 24,647 333
Medtronic 282,080 14,509
Merck 551,950 34,290
Pfizer 914,120 33,423
Pharmacia & Upjohn 122,442 7,255
Schering Plough 346,920 12,749
Sigma Aldrich 24,100 648
St Jude Medical* 19,850 512
Tenet Healthcare* 73,660 1,694
United Healthcare 40,100 2,391
Warner-Lambert 202,760 19,769
Wellpoint Health Networks* 15,300 1,069
---------
260,078
---------
METAL & METAL INDUSTRIES -- 0.6%
Alcan Aluminium Ltd 51,752 1,753
Alcoa 86,866 6,102
Allegheny Technologies 22,074 443
Barrick Gold 93,100 1,461
Bethlehem Steel* 30,930 186
Engelhard 30,117 456
Freeport-McMoran
Copper & Gold, Cl B* 38,600 466
Homestake Mining 61,500 369
Inco 45,300 830
Newmont Mining 39,622 889
Nucor 20,980 1,049
Phelps Dodge 19,480 925
Placer Dome Group 76,929 625
Reynolds Metals 15,035 1,005
USX-US Steel Group 21,167 529
Worthington Industries 21,422 265
Vulcan Materials 23,900 1,095
-----------
18,448
-----------
MISCELLANEOUS BUSINESS SERVICES -- 1.5%
Adobe Systems 28,300 3,150
BMC Software* 58,082 2,868
Cendant* 166,710 3,084
8
<PAGE>
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Citrix Systems* 42,300 $ 2,802
Compuware* 85,100 1,792
Electronic Data Systems 111,200 7,138
NCR* 23,100 927
Parametric Technology* 64,900 1,367
Peoplesoft* 63,362 1,267
Yahoo* 124,300 21,302
-----------
45,697
-----------
MISCELLANEOUS MANUFACTURING -- 0.7%
Tyco International Ltd 399,340 19,917
-----------
MOTORCYCLES -- 0.1%
Harley-Davidson 35,700 2,834
-----------
PAPER & PAPER PRODUCTS -- 0.7%
Bemis 12,790 472
Boise Cascade 13,731 477
Champion International 22,700 1,209
Fort James 51,127 1,125
International Paper 97,790 4,181
Kimberly-Clark 131,174 7,346
Mead 24,420 853
Pactiv* 40,512 354
Potlatch 6,970 300
Temple-Inland 13,390 667
Westvaco 23,890 797
Weyerhaeuser 55,470 3,162
Willamette Industries 26,700 1,071
-----------
22,014
-----------
PETROLEUM & FUEL PRODUCTS -- 5.2%
Amerada Hess 21,730 1,404
Anadarko Petroleum 30,100 1,164
Apache 27,300 1,358
Ashland 16,725 559
Atlantic Richfield 76,160 6,474
Burlington Resources 51,363 1,900
Chevron 155,020 14,330
Coastal 50,404 2,319
Conoco 147,866 3,789
Exxon Mobil 815,507 63,457
Kerr McGee 22,752 1,314
Occidental Petroleum 86,830 1,802
Phillips Petroleum 59,835 2,767
Rowan* 22,005 648
Royal Dutch Petroleum 506,340 29,146
Schlumberger 129,834 9,932
Sunoco 21,670 593
Texaco 130,620 7,004
Tosco 34,000 1,035
Transocean Sedco Forex 49,316 2,531
Unocal 57,290 1,704
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
USX-Marathon Group 73,335 $ 1,911
Union Pacific Resources 59,491 863
-----------
158,004
-----------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.3%
Eastman Kodak 74,565 4,050
Polaroid 10,758 256
Xerox 156,850 4,078
-----------
8,384
-----------
PRINTING & PUBLISHING -- 1.5%
American Greetings, Cl A 15,500 283
Deluxe 17,555 465
Dow Jones 21,500 1,544
Gannett 65,870 4,636
Knight-Ridder 20,270 1,033
McGraw-Hill 46,340 2,108
Meredith 12,480 346
New York Times, Cl A 40,460 1,737
RR Donnelley & Sons 29,860 625
Time Warner 303,828 30,383
Times Mirror, Cl A 14,465 1,344
Tribune 56,120 2,052
-----------
46,556
-----------
PROFESSIONAL SERVICES -- 0.2%
Block H & R 23,570 1,055
Dun & Bradstreet 38,032 1,089
Ikon Office Solutions 35,630 220
IMS Health* 72,664 1,231
Paychex 58,350 3,056
PerkinElmer 11,340 754
-----------
7,405
-----------
RAILROAD TRANSPORTATION SERVICES -- 0.4%
Burlington Northern Santa Fe 107,900 2,387
CSX 51,518 1,211
Kansas City Southern Industries 26,500 2,277
Norfolk Southern 90,200 1,297
Ryder System 15,330 348
Sabre Holdings* 30,532 1,128
Union Pacific 58,740 2,298
-----------
10,946
-----------
RECREATIONAL PRODUCTS & SERVICES -- 0.7%
Harrah's Entertainment* 30,685 570
Hasbro 41,867 691
Mattel 99,365 1,037
Walt Disney 488,801 20,224
-----------
22,522
-----------
9
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- MARCH 31, 2000
S&P 500 INDEX FUND--CONCLUDED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
RETAIL -- 6.1%
Albertson's 100,023 $ 3,101
Autozone* 32,900 913
Bed Bath & Beyond* 33,500 1,319
Best Buy Company* 48,700 4,188
Circuit City Stores 48,000 2,922
Consolidated Stores* 26,124 297
Costco Wholesale* 105,016 5,520
CVS 92,513 3,475
Darden Restaurants 30,560 544
Dillards, Cl A 25,020 411
Dollar General 62,368 1,676
Federated Department Stores* 49,600 2,071
Great Atlantic & Pacific Tea 9,265 181
Harcourt General 16,966 632
Home Depot 543,683 35,068
JC Penney 61,530 915
Kmart* 114,980 1,114
Kohls* 38,500 3,946
Kroger* 197,020 3,460
Longs Drug Stores 9,390 214
Lowe's 90,288 5,271
May Department Stores 78,543 2,238
McDonald's 319,700 12,009
Nordstrom 32,060 946
Office Depot* 77,700 898
Rite Aid 61,160 336
Sears Roebuck 89,225 2,755
Staples* 110,950 2,219
Target 103,480 7,735
The Gap 200,930 10,009
The Limited 50,748 2,138
TJX 73,240 1,625
Toys "R" Us* 56,665 839
Tricon Global Restaurants* 35,998 1,118
Wal-Mart Stores 1,051,740 58,372
Walgreen 237,660 6,120
Wendy's International 28,275 571
Winn Dixie Stores 34,860 678
-----------
187,844
-----------
SEMI-CONDUCTORS/INSTRUMENTS -- 4.6%
Adaptec* 24,800 958
Advanced Micro Devices* 34,730 1,982
Analog Devices* 82,600 6,654
Conexant Systems* 50,700 3,600
Intel 788,980 104,096
LSI Logic* 70,200 5,098
Micron Technology* 63,800 8,039
National Semiconductor* 40,512 2,456
Xilinx* 75,900 6,285
-----------
139,168
-----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
TELEPHONES & TELECOMMUNICATION -- 13.1%
ADC Telecommunications* 70,900 $ 3,820
Alltel 74,082 4,672
Andrew* 19,015 435
AT&T 754,587 42,446
Bell Atlantic 366,714 22,415
BellSouth 444,512 20,892
Centurytel 33,000 1,225
Comverse Technology* 18,300 3,459
Global Crossing Ltd* 184,160 7,539
GTE 229,480 16,293
Lucent Technologies 752,732 45,728
MCI Worldcom* 670,210 30,369
Molex 46,300 2,720
Motorola 167,417 23,836
Network Appliance* 71,900 5,950
Nextel Communications, Cl A* 86,100 12,764
Nortel Networks 340,900 42,953
Qualcomm* 174,300 26,025
SBC Communications 805,585 33,835
Scientific-Atlanta 37,768 2,396
Sprint 205,800 12,965
Sprint (PCS Group)* 203,500 13,291
Tellabs* 95,000 5,984
Viacom, Cl B* 164,600 8,683
US West 119,316 8,665
-----------
399,360
-----------
TESTING LABORATORIES -- 0.0%
Quintiles Transnational* 27,500 469
-----------
UTILITIES, ELECTRIC & GAS -- 1.6%
American Electric Power 45,825 1,366
Carolina Power & Light 37,700 1,223
Central & South West 50,200 857
Cinergy 37,492 806
Columbia Gas System 19,472 1,154
DTE Energy 34,235 993
Duke Power 86,306 4,531
Eastern Enterprises 6,491 389
Edison International 81,940 1,357
Enron 168,968 12,651
Entergy 58,320 1,177
FPL Group 42,328 1,950
GPU 29,100 797
Nicor 11,300 372
Northern States Power 36,520 726
PECO Energy 43,875 1,618
Peoples Energy 8,440 232
PG&E 90,645 1,904
Public Service Enterprise 51,583 1,528
Southern 158,926 3,457
Texas Utilities 65,235 1,937
10
<PAGE>
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
UNICOM 51,395 $ 1,876
Williams 102,690 4,512
-----------
47,413
-----------
WHOLESALE -- 0.3%
Cardinal Health 66,458 3,049
McKesson HBOC 66,491 1,396
Safeway* 120,100 5,435
-----------
9,880
-----------
Total Common Stocks
(Cost $1,580,280) 3,013,710
-----------
U.S. TREASURY OBLIGATIONS -- 0.1%
U.S. Treasury Bill (A)
5.020%, 06/22/00 $ 3,500 3,460
-----------
Total U.S. Treasury Obligations
(Cost $3,460) 3,460
-----------
REPURCHASE AGREEMENT -- 0.7%
JP Morgan
6.100%, dated 03/31/00,
matures 04/03/00, repurchase
price $21,300,074 (collateralized
by various FNMAobligations,
par value $24,393,211, 6.00%-7.00%,
10/01/28-01/01/30, total market
value $21,715,038) 21,289 21,289
-----------
Total Repurchase Agreement
(Cost $21,289) 21,289
-----------
Total Investments -- 99.4%
(Cost $1,605,029) $3,038,459
-----------
Other Assets and Liabilities, Net -- 0.6% 19,593
-----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Fund Shares of Class A
(unlimited authorization--
no par value) based on
21,601,606 outstanding
shares of beneficial interest $ 706,140
Fund Shares of Class E
(unlimited authorization--
no par value) based on
44,165,676 outstanding
shares of beneficial interest 939,059
Undistributed net investment income 5,546
Accumulated net realized loss
on investments (28,152)
Net unrealized appreciation on futures 2,029
Net unrealized appreciation on investments 1,433,430
-----------
Total Net Assets -- 100.0% $3,058,052
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $46.42
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class E $46.54
===========
* NON-INCOME PRODUCING SECURITY
(A) SECURITIES PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS
ADR--AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
LTD--LIMITED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
BOND INDEX FUND
U.S. TREASURY OBLIGATIONS -- 32.2%
U.S. Treasury Bonds
13.125%, 05/15/01 $ 325 $ 348
11.625%, 11/15/02 200 224
11.750%, 11/15/14 400 551
10.750%, 05/15/03 2,900 3,243
9.125%, 05/15/09 1,050 1,143
8.875%, 02/15/19 1,165 1,505
8.750%, 05/15/17 445 562
8.500%, 02/15/20 600 756
8.000%, 11/15/21 300 365
7.625%, 11/15/22 1,425 1,677
6.500%, 11/15/26 625 659
6.250%, 08/15/23 1,475 1,494
11
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- MARCH 31, 2000
BOND INDEX FUND
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. Treasury Notes
7.875%, 08/15/01 $ 2,000 $ 2,036
7.500%, 11/15/01-02/15/05 900 932
7.000%, 07/15/06 200 207
6.500%, 05/31/02-10/15/06 3,825 3,857
6.375%, 03/31/01 500 500
6.250%, 01/31/02-02/15/07 975 971
6.000%, 08/15/04 1,700 1,677
---------
Total U.S. Treasury Obligations
(Cost $22,535) 22,707
---------
U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS -- 33.5%
FHLMC
10.500%, 12/01/17-06/01/19 18 20
9.500%, 08/01/17-02/01/21 54 56
9.000%, 11/01/04-07/01/09 22 23
8.500%, 10/01/01-01/01/23 66 67
8.000%, 01/01/11-09/01/27 200 201
7.500%, 05/01/07-11/01/29 1,221 1,204
7.000%, 09/01/03-07/01/29 1,957 1,891
6.500%, 07/01/08-05/01/29 2,728 2,573
6.000%, 06/01/11-04/01/29 1,597 1,476
5.500%, 02/01/14 185 170
FHLMC TBA
7.000%, 12/01/29 100 96
6.000%, 12/01/29 130 118
FNMA
9.500%, 02/01/21 4 4
9.000%, 10/01/06-11/01/26 41 42
8.500%, 05/01/07-10/01/22 73 74
8.000%, 08/01/07-02/01/30 739 741
7.500%, 06/01/07-09/01/29 932 917
7.000%, 02/01/08-12/01/29 2,353 2,266
6.500%, 03/01/03-06/01/29 3,269 3,083
6.000%, 05/01/04-01/01/29 2,054 1,896
5.500%, 12/01/13 182 167
FNMA TBA
8.500%, 04/01/30 100 102
7.500%, 12/01/14-12/01/29 240 237
GNMA
11.500%, 04/15/15 22 25
10.000%, 09/15/18-02/20/21 16 17
9.500%, 09/15/09-07/15/17 27 28
9.000%, 11/15/19-09/15/25 268 278
8.500%, 02/15/17-11/15/22 187 192
8.000%, 10/15/07-09/15/23 509 514
7.500%, 01/15/23-01/15/30 1,131 1,121
7.000%, 06/15/14-05/15/29 1,787 1,735
6.500%, 03/15/11-07/15/29 1,792 1,693
6.000%, 09/15/28 344 315
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
GNMA TBA
8.000%, 12/01/29 $ 100 $ 101
7.000%, 12/01/29 100 97
6.000%, 12/01/29 100 91
---------
Total U.S. Agency Mortgage-
Backed Obligations
(Cost $24,438) 23,631
---------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 8.6%
FFCB
6.000%, 10/01/01 300 296
FHLB
6.000%, 08/15/02 225 220
5.440%, 10/15/03 150 142
FHLB Discount Note
5.580%, 08/17/01 300 300
FHLMC
7.900%, 09/19/01 250 253
6.750%, 09/15/29 100 96
6.450%, 04/29/09 400 372
6.300%, 06/01/04 300 290
5.750%, 06/15/01-04/15/08 1,750 1,689
FNMA
8.250%, 12/18/00 50 51
7.500%, 02/11/02 100 101
6.250%, 05/15/29 225 203
6.240%, 01/14/08 150 140
6.160%, 08/07/28 40 36
6.000%, 05/15/08 650 603
5.250%, 01/15/09 400 349
4.750%, 11/14/03 200 185
0.000%, 07/05/14 415 150
Resolution Funding Corporation
8.875%, 04/15/30 230 289
Tennessee Valley Authority
6.375%, 06/15/05 200 194
6.000%, 03/15/13 100 90
---------
Total U.S. Government Agency Obligations
(Cost $6,241) 6,049
---------
CORPORATE BONDS -- 18.6%
Alltel
6.800%, 05/01/29 100 89
American Airlines
7.024%, 10/15/09 125 122
Associates of North America
5.600%, 01/15/01 300 297
AT&T
5.625%, 03/15/04 500 473
Auburn Hills Trust
12.000%, 05/01/20 100 144
12
<PAGE>
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Bankamerica Capital II
8.000%, 12/15/26 $ 125 $ 121
BellSouth Telecommunications
6.500%, 06/15/05 100 97
Bowater
9.000%, 08/01/09 150 160
Cable & Wireless Communications
6.750%, 03/06/08 100 102
Cabot
8.340%, 08/05/22 500 511
Calenergy
8.480%, 09/15/28 70 72
Campbell Soup
8.875%, 05/01/21 300 343
Canada Government
5.250%, 11/05/08 100 89
Capital One Bank
6.700%, 05/15/08 100 93
Carolina Power & Light
7.500%, 03/01/23 85 80
Chase Manhattan
8.625%, 05/01/02 150 153
Chrysler
7.450%, 03/01/27 40 40
CIT Group Holdings
5.875%, 10/15/08 200 183
Citigroup
8.625%, 02/01/07 200 216
CNA Financial
6.600%, 12/15/08 100 91
Coastal
9.625%, 05/15/12 125 144
Coca Cola Enterprises
8.500%, 02/01/22 100 108
Commercial Credit
6.500%, 08/01/04 150 145
ConAgra
7.400%, 09/15/04 260 258
Conoco
6.950%, 04/15/29 100 92
Countrywide Home Credit
7.200%, 10/30/06 100 98
Daimler Chrysler
6.900%, 09/01/04 100 99
Dayton Hudson
6.400%, 02/15/03 150 146
Dell Computer
7.100%, 04/15/28 100 93
Delphi Auto Systems
6.500%, 05/01/09 100 93
Diageo Capital PLC
6.625%, 06/24/04 250 245
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
EI du Pont de Nemours
8.250%, 09/15/06 $ 100 $ 106
Enron
6.750%, 09/01/04 100 96
EOP Operating LP
6.800%, 01/15/09 150 139
Federal Home Loan Bank
5.800%, 09/02/08 250 228
Federated Department Stores
8.125%, 10/15/02 150 152
Finova Capital
7.250%, 07/12/06 100 94
First Union
6.300%, 04/15/28 300 279
Fleet Financial
6.375%, 05/15/08 150 139
Ford Motor Credit
7.500%, 01/15/03 125 125
6.125%, 01/09/06 400 376
GE Global Insurance
7.000%, 02/15/26 100 93
General Motors
8.500%, 01/01/03 150 154
Goldman Sachs Group
7.800%, 01/28/10 100 101
Grand Metropolitan Investment
8.000%, 09/15/22 100 107
Hilton Hotels
7.375%, 06/01/02 50 49
Household Finance
6.125%, 07/15/02 100 97
Hydro-Quebec
9.500%, 11/15/30 50 60
Integra Financial
8.500%, 05/15/02 250 255
JP Morgan
5.750%, 10/15/08 200 178
Korea Development Bank
7.375%, 09/17/04 200 194
Malaysia
8.750%, 06/01/09 50 51
May Department Stores
9.875%, 12/01/02 100 106
Morgan Stanley Group
6.875%, 03/01/07 200 196
NationsBank
7.625%, 04/15/05 100 101
New York Telephone
8.625%, 11/15/10 200 214
Nordstrom
5.625%, 01/15/09 100 88
13
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- MARCH 31, 2000
BOND INDEX FUND--CONCLUDED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Norfolk Southern
7.700%, 05/15/17 $ 170 $ 167
Occidental Petroleum
7.375%, 11/15/08 200 192
Oracle
6.720%, 02/15/04 100 98
Pacific Gas & Electric
6.750%, 10/01/23 100 88
Public Service of Colorado
7.125%, 06/01/06 200 200
Raytheon
7.200%, 08/15/27 100 89
Rhom & Haas
7.400%, 07/15/09 200 201
Rockwell International
6.750%, 09/15/02 150 148
RR Donnelley & Sons
9.125%, 12/01/00 239 242
Salomon Smith Barney
7.375%, 05/15/07 250 246
Sanwa Finance Aruba
8.350%, 07/15/09 100 101
Societe Generale
7.400%, 06/01/06 100 100
Sony
6.125%, 03/04/03 250 242
Sprint
9.250%, 04/15/22 150 173
Sumitomo Bank
8.500%, 06/15/09 100 103
Sun Microsystems
7.350%, 08/15/04 200 199
TCI Communications
8.750%, 08/01/15 100 109
Texas Utilities Electric
6.750%, 03/01/03 150 147
Trans-Canada Pipelines
8.625%, 05/15/12 150 162
Tyco International Group
6.125%, 01/15/09 100 91
Viacom
7.750%, 06/01/05 550 551
Virginia Electric & Power
7.375%, 07/01/02 150 151
Wal-Mart Stores
6.875%, 08/10/09 100 98
Walt Disney
6.750%, 03/30/06 100 98
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT(000) VALUE (000)
- --------------------------------------------------------------------------------
Wells Fargo
8.375%, 05/15/02 $ 230 $ 235
Worldcom
6.400%, 08/15/05 150 144
---------
Total Corporate Bonds
(Cost $13,603) 13,150
---------
ASSET-BACKED OBLIGATIONS -- 2.5%
Bear Stearns Commercial Mortgage
Securities, Ser 1999-WF2, Cl A2
7.080%, 06/15/09 200 195
Discover Card Master Trust I,
Ser 1999-6, Cl A
6.850%, 01/15/05 100 99
Discover Card Master Trust I,
Ser 98-6, Cl A
5.850%, 01/17/06 400 384
DLJ Commercial Mortgage,
Ser 1998-CF2, Cl A1b
6.240%, 11/12/31 200 186
Heller Financial Commercial
Mortgage, Ser 1999-PH1, Cl A2
6.847%, 05/15/31 200 194
Morgan Stanley Capital I,
Ser 1998-WF1, Cl A
6.250%, 07/15/07 268 257
Peco Energy Transition
6.130%, 03/01/09 150 138
Sears Credit Account Master
Trust II, Ser 95-3, Cl A
7.000%, 10/15/04 292 292
---------
Total Asset-Backed Obligations
(Cost $1,787) 1,745
---------
YANKEE BONDS -- 2.7%
International Bank
8.250%, 09/01/16 200 227
Landeskredit Bank
7.875%, 04/15/04 250 256
Merita Bank Ltd
6.500%, 01/15/06 200 190
Province of Ontario
8.000%, 10/17/01 250 253
Quebec Province
8.625%, 01/19/05 500 526
Republic of Ireland
7.875%, 12/01/01 200 203
Santander Financial
7.750%, 05/15/05 250 251
---------
Total Yankee Bonds
(Cost $1,939) 1,906
---------
14
<PAGE>
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.7%
Morgan Stanley,
5.80%, dated 03/31/00, matures
04/03/00, repurchase price
$1,185,132 (collateralized by
U.S. Treasury Notes, par value
$1,203,874, 7.50%, 02/15/05,
market value $1,214,555) $1,184 $ 1,184
---------
Total Repurchase Agreement
(Cost $1,184) 1,184
---------
Total Investments -- 99.8%
(Cost $71,727) 70,372
---------
Other Assets and Liabilities, Net -- 0.2% 129
---------
NET ASSETS:
Fund Shares of Class A
(unlimited authorization--
no par value) based on
6,980,749 outstanding
shares of beneficial interest 72,714
Undistributed net investment income 17
Accumulated net realized loss
on investments (875)
Net unrealized depreciation on investments (1,355)
---------
Total Net Assets -- 100.0% $ 70,501
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $ 10.10
=========
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
PLC -- PUBLIC LIABILITY COMPANY
SER -- SERIES
TBA -- TO BE ANNOUNCED
THE ACCOMPANYUING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
15
<PAGE>
STATEMENT OF OPERATIONS (000)
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- FOR THE YEAR ENDED MARCH 31, 2000
<TABLE>
<CAPTION>
--------- --------
<S> <C> <C>
S&P 500 BOND
INDEX INDEX
FUND FUND
--------- --------
INVESTMENT INCOME:
Dividends $ 32,356 $ --
Interest Income 2,109 4,056
---------- ----------
Total investment income 34,465 4,056
---------- ----------
EXPENSES:
Management fees 5,670 222
Waiver of management fees (705) (52)
Investment advisory fees 773 44
Custodian/Wire Agent Fees 196 4
Transfer Agent fees 55 1
Professional fees 73 2
Registration fees 240 7
Trustee fees 20 1
Pricing 15 7
Insurance Expense 42 --
Shareholder Servicing Fees 5,711 158
Waiver of Shareholder Servicing Fees (4,535) (158)
Printing Expense 29 5
Licensing Fee 47 --
Other expenses 4 --
---------- ----------
Total expenses 7,635 241
---------- ----------
NET INVESTMENT INCOME 26,830 3,815
---------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized Loss from Securities Sold (9,730) (404)
Net Realized Loss from Futures Contracts (2,361) --
---------- ----------
Net Realized Loss from Investment Transactions (12,091) (404)
---------- ----------
Change in unrealized Appreciation (Depreciation) on investment Securities 421,527 (2,209)
Change in Unrealized Appreciation on Futures Contracts 2,385 --
---------- ----------
Net Change in Unrealized Appreciation (Depreciation) on Investments 423,912 (2,209)
---------- ----------
Net Realized and Unrealized Gain (Loss) on Investments 411,821 (2,613)
---------- ----------
NET INCREASE IN NET ASSETS FROM OPERATIONS $438,651 $1,202
========== ==========
<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.
16
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- FOR THE YEARS ENDED MARCH 31,
<TABLE>
<CAPTION>
----------------------- --------------------
<S> <C> <C>
S&P 500 INDEX BOND INDEX
FUND FUND
----------------------- --------------------
2000 1999 2000 1999
---------- ---------- --------- --------
OPERATIONS:
Net investment income $ 26,830 $ 22,687 $ 3,815 $ 2,830
Net realized gain (Loss) from Securities Sold (12,091) 45,489 (404) 181
Net change in unrealized Appreciation (depreciation)
of investments 423,912 260,224 (2,209) (250)
---------- ---------- --------- --------
Net increase in net assets from operations 438,651 328,400 1,202 2,761
---------- ---------- --------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class A (7,075) (5,701) (3,798) (2,830)
Class E (19,070) (16,475) -- --
Net Capital gains:
Class A (5,677) (5,003) -- --
Class E (13,435) (12,542) -- --
---------- ---------- --------- --------
Total distributions (45,257) (39,721) (3,798) (2,830)
---------- ---------- --------- --------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares issued 448,334 344,080 36,555 28,081
Reinvestment of cash distributions 12,084 10,245 860 722
Cost of Shares redeemed (266,547) (199,284) (21,299) (15,035)
---------- ---------- --------- --------
Increase in Net Assets Derived from
Class A Transactions 193,871 155,041 16,116 13,768
---------- ---------- --------- --------
CLASS E:
Proceeds from Shares issued 553,797 439,964 -- --
Reinvestment of cash distributions 21,923 17,726 -- --
Redemption In-Kind Transaction (Note 6) -- (61,022) -- --
Cost of Shares redeemed (399,088) (298,234) -- --
---------- ---------- --------- --------
increase in Net Assets Derived from
Class E transactions 176,632 98,434 -- --
---------- ---------- --------- --------
increase in Net Assets Derived from
Capital Share transactions 370,503 253,475 16,116 13,768
---------- ---------- --------- --------
Net increase in net assets 763,897 542,154 13,520 13,699
---------- ---------- --------- --------
NET ASSETS:
Beginning of Period 2,294,155 1,752,001 56,981 43,282
---------- ---------- --------- --------
End of Period $3,058,052 $2,294,155 $ 70,501 $56,981
========== ========== ========= ========
(1) SHARES ISSUED AND REDEEMED:
CLASS A:
Shares issued 10,455 9,422 3,589 2,626
Shares issued in lieu of cash distributions 283 291 85 68
Shares redeemed (6,272) (5,571) (2,092) (1,411)
---------- ---------- --------- --------
Total Class A transactions 4,466 4,142 1,582 1,283
---------- ---------- --------- --------
CLASS E:
Shares issued 13,075 12,076 -- --
Shares issued in lieu of cash distributions 512 502 -- --
Redemption In-Kind Transaction (Note 6) -- (1,737) -- --
Shares Redeemed (9,354) (8,321) -- --
---------- ---------- --------- --------
Total Class E transactions 4,233 2,520 -- --
---------- ---------- --------- --------
Net Increase From Share Transactions 8,699 6,662 1,582 1,283
========== ========== ========= ========
<FN>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
</FN>
</TABLE>
17
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- FOR THE YEAR ENDED MARCH 31, 2000
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
RATIO OF NET
NET ASSET NET REALIZED AND DIVIDENDS DISTRIBUTIONS RATIO OF INVESTMENT
VALUE, NET UNREALIZED FROM NET FROM NET ASSET NET ASSETS EXPENSES INCOME
BEGINNING INVESTMENT GAINS OR (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF TO AVERAGE TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN(1) PERIOD (000) NET ASSETS NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------
S&P 500 INDEX FUND
- ------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A (+)
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(2) 20.82 -- 0.05 -- -- 20.87 0.24 3,007 0.46 0.97
CLASS E (++)
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 $10.55 $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(3) 9.90 0.64 0.36 (0.64) -- 10.26 10.31 51,185 0.38 6.20
TABLE CONTINUED
RATIO OF
RATIO NET INVESTMENT
OF EXPENSES INCOME
TO AVERAGE TO AVERAGE
NET ASSETS NET ASSETS PORTFOLI
(EXCLUDING (EXCLUDING TURNOVER
WAIVERS) WAIVERS) RATE
- -----------------------------------------------------
- ------------------
S&P 500 INDEX FUND
- ------------------
CLASS A (+)
<S> <C> <C> <C>
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(2) 0.58 0.85 3
CLASS E (++)
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 0.71% 5.69% 47%
1999 0.72 5.45 40
1998 0.78 5.82 44
1997 0.71 5.93 46
1996(3) 0.48 6.10 59
<FN>
+ 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) THE TOTAL RETURN IS FOR THE PERIOD INDICATED AND HAS NOT BEEN ANNUALIZED.
(2) 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.
(3) THE INVESTMENT ADVISER WAS CHANGED FROM WORLD ASSET MANAGEMENT TO MELLON
BOND ASSOCIATES EFFECTIVE OCTOBER 2, 1996.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
18
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- MARCH 31, 2000
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
19
<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.
A summary of the open S&P 500 Index futures contracts held by the S&P 500
Index Fund at March 31, 2000, is as follows:
CONTRACT UNREALIZED
NUMBER OF VALUE APPRECIATION
CONTRACTS (000) EXPIRATION (000)
----------- ---------- ------------ ------------
95 $35,988 06/16/00 $2,029
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 -- The timing and
characterization of certain income and capital gains distributions are
determined annually in accordance with federal tax regulations which may differ
from generally accepted accounting principles. As a result, net investment
income (loss) and net realized gain (loss) on investment transactions for the
reporting period may differ significantly from distributions during such period.
These book/tax differences may be temporary or permanent in nature. To the
extent these differences are permanent, they are charged or credited to
paid-in-capital or accumulated net realized gain, as appropriate, in the period
that the differences arise. Accordingly, the following permanent difference, has
been reclassified to/from the following accounts during the fiscal year ended
March 31, 2000:
PAID IN ACCUMULATED ACCUMULATED
CAPITAL NET INVESTMENT REALIZED GAIN
FUND (000) INCOME (000) (000)
- ----------------- ------- -------------- --------------
S&P500 Index Fund $2,769 $(714) $(2,055)
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.
20
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INDEX FUNDS -- MARCH 31, 2000
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 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, 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.
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 year ended March 31, 2000,
were as follows:
U.S.
GOVERNMENT
SECURITIES ALL OTHER TOTAL
(000) (000) (000)
-----------------------------------
S&P 500 INDEX FUND
Purchases $ -- $545,673 $545,673
Sales -- 174,485 174,485
BOND INDEX FUND
Purchases $38,206 $ 6,413 $ 44,619
Sales 25,621 1,963 27,584
Subsequent to October 31, 1999, the Bond Index Fund recognized net capital
losses for tax purposes in the amount of $234,746 that have been deferred and
can be used to offset future capital gains at March 31, 2000. At March 31, 2000,
the Bond Index Fund had capital loss carryforwards to the extent provided in the
regulations for Federal income tax as follows:
EXPIRATION YEAR EXPIRATION AMOUNT
--------------- -----------------
2002 $121,767
2003 100,980
2004 241,696
2008 174,383
--------
$638,826
========
21
<PAGE>
The S&P 500 Fund had cumulative wash sales at March 31, 2000, amounting to
$4,356,091. These wash sale losses cannot be used for Federal income tax
purposes in the current year and have deferred for use in future years.
The aggregate gross unrealized appreciation and depreciation on securities
at March 31, 2000, for each Fund is as follows:
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES DEPRECIATION
(000) (000) (000)
---------------- -------------- ----------------
S&P 500 Index Fund $1,556,423 $(120,964) $1,435,459
Bond Index Fund 533 (1,888) (1,355)
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 March 31, 2000, is as
follows:
% OF
FUND
MOODY'S VALUE
------- -------
U.S. Government Securities 73.25%
Repurchase Agreements 1.68%
Other Bonds
Aaa 4.69%
Aa 4.00%
A 10.90%
Baa 5.48%
-------
100.00%
=======
6. IN-KIND REDEMPTION
On April 14, 1998, Michigan Masonic Charitable Foundation liquidated its full
position of 1,737,031 shares in the S&P 500 Index Class E Fund and received a
portion of its redemption through the transfer of securities (in-kind) for a
value of $59,853,681 with the remainder in cash of $1,168,212. As a result of
the redemption in-kind, the fund realized a gain for book purposes of
$37,819,108, which represents the appreciation, as of the date of the transfer,
in the securities transferred. For tax purposes, the Fund will not be required
to distribute this realized gain to shareholders and therefore, the amount has
been reclassified to paid in capital in accordance with Statement of Position
93-2. This reclassification had no effect on the Funds' net asset value.
7. 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
March 31, 2000, no borrowings were made from this line of credit.
22
<PAGE>
NOTICE TO SHAREHOLDERS
- --------------------------------------------------------------------------------
MARCH 31, 2000 -- (UNAUDITED)
For shareholders that do not have a March 31, 2000 taxable year end, this notice
is for informational purposes only. For shareholders with a March 31, 2000
taxable year end, please consult your tax advisor as to the pertinence of this
notice.
For the fiscal year ended March 31, 2000 the Funds of the SEI Index Funds are
designating long term capital gains and qualifying dividend income with regard
to distributions paid during the year as follows:
(A) (B)
LONG TERM ORDINARY
CAPITAL GAINS INCOME TOTAL
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS
FUND (TAX BASIS) (TAX BASIS) (TAX BASIS)
- ---------- --------------- --------------- ---------------
S&P 500 Index 42% 58% 100%
Bond Index (2) 0% 100% 100%
(C) (D) (E)
QUALIFYING TAX-EXEMPT FOREIGN
FUND DIVIDENDS(1) INTEREST TAX CREDIT
- ---------- -------------- ------------ ------------
S&P 500 Index 100% 0% 0%
Bond Index 0% 0% 0%
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction.
(2) The Bond Index fund satisfies CA, CT and NY's statutory requirements to pass
-through income from Federal obligations. Accordingly, the pro-rata portion
of income from Federal obligations may be exempt for those respective
state's income tax purposes.
Items (A) and (B) are based on the percentage of each Fund's total distribution.
Item (C) is based on the percentage of ordinary income of the Fund.
Items (D) and (E) are based on the percentage of gross income of the Fund.
23
<PAGE>
NOTES
<PAGE>
- ---------------------
SEI INDEX FUNDS
- ---------------------
ANNUAL REPORT
- ---------------------
MARCH 31, 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
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 ANNUAL REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE
SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE TRUST AND MUST
BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. SHARES OF THE SEI FUNDS ARE
NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY, ANY BANK. THE
SHARES ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION
(FDIC), THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENT AGENCY. INVESTMENT IN
THE SHARES INVOLVES RISK, INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. SEI
INVESTMENTS DISTRIBUTION CO., THE DISTRIBUTOR OF THE SEI FUNDS, IS NOT
AFFILIATED WITH ANY BANK.
FOR MORE INFORMATION CALL 1[Bullet]800[Bullet]DIAL[Bullet]SEI/1[Bullet]800
[Bullet]342[Bullet]5734
<PAGE>
[SEI logo omitted] INVESTMENTS DISTRIBUTION CO.
Oaks, PA 19456
800-DIAL-SEI/800-342-5734
SEI-F-091-07
