[LOGO]
The Pillar Funds
Your Investment Foundation
ANNUAL
REPORT
[GRAPHIC OMITTED]
To Shareholders
December 31, 1998
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TABLE OF CONTENTS
Letter to Shareholders................................ 1
Manager's Discussion & Analysis....................... 3
Statement of Net Assets...............................15
Statement of Assets and Liabilities...................52
Statement of Operations...............................53
Statements of Changes in Net Assets...................56
Financial Highlights..................................62
Notes to Financial Statements.........................68
Report of Independent
Public Accountants.................................97
Notice to Shareholders................................98
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NOT
FDIC May Lose Value
INSURED No Bank Guarantee
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[LOGO]
December 31, 1998
Letter to Shareholders
Shrugging off the worries that had sent the stock market down in the third
quarter and buoyed by three Federal Reserve interest rate cuts, equities came
roaring back in the fourth quarter, allowing most major indices to post new
highs for the year. However, the year's advance of 27% for the S&P 500 and 40%
for the NASDAQ composite masked the very narrow nature of these gains. As
examples, only twelve stocks accounted for 50% of the gain in the S&P 500 and
the median (the 250th company ranked by price change) for that average was up
less than 4%. The rebound in the fourth quarter did not extend to the fixed
income markets. Yields on Treasury issues across the maturity spectrum actually
increased marginally despite rather aggressive signs of central bank ease here
and overseas.
While the American public seems quite satisfied with job creation and
income growth, there are disquieting signs of stress. One extraordinary
statistic is the level of corporate layoffs in 1998. They are expected to exceed
650,000, the highest figure in our history. Fortunately, our economy seems to be
absorbing these unemployed relatively rapidly. But how can so many jobs be lost
when the stock market is hitting new highs and when we're enjoying our longest
peacetime economic expansion? The answer to this question lies in the forces at
work in the world that will continue to shape the business climate in 1999.
The most potent of these forces is deflation, caused by insufficient dollar
liquidity in global markets. Commodity prices have been declining for over three
years and have accelerated their downward slope in the last year. The fallout
from these price trends is affecting economic events around the world in various
ways. Those countries that are highly dependent upon commodities for revenue
have encountered severe dislocations including dramatically reduced incomes and
greatly weakened currencies. Much of Asia and countries such as Russia are
examples of these trends. In our own country, the impact of commodity deflation
has a wide number of repercussions. Price pressures and over-capacity in the
commodity industries make it extremely competitive for many U.S. companies, both
those that export and those that compete with imports. These are largely the
companies laying off workers. Because we are predominately a service economy,
employment and earnings trends in the United States have been largely
maintained. So the American consumer finds him or herself in the enviable
position of having incomes rising when many of the things he or she buys are
falling in price. But we should not delude ourselves that this state of affairs
can be maintained to our benefit for long. If nothing is done to arrest these
deflationary forces, the one third of the world now in recession will gradually
increase until we are included as well.
What should be done to stem the decline in prices? We need to accelerate
the growth of dollar liquidity by increasing our money supply. Fortunately, our
Federal Reserve has begun to recognize the dangers of our current path and has
already taken several steps to promote greater liquidity. The most immediate
home for this liquidity has been our own stock market but over time we should
begin to see the effects spread more broadly around the world since our currency
is the preferred money in many countries. Keep your eye on commodity prices and
the price of gold to see how well the process is working. Deflation is also
going to slow our growth in 1999. Exports and capital spending are being
negatively impacted by currency changes and global over-capacity. These two
sectors have been the most dynamic parts of our economy.
(continued next page)
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1
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Slower growth and an inability to raise prices will continue to pressure
corporate profits. And the need to forestall if possible any likelihood of
global recession will make central banks everywhere reduce interest rates
further next year. Keep your fingers crossed that these reliquification efforts
have the desired effect.
Forecasts for interest rates and corporate profits vary widely for this
year. And indeed it is possible to build plausible cases for widely varying
outcomes. The most important variable has to be the trend of consumer spending.
Last year American optimism and income creation allowed for strong sales,
supporting both domestic producers and much of the rest of the world. Much has
been made in the media of the reported low savings rate in recent quarters,
prompting many to expect a falloff by the consumer. However, there are a number
of distortions in how this data is put together so this condition alone is not
sufficient, in our view, to prompt slower sales growth. More importantly, the
recent trend of wage increases has shown noticeably slower gains, the fallout
from continued low inflation and stalled corporate profits, and is a better
reason to look for less robust consumer spending in 1999.
As noted above, arresting global deflation is going to take further
aggressive action to create liquidity. As a result, interest rates in the United
States can fall further and will be helped along by the likelihood that both
inflation differentials and the spread over foreign rates can narrow some more
in the current environment. By year-end 1999, we expect short government rates
to have dropped to 3.50% from 4.50% currently, and long rates to reach 4.50% -
4.75% from 5.15% today.
Our equity strategy has benefited greatly from the market's preoccupation
with large capitalization companies with good growth prospects. An environment
of greater uncertainty and rising skepticism about the direction of corporate
profits has historically been the climate when growth stocks have shown their
greatest outperformance and the current period is no exception. We expect the
new year to be an extension of this trend as there are no signs that profit
growth will be accelerating in the near future. Our secular themes of emphasis
on leaders in technology, health care and financial services still promise the
most secure demand patterns and constitute the backbone of our equity
portfolios. The overall level of equity valuation is unsettling as is the
current mania associated with the Internet. The higher level of volatility for
stock prices over the last year may be an ongoing fact of life. We can't avoid
this volatility but expect to position our clients' portfolios so that the
economic outperformance of our individual selections will generate, we believe
superior investment results.
Sincerely,
/s/ Signature Omitted /s/ Signature Omitted
Mark E. Nagle Hilton M. Jervey, CFA
President and CEO Senior Vice President
The Pillar Funds Chief Investment Officer
Summit Bank
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2
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[LOGO]
December 31, 1998
Manager's Discussion & Analysis
U.S. Treasury Securities Money Market Fund,
Prime Obligation Money Market Fund,
U.S. Treasury Securities Plus Money
Market Fund,
Institutional Select Money Market Fund
During the first half of 1998, we expected the Federal Reserve to leave
interest rates steady. In light of this view, we extended maturities slightly.
As the international picture changed, and it became clear that the Federal
Reserve would have to lower short term interest rates, the maturities were
extended on all of the Pillar Money Market Funds. This action proved to be
successful as the Federal Reserve lowered the Federal Funds rate by 75 basis
points within two months.
The U.S. economy continues to experience growth coupled with low
unemployment and no inflation. We expect the Federal Reserve to remain on hold
during the first quarter of 1999. The Fed has adopted a neutral stance regarding
interest rates. Maturities in the money market funds will reflect this
transition.
Tax-Exempt Money Market Fund
Investor demand for short term tax-exempt instruments remained strong
throughout 1998. Interest rates on the short end of the tax-exempt yield curve
did not experience dramatic movements, resulting in narrow trading ranges
throughout the year. Anticipating a greater decline in short term rates, the
portfolio maintained an average maturity of 72 days exceeding IBC Financial's
average of 46 days. IBC Financial's universe returned 2.93% versus the Fund's
Class I shares return of 2.98%.
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3
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Manager's Discussion & Analysis (continued)
Fixed Income Fund
1998 proved to be a rather challenging year for fixed income investments as
the bond market went through a number of distinct phases over the 12-month
period. Early in the year, interest rates continued to decline as a result of
the Asian financial crisis which erupted in the fall of 1997. This trend began
to reverse itself in April and May, as it became evident that domestic GDP
growth in the prior quarter had dramatically exceeded expectations. This raised
fears of the Federal Reserve tightening monetary policy. The third quarter then
brought a whole new set of circumstances into play. New concerns about Asia, the
Russian default, questions about Brazil and the near collapse of a hedge fund
resulted in a worldwide liquidity crisis. As a result, investors began to dump
riskier assets in favor of the perceived safety of "risk free" U.S. Treasury
instruments. This created an extreme disparity within the bond market as
Treasury issues dramatically outperformed all other bond investments. Heading
into the fourth quarter, the Fed recognized the need to reliquify the monetary
system and initiated the first of three 1/4 percentage point interest rate
reductions. This renewed investor confidence, reversed the downward spiral of
the stock market and resulted in lesser quality bonds outperforming treasuries
in the last few months of the year.
Within this environment, the Pillar Fixed Income Class I shares were able
to generate reasonably good results with a 7.8% total return for the year. In
the process of achieving these results, the Fund maintained a very high level of
credit quality, which is consistent with our primary objective of capital
preservation. As of year-end, 73% of the investments were rated AAA. In addition
to minimizing credit risk, the Fixed Income Fund strives to manage the level of
interest rate risk to which it is subjected. This has been achieved by
emphasizing investments with a stated or functional maturity of 2 to 10 years.
The Fund finished the year with an average weighted maturity of 6.6 years. The
manager also attempts to control risk by maintaining a diversified portfolio in
terms of market sectors and bond structure. These characteristics allowed the
Pillar Fixed Income Fund to maintain a fairly constant NAV and income level
throughout the past year.
Looking ahead, we anticipate that interest rates will be flat to slightly
down from their year-end 1998 levels. This view reflects continued weakness in
many of the world economies, weak commodity prices and favorable domestic fiscal
policies. At present, we anticipate that the monetary policy in the United
States will be neutral to positive for the bond market. In view of these
expectations, it is anticipated that the quality, maturity and diversification
characteristics mentioned above will remain in place.
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4
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[LOGO]
December 31, 1998
Comparison of Change in the Value of a $10,000 Investment
in the Pillar Fixed Income Fund, Class I or Class A,
versus the Lehman Intermediate Gov't./Corp. Index
[Graph]
<TABLE>
<CAPTION>
- --------------------------------------------------
Initial Investment Date 4/30/92 Dec 92 Dec 93 Dec 94 Dec 95 Dec 96 Dec 97 Dec 98
- --------------------------------------------------- ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Pillar Fixed Income Fund, Class I $10,000 $10,867 $12,069 $11,386 $13,408 $13,802 $14,876 $16,036
Pillar Fixed Income Fund, Class A $ 9,575 $10,390 $11,509 $10,830 $12,710 $13,050 $14,017 $15,074
Lehman Intermediate Gov't./Corp. Index $10,000 $10,721 $11,663 $11,438 $13,189 $13,724 $14,804 $16,051
</TABLE>
INVESTMENT GROWTH ANALYSIS
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Average Annual Total Return(1)
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1 Year 3 Year 5 Year Since Inception
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CLASS I 7.80% 6.15% 5.85% 7.25%
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CLASS A 7.54% 5.85% 5.55% 6.96%
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CLASS A* (with load) 2.97% 4.32% 4.64% 6.28%
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CLASS B 6.84% N/A N/A 7.90%
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CLASS B** (with load) 1.34% N/A N/A 4.95%
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* Return figures reflect the impact of the maximum 4.25% sales charge.
** Return figures reflect the impact of paying the maximum contingent deferred
sales charge (CDSC) of 5.50%.
(1) For the period ended December 31, 1998. Past performance of the period is
not predictive of future performance. The investment return and principal
value of an investment will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than their original cost. Fixed Income
Fund Class I and Class A shares commenced operations on April 1, 1992 and
Class B shares commenced operations on May 16, 1997.
New Jersey Municipal Securities Fund
Despite record new issuance, strong domestic growth and favorable inflation
indicators, municipal issues traded in a surprisingly narrow range throughout
1998. New issue volume was $280 billion, of which $97 billion was the refunding
of previously outstanding issues. Yields on bonds maturing in 10, 15 & 20 years
were 4.40%, 4.80% and 5.00% in January and closed in December at 4.10%, 4.58% &
4.94%, reflective of the modest volatility for the year.
While individuals were the number one investors in municipal securities,
nonfinancial corporations ranked number two. As yields on Treasury issues
continued to decline, tax exempt issues traded at historically high percentages
of their Treasury counterparts, creating attractive opportunities, as evidenced
by the participation of nontraditional buyers. However, these disparities did
pose problems for market arbitrageurs who were unable to unwind their positions
in a timely fashion.
Underwriting trends shifted further away from Wall Street in favor of
regional firms and private placement capital groups. Structure was an important
factor given record volume and the primary market offered particular value
during the second half of the year as issues were "priced to sell".
New Jersey, considered one of the "super speciality" states, enjoyed strong
demand from both in and out of state investors who accepted lower yields
relative to general market issuers. However, such strong demand and less than
market yields made it difficult to keep pace with general obligation funds
despite our lengthening of the average weighted maturity.
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5
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Manager's Discussion & Analysis (continued)
The Pillar New Jersey Municipal Securities Fund's Class I shares returned
4.79% for the year ending December 31 while the Lehman 5 Year General Obligation
Index returned 5.84%.
With so much refunding activity having taken place during the last two
years and many states and municipalities enjoying surpluses, we believe supply/
demand factors will play a key role in the year ahead.
Comparison of Change in the Value of a $10,000 Investment
in the Pillar NJ Municipal Securities Fund, Class I or Class A,
versus the Lehman 7-Year Municipal Bond Index,
and the Lehman 5-Year G.O. Bond Index
[Graph]
<TABLE>
<CAPTION>
- ------------------------------------------------------
Initial Investment Date 5/31/92 Dec 92 Dec 93 Dec 94 Dec 95 Dec 96 Dec 97 Dec 98
- ------------------------------------------------------- ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Pillar NJ Municipal Securities Fund, Class I $10,000 $10,505 $11,605 $11,127 $12,637 $13,069 $13,953 $14,621
Pillar NJ Municipal Securities Fund, Class A $ 9,700 $10,176 $11,203 $10,716 $12,141 $12,515 $13,305 $13,895
Lehman 7-Year Municipal Bond Index $10,000 $10,610 $11,716 $11,392 $13,006 $13,576 $14,620 $15,530
Lehman 5-Year G.O. Bond Index $10,000 $10,557 $11,460 $11,302 $12,615 $13,198 $14,053 $14,875
</TABLE>
INVESTMENT GROWTH ANALYSIS
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Average Annual Total Return(1)
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1 Year 3 Year 5 Year Since Inception
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CLASS I 4.79% 4.98% 4.73% 6.00%
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CLASS A 4.44% 4.60% 4.40% 5.62%
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CLASS A* (with load) 1.28% 3.55% 3.76% 5.14%
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* Return figures reflect the impact of the maximum 3.00% sales charge.
(1) For the period ended December 31, 1998. Past performance of the period is
not predictive of future performance. The investment return and principal
value of an investment will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than their original cost. New Jersey
Municipal Securities Fund Class I and Class A shares commenced operations on
May 4, 1992.
Intermediate-Term Government
Securities Fund
There was a lot of uncertainty in the markets in 1998. The Asian situation,
President Clinton's White House problems and the concerns over the growth of the
economy made a lot of investors cautious during the year. In September, the
Federal Reserve Open Market Committee reduced the federal fund rate by 25 basis
points. This was followed by another 25 basis point cut in October along with a
25 basis point cut in the discount rate. Investors decided bonds were a safe
place to be for awhile and began to diversify their investments and increase
their bond holdings. Yields declined during the year with the 30 year Treasury
declining from approximately 5.9% to 5.08%, the 10 year from 5.7% to 4.65%, the
5 year from 5.7% to 4.56% and the 1 year from 5.5% to 4.5%.
The Intermediate-Term Government Securities Fund was invested to provide
current income. The Fund's Class I shares had a total return of 6.6% for the
year with an average maturity of 3.3 years. Callable U.S. Government Agency
bonds were purchased to lock in the higher returns while also trying to provide
call protection. U.S. Treasury bonds in the 5 year maturity range were also
purchased as rates began to decline. At this time, with the uncertainty in the
global markets, we expect rates to trade in their present range for awhile.
Investments in the Fund will be made with the aim of continuing to provide for
current income.
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6
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[LOGO]
December 31, 1998
Comparison of Change in the Value of a $10,000 Investment in the
Pillar Intermediate-Term Government Securities Fund, Class I or Class A,
versus the Lehman Intermediate Government/Corporate Bond Index
[Graph]
<TABLE>
<CAPTION>
- ----------------------------------------------
Initial Investment Date 4/30/92 Dec 92 Dec 93 Dec 94 Dec 95 Dec 96 Dec 97 Dec 98
- ---------------------------------------------- ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Pillar Intermediate-Term Government
Securities Fund, Class I $10,000 $10,540 $11,417 $10,863 $12,493 $12,900 $13,798 $14,708
Pillar Intermediate-Term Government
Securities Fund, Class A $ 9,600 $10,112 $10,915 $10,360 $11,884 $12,241 $13,049 $13,893
Lehman Intermediate Government/
Corporate Bond Index $10,000 $10,721 $11,663 $11,438 $13,189 $13,724 $14,804 $16,051
</TABLE>
INVESTMENT GROWTH ANALYSIS
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Average Annual Total Return(1)
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1 Year 3 Year 5 Year Since Inception
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CLASS I 6.60% 5.59% 5.20% 5.96%
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CLASS A 6.47% 5.34% 4.94% 5.71%
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CLASS A* (with load) 2.18% 3.93% 4.09% 5.06%
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* Return figures reflect the impact of the maximum 4.00% sales charge.
(1) For the period ended December 31, 1998. Past performance of the period is
not predictive of future performance. The investment return and principal
value of an investment will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than their original cost. Intermediate-
Term Government Securities Fund Class I and Class A shares commenced
operations on April 2, 1992.
Pennsylvania Municipal Securities Fund
The Federal Reserve cut short-term rates three times in the Fall, but the
general level of interest rates rose during the fourth quarter and dampened our
total return for the year. The Fund is situated to take advantage of the
continuing cyclical decline in inflation and, over time, the reduction of
interest rates from both an absolute level and a reduction in the inflation
premium. Municipal bonds as a group in comparison to U.S. Treasuries are
selling, on an after-tax basis, at the cheapest levels in a decade. We continue
to forecast a subdued inflation picture for 1999 and would expect the Fund to
outperform the Lehman 5-Year Municipal Bond Index.
Comparison of Change in the Value of a $10,000 Investment in the
Pillar PA Municipal Securities Fund, Class I or Class A,
versus the Lehman 5-Year Municipal Bond Index
[Graph]
<TABLE>
<CAPTION>
- ----------------------------------------------
Initial Investment Date 5/31 Dec 93 Dec 94 Dec 95 Dec 96 Dec 97 Dec 98
- ---------------------------------------------- ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C>
Pillar PA Municipal Securities Fund,
Class I $10,000 $10,417 $10,149 $11,319 $11,759 $12,603 $13,213
Pillar PA Municipal Securities Fund,
Class A $ 9,700 $10,101 $ 9,815 $10,910 $11,318 $12,068 $12,621
Lehman 5-Year Municipal Bond Index $10,000 $10,501 $10,338 $11,541 $12,030 $12,798 $13,547
</TABLE>
INVESTMENT GROWTH ANALYSIS
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Average Annual Total Return(1)
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1 Year 3 Year 5 Year Since Inception
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CLASS I 4.84% 5.30% 4.87% 5.01%
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CLASS A 4.58% 4.98% 4.55% 4.75%
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CLASS A* (with load) 1.46% 3.90% 3.93% 4.18%
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* Return figures reflect the impact of the maximum 3.00% sales charge.
(1) For the period ended December 31, 1998. Past performance of the period is
not predictive of future performance. The investment return and principal
value of an investment will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than their original cost. Municipal
Securities Fund Class I and Class A shares commenced operations on May 3,
1993 and May 13, 1993, respectively.
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7
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Manager's Discussion & Analysis (continued)
Equity Growth Fund
In 1998, the U.S. Stock market marked its fourth consecutive year of
greater than 20% growth. The significant volatility experienced during the year
was not reflected in the final performance figures. The Federal Reserve Bank's
easing actions in the fall outweighed investors, concerns over shrinking
corporate profits and troubled overseas economies. Large capitalization growth
stocks produced the best gains within the market with technology stocks leading
the way. For the third consecutive year Dell Computer, one of the Fund's
holdings, appreciated better than 200% and became the first stock in history to
claim the top return within the S&P 500 three years in a row.
Macroeconomic factors aligned to create the best environment for growth
stocks since 1991. Within this favorable climate, the Pillar Equity Growth Fund
generated superior relative investment performance. Our sector emphasis in
technology, healthcare and financial services proved to be the prime universe to
explore for big winners in 1998. Leading gainers included America Online
(+585%), Dell Computer (+248%), EMC Corporation (+209%), Nokia (+240%), Cisco
(+150%), Gap (+138%), Worldcom (+137%), Microsoft (+115%), Home Depot (+108%),
American Power Conversion (+105%), and Lucent (+175%). We believe the Fund is
fundamentally well positioned to prosper in the environment just ahead as
overall corporate profit growth remains difficult and inflation and interest
rates continue to be well behaved.
Strategically, the Fund is structured within economic sectors we believe
will deliver consistently superior growth rates. Measured over long time
horizons, stock price appreciation has historically correlated with close
approximation to companies earnings. Looking ahead, we continue to see
opportunities for growth in many segments of technology, healthcare, financial
services, specialty retail and certain global consumer companies.
In late November, the Fund entered into a swap agreement for the purpose of
locking in a level of outperformance of the Fund vs. the S&P 500 for the
remainder of 1998. The transaction was a tactical maneuver to protect the gains
achieved in the first eleven months of the year from eroding in what was a very
volatile and uncertain market. After securing the expected outperformance for
the remainder of the year (Pillar Equity Growth Fund +31.8% vs. S&P 500 +28.6%
in 1998), the Fund's equity positions continued to further outperform the S&P
500, resulting in two negative cash flow payments to reconcile the performance
differential and settle the transaction.
Comparison of Change in the Value of a $10,000 Investment
in the Pillar Equity Growth Fund, Class I or Class A,
versus the S&P 500 Composite Index
[Graph]
<TABLE>
<CAPTION>
- ---------------------------------------------------
Initial Investment Date 1/31/97 Dec 97 Dec 98
- --------------------------------------------------- ------ ------
<S> <C> <C> <C>
Pillar Equity Growth Fund, Class I $10,000 $11,290 $14,882
Pillar Equity Growth Fund, Class A $ 9,450 $10,664 $13,937
S&P 500 Composite Index $10,000 $12,550 $16,139
</TABLE>
INVESTMENT GROWTH ANALYSIS
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Average Annual Total Return(1)
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1 Year Since Inception
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CLASS I 31.81% 23.06%
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CLASS A 30.69% 22.50%
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CLASS A* (with load) 23.48% 18.94%
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CLASS B 30.47% 23.69%
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CLASS B** (with load) 24.97% 20.96%
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* Return figures reflect the impact of the maximum 5.50% sales charge.
** Return figures reflect the impact of paying the maximum contingent deferred
sales charge (CDSC) of 5.50%.
(1) For the period ended December 31, 1998. Past performance of the period is
not predictive of future performance. The investment return and principal
value of an investment will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than their original cost. Equity Growth
Fund Class I and Class A shares commenced operations on February 3, 1997
and Class B shares commenced operations on May 21, 1997.
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8
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[LOGO]
December 31, 1998
Equity Value Fund
Shareholders in the Pillar Equity Value Fund enjoyed an exceptionally good
year in 1998 despite tremendous volatility in the overall market. The Fund's
Class I shares returned a total of 27.6% vs. the Lipper Growth and Income Index
average of 13.6% and an S&P 500 Index return of just over 28%. While nominal and
relative returns were outstanding during the year, the risk profile of the Fund
remained lower than that of the overall market as measured by the S&P 500.
During the market decline from August through early October, the Fund fell 15%
less than the broader market index and yet recovered further than the index
during the 4th Quarter. This is exactly the kind of behavior that is targeted
for the Equity Value Fund and clearly its performance during this difficult
period exceeded expectations. One of the primary factors which contributed to
performance during the year (and previous years as well) was a continued
dedication to economic sector diversification. The market swings of 1998 were
also accompanied by fairly sizable movements in individual sectors such as
finance and technology. Crises overseas in Asia, Russia, and Latin America all
had an adverse impact on the financial services sector, while changes in
domestic and global supply/demand factors had both negative and positive impacts
on the technology sector. But perhaps the most significant factor contributing
to the Equity Value Fund's performance in 1998 was the Fund's exposure to
primarily large capitalization issues. Clearly, smaller and mid-cap names
continued to be out of favor during the year despite the compelling valuation
characteristics evident in those sectors.
As liquidity infusions by the U.S. Federal Reserve together with those of
other foreign central banks begin to impact the real economies in the major
industrial countries, we should expect to see some recovery in those markets
abroad which made for much of the financial market's instability in 1998. With
short-term interest rates remaining at low levels, we would anticipate a
somewhat more stable backdrop for the U.S. financial markets in 1999. Flat
corporate profits from many sectors and domestic political wrangling
notwithstanding, the equity market could begin to discount a better environment
as we approach the new millennium. This could be offset by a slightly higher
inflation rate as the benefits from falling oil and commodity prices will
probably not be repeated given a global recovery in overall demand. This could
keep equity market returns more towards the historical mean of 10% or so which
should not disappoint the long-term investor.
Comparison of Change in the Value of a $10,000 Investment
in the Pillar Equity Value Fund, Class I or Class A,
versus the S&P 500 Composite Index
[Graph]
<TABLE>
<CAPTION>
- --------------------------------------------------
Initial Investment Date 4/30/92 Dec 92 Dec 93 Dec 94 Dec 95 Dec 96 Dec 97 Dec 98
- --------------------------------------------------- ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Pillar Equity Value Fund, Class I $10,000 $10,668 $11,321 $10,686 $14,608 $17,777 $22,347 $28,510
Pillar Equity Value Fund, Class A $ 9,450 $10,071 $10,660 $10,039 $13,689 $16,584 $20,814 $26,472
S&P 500 Composite Index $10,000 $11,726 $11,802 $11,957 $16,446 $20,218 $26,961 $34,672
</TABLE>
INVESTMENT GROWTH ANALYSIS
- --------------------------------------------------------------------------------
Average Annual Total Return(1)
- --------------------------------------------------------------------------------
1 Year 3 Year 5 Year Since Inception
- --------------------------------------------------------------------------------
CLASS I 27.58% 24.97% 20.29% 16.98%
- --------------------------------------------------------------------------------
CLASS A 27.18% 24.58% 19.95% 16.69%
- --------------------------------------------------------------------------------
CLASS A* (with load) 20.19% 22.25% 18.59% 15.70%
- --------------------------------------------------------------------------------
CLASS B 26.33% N/A N/A 23.79%
- --------------------------------------------------------------------------------
CLASS B** (with load) 20.83% N/A N/A 21.11%
- --------------------------------------------------------------------------------
* Return figures reflect the impact of the maximum 5.50% sales charge.
** Return figures reflect the impact of paying the maximum contingent deferred
sales charge (CDSC) of 5.50%.
(1) For the period ended December 31, 1998. Past performance of the period is
not predictive of future performance. The investment return and principal
value of an investment will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than their original cost. Equity Value
Fund Class I and Class A shares commenced operations on April 1, 1992 and
Class B shares commenced operations on May 12, 1997.
- --------------------------------------------------------------------------------
9
<PAGE>
- --------------------------------------------------------------------------------
Manager's Discussion & Analysis (continued)
Equity Income Fund
The U.S. stock market once again provided extraordinary returns in 1998.
The S&P 500 Index returned 28% making the period 1995-1998 the best four
consecutive years since the end of World War II. However, the year was
characterized by a vast difference in performance between so-called "growth" and
"value" stocks. The latter underperformed as investors were concerned about a
slowing in corporate profits affecting cyclical stocks more heavily. While the
Fund's Class I shares return of 11.4% was well below the market averages, it was
somewhat better than many of its competitors.
As 1999 begins, investors continue to favor "growth" stocks. This is normal
for the late stages of an economic cycle which is now the second longest on
record. The economy appears to be carrying over some momentum with inflation
still well contained. It appears unlikely that the Federal Reserve will be
forced to act. We expect to continue our strategy of searching for investments
which provide growth of capital consistent with an emphasis on current income.
Comparison of Change in the Value of a $10,000 Investment
in the Pillar Equity Income Fund, Class I or Class A,
versus the S&P 500 Composite Index
[Graph]
<TABLE>
<CAPTION>
- ----------------------------------------------
Initial Investment Date 4/30/92 Dec 92 Dec 93 Dec 94 Dec 95 Dec 96 Dec 97 Dec 98
- ----------------------------------------------- ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Pillar Equity Income Fund, Class I $10,000 $10,662 $11,757 $11,238 $15,233 $18,434 $23,049 $25,682
Pillar Equity Income Fund, Class A $ 9,450 $10,056 $11,055 $10,551 $14,266 $17,219 $21,469 $23,856
S&P 500 Composite Index $10,000 $10,726 $11,802 $11,957 $16,446 $20,218 $26,961 $34,672
</TABLE>
INVESTMENT GROWTH ANALYSIS
- --------------------------------------------------------------------------------
Average Annual Total Return(1)
- --------------------------------------------------------------------------------
1 Year 3 Year 5 Year Since Inception
- --------------------------------------------------------------------------------
CLASS I 11.42% 19.02% 16.92% 15.45%
- --------------------------------------------------------------------------------
CLASS A 11.12% 18.70% 16.63% 15.16%
- --------------------------------------------------------------------------------
CLASS A* (with load) 5.01% 16.48% 15.32% 14.20%
- --------------------------------------------------------------------------------
CLASS B 10.29% N/A N/A 15.45%
- --------------------------------------------------------------------------------
CLASS B** (with load) 4.79% N/A N/A 12.74%
- --------------------------------------------------------------------------------
* Return figures reflect the impact of the maximum 5.50% sales charge.
** Return figures reflect the impact of paying the maximum contingent deferred
sales charge (CDSC) of 5.50%.
(1) For the period ended December 31, 1998. Past performance of the period is
not predictive of future performance. The investment return and principal
value of an investment will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than their original cost. Equity Income
Fund Class I and Class A shares commenced operations on April 1, 1992 and
Class B shares commenced operations on May 8, 1997.
- --------------------------------------------------------------------------------
10
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
Mid Cap Fund
Last year was a roller coaster for investors in the Fund. The first and
fourth quarters produced double digit positive returns and the second and third
quarters produced negative results. In the end the Portfolio earned a 7.8%
positive return. Although we were not pleased with the return overall, it did
fall between the Russell 2000 Index ( -2.2%) and the S&P Mid-Cap Index of 19.1%.
For the second year, "the larger the capitalization the better the return" rule
held sway in the market place. In 1998 the markets stratified to a higher
degree. We are continuing to invest in companies with a higher growth rate than
the general market and continue to feel that patience will be rewarded. Our
challenge for the coming year will be to provide superior investment performance
in our category.
Comparison of Change in the Value of a $10,000 Investment in the
Pillar Mid-Cap Fund, Class I,
versus the S&P 400 Mid-Cap Index
[Graph]
<TABLE>
<CAPTION>
- ----------------------------------------------
Initial Investment Date 4/30/92 Dec 92 Dec 93 Dec 94 Dec 95 Dec 96 Dec 97 Dec 98
- ---------------------------------------------- ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C>
Pillar Mid-Cap Fund, Class I $10,000 $11,037 $12,496 $11,329 $13,537 $15,372 $18,522 $19,961
S&P 400 Mid-Cap Index $10,000 $11,385 $12,968 $12,502 $16,368 $19,514 $25,803 $30,736
</TABLE>
INVESTMENT GROWTH ANALYSIS
- --------------------------------------------------------------------------------
Average Annual Total Return(1)
- --------------------------------------------------------------------------------
1 Year 3 Year 5 Year Since Inception
- --------------------------------------------------------------------------------
CLASS I 7.77% 13.82% 9.82% 10.83%
- --------------------------------------------------------------------------------
(1) For the period ended December 31, 1998. Past performance of the period is
not predictive of future performance. The investment return and principal
value of an investment will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than their original cost. Mid-Cap Fund
Class I shares commenced operations on April 1, 1992.
Balanced Fund
The U.S. financial markets finished a very volatile year on a positive note
with both stocks and bonds generating strong returns. Once again, the Balanced
Fund's Class I shares fully participated and produced a total return of 18.65%
versus the Lipper Balanced Fund Index average of 13.55%.
Our outlook for 1999 is for a more difficult operating environment for
corporate profits, somewhat offset by lower bond yields and strong cash flows
into equity mutual funds. We believe that, in this environment, companies that
can produce revenue and profit growth will continue to be rewarded.
Our asset allocation in the Fund remains overweighted in stocks, at
approximately 68%, with the remainder in bonds and cash.
Our equity position is overweighted in financial, technology and capital
goods. Our bond position emphasizes high quality, non-callable obligations that
will benefit in the lower interest rate environment that we expect for 1999.
- --------------------------------------------------------------------------------
11
<PAGE>
- --------------------------------------------------------------------------------
Manager's Discussion & Analysis (continued)
Comparison of Change in the Value of a $10,000 Investment
in the Pillar Balanced Fund, Class I or Class A, versus the S&P 500
Composite Index, and the Lehman Intmdt. Gov't./Corp. Index
[Graph]
<TABLE>
<CAPTION>
- ----------------------------------------------
Initial Investment Date 4/30/92 Dec 92 Dec 93 Dec 94 Dec 95 Dec 96 Dec 97 Dec 98
- ----------------------------------------------- ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Pillar Balance Fund, Class I $10,000 $10,533 $11,364 $10,840 $13,849 $15,756 $18,857 $22,373
Pillar Balanced Fund, Class A $ 9,450 $ 9,935 $10,692 $10,172 $12,972 $14,709 $17,571 $20,792
S&P 500 Composite Index $10,000 $10,726 $11,802 $11,957 $16,446 $20,218 $26,961 $34,672
Lehman Intmdt. Gov't./Corp. Index $10,000 $10,721 $11,663 $11,438 $13,189 $13,724 $14,804 $16,051
</TABLE>
INVESTMENT GROWTH ANALYSIS
- --------------------------------------------------------------------------------
Average Annual Total Return(1)
- --------------------------------------------------------------------------------
1 Year 3 Year 5 Year Since Inception
- --------------------------------------------------------------------------------
CLASS I 18.65% 17.34% 14.51% 12.84%
- --------------------------------------------------------------------------------
CLASS A 18.33% 17.03% 14.23% 12.54%
- --------------------------------------------------------------------------------
CLASS A* (with load) 11.82% 14.85% 12.94% 11.61%
- --------------------------------------------------------------------------------
CLASS B 17.40% N/A N/A 18.48%
- --------------------------------------------------------------------------------
CLASS B** (with load) 11.90% N/A N/A 15.75%
- --------------------------------------------------------------------------------
* Return figures reflect the impact of the maximum 5.50% sales charge.
** Return figures reflect the impact of paying the maximum contingent deferred
sales charge (CDSC) of 5.50%.
(1) For the period ended December 31, 1998. Past performance of the period is
not predictive of future performance. The investment return and principal
value of an investment will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than their original cost. Balanced
Growth Fund Class I and Class A shares commenced operatoins on April 1, 1992
and Class B shares commenced operations on May 8, 1997.
International Equity Fund
The Pillar International Equity Fund's Class I Shares returned 8.98% for
the year ended December 31, 1998. For the same period, the Morgan Stanley
Capital International-Europe, Australia, Far East (MSCI EAFE) Index returned
20%. During the year the International Equity Fund was managed by two investment
sub-advisers: Wellington Management Company LLP served as the investment
sub-adviser for the period January 1, 1998 through August 31, 1998, and Vontobel
USA Inc. began serving as the sub-adviser on September 1, 1998. The following is
a discussion of performance relating to each period.
Wellington Management Company LLP
Against a backdrop that saw a wide divergence of performance across markets
around the globe, the Pillar International Equity Fund provided a return to
shareholders for the eight months ended August 31, 1998 of -1.64% (net of mutual
fund expenses). The Fund underperformed its benchmark, the Morgan Stanley
Capital International - Europe, Australia, Far East - Index (MSCI EAFE), which
returned 2.59% for the same eight month period. For additional perspective, the
Lipper International Funds Average was 0.54% for the same period.
In general, developed Europe again showed strong performance, rallying
12.98% in U.S. dollar terms, and the Fund continued to benefit as a result of
its large positions in these markets (Europe represented roughly 75% of the
Fund's equities at August 31, 1998). While Europe was strong, in the April
through August period every single Asian market took a turn for the worse after
having seen a short but unsustainable bounce in the beginning of the year. All
the developed Asian markets were down for the year-to-date period, with Japan
declining -14.75% and the developed Pac-Basin ex-Japan region falling a stunning
- --------------------------------------------------------------------------------
12
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
- -30.47%. The emerging markets were also hard hit, falling -40.50% overall, with
Latin America (-45.03%) better off than Asia Pacific countries such as Thailand
(-39.9%) and the Philippines (-36.8%).
The Fund continued to benefit from its exposure to Europe where the
majority of companies continued to surprise on the upside and most countries saw
accelerating economic growth in a non-inflationary environment. Within Europe,
the Fund has been weighted towards the larger "core" markets, such as France and
Germany, which saw gains of 24.34% and 17.05%, respectively. We continue to like
these markets as they are still relatively early in the economic cycle and there
should be room to grow. The U.K. equity market is the exception to the rule, and
the one economy in Europe that is already late in the economic cycle. The U.K.
provided a 5.17% return for the eight months ended August 31.
The Japanese equity market fell -14.75% during the period covered in U.S.
dollar terms, while the currency slid, at one point hitting Y146. Signs of an
acceleration in the rate of deterioration of the domestic economy were in
evidence, and the Japanese government is failing for the seventh year in a row
to get the economy on a sustainable growth path. The numbers coming out of Japan
during the summer months clearly were worse than we had thought, confirming our
significantly reduced position compared to the beginning of the year, when the
outlook was brighter. We remain concerned about the health of the Japanese
economy and the slow pace of adjustment in the corporate sector. The Fund had
invested roughly 15.9% of equities in Japan at August 31, less than Japan's
20.4% weight in the EAFE Index.
The Fund's largest country weightings are in Japan, the U.K., France and
Germany. Relative to its benchmark, the Fund's underweighting in Japan
contributed to positive relative performance while its underweightings in Italy
and Switzerland held performance back slightly. Positions in Mexico and Brazil,
which are not in the EAFE Index, also negatively impacted the Fund's relative
performance. Stock selection during the period also negatively impacted relative
performance.
Vontobel USA Inc.
On September 1, 1998, Vontobel USA Inc. began serving as sub-adviser to the
Fund. During the month of September 1998, Vontobel realigned the portfolio to
reflect their international equity investment style. For the four months ended
December 31, 1998, the International Equity Fund's Class I Shares returned
10.80% versus the MSCI EAFE Index return of 16.94% for the same period.
For the quarter ended December 31, 1998, the International Equity Fund's
Class I Shares returned 17.08% versus the MSCI EAFE Index return of 20.66% for
the same period.
Vontobel's international equity investment discipline emphasizes bottom-up
security selection which focuses on companies with strong balance sheets, high
returns on employed capital and consistent profit growth. Companies we own have
the following characteristics: strong, stable management, a dominant franchise,
growing market share and unit volume sales, high reinvestment of cash flow, a
predictable earnings stream and low to no cyclicality. We augment our bottom-up
research with country analysis which seeks to normalize the distribution of
country weights relative to the benchmark and selective currency hedging. Our
goal is to own the best companies without making country or sector bets.
To that end we have realigned the portfolio to reflect our international
equity investment style. The names you now see in your portfolio such as (AXA,
Scor, Swiss Re, Roche, Compass, HSBC and Barco) have sustained rising ROE's and
double-digit earnings growth over the last ten years. Additionally, they have
strong balance sheets, high interest rate coverage, and substantial free cash
flow.
- --------------------------------------------------------------------------------
13
<PAGE>
- --------------------------------------------------------------------------------
Manager's Discussion & Analysis (continued)
The Fund underperformed the EAFE in the fourth quarter because of an
underweighting in the outperforming Italian and Spanish equity markets and our
underexposure to the Japanese financial sector. Takeover speculation in the
Italian and Spanish markets was tremendous and, in our view, overdone. More
importantly, the absolute valuations of most companies were not compelling.
In Japan, we continue to avoid the banking sector, which hurt our
performance relative to the benchmark. While benchmark risk inflicts occasional
short-term pain, we believe the greater risk is owning firms that destroy
shareholder value instead of creating it. We do not believe the Japanese
Government's methodology in dealing with its bad debt problem (i.e., merging
banks and creating bridge banks) will be constructive and that is why we still
do not want to own Japanese banks. The economy continues to be weak--last year's
company failures and bankruptcies in the manufacturing sector exceeded the
record set in 1984. The longer it takes for a full-scale resolution of the bad
debt problem, the greater the risk that currently strong borrowers end up as
victims. Japan has only five Moody's triple A-rated firms left. Our stock
selection process does not lead us to invest in firms with weak balance sheets.
We also pay a lot of attention to debt levels, preferring to own firms that have
high interest coverage ratios, like Credit Saison, Nintendo, Takeda Chemical and
Fuji Photo.
Global stock markets continued to be quite volatile throughout the fourth
quarter, as can be witnessed by the market recovery after the complete carnage
in the third quarter. That is why we remain steadfast in our investment
discipline rather than speculating on short-term events. Price fluctuations are
a normal part of market cyclicalities and should be treated separately from the
specifics of individual companies.
Looking forward, 1999 is again likely to be a year where Europe, because of
low interest rates, low inflation and steady profit rates will continue
to dominate the Fund's portfolio. We also look to Japanese companies that have a
global franchise to maintain profitability and shareholder value.
Comparison of Change in the Value of a $10,000 Investment
in the Pillar International Equity Fund, Class I or Class A,
versus the Morgan Stanley MSCI EAFE Index
[Graph]
<TABLE>
<CAPTION>
- -----------------------------------------------------
Initial Investment Date 5/31/95 Dec 95 Dec 96 Dec 97 Dec 98
- ------------------------------------------------------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
Pillar International Equity Fund, Class I $10,000 $10,747 $11,948 $11,978 $13,053
Pillar International Equity Fund, Class A $ 9,450 $10,141 $11,244 $11,244 $12,221
Morgan Stanley MSCI EAFE Index $10,000 $10,648 $11,293 $11,495 $13,793
</TABLE>
INVESTMENT GROWTH ANALYSIS
- --------------------------------------------------------------------------------
Average Annual Total Return(1)
- --------------------------------------------------------------------------------
1 Year 3 Year Since Inception
- --------------------------------------------------------------------------------
CLASS I 8.98% 6.70% 7.63%
- --------------------------------------------------------------------------------
CLASS A 8.69% 6.24% 7.35%
- --------------------------------------------------------------------------------
CLASS A* (with load) 2.73% 4.45% 5.72%
- --------------------------------------------------------------------------------
CLASS B 7.84% N/A 3.16%
- --------------------------------------------------------------------------------
CLASS B** (with load) 2.34% N/A 0.26%
- --------------------------------------------------------------------------------
* Return figures reflect the impact of the maximum 5.50% sales charge.
** Return figures reflect the impact of paying the maximum contingent deferred
sales charge (CDSC) of 5.50%.
(1) For the period ended December 31, 1998. Past performance of the period is
not predictive of future performance. The investment return and principal
value of an investment will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than their original cost. International
Growth Fund Class I, Class A and Class B shares commenced operations on
May 1, 1995, May 4, 1995 and May 7, 1997, respectively.
- --------------------------------------------------------------------------------
14
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
Statement of Net Assets
U.S. Treasury Securities Money Market Fund
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
U.S. Treasury Obligations--52.1%
U.S. Treasury Bills (A)
4.713%, 01/21/99 $ 86,000 $ 85,783
4.407%, 02/04/99 19,000 18,921
4.528%, 02/18/99 15,000 14,910
4.478%, 02/25/99 10,000 9,932
4.517%, 03/04/99 34,000 33,742
U.S. Treasury Notes
5.000%, 01/31/99 60,000 59,986
5.000%, 02/15/99 87,000 86,986
5.500%, 02/28/99 24,000 24,045
6.250%, 03/31/99 20,000 20,097
6.375%, 04/30/99 20,000 20,118
6.375%, 05/15/99 24,000 24,156
6.250%, 05/31/99 35,000 35,226
U.S. Treasury (STRIPS)
4.650%, 05/15/99 20,000 19,666
--------
Total U.S. Treasury Obligations
(Cost $453,568) 453,568
--------
Repurchase Agreements--47.8%
Barclays
4.68%, dated 12/31/98, matures
01/04/99, repurchase price
$141,685,462 (collateralized by
U.S. Treasury Note and Bond, total
market value $144,445,051) (B) 141,612 141,612
J.P. Morgan
4.68%, dated 12/31/98, matures
01/04/99, repurchase price
$48,496,761 (collateralized by
U.S. Treasury Note, total
market value $49,442,060) (B) 48,472 48,472
Lehman Brothers
4.68%, dated 12/31/98, matures
01/04/99, repurchase price
$15,013,933 (collateralized by
U.S. Treasury Note, total
market value $15,306,901) (B) 15,006 15,006
Merrill Lynch
4.68%, dated 12/31/98, matures
01/04/99, repurchase price
$16,028,593 (collateralized by
U.S. Treasury Note and Bond, total
market value $16,347,480) (B) 16,020 16,020
Morgan
4.68%, dated 12/31/98, matures
01/04/99, repurchase price
$31,263,389 (collateralized by
U.S. Treasury Note, total
market value $32,026,921) (B) 31,247 31,247
<PAGE>
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Prudential
4.68%, dated 12/31/98, matures
01/04/99, repurchase price
$35,849,070 (collateralized by
U.S. Treasury Note, total
market value $36,547,638) (B) $ 35,831 $ 35,831
Warburg
4.68%, dated 12/31/98, matures
01/04/99, repurchase price
$128,578,481 (collateralized by
U.S. Treasury Note, total
market value $131,171,996) (B) 128,512 128,512
--------
Total Repurchase Agreements
(Cost $416,700) 416,700
--------
Total Investments--99.9%
(Cost $870,268) 870,268
--------
Other Assets and Liabilities, Net--0.1% 1,049
--------
Net Assets:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 802,608,240 outstanding shares
of beneficial interest 802,608
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 68,406,607 outstanding shares
of beneficial interest 68,407
Undistributed net investment income 286
Accumulated net realized gain on investments 16
--------
Total Net Assets--100.0% $871,317
========
Net Asset Value, Offering and Redemption
Price Per Share-- Class I $ 1.00
========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $ 1.00
========
(A) The rate reflected on the Statement of Net Assets represents the security's
discount rate at purchase.
(B) Tri-party repurchase agreement.
STRIPS -- Separate Trading of Registered Interest and Principal of Securities.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
15
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
Prime Obligation Money Market Fund
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Commercial Paper--90.6%
Banking--15.7%
Abbey National Bank
5.170%, 01/12/99 $ 17,000 $ 16,973
Banc One Funding
5.350%, 01/15/99 5,100 5,089
5.300%, 01/29/99 10,000 9,959
5.150%, 03/12/99 5,000 4,950
5.100%, 03/12/99 5,000 4,950
BankAmerica
4.950%, 05/13/99 9,000 8,837
Banker's Trust
5.460%, 01/04/99 5,000 4,998
Chase Manhattan
5.220%, 02/08/99 15,000 14,917
Deutsche Bank
5.100%, 01/08/99 10,000 9,990
5.190%, 02/10/99 5,000 4,971
Norwest Financial
5.220%, 01/05/99 5,000 4,997
4.850%, 02/17/99 5,000 4,968
Toronto Dominion
5.270%, 02/12/99 5,000 4,969
5.410%, 02/22/99 10,000 9,922
--------
110,490
--------
Financial Services--47.9%
American Express
5.140%, 01/04/99 5,000 4,998
5.800%, 01/07/99 5,000 4,995
5.300%, 01/13/99 5,000 4,991
4.850%, 02/12/99 5,000 4,972
5.050%, 03/08/99 5,000 4,954
4.750%, 03/19/99 5,000 4,949
ANZ Delaware
5.050%, 03/08/99 17,000 16,843
Centric Funding
5.030%, 03/22/99 9,250 9,147
5.000%, 04/23/99 6,000 5,907
Citigroup
5.140%, 01/07/99 15,000 14,987
Ford Motor Credit
5.290%, 01/20/99 5,000 4,986
5.450%, 02/16/99 5,000 4,965
5.110%, 03/01/99 5,000 4,958
4.800%, 05/18/99 10,000 9,817
General Electric Capital
5.470%, 01/15/99 5,000 4,989
4.870%, 02/18/99 5,000 4,967
5.110%, 03/01/99 5,000 4,958
4.780%, 03/18/99 5,000 4,950
5.030%, 04/16/99 5,000 4,927
<PAGE>
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
GMAC
5.330%, 01/15/99 $ 2,300 $ 2,295
5.160%, 01/27/99 5,000 4,981
5.030%, 01/29/99 5,000 4,980
5.210%, 02/10/99 5,000 4,971
5.040%, 02/11/99 7,000 6,960
5.060%, 03/19/99 3,000 2,968
5.140%, 05/17/99 2,700 2,648
Goldman Sachs
5.180%, 02/24/99 3,000 2,977
5.450%, 02/26/99 10,000 9,915
5.100%, 03/19/99 5,000 4,945
5.110%, 04/14/99 7,000 6,898
4.890%, 04/23/99 5,000 4,924
International Lease
5.470%, 01/07/99 9,500 9,491
5.370%, 01/08/99 5,000 4,995
5.370%, 01/08/99 10,000 9,990
J.P. Morgan
5.050%, 02/19/99 5,000 4,966
5.110%, 02/19/99 4,500 4,469
4.920%, 04/21/99 3,000 2,955
Merrill Lynch
5.500%, 01/19/99 5,000 4,986
5.300%, 01/20/99 5,000 4,986
5.450%, 02/22/99 5,000 4,961
5.250%, 03/12/99 5,000 4,949
4.740%, 04/23/99 5,000 4,926
4.920%, 04/30/99 5,000 4,919
Paccar
5.250%, 01/21/99 4,400 4,387
5.080%, 02/24/99 5,000 4,962
5.040%, 03/04/99 1,350 1,338
5.070%, 03/25/99 10,000 9,883
Societe Generale
5.220%, 02/17/99 15,000 14,898
5.000%, 05/03/99 1,500 1,475
Transamerica
5.460%, 01/14/99 5,000 4,990
5.460%, 01/14/99 5,000 4,990
5.350%, 01/21/99 5,000 4,985
5.100%, 01/28/99 5,000 4,981
USAA Capital
5.200%, 01/11/99 1,550 1,548
5.270%, 01/19/99 5,000 4,987
5.250%, 01/20/99 6,800 6,781
5.250%, 01/20/99 6,500 6,482
5.150%, 01/21/99 3,000 2,991
5.100%, 01/21/99 5,000 4,986
--------
336,979
--------
- --------------------------------------------------------------------------------
16
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Industrial--12.3%
Archer-Daniels-Midland
5.350%, 01/15/99 $ 15,000 $ 14,969
4.950%, 02/12/99 10,000 9,942
Ciesco
5.050%, 01/22/99 10,000 9,971
Colonial Pipeline
5.300%, 01/28/99 3,000 2,988
5.130%, 02/23/99 7,000 6,947
5.430%, 02/24/99 10,000 9,919
5.430%, 02/24/99 5,000 4,959
5.020%, 03/22/99 3,000 2,967
John Deere
5.100%, 02/22/99 15,000 14,889
McGraw Hill
5.100%, 02/23/99 9,000 8,932
--------
86,483
--------
Utilities--14.7%
Congo
5.120%, 02/02/99 15,000 14,932
Consolidated Gas
5.150%, 02/08/99 10,000 9,946
General Electric
5.200%, 02/19/99 5,000 4,965
GTE Funding
5.120%, 02/02/99 10,000 9,954
5.190%, 02/18/99 10,000 9,931
National Rural Utilities
Cooperative
5.200%, 01/26/99 5,000 4,982
5.200%, 01/26/99 8,000 7,971
5.100%, 02/11/99 10,000 9,942
5.050%, 02/12/99 5,000 4,971
5.000%, 03/17/99 2,000 1,979
Southern California Edison
5.300%, 01/08/99 8,000 7,992
5.030%, 01/15/99 1,360 1,357
5.100%, 03/02/99 15,000 14,872
--------
103,794
--------
Total Commercial Paper
(Cost $637,746) 637,746
--------
U.S. Government Agency Obligations--4.4%
Federal Farm Credit Bank
5.320%, 01/04/99 5,000 5,000
5.500%, 02/01/99 5,000 5,000
4.900%, 03/01/99 6,000 6,000
5.480%, 03/01/99 5,000 5,000
4.640%, 05/03/99 5,000 5,000
<PAGE>
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Federal Home Loan Bank
5.125%, 10/13/99 $ 5,000 $ 5,000
--------
Total U.S. Government Agency Obligations
(Cost $31,000) 31,000
--------
Certificate of Deposit--1.4%
BankAmerica
5.310%, 03/22/99 10,000 10,000
--------
Total Certificate of Deposit
(Cost $10,000) 10,000
--------
Corporate Obligation--0.2%
Ford Motor Credit (MTN)
5.625%, 01/15/99 1,500 1,500
--------
Total Corporate Obligation
(Cost $1,500) 1,500
--------
Repurchase Agreements--3.8%
Barclays
4.61%, dated 12/31/98, matures
01/04/99, repurchase price
$4,873,794 (collateralized by
U.S. Treasury Bill, total
market value $4,969,449) (A) 4,871 4,871
J.P. Morgan
4.61%, dated 12/31/98, matures
01/04/99, repurchase price
$1,215,784 (collateralized by
U.S. Treasury Bond, total
market value $1,240,587) (A) 1,215 1,215
Lehman Brothers
4.61%, dated 12/31/98, matures
01/04/99, repurchase price
$6,113,513 (collateralized by
STRIPS, total market value
$6,235,009) (A) 6,110 6,110
Morgan Stanley
4.61%, dated 12/31/98, matures
01/04/99, repurchase price
$3,470,649 (collateralized by
U.S. Treasury Note, total
market value $3,560,244) (A) 3,469 3,469
Prudential
4.61%, dated 12/31/98, matures
01/04/99, repurchase price
$4,744,095 (collateralized by
U.S. Treasury Bill, total
market value $4,836,648) (A) 4,742 4,742
- --------------------------------------------------------------------------------
17
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
Prime Obligation Money Market Fund (continued)
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Warburg
4.61%, dated 12/31/98, matures
01/04/99, repurchase price
$6,022,935 (collateralized by
U.S. Treasury Bond, total
market value $6,150,340) (A) $ 6,020 $ 6,020
--------
Total Repurchase Agreements
(Cost $26,427) 26,427
--------
Total Investments--100.4%
(Cost $706,673) 706,673
--------
Other Assets and Liabilities, Net--(0.4%) (2,539)
--------
Net Assets:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 599,862,267 outstanding shares
of beneficial interest 599,862
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 4,164,943 outstanding shares
of beneficial interest 4,165
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 146,311 outstanding shares
of beneficial interest 146
Portfolio Shares of Class S (unlimited
authorization -- no par value) based
on 99,978,648 outstanding shares
of beneficial interest 99,979
Undistributed net investment income 13
Accumulated net realized loss
on investments (31)
--------
Total Net Assets--100.0% $704,134
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $ 1.00
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $ 1.00
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $ 1.00
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class S $ 1.00
========
(1) Class B has a contingent deferred sales charge.
(A) Tri-party repurchase agreement.
MTN -- Medium Term Note
STRIPS -- Separate Trading of Registered Interest and Principal of Securities.
The accompanying notes are an integral part of the financial statements.
<PAGE>
Tax-Exempt Money Market Fund
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Municipal Bonds--97.5%
Alabama--0.8%
State, Water Pollution Control
Authority (RB) (AMBAC)
6.150%, 08/15/99 $ 1,315 $ 1,340
--------
Alaska--0.9%
Kenai Penninsula (GO) (AMBAC)
8.300%, 01/01/99 1,500 1,500
--------
Arizona--0.9%
Avondale, Industrial Development
(RB) (A) (B) (C)
4.100%, 01/06/99 1,416 1,416
--------
California--0.3%
Los Angeles, California Water &
Power Electric Plant (RB)
6.750%, 05/15/99 500 507
--------
Connecticut--3.1%
Health & Education,
Yale University (TECP)
3.100%, 01/12/99 2,000 2,000
New Haven (BAN)
3.850%, 02/01/99 3,000 3,001
--------
5,001
--------
Florida--1.7%
Jacksonville Electric Authority (TECP)
3.000%, 01/14/99 1,000 1,000
3.350%, 02/24/99 1,750 1,750
--------
2,750
--------
Georgia--1.2%
Marietta, Housing Authority,
Bells Ferry (RB) (A) (C)
3.950%, 07/15/99 1,955 1,955
--------
Hawaii--0.4%
State (GO)
4.250%, 07/01/99 600 602
--------
Illinois--4.9%
Cook County (GO) (MBIA)
7.375%, 11/01/99 3,000 3,164
Cook County, Series A
(GO) (MBIA)
4.375%, 11/15/99 1,800 1,821
Cook County, Series B (GO)
4.375%, 11/15/99 1,000 1,012
- --------------------------------------------------------------------------------
18
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
State, Development Finance
Authority, Illinois Power Project,
Series B (RB) (A) (B) (C)
4.000%, 01/06/99 $ 2,000 $ 2,000
--------
7,997
--------
Indiana--4.0%
Kokomo Center Township (RB)
3.500%, 12/31/99 3,697 3,708
Saint Joseph County Welfare
Funding (GO)
3.750%, 12/30/99 2,550 2,568
Westview, Westview School
Corporate Industry (RB)
7.250%, 05/01/99 250 253
--------
6,529
--------
Kentucky--0.3%
State, Turnpike Authority
Economic Development
(RB) (ETM)
7.000%, 05/15/99 500 507
--------
Louisiana--5.7%
New Orleans, Aviation Board,
Series A (RB) (MBIA) (A) (B) (C)
4.050%, 01/06/99 2,000 2,000
New Orleans, Aviation Board,
Series B (RB) (MBIA) (A) (B) (C)
4.050%, 01/06/99 2,900 2,900
New Orleans, Aviation Board,
Series C (GO) (MBIA)
(A) (B) (C)
3.900%, 01/06/99 1,400 1,400
State, Public Facilities Authority,
Willis-Knighton Medical Center
(RB) (AMBAC) (A) (B) (C)
4.000%, 01/06/99 900 900
4.000%, 01/06/99 2,000 2,000
--------
9,200
--------
Massachusetts--2.1%
State, Turnpike Authority,
Series A (BAN) (STGTD)
5.000%, 06/01/99 960 968
State, Turnpike Authority,
Series A (BAN)
(STGTD) (ETM)
5.000%, 06/01/99 470 474
Weston, (BAN)
3.700%, 01/15/99 2,000 2,000
--------
3,442
--------
<PAGE>
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Michigan--0.3%
State, Hospital Financing Authority,
Hospital Equipment Program
(RB) (A) (B) (C)
3.800%, 01/06/99 $ 500 $ 500
--------
Minnesota--2.6%
Bird Island (GO)
3.600%, 09/10/99 1,000 1,003
New Brighton, Industrial
Development Authority,
Unicare Nursing Homes Project
(A) (B) (C)
4.200%, 01/06/99 1,400 1,400
State (GO)
6.600%, 08/01/99 1,000 1,017
State, State University System,
Series A (RB)
7.400%, 06/30/99 760 776
--------
4,196
--------
Missouri--1.1%
State, Health & Educational
Facilities Authority,
Cox Health Systems (RB)
5.000%, 01/01/99 600 600
Springfield, Industrial
Development Authority,
Pebblecreek Apartments
(RB) (A) (B) (C)
4.000%, 01/06/99 1,200 1,200
--------
1,800
--------
New Jersey--17.0%
Borough of Pennington (BAN)
4.100%, 06/25/99 1,159 1,162
Borough of Rockleigh (TECP)
3.680%, 12/10/99 380 382
Bridgewater Township (BAN)
3.600%, 11/04/99 910 911
Chatham Township (BAN)
3.500%, 12/18/99 3,161 3,164
Morristown (TAN)
3.800%, 02/11/99 2,000 2,000
New Brunswick, Housing
Authority (RB)
3.100%, 07/01/99 790 790
Salem County (TECP)
3.000%, 01/19/99 2,500 2,500
Salem County, New Jersey/
Philadelphia Electric Authority (TECP)
3.200%, 01/04/99 1,500 1,500
- --------------------------------------------------------------------------------
19
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
Tax-Exempt Money Market Fund (continued)
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
State, Health Care Facilities
Financing Authority, Elizabeth
General Medical Center,
Series C (RB)
7.100%, 07/01/99 $ 1,125 $ 1,146
State (TECP)
2.950%, 02/09/99 2,500 2,500
State, Transportation Authority,
Series A (RB)
5.900%, 06/15/99 500 505
Somerset Raritan Valley,
Series A (RB) (MBIA)
3.650%, 07/01/99 435 435
South Jersey Transportation
Authority (BAN) (C)
2.950%, 11/03/99 2,500 2,500
State (GO)
4.500%, 03/01/99 2,500 2,504
State, Economic Development
Authority, Peddie School
Project (RB) (A) (B) (C)
3.900%, 01/07/99 1,350 1,350
State, Education Authority (RB)
6.850%, 07/01/19 2,000 2,068
Summit (BAN)
4.000%, 02/23/99 800 800
3.780%, 07/20/99 315 315
Tewksbury Township (BAN)
3.875%, 02/11/99 1,000 1,000
--------
27,532
--------
New York--24.1%
Allegany-Limestone, New York
Central School District
(GO) (FGIC)
3.500%, 06/15/99 1,000 1,002
New York City, Municipal Water
Finance Agency (RB) (FGIC) (A)
5.200%, 01/01/99 8,000 8,000
New York City,
Sub-Series A-6 (A) (B) (C)
4.000%, 01/06/99 5,230 5,230
New York City, Transitional
Finance Authority,
Series A-1 (RB) (A) (B) (C)
4.050%, 01/06/99 3,000 3,000
New York City, Transitional
Finance Authority
(RB) (A) (B) (C)
4.050%, 01/06/99 5,000 5,000
Port Authority of New York/
New Jersey (TECP)
3.000%, 03/10/99 4,590 4,590
<PAGE>
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
State (TECP)
3.200%, 01/12/99 $ 2,000 $ 2,000
State, Energy Research &
Development Authority,
Brooklyn Union Gas Project,
Series A-1 (A) (B) (C)
4.000%, 01/06/99 8,000 8,000
Transportation (TECP)
3.350%, 02/16/99 2,300 2,300
--------
39,122
--------
North Carolina--3.2%
Charlotte-Mecklenberg,
North Carolina Hospital
Authority, Health Care Systems,
Series B (RB) (A) (B) (C)
4.000%, 01/01/99 4,000 4,000
Wake County, Carolina Power &
Light Company (RB) (A) (B) (C)
4.000%, 01/06/99 1,100 1,100
--------
5,100
--------
Ohio--1.2%
Norwalk, Ohio City
School District (BAN)
3.750%, 04/15/99 1,975 1,979
--------
Oklahoma--1.9%
Tulsa, University of Tulsa,
Series B (RB) (MBIA)
4.000%, 01/06/99 3,000 3,000
--------
Oregon--0.2%
Portland (TAN)
3.750%, 06/29/99 350 350
--------
Pennsylvania--5.6%
Emmaus (RB) (A) (B)
4.100%, 01/06/99 5,000 5,000
Harrisburg, Pennsylvania Water
Revenue Authority (RB) (B)
(FGIC) (ETM)
6.400%, 07/15/99 1,000 1,017
Philadelphia, Pennsylvania Water &
Sewer Revenue Authority,
14th Series (RB) (B) (MBIA)
6.900%, 10/01/99 2,000 2,096
Springfield Township (TRAN)
3.300%, 12/31/99 1,000 1,001
--------
9,114
--------
- --------------------------------------------------------------------------------
20
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Rhode Island--0.7%
Warwick (GO) (FGIC) (B)
7.050%, 11/15/99 $ 500 $ 526
7.100%, 11/15/99 500 527
--------
1,053
--------
South Carolina--0.6%
York County, Pollution Control
Revenue (RB) (A)
3.300%, 03/15/99 970 970
--------
Tennessee--2.3%
Morristown, Industrial
Development Board,
Williamhouse Regency
(RB) (A) (B)
4.300%, 01/06/99 1,800 1,800
Nashville & Davidson Counties,
Old Hickory Towers,
Series A (RB) (A) (B) (C)
4.300%, 01/06/99 2,000 2,000
--------
3,800
--------
Texas--1.3%
Austin Utility System (TECP)
3.000%, 03/09/99 1,000 1,000
Austin, Texas Utility Systems,
Series C (RB) (ETM)
6.800%, 05/15/99 125 127
Texas Water Development
Board (RB)
5.300%, 07/15/99 1,000 1,009
--------
2,136
--------
Virginia--0.9%
State (GO)
6.000%, 06/01/99 1,425 1,441
--------
Washington--5.7%
Chelan County, Public Utility
District, Chelan Hydro Project,
Series A (RB) (MBIA) (A)
4.000%, 01/06/99 2,130 2,130
Port of Seattle, Washington (TECP)
3.100%, 02/05/99 6,070 6,070
Port of Seattle, Washington,
Series A (TECP)
3.150%, 03/12/99 1,045 1,045
--------
9,245
--------
<PAGE>
- --------------------------------------------------------------------------------
Face
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Wisconsin--1.2%
West Bend City, Wisconsin
School District #1 (TRAN)
3.400%, 10/04/99 $ 2,000 $ 2,004
--------
Wyoming--1.3%
Sweetwater County (TECP)
3.100%, 03/08/99 2,100 2,100
--------
Total Municipal Bonds
(Cost $156,088) 158,188
--------
Cash Equivalents--5.0%
Goldman Sachs Tax-Free
Money Market 5,428 5,428
SEI Institutional Tax-Free
Portfolio 2,701 2,701
--------
Total Cash Equivalents
(Cost $8,129) 8,129
--------
Total Investments--102.5%
(Cost $166,317) 166,317
--------
Other Assets and Liabilities, Net--(2.5%) (4,080)
--------
Net Assets:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 145,894,381 outstanding shares
of beneficial interest 145,894
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 16,343,621 outstanding shares
of beneficial interest 16,344
Undistributed net investment income 1
Accumulated net realized loss on investments (2)
--------
Total Net Assets--100.0% $162,237
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $ 1.00
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $ 1.00
========
- --------------------------------------------------------------------------------
21
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
Tax-Exempt Money Market Fund (continued)
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
(A) Variable Rate Security. The rate reflected on the Statement of Net Assets is
the rate in effect on December 31, 1998.
(B) Put or Demand features exist requiring the issuer to repurchase the
instrument prior to maturity.
(C) Securities are held in connection with a letter of credit or other credit
support.
BAN -- Bond Anticipation Note
ETM -- Escrowed to Maturity
GO -- General Obligation
RB -- Revenue Bond
TAN -- Tax Anticipation Note
TECP -- Tax-Exempt Commercial Paper
TRAN -- Tax & Revenue Anticipation Notes
The following organizations have provided underlying credit support for certain
securities as defined in the Statement of Net Assets:
AMBAC -- American Municipal Bond Assurance Corporation
FGIC -- Financial Guaranty Insurance Company
MBIA -- Municipal Bond Insurance Association
STGTD -- State Guaranteed
The accompanying notes are an integral part of the financial statements.
U.S. Treasury Securities Plus Money
Market Fund
- --------------------------------------------------------------------------------
U.S. Treasury Obligations--58.4%
U.S. Treasury Bills (A)
4.713%, 01/21/99 $ 4,000 $ 3,990
4.407%, 02/04/99 1,000 996
4.517%, 03/04/99 4,000 3,969
U.S. Treasury Notes
5.000%, 01/31/99 5,000 4,999
5.000%, 02/15/99 11,000 10,997
5.500%, 02/28/99 1,000 1,002
6.375%, 04/30/99 2,000 2,012
6.375%, 05/15/99 3,000 3,020
6.250%, 05/31/99 2,000 2,013
U.S. Treasury (STRIPS)
4.650%, 05/15/99 4,000 3,933
--------
Total U.S. Treasury Obligations
(Cost $36,931) 36,931
--------
Repurchase Agreements--41.1%
Barclays
4.67%, dated 12/31/98, matures
01/04/99, repurchase price
$7,353,611 (collateralized by
U.S. Treasury Bond, total
market value $7,497,530) (B) 7,350 7,350
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Lehman Brothers
4.67%, dated 12/31/98, matures
01/04/99, repurchase price
$2,216,699 (collateralized by
STRIPS, total market value
$2,260,534) (B) $ 2,215 $ 2,215
Morgan
4.67%, dated 12/31/98, matures
01/04/99, repurchase price
$2,155,845 (collateralized by
U.S. Treasury Note, total
market value $2,200,032) (B) 2,155 2,155
Prudential
4.67%, dated 12/31/98, matures
01/04/99, repurchase price
$2,813,698 (collateralized by
U.S. Treasury Bill, total
market value $2,868,605) (B) 2,812 2,812
Warburg
4.67%, dated 12/31/98, matures
01/04/99, repurchase price
$11,434,548 (collateralized by
U.S. Treasury Bond, total
market value $11,676,996) (B) 11,429 11,429
--------
Total Repurchase Agreements
(Cost $25,961) 25,961
--------
Total Investments--99.5%
(Cost $62,892) 62,892
--------
Other Assets and Liabilities, Net--0.5% 330
--------
Net Assets:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 63,240,318 outstanding shares
of beneficial interest 63,240
Accumulated net realized loss
on investments (18)
--------
Total Net Assets--100.0% $ 63,222
========
Net Asset Value, Offering and Redemption
Price Per Share-- Class I $ 1.00
========
(A) The rate reflected on the Statement of Net Assets represents the security's
discount rate at purchase.
(B) Tri-party repurchase agreement.
STRIPS -- Separate Trading of Registered Interest and Principal of Securities.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
22
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
Institutional Select Money Market Fund
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Commercial Paper--86.8%
Banks--13.9%
Abbey National
5.170%, 01/12/99 $ 3,000 $ 2,995
Banc One Funding
5.300%, 01/29/99 1,000 996
5.150%, 03/12/99 2,000 1,980
BankAmerica
4.950%, 05/13/99 1,000 982
Banker's Trust
5.500%, 01/22/99 500 498
5.490%, 02/03/99 601 598
Chase Manhattan
5.220%, 02/08/99 3,000 2,983
Citigroup
5.140%, 01/07/99 2,000 1,998
Deutsche Bank
5.130%, 01/05/99 597 597
5.190%, 02/10/99 1,000 994
Toronto Dominion
5.270%, 02/12/99 1,000 994
5.410%, 02/22/99 2,500 2,480
--------
18,095
--------
Financial Services--48.7%
American Express
5.140%, 01/04/99 1,000 1,000
5.800%, 01/07/99 1,000 999
4.850%, 02/12/99 1,000 994
5.050%, 03/08/99 1,000 991
ANZ Deleware
5.050%, 03/08/99 3,000 2,972
Centric Capital
5.110%, 04/06/99 2,500 2,466
5.000%, 04/23/99 2,000 1,969
Ford Motor Credit
5.290%, 01/20/99 1,000 997
5.450%, 02/16/99 1,000 993
5.110%, 03/01/99 1,000 992
4.800%, 05/18/99 2,000 1,963
General Electric
5.110%, 03/01/99 1,000 992
5.000%, 03/02/99 1,000 992
4.780%, 03/18/99 1,000 990
General Motors Acceptance
5.500%, 01/22/99 800 797
5.160%, 01/27/99 1,000 996
5.030%, 01/29/99 1,000 996
5.060%, 03/19/99 1,690 1,672
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Goldman Sachs
5.450%, 02/10/99 $ 2,000 $ 1,988
5.450%, 02/26/99 1,000 992
5.230%, 03/12/99 1,000 990
5.100%, 03/19/99 1,000 989
GTE Funding
5.120%, 02/02/99 3,000 2,986
5.190%, 02/18/99 2,000 1,986
International Lease Finance
5.370%, 01/08/99 2,000 1,998
5.370%, 01/08/99 2,000 1,998
5.300%, 01/08/99 1,000 999
J.P. Morgan
5.500%, 01/27/99 800 797
5.110%, 02/19/99 1,000 993
5.020%, 03/25/99 1,000 988
4.920%, 04/21/99 390 384
Merrill Lynch
5.300%, 01/20/99 1,000 997
5.030%, 03/24/99 1,000 989
4.810%, 03/31/99 1,000 988
4.740%, 04/23/99 1,000 985
National Rural
5.050%, 02/12/99 2,000 1,988
5.000%, 03/17/99 1,000 990
5.050%, 03/25/99 1,000 988
Paccar
5.250%, 01/21/99 1,000 997
5.170%, 02/10/99 600 597
5.070%, 03/25/99 1,000 988
Societe Generale
5.220%, 02/17/99 2,000 1,986
TransAmerica
5.460%, 01/14/99 1,000 998
5.460%, 01/14/99 2,000 1,996
5.050%, 01/28/99 1,000 996
USAA Capital
5.250%, 01/20/99 3,000 2,992
5.400%, 01/25/99 2,000 1,993
--------
63,327
--------
Industrial--17.1%
Archer-Daniels-Midland
5.350%, 01/15/99 2,000 1,996
4.950%, 02/12/99 3,000 2,983
Ciesco
5.050%, 01/22/99 2,000 1,994
Colonial Pipeline
5.300%, 01/28/99 1,000 996
5.130%, 02/23/99 1,200 1,191
5.430%, 02/24/99 2,000 1,984
5.430%, 02/24/99 1,000 992
5.020%, 03/22/99 1,000 989
- --------------------------------------------------------------------------------
23
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
Institutional Select Money Market Fund (continued)
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
General Electric
5.230%, 02/11/99 $ 1,000 $ 994
5.200%, 02/19/99 1,000 993
Hasbro
5.330%, 01/04/99 590 590
John Deere
5.100%, 02/22/99 2,000 1,985
McGraw Hill
5.100%, 02/23/99 815 809
5.000%, 03/22/99 750 742
Norwest
5.220%, 01/05/99 2,000 1,999
4.850%, 02/17/99 1,000 994
--------
22,231
--------
Utilities--7.0%
Congo
5.120%, 02/02/99 3,000 2,986
Consolidated Gas
5.150%, 02/08/99 2,000 1,989
National Rural
5.200%, 01/26/99 1,248 1,243
Southern California Edison
5.100%, 03/02/99 3,000 2,975
--------
9,193
--------
Total Commercial Paper
(Cost $112,846) 112,846
--------
Certificate of Deposit--1.5%
BankAmerica
5.310%, 03/22/99 2,000 2,000
--------
Total Certificate of Deposit
(Cost $2,000) 2,000
--------
Repurchase Agreements--12.2%
Barclays
4.59%, dated 12/31/98, matures
01/04/99, repurchase price
$10,800,011 (collateralized by U.S.
Treasury Bonds and Note, total
market value $11,010,861) (A) 10,795 10,795
Lehman Brothers
4.59%, dated 12/31/98, matures
01/04/99, repurchase price
$5,003,909 (collateralized by
STRIPS, total market value
$5,102,442) (A) 5,001 5,001
--------
Total Repurchase Agreements
(Cost $15,796) 15,796
--------
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Total Investments--100.4%
(Cost $130,642) $130,642
--------
Other Assets and Liabilities, Net--(0.4%) (551)
--------
Net Assets:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 130,093,953 outstanding shares
of beneficial interest 130,094
Undistributed net investment income 1
Accumulated net realized loss
on investments (4)
--------
Total Net Assets--100.0% $130,091
========
Net Asset Value, Offering and Redemption
Price Per Share-- Class I $ 1.00
========
(A) Tri-party repurchase agreement.
STRIPS -- Separate Trading of Registered Interest and Principal Securities
The accompanying notes are an integral part of the financial statements.
Fixed Income Fund
- --------------------------------------------------------------------------------
U.S. Government Agency Obligations--42.2%
Federal Farm Credit Bank
6.560%, 12/23/99 $ 60 61
6.920%, 09/09/03 1,000 1,076
Federal Farm Credit Bank (MTN)
5.770%, 07/20/05 8,000 8,220
Federal Home Loan Bank
6.250%, 11/06/02 5,000 5,077
5.785%, 03/17/03 5,000 5,131
5.385%, 11/10/08 2,100 2,105
7.200%, 10/30/12 5,000 5,095
Federal Home Loan Mortgage
Corporation
6.130%, 02/27/06 1,600 1,682
7.585%, 09/19/06 1,000 1,064
Federal National Mortgage
Association
5.625%, 03/15/01 5,000 5,082
6.800%, 01/10/03 1,500 1,593
6.850%, 09/12/05 1,000 1,025
7.560%, 06/12/06 900 952
6.990%, 07/09/07 5,000 5,279
5.750%, 02/15/08 5,000 5,186
- --------------------------------------------------------------------------------
24
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Federal National Mortgage
Association (MTN)
6.850%, 05/08/02 $ 5,000 $ 5,125
6.360%, 10/23/02 5,000 5,107
6.490%, 01/19/06 1,000 1,021
6.760%, 07/16/07 5,000 5,252
6.210%, 11/07/07 5,000 5,310
6.560%, 12/10/07 5,000 5,221
6.810%, 12/18/07 5,000 5,126
6.620%, 12/28/07 4,000 4,085
6.240%, 01/14/08 5,000 5,168
6.290%, 04/23/08 5,000 5,180
--------
Total U.S. Government Agency
Obligations
(Cost $92,096) 95,223
--------
Corporate Bonds--21.7%
Chemicals--1.5%
E.I. DuPont de Nemours
6.750%, 10/15/02 1,000 1,055
--------
Drugs--4.2%
American Home Products
6.500%, 10/15/02 2,250 2,340
Eli Lilly
6.250%, 03/15/03 2,000 2,085
Monsanto Company (A)
5.875%, 12/01/08 3,000 2,993
SmithKline Beecham (MTN)
6.625%, 10/01/05 2,000 2,088
--------
9,506
--------
Entertainment--1.1%
Walt Disney Company (MTN)
5.125%, 12/15/03 2,500 2,488
--------
Financial Services--6.3%
CITI Group Holdings (MTN)
6.250%, 11/22/01 5,000 5,100
Ford Motor Credit
5.125%, 10/15/01 3,000 2,981
6.750%, 05/15/05 1,000 1,059
General Electric Capital
5.500%, 11/01/01 1,000 1,000
GMAC
5.750%, 11/10/03 3,000 3,011
Toyota Motor Credit
5.625%, 11/13/03 1,000 1,009
--------
14,160
--------
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Industrial--6.4%
Anheuser Busch
6.750%, 06/01/05 $ 1,000 $ 1,046
Colgate Palmolive (MTN)
5.270%, 12/01/03 3,250 3,242
H.J. Heinz
6.000%, 03/15/08 3,000 3,131
IBM (MTN)
5.100%, 11/10/03 4,000 3,960
Sears Roebuck
6.690%, 04/30/01 3,000 3,075
--------
14,454
--------
Leisure Products--1.4%
Mattel (MTN)
7.140%, 03/11/08 3,000 3,186
--------
Utilities--1.8%
AT&T
7.500%, 06/01/06 1,000 1,125
U.S. West Communications
6.125%, 11/15/05 2,000 2,063
Union Pacific
6.125%, 01/15/04 1,000 990
--------
4,178
--------
Total Corporate Bonds
(Cost $48,016) 49,027
--------
U.S. Treasury Obligations--16.5%
U.S Treasury Notes
5.500%, 03/31/03 5,000 5,148
5.250%, 08/15/03 11,750 12,046
6.125%, 08/15/07 5,000 5,470
5.625%, 05/15/08 3,000 3,201
4.750%, 11/15/08 3,000 3,021
U.S. Treasury (STRIPS)
5.920%, 02/15/03 10,000 8,264
--------
Total U.S. Treasury Obligations
(Cost $36,591) 37,150
--------
Taxable Municipal Bonds--14.3%
Alabama State, Housing Finance
Authority (RB)
7.625%, 08/01/10 795 820
Arkansas State, Development
Finance Authority (RB)
9.750%, 11/15/05 578 668
- --------------------------------------------------------------------------------
25
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
Fixed Inocme Fund (continued)
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Baltimore, Maryland, City Parking,
Series B (RB) (FGIC)
7.950%, 07/01/03 $ 510 $ 558
Buffalo, New York, Pens System,
Series D (GO) (FGIC)
8.500%, 08/15/03 360 405
Camden County, New Jersey
Improvement Authority,
Series A (RB)
7.200%, 01/01/04 2,200 2,329
Collier County, Florida, County
Water and Sewer Authority,
Series A (RB) (FGIC)
6.750%, 07/01/08 790 833
Collier County, Florida, Water and
Sewer Authority, Series A
(RB) (FGIC)
6.300%, 07/01/04 450 465
Colorado State, Housing Finance
Authority, Single Family Program,
Series B-1 (RB)
10.400%, 08/01/03 45 47
Fort Myers, Florida, Improvement
Authority, Series B (RB) (AMBAC)
8.450%, 12/01/03 645 721
Gillette, Wyoming, FMHA
Community Program (SOB)
10.250%, 01/01/11 1,095 1,229
Houston, Texas, Airport Systems
(RB) (FGIC)
6.100%, 07/01/01 1,260 1,285
Metropolitan Washington D.C. &
Virginia Airport Authority
(RB) (MBIA)
6.900%, 10/01/08 1,980 2,096
Michigan State, Higher Education
Student Loan Authority,
Series XV-C (RB)
7.250%, 09/01/02 775 809
Minneapolis and St. Paul,
Minnesota, Metropolitan Airports
Authority, Series 9 (GO)
8.600%, 01/01/10 900 1,005
Missouri State, Economic
Development & Infrastructure
Board Health Services,
Series A (RB) (MBIA)
8.400%, 06/01/04 1,350 1,531
Monrovia, California Redevelopment
Agency (AMBAC)
8.100%, 05/01/01 650 688
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
New Hampshire State, Business
Finance Authority, Series A (RB)
8.600%, 11/01/12 $ 2,165 $ 2,406
New Hampshire State, Pease
Development Authority (GO)
7.050%, 07/01/06 410 441
New Jersey State (COP)
8.000%, 12/15/02 1,035 1,120
New Jersey State, Economic
Development Authority (RB)
7.800%, 03/15/07 1,645 1,783
New York State, Mortgage Agency,
Series 15 (RB)
7.375%, 10/01/12 1,501 1,581
Oklahoma City, Oklahoma Airport
Trust, Junior Lien, Series 21
(RB) (MBIA)
6.750%, 07/01/05 1,010 1,063
Oklahoma City, Oklahoma Airport
Trust, Senior Lien, Series 17 (RB)
8.300%, 10/01/12 2,015 2,169
Oklahoma State, Single Family
Housing Finance Agency
(RB) (MBIA)
8.700%, 09/01/13 765 851
Palm Beach County, Florida,
Airport Systems Revenue
(RB) (MBIA)
9.500%, 10/01/10 1,270 1,332
Raleigh, North Carolina, North
Carolina State University
(RB) (MBIA)
7.700%, 12/15/07 1,175 1,278
Secaucus, New Jersey, Municipal
Utilities Authority (RB)
8.500%, 12/01/06 600 695
Vero Beach, Florida, Water and
Sewer Authority, Series A
(RB) (FGIC)
6.400%, 12/01/08 1,885 1,951
--------
Total Taxable Municipal Bonds
(Cost $30,513) 32,159
--------
U.S. Government Mortgage-Backed Obligations--2.1%
Federal Home Loan Mortgage
8.000%, 06/25/04 35 35
9.500%, 10/01/04 72 76
9.500%, 07/01/06 35 38
8.000%, 06/01/07 132 138
- --------------------------------------------------------------------------------
26
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
9.000%, 08/01/08 $ 72 $ 75
10.000%, 02/01/09 46 50
9.250%, 05/01/09 360 384
9.500%, 08/01/09 36 39
8.750%, 09/01/09 52 55
10.000%, 04/01/10 26 29
8.750%, 09/01/10 108 114
9.500%, 09/01/10 103 111
9.750%, 11/01/10 117 126
10.250%, 11/01/10 13 14
9.500%, 03/01/11 25 27
9.500%, 04/01/11 81 87
10.000%, 05/01/11 101 110
10.000%, 12/01/13 24 26
8.750%, 07/01/15 239 24
7.500%, 07/15/15 321 322
9.250%, 08/01/15 182 194
9.000%, 10/01/15 70 75
9.500%, 09/01/16 19 20
9.000%, 10/01/16 25 26
9.500%, 11/01/16 36 38
8.500%, 07/01/17 49 52
9.000%, 10/01/19 142 151
Federal National Mortgage Association
6.500%, 06/15/04 186 186
6.950%, 05/25/06 617 622
8.000%, 03/01/07 118 122
7.000%, 04/01/07 107 109
9.000%, 03/01/09 49 52
8.500%, 08/01/17 55 58
6.700%, 09/25/18 814 815
8.000%, 01/25/19 244 248
Government National Mortgage Association
9.000%, 03/15/08 22 24
9.000%, 11/15/08 105 113
9.500%, 10/15/20 87 94
--------
Total U.S. Government Mortgage-
Backed Obligations
(Cost $4,748) 4,879
--------
Mortgage-Backed Securities--1.7%
EAB Lease Receivables Trust (A)
5.660%, 09/15/02 3,000 3,008
Federal Home Loan Mortgage
6.500%, 04/15/16 588 591
7.000%, 05/15/20 228 228
--------
Total Mortgage-Backed Securities
(Cost $3,799) 3,827
--------
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Asset-Backed Security--0.5%
Discover Card Master Trust
6.200%, 05/16/06 $ 1,000 $ 1,033
--------
Total Asset-Backed Security
(Cost $978) 1,033
--------
Cash Equivalents--0.1%
SEI Liquid Asset Trust --
Government Portfolio 6 6
SEI Liquid Asset Trust--
Treasury Portfolio 143 143
--------
Total Cash Equivalents
(Cost $149) 149
--------
Total Investments--99.1%
(Cost $216,890) 223,447
--------
Other Assets and Liabilities, Net--0.9% 2,136
--------
Net Assets:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 20,363,863 outstanding shares
of beneficial interest 207,699
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 408,336 outstanding shares
of beneficial interest 4,699
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 647,774 outstanding shares
of beneficial interest 6,838
Overdistributed net investment income (12)
Accumulated net realized loss on investments (198)
Net unrealized appreciation on investments 6,557
--------
Total Net Assets--100.0% $225,583
========
- --------------------------------------------------------------------------------
27
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
Fixed Income Fund (continued)
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $ 10.53
========
Net Asset Value and Redemption Price
Per Share -- Class A $ 10.51
========
Maximum Public Offering Price
Per Share -- Class A ($10.51 / 95.75%) $ 10.98
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $ 10.55
========
(1) Class B has a contingent deferred sales charge.
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions normally exempt from
registration to qualified institutional investors.
COP -- Certificate of Participation
MTN -- Medium Term Note
GO -- General Obligation
RB -- Revenue Bonds
SOB -- Special Obligation Bonds
STRIPS -- Separate Trading of Registered Interest and Principal Securities
The following organizations have provided underlying credit support for certain
securities as defined in the Statement of Net Assets:
AMBAC -- American Municipal Bond Assurance Company
FGIC -- Federal Guaranty Insurance Company
MBIA -- Municipal Bond Insurance Association
The accompanying notes are an integral part of the financial statements.
High Yield Bond Fund
- --------------------------------------------------------------------------------
Mutual Fund--94.8%
SEI Institutional Managed Trust
High Yield Bond Portfolio 256 2,732
--------
Total Mutual Fund
(Cost $2,735) 2,732
--------
Total Investments--94.8%
(Cost $2,735) 2,732
--------
Other Assets and Liabilities, Net--5.2% 149
--------
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Net Assets:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 49,345 outstanding shares
of beneficial interest $ 495
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 10,340 outstanding shares
of beneficial interest 102
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 228,930 outstanding shares
of beneficial interest 2,282
Overdistributed net investment income (1)
Accumulated net realized gain
on investments 6
Net unrealized depreciation on investments (3)
--------
Total Net Assets--100.0% $ 2,881
========
Net Asset Value, Offering and Redemption
Price Per Share-- Class I $ 9.99
========
Net Asset Value and Redemption Price
Per Share -- Class A $ 9.98
========
Maximum Public Offering Price
Per Share-- Class A ($9.98 / 95.75%) $ 10.42
========
Net Asset Value, Offering and Redemption
Price Per Share-- Class B (1) $ 9.98
========
(1) Class B has a contingent deferred sales charges
The accompanying notes are an integral part of the financial statements.
New Jersey Municipal Securities Fund
- --------------------------------------------------------------------------------
Municipal Bonds--100.1%
New Jersey--93.4%
Atlantic County (GO) (MBIA)
5.400%, 12/01/04 $ 200 214
5.400%, 12/01/05 400 426
Atlantic County, Improvement
Authority, Convention
Center Project (RB) (MBIA)
7.375%, 07/01/10 400 496
Bayonne (GO) (AMBAC)
6.200%, 07/15/01 300 319
Bayonne (GO) (FGIC)
5.900%, 05/01/05 150 164
Bayonne, Municipal Authority,
Water Systems (RB) (MBIA)
5.000%, 01/01/12 500 519
Bedminster Township (GO)
4.750%, 03/01/10 820 842
- --------------------------------------------------------------------------------
28
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Bergen County (GO)
6.350%, 01/15/99 $ 240 $ 240
5.125%, 06/15/05 220 235
Bergen County, General
Improvement Bonds (GO)
5.250%, 08/15/00 300 309
4.700%, 07/15/02 350 361
Bergen County, Utilities Authority,
Series A (RB) (FGIC)
6.100%, 06/15/04 500 553
Bergen County, Water Pollution
Authority (RB) (FGIC)
4.750%, 12/15/15 900 895
Branchburg Township (GO)
4.600%, 04/01/10 200 203
4.650%, 04/01/11 200 203
Bridgeton (GO) (AMBAC)
5.000%, 01/01/05 300 306
Bridgewater & Raritan (GO)
6.125%, 05/01/05 200 216
6.125%, 05/01/06 100 108
Burlington County (GO)
5.200%, 10/01/07 700 733
4.850%, 07/15/13 500 507
Camden, County Board of Education
(GO) (FSA)
5.000%, 10/01/05 310 325
Camden County (GO) (AMBAC)
7.750%, 08/01/99 200 205
Camden County (GO) (FGIC)
5.000%, 02/01/04 200 210
5.000%, 02/01/08 500 524
Camden County (GO) (MBIA)
5.600%, 06/01/03 200 211
Camden County, Health Systems--
Catholic Health East-B
(RB) (AMBAC)
5.000%, 11/15/18 500 502
Cape May County, Municipal
Utilities Authority (RB) (AMBAC)
5.000%, 08/01/03 800 839
Clinton Township (GO)
7.350%, 08/01/01 300 327
Clinton Township (GO) (FGIC)
5.000%, 02/15/11 250 256
Delaware River & Bay Authority
(RB) (FGIC)
5.350%, 01/01/14 1,000 1,052
Delaware River, Pennsylvania &
New Jersey Port Authority
(RB) (FGIC)
5.450%, 01/01/12 250 267
5.400%, 01/01/13 1,000 1,056
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Dover Township (GO) (AMBAC)
6.000%, 10/15/03 $ 200 $ 218
Edgewater Borough (GO) (MBIA)
5.100%, 09/15/00 300 308
Edison Township (GO)
5.700%, 12/01/99 100 102
6.500%, 06/01/00 500 521
5.400%, 06/01/02 250 263
Edison Township (GO) (AMBAC)
4.500%, 01/01/02 500 511
4.800%, 01/01/05 300 312
Elizabeth, Additional School
Building Aid (GO)
9.000%, 03/01/01 150 166
Elizabeth (GO) (FGIC)
7.900%, 12/01/99 240 250
4.625%, 07/15/03 200 206
Elizabeth, School Board
(GO) (MBIA)
7.000%, 03/15/04 250 285
Essex County (GO) (FSA)
6.300%, 12/01/03 300 325
Essex County (GO) (MBIA)
4.750%, 07/15/07 200 208
Essex County, Improvement
Authority (RB) (AMBAC)
4.875%, 12/01/02 300 312
5.000%, 12/01/08 250 265
Essex County, Jail and Youth
Housing (RB)
6.500%, 12/01/06 345 395
Essex County, Orange School
District (RB)
5.550%, 12/01/04 150 163
Essex County, Pre-Refunded @ 101
(GO) (AMBAC) (A)
6.050%, 02/01/01 145 147
Essex County, Property and
Equipment (RB)
5.850%, 12/01/03 300 319
Essex County, Utility Authority,
Solid Waste Revenue (RB) (FSA)
5.000%, 04/01/04 250 262
Evesham Township (GO) (FGIC)
5.000%, 09/15/12 500 514
Fair Lawn (GO)
6.500%, 04/01/99 200 202
Fair Lawn, Water Revenue (RB)
6.500%, 04/01/99 200 202
Fort Lee (GO)
4.850%, 02/01/02 250 258
Franklin Township (GO)
5.600%, 11/01/05 400 430
- --------------------------------------------------------------------------------
29
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
New Jersey Municipal Securities Fund (continued)
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Galloway Township (GO) (AMBAC)
5.000%, 12/15/09 $ 350 $ 365
Gloucester County, General
Improvement, Series A
(GO) (AMBAC)
4.500%, 01/01/03 200 202
Gloucester County (GO) (AMBAC)
5.000%, 09/01/03 500 524
Gloucester County, Improvement
Authority, Landfill Project,
Series A (RB)
6.000%, 09/01/06 300 320
Gloucester County, Solid Waste
Resource Revenue (RB) (AMT)
8.375%, 07/01/10 1,175 1,180
Gloucester County, Utilities
Authority (RB) (AMBAC)
4.800%, 03/01/02 300 309
Greenwich Township (GO) (FSA)
5.000%, 01/15/13 500 509
5.000%, 01/15/14 800 811
Hackensack (GO)
6.100%, 06/01/05 250 266
6.100%, 06/01/07 250 266
4.900%, 03/15/09 500 527
Hackensack Meadowlands (RB)
7.125%, 06/01/02 500 530
Hackettstown, Municipal Utility
Authority, Series F (RB) (FGIC)
5.050%, 10/01/04 500 530
Hillsborough Township, Board of
Education (COP) (FSA)
5.500%, 12/15/99 250 256
Hudson County (GO) (FGIC)
6.250%, 11/01/99 200 205
Hudson County, New Jersey College,
Series C (GO)
4.600%, 10/01/01 180 184
Hudson County, Utility
Authority (RB)
11.875%, 07/01/06 285 343
Jersey City (GO)
6.500%, 02/15/03 370 405
5.500%, 03/15/14 1,000 1,075
Jersey City, Redevelopment
Authority, Dixon Mill
Apartments (RB)
6.100%, 05/01/12 65 67
Jersey City, Water Utility (RB)
7.250%, 01/01/99 400 400
Kearny (GO) (FGIC)
4.300%, 02/15/01 500 507
5.250%, 02/15/08 600 647
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Livingston Township,
Board of Education
6.375%, 11/01/00 $ 100 $ 105
Long Branch, Sewer Authority
(RB) (FGIC)
4.900%, 06/01/02 300 311
5.200%, 06/01/05 500 532
5.250%, 06/01/06 200 213
Mercer County, Improvement
Authority (RB)
4.250%, 12/01/00 500 507
Mercer County, Improvement
Authority (RB) (MBIA)
6.000%, 06/01/04 250 267
Mercer County, Improvement
Authority, Ewing Board of
Education Project (RB) (MBIA)
6.300%, 05/15/07 250 275
Mercer County, Improvement
Authority, Hamilton Board of
Education Project (RB) (MBIA)
5.500%, 06/01/01 200 208
4.900%, 12/15/05 150 158
Middlesex County (GO)
5.000%, 10/01/05 500 532
Middlesex County, Improvement
Authority (RB)
4.375%, 07/01/03 250 256
Middlesex County,
Property Tax (GO)
5.800%, 10/01/10 500 545
Middlesex County, Utility
Authority (RB) (FGIC)
6.100%, 03/15/00 200 206
5.000%, 12/01/12 400 415
Middletown Township, Sewer
Authority, Series A (RB) (FGIC)
4.900%, 01/01/05 800 833
Monmouth County (GO)
4.400%, 09/01/03 200 205
Monmouth County, Improvement
Authority (RB) (FSA)
5.450%, 07/15/13 850 907
Monmouth County, Improvement
Authority (RB) (MBIA)
5.000%, 12/01/08 250 265
Monmouth County, Improvement
Authority, Howell Township
Education Project (RB)
5.750%, 07/01/01 540 568
Monmouth County (RB)
4.750%, 07/15/03 200 208
Monmouth County (RB) (MBIA)
5.125%, 12/01/16 500 513
- --------------------------------------------------------------------------------
30
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Moorestown Township (GO)
5.000%, 02/01/12 $ 150 $ 154
5.000%, 02/01/15 150 152
Moorestown Township
(GO) (AMBAC)
6.000%, 09/01/07 300 324
Morris County (GO)
5.000%, 07/15/13 800 820
Morristown (GO) (FSA)
5.500%, 08/01/01 100 105
Mount Laurel Township (GO)
4.650%, 08/01/05 500 518
Newark, Board of Education Bonds
(GO) (MBIA)
5.875%, 12/15/11 370 403
Newark (GO) (AMBAC)
7.375%, 10/01/00 250 263
Newark, Housing Finance, Fairview
and Lock Street Project (RB)
6.150%, 02/01/13 495 527
Newark, Qualified Bond Act
(GO) (MBIA)
5.300%, 09/01/14 500 519
Newark, Water Utility
(GO) (MBIA)
5.500%, 10/01/14 475 505
New Brunswick (GO) (FGIC)
6.400%, 07/15/03 400 422
New Brunswick (GO) (MBIA)
4.700%, 09/15/09 500 511
New Brunswick, Housing Authority
(RB) (FGIC)
4.750%, 07/01/18 500 487
New Brunswick, Parking Authority
(RB) (FGIC)
4.300%, 09/01/99 300 302
5.000%, 01/01/20 500 499
North Bergen Township
(GO) (MBIA)
4.400%, 08/01/01 500 509
North Bergen Township, Municipal
Utilities Authority (RB) (FGIC)
4.800%, 12/15/03 300 313
North Bergen Township, Utility
Authority (RB) (FGIC)
4.700%, 12/15/02 300 311
North Brunswick Township (GO)
5.000%, 05/15/12 1,000 1,034
North Brunswick Township
(GO) (FGIC)
5.000%, 02/01/10 750 781
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
North Jersey District, Water Supply,
Wanaque North Project,
Series A (RB) (MBIA)
4.875%, 11/15/09 $ 250 $ 262
5.000%, 11/15/10 500 525
North Jersey District,
Water Supply, Wanaque
South Project (RB) (MBIA)
5.400%, 07/01/02 300 316
5.500%, 07/01/03 200 214
Ocean City (GO)
6.750%, 07/13/99 500 509
8.700%, 05/15/00 250 267
Ocean County (GO)
7.000%, 08/15/00 100 106
4.600%, 11/01/03 500 517
5.800%, 09/01/10 500 543
Ocean Township (GO) (MBIA)
5.400%, 06/01/15 250 259
Old Tappan, Board of Education
(GO) (FGIC)
5.100%, 04/01/18 500 502
Paramus, School District
(GO) (FSA)
5.100%, 05/01/16 500 507
Parsippany Troy Hills
Township (GO)
4.500%, 02/01/01 800 813
4.600%, 02/01/02 100 102
4.700%, 12/01/03 500 519
4.700%, 12/01/04 400 417
Parsippany Troy Hills Township
(GO) (MBIA)
5.000%, 12/01/15 500 505
Passaic County, Cash Flow
Management Project (GO)
6.400%, 11/15/01 300 321
Passaic County (GO)
4.700%, 09/01/03 250 259
Passaic County (GO) (FGIC)
4.750%, 09/01/04 500 521
5.550%, 04/01/09 250 263
5.125%, 09/01/13 500 514
Passaic County (GO) (MBIA)
4.450%, 05/01/04 200 205
Passiac County (GO) (FGIC)
Paterson (GO)
6.350%, 02/15/03 235 255
Paterson, School Board (GO)
7.400%, 08/01/00 250 265
Pequannock-Lincoln Park, Sewer
Authority (RB) (MBIA)
4.400%, 12/01/02 500 512
- --------------------------------------------------------------------------------
31
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
New Jersey Municipal Securities Fund (continued)
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Perth Amboy (GO) (FSA)
6.200%, 09/01/00 $ 300 $ 314
6.400%, 09/01/02 300 327
Pleasantville (GO) (MBIA)
5.000%, 02/15/11 500 517
Point Pleasant (GO) (MBIA)
5.450%, 12/01/00 200 208
Port Authority of New York and
New Jersey (RB)
5.300%, 08/01/03 300 316
Port Authority of New York and
New Jersey (RB) (AMBAC)
5.200%, 07/15/17 1,000 1,021
Princeton (GO)
4.400%, 09/01/01 300 306
Rahway (GO)
9.300%, 02/01/01 150 167
Rahway Valley, Sewer Authority (RB)
6.200%, 04/01/01 210 211
Randolph Township,
School District (GO) (FGIC)
5.000%, 08/01/15 500 503
Roselle (GO) (MBIA)
4.750%, 10/15/04 700 730
Roxbury (COP)
5.000%, 10/15/00 250 256
Rutgers State University,
Series A (RB)
4.375%, 05/01/01 500 506
Rutgers State University,
Series S (RB)
5.000%, 05/01/04 500 523
Rutgers University, Series U (RB)
5.000%, 05/01/14 500 511
Sayreville (GO) (MBIA)
10.125%, 12/01/00 250 280
Secaucus, Municipal Utility Authority,
Sewer Project, Series A (RB)
5.650%, 12/01/04 200 218
5.750%, 12/01/05 385 424
Somerset County (GO)
4.450%, 12/01/01 170 174
5.000%, 10/01/02 200 209
4.450%, 12/01/02 500 514
4.350%, 12/01/04 600 617
Somerset Raritan Valley, Sewer
Improvement Authority,
Series H (RB)
5.150%, 07/01/01 300 311
South Brunswick Township (GO)
6.300%, 04/01/04 250 274
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
South Jersey, Transportation
Authority, Transportation Systems,
Series B (RB) (MBIA)
5.500%, 11/01/02 $ 250 $ 266
State (COP) (AMBAC)
5.000%, 06/15/14 500 509
State (GO)
5.100%, 02/15/00 600 611
5.300%, 02/15/02 850 890
7.000%, 04/01/02 250 269
6.400%, 09/15/02 250 268
5.400%, 02/15/03 300 318
State, Building Authority (RB)
9.625%, 02/01/03 230 265
4.700%, 06/15/06 250 259
5.000%, 06/15/11 500 518
4.750%, 06/15/17 500 491
State, Building Authority
(RB) (MBIA)
5.000%, 06/15/18 1,000 1,007
State, Casino Reinvestment
Development Authority
(RB) (FSA)
5.000%, 10/01/04 1,000 1,058
5.250%, 10/01/09 1,000 1,070
5.250%, 10/01/13 500 524
5.250%, 10/01/14 1,000 1,043
State, Ecomonic Development
Authority (RB)
4.900%, 08/15/04 200 210
State, Economic Development
(RB) (MBIA)
4.550%, 11/15/10 1,000 1,014
State, Economic Development
Authority
5.600%, 10/01/12 500 497
5.700%, 10/01/17 1,000 993
State, Economic Development
Authority, Health Village
1996 Project (RB)
6.000%, 05/01/09 200 213
State, Economic Development
Authority, Saint Barnabas Project,
Series A (RB) (MBIA)
4.875%, 07/01/05 500 524
State, Economic Development
Authority, Series A (RB) (MBIA)
5.125%, 07/01/00 300 307
5.400%, 07/01/02 300 316
State, Economic Development
Authority, Series J (RB) (AMT)
7.100%, 12/01/11 385 416
- --------------------------------------------------------------------------------
32
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
State, Educational Facilities
Authority (RB)
5.000%, 07/01/21 $ 1,500 $ 1,509
5.000%, 07/01/28 250 243
State, Educational Facilities
Authority (RB) (MBIA)
4.200%, 07/01/05 500 506
State, Educational Facilities
Authority, Drew University Issue,
Series B (RB)
5.750%, 07/01/02 360 383
State, Educational Facilities
Authority, Glassboro
State College (RB)
6.750%, 07/01/09 300 301
State, Educational Facilities
Authority, Medicine and
Dentistry, Series B (RB)
(AMBAC)
5.000%, 12/01/07 250 265
State, Educational Facilities
Authority, Rowan College
(RB) (MBIA)
5.050%, 07/01/03 300 315
State, Educational Facilities
Authority, Rowan College,
Series C (RB) (MBIA)
5.250%, 07/01/05 300 321
State, Educational Facilities
Authority, Series A (RB) (AMBAC)
5.125%, 09/01/06 300 321
State, Educational Facilities
Authority, Stockton State College,
Series B (RB) (AMBAC)
6.200%, 07/01/04 300 327
State, Environmental Infrastructure
Wastewater Treatment (RB)
5.000%, 09/01/10 1,000 1,055
5.000%, 09/01/14 1,000 1,025
State, Equipment Series A (COP)
6.000%, 10/01/00 300 312
State, Health Care (RB) (AMBAC)
5.000%, 07/01/16 1,000 1,009
State, Health Care (RB) (MBIA)
5.200%, 07/01/18 500 510
State, Health Care Facilities
Financing Authority (RB)
6.800%, 08/01/19 3,380 3,587
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
State, Health Care Facilities
Financing Authority,
Pre-Refunded @ 102 (RB) (A)
6.800%, 08/01/19 $ 425 $ 460
State, Health Care Facilities
Authority Memorial, Health
Alliance, Series A (RB) (FGIC)
6.600%, 07/01/99 145 147
State, Health Care Facilities
Authority, Atlantic City Medical
Center (RB) (AMBAC)
5.000%, 07/01/02 300 312
State, Health Care Facilities
Authority, Chilton Memorial
Hospital (RB)
6.550%, 07/01/03 300 327
State, Health Care Facilities
Authority, Hackensack Medical
Center (RB) (MBIA)
5.100%, 07/01/03 500 525
State, Health Care Facilities
Authority, JFK Health Systems
(RB) (FGIC)
4.600%, 07/01/05 250 258
State, Health Care Facilities
Authority, Mountain Side
Hospital (RB) (FGIC)
6.000%, 07/01/00 300 311
State, Health Care Facilities
Authority, Series A (RB) (MBIA)
5.000%, 01/01/18 500 502
State, Health Care Facilities
Authority, St. Peters Medical
Center, Series F (RB) (MBIA)
5.000%, 07/01/13 100 102
State, Health Care Facilities
Authority, Shore Memorial
Healthcare Systems (RB) (FGIC)
4.800%, 07/01/03 200 208
State, Highway Authority,
Garden State Parkway (RB)
5.300%, 01/01/99 250 250
6.750%, 01/01/99 100 100
State, Hillcrest Health Project
(RB) (AMBAC)
4.600%, 01/01/02 200 205
5.000%, 01/01/07 300 317
State, Housing & Mortgage
Finance Agency (RB) (AMBAC)
5.300%, 05/01/06 325 345
- --------------------------------------------------------------------------------
33
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
New Jersey Municipal Securities Fund (continued)
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
State, Housing & Mortgage
Finance Agency, Section 8 (RB)
6.000%, 11/01/02 $ 760 $ 790
State, Housing and Mortgage
Authority (RB)
6.300%, 05/01/02 470 498
6.400%, 05/01/02 520 551
State, Housing and Mortgage
Finance Agency, Home Buyer,
Series N (RB) (MBIA)
5.200%, 04/01/06 500 529
State, Housing Finance
Authority (RB)
5.100%, 11/01/00 500 502
State, Infrastructure Trust (RB)
5.000%, 05/01/11 500 522
State, Infrastructure Trust
(RB) (FGIC)
5.000%, 04/01/11 450 470
State, Montclair State University,
Series C (RB) (AMBAC)
5.375%, 07/01/08 1,285 1,391
State, New York and New Jersey
Port Authority (RB)
6.800%, 07/15/08 250 267
State, Raritan Overpass Project (RB)
4.300%, 08/01/01 1,000 1,018
State, Series A (COP)
6.100%, 10/01/01 1,165 1,233
State, Series E (GO)
5.000%, 07/15/04 100 106
State, South Orange & Maplewood
School District (GO)
6.125%, 11/01/01 150 160
State, Sports & Exposition
Authority, Convention Center
Luxury Tax, Series A (RB) (MBIA)
5.600%, 07/01/01 175 183
State, Sports & Exposition
Authority, Series A (RB)
5.000%, 09/01/06 515 539
State, Sports & Exposition
State Guaranteed (RB)
8.300%, 01/01/03 380 441
State, Sports & Expostion
Authority Convention Center
(RB) (MBIA)
5.900%, 07/01/03 300 325
State, Stateon Willingboro
Township (GO) (MBIA)
6.300%, 07/01/99 400 406
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
State, Transportation Authority
(RB) (MBIA)
5.000%, 06/15/15 $ 500 $ 509
State, Transportation Authority,
Series A (RB) (FSA)
5.000%, 06/15/18 1,000 1,007
State, Transportation Authority,
Series A (RB)
4.625%, 06/15/02 300 309
State, Transportation Authority,
Series A (RB) (FSA)
5.300%, 12/15/01 200 210
State, Transportation Authority,
Series A (RB) (MBIA)
4.500%, 12/15/02 450 462
5.500%, 06/15/11 750 806
State, Transportation Authority,
Series B (RB) (MBIA)
5.200%, 06/15/06 1,850 1,984
State, Transportation System,
Series A (RB) (AMBAC)
5.200%, 12/15/00 200 207
State, Transportation Trust
Authority, Transportation
System, Series A (RB)
4.600%, 06/15/01 500 512
State, Transportation Trust
Authority, Transportation
System, Series A (RB) (MBIA)
4.625%, 06/15/02 500 515
5.500%, 06/15/13 500 534
State, Turnpike Authority (RB)
6.400%, 01/01/02 300 320
10.375%, 01/01/03 485 556
State, Turnpike Authority,
Series A (RB) (AMBAC)
5.900%, 01/01/04 500 532
6.400%, 01/01/07 620 657
State, Union County, Environmental
Improvement Authority (RB)
4.900%, 04/01/02 350 362
5.150%, 04/01/05 500 526
State, Union County (GO)
4.400%, 09/01/01 500 510
5.750%, 02/01/05 100 107
4.400%, 10/01/05 500 514
State, Union County, Improvement
Authority (RB)
4.700%, 11/01/05 250 261
5.050%, 03/01/08 125 134
- --------------------------------------------------------------------------------
34
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
State, Union County, Improvement
Authority Revenue, County
Granted Capital Equipment
Lease (RB)
4.375%, 11/01/02 $ 200 $ 204
State, University Medicine and
Dentistry, Series E (RB)
6.200%, 12/01/03 500 539
State, Warren County, Pollution
Control Finance Authority
(RB) (MBIA)
6.550%, 12/01/06 300 327
State, Washington Township, Board
of Education (GO) (MBIA)
5.000%, 02/01/03 500 522
State, Wastewater Treatment
Trust (RB)
6.000%, 07/01/10 955 1,016
5.000%, 09/01/17 400 404
State, Wastewater Treatment Trust,
Series A (RB)
5.000%, 09/01/06 450 479
State, Woodbridge Township,
Pre-Refunded @ 101 (RB) (A)
6.800%, 08/01/04 250 265
State, Woodbridge Township,
Series A (GO)
4.650%, 09/15/05 100 104
State, Woodbridge Township,
Series C (GO)
4.650%, 09/15/05 100 104
Stony Brook, Sewer Authority (RB)
4.500%, 12/01/00 500 509
Vineland, Additional State School
Building Aid (GO)
8.500%, 05/01/01 100 111
Wanaque Valley, Sewer Authority,
Series B (RB) (AMBAC)
5.100%, 09/01/03 300 316
Warren County, Municipal Utilities
Authority, Wastewater Treatment
Project (RB)
5.050%, 12/01/04 225 237
Warren County, Pollution Control
Finance Authority, Resource
Recovery Project (RB) (MBIA)
6.150%, 12/01/02 210 227
Warren County, Pollution Control
Finance Authority, Series B
(RB) (MBIA)
5.700%, 12/01/03 300 321
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Warren Hills, Regional School
District Authority,
Pre-Refunded @ 100 (COP) (A)
7.100%, 12/15/99 $ 230 $ 234
Washington Township (GO) (MBIA)
5.000%, 02/01/06 250 264
Washington Township, Board of
Education Authority (MBIA)
7.500%, 09/01/00 500 532
Washington Township, Fire District
Authority (GO) (FGIC)
4.700%, 01/01/06 300 309
Wayne Township (GO)
5.450%, 10/01/04 250 259
West Windsor Township (GO)
6.000%, 10/15/05 200 211
Woodbridge Township, Sewer Utility
Authority, Series B (GO)
5.000%, 09/15/10 250 259
--------
127,550
--------
New Mexico--0.2%
State, Educational Assistance Bonds,
Series A (RB) (AMBAC)
6.700%, 04/01/02 200 212
--------
New York--0.4%
New York & New Jersey,
Port Authority (RB) (MBIA)
4.750%, 08/01/16 500 481
--------
Pennsylvania--1.0%
Delaware River Port Authority,
Series B (RB) (MBIA)
4.750%, 01/01/14 480 474
4.750%, 01/01/17 1,000 973
--------
1,447
--------
Puerto Rico--4.6%
Puerto Rico, Infrastructure
Financing Authority
(RB) (AMBAC)
5.000%, 07/01/28 1,000 1,003
Puerto Rico, Series A (RB) (MBIA)
5.000%, 10/01/22 1,000 1,004
Puerto Rico, Electric Power
Authority (RB) (MBIA)
4.900%, 07/01/05 1,000 1,058
Puerto Rico, Electric Power
Authority, Series V (RB)
5.600%, 07/01/03 80 86
- --------------------------------------------------------------------------------
35
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
New Jersey Municipal Securities Fund (continued)
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Puerto Rico, Electric Power
Authority, Series Y (RB) (MBIA)
6.500%, 07/01/06 $ 500 $ 581
Puerto Rico, Housing Banking
and Finance Agency,
Single Family Mortgage
Project (RB)
7.100%, 12/01/99 220 222
Puerto Rico, Housing Revenue (RB)
7.100%, 06/01/99 65 65
Puerto Rico, Public Buildings
Authority, Series A (RB) (AMBAC)
4.500%, 07/01/01 200 205
Puerto Rico, Telephone Authority,
Series M (RB)
5.000%, 01/01/02 500 516
5.400%, 01/01/08 260 274
Puerto Rico, Telephone Authority,
Series M (RB) (AMBAC)
5.050%, 01/01/04 590 620
Puerto Rico, Telephone Authority,
Series N (RB)
5.100%, 01/01/04 395 415
Puerto Rico, Tourist and
Environmental (RB)
5.250%, 08/01/06 200 213
--------
6,262
--------
Guam--0.5%
Guam Government,
Water System (RB)
6.850%, 07/01/99 375 382
6.950%, 07/01/00 250 262
--------
644
--------
Total Municipal Bonds
(Cost $131,134) 136,596
--------
Total Investments--100.1%
(Cost $131,134) 136,596
--------
Other Assets and Liabilities, Net--(0.1%) (74)
--------
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Value (000)
- --------------------------------------------------------------------------------
Net Assets:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 10,971,182 outstanding shares
of beneficial interest $114,591
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 1,535,497 outstanding shares
of beneficial interest 16,416
Accumulated net realized gain
on investments 53
Net unrealized appreciation on investments 5,462
--------
Total Net Assets--100.0% $136,522
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $ 10.92
========
Net Asset Value and Redemption Price
Per Share -- Class A $ 10.88
========
Maximum Public Offering Price
Per Share -- Class A ($10.88 / 97%) $ 11.22
========
(A) Pre-Refunded Security -- The Maturity date shown is the Pre-Refunded date.
AMT -- Alternative Minimum Tax
COP -- Certificate of Participation
GO -- General Obligation
RB -- Revenue Bond
The following organizations have provided underlying credit support for certain
securities as defined in the Statement of Net Assets:
AMBAC -- American Municipal Bond Assurance Company
FGIC -- Federal Guaranty Insurance Corporation
FSA -- Financial Security Assurance
MBIA -- Municipal Bond Insurance Association
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
36
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
Intermediate-Term Government Securities Fund
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
U.S. Treasury Obligations--65.5%
U.S. Treasury Notes
7.500%, 10/31/99 $ 300 $ 307
5.500%, 02/29/00 500 505
7.125%, 02/29/00 550 565
6.875%, 03/31/00 1,300 1,334
5.500%, 05/31/00 1,400 1,416
5.875%, 06/30/00 500 509
5.750%, 10/31/00 1,500 1,529
5.625%, 11/30/00 1,000 1,018
6.250%, 04/30/01 700 725
6.625%, 06/30/01 1,000 1,046
6.500%, 08/31/01 2,000 2,093
6.125%, 12/31/01 1,000 1,040
6.250%, 01/31/02 1,000 1,045
6.250%, 02/28/02 1,000 1,046
6.250%, 06/30/02 2,000 2,099
5.500%, 01/31/03 1,750 1,801
5.500%, 02/28/03 1,000 1,029
5.500%, 05/31/03 1,000 1,032
5.375%, 06/30/03 1,250 1,286
--------
Total U.S. Treasury Obligations
(Cost $20,698) 21,425
--------
U.S. Government Agency Obligations--32.6%
Fannie Mae
6.330%, 08/16/05 1,000 1,004
Federal Farm Credit Bank
6.550%, 02/07/04 1,000 1,061
Federal Home Loan Bank
4.980%, 09/15/00 1,000 1,001
5.600%, 10/28/02 1,000 980
7.000%, 12/04/02 1,000 1,017
6.220%, 06/15/05 1,000 1,018
7.190%, 09/10/07 800 801
6.450%, 07/29/08 500 496
Federal Home Loan Mortgage
Corporation
7.055%, 08/02/01 1,000 1,013
Federal National Mortgage
Association
6.900%, 01/22/02 500 501
7.370%, 05/14/03 750 756
7.600%, 05/24/06 1,000 1,009
--------
Total U.S. Government
Agency Obligations
(Cost $10,625) 10,657
--------
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Cash Equivalents--1.0%
SEI Liquid Asset Trust --
Government Portfolio $ 53 $ 53
SEI Liquid Asset Trust --
Treasury Portfolio 254 254
--------
Total Cash Equivalents
(Cost $307) 307
--------
Total Investments--99.1%
(Cost $31,630) 32,389
--------
Other Assets and Liabilities, Net--0.9% 305
--------
Net Assets:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 3,030,762 outstanding shares
of beneficial interest 31,894
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 120,805 outstanding shares
of beneficial interest 1,479
Undistributed net investment income 5
Accumulated net realized loss
on investments (1,443)
Net unrealized appreciation
on investments 759
--------
Total Net Assets--100.0% $ 32,694
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $ 10.37
========
Net Asset Value Offering and Redemption
Price Per Share -- Class A $ 10.37
========
Maximum Public Offering Price
Per Share -- Class A ($10.37 / 96%) $ 10.80
========
The accompanying notes are an integral part of the financial statements.
Pennsylvania Municipal Securities Fund
- --------------------------------------------------------------------------------
Municipal Bonds--98.8%
New Jersey--2.7%
Solanco School District
(GO) (FGIC)
5.200%, 02/15/14 1,000 1,022
--------
Pennsylvania--94.2%
Allegheny County, Hospital
Development Authority
(RB) (MBIA)
5.600%, 04/01/13 500 536
- --------------------------------------------------------------------------------
37
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
Pennsylvania Municipal Securities Fund (continued)
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Allegheny County, Hospital
Development Authority,
Pittsburgh Mercy Health System
(RB) (AMBAC)
5.500%, 08/15/10 $ 425 $ 467
Allegheny County, International
Airport (RB) (MBIA)
5.000%, 01/01/17 750 744
Allegheny County, Pennsylvania
Hospital Development Authority,
Catholic Health East,
Series A (RB)
4.875%, 11/15/18 1,000 977
Altoona, City Authority,
Water Revenue (RB) (FGIC)
5.050%, 11/01/11 500 516
Beaver County (GO) (MBIA)
5.150%, 10/01/17 1,000 1,007
Bethlehem, Penn School
District (GO) (FGIC)
4.850%, 09/01/10 200 205
Bucks County, Water and Sewer
Authority (RB) (FGIC)
5.375%, 12/01/13 1,000 1,031
Chester County, Health and
Education Facilities Authority,
Jefferson Health Systems
Series B (RB)
5.375%, 05/15/27 500 504
Chester County, Health and
Education Facilities Authority,
Main Line Health Systems,
Series A (RB)
5.400%, 05/15/09 500 524
Dauphin County, School District
(GO) (A)
5.750%, 06/01/26 450 489
Delaware County, Pennsylvania
Mercy Health Southeastern (RB)
5.125%, 11/15/12 500 526
Emmaus, Pennsylvania East Pen
School District (RB)
5.050%, 11/15/16 150 150
Erie-Penn, Sewer Authority
(RB) (AMBAC)
5.000%, 06/01/18 450 448
Fairview, Penn School District
(GO) (FGIC)
5.050%, 02/15/11 260 268
Fort Cherry, School District
(GO) (AMBAC)
5.200%, 10/01/12 1,000 1,017
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Franklin County, Industrial
Development Authority
(RB) (AMBAC)
5.000%, 07/01/18 $ 500 $ 496
Harrisburg (RB) (MBIA)
5.600%, 09/15/11 575 615
Luzerne County (GO) (FGIC)
5.600%, 12/15/16 500 529
Lycoming County, Hospital
Authority (RB)
5.375%, 11/15/10 500 532
Montgomery County, Abington
Memorial Hospital (RB) (AMBAC)
4.875%, 06/01/18 500 491
Moon Township, Municipal
Authority, Water and Sewer (RB)
3.875%, 12/01/02 3 3
Norristown (GO) (A)
5.050%, 12/15/16 140 55
Northeastern Pennsylvania, Hospital
and Educational Revenue
(RB) (AMBAC)
5.250%, 01/01/26 1,000 1,015
Penn-Trafford, School District
(GO) (AMBAC)
4.800%, 05/01/15 1,000 986
Philadelphia, Authority for
Industrial Development,
National Board of Medical
Examiners Project (RB)
6.500%, 05/01/05 325 351
Philadelphia, Authority for
Industrial Development (RB)
5.250%, 07/01/17 1,250 1,261
Philadelphia, Authority for
Industrial Development
(RB) (MBIA)
4.900%, 06/01/12 700 711
Philadelphia, Hospital and
Higher Education Facilities
Authority, Children's Hospital
Project, Series A (RB)
5.375%, 02/15/14 500 508
Philadelphia, Hospital Authority,
Saint Agnes Medical Center Project,
Series A (RB) (MBIA)
5.000%, 07/01/05 865 869
Philadelphia, School District
(GO) (AMBAC)
5.375%, 04/01/27 1,200 1,223
- --------------------------------------------------------------------------------
38
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Pittsburgh, Urban Redevelopment
Authority (RB)
5.750%, 10/01/14 $ 100 $ 105
Pottsville, Hospital Authority
Revenue (RB)
5.000%, 08/15/12 1,000 1,010
Saint Mary Hospital Authority,
Catholic Health Initiatives (RB)
5.000%, 12/01/28 1,000 961
State, Convention Center Authority,
Series A (RB) (FSA)
6.250%, 09/01/04 150 163
State, Delaware River Joint
Toll Bridge (RB) (FGIC)
6.000%, 07/01/18 625 652
State, Higher Education Facilities
Authority, Allegheny College
(RB) (MBIA)
4.700%, 11/01/10 500 506
State, Higher Education Facilities
Authority, College and University
Revenue (RB) (MBIA)
5.000%, 11/01/07 500 525
State, Higher Education Facilities
Authority, Drexel University
(RB) (MBIA)
4.500%, 05/01/13 1,000 968
State, Higher Education Facilities
Authority (RB)
4.500%, 07/15/18 1,000 936
State, Higher Education Facilities
Authority (RB) (AMBAC)
5.400%, 06/15/07 1,000 1,049
State, Higher Education Facilities
Authority University, Health
Services Project, Series A (RB)
6.000%, 01/01/06 1,000 1,095
State, Higher Education Facilities
Authority, University of
Pennsylvania, Series A (RB)
5.600%, 09/01/10 1,000 1,069
State, Hospital and Education
Authority (RB) (FSA)
5.625%, 10/01/18 500 521
State, Housing Finance
Agency (RB)
5.450%, 10/01/14 500 511
5.500%, 10/01/22 1,000 1,018
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
State, Housing Finance Authority,
Series 49 (RB)
5.600%, 10/01/05 $ 75 $ 79
State, School Building Authority,
Delaware County Community
College (RB) (MBIA)
5.200%, 04/01/08 250 260
State, Second Series (GO)
5.250%, 06/15/09 1,000 1,049
5.000%, 10/15/15 1,250 1,266
5.000%, 10/15/16 1,400 1,411
State, Series A (COP) (AMBAC)
5.000%, 07/01/15 1,000 999
Upper Merion, Pennsylvania Area
School District (GO)
5.000%, 07/15/15 500 504
Wilkes Barre, School District
(GO) (FGIC)
5.050%, 04/01/11 185 191
--------
35,902
--------
Guam--1.9%
Guam, Power Authority
(RB) (AMBAC)
6.000%, 10/01/09 650 721
--------
Total Municipal Bonds
(Cost $36,797) 37,645
--------
Cash Equivalent--0.2%
Federated Pennsylvania
Municipal Cash Trust 78 78
--------
Total Cash Equivalent
(Cost $78) 78
--------
Total Investments--99.0%
(Cost $36,875) 37,723
--------
Other Assets and Liabilities, Net--1.0% 368
--------
- --------------------------------------------------------------------------------
39
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
Pennsylvania Municipal Securities Fund (continued)
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Net Assets:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 3,670,547 outstanding shares
of beneficial interest $ 36,704
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 42,350 outstanding shares
of beneficial interest 431
Undistributed net investment income 1
Accumulated net realized gain
on investments 107
Net unrealized appreciation on investments 848
--------
Total Net Assets--100.0% $ 38,091
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $ 10.26
========
Net Asset Value and Redemption Price
Per Share -- Class A $ 10.23
========
Maximum Public Offering Price Per
Share -- Class A ($10.23 / 97%) 3 $ 10.55
========
(A) Zero Coupon Bond -- The rate reflected on the Statement of Net Assets
represents the securities effective yield at purchase.
COP -- Certificate of Participation
GO -- General Obligation
RB -- Revenue Bond
The following organizations have provided underlying credit support for certain
securities as defined in the Statement of Net Assets.
AMBAC -- American Municipal Bond Assurance Corporation
FGIC -- Financial Guaranty Insurance Company
FSA -- Financial Security Assurance
MBIA -- Municipal Bond Insurance Association
The accompanying notes are an integral part of the financial statements.
Equity Growth Fund
- --------------------------------------------------------------------------------
Common Stocks--105.0%
Automobiles--1.6%
Harley-Davidson 70,000 3,316
--------
Banks--3.1%
Northern Trust 74,000 6,461
--------
Beauty Products--1.3%
Colgate-Palmolive 25,000 2,322
Procter & Gamble 5,000 457
--------
2,779
--------
Communications Equipment--8.0%
Ericsson LM (ADR) 25,000 598
Lucent Technologies 60,000 6,600
Nokia Series A (ADR) 80,000 9,635
--------
16,833
--------
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Computers & Services--34.2%
America Online* 156,400 $ 25,024
Ceridian* 30,000 2,094
Cisco Systems* 98,250 9,119
Compuware* 50,000 3,906
Dell Computer* 122,400 8,958
EMC* 105,000 8,925
Microsoft* 57,900 8,030
Sungard Data Systems* 84,300 3,346
Yahoo!* 10,000 2,369
--------
71,771
--------
Drugs--12.9%
Bristol-Myers Squibb 35,300 4,724
Merck 25,000 3,692
Pfizer 53,000 6,648
Schering Plough 110,800 6,122
Warner-Lambert 77,000 5,789
--------
26,975
--------
Entertainment--0.2%
Walt Disney 15,000 450
--------
Financial Services--3.4%
Freddie Mac 100,000 6,444
Merrill Lynch 10,000 667
--------
7,111
--------
Food, Beverage & Tobacco--1.3%
Coca-Cola 40,000 2,675
--------
Gas/Natural Gas--1.9%
Enron 70,000 3,994
--------
Household Products--0.2%
Illinois Tool Works 5,000 290
--------
Insurance--4.9%
American International Group 61,500 5,942
Citigroup 38,000 1,881
Mony Group* 100 3
SunAmerica 30,000 2,434
--------
10,260
--------
Machinery--3.4%
General Electric 70,000 7,144
--------
Marine Transportation--1.0%
Carnival, Class A 45,000 2,160
--------
Miscellaneous Consumer Services--0.5%
Service International 25,000 952
--------
- --------------------------------------------------------------------------------
40
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Miscellaneous Manufacturing--2.7%
Tyco International 75,247 $ 5,676
--------
Professional Services--5.2%
Ims Health 72,000 5,431
Paychex 105,000 5,401
--------
10,832
--------
Retail--8.3%
Gap 80,475 4,527
Home Depot 110,800 6,780
Starbucks* 5,000 281
Walgreen 100,000 5,856
--------
17,444
--------
Semi-Conductors/Instruments--4.8%
American Power Conversion* 100,000 4,844
E-Tek Dynamics* 400 11
Intel 44,300 5,252
--------
10,107
--------
Telephones & Telecommunication--3.6%
MCI WorldCom* 105,530 7,572
--------
Wholesale--2.5%
Gillette 23,800 1,150
Johnson & Johnson 50,000 4,194
--------
5,344
--------
Total Common Stocks
(Cost $125,691) 220,146
--------
Cash Equivalent--0.5%
Aim Short-Term Prime
Obligation 934 934
--------
Total Cash Equivalent
(Cost $934) 934
--------
Regulated Investment Company--2.7%
S&P 500 Depository Receipt 46,400 5,722
--------
Total Regulated Investment Company
(Cost $5,203) 5,722
--------
Total Investments--108.2%
(Cost $131,847) 226,802
--------
Other Assets and Liabilities--(8.2%)
Equity Swap Payable (17,368)
Other Assets and Liabilities, Net 236
--------
Total Other Assets and Liabilities (17,132)
--------
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Net Assets:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 17,219,016 outstanding shares
of beneficial interest $131,973
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 315,506 outstanding shares
of beneficial interest 3,277
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 531,353 outstanding shares
of beneficial interest 5,642
Overdistributed net investment income (3)
Accumulated net realized loss
on investments (8,926)
Net unrealized appreciation
on investments 94,955
Net unrealized depreciation on Equity Swap
Transaction (see note 10) (17,248)
--------
Total Net Assets--100.0% $209,670
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $ 11.61
========
Net Asset Value and Redemption Price
Per Share -- Class A $ 11.52
========
Maximum Public Offering Price
Per Share -- Class A ($11.52 / 94.5%) $ 12.19
========
Net Asset Value and Redemption Price
Per Share -- Class B (1) $ 11.41
========
* Non-income producing security
(1) Class B has a contingent deferred sales charge.
ADR -- American Depository Receipt
The accompanying notes are an integral part of the financial statements.
Equity Value Fund
- --------------------------------------------------------------------------------
Common Stocks--98.1%
Aircraft--1.7%
United Technologies 45,000 4,894
--------
Banks--6.1%
Bank of New York 150,000 6,037
Chase Manhattan 60,000 4,084
First Union 65,000 3,953
J.P. Morgan 30,000 3,152
--------
17,226
--------
- --------------------------------------------------------------------------------
41
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
Equity Value Fund (continued)
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Chemicals--2.3%
Air Products & Chemicals 75,000 $ 3,000
E.I. DuPont de Nemours 65,000 3,449
--------
6,449
--------
Communications Equipment--3.0%
Nokia (ADR) 70,000 8,431
--------
Computers & Services--9.0%
Compaq Computer* 146,000 6,123
Hewlett Packard 65,000 4,440
International Business
Machines 30,000 5,542
Microsoft* 65,000 9,015
--------
25,120
--------
Drugs--12.4%
Bristol-Myers Squibb 55,000 7,360
Glaxo Wellcome PLC (ADR) 95,000 6,602
Merck 48,000 7,089
Pfizer 60,000 7,526
SmithKline Beecham 90,000 6,255
--------
34,832
--------
Electrical & Electronic Products--4.0%
Emerson Electric 65,000 3,932
General Electric 70,000 7,144
--------
11,076
--------
Electrical Utilities--1.3%
FPL Group 60,000 3,697
--------
Financial Services--5.7%
American Express 50,000 5,112
Federal National Mortgage
Association 85,000 6,290
Textron 60,000 4,556
--------
15,958
--------
Food, Beverage & Tobacco--6.2%
Bestfoods 90,000 4,792
Campbell Soup 70,000 3,850
PepsiCo 95,000 3,889
Sara Lee 170,000 4,792
--------
17,323
--------
Gas/Natural Gas--2.5%
Consolidated Natural Gas 60,000 3,240
Enron 65,000 3,709
--------
6,949
--------
Household Products--4.8%
Colgate-Palmolive 60,000 5,572
Procter & Gamble 50,000 4,566
Whirlpool 60,000 3,323
--------
13,461
--------
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Insurance--3.5%
American International Group 60,000 $ 5,798
Citigroup 80,000 3,960
--------
9,758
--------
Leisure Products--1.1%
Mattel 135,000 3,080
--------
Machinery--0.8%
Deere 70,000 2,319
--------
Manufacturing--1.0%
Minnesota Mining &
Manufacturing 40,000 2,845
--------
Paper & Paper Products--1.4%
Kimberly Clark 70,000 3,815
--------
Petroleum & Fuel Products--0.8%
Schlumberger 50,000 2,306
--------
Petroleum Refining--6.5%
Amoco 65,000 3,835
Exxon 65,000 4,753
Mobil 65,000 5,663
Royal Dutch Petroleum (ADR) 85,000 4,069
--------
18,320
--------
Printing & Publishing--5.4%
Gannett 85,000 5,483
Time Warner 155,000 9,620
--------
15,103
--------
Railroads--2.2%
Burlington Northern Santa Fe 105,000 3,544
Union Pacific 60,000 2,704
--------
6,248
--------
Retail--1.9%
Limited 60,000 1,748
Wal-Mart Stores, Inc. 45,000 3,665
--------
5,413
--------
Semi-Conductors/Instruments--2.8%
Intel 66,000 7,825
--------
Telephones & Telecommunication--11.7%
Ameritech 100,000 6,338
BellSouth 140,000 6,983
Lucent Technologies 85,500 9,405
MCI WorldCom* 53,000 3,803
SBC Communications 120,000 6,435
--------
32,964
--------
Total Common Stocks
(Cost $187,163) 275,412
--------
- --------------------------------------------------------------------------------
42
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
U.S. Treasury Obligations--1.0%
U.S. Treasury (STRIPS)
5.355%, 02/15/01 3,000 $ 2,724
--------
Total U.S. Treasury Obligations
(Cost $2,682) 2,724
--------
Repurchase Agreement--0.4%
J.P. Morgan
4.75%, dated 12/31/98, matures
01/04/99, repurchase price
$1,003,529 (collateralized by
U.S. Treasury Bond, total
market value $1,025,054) (A) 1,003 1,003
--------
Total Repurchase Agreement
(Cost $1,003) 1,003
--------
Cash Equivalents--1.0%
SEI Liquid Asset Trust --
Government Portfolio 1,614 1,614
SEI Liquid Asset Trust --
Treasury Portfolio 1,309 1,309
--------
Total Cash Equivalents
(Cost $2,923) 2,923
--------
Total Investments--100.5%
(Cost $193,771) 282,062
--------
Other Assets and Liabilities, Net--(0.5%) (1,270)
--------
Net Assets:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 15,251,613 outstanding shares
of beneficial interest 160,102
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 1,165,629 outstanding shares
of beneficial interest 14,493
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 1,235,359 outstanding shares
of beneficial interest 17,947
Overdistributed net investment income (2)
Accumulated net realized loss on investments (39)
Net unrealized appreciation on investments 88,291
--------
Total Net Assets--100.0% $280,792
========
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $ 15.91
========
Net Asset Value and Redemption Price
Per Share -- Class A $ 15.91
========
Maximum Public Offering Price
Per Share -- Class A ($15.91 / 94.5%) $ 16.84
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $ 15.85
========
*Non-income producing security
(1) Class B has a contingent deferred sales charge.
(A) Tri-party repurchase agreement.
ADR -- American Depository Receipt
STRIPS -- Separate Trading of Registered Interest and Principal of Securities.
The accompanying notes are an integral part of the financial statements.
Equity Income Fund
- --------------------------------------------------------------------------------
Common Stocks--87.2%
Aircraft--1.9%
United Technologies 23,000 2,501
--------
Automotive--2.4%
Dana 43,000 1,758
Ford Motor 25,000 1,467
--------
3,225
--------
Banks--7.0%
Bank of New York 89,000 3,582
Chase Manhattan Bank 36,000 2,450
First Union 35,000 2,128
J.P. Morgan 10,000 1,051
--------
9,211
--------
Chemicals--1.5%
E.I. DuPont de Nemours 38,000 2,016
--------
Drugs--14.0%
American Home Products 22,000 1,239
Bristol-Myers Squibb 26,000 3,479
Glaxo Wellcome PLC (ADR) 36,000 2,502
Merck 15,000 2,215
Monsanto Aces* 27,500 1,347
Pfizer 21,000 2,634
Pharmacia & Upjohn 40,000 2,265
SmithKline Beecham 40,000 2,780
--------
18,461
--------
- --------------------------------------------------------------------------------
43
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets/Schedule of Investments
Equity Income Fund (continued)
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Electrical & Electronic Products--6.1%
Emerson Electric 29,000 $ 1,754
General Electric 43,000 4,389
Thomas & Betts 45,000 1,949
--------
8,092
--------
Electrical Utilities--0.7%
Southern 30,000 872
--------
Environmental Services--1.0%
Browning-Ferris Industries 45,000 1,280
--------
Financial Services--6.4%
Federal National Mortgage
Association 17,000 1,258
Healthcare Realty Trust 16,900 377
Hospitality Properties Trust 20,000 482
Household International 51,000 2,021
Liberty Property Trust 25,000 616
SunAmerica 14,942 1,212
Textron 33,000 2,506
--------
8,472
--------
Food, Beverage & Tobacco--5.2%
Bestfoods 37,000 1,970
General Mills 15,000 1,166
Groupe Danone (ADR) 30,000 1,688
Sara Lee 70,000 1,973
--------
6,797
--------
Gas/Natural Gas--4.8%
Consolidated Natural Gas 40,000 2,160
Enron 40,000 2,283
Williams 60,000 1,871
--------
6,314
--------
Glass Products--1.1%
PPG Industries 25,000 1,456
--------
Household Products--3.1%
Colgate-Palmolive 25,600 2,378
Hubbell Class B 44,000 1,672
--------
4,050
--------
Insurance--8.9%
Allstate 40,000 1,545
American General 25,000 1,950
Exel Limited Class A 27,000 2,025
Lincoln National 25,000 2,045
Marsh & McLennan 41,000 2,396
St. Paul 52,000 1,807
--------
11,768
--------
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Marine Transportation--0.3%
Knightsbridge Tankers Limited 22,500 $ 468
--------
Medical Products & Services--1.5%
Baxter International 31,000 1,994
--------
Paper & Paper Products--1.7%
Kimberly Clark 40,000 2,180
--------
Petroleum Refining--6.8%
British Petroleum (ADR) 28,000 2,660
Chevron 22,000 1,825
Mobil 30,000 2,614
Texaco 35,000 1,851
--------
8,950
--------
Printing & Publishing--4.1%
Hollinger International 67,000 934
McGraw-Hill 32,000 3,260
Readers Digest 46,000 1,196
--------
5,390
--------
Railroads--1.0%
Burlington Northern Santa Fe 39,000 1,316
--------
Retail--1.7%
Limited 75,000 2,184
--------
Telephones & Telecommunication--6.0%
AT&T 27,000 2,032
Bell Atlantic 26,000 1,378
BellSouth 73,000 3,641
GTE 13,000 845
--------
7,896
--------
Total Common Stocks
(Cost $88,504) 114,893
--------
Preferred Stocks--5.9%
Aetna 18,000 1,369
Airtouch Communications 17,500 1,803
Conseco Financial Trust 22,000 561
El Paso Energy Capital Trust 29,000 1,388
Ingersoll-Rand 35,000 831
Mattel 41,500 405
Union Pacific Captial Trust (A) 30,000 1,388
--------
Total Preferred Stocks
(Cost $7,036) 7,745
--------
- --------------------------------------------------------------------------------
44
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
- --------------------------------------------------------------------------------
Face Amount Market
Description (000)/Shares Value (000)
- --------------------------------------------------------------------------------
Convertible Bonds--2.5%
Newell Financial Trust I
5.25%, 12/01/27 $ 5 $ 263
Newell Financial Trust I (A)
5.25%, 12/01/27 30 1,575
PetSmart
6.750%, 11/01/04 500 691
U.S. Filter
4.500%, 12/15/01 800 753
--------
Total Convertible Bonds
(Cost $3,124) 3,282
--------
U.S. Treasury Obligation--0.3%
U.S. Treasury Note
5.625%, 10/31/99 365 368
--------
Total U.S. Treasury Obligation
(Cost $365) 368
--------
Cash Equivalents--4.3%
SEI Liquid Asset Trust --
Prime Obligation 3,178 3,178
S&P 500 Depository Receipt (RIC) 20 2,466
--------
Total Cash Equivalents
(Cost $5,626) 5,644
--------
Total Investments--100.2%
(Cost $104,655) 131,932
--------
Other Assets and Liabilities, Net--(0.2%) (251)
--------
Net Assets:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 6,766,774 outstanding shares
of beneficial interest 68,453
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 1,295,851 outstanding shares
of beneficial interest 16,113
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 1,356,165 outstanding shares
of beneficial interest 19,464
Overdistributed net investment income (436)
Accumulated net realized gain
on investments 810
Net unrealized appreciation on investments 27,277
--------
Total Net Assets--100.0% $131,681
========
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $ 13.98
========
Net Asset Value and Redemption Price
Per Share -- Class A $ 14.01
========
Maximum Public Offering Price
Per Share -- Class A ($14.01 / 94.5%) $ 14.83
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $ 13.94
========
*Non-income producing security.
(1) Class B has a contingent deferred sales charge.
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions normally exempt from
registration to qualified institutional investors.
ADR -- American Depository Receipt
RIC -- Registered Investment Company
The accompanying notes are an integral part of the financial statements.
Equity Index Fund
- --------------------------------------------------------------------------------
Mutual Fund--91.2%
SEI S&P 500 Index Portfolio 151 5,823
--------
Total Mutual Fund
(Cost $5,413) 5,823
--------
Total Investments--91.2%
(Cost $5,413) 5,823
========
The accompanying notes are an integral part of the financial statements.
Mid Cap Fund
- --------------------------------------------------------------------------------
Common Stocks--89.7%
Apparel/Textiles--1.2%
U.S. Industries 6,750 126
--------
Automotive--2.1%
Cooper* 11,100 230
--------
Banks--3.3%
First Tennessee National 5,000 190
Sovereign Bancorp 12,000 171
--------
361
--------
Broadcasting, Newspapers &
Advertising--0.9%
Antec* 5,000 101
--------
Chemicals--1.0%
Cytec Industries* 5,000 106
--------
- --------------------------------------------------------------------------------
45
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
Mid Cap Fund (continued)
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Communications Equipment--3.2%
ADC Telecommunications* 6,500 $ 226
Ascend Communications* 2,000 132
--------
358
--------
Computers & Services--3.4%
Sungard Data Systems* 9,350 371
--------
Drugs--6.4%
Centocor* 6,000 271
ICN Pharmaceuticals 3,100 70
Watson Pharmaceuticals* 5,750 362
--------
703
--------
Financial Services--0.2%
Firstplus Financial Group* 7,200 20
--------
Household Products--3.7%
Danaher 7,500 407
--------
Insurance--3.5%
Amerin* 4,800 113
Delphi Financial Group* 5,304 278
--------
391
--------
Leisure Products--1.2%
Tiffany & Company 2,500 130
--------
Medical Products & Services--4.0%
Biomet* 5,600 225
NovaCare* 13,200 33
PSS World Medical* 8,000 184
--------
442
--------
Miscellaneous Business Services--20.9%
Cendant* 10,800 206
Corrections Corporation of America* 5,000 88
Electronic Arts* 6,300 354
Envoy* 6,500 379
Inprise* 15,000 83
Network Associates* 6,400 424
Parametric Technology* 11,200 182
Premiere Technologies* 17,500 129
QuadraMed* 6,000 123
U.S. Filter* 8,000 183
Whitman 6,250 159
--------
2,310
--------
Miscellaneous Consumer Services--2.7%
Stewart Enterprises Class A 13,300 296
--------
Petroleum & Fuel products--1.6%
Noble Drilling* 5,200 67
Petroleum Geo Services (ADR)* 7,000 110
--------
177
--------
<PAGE>
- --------------------------------------------------------------------------------
Shares/Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Petroleum Refining--2.1%
Tosco 5,000 $ 129
Valero Energy 5,000 106
--------
235
--------
Professional Services--3.7%
Devry* 13,500 413
--------
Retail--9.3%
Cracker Barrel Old Country Stores* 5,000 117
Pier 1 Imports 17,500 170
Piercing Pagoda* 16,200 158
Rainforest Cafe* 21,600 131
Stage Stores* 9,000 84
Tech Data* 7,000 282
Toys "R" Us* 5,000 84
--------
1,026
--------
Semi-Conductors/Instruments--4.0%
American Power Conversion* 5,000 242
Xilinx* 3,000 195
--------
437
--------
Specialty Machinery--2.2%
SLI* 8,800 244
--------
Testing Laboratories--3.9%
Chiron* 16,500 432
--------
Trucking--2.0%
Suiza Foods* 4,400 224
--------
Wholesale--3.2%
Cardinal Health 4,650 353
--------
Total Common Stocks
(Cost $7,635) 9,893
--------
U.S. Treasury Obligation--2.7%
U.S. Treasury Bill (A)
4.402%, 01/21/99 $ 300 299
--------
Total U.S. Treasury Obligation
(Cost $299) 299
--------
Cash Equivalents--7.7%
SEI Liquid Asset Trust --
Government Portfolio 430 430
SEI Liquid Asset Trust --
Treasury Portfolio 421 421
--------
Total Cash Equivalents
(Cost $851) 851
--------
Total Investments--100.1%
(Cost $8,785) 11,043
--------
Other Assets and Liabilities, Net--(0.1%) (14)
--------
- --------------------------------------------------------------------------------
46
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Net Assets:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 1,030,848 outstanding shares
of beneficial interest $ 8,868
Accumulated net realized loss
on investments (97)
Net unrealized appreciation on investments 2,258
--------
Total Net Assets--100.0% $ 11,029
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $ 10.70
========
* Non-income producing security
(A) The rate reflected on the Statement of Net Assets represents the security's
discount rate at purchase.
ADR -- American Depository Receipt
The accompanying notes are an integral part of the financial statements.
Balanced Fund
- --------------------------------------------------------------------------------
Common Stocks--68.3%
Aircraft--1.9%
Allied Signal 28,000 1,241
--------
Apparel/Textiles--1.3%
U.S. Industries 45,000 838
--------
Banks--6.7%
Bank of New York 16,000 644
BankAmerica 19,000 1,142
Chase Manhattan Bank 16,000 1,089
First Union 23,000 1,399
--------
4,274
--------
Chemicals--2.8%
Air Products & Chemicals 23,000 920
E.I. DuPont de Nemours 17,000 902
--------
1,822
--------
Computers & Services--9.9%
3Com* 25,000 1,120
Cisco Systems* 17,000 1,578
Compaq Computer* 31,000 1,300
Dell Computer* 20,000 1,464
Microsoft* 6,000 832
--------
6,294
--------
Drugs--8.2%
Bristol-Myers Squibb 6,000 803
Glaxo Wellcome PLC (ADR) 10,000 695
Merck 5,500 812
Monsanto Aces* 22,100 1,083
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Pfizer 10,000 $ 1,254
SmithKline Beecham 8,000 556
--------
5,203
--------
Electrical & Electronic Products--2.1%
General Electric 13,000 1,327
--------
Entertainment--0.7%
Walt Disney 15,000 450
--------
Financial Services--6.3%
American Express 6,000 613
Federal National Mortgage
Association 16,000 1,184
Morgan Stanley, Dean Witter,
Discover 13,000 923
Textron 16,850 1,279
--------
3,999
--------
Food, Beverage & Tobacco--1.7%
PepsiCo 26,000 1,064
--------
Gas/Natural Gas--1.5%
Williams 30,000 936
--------
Insurance--2.7%
American International Group 6,000 580
Citigroup 22,500 1,114
--------
1,694
--------
Leisure Products--1.1%
Mattel 30,000 684
--------
Machinery--3.2%
Ingersoll-Rand 26,000 1,220
U.S. Filter* 35 801
--------
2,021
--------
Miscellaneous Consumer Services--1.7%
Service International 29,000 1,104
--------
Paper & Paper Products--1.7%
Kimberly Clark 20,000 1,090
--------
Petroleum Refining--2.2%
Amoco 8,000 472
Exxon 6,000 439
Mobil 6,000 523
--------
1,434
--------
Professional Services--0.2%
Halliburton 5,000 148
--------
Railroads--1.0%
Burlington Northern Santa Fe 19,500 658
--------
- --------------------------------------------------------------------------------
47
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
Balanced Fund (continued)
- --------------------------------------------------------------------------------
Shares/Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Retail--1.1%
Limited 25,000 $ 728
--------
Semi-Conductors/Instruments--2.2%
Intel 12,000 1,423
--------
Telephones & Telecommunication--5.1%
Lucent Technologies 15,000 1,650
MCI WorldCom* 22,000 1,578
--------
3,228
--------
Trucking--1.4%
CNF Transportation 23,000 864
--------
Wholesale--1.6%
Johnson & Johnson 12,000 1,006
--------
Total Common Stocks
(Cost $31,131) 43,530
--------
Corporate Bonds--12.0%
Banks--2.5%
Bank One Texas
6.250%, 02/15/08 $ 1,000 1,046
First Chicago NBD Bancorp
7.125%, 05/15/07 500 556
National City Bank of Cleveland
7.100%, 09/25/12 400 417
--------
2,019
--------
Financial Services--1.3%
Bear Stearns
6.625%, 10/01/04 800 820
--------
Industrial--5.8%
Amoco
6.250%, 10/15/04 1,000 1,055
Browning-Ferris
6.375%, 01/15/08 500 505
McDonald's
6.500%, 08/01/07 1,000 1,077
Philip Morris
9.250%, 02/15/00 100 104
Sara Lee (MTN)
6.000%, 01/15/08 950 981
--------
3,722
--------
<PAGE>
- --------------------------------------------------------------------------------
Face Amount Market
Description (000)/Shares Value (000)
- --------------------------------------------------------------------------------
Utilities--1.7%
GTE
6.460%, 04/15/08 $ 1,000 $ 1,059
--------
Total Corporate Bonds
(Cost $7,245) 7,620
--------
U.S. Treasury Obligations--7.6%
U.S. Treasury Bond
5.250%, 11/15/28 500 512
U.S. Treasury Notes
5.750%, 11/15/00 800 816
5.500%, 03/31/03 500 515
5.625%, 02/15/06 200 212
6.625%, 05/15/07 1,000 1,127
6.125%, 08/15/07 1,500 1,641
--------
Total U.S. Treasury Obligations
(Cost $4,510) 4,823
--------
U.S. Government Agency Obligations--10.3%
Federal Farm Credit Bank
6.000%, 01/07/08 1,000 1,046
Federal Home Loan Bank
5.080%, 10/14/05 1,000 991
5.385%, 11/10/08 900 902
5.655%, 12/18/08 500 512
Federal Home Loan Mortgage
Corporation
6.704%, 01/09/07 500 545
Federal National Mortgage
Association
5.750%, 04/15/03 2,000 2,057
7.760%, 08/02/06 500 509
--------
Total U.S. Government Agency
Obligations
(Cost $6,392) 6,562
--------
Cash Equivalents--0.5%
SEI Liquid Asset Trust --
Government Portfolio 46 46
SEI Liquid Asset Trust --
Treasury Portfolio 252 252
--------
Total Cash Equivalents
(Cost $298) 298
--------
Total Investments--98.7%
(Cost $49,576) 62,833
--------
Other Assets and Liabilities, Net--1.3% 825
--------
- --------------------------------------------------------------------------------
48
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Net Assets:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 2,121,117 outstanding shares
of beneficial interest $ 20,542
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 815,181 outstanding shares
of beneficial interest 8,740
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 1,648,686 outstanding shares
of beneficial interest 21,088
Overdistributed net investment income (2)
Accumulated net realized gain
on investments 33
Net unrealized appreciation on investments 13,257
--------
Total Net Assets--100.0% $ 63,658
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $ 13.91
========
Net Asset Value and Redemption Price
Per Share -- Class A $ 13.93
========
Maximum Public Offering Price
Per Share -- Class A ($13.93 / 94.5%) $ 14.74
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $ 13.84
========
* Non-income producing security.
(1) Class B has a contingent deferred sales charge.
ADR -- American Depository Receipt
MTN -- Medium Term Note
The accompanying notes are an integral part of the financial statements.
International Equity Fund
- --------------------------------------------------------------------------------
Foreign Common Stocks--91.0%
Belgium--1.2%
Barco N.V. 850 240
--------
Denmark--0.5%
Bang & Olufsen Holding, Series B 1,700 104
--------
Finland--0.8%
Nokia ADR, Series A 1,250 151
--------
France--11.1%
Axa 3,000 434
BIC 1,800 100
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
CGIP 4,000 $ 220
Dassault Systemes 5,000 235
L'Oreal 300 217
Louis Vuitton Moet Hennessy 1,000 198
Scor 5,000 330
Societe Generale, Series A 1,660 268
Total, Series B 2,049 207
--------
2,209
--------
Germany--5.2%
Allianz - Registered 700 256
Axa Colonia Konzern 1,000 113
Bayerische Motoren Werke 200 155
Mannesmann - Registered 2,234 256
Muenchener Rueckversicherungs -
Registered 500 242
--------
1,022
--------
Hong Kong--1.2%
HSBC Holdings 6,900 174
Sun Hung Kai Properties 9,161 67
--------
241
--------
Ireland--5.2%
Allied Irish Banks 12,000 215
Allied Irish Banks (GBP) 10,972 195
Bank of Ireland 8,000 178
CRH 6,000 104
Elan Group ADR* 4,000 278
Greencore Group 15,000 68
--------
1,038
--------
Japan--17.5%
Bank of Tokyo-Mitsubishi 8,000 83
Bridgestone 14,000 318
Credit Saison 12,000 296
Fuji Photo Film 7,000 260
Hoya 4,000 195
Ito-Yokado 4,000 280
Murata Manufacturing 3,000 125
Nintendo 3,000 291
NTT Data 14 70
Rohm 4,000 364
Sony 2,100 153
Takeda Chemical Industries 15,000 578
Tokyo Broadcasting System 10,000 112
Tokyo Electron 5,000 190
Yasuda Fire & Marine Insurance 30,000 144
--------
3,459
--------
- --------------------------------------------------------------------------------
49
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
International Equity Fund (continued)
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Malaysia--0.1% (2)
Genting 2,000 $ 4
Telekom Malaysia 3,000 8
YTL 5,000 7
--------
19
--------
Netherlands--10.0%
Aegon ARS 7,000 856
ASM Lithography Holding* 5,000 153
Getronics 2,500 124
Heineken 3,000 180
ING Groep 3,751 228
Philips Electronics 2,800 188
Vedior - CVA 5,000 98
Vendex 6,033 146
--------
1,973
--------
Portugal--0.5%
Telecel-Comunicacoes Pessoais 500 102
--------
Singapore--1.4%
Jardine Strategic Holdings 75,000 109
Singapore Press Holdings 16,000 174
--------
283
--------
Spain--0.8%
Banco Popular Espanol 2,000 151
--------
Sweden--6.0%
ABB, Series B 20,000 212
Assa Abloy, Series B 8,000 305
Astra, Series B 10,000 203
Bure Investment Aktiebolaget 7,000 99
Hennes & Mauritz, Series B 3,500 285
OM Gruppen 7,000 88
--------
1,192
--------
Switzerland--12.2%
Credit Suisse Group - Registered 2,500 391
Nestle - Registered 156 340
Novartis - Registered 50 98
Pharma Vision 2000 - Bearer* 200 141
Roche Holdings - Bearer 10 181
Roche Holding - Genusscheine 60 732
Swiss Reinsurance - Registered 145 378
Zurich Allied 200 148
--------
2,409
--------
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Thailand--0.0%
Siam Commercial Warrants* 300 $ --
--------
United Kingdom--17.3%
BP Amoco ADR 2,256 202
Capita Group 15,000 138
CGU 14,000 219
Compass Group 42,000 481
Dixons Group 18,000 253
Hays 20,000 175
Lloyds TSB Group 15,000 213
Misys 33,000 240
Provident Financial 10,000 147
Rentokil Initial 70,000 527
Schroders 4,000 73
Siebe 35,000 138
Vodafone Group 14,000 227
WPP Group 28,000 170
Zeneca Group 5,000 217
--------
3,420
--------
Total Foreign Common Stocks
(Cost $15,751) 18,013
--------
Foreign Preferred Stocks--2.2%
Brazil--0.0%
CIA Vale do Rio Doce* 2,000 --
--------
Germany--2.2%
SAP 900 429
--------
Total Foreign Preferred Stocks
(Cost $523) 429
--------
Cash Equivalent--6.8%
UBOC Money Market Demand
Deposit 1,353 1,353
--------
Total Cash Equivalent
(Cost $1,353) 1,353
--------
Total Investments--100.0%
(Cost $17,627) 19,795
--------
Other Assets and Liabilities, Net--0.0% 5
--------
- --------------------------------------------------------------------------------
50
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
- --------------------------------------------------------------------------------
Market
Description Value (000)
- --------------------------------------------------------------------------------
Net Assets:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 1,683,087 outstanding shares
of beneficial interest $ 17,457
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 51,480 outstanding shares
of beneficial interest 502
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 28,114 outstanding shares
of beneficial interest 316
Undistributed net investment income 1
Accumulated net realized loss
on investments (646)
Net unrealized appreciation on investments 2,168
Net unrealized appreciation on foreign
currency and translation of other assets
and liabilities in foreign currency investments 2
--------
Total Net Assets--100.0% $ 19,800
========
- --------------------------------------------------------------------------------
Description Value
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $ 11.24
========
Net Asset Value and Redemption Price
Per Share -- Class A $ 11.20
========
Maximum Public Offering Price
Per Share -- Class A ($11.20 divided by 94.5%) $ 11.85
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $ 11.08
========
(1) Class B has a contingent deferred sales charge.
(2) The repatriation of proceeds received from the sale of these securities are
subject to a levy depending upon the length of time the position has been
held. This levy is applicable to securities purchased before February 15,
1999. The levy ranges from 30% to 0% and is based on the date the proceeds
are repatriated. As a result, these securities are being treated as illiquid
until September 1, 1999, when the levy is no longer in effect.
* Non-income producing security
ADR -- American Depository Receipts
ARS -- American Registered Shares
GBP -- Traded in Great British Pounds
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
51
<PAGE>
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities (000)
as of December 31, 1998
------------
Equity Index
Fund
------------
Assets:
Investments at value (cost $5,413) $5,823
Capital shares sold 605
Other assets 26
------
Total assets 6,454
------
Liabilities:
Capital shares redeemed 24
Accrued expenses payable 31
Other liabilities 11
------
Total liabilities 66
------
Total net assets 6,388
------
Net Assets:
Portfolio Shares of Class I (unlimited
authorization -- no par value)
based on 58,218 outstanding shares
of beneficial interest 656
Portfolio Shares of Class A (unlimited
authorization -- no par value)
based on 40,432 outstanding shares
of beneficial interest 456
Portfolio Shares of Class B (unlimited
authorization -- no par value)
based on 435,992 outstanding shares
of beneficial interest 4,844
Overdistributed net investment income (2)
Accumulated net realized gain on investments 24
Net unrealized appreciation on investments 410
------
Total Net Assets -- 100.0% $6,388
------
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $12.01
------
Net Asset Value and Redemption Price
Per Share -- Class A $11.93
------
Maximum Public Offering Price Per Share --
Class A ($11.93 divided by 94.5%) $12.62
------
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $11.94
======
(1) Class B has a contingent deferred sales charge.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
52
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
Statement of Operations (000)
For the year ended December 31, 1998
<TABLE>
<CAPTION>
------------------------------------------------------------------------
U.S. Treasury Prime U.S. Treasury Institutional
Securities Obligation Tax-Exempt Securities Select
Money Money Money Plus Money Money
Market Market Market Market Market
Fund Fund Fund Fund Fund
------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Interest income: $32,501 $30,159 $3,280 $3,481 $6,322
------------------------------------------------------------------------
Expenses:
Investment advisory fee 2,185 1,910 322 100 114
Less: Investment advisory fee waived -- -- (40) (97) (27)
Administration fee 1,247 1,091 184 232 115
Custody fee 156 136 23 17 29
Transfer agency fee 88 108 42 57 30
Professional fees 69 55 17 14 22
Registration fees 63 45 29 5 26
Distribution fees (1) 94 390 22 20 --
Less: Distribution fee waived -- (144) -- -- --
Printing expense 95 69 16 13 21
Insurance and other expenses 50 22 5 4 13
------------------------------------------------------------------------
Total expenses, net 4,047 3,682 620 365 343
------------------------------------------------------------------------
Net investment income 28,454 26,477 2,660 3,116 5,979
Net realized gain (loss)
on investments 16 -- 6 1 (4)
------------------------------------------------------------------------
Net increase in net assets resulting
from operations $28,470 $26,477 $2,666 $3,117 $5,975
========================================================================
</TABLE>
(1) Distribution fees are incurred at the Class A, Class B and Class S levels
except for the U.S. Treasury Securities Plus Money Market Fund which incurs
distribution fees at the Class I level.
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
53
<PAGE>
- --------------------------------------------------------------------------------
Statement of Operations (000)
For the year ended December 31, 1998
<TABLE>
<CAPTION>
------------------------------------------------------------------
Intermediate-
High New Jersey Term Pennsylvania
Fixed Yield Municipal Government Municipal
Income Bond Securities Securities Securities
Fund Fund (2) Fund Fund Fund
------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment income:
Dividend income $ -- $ -- $ -- $ -- $ --
Interest income 13,778 40 7,532 2,141 2,040
Less: Foreign taxes withheld -- -- -- -- --
------------------------------------------------------------------
Total income 13,778 40 7,532 2,141 2,040
------------------------------------------------------------------
Expenses:
Investment advisory fee 1,304 3 870 206 241
Less: Investment advisory fee waived (237) (3) (171) (59) (64)
Less: Reimbursement from Advisor -- (12) -- -- --
Administration fee 435 1 290 69 80
Less: Administration fee waiver -- (1) -- -- --
Custody fee 54 -- 36 9 10
Transfer agency fee 85 9 60 34 32
Professional fees 32 -- 24 6 8
Registration fees 11 1 7 2 3
Distribution fees (1) 37 4 45 3 1
Printing expense 38 -- 25 6 7
Amortization of deferred
organizational costs -- 7 -- -- --
Insurance and other expenses 15 -- 18 2 5
------------------------------------------------------------------
Total expenses, net of waivers 1,774 9 1,204 278 323
------------------------------------------------------------------
Net investment income (loss) 12,004 31 6,328 1,863 1,717
Net realized gain (loss)
on investments 1,421 10 691 75 781
Net realized loss on foreign currency
transactions and foreign
currency contracts -- -- -- -- --
Net change in unrealized appreciation
on foreign currency and translation
of other assets and liabilities
denominated in foreign currency -- -- -- -- --
Net change in unrealized appreciation
(deprecation) on investments 2,946 (3) (217) 286 (632)
------------------------------------------------------------------
Net increase in net assets resulting
from operations $16,371 $ 38 $6,802 $2,224 $1,866
==================================================================
</TABLE>
(1) All distribution fees are incurred at the Class A and Class B levels.
(2) The High Yield Bond Fund commenced operations on September 11, 1998.
(3) The Equity Index Fund commenced operations on September 3, 1998.
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
54
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
- --------------------------------------------------------------------------------
Equity Equity Equity Equity International
Growth Value Income Index Mid Cap Balanced Equity
Fund Fund Fund Fund (3) Fund Fund Fund
- --------------------------------------------------------------------------------
$ 1,071 $ 3,678 $ 3,124 $ -- $ 49 $ 424 $ 238
141 337 596 2 18 1,028 87
-- -- -- -- -- -- (22)
- --------------------------------------------------------------------------------
1,212 4,015 3,720 2 67 1,452 303
- --------------------------------------------------------------------------------
1,398 1,851 976 5 160 382 158
(494) (667) (398) (5) (90) (192) (35)
-- -- -- (16) -- -- --
373 494 260 1 43 102 32
-- -- -- (1) -- -- --
47 62 33 -- 5 13 27
72 121 110 11 39 77 48
38 38 22 -- 5 9 (1)
5 6 7 2 2 5 (1)
29 168 198 6 8 145 4
35 44 23 -- 4 9 1
-- -- -- 8 -- -- 3
18 16 9 -- 2 3 5
- --------------------------------------------------------------------------------
1,521 2,133 1,240 11 178 553 241
- --------------------------------------------------------------------------------
(309) 1,882 2,480 (9) (111) 899 62
(5,880) 5,983 3,428 35 14,564 115 (120)
-- -- -- -- -- -- (74)
-- -- -- -- -- -- 2
58,491 51,377 5,961 410 (11,839) 7,599 1,939
- --------------------------------------------------------------------------------
$52,302 $59,242 $11,869 $436 $ 2,614 $8,613 $1,809
================================================================================
- --------------------------------------------------------------------------------
55
<PAGE>
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets (000)
<TABLE>
<CAPTION>
For the years ended December 31 ------------------------------------------------------------------
Money Market Funds U.S. Treasury Prime Obligation
Securities Money Market
Money Market Fund Fund
------------------------------------------------------------------
1998 1997 1998 1997
------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment activities:
Net investment income $ 28,454 $ 21,893 $ 26,477 $ 21,711
Net realized gain (loss) on investments 16 114 -- --
-------------------------------------------------------------------
Net increase in net assets resulting
from operations 28,470 22,007 26,477 21,711
-------------------------------------------------------------------
Distributions to shareholders:
Net investment income:
Class I (26,771) (21,651) (23,045) (20,773)
Class A (1,683) (242) (824) (693)
Class B -- -- (2) --
Class S -- -- (2,606) (245)
Realized capital gains:
Class I -- -- -- --
Class A -- -- -- --
Class B -- -- -- --
Class S -- -- -- --
-------------------------------------------------------------------
Total distributions (28,454) (21,893) (26,477) (21,711)
-------------------------------------------------------------------
Share transactions (all at $1.00 per share):
Class I:
Shares issued 2,999,005 1,263,191 1,084,578 796,652
Shares issued in lieu of
cash distributions 223 271 4,417 3,999
Shares redeemed (2,683,531) (1,281,107) (889,840) (801,385)
--------------------------------------------------------------------
Net Class I share transactions 315,697 (17,645) 199,155 (734)
--------------------------------------------------------------------
Class A:
Shares issued 136,282 24,231 54,056 44,915
Shares issued in lieu of cash distributions 100 129 755 682
Shares redeemed (80,466) (15,373) (68,159) (39,430)
--------------------------------------------------------------------
Net Class A share transactions 55,916 8,987 (13,348) 6,167
--------------------------------------------------------------------
Class B:
Shares issued -- -- 228 10
Shares issued in lieu of cash distributions -- -- 2 --
Shares redeemed -- -- (94) --
--------------------------------------------------------------------
Net Class B share transactions -- -- 136 10
--------------------------------------------------------------------
Class S:
Shares issued -- -- 164,522 39,261
Shares issued in lieu of cash distributions -- -- -- --
Shares redeemed -- -- (95,064) (8,741)
--------------------------------------------------------------------
Net Class S share transactions -- -- 69,458 30,520
--------------------------------------------------------------------
Increase/(decrease) in net assets from
share transactions 371,613 (8,658) 255,401 35,963
--------------------------------------------------------------------
Total increase/(decrease) in net assets 371,629 (8,544) 255,401 35,963
--------------------------------------------------------------------
Net Assets:
Beginning of period 499,688 508,232 448,733 412,770
--------------------------------------------------------------------
Net Assets:
End of period $ 871,317 $ 499,688 $ 704,134 $ 448,733
====================================================================
</TABLE>
(1) The Institutional Select Money Market Fund commenced operations on July 1,
1997.
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
56
<PAGE>
- -------------------------------------------------------------------------------
[LOGO]
December 31, 1998
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
Tax-Exempt U.S. Treasury Institutional
Money Market Securities Plus Select Money
Fund Money Market Fund Market Fund(1)
- ------------------------------------------------------------------------------------------------------------
1998 1997 1998 1997 1998 1997
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 2,660 $ 2,280 $ 3,116 $ 3,642 $ 5,979 $ 1,010
6 (1) 1 1 (4) 1
--------------------------------------------------------------------------------------------------------
2,666 2,279 3,117 3,643 5,975 1,011
--------------------------------------------------------------------------------------------------------
(2,422) (2,132) (3,116) (3,642) (5,979) (1,010)
(239) (148) -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
---------------------------------------------------------------------------------------------------------
(2,660) (2,280) (3,116) (3,642) (5,979) (1,010)
---------------------------------------------------------------------------------------------------------
196,199 126,993 417,987 502,154 422,961 78,541
470 508 2,657 3,189 (74) 74
(125,880) (119,483) (426,081) (501,859) (354,314) (17,094)
---------------------------------------------------------------------------------------------------------
70,789 8,018 (5,437) 3,484 68,573 61,521
---------------------------------------------------------------------------------------------------------
32,559 12,367 -- -- -- --
75 110 -- -- -- --
(24,798) (7,822) -- -- -- --
----------------------------------------------------------------------------------------------------------
7,836 4,655 -- -- -- --
----------------------------------------------------------------------------------------------------------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
----------------------------------------------------------------------------------------------------------
-- -- -- -- -- --
----------------------------------------------------------------------------------------------------------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
----------------------------------------------------------------------------------------------------------
-- -- -- -- -- --
----------------------------------------------------------------------------------------------------------
78,625 12,673 (5,437) 3,484 68,573 61,521
----------------------------------------------------------------------------------------------------------
78,631 12,672 (5,436) 3,485 68,569 61,522
----------------------------------------------------------------------------------------------------------
83,606 70,934 68,658 65,173 61,522 --
----------------------------------------------------------------------------------------------------------
$ 162,237 $ 83,606 $ 63,222 $ 68,658 $130,091 $ 61,522
==========================================================================================================
</TABLE>
- --------------------------------------------------------------------------------
57
<PAGE>
- -------------------------------------------------------------------------------
Statements of Changes in Net Assets (000)
For the years ended December 31
<TABLE>
<CAPTION>
--------------------------------
Fixed Income Funds Fixed
Income
Fund
--------------------------------
1998 1997
--------------------------------
<S> <C> <C>
Investment activities:
Net investment income $ 12,004 $ 14,044
Net realized gain (loss) on investments 1,421 (81)
Net change in unrealized appreciation (depreciation) on investments 2,946 3,905
--------------------------------
Net increase in net assets resulting from operations 16,371 17,868
--------------------------------
Distributions to shareholders:
Net investment income:
Class I (11,648) (13,798)
Class A (243) (241)
Class B (112) (6)
Realized capital gains:
Class I (1,182) --
Class A (24) --
Class B (33) --
---------------------------------
Total distributions (13,242) (14,045)
---------------------------------
Share transactions:
Class I:
Proceeds from shares issued 42,501 34,904
Shares issued in connection with acquisition of common trust fund assets -- 173,842
Reinvestment of cash distributions 4,592 6,576
Cost of shares redeemed (42,531) (112,404)
---------------------------------
Net Class I share transactions 4,562 102,918
---------------------------------
Class A:
Proceeds from shares issued 2,856 1,038
Reinvestment of cash distributions 218 197
Cost of shares redeemed (3,361) (1,594)
---------------------------------
Net Class A share transactions (287) (359)
---------------------------------
Class B:
Proceeds from shares issued 6,617 1,581
Reinvestment of cash distributions 122 4
Cost of shares redeemed (1,164) (322)
---------------------------------
Net Class B share transactions 5,575 1,263
---------------------------------
Increase (decrease) in net assets from share transactions 9,850 103,822
---------------------------------
Total increase (decrease) in net assets 12,979 107,645
---------------------------------
Net Assets:
Beginning of period 212,604 104,959
---------------------------------
Net Assets:
End of period $225,583 $212,604
=================================
Shares issued and redeemed:
Class I shares:
Issued 4,064 3,278
Shares issued in connection with acquisition of common trust fund assets 17,057
Issued in lieu of cash distributions 437 644
Redeemed (4,064) (10,860)
---------------------------------
Net Class I share transactions 437 10,119
---------------------------------
Class A shares:
Issued 273 101
Issued in lieu of cash distributions 20 20
Redeemed (322) (157)
---------------------------------
Net Class A share transactions (29) (36)
---------------------------------
Class B shares:
Issued 625 153
Issued in lieu of cash distributions 12 --
Redeemed (111) (31)
---------------------------------
Net Class B share transactions 526 122
---------------------------------
Net increase (decrease) in shares 934 10,205
=================================
</TABLE>
(1) The High Yield Bond Fund commenced operations on September 11, 1998.
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- -------------------------------------------------------------------------------
58
<PAGE>
- -------------------------------------------------------------------------------
[LOGO]
December 31, 1998
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------
High-Yield New Jersey Intermediate- Pennsylvania
Bond Municipal Term Government Municipal
Fund(1) Securities Fund Securities Fund Securities Fund
- ------------------------------------------------------------------------------------------------------------------
1998 1998 1997 1998 1997 1998 1997
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$ 31 $ 6,328 $ 6,370 $ 1,863 $ 1,979 $ 1,717 $ 1,710
10 691 147 75 (150) 781 150
(3) (217) 2,621 286 485 (632) 929
---------------------------------------------------------------------------------------------------------------
38 6,802 9,138 2,224 2,314 1,866 2,789
---------------------------------------------------------------------------------------------------------------
(4) (5,568) (5,607) (1,791) (1,876) (1,700) (1,695)
(1) (760) (762) (71) (104) (18) (15)
(25) -- -- -- -- -- --
(1) (357) -- -- -- (725) (77)
-- (49) -- -- -- (8) (1)
(5) -- -- -- -- -- --
----------------------------------------------------------------------------------------------------------------
(36) (6,734) (6,369) (1,862) (1,980) (2,451) (1,788)
----------------------------------------------------------------------------------------------------------------
493 17,442 25,303 8,472 4,041 4,440 8,097
-- -- 108,448 -- 13,328 -- 37,351
2 885 757 788 845 279 57
-- (29,587) (26,652) (9,907) (11,473) (8,615) (8,028)
-----------------------------------------------------------------------------------------------------------------
495 (11,260) 107,856 (647) 6,741 (3,896) 37,477
-----------------------------------------------------------------------------------------------------------------
102 2,299 2,828 595 1 111 123
1 684 666 65 88 23 13
(1) (4,922) (5,402) (817) (1,285) (100) (85)
-----------------------------------------------------------------------------------------------------------------
102 (1,939) (1,908) (157) (1,196) 34 51
-----------------------------------------------------------------------------------------------------------------
2,346 -- -- -- -- -- --
19 -- -- -- -- -- --
(83) -- -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------
2,282 -- -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------
2,879 (13,199) 105,948 (804) 5,545 (3,862) 37,528
-----------------------------------------------------------------------------------------------------------------
2,881 (13,131) 108,717 (442) 5,879 (4,447) 38,529
-----------------------------------------------------------------------------------------------------------------
-- 149,653 40,936 33,136 27,257 42,538 4,009
-----------------------------------------------------------------------------------------------------------------
$ 2,881 136,522 $149,653 $32,694 $33,136 $38,091 $42,538
=================================================================================================================
49 1,601 2,148 823 397 427 787
-- -- 10,125 -- 1,311 -- 3,676
-- 81 70 76 83 27 5
-- (2,712) (2,273) (959) (1,129) (831) (781)
-----------------------------------------------------------------------------------------------------------------
49 (1,030) 10,070 (60) 662 (377) 3,687
-----------------------------------------------------------------------------------------------------------------
10 211 262 58 -- 11 12
-- 63 62 6 9 2 1
-- (452) (503) (79) (127) (10) (8)
-----------------------------------------------------------------------------------------------------------------
10 (178) (179) (15) (118) 3 5
-----------------------------------------------------------------------------------------------------------------
236 -- -- -- -- -- --
2 -- -- -- -- -- --
(8) -- -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------
230 -- -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------
289 (1,208) 9,891 (75) 544 (374) 3,692
=================================================================================================================
</TABLE>
- -------------------------------------------------------------------------------
59
<PAGE>
- --------------------------------------------------------------------------------
Statement of Changes in Net Assets (000)
For the years ended December 31
<TABLE>
<CAPTION>
-----------------------------------------------------------------
Equity Funds Equity Growth Equity Value Equity Income
Fund(1) Fund Fund
-----------------------------------------------------------------
1998 1997 1998 1997 1998 1997
-----------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Investment activities:
Net investment income (loss) $ (309) $ 128 $ 1,882 $ 2,903 $ 2,480 $ 2,900
Net realized gain (loss) on investments (5,880) 36,440 5,983 57,613 3,428 27,335
Net realized loss on foreign currency
transactions -- -- -- -- -- --
Net change in unrealized appreciation
(depreciation) on foreign currency and
translation of other assets and
liabilities denominated in foreign
currency -- -- -- -- -- --
Net change in unrealized appreciation
(depreciation) on investments 58,491 (14,365) 51,377 (10,507) 5,961 (3,525)
-----------------------------------------------------------------
Net increase in net assets resulting
from operations 52,302 22,203 59,242 50,009 11,869 26,710
-----------------------------------------------------------------
Distributions to shareholders:
Net investment income:
Class I -- (234) (1,791) (2,778) (1,962) (2,560)
Class A -- -- (95) (119) (325) (294)
Class B -- -- (5) (8) (191) (47)
Realized capital gains:
Class I (7,614) (31,061) (5,584) (53,922) (2,645) (24,107)
Class A (133) (51) (428) (3,066) (503) (3,179)
Class B (167) (47) (438) (1,012) (519) (1,264)
-----------------------------------------------------------------
Total distributions (7,914) (31,393) (8,341) (60,905) (6,145) (31,451)
-----------------------------------------------------------------
Share transactions:
Class I:
Proceeds from shares issued 11,609 12,703 23,837 30,001 18,945 34,867
Shares issued in connection with
acquisition of common trust fund assets -- 221,033 -- 84,527 -- 34,921
Reinvestment of cash distributions 7,609 31,109 6,431 55,164 3,110 24,716
Cost of shares redeemed (40,561) (77,949) (75,466) (33,977) (63,806) (17,108)
-----------------------------------------------------------------
Net Class I share transactions (21,343) 186,896 (45,198) 135,715 (41,751) 77,396
-----------------------------------------------------------------
Class A:
Proceeds from shares issued 3,882 882 5,275 3,622 3,931 3,142
Reinvestment of cash distributions 110 52 516 3,156 819 3,438
Cost of shares redeemed (1,198) (451) (4,613) (2,347) (4,160) (2,060)
-----------------------------------------------------------------
Net Class A share transactions 2,794 483 1,178 4,431 590 4,520
-----------------------------------------------------------------
Class B:
Proceeds from shares issued 5,404 356 13,477 5,303 12,484 7,936
Reinvestment of cash distributions 166 46 445 1,019 704 1,301
Cost of shares redeemed (329) (1) (1,887) (411) (2,586) (375)
-----------------------------------------------------------------
Net Class B share transactions 5,241 401 12,035 5,911 10,602 8,862
-----------------------------------------------------------------
Increase (decrease) in net assets from
share transactions (13,309) 187,780 (31,985) 146,057 (30,559) 90,778
-----------------------------------------------------------------
Total increase (decrease) in net assets 31,079 178,590 18,916 135,161 (24,835) 86,037
-----------------------------------------------------------------
Net Assets:
Beginning of period 178,590 -- 261,876 126,715 156,516 70,479
-----------------------------------------------------------------
Net Assets:
End of period $209,670 $178,590 $280,792 $261,876 $131,681 $156,516
=================================================================
Shares issued and redeemed:
Class I shares:
Issued 1,098 1,139 1,644 2,011 1,367 2,405
Shares issued in connection with
acquisition of common trust fund assets -- 22,103 -- 6,015 -- 2,525
Issued in lieu of cash distributions 804 3,464 434 4,300 233 1,867
Redeemed (3,931) (7,458) (5,667) (2,230) (4,840) (1,147)
-----------------------------------------------------------------
Net Class I share transactions (2,029) 19,248 (3,589) 10,096 (3,240) 5,650
-----------------------------------------------------------------
Class A shares:
Issued 369 80 369 241 277 211
Issued in lieu of cash distributions 12 6 35 246 61 258
Redeemed (112) (39) (318) (156) (304) (139)
-----------------------------------------------------------------
Net Class A share transactions 269 47 86 331 34 330
-----------------------------------------------------------------
Class B shares:
Issued 507 34 942 340 896 522
Issued in lieu of cash distributions 17 5 30 80 53 99
Redeemed (32) -- (131) (26) (190) (24)
-----------------------------------------------------------------
Net Class B share transactions 492 39 841 394 759 597
-----------------------------------------------------------------
Net increase (decrease) in shares (1,268) 19,334 (2,662) 10,821 (2,447) 6,577
=================================================================
</TABLE>
(1) The Equity Growth Fund commenced operations on February 3, 1997.
(2) The Equity Index Fund commenced operations on September 3, 1998.
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
60
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
<TABLE>
<CAPTION>
----------------------------------------------------------------------------
Equity Index Mid Cap Balanced International Equity
Fund(2) Fund Fund Fund
----------------------------------------------------------------------------
1998(2) 1998 1997 1998 1997 1998 1997
----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Investment activities:
Net investment income (loss) $ (9) $ (111) $ 145 $ 899 $ 856 $ 62 $ 115
Net realized gain (loss) on investments 35 14,564 4,565 115 3,464 (120) 468
Net realized loss on foreign currency
transactions -- -- -- -- -- (74) (18)
Net change in unrealized appreciation
(depreciation) on foreign currency and
translation of other assets and
liabilities denominated in foreign
currency -- -- -- -- -- 2 (1)
Net change in unrealized appreciation
(depreciation) on investments 410 (11,839) 5,170 7,599 1,572 1,939 (551)
----------------------------------------------------------------------------
Net increase in net assets resulting
from operations 436 2,614 9,880 8,613 5,892 1,809 13
----------------------------------------------------------------------------
Distributions to shareholders:
Net investment income:
Class I -- -- (145) (565) (600) (23) (109)
Class A -- -- (7) (179) (227) (1) (3)
Class B (1) -- -- (155) (27) (1) --
Realized capital gains:
Class I -- (3,584) (3,654) (108) (2,362) (16) (1,120)
Class A -- (343) (392) (40) (954) (1) (51)
Class B (2) -- -- (67) (364) (1) (7)
----------------------------------------------------------------------------
Total distributions (3) (3,927) (4,198) (1,114) (4,534) (43) (1,290)
----------------------------------------------------------------------------
Share transactions:
Class I:
Proceeds from shares issued 795 15,400 2,701 9,131 5,476 7,500 2,630
Shares issued in connection with
acquisition of common trust fund assets -- -- -- -- -- -- --
Reinvestment of cash distributions -- 3,478 3,686 547 2,647 23 813
Cost of shares redeemed (140) (53,151) (10,946) (8,480) (4,106) (4,450) (2,910)
----------------------------------------------------------------------------
Net Class I share transactions 655 (34,262) (4,559) 1,198 4,017 3,073 533
----------------------------------------------------------------------------
Class A:
Proceeds from shares issued 457 80 245 1,467 1,031 131 102
Reinvestment of cash distributions -- 320 397 214 1,155 1 54
Cost of shares redeemed (1) (5,068) (1,895) (1,792) (1,915) (278) (231)
----------------------------------------------------------------------------
Net Class A share transactions 456 (4,668) (1,253) (111) 271 (146) (75)
----------------------------------------------------------------------------
Class B:
Proceeds from shares issued 4,956 -- -- 17,251 4,572 214 167
Reinvestment of cash distributions 3 -- -- 217 390 1 7
Cost of shares redeemed (115) -- -- (1,106) (236) (34) (39)
----------------------------------------------------------------------------
Net Class B share transactions 4,844 -- -- 16,362 4,726 181 135
----------------------------------------------------------------------------
Increase (decrease) in net assets from
share transactions 5,955 (38,930) (5,812) 17,449 9,014 3,108 593
----------------------------------------------------------------------------
Total increase (decrease) in net assets 6,388 (40,243) (130) 24,948 10,372 4,874 (684)
----------------------------------------------------------------------------
Net Assets:
Beginning of period -- 51,272 51,402 38,710 28,338 14,926 15,610
----------------------------------------------------------------------------
Net Assets:
End of period $6,388 $11,029 $51,272 $63,658 $38,710 $19,800 $14,926
============================================================================
Shares issued and redeemed:
Class I shares:
Issued 72 1,247 185 712 447 719 224
Shares issued in connection with
acquisition of common trust fund assets -- -- -- -- -- -- --
Issued in lieu of cash distributions -- 348 252 42 229 2 77
Redeemed (14) (3,681) (738) (663) (327) (406) (253)
----------------------------------------------------------------------------
Net Class I share transactions 58 (2,086) (301) 91 340 315 48
----------------------------------------------------------------------------
Class A shares:
Issued 41 5 18 113 84 12 9
Issued in lieu of cash distributions -- 31 27 17 95 -- 5
Redeemed -- (385) (135) (138) (153) (25) (20)
----------------------------------------------------------------------------
Net Class A share transactions 41 (349) (90) (8) 26 (13) (6)
----------------------------------------------------------------------------
Class B shares:
Issued 446 -- -- 1,347 357 20 14
Issued in lieu of cash distributions -- -- -- 17 33 -- 1
Redeemed (10) -- -- (87) (19) (3) (4)
----------------------------------------------------------------------------
Net Class B share transactions 436 -- -- 1,277 371 17 11
----------------------------------------------------------------------------
Net increase (decrease) in shares 535 (2,435) (391) 1,360 737 319 53
============================================================================
</TABLE>
- --------------------------------------------------------------------------------
61
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
For a Share Outstanding throughout the Year
<TABLE>
<CAPTION>
Ratio of Net
Ratio Ratio of Investment
of Net Expenses Income to
Net Asset Distributions Ratio of Investment to Average Average Net
Value Net from Net Net Asset Net Assets Expenses Income Net Assets Assets
Beginning Investment Investment Value End Total End of to Average to Average (Excluding (Excluding
of Period Income Income of Period Return Period (000) Net Assets Net Assets Waivers) Waivers)
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Securities Money Market Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS I
1998 $1.00 $0.05 $(0.05) $1.00 4.70% $802,990 0.63% 4.57% 0.63% 4.57%
1997 1.00 0.04 (0.04) 1.00 4.55 487,196 0.65 4.45 0.66 4.44
1996 1.00 0.04 (0.04) 1.00 4.53 504,729 0.65 4.44 0.65 4.44
1995 1.00 0.05 (0.05) 1.00 5.05 463,531 0.65 4.92 0.65 4.92
1994 1.00 0.03 (0.03) 1.00 3.44 465,125 0.62 3.39 0.62 3.39
CLASS A
1998 $1.00 $0.04 $(0.04) $1.00 4.43% $ 68,327 0.88% 4.28% 0.88% 4.28%
1997 1.00 0.04 (0.04) 1.00 4.28 12,492 0.90 4.22 0.90 4.22
1996 1.00 0.04 (0.04) 1.00 4.27 3,503 0.90 4.19 0.90 4.19
1995 1.00 0.05 (0.05) 1.00 4.80 3,532 0.90 4.66 0.90 4.66
1994 1.00 0.03 (0.03) 1.00 3.17 633 0.87 3.07 0.87 3.07
- ------------------------------------------------------------------------------------------------------------------------------------
Prime Obligation Money Market Fund
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS I
1998 $1.00 $0.05 $(0.05) $1.00 5.02% $599,844 0.63% 4.89% 0.63% 4.89%
1997 1.00 0.05 (0.05) 1.00 5.02 400,689 0.65 4.90 0.66 4.89
1996 1.00 0.05 (0.05) 1.00 4.83 401,423 0.65 4.73 0.67 4.71
1995 1.00 0.05 (0.05) 1.00 5.40 259,667 0.65 5.26 0.66 5.25
1994 1.00 0.04 (0.04) 1.00 3.67 157,378 0.62 3.68 0.62 3.68
CLASS A
1998 $1.00 $0.05 $(0.05) $1.00 4.76% $ 4,166 0.88% 4.70% 0.88% 4.70%
1997 1.00 0.05 (0.05) 1.00 4.75 17,514 0.90 4.67 0.91 4.66
1996 1.00 0.04 (0.04) 1.00 4.58 11,347 0.90 4.48 0.92 4.46
1995 1.00 0.05 (0.05) 1.00 5.14 6,925 0.90 5.01 0.91 5.00
1994 1.00 0.03 (0.03) 1.00 3.40 3,281 0.87 3.89 0.87 3.89
CLASS B
1998 $1.00 $0.04 $(0.04) $1.00 3.99% $ 146 1.63% 3.84% 1.63% 3.84%
1997(1) 1.00 -- -- 1.00 5.48* 10 1.65 8.53 3.01 7.17
CLASS S
1998 $1.00 $0.05 $(0.05) $1.00 4.66% $ 99,978 0.98% 4.52% 1.23% 4.27%
1997(2) 1.00 0.02 (0.02) 1.00 4.69* 30,520 1.00 4.67 1.02 4.65
- ------------------------------------------------------------------------------------------------------------------------------------
Tax-Exempt Money Market Fund
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS I
1998 $1.00 $0.03 $(0.03) $1.00 2.98% $145,891 0.65% 2.92% 0.69% 2.88%
1997 1.00 0.03 (0.03) 1.00 3.10 75,097 0.65 3.05 0.67 3.03
1996 1.00 0.03 (0.03) 1.00 2.94 67,082 0.65 2.90 0.68 2.87
1995 1.00 0.03 (0.03) 1.00 3.42 63,628 0.65 3.37 0.72 3.30
1994 1.00 0.02 (0.02) 1.00 2.27 37,745 0.65 2.27 0.68 2.24
CLASS A
1998 $1.00 $0.03 $(0.03) $1.00 2.72% $ 16,346 0.90% 2.69% 0.94% 2.65%
1997 1.00 0.03 (0.03) 1.00 2.84 8,509 0.90 2.82 0.92 2.80
1996 1.00 0.03 (0.03) 1.00 2.70 3,852 0.90 2.65 0.93 2.62
1995 1.00 0.03 (0.03) 1.00 3.17 5,238 0.90 3.14 0.96 3.08
1994 1.00 0.02 (0.02) 1.00 2.02 2,790 0.90 1.97 0.92 1.95
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
(1) Commenced operations on December 30, 1997. Ratios for this period have been
annualized.
(2) Commenced operations on August 18, 1997. Ratios for this period have been
annualized.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
62
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
<TABLE>
<CAPTION>
Realized and Net Ratio of Net
Net Asset Unrealized Distributions Assets Ratio of Investment
Value Net Gains or from Net Distributions Net Asset End of Expenses Income
Beginning Investment (Losses) on Investment from Capital Value End Total Period to Average to Average
of Period Income Securities Income Gains of Period Return(+) (000) Net Assets Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Securities Plus Money Market Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS I
1998 $1.00 $0.05 -- $(0.05) -- $1.00 4.78% $ 63,222 0.55% 4.69%
1997 1.00 0.05 -- (0.05) -- 1.00 4.89 68,658 0.55 4.78
1996 1.00 0.05 -- (0.05) -- 1.00 4.82 65,173 0.55 4.72
1995 1.00 0.05 -- (0.05) -- 1.00 5.40 64,697 0.55 5.26
1994 1.00 0.04 -- (0.04) -- 1.00 3.60 46,301 0.55 3.42
- ------------------------------------------------------------------------------------------------------------------------------------
Institutional Select Money Market Fund
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS I
1998 $1.00 $0.05 -- $(0.05) -- $1.00 5.35% $130,091 0.30% 5.22%
1997(1) 1.00 0.03 -- (0.03) -- 1.00 5.38 61,522 0.30 5.32
- ------------------------------------------------------------------------------------------------------------------------------------
Fixed Income Fund
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS I
1998 $10.38 $0.58 $ 0.21 $(0.58) $(0.06) $10.53 7.80% $214,456 0.80% 5.54%
1997 10.21 0.60 0.17 (0.60) -- 10.38 7.78 206,810 0.80 5.90
1996 10.49 0.57 (0.28) (0.57) -- 10.21 2.94 100,129 0.80 5.60
1995 9.44 0.59 1.05 (0.59) -- 10.49 17.76 113,509 0.80 5.83
1994 10.68 0.59 (1.18) (0.59) (0.06) 9.44 (5.66) 96,558 0.80 5.91
CLASS A
1998 $10.36 $0.55 $ 0.21 $(0.55) $(0.06) $10.51 7.54% $ 4,292 1.05% 5.31%
1997 10.20 0.57 0.16 (0.57) -- 10.36 7.41 4,526 1.05 5.60
1996 10.48 0.55 (0.28) (0.55) -- 10.20 2.68 4,830 1.05 5.35
1995 9.44 0.56 1.04 (0.56) -- 10.48 17.36 5,844 1.05 5.58
1994 10.68 0.56 (1.18) (0.56) (0.06) 9.44 (5.90) 5,525 1.05 5.65
CLASS B
1998 $10.39 $0.48 $ 0.22 $(0.48) $(0.06) $10.55 6.84% $ 6,835 1.80% 4.44%
1997(2) 10.11 0.31 0.28 (0.31) -- 10.39 9.41 1,268 1.80 5.02
- ------------------------------------------------------------------------------------------------------------------------------------
High Yield Bond Fund
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS I
1998(3) $ 9.99 $0.15 $ 0.05 $(0.18) $(0.02) $ 9.99 1.99% $ 493 1.25% 7.04%
CLASS A
1998(4) $10.00 $0.17 $ 0.01 $(0.18) $(0.02) $ 9.98 1.79% $ 103 1.50% 7.00%
CLASS B
1998(4) $10.00 $0.16 -- $(0.16) $(0.02) $ 9.98 1.63% $ 2,285 2.25% 6.88%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Ratio of Net
Ratio of Investment
Expenses Income to
to Average Average Net
Net Assets Assets
(Excluding (Excluding
Waivers Waivers Portfolio
and and Turnover
Reimbursements) Reimbursements) Rate
- -----------------------------------------------------
U.S. Treasury Securities Plus Money Market Fund
- -----------------------------------------------------
CLASS I
1998 0.70% 4.54% n/a
1997 0.65 4.68 n/a
1996 0.65 4.62 n/a
1995 0.62 5.19 n/a
1994 0.63 3.34 n/a
- -----------------------------------------------------
Institutional Select Money Market Fund
- -----------------------------------------------------
CLASS I
1998 0.32% 5.20% n/a
1997(1) 0.35 5.27 n/a
- -----------------------------------------------------
Fixed Income Fund
- -----------------------------------------------------
CLASS I
1998 0.91% 5.43% 58.30%
1997 0.91 5.79 80.34
1996 0.92 5.48 40.56
1995 0.91 5.72 35.49
1994 0.90 5.81 15.24
CLASS A
1998 1.16% 5.20% 58.30%
1997 1.16 5.49 80.34
1996 1.17 5.23 40.56
1995 1.16 5.47 35.49
1994 1.15 5.55 15.24
CLASS B
1998 1.91% 4.33% 58.30%
1997(2) 1.86 4.96 80.34
- -----------------------------------------------------
High Yield Bond Fund
- -----------------------------------------------------
CLASS I
1998(3) 4.79% 3.50% 1.47%*
CLASS A
1998(4) 5.04% 3.46% 1.47%*
CLASS B
1998(4) 5.79% 3.34% 1.47%*
- -----------------------------------------------------
* The portfolio turnover rate for the master fund, the SEI Institutional
Managed Trust High Yield Bond Portfolio, is 36.36% for the twelve month
period ending December 31, 1998.
(+) Total Return does not reflect sales loads on Class A and Class B shares.
(1) Commenced operations on July 1, 1997. Ratios for this period have been
annualized.
(2) Commenced operations on May 16, 1997. Ratios for this period have been
annualized.
(3) Commenced operations on September 22, 1998. Ratios for the period have been
annualized. Total return is for the period indicated and has not been
annualized.
(4) Commenced operations on September 11, 1998. Ratios for the period have been
annualized. Total return is for the period indicated and has not been
annualized.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
63
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
For a Share Outstanding throughout the Year
<TABLE>
<CAPTION>
Realized and
Net Asset Unrealized Distributions Distributions Ratio of
Value Net Gains or from Net from Net Net Asset Net Assets Experts
Beginning Investment (Losses) on Investment Capital Value End Total End of to Average
of Period Income Securities Income Gains of Period Return(+) Period (000) Net Assets
- ----------------------------------------------------------------------------------------------------------------------------
New Jersey Municipal Securities Fund
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS I
1998 $10.92 $ 0.48 $ 0.03 $(0.48) $(0.03) $10.92 4.79% $119,816 0.80%
1997 10.71 0.49 0.21 (0.49) -- 10.92 6.76 131,002 0.80
1996 10.79 0.44 (0.08) (0.44) -- 10.71 3.42 20,689 0.67
1995 9.93 0.47 0.86 (0.47) -- 10.79 13.57 28,080 0.41
1994 10.85 0.48 (0.92) (0.48) -- 9.93 (4.12) 19,977 0.27
CLASS A
1998 $10.89 $ 0.44 $ 0.03 $(0.45) $(0.03) $10.88 4.44% $ 16,706 1.05%
1997 10.70 0.49 0.17 (0.47) -- 10.89 6.31 18,651 1.05
1996 10.79 0.41 (0.09) (0.41) -- 10.70 3.08 20,247 0.92
1995 9.93 0.44 0.86 (0.44) -- 10.79 13.30 25,954 0.66
1994 10.85 0.45 (0.92) (0.45) -- 9.93 (4.35) 21,195 0.52
- ----------------------------------------------------------------------------------------------------------------------------
Intermediate-Term Government Securities Fund
- ----------------------------------------------------------------------------------------------------------------------------
CLASS I
1998 $10.27 $ 0.56 $ 0.10 $(0.56) -- $10.37 6.60% $ 31,441 0.80%
1997 10.16 0.58 0.11 (0.58) -- 10.27 6.96 31,739 0.80
1996 10.37 0.53 (0.21) (0.53) -- 10.16 3.26 24,679 0.80
1995 9.51 0.54 0.86 (0.54) -- 10.37 15.00 28,877 0.80
1994 10.53 0.51 (1.01) (0.51) $(0.01) 9.51 (4.85) 26,277 0.80
CLASS A
1998 $10.26 $ 0.54 $ 0.11 $(0.54) -- $10.37 6.47% $ 1,253 1.05%
1997 10.16 0.55 0.10 (0.55) -- 10.26 6.60 1,397 1.05
1996 10.37 0.52 (0.22) (0.51) -- 10.16 3.01 2,578 1.05
1995 9.51 0.51 0.86 (0.51) -- 10.37 14.71 3,665 1.05
1994 10.53 0.49 (1.01) (0.49) $(0.01) 9.51 (5.09) 2,372 1.05
- ----------------------------------------------------------------------------------------------------------------------------
Pennsylvania Municipal Securities Fund
- ----------------------------------------------------------------------------------------------------------------------------
CLASS I
1998 $10.41 $ 0.44 $ 0.05 $(0.44) $(0.20) $10.26 4.84% $ 37,658 0.80%
1997 10.17 0.45 0.26 (0.45) (0.02) 10.41 7.18 42,134 0.80
1996 10.23 0.44 (0.06) (0.44) -- 10.17 3.89 3,665 0.69
1995 9.55 0.40 0.68 (0.40) -- 10.23 11.53 3,345 0.80
1994 10.17 0.36 (0.62) (0.36) -- 9.55 (2.58) 2,734 0.80
CLASS A
1998 $10.38 $ 0.42 $ 0.05 $(0.42) $(0.20) $10.23 4.58% $ 433 1.05%
1997 10.17 0.43 0.23 (0.43) (0.02) 10.38 6.63 404 1.05
1996 10.22 0.42 (0.05) (0.42) -- 10.17 3.74 344 0.94
1995 9.55 0.38 0.67 (0.38) -- 10.22 11.15 269 1.05
1994 10.17 0.33 (0.62) (0.33) -- 9.55 (2.83) 336 1.05
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Ratio Ratio of Ratio of
of Net Expenses Net Investment
Investment to Average Income to
Income Net Assets Average Net Assets Portfolio
to Average (Excluding (Excluding Turnover
Net Assets Waivers) Waivers) Rate
- ------------------------------------------------------------------
New Jersey Municipal Securities Fund
- ------------------------------------------------------------------
CLASS I
1998 4.40% 0.92% 4.28% 17.55%
1997 4.68 0.94 4.54 22.85
1996 4.13 0.93 3.87 13.93
1995 4.43 0.93 3.91 2.83
1994 4.65 0.93 3.99 16.81
CLASS A
1998 4.15% 1.17% 4.03% 17.55%
1997 4.35 1.19 4.21 22.85
1996 3.88 1.18 3.62 13.93
1995 4.18 1.18 3.66 2.83
1994 4.40 1.18 3.74 16.81
- ------------------------------------------------------------------
Intermediate-Term Government Securities Fund
- ------------------------------------------------------------------
CLASS I
1998 5.43% 0.97% 5.26% 43.42%
1997 5.69 0.94 5.55 57.82
1996 5.26 0.87 5.19 40.60
1995 5.33 1.05 5.08 68.29
1994 5.13 0.95 4.98 40.27
CLASS A
1998 5.19% 1.22% 5.02% 43.42%
1997 5.40 1.19 5.26 57.82
1996 5.01 1.12 4.94 40.60
1995 5.08 1.30 4.83 68.29
1994 4.83 1.20 4.68 40.27
- ------------------------------------------------------------------
Pennsylvania Municipal Securities Fund
- ------------------------------------------------------------------
CLASS I
1998 4.28% 0.96% 4.12% 56.48%
1997 4.47 0.96 4.31 71.89
1996 4.42 1.49 3.62 25.88
1995 4.05 1.27 3.58 36.92
1994 3.67 1.61 2.86 38.20
CLASS A
1998 4.03% 1.21% 3.87% 56.48%
1997 4.18 1.21 4.02 71.89
1996 4.19 1.74 3.39 25.88
1995 3.80 1.55 3.30 36.92
1994 3.42 1.92 2.55 38.20
- ------------------------------------------------------------------
(+) Total Return does not reflect sales loads on Class A and Class B shares.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
64
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
<TABLE>
<CAPTION>
Realized and
Net Asset Unrealized Distributions Distributions Ratio of
Value Net Gains or from Net from Net Asset Net Assets Experts
Beginning Investment (Losses) on Investment Capital Value End Total End of to Average
of Period Income (Loss) Securities Income Gains of Period Return(+) Period (000) Net Assets
- ----------------------------------------------------------------------------------------------------------------------------
Equity Growth Fund
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS I
1998 $ 9.24 -- $ 2.83 -- $(0.46) $11.61 31.81% $199,975 0.80%
1997(1) 10.00 $ 0.01 1.22 $(0.01) (1.98) 9.24 14.17* 177,801 0.80
CLASS A
1998 $ 9.25 -- $ 2.73 $ -- $(0.46) $11.52 30.69% $ 3,634 1.05%
1997(1) 10.00 (0.01) 1.24 -- $(1.98) 9.25 14.13* 432 1.05
CLASS B
1998 $ 9.18 $(0.03) $ 2.72 $ -- $(0.46) $11.41 30.47% $ 6,061 1.80%
1997(2) 10.41 (0.02) 0.77 -- (1.98) 9.18 13.01* 357 1.80
- ----------------------------------------------------------------------------------------------------------------------------
Equity Value Fund
- ----------------------------------------------------------------------------------------------------------------------------
CLASS I
1998 $12.89 $ 0.14 $ 3.37 $(0.12) $(0.37) $15.91 27.58% $242,669 0.80%
1997 13.35 0.18 3.20 (0.18) (3.66) 12.89 25.71 242,881 0.80
1996 12.81 0.22 2.54 (0.22) (2.00) 13.35 21.69 116,715 0.80
1995 10.19 0.25 3.46 (0.25) (0.84) 12.81 36.71 82,677 0.80
1994 11.10 0.21 (0.83) (0.21) (0.08) 10.19 (5.61) 61,407 0.80
CLASS A
1998 $12.90 $ 0.11 $ 3.36 $(0.09) $(0.37) $15.91 27.18% $ 18,546 1.05%
1997 13.35 0.15 3.20 (0.14) (3.66) 12.90 25.51 13,923 1.05
1996 12.83 0.19 2.51 (0.18) (2.00) 13.35 21.15 10,000 1.05
1995 10.21 0.21 3.47 (0.22) (0.84) 12.83 36.35 7,644 1.05
1994 11.12 0.18 (0.83) (0.18) (0.08) 10.21 (5.83) 3,031 1.05
CLASS B
1998 $12.87 $ 0.03 $ 3.33 $(0.01) $(0.37) $15.85 26.33% $ 19,577 1.80%
1997(3) 14.81 0.04 1.73 (0.05) (3.66) 12.87 19.17* 5,072 1.80
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Ratio Ratio of
of Net Ratio of Net Investment
Investment Expenses Income (Loss)
Income to Average to Average
(Loss) Net Assets Net Assets Portfolio
to Average (Excluding (Excluding Turnover
Net Assets Waivers) Waivers) Rate
- ------------------------------------------------------------------
Equity Growth Fund
- ------------------------------------------------------------------
CLASS I
1998 (0.15)% 1.06% (0.41)% 88.28%
1997(1) 0.07 1.07 (0.20) 114.51
CLASS A
1998 (0.41)% 1.32% (0.68)% 88.28%
1997(1) (0.28) 1.32 (0.55) 114.51
CLASS B
1998 (1.16)% 2.08% (1.44)% 88.28%
1997(2) (1.08) 2.09 (1.37) 114.51
- ------------------------------------------------------------------
Equity Value Fund
- ------------------------------------------------------------------
CLASS I
1998 0.83% 1.07% 0.56% 19.69%
1997 1.26 1.06 1.00 80.24
1996 1.67 1.08 1.39 85.30
1995 2.08 1.07 1.81 61.88
1994 1.92 1.06 1.66 44.98
CLASS A
1998 0.58% 1.32% 0.31% 9.69%
1997 0.98 1.31 0.72 80.24
1996 1.42 1.33 1.14 85.30
1995 1.83 1.32 1.56 61.88
1994 1.67 1.31 1.41 44.98
CLASS B
1998 (0.18)% 2.07% (0.45)% 19.69%
1997(3) 0.09 2.07 (0.18) 80.24
- ------------------------------------------------------------------
* Annualized
(+) Total Return does not reflect sales loads on Class A and Class B shares.
(1) Commenced operations on February 3, 1997. Ratios for this period have been
annualized.
(2) Commenced operations on May 21, 1997. Ratios for this period have been
annualized.
(3) Commenced operations May 12, 1997. Ratios for this period have been
annualized.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
65
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
For a Share Outstanding throughout the Year
<TABLE>
<CAPTION>
Realized and
Net Asset Unrealized Distribution Distribution Net Assets Ratio of
Value Net Gains or from Net from Net Asset End of Expenses
Beginning Investment (Losses) on Investment Capital Value End Total Period to Average
of Period Income Securities Income Gains of Period Return(+) (000) Net Assets
- --------------------------------------------------------------------------------------------------------------------------
Equity Income Fund
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS I
1998 $13.19 $0.27 $ 1.19 $(0.28) $(0.39) $13.98 11.42% $ 94,615 0.80%
1997 13.32 0.32 2.95 (0.32) (3.08) 13.19 25.04 131,968 0.80
1996 13.07 0.33 2.35 (0.34) (2.09) 13.32 21.01 58,035 0.80
1995 10.26 0.31 3.29 (0.31) (0.48) 13.07 35.55 44,202 0.80
1994 11.17 0.32 (0.81) (0.32) (0.10) 10.26 (4.42) 34,514 0.80
CLASS A
1998 $13.22 $0.24 $ 1.19 $(0.25) $(0.39) $14.01 11.12% $ 18,159 1.05%
1997 13.35 0.29 2.94 (0.28) (3.08) 13.22 24.68 16,686 1.05
1996 13.08 0.31 2.34 (0.29) (2.09) 13.35 20.70 12,444 1.05
1995 10.27 0.28 3.29 (0.28) (0.48) 13.08 35.21 9,612 1.05
1994 11.17 0.29 (0.80) (0.29) (0.10) 10.27 (4.56) 5,657 1.05
CLASS B
1998 $13.17 $0.17 $ 1.15 $(0.16) $(0.39) $13.94 10.29% $ 18,907 1.80%
1997(1) 14.34 0.15 1.94 (0.18) (3.08) 13.17 22.87* 7,862 1.80
- --------------------------------------------------------------------------------------------------------------------------
Equity Index Fund
- --------------------------------------------------------------------------------------------------------------------------
CLASS I
1998(2) $10.00 $0.03 $ 2.01 $(0.02) $(0.01) $12.01 20.44% $ 699 0.80%
CLASS A
1998(3) $ 9.92 $0.02 $ 2.02 $(0.02) $(0.01) $11.93 20.59% $ 482 1.05%
CLASS B
1998(4) $ 9.96 $0.02 $ 1.99 $(0.02) $(0.01) $11.94 20.19% $ 5,207 1.80%
- --------------------------------------------------------------------------------------------------------------------------
Mid Cap Fund
- --------------------------------------------------------------------------------------------------------------------------
CLASS I
1998 $14.80 $0.01 $ 0.32 -- $(4.43) $10.70 7.77% $ 11,029 0.80%
1997 13.33 0.04 2.65 $(0.04) (1.18) 14.80 20.49 46,125 0.80
1996 12.55 0.09 1.59 (0.09) (0.81) 13.33 13.56 45,556 0.80
1995 10.83 0.15 1.95 (0.15) (0.23) 12.55 19.49 42,375 0.80
1994 12.32 0.12 (1.27) (0.12) (0.22) 10.83 (9.34) 33,448 0.80
- --------------------------------------------------------------------------------------------------------------------------
Balanced Fund
- --------------------------------------------------------------------------------------------------------------------------
CLASS I
1998 $12.00 $0.26 $ 1.95 $(0.25) $(0.05) $13.91 18.65% $ 29,495 0.80%
1997 11.39 0.32 1.88 (0.32) (1.27) 12.00 19.68 24,362 0.80
1996 12.05 0.48 1.16 (0.47) (1.83) 11.39 13.77 19,243 0.80
1995 9.91 0.44 2.27 (0.44) (0.13) 12.05 27.76 32,145 0.80
1994 10.78 0.37 (0.86) (0.38) -- 9.91 (4.61) 26,921 0.80
CLASS A
1998 $12.02 $0.23 $ 1.95 $(0.22) $(0.05) $13.93 18.33% $ 11,352 1.05%
1997 11.40 0.26 1.92 (0.29) (1.27) 12.02 19.46 9,901 1.05
1996 12.07 0.43 1.17 (0.44) (1.83) 11.40 13.39 9,095 1.05
1995 9.92 0.42 2.28 (0.42) (0.13) 12.07 27.53 8,452 1.05
1994 10.79 0.35 (0.87) (0.35) -- 9.92 (4.87) 6,737 1.05
CLASS B
1998 $11.97 $0.15 $ 1.92 $(0.15) $(0.05) $13.84 17.40% $ 22,811 1.80%
1997(1) 11.93 0.15 1.34 (0.18) (1.27) 11.97 19.45* 4,447 1.80
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
Ratio of Ratio of Net
Ratio of Expenses Investments
Net to Average Income to
Investments Net Assets Average Net Assets
Income (Excluding (Exlucindg Portfolio
to Average Waivers and Waivers and Turnover
Net Assets Reimbursements) Reimbursements) Rate
- -----------------------------------------------------------------------
Equity Income Fund
- -----------------------------------------------------------------------
CLASS I
1998 2.05% 1.11% 1.74% 40.30%
1997 2.34 1.09 2.05 76.67
1996 2.55 1.09 2.26 85.47
1995 2.61 1.10 2.31 42.97
1994 2.96 1.08 2.68 37.76
CLASS A
1998 1.80% 1.36% 1.49% 40.30%
1997 2.05 1.34 1.76 76.67
1996 2.30 1.34 2.01 85.47
1995 2.36 1.35 2.06 42.97
1994 2.71 1.33 2.43 37.76
CLASS B
1998 1.07% 2.11% 0.76% 40.30%
1997(1) 1.27 2.13 0.94 76.67
- -----------------------------------------------------------------------
Equity Index Fund
- -----------------------------------------------------------------------
CLASS I
1998(2) (0.70)% 3.96% (3.86)% 9.35%**
CLASS A
1998(3) (1.63)% 4.21% (4.79)% 9.35%**
CLASS B
1998(4) (1.51)% 4.96% (4.67)% 9.35%**
- -----------------------------------------------------------------------
Mid Cap Fund
- -----------------------------------------------------------------------
CLASS I
1998 (0.48)% 1.21% (0.89)% 32.88%
1997 0.30 1.09 0.01 59.80
1996 0.66 1.10 0.36 41.41
1995 1.28 1.10 0.98 32.96
1994 1.06 1.08 0.78 13.82
- -----------------------------------------------------------------------
Balanced Fund
- -----------------------------------------------------------------------
CLASS I
1998 2.06% 1.18% 1.68% 43.77%
1997 2.67 1.14 2.33 93.85
1996 3.68 1.11 3.37 43.80
1995 3.89 1.11 3.58 41.63
1994 3.64 1.09 3.35 27.15
CLASS A
1998 1.81% 1.43% 1.43% 43.77%
1997 2.44 1.39 2.10 93.85
1996 3.43 1.36 3.12 43.80
1995 3.64 1.36 3.33 41.63
1994 3.39 1.34 3.10 27.15
CLASS B
1998 1.02% 2.18% 0.64% 43.77%
1997(1) 1.23 2.28 0.75 93.85
- -----------------------------------------------------------------------
* Annualized
** The portfolio turnover rate for the master fund, the SEI Index Funds S&P 500
Index Portfolio, is 7.58% for the twelve month period ending December 31,
1998.
(+) Total Return does not reflect sales loads on Class A and Class B shares.
(1) Commenced operations on May 8, 1997. Ratios for this period have been
annualized.
(2) Commenced operations on September 3, 1998. Ratios for the period have been
annualized. Total return is for the period indicated and has not been
annualized.
(3) Commenced operations on September 10, 1998. Ratios for the period have been
annualized. Total return is for the period indicated and has not been
annualized.
(4) Commenced operations on September 8, 1998. Ratios for the period have been
annualized. Total return is for the period indicated and has not been
annualized.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
66
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
<TABLE>
<CAPTION>
Realized and
Net Asset Unrealized Distribution Distribution Net Assets Ratio of
Value Net Gains or from Net from Net Asset End of Expenses
Beginning Investment (Losses) on Investment Capital Value End Total Period to Average
of Period Income Securities Income Gains of Period Return(+) (000) Net Assets
- --------------------------------------------------------------------------------------------------------------------------
International Equity Fund
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS I
1998 $10.34 $(0.01) $ 0.93 $(0.01) $(0.01) $11.24 8.98% $18,912 1.50%
1997 11.23 0.08 (0.04) (0.08) (0.85) 10.34 0.25 14,143 1.50
1996 10.74 0.08 1.11 (0.08) (0.62) 11.23 11.17 14,822 1.50
1995(1) 10.00 0.03 0.75 (0.02) (0.02) 10.74 7.81 9,990 1.50
CLASS A
1998 $10.33 $ 0.01 $ 0.88 $(0.01) $(0.01) $11.20 8.69% $ 576 1.75%
1997 11.22 0.05 (0.04) (0.05) (0.85) 10.33 0.00 665 1.75
1996 10.73 0.09 1.06 (0.04) (0.62) 11.22 10.88 788 1.75
1995(2) 10.00 0.01 0.75 (0.01) (0.02) 10.73 7.64 621 1.75
CLASS B
1998 $10.30 $(0.06) $ 0.86 $(0.01) $(0.01) $11.08 7.84% $ 312 2.50%
1997(3) 11.45 (0.03) (0.23) (0.04) (0.85) 10.30 (2.39) 118 2.50
</TABLE>
Ratio of
Ratio of Net Income
Ratio of Expenses (Loss) to
Net Income to Average Average
(Loss) to Net Assets Net Assets Portfolio
Average (Exclusing (Excluding Turnover
Net Assets Waivers) Waivers) Rate
- -----------------------------------------------------------------------
International Equity Fund
- -----------------------------------------------------------------------
CLASS I
1998 0.41% 1.72% 0.19% 115.79%
1997 0.95 1.69 0.76 71.22
1996 0.85 1.73 0.62 67.03
1995(1) 0.79 2.11 0.18 14.32
CLASS A
1998 0.29% 1.97% 0.07% 115.79%
1997 0.70 1.95 0.50 71.22
1996 0.70 1.98 0.47 67.03
1995(2) 0.45 2.38 (0.18) 14.32
CLASS B
1998 (0.62)% 2.70% (0.82)% 115.79%
1997(3) (0.60)% 2.70 (0.80) 71.22
- -----------------------------------------------------------------------
(+) Total Return does not reflect sales loads on Class A and Class B shares.
(1) Commenced operations on May 1, 1995. Ratios for this period have been
annualized. Total return is for the period indicated and has not been
annualized.
(2) Commenced operations on May 4, 1995. Ratios for this period have been
annualized. Total return is for the period indicated and has not been
annualized.
(3) Commenced operations on May 7, 1997. Ratios for this period have been
annualized.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
67
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements
1. Organization
The Pillar Funds (the "Trust") is registered under the Investment Company Act of
1940, as amended (the "1940 Act"), as an open-end investment company with
seventeen funds: the U.S. Treasury Securities Money Market Fund, the Prime
Obligation Money Market Fund, the Tax-Exempt Money Market Fund, the U.S.
Treasury Securities Plus Money Market Fund, Institutional Select Money Market
Fund (the "Money Market Funds"); the High Yield Bond Fund, the Fixed Income
Fund, the New Jersey Municipal Securities Fund, the Intermediate-Term Government
Securities Fund, the Pennsylvania Municipal Securities Fund, (the "Fixed Income
Funds"); the Equity Growth Fund, the Equity Value Fund, the Equity Income Fund,
the Equity Index Fund, the Mid Cap Fund, the International Equity Fund (the
"Equity Funds") and the Balanced Fund. Each of the Funds is "diversified" for
purposes of the 1940 Act except for the New Jersey Municipal Securities Fund,
the Pennsylvania Municipal Securities Fund and the International Equity Fund,
each of which is a non-diversified Fund. Shares of the U.S. Treasury Securities
Plus Money Market Fund are offered exclusively to customers of the Money Desk of
the Bank Investment Division of Summit Bank. The minimum investment for this
Fund is $100,000. The high Yield Bond Fund and the Equity Index Fund are
currently "feeder" funds in separate Master-Feeder structures. That is, the High
Yield Bond Fund and the Equity Index Fund each currently invest in another
open-end management investment company with the same investment objectives and
hold as their only investment securities, shares of a single "master" fund, in
this case, the SEI Institutional Managed Trust High Yield Bond Portfolio and the
SEI Index Funds S&P 500 Index Portfolio, respectively. However, in certain
instances the Funds are permitted to invest in securities other than a single
open-end management investment company. The financial statements included herein
present information relating to all of the Funds. The assets of each Fund are
segregated and a shareholder's interest is limited to the Fund in which shares
are held. The Funds' prospectus provides a description of each Fund's investment
objectives, policies and strategies.
2. Significant Accounting Policies
The following is a summary of the significant accounting policies followed by
the Trust.
Security Valuation--The value of investment securities held by the
Money Market Funds are stated at amortized cost, which approximates market
value. Under this valuation method, purchase discounts and premiums are accreted
and amortized ratably to maturity and are included in interest income.
Investment in equity securities that 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. Restricted securities for which quotations are not readily
available are valued at fair value using methods determined in good faith under
general trustee supervision.
The investments of the High Yield Bond and Equity Index Funds (the
"Feeder" funds) in the SEI Institutional Managed Trust's High Yield Bond
Portfolio and the SEI Index Funds S&P 500 Index Portfolio (the "Master Funds"),
respectively, are valued at the net asset value per share of each Master Fund
determined as of the close of the New York Stock Exchange.
Federal Income Taxes--It is each Fund's intention to qualify as a
regulated investment company for Federal income tax purposes and to distribute
all of its taxable income and net capital gains. Accordingly, no provisions for
Federal income taxes are required.
The International Equity Fund may be subject to taxes imposed by
countries in which it invests with respect to its investments in issuers
existing or operating in such countries. Such taxes are generally based on
either income earned or repatriated. The International Equity Fund accrues such
taxes when the related income is earned.
- --------------------------------------------------------------------------------
68
<PAGE>
- ------------------------------------------------------------- [graphic omitted]
December 31, 1998
Foreign Currency Translation--The books and records of the
International Equity Fund are maintained in U.S. dollars. Foreign currency
amounts are translated into U.S. dollars on the following basis:
o market value of investment securities, other assets and liabilities at the
current rate of exchange; and
o purchases and sales of investment securities, income and expenses at the
relevant rates of exchange prevailing on the respective dates of such
transactions.
The International Equity Fund does not isolate that portion of gains
and losses on equity investment securities that is due to changes in foreign
exchange rates from that which is due to changes in market prices of such
securities.
The International Equity Fund reports gains and losses on foreign
currency related transactions as realized and unrealized gains and losses for
financial reporting purposes, whereas such gains and losses are treated as
ordinary income or loss for Federal income tax purposes.
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 the
Advisor 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 Fund may be delayed or limited.
Security Transactions and Investment Income--Security transactions are
accounted for on the date the security is purchased or sold (trade date). Costs
used in determining realized gains and losses on the sale 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. Interest income is recorded on the accrual basis; dividend
income is recorded on the ex-dividend date. Purchase discounts and premiums on
securities held by the Fixed Income Funds and the Balanced Fund are accreted and
amortized to maturity using the scientific interest method, which approximates
the effective interest method.
Distributions to Shareholders--Distributions from net investment income
for the Money Market Funds and Fixed Income, Intermediate-Term Government, New
Jersey Municipal, and Pennsylvania Municipal Funds are declared daily and paid
monthly. Distributions from net investment income for the High Yield Bond Fund
are declared and paid monthly. The Equity Funds and the Balanced Fund declare
and pay distributions from net investment income quarterly, except for the
International Equity Fund which declares and pays distributions annually. Any
net realized capital gains will be distributed at least annually for all Funds.
Expenses--Expenses that are directly related to one of the Funds are
charged directly to that Fund. Other operating expenses of the Trust are
prorated to the Funds on the basis of relative net asset value. Class specific
expenses, such as the 12b-1 fees, are borne by that class. Income, other
expenses and realized and unrealized gains and losses of a Fund are allocated to
the respective classes on the basis of the relative net assets each day.
Use of Estimates--The preparation of the financial statements in
conformity with generally accepted accounting principles requires management to
make estimates and assumptions that effect the reported amount of assets and
liabilities, disclosure of contingent assets and liabilities at the date of the
financial statements, and reported amounts of revenues and expenses during the
reporting period. Actual amounts could differ from these estimates.
Reclassification on Components of Net Assets--In accordance with
Statement of Position 93-2, "Determination, Disclosure, and Financial Statement
Presentation of Income, Capital Gain, and Return of Capital Distribution by
Investment Companies", $86,634, $306,437, $411,336, $69,489, $9,004, $111,055,
and $9,497 relating to differences attributable to the classification of
short-term capital gains and net investment income for tax distribution purposes
of the U.S. Treasury Securities Money Market, Equity Growth, Equity Value,
Equity Income, Equity Index, Mid Cap and Balanced Funds, respectively, as of
December 31, 1998 have been reclassified between the Fund's accumulated net
realized gains/losses and undistributed net income accounts, as appropriate.
The Mid Cap Fund also utilized earnings
- --------------------------------------------------------------------------------
69
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
and profits distributed to shareholders on redemption of shares as a part of the
dividends paid deduction for income tax purposes. Accordingly, the Mid Cap Fund
reclassified $12,683,600 from accumulated net realized gains on investments to
paid in capital. These reclassifications had no effect on net asset value.
3. Organization Costs and Transactions with Affiliates
Organizational costs have been capitalized by the Funds and are being amortized
over sixty months commencing with operations. In the event any of the initial
shares of the Funds are redeemed by any holder thereof during the period that
the Funds are amortizing their organizational costs, the redemption proceeds
payable to the holder thereof will be reduced by the unamortized organizational
costs in the same ratio as the number of initial shares being redeemed bears to
the number of initial shares outstanding at the time of redemption. These costs
included legal fees of approximately $60,521 for organizational work performed
by a law firm of which two officers of the Trustare partners.
Certain officers and /or Trustees of the Trust are also officers and/or
directors of SEI Investments Mutual Funds Services (the "Administrator"). Such
officers are paid no fees by the Trust for serving as officers of the Trust. The
Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly,
interim and committee meetings.
4. Administration and Distribution Agreements
The Trust and the Administrator are parties to an administration agreement (the
"Agreement"), under which the Administrator provides the Trust with
administrative services for an annual fee that is calculated daily and paid
monthly at an annual rate of 0.20% of the average daily net assets of each Fund
with the exception of the U.S. Treasury Securities Plus Money Market Fund and
the Institutional Select Money Market Fund, which pay annual fees that are
calculated daily and paid monthly at an annual rate of 0.35% and 0.10% of
average daily net assets, respectively. The Administrator has voluntarily agreed
to waive its fees in the High Yield Bond and Equity Index Funds.
SEI Investments Distribution Co. (the "Distributor") acts as the
distributor of the Trust's shares. The Trust has adopted a distribution plan for
Class A shares (the "Class A Plan") pursuant to Rule 12b-1 under the 1940 Act.
Under the Class A Plan, the Distributor is entitled to receive from the Trust an
annual distribution fee of 0.25% of the Fund's Class A average daily net assets.
The Trust has also adopted a distribution plan for Class B shares (the
"Class B Plan") pursuant to Rule 12b-1 under the 1940 Act. Under the Class B
Plan, the Distributor is entitled to receive from the Trust an annual
distribution fee of 0.75% of the Fund's Class B average daily net assets.
Additionally, the Class B Plan provides that Class B shares are subject to a
service fee at an annual rate of 0.25% of the Fund's Class B average daily net
assets.
The Trust has also adopted a distribution plan for Class S shares (the
"Class S Plan") pursuant to Rule 12b-1 under the 1940 Act. Under the Class S
Plan, the Distributor is entitled to receive from the Trust an annual
distribution fee of 0.60% of the Fund's Class S average daily net assets. The
Distributor has agreed to voluntarily waive a portion of its distribution fees
from Class S shares in order to limit the operating expenses of the Funds.
The Distributor receives no fees for its distribution services for
Class I shares of any fund with the exception of the U.S. Treasury Securities
Plus Money Market Fund which pays a distribution fee of 0.03% of average daily
net assets.
5. Investment Advisory and Custodian Agreements
The Trust and Summit Bank Investment Management Division, a division of Summit
Bank, (the "Advisor") are parties to an advisory agreement. Under the terms of
the agreement, the Adviser will receive a fee, that is calculated daily and paid
monthly, at an annual rate of 0.35% of the average daily net assets of the U.S.
Treasury Securities Money Market, Prime Obligation Money Market and Tax-Exempt
Money Market Funds, 0.15% of the average daily net assets of the U.S. Treasury
Securities Plus Money Market Fund, 0.10% of the average daily net assets of the
Institutional Select Money Market Fund, 0.60% of the average daily net assets of
the Fixed Income Funds and 0.75% of the average daily net assets of the Equity
Funds and the Balanced Fund. The Trust and the
- --------------------------------------------------------------------------------
70
<PAGE>
- ------------------------------------------------------------- [graphic omitted]
December 31, 1998
Adviser are also parties to a second advisory agreement relating only to the
International Equity Fund. Under the terms of the agreement, the Adviser
receives a fee, that is calculated daily and paid monthly, at an annual rate of
1.00% of the average daily net assets of the International Equity Fund. The
Adviser has voluntarily agreed to waive all or a portion of its fee in order to
limit the operating expenses of the Funds.
As of September 1, 1998, Vontobel USA Inc. began serving as the
investment sub-adviser to the International Equity Fund. Prior to that date,
Wellington Management Company LLP served as the investment sub-adviser to the
Fund. The sub-advisory fees are paid by the Adviser.
Summit Bank also acts as Custodian of securities for the Trust. The
Custodian plays no role in determining the investment policies of the Trust or
which securities are to be purchased or sold in the Funds. For its services, the
Custodian receives a fee, that is calculated daily and paid monthly, at an
annual rate of 0.025% of the average daily net assets of each domestic Fund and
an annual rate of 0.17% of the average daily net assets of the International
Equity Fund.
In addition to the fees paid at the feeder level for the High Yield
Bond and Equity Index Funds, each Feeder Fund's shareholders will bear
indirectly their prorata portion of the administrative, distribution, advisory
and other expenses of the respective Master Fund in which they invest.
6. Investment Transactions
The cost of security purchases and the proceeds from the sale of securities,
other than short term investments, during the year ended December 31, 1998 were
as follows:
<TABLE>
<CAPTION>
New
Equity Fixed Jersey Int.-Term PA High Yield
Index Income Muni. Gov't. Muni. Bond
---------- -------- -------- ---------- -------- --------
(000) (000) (000) (000) (000) (000)
<S> <C> <C> <C> <C> <C> <C>
Purchases
U.S. Gov't -- 104,599 -- 14,223 -- --
Other 5,647 31,198 25,010 -- 22,126 2,759
Sales
U.S. Gov't -- 110,309 -- 14,225 -- --
Other 240 14,204 36,619 -- 26,490 23
<CAPTION>
Equity Equity Equity Mid International
Growth Value Income Cap Balanced Equity
------ ------ ------- ----- -------- -----------
(000) (000) (000) (000) (000) (000)
<S> <C> <C> <C> <C> <C> <C>
Purchases
U.S. Gov't -- 2,547 3,536 -- 11,769 --
Other 162,355 45,296 46,162 7,146 26,461 19,178
Sales
U.S. Gov't -- -- 4,678 -- 7,428 --
Other 195,396 81,710 71,830 50,895 14,115 16,636
</TABLE>
At December 31, 1998, the total cost of securities and the net realized gains or
losses on securities sold for Federal income tax purposes was not materially
different from amounts reported for financial reporting purposes. The aggregate
gross unrealized gain or loss on securities at December 31, 1998, for each Fund
is as follows:
<TABLE>
<CAPTION>
New
Equity Fixed Jersey Int.-Term PA High Yield
Index Income Muni. Gov't. Muni. Bond
---------- -------- -------- ---------- -------- --------
(000) (000) (000) (000) (000) (000)
<S> <C> <C> <C> <C> <C> <C>
Aggregate gross
unrealized gain 411 6,872 5,644 797 916 11
Aggregate gross
unrealized loss (1) (315) (182) (38) (68) (14)
------ -------- -------- -------- ------ --------
Net unrealized
gain/loss 410 6,557 5,462 759 848 (3)
------ -------- -------- -------- ------ --------
------ -------- -------- -------- ------ --------
<CAPTION>
Equity Equity Equity Mid International
Growth Value Income Cap Balanced Equity
-------- -------- -------- -------- ---------- ------------
(000) (000) (000) (000) (000) (000)
Aggregate gross
unrealized gain 96,127 92,492 29,992 3,272 13,888 2,668
Aggregate gross
unrealized loss (1,172) (4,201) (2,715) (1,014) (631) (500)
-------- -------- -------- -------- ------ ------
Net unrealized
gain 94,955 88,291 27,277 2,258 13,257 2,168
-------- -------- -------- -------- ------ ------
-------- -------- -------- -------- ------ ------
</TABLE>
7. Concentration of Credit Risk
The money market funds invest primarily in a portfolio of money market
instruments maturing in one year or less whose rating are within one of the two
highest rating categories assigned by a nationally recognized statistical rating
organization ("NRSRO") or, if not rated, are believed by the Advisor to be of
comparable quality. The ability of the issuers of the securities held by a Fund
to meet their obligations may be affected by economic developments in a specific
industry, state or region. The Fixed Income Funds invest in debt instruments and
the Balanced Fund invests in a combination of equity, fixed income and money
market securities.
The taxable funds may invest in bank obligations. As a result of this
policy, these investments may be subject to greater risk than a fund that does
not concentrate its investments in the banking industry. In particular, bank
obligations may be subject to the risks associated with interest rate
volatility, changes in federal and state laws and regulations governing banking
and the inability of borrowers to pay principal and interest when due. In
addition, foreign banks present the risk of investing in foreign securities and
are not subject to the same reserve requirements and other regulations as those
of U.S. banks.
- --------------------------------------------------------------------------------
71
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
The New Jersey Municipal Securities and the Pennsylvania Municipal
Securities Funds invest primarily in a diversified portfolio of municipal
securities, including municipal bonds and debentures, rated Baa or better by a
NRSRO, or, if not rated, determined by the Advisor to be of comparable quality.
Although the Funds maintain a diversified portfolio, the issuers' ability to
meet their obligations may be affected by economic developments in a specific
state or region. The following tables present a summary of Standard & Poor's
ratings for the holdings in each of these portfolios:
<TABLE>
<CAPTION>
Tax- Institutional
U.S. Exempt U.S. Select
Treasury Prime Money Treasury Money
Securities Obligation Market Securities Plus Market
---------- ---------- ------ --------------- ------------
<S> <C> <C> <C> <C> <C>
U.S. Gov't. Securities 52.1% 4.4% --% 58.7% --%
Repurchase Agreements 47.9 3.8 -- 41.3 12.1
Municipal Securities -- -- 98.8 -- --
Commercial Paper -- 90.3 -- -- 86.4
Other Short Term
Securities -- 1.5 1.2 -- 1.5
</TABLE>
Fixed New Jersey Int.-Term
Income Muni. Govt.
---------- ---------- ----------
U.S. Gov't. Securities 61.9% --% 100%
AAA 10.7 62.4 --
AA 5.9 19.8 --
A 19.6 6.1 --
BBB 0.5 0.7 --
NR 1.4 11.0 --
All Other -- -- --
PA
Balanced Muni.
-------- -----
U.S. Gov't. Securities 18.6% --%
AAA 1.7 50.2
AA 4.9 35.2
A 4.8 2.5
BBB -- --
NR -- 12.1
Common Stock 69.3 --
All Other 0.7 --
8. Capital Loss Carryforwards
The capital loss carryforwards at December 31, 1998, for Federal income tax
purposes are as follows:
Expiration
Amount Date
------ ----------
Prime Obligation
Money Market Fund $31,188 2004
Tax-Exempt Money
Market Fund 1,993 2003-2005
U.S. Treasury
Securities Plus 18,191 2003
Intermediate-Term
Government Securities 1,442,193 2002-2005
International Equity 579,939 2006
The Equity Growth, Equity Value, Equity Income, Mid Cap, and Balanced Funds had
cumulative wash sales for the fiscal year ended December 31, 1998 amounting to
$184,297, $245,563, $65,075, $215,360, and $19,503, respectively. These wash
sale losses cannot be used for Federal income tax purposes and are deferred.
9. Options Transactions
The Equity Growth Fund transacted in call options during the period. These
transactions, which were undertaken principally to hedge against market risk,
entail certain risks. These risks include: (1) the success of a hedging strategy
may depend on an ability to predict movements in the prices of individual
securities, fluctuations in markets and movements in interest rates; (2) there
may be an imperfect correlation between the movement in prices of options and
the securities underlying them; and (3) there may not be a liquid secondary
market for options. Gains and losses for the Equity Growth Fund due to option
activity for the year ended December 31, 1998 were as follows:
Gains/Losses
--------------
Written Call Options $(1,064,653)
Written Put Options 1,531,551
Call Options 489,675
Put Options (2,543,840)
As of December 31, 1998 there were no equity options outstanding.
10. Equity Swap Transaction
The Equity Growth Fund entered into an equity swap transaction in November of
1998. This equity swap transaction involved exchanging the returns from the
Equity Growth's basket of securities, inclusive of dividends, for the return of
the Standard and Poor's 500 Index ("S&P 500"); also inclusive of dividends. This
transaction was undertaken principally to allow the Equity Growth Fund to lock
in this superior performance relative to the S&P 500 for the calendar year. At
the time the Equity Growth Fund entered into the swap transaction, its total
return was approximately four percentage points above that of the S&P 500, the
benchmark index for the Fund. Equity swap transactions entail certain risks,
including: (1) the success of a fund's strategy may depend on an ability to
predict movements in the prices of individual securities, fluctuations in
markets and movements in interest rates; and (2) there may be little correlation
between a fund's securities and the value of the S&P 500.
- --------------------------------------------------------------------------------
72
<PAGE>
- ------------------------------------------------------------- [graphic omitted]
December 31, 1998
The Equity Growth Fund realized losses of $10,191,337 during the year
ended December 31, 1998 and had an unrealized loss of $17,248,556 as of December
31, 1998 related to the equity swap transaction. On January 7, 1999 the equity
swap was terminated and the unrealized loss became a realized loss in the amount
of $17,717,000.
11. Common Trust Fund Conversions
On February 1, 1997, certain Common Trust Funds of Summit Bank and its
affiliates were converted into the Pillar Funds. The Funds that were involved in
the conversion were as follows:
Common Trust Fund Pillar Fund
- ------------------ ----------
Pyramid Equity Income Fund Equity Income Fund
First Valley Bank Pennsylvania Pennsylvania Municipal
Tax-Exempt Fund Securities Fund
Pyramid Government Intermediate-Term
Fund Government Securities Fund
Pyramid Municipal Fund
Summit Bank CTF New Jersey Municipal
Tax-Exempt Fund Securities Fund
First Valley Bank Corporate/
Government Income Fund
Summit Bank CTF
Taxable Bond Fund
Pyramid Income Fund
Summit Bank Employee Benefit
Bond Fund Fixed Income Fund
First Valley Bank Equity Fund
Pyramid Growth Fund Equity Value Fund
Summit Bank Employee Benefit
Common Stock Fund
Self Employed Retirement Fund
Summit Bank CTF Capital
Growth Fund Equity Growth Fund
The number of shares issued for each fund and the net assets (including net
unrealized gain/loss) of each fund immediately before the conversion were as
follows:
Unrealized
Common Trust Fund Net Assets Gain/(Loss)
- ------------------ ---------- ----------
Pyramid Equity Income Fund $34,921,068 $15,070,845
First Valley Bank Pennsylvania
Tax-Exempt Fund 37,351,305 479,926
Pyramid Government Fund 13,328,272 82,578
Pyramid Municipal Fund 27,106,556 1,470,536
Summit Bank CTF
Tax-Exempt Fund 81,341,717 994,062
First Valley Bank Corporate/
Government Income Fund 25,359,209 (39,338)
Summit Bank CTF
Taxable Bond Fund 68,089,184 96,610
Pyramid Income Fund 33,854,976 168,397
Summit Bank Employee
Benefit Bond Fund 46,538,572 (18,801)
First Valley Bank Equity Fund 29,213,010 6,986,551
Pyramid Growth Fund 55,314,477 20,924,589
Summit Bank Employee
Benefit Common Stock Fund 65,394,986 1,223,470
Self Employed Retirement Fund 3,352,225 39,136
Summit Bank CTF
Capital Growth Fund 152,286,126 32,316,660
Net Assets
Pillar Funds Prior to Conversion Shares Issued
- ------------------ ------------------ -------------
Equity Income Fund $ 72,031,803 2,525,125
Pennsylvania Municipal
Securities Fund 4,058,459 3,676,310
Intermediate-Term Government
Securities Fund 27,272,305 1,311,380
New Jersey Municipal
Securities Fund 40,228,805 10,125,023
Fixed Income Fund 103,362,682 17,056,956
Equity Value Fund 132,299,525 6,015,148
Equity Growth Fund -- 22,103,334
- --------------------------------------------------------------------------------
73
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
12. Shareholder Voting Results (Unaudited)
At a shareholder meeting held on June 22, 1998, the shareholders of the Pillar
International Equity Fund voted to approve (i) a new investment sub-advisor and
related investment sub-advisory agreement; (ii) a restatement of the Fund's
investment objective to seek capital appreciation; (iii) a revision of a
fundamental investment limitation that would increase the Fund's ability to
acquire the voting securities of any one issuer; (iv) reclassify as
"non-fundamental" a limitation of the Fund regarding investing in companies for
the purpose of exercising control; and (v) reclassify as "non-fundamental" a
limitation of the Fund that restricts the Fund's ability to purchase securities
of issuers whose securities are owned by the officers, trustees, partners and
directors of the Trust or any investment advisor of the Trust. The results of
the voting were as follows:
Shares % of Shares % of Shares
Portfolio Voted Voted Outstanding
- --------------------------------------------------------------------------------
International Equity
(i) For 1,187,798 99.67% 90.60%
Against 3,124 0.26% 0.24%
Abstain 842 0.07% 0.06%
(ii) For 1,165,081 97.76% 88.87%
Against 2,097 0.18% 0.16%
Abstain 842 0.07% 0.06%
Broker Non-Vote 23,746 1.99% 1.81%
(iii) For 1,165,559 97.80% 88.90%
Against 1,619 0.14% 0.12%
Abstain 842 0.07% 0.06%
Broker Non-Vote 23,746 1.99% 1.81%
(iv) For 1,163,608 97.64% 88.75%
Against 3,570 0.30% 0.27%
Abstain 842 0.07% 0.06%
Broker Non-Vote 23,746 1.99% 1.81%
(v) For 1,163,133 97.76% 88.72%
Against 4,044 0.34% 0.31%
Abstain 842 0.07% 0.06%
Broker Non-Vote 23,747 1.99% 1.81%
13. Statements of Assets and Liabilities and Schedules of Investments for SEI
Institutional Managed Trust High Yield Bond Portfolio and the SEI Index Funds
S&P 500 Index Portfolio (Unaudited)
The following unaudited statements of assets and liabilities and schedules of
investments as of December 31, 1998 are for the underlying master portfolios for
the High Yield Bond and Equity Index Funds. These statements are included since
the High Yield Bond and Equity Index Funds invest substantially all of their
assets in these portfolios.
- --------------------------------------------------------------------------------
74
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
Schedule of Investments (Unaudited)
SEI Institutional Managed Trust High Yield Bond Portfolio
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Corporate Obligations--91.3%
Abraxas Petroleum, Ser D
11.500%, 11/01/04 $ 1,250 $ 959
Ackerley Group (A)
9.000%, 01/15/09 1,000 1,015
Acme Television/Finance (A) (B)
0.000%, 09/30/04 500 399
Adelphia Cable Communications
10.500%, 07/15/04 500 546
Adelphia Communications (A)
8.375%, 02/01/08 1,000 1,035
Adelphia Communications, Ser B
8.375%, 02/01/08 750 776
ADV Accessory
9.750%, 10/01/07 550 549
Advance Holding (A) (B)
0.000%, 04/15/09 1,100 648
Advanced Radio Telecom
14.000%, 02/15/07 500 324
Advanve Stores (A)
10.250%, 04/15/08 650 658
AEI Resources (A)
11.500%, 12/15/06 500 503
AES
8.500%, 11/01/07 800 811
AES (A)
8.000%, 12/31/08 500 497
Aetna Industries
11.875%, 10/01/06 1,000 1,037
AFC Enterprises
10.250%, 05/15/07 900 938
Agrilink Foods (A)
11.875%, 11/01/08 500 509
Ainsworth Lumber
12.500%, 07/15/07 1,250 1,237
Airplanes Pass Through Trust
10.875%, 03/15/19 300 319
Alaris Medical (A) (B)
0.000%, 08/01/08 750 419
Algoma Steel First Mortgage
12.375%, 07/15/05 1,000 747
Allbritton Communications
9.750%, 11/30/07 800 848
Allied Holdings, Ser B
8.625%, 10/01/07 700 702
Allied Waste (A)
7.875%, 01/01/09 1,000 1,014
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
AMC Entertainment
9.500%, 03/15/09 $ 1,000 $ 1,025
American Builder & Contractors
10.625%, 05/15/07 500 471
American Cellular (A)
10.500%, 05/15/08 750 733
American Commercial Lines
10.250%, 06/30/08 600 610
American Lawyer Media
9.750%, 12/15/07 1,000 1,040
American Radio Systems
9.000%, 02/01/06 500 540
American Restaurant Group
11.500%, 02/15/03 700 653
American Skiing
12.000%, 07/15/06 450 468
Ameristar Casino, Ser B
10.500%, 08/01/04 750 703
AMF Group
10.875%, 03/15/06 700 572
AMF Group Senior (B)
0.000%, 03/15/06 306 177
Ampex
12.000%, 03/15/03 1,000 1,000
Amphenol
9.875%, 05/15/07 500 512
Amscan Holdings
9.875%, 12/15/07 400 375
Amtrol
10.625%, 12/31/06 400 389
Anchor Lamina
9.875%, 02/01/08 1,000 907
Anthony Crane Rentals (A)
10.375%, 08/01/08 500 485
Apcoa
9.250%, 03/15/08 700 656
Applied Extrusion Tech, Ser B
11.500%, 04/01/02 800 837
Arcadia Financial Ltd
11.500%, 03/15/07 500 364
Archibald Candy
10.250%, 07/01/04 1,200 1,215
Atlantic Express
10.750%, 02/01/04 500 507
Atlas Air
9.375%, 11/15/06 750 762
- --------------------------------------------------------------------------------
75
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
Schedule of Investments (Unaudited)
SEI Institutional Managed Trust High Yield Bond Portfolio
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Aurora Foods
8.750%, 07/01/08 $ 650 $ 677
Autotote
10.875%, 08/01/04 1,000 1,007
Avalon Cable Holdings (A) (B)
0.000%, 12/01/08 500 279
Avalon Cable of Michigan (A)
9.375%, 12/01/08 700 712
Ball*
8.250%, 08/01/08 700 728
Bally Total Fitness, Ser B
9.875%, 10/15/07 400 391
Bayou Steel
9.500%, 05/15/08 500 470
Belden & Blake, Ser B
9.875%, 06/15/07 500 409
Bellwether Exploration
10.875%, 04/01/07 800 774
Berry Plastics
12.500%, 06/15/06 500 522
Beverly Enterprises
9.000%, 02/15/06 700 698
Big City Radio (B)
0.000%, 03/15/05 750 491
Big Flower Press (A)
8.625%, 12/01/08 1,000 1,001
Blue Bird Body
10.750%, 11/15/06 500 526
Booth Creek
12.500%, 03/15/07 600 594
Boyd Gaming
9.500%, 07/15/07 500 497
Boyds Collection (A)
9.000%, 05/15/08 800 817
Brand Scaffold Services
10.250%, 02/15/08 750 739
BTI Telecom
10.500%, 09/15/07 500 409
Buckeye Cellulose
9.250%, 09/15/08 500 518
Bucyrus International
9.750%, 09/15/07 500 406
Burke Industries
10.000%, 08/15/07 600 589
BWAY, Ser B
10.250%, 04/15/07 500 525
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Call-Net Enterprises (B)
0.000%, 08/15/07 $ 1,000 $ 650
Call-Net Enterprises (A) (B)
0.000%, 08/15/08 700 409
Cambridge Industries, Ser B
10.250%, 07/15/07 500 431
Canadian Airlines
10.000%, 05/01/05 400 339
Canadian Airlines Yankee
12.250%, 08/01/06 950 720
Canadian Forest Oil, Ltd
8.750%, 09/15/07 500 451
Capstar Broadcasting
9.250%, 07/01/07 500 520
Capstar Broadcasting (B)
0.000%, 02/01/09 600 493
Capstar Hotel
8.750%, 08/15/07 500 488
Carrols (A)
9.500%, 12/01/08 1,000 1,017
Casino America
12.500%, 08/01/03 900 999
Casino Magic
13.000%, 08/15/03 1,600 1,698
Cencall Communication (B)
0.000%, 01/15/04 100 100
Centennial Cellular (A)
10.750%, 12/15/08 1,000 1,005
Century Communications
8.875%, 01/15/07 550 608
Century Communications Ser B
0.000%, 01/15/08 1,000 509
CF Cable Television
11.625%, 02/15/05 50 55
Chancellor Media
9.375%, 10/01/04 750 785
Chancellor Media (A)
8.000%, 11/01/08 500 509
Charter Communications South East
11.250%, 03/15/06 600 669
Cinemark USA
9.625%, 08/01/08 600 629
Cinemark USA, Ser B
8.500%, 08/01/08 500 496
- --------------------------------------------------------------------------------
76
<PAGE>
- ------------------------------------------------------------[graphic omitted]
December 31, 1998
Schedule of Investments (Unaudited)
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Circus Circus Enterprise
9.250%, 12/01/05 $ 1,000 $ 1,021
Citadel Broadcasting (A)
9.250%, 11/15/08 1,250 1,305
Clark R&M
8.875%, 11/15/07 500 463
Classic Cable (A)
9.875%, 08/01/08 700 728
Classic Cable (A) (B)
0.000%, 08/01/09 600 364
Clearnet Communications (B)
0.000%, 12/15/05 1,000 861
Cliffs Drilling
10.250%, 05/15/03 400 420
Climachem, Ser B
10.750%, 12/01/07 1,000 1,017
Coast Hotels & Casino
13.000%, 12/15/02 800 866
Coaxial Communication (A)
10.000%, 08/15/06 1,500 1,542
Cogentrix Energy (A)
8.750%, 10/15/08 1,000 1,075
Coinstar (B)
0.000%, 10/01/06 1,000 859
Collins & Aikman (A)
10.000%, 01/15/07 500 522
Collins & Aikman (A)
11.500%, 04/15/06 1,250 1,300
Color Spot Nurseries
10.500%, 12/15/07 900 493
Colorado Gaming &
Entertainment PIK
0.000%, 06/01/03 750 808
Comcast
9.375%, 05/15/05 250 265
9.125%, 10/15/06 600 633
Comcast Cellular (A)
9.500%, 05/01/07 1,000 1,065
Comcast UK Cable (B)
0.000%, 11/15/07 500 424
Commonwealth Aluminum
10.750%, 10/01/06 500 499
Communications Instrument
10.000%, 09/15/04 500 480
Concentric Network
12.750%, 12/15/07 550 554
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Constellation Finance LLC Ser 1997-1
9.800%, 12/14/02 $ 500 $ 490
Container
9.750%, 04/01/03 550 555
Costilla Energy
10.250%, 10/01/06 1,000 707
Crown Central Petroleum
10.875%, 02/01/05 1,000 960
Crown Packaging Enterprises Ltd (B)
0.000%, 08/01/06 775 39
Crown Paper
11.000%, 09/01/05 500 436
CSC Holdings
9.250%, 11/01/05 250 261
9.875%, 02/15/13 650 729
CSC Holdings, Ser B
8.125%, 08/15/09 550 581
Cumulus Media (A)
10.375%, 07/01/08 1,000 1,061
Dade International
11.125%, 05/01/06 500 554
Dailey International, Ser B
9.500%, 02/15/08 850 380
Day International
9.500%, 03/15/08 600 588
Delaware County Remy International
10.625%, 08/01/06 1,000 1,051
Details, Ser B
10.000%, 11/15/05 500 489
Diamond Brands Operating (A)
10.125%, 04/15/08 650 611
Diamond Cable (B)
0.000%, 02/15/07 1,450 1,042
Diamond Cable Communications (B)
0.000%, 09/30/04 300 278
0.000%, 12/15/05 950 790
Diamond Holdings PLC
9.125%, 02/01/08 1,000 952
Diamond Triumph Auto (A)
9.250%, 04/01/08 1,000 990
Digital Television Services DTS
Capital, Ser B
12.500%, 08/01/07 500 542
Dobson Communications (A)
11.750%, 04/15/07 600 616
Dobson Wireline (A)
12.250%, 06/15/08 500 460
- --------------------------------------------------------------------------------
77
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
Schedule of Investments (Unaudited)
SEI Institutional Managed Trust High Yield Bond Portfolio
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Dobson/Sygnet Communications (A)
12.250%, 12/15/08 $ 1,000 $ 1,005
Dolphin Telecom PLC (A) (B)
0.000%, 06/01/08 100 35
Doskocil Manufacturing
10.125%, 09/15/07 500 474
Drypers
10.250%, 06/15/07 1,000 960
DTI Holdings
0.000%, 03/01/08 1,000 254
DTI Holdings (A)* 5 5
Dual Drilling
9.875%, 01/15/04 500 525
DVI Holdings (A)
9.875%, 02/01/04 500 480
E.spire Communications
13.750%, 07/15/07 500 519
0.000%, 11/01/05 1,550 1,170
0.000%, 04/01/06 500 340
E.spire Communications (B)
0.000%, 07/01/08 500 209
Eagle Family Foods
8.750%, 01/15/08 1,200 1,134
Eagle Geophysical
10.750%, 07/15/08 400 335
Eagle Geophysical (A)
10.750%, 07/15/08 600 502
Echostar Satellite Broadcast (B)
0.000%, 03/15/04 1,200 1,222
Eldorado Resorts
10.500%, 08/15/06 500 521
Elgar Holdings
9.875%, 02/01/08 1,000 917
Empress Entertainment
8.125%, 07/01/06 450 451
Empress River Casino
10.750%, 04/01/02 500 534
Energy of America
9.500%, 05/15/07 500 456
Ermis Maritime Holdings Limited
12.500%, 03/15/06 797 237
Esprit Telecom Group PLC
11.500%, 12/15/07 500 514
Euramax International PLC
11.250%, 10/01/06 450 446
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Facilicom International
10.500%, 01/15/08 $ 800 $ 654
Falcon Building
9.500%, 06/15/07 500 451
Falcon Holding Group (B)
9.285%, 04/15/10 750 517
Falcon Holdings Group
8.375%, 04/15/10 500 514
Finlay Enterprises
9.000%, 05/01/08 200 186
First Wave Marine
11.000%, 02/01/08 1,000 937
Fisher Scientific (A)
9.000%, 02/01/08 1,000 997
Fitzgeralds Gaming
12.250%, 12/15/04 550 318
Flag Ltd
8.250%, 01/30/08 750 739
Fleming
10.500%, 12/01/04 670 638
Flores & Rucks
9.750%, 10/01/06 400 413
Focal Communications (B)
0.000%, 02/15/08 1,250 653
Forcenergy (A)
8.500%, 02/15/07 800 478
Fountain View
11.250%, 04/15/08 1,000 878
Four M (B)
0.000%, 06/01/06 500 374
Fox/Liberty Networks LLC
8.875%, 08/15/07 250 255
French Fragrances
10.375%, 05/15/07 500 498
Fresh Foods
10.750%, 06/01/06 500 474
Friendly Ice Cream
10.500%, 12/01/07 700 709
Frontier Oil (A)
9.125%, 02/15/06 800 742
Frontiervision (B)
0.000%, 09/15/07 1,200 998
Fundy Cable
11.000%, 11/15/05 500 531
Galey & Lord
9.125%, 03/01/08 750 658
- --------------------------------------------------------------------------------
78
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
Schedule of Investments (Unaudited)
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Gaylord Container
9.375%, 06/15/07 $ 500 $ 419
9.750%, 06/15/07 500 424
GCI
9.750%, 08/01/07 500 491
Genesis Health Ventures (A)
9.875%, 01/15/09 500 479
Global Crossings Holdings
9.625%, 05/15/08 1,000 1,060
Global Telesystems Group
9.875%, 02/15/05 1,250 1,189
Globalstar
11.375%, 02/15/04 400 299
11.250%, 06/15/04 900 679
Globalstar LP/Capital
11.500%, 06/01/05 250 187
Globix
13.000%, 05/01/05 1,000 835
Golden Northwest (A)
12.000%, 12/15/06 700 700
Golden Ocean Group
10.000%, 08/31/01 1,032 286
Golden Sky Systems (A)
12.375%, 08/01/06 400 411
Gothic Production
11.125%, 05/01/05 350 272
Graham Packaging
8.750%, 01/15/08 400 404
Grand Casinos
9.000%, 10/15/04 500 551
Granite Broadcasting
9.375%, 12/01/05 500 491
8.875%, 05/15/08 500 471
Gray Communications System
10.625%, 10/01/06 500 531
Great Lakes Carbon (A)
10.250%, 05/15/08 500 506
GS Technologies
12.000%, 09/01/04 500 499
GST Equipment Funding
13.250%, 05/01/07 500 503
GST USA Guarantee (B)
0.000%, 12/15/05 1,660 1,210
Gulf Canada Resources
9.625%, 07/01/05 500 506
8.375%, 08/01/06 500 506
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Gulf States Steel
13.500%, 04/15/03 $ 1,000 $ 407
Hard Rock Hotel
9.250%, 04/01/05 1,500 1,500
Harrahs Operating
7.875%, 12/15/05 1,000 1,002
Harvey Casinos Resorts
10.625%, 06/01/06 1,000 1,066
Hawk
10.250%, 12/01/03 325 343
Hayes Lemmerz (A)
8.250%, 12/15/08 600 598
Hayes Wheel International
11.000%, 07/15/06 500 554
9.125%, 07/15/07 600 622
Haynes International
11.625%, 09/01/04 500 465
Helicon (B)
11.000%, 11/01/03 700 732
Hermes Europe Railtel BV
11.500%, 08/15/07 750 806
Hermes Europe Railtel BV (A)
10.375%, 01/15/09 750 759
HMH Properties
8.450%, 12/01/08 500 501
HMV Media Group
10.250%, 05/15/08 1,000 961
Hollinger International Publishing
9.250%, 03/15/07 1,000 1,057
Hollywood Casino
12.750%, 11/01/03 1,000 1,060
Hollywood Park, Ser B
9.500%, 08/01/07 800 792
Hollywood Theaters
10.625%, 08/01/07 500 349
Home Products International
9.625%, 05/15/08 800 782
Homeside
11.250%, 05/15/03 325 382
Horseshoe Gaming
9.375%, 06/15/07 1,000 1,027
Hosiery of America
13.750%, 08/01/02 500 514
Host Marriott
7.875%, 08/01/05 550 541
7.875%, 08/01/08 500 487
- --------------------------------------------------------------------------------
79
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
Schedule of Investments (Unaudited)
SEI Institutional Managed Trust High Yield Bond Portfolio (continued)
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
HS Resources
9.250%, 11/15/06 $ 750 $ 703
Huntsman (A)
9.500%, 07/01/07 1,000 997
Huntsman Polymers
11.750%, 12/01/04 250 272
Hyperion Telecommunication (B)
0.000%, 04/15/03 1,900 1,404
Hyperion Telecommunications
12.250%, 09/01/04 500 506
ICG Holding (B)
0.000%, 09/15/05 350 290
ICG Holdinggs (A) (B)
0.000%, 03/15/07 500 316
ICG Services (B)
0.000%, 02/15/08 1,250 667
ICN Pharmaceutical (A)
8.750%, 11/15/08 300 302
ICN Pharmaeuticals
9.250%, 08/15/05 500 512
IDT
8.750%, 02/15/06 500 461
IHF Holdings (B) 4
0.000%, 11/15/04 600 107
IMAX
7.875%, 12/01/05 1,000 1,007
IMPAC Group
10.125%, 03/15/08 1,000 967
Integrated Health
10.250%, 04/30/06 250 252
Integrated Health Services
9.500%, 09/15/07 500 476
9.250%, 01/15/08 250 237
Intelcom Group (B)
0.000%, 05/01/06 400 298
Interact Systems (B)
0.000%, 08/01/03 700 210
Intermedia Capital Partners
11.250%, 08/01/06 750 844
Intermedia Communications
of Florida (B)
0.000%, 05/15/06 900 738
0.000%, 07/15/07 750 524
International Cabletel
10.000%, 02/15/07 250 252
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
International Cabletel (B)
0.000%, 04/15/05 $ 400 $ 358
0.000%, 02/01/06 1,200 964
International Home Foods
10.375%, 11/01/06 750 812
International Knife & Saw
11.375%, 11/15/06 500 513
International Utility Structures (A)
10.750%, 02/01/08 600 564
International Wire Group
11.750%, 06/01/05 500 530
Intrawest
9.750%, 08/15/08 750 765
Intrawest (A)
9.750%, 08/15/08 250 255
Iridium LLC, Ser C
11.250%, 07/15/05 300 252
Iridium LLC (A)
14.000%, 07/15/05 750 715
ISP Holdings
9.000%, 10/15/03 500 527
ITC Deltacom
11.000%, 06/01/07 422 450
8.875%, 03/01/08 455 457
9.750%, 11/15/08 250 259
Ivaco
11.500%, 09/15/05 500 521
IXC Communications
9.000%, 04/15/08 1,300 1,287
Jackson Products (A)
9.500%, 04/15/05 900 898
Jacor Communications
9.750%, 12/15/06 450 498
8.000%, 02/15/10 750 777
James Cable
10.750%, 08/15/04 1,400 1,461
Jitney-Jungle Stores
10.375%, 09/15/07 450 463
John Q Hammons Hotels
8.875%, 02/15/04 500 456
Jones Intercable
9.625%, 03/15/02 350 376
8.875%, 04/01/07 350 380
Jordan Industries
10.375%, 08/01/07 1,000 1,034
- --------------------------------------------------------------------------------
80
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
Schedule of Investments (Unaudited)
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Jordan Telecom Products (B)
0.000%, 08/01/07 $ 1,000 $ 769
JPS Automotive Products
11.125%, 06/15/01 100 109
K-Mart
7.750%, 10/01/12 750 747
Kaiser Aluminum & Chemical, Ser B
10.875%, 10/15/06 600 604
KCS Energy
8.875%, 01/15/08 800 550
Keebler
10.750%, 07/01/06 450 489
Key Energy Group (A) (B)
0.000%, 09/15/99 1,150 1,104
Kitty Hawk
9.950%, 11/15/04 250 244
KMC Telecom Holdings (B)
0.000%, 02/15/08 1,250 602
Knoll
10.875%, 03/15/06 260 286
KSL Recreation Group
10.250%, 05/01/07 500 524
Lady Luck Gaming
11.875%, 03/01/01 650 663
Lamar Advertising (A)
9.625%, 12/01/06 450 487
LaRoche Industries
9.500%, 09/15/07 800 726
LDM Technologies
10.750%, 01/15/07 500 483
Leiner Health Products
9.625%, 07/10/07 500 519
Lenfest Communications
10.500%, 06/15/06 700 819
8.250%, 02/15/08 650 678
LES (A)
9.250%, 06/01/08 500 509
Leslie's Poolmart
10.375%, 07/15/04 800 830
Level 3 Communications
9.125%, 05/01/08 1,150 1,141
Level 3 Communications (A)
8.000%, 08/01/08 750 752
Level 3 Communications (A) (B)
0.000%, 12/01/08 1,250 730
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Liberty Group Operating
9.375%, 02/01/08 $ 500 $ 470
Liberty Group Publishings (B)
0.000%, 02/01/09 500 267
Lin Holdings (B)
0.000%, 03/01/08 500 351
Lodestar Holdings (A)
11.500%, 05/15/05 750 579
Loews Cineplex Entertainment (A)
8.875%, 08/01/08 1,000 1,033
Magellan Health Services (A)
9.000%, 02/15/08 850 759
Magnum Hunter Re
10.000%, 06/01/07 500 425
Mail-Well (A)
8.750%, 12/15/08 800 802
Majestic Star Casino
12.750%, 05/15/03 1,000 1,043
Marcus Cable (B)
0.000%, 08/01/04 600 600
0.000%, 12/15/05 1,000 959
Marsh Supermarket
8.875%, 08/01/07 500 523
Mastec
7.750%, 02/01/08 500 476
Maxim Group, Ser B
9.250%, 10/15/07 400 400
Maxxam Group Holdings, Ser B
12.000%, 08/01/03 400 405
McCaw International (B)
0.000%, 04/15/07 1,400 770
Mcleodusa
9.250%, 07/15/07 500 518
8.375%, 03/15/08 500 493
Mcleodusa (B)
0.000%, 03/01/07 1,250 955
MDC Communications
10.500%, 12/01/06 500 501
MDC Communications (A)
10.500%, 12/01/06 500 501
Mentus Media, PIK
0.000%, 02/01/03 896 896
Metallurg
11.000%, 12/01/07 800 765
- --------------------------------------------------------------------------------
81
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
Schedule of Investments (Unaudited)
SEI Institutional Managed Trust High Yield Bond Portfolio (continued)
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Metromedia Fiber (A)
10.000%, 11/15/08 $ 1,000 $ 1,028
Metronet Communications
12.000%, 08/15/07 500 556
Metronet Communications (B)
0.000%, 06/15/08 900 555
Microcell Telecommunication (A) (B)
0.000%, 06/01/06 1,000 759
MMI Products
11.250%, 04/15/07 500 544
Mohegan Tribal Gaming
13.500%, 11/15/02 750 903
Moog
10.000%, 05/01/06 500 501
Morris Materials Handling
9.500%, 04/01/08 400 291
Motor Coach Industries (B)
0.000%, 11/15/02 1,000 899
Motors & Gears
10.750%, 11/15/06 1,000 1,051
Mrs Fields (B)
0.000%, 12/01/05 800 446
Mrs Fields, Ser B
10.125%, 12/01/04 760 728
National Vision Association (A)
12.750%, 10/15/05 850 899
Ne Restaurant (A)
10.750%, 07/15/08 600 605
Nebraska Book
8.750%, 02/15/08 750 713
Neenah
11.125%, 05/01/07 500 516
Neff (A)
10.250%, 06/01/08 500 491
Nextel Communications (B)
0.000%, 08/15/04 500 486
0.000%, 09/15/07 900 579
0.000%, 02/15/08 1,400 844
Nextlink Communications
12.500%, 04/15/06 800 872
Nextlink Communications (A)
10.750%, 11/15/08 500 513
Nextlink Communications (B)
0.000%, 04/15/08 800 457
Niagra Mohawk Power
7.750%, 10/01/08 800 866
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
NL Industries
11.750%, 10/15/03 $ 350 $ 368
Northland Cable Television
10.250%, 11/15/07 1,000 1,053
Northwestern Steel & Wire
9.500%, 06/15/01 1,000 859
NS Group
13.500%, 07/15/03 300 323
NTL (A)
11.500%, 10/01/08 600 654
Nuevo Energy
9.500%, 04/15/06 400 391
Numatics
9.625%, 04/01/08 800 754
Ocean Energy
10.375%, 10/15/05 250 264
Octel Developments (A)
10.000%, 05/01/06 950 995
Offshore Logistics
7.875%, 01/15/08 750 714
Omega Cabinets
10.500%, 06/15/07 750 711
Optel
13.000%, 02/15/05 300 307
11.500%, 07/01/08 500 484
Orbital Imaging
11.625%, 03/01/05 950 943
Orion Network Systems
11.250%, 01/15/07 800 770
Owens & Minor
10.875%, 06/01/06 500 531
Oxford Automotive
10.125%, 06/15/07 1,000 1,028
10.125%, 06/15/07 200 207
P&L Coal (A)
8.875%, 05/15/08 250 255
Packaged Ice
9.750%, 02/01/05 1,000 983
Packaging Resources
11.625%, 05/01/03 500 501
Pagemart Nationwide (B)
0.000%, 02/01/05 750 667
Pantry
10.250%, 10/15/07 250 260
Paracelsus Healthcare
10.000%, 08/15/06 500 459
- --------------------------------------------------------------------------------
82
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
Schedule of Investments (Unaudited)
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Parker Drilling, Ser B
9.750%, 11/15/06 $ 1,000 $ 893
Pathmark Stores
9.625%, 05/01/03 1,000 983
Pathnet
12.250%, 04/15/08 750 600
Pegasus Communications (A)
9.750%, 12/01/06 500 501
Pegasus Communications, Ser B
9.625%, 10/15/05 550 549
Pegasus Shipping Hellas
11.875%, 11/15/04 600 545
Perkins Family Restaurant, Ser B
10.125%, 12/15/07 1,000 1,066
Perry-Judd
10.625%, 12/15/07 500 524
Petersburg Long Distance (A)
14.000%, 06/01/04 830 498
9.000%, 06/01/06 90 46
Phase Metrics (A)
10.750%, 02/01/05 500 351
Philipp Brothers Chemical (A)
9.875%, 06/01/08 1,000 978
Phillips Van-Heusen
9.500%, 05/01/08 1,000 1,001
Pierce Leahy (A)
9.125%, 07/15/07 450 475
Pillowtex
10.000%, 11/15/06 500 539
Plastic Containers
10.000%, 12/15/06 400 420
Players International
10.875%, 04/15/05 500 539
Playtex Products
8.875%, 07/15/04 400 415
Pogo Producing
8.750%, 05/15/07 500 469
Polymer Group, Ser B
9.000%, 07/01/07 600 593
Port Royal Holdings
10.250%, 10/01/07 900 916
Portola Packaging
10.750%, 10/01/05 200 204
Powertel
11.125%, 06/01/07 500 504
Premier Parks
9.250%, 04/01/06 500 524
9.750%, 01/15/07 500 544
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Price Comm Wireless
11.750%, 07/15/07 $ 250 $ 263
Price Communication Cellular, PIK
11.250%, 08/15/08 750 713
Price Communications Wire (A)
9.125%, 12/15/06 500 517
Pride Petroleum Services
9.375%, 05/01/07 500 471
Prime Hospitality
9.250%, 01/15/06 600 624
9.750%, 04/01/07 450 453
Primus Telecommunications
11.750%, 08/01/04 600 629
Printpack, Ser B
10.625%, 08/15/06 800 782
Production Resources Group
11.500%, 01/15/08 500 491
Psinet
10.000%, 02/15/05 950 938
Psinet (A)
11.500%, 11/01/08 350 363
PTC Intl Finance BV (B)
0.000%, 07/01/07 1,000 679
Pueblo Xtra International
9.500%, 08/01/03 1,000 953
Quest Diagnostic
10.750%, 12/15/06 450 498
Qwest Communications
10.875%, 04/01/07 500 576
Qwest Communications (B)
0.000%, 10/15/07 1,050 818
Ram Energy
11.500%, 02/15/08 500 329
Randall's Food Markets, Ser B
9.375%, 07/01/07 750 804
RCN (B)
0.000%, 02/15/08 1,300 700
Regal Cinemas (A)
8.875%, 12/15/10 450 447
Regal Cinimas (A)*
9.500%, 06/01/08 900 936
Regional Independent Media Group (A)
10.500%, 07/01/08 1,000 1,036
Renaissance Media Group (B)
0.000%, 04/15/08 1,000 659
Renco Metals
11.500%, 07/01/03 500 516
- --------------------------------------------------------------------------------
83
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
Schedule of Investments (Unaudited)
SEI Institutional Managed Trust High Yield Bond Portfolio (continued)
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Repap New Brunswick
10.625%, 04/15/05 $ 1,000 $ 668
Republic Engineered Steel
9.875%, 12/15/01 800 821
Republic Group (A)
9.500%, 07/15/08 700 683
Revlon Consumer Products*
8.625%, 02/01/08 500 459
Rifkin Acquisition Partners
11.125%, 01/15/06 750 820
Rio Hotel & Casino
10.625%, 07/15/05 300 326
9.500%, 04/15/07 300 327
Riverwood International
10.875%, 04/01/08 800 730
Rogers Cantel
9.375%, 06/01/08 500 529
Rogers Communications
9.125%, 01/15/06 400 416
8.875%, 07/15/07 350 361
Roma (A)
12.000%, 07/01/06 400 392
RSL Communications PLC
9.125%, 03/01/08 500 468
RSL Communications PLC (A)
12.000%, 11/01/08 750 803
Rural Cellular
9.625%, 05/15/08 500 501
Safelite Glass (A)
9.875%, 12/15/06 800 742
Safety Components
10.125%, 07/15/07 500 503
Salem Communications, Ser B
9.500%, 10/01/07 550 559
Santa Fe Hotel
11.000%, 12/15/00 821 797
SD Warren, Ser B
12.000%, 12/15/04 1,000 1,090
Sealy Mattress
9.875%, 12/15/07 500 469
Sealy Mattress (B)
0.000%, 12/15/07 500 299
SF Holdings Group (B)
0.000%, 03/15/08 1,000 329
SFX Broadcasting
10.750%, 05/15/06 394 431
SFX Broadcasting (A)
9.125%, 12/01/08 500 498
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Sheffield Steel, Ser B
11.500%, 12/01/05 $ 500 $ 403
Shop-Vac
10.625%, 09/01/03 625 680
Showboat Marina
13.500%, 03/15/03 250 290
Signature Brands USA
13.000%, 08/15/02 500 554
Silver Cinemas (A)
10.500%, 04/15/05 800 590
Simonds Industries (A)
10.250%, 07/01/08 300 307
Sinclair Broadcast
10.000%, 09/30/05 800 842
Sitel
9.250%, 03/15/06 500 399
Southwest Royalties, Ser B
10.500%, 10/15/04 500 219
Sovereign Specialty Chemical, Ser B
9.500%, 08/01/07 450 447
Spanish Broadcasting
11.000%, 03/15/04 500 530
Specialty Paperboard
9.375%, 10/15/06 500 505
Splitrock Services
11.750%, 07/15/08 700 634
Sprint Spectrum
11.000%, 08/15/06 1,040 1,204
Stanadyne Automotive
10.250%, 12/15/07 500 509
Stater Brothers
9.000%, 07/01/04 500 464
Station Casinos (A)
9.750%, 04/15/07 1,000 1,014
Sterling Chemical Holdings (B)
0.000%, 08/15/08 1,000 410
Stone Container (A)
11.500%, 08/15/06 400 403
Sun International Hotels
9.000%, 03/15/07 500 521
Sun Media
9.500%, 05/15/07 325 358
Synthetic Industries
9.250%, 02/15/07 400 412
T/SF Communications, Ser B
10.375%, 11/01/07 500 497
- --------------------------------------------------------------------------------
84
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
Schedule of Investments (Unaudited)
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Talton Holdings, Ser B
11.000%, 06/30/07 $ 500 $ 474
TCI Satellite Entertainment
10.875%, 02/15/07 500 184
TCI Satellite Entertainment (B)
0.000%, 02/15/07 900 179
Tekni-Plex
11.250%, 04/01/07 800 881
Telewest Communications
9.625%, 10/01/06 150 155
Telewest Communication (A)
11.250%, 11/01/08 500 560
Telewest Communications (B)
0.000%, 10/01/07 1,750 1,461
Teligent
11.500%, 12/01/07 500 469
Tenet Healthcare
8.625%, 01/15/07 500 534
Texas Petrochem
11.125%, 07/01/06 450 441
Therma-Wave
10.625%, 05/15/04 500 234
Thermadyne Holdings (A), (B)
0.000%, 06/01/08 550 270
Time Warner (A)
9.750%, 07/15/08 750 786
Titan Wheel International
8.750%, 04/01/07 500 480
Trans World Airlines
11.375%, 03/01/06 900 567
Transamerican Energy, Ser B
11.500%, 06/15/02 900 342
Tri-State Outdoor Media (A)
11.000%, 05/15/08 1,000 985
Trident Automotive
10.000%, 12/15/05 500 523
Tropical Sportswear International
11.000%, 06/15/08 500 526
Twin Laboratories
10.250%, 05/15/06 325 347
Unisys
12.000%, 04/15/03 550 616
11.750%, 10/15/04 500 581
7.875%, 04/01/08 400 423
United Artists Theatre
9.750%, 04/15/08 1,000 958
United International Holdings,
Ser B (B)
0.000%, 02/15/08 1,550 833
<PAGE>
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
United Refining
10.750%, 06/15/07 $ 500 $ 358
United Rentals (A)
9.250%, 01/15/09 1,000 1,000
Universal Compression (A) (B)
0.000%, 02/15/08 800 479
Universal Health Services
8.750%, 08/15/05 250 254
U.S. Office Products (A)
9.750%, 06/15/08 750 493
USN Communications, Ser B (B)
0.000%, 08/15/04 554 209
Vencor (A)
9.875%, 05/01/05 500 434
Venetian Casino
12.250%, 11/15/04 1,000 938
Verio
10.375%, 04/01/05 500 494
Viasystems
9.750%, 06/01/07 500 474
9.750%, 06/01/07 600 569
Viatel (B)
0.000%, 04/15/08 700 413
Walbro
10.125%, 12/15/07 500 489
Waste Systems International (A)
7.000%, 05/13/05 800 772
Waterford Gaming
12.750%, 11/15/03 473 509
Waxman Industries (B)
0.000%, 06/01/04 600 287
WCI Steel
10.000%, 12/01/04 1,000 995
Weirton Steel
11.375%, 07/01/04 250 231
Wells Aluminum
10.125%, 06/05/05 500 456
Werner Holdings
10.000%, 11/15/07 1,000 993
Western Federal Notes (B)
0.000%, 09/15/99 500 410
Western Wireless
10.500%, 06/01/06 400 418
10.500%, 02/01/07 300 314
Wheeling-Pittsburgh
9.250%, 11/15/07 750 696
WHX
10.500%, 04/15/05 750 688
William Carter (A)
10.375%, 12/01/06 500 546
- --------------------------------------------------------------------------------
85
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
Schedule of Investments (Unaudited)
SEI Institutional Managed Trust High Yield Bond Portfolio (continued)
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Winstar Communications (B)
0.000%, 10/15/05 $ 1,250 $ 923
Wiser Oil
9.500%, 05/15/07 600 413
World Color Press (A)
8.375%, 11/15/08 1,000 1,003
Worldwide Fiber (A)
12.500%, 12/15/05 750 750
Young Broadcasting
9.000%, 01/15/06 400 405
8.750%, 06/15/07 850 854
Ziff-Davis
8.500%, 05/01/08 1,000 963
--------
Total Corporate Obligations
(Cost $338,300) 325,628
--------
Units--1.6%
Australis Media 1 Unit = $1M
senior subordinate discount
note + 1 warrant (A) (B)
0.000%, 05/15/03 400 6
Colt Telecom Group 1 Unit = 1
senior discount note + 1
warrant (B)
0.000%, 12/15/06 600 528
County Seat Stores 1 Unit =
$1M senior note + 1 warrant (B)
0.000%, 11/01/04 500 375
Diva Systems 1 Unit = $1M
senior discount note + 3
warrants (B)
0.000%, 03/01/08 2,757 1,172
International Utility Structure
1 Unit = $1M senior exchanged
preferred + 1 warrant PIK
13.000%, 02/01/08 500 475
Long Distance International,
1 Unit = $1m Sr Notes +
1 Warrant
12.250%, 04/15/08 500 405
Pegasus Communications
1 Unit = $1M preferred
share + 1 warrant PIK* 2,500 253
Petersburg Long Distance
1 Unit = 1 Bond + 1 Warrant
to Buy 34 common shares (A)(B)
0.000%, 06/01/04 830 498
<PAGE>
- --------------------------------------------------------------------------------
Face Amount Market
Description (000)/Shares Value (000)
- --------------------------------------------------------------------------------
Rhythms Netconnections Unit (A),
1 Unit = $1m Sr. Disc
Notes + 4 Warrants
0.000%, 05/15/08 $ 1,200 $ 588
Startec Global Communication,
1 Unit = $1m Sr. Notes +
1 Warrant
12.000%, 05/15/08 500 433
Verio, 1 Unit = $1m Senior Note +
8 Warrants To Buy 1.7604
common shares
13.500%, 06/15/04 1,000 1,085
--------
Total Units
(Cost $7,436) 5,818
--------
Preferred Stocks--1.9%
Adelphia Communications* 2,500 285
Ameriking PIK
0.000%, 12/01/08 2,422,799 594
Benedek Communications PIK* 500,000 415
Coinstar* 4,545 49
Diva Systems, Ser C* 41,615 474
GPA Group, PLC (A)* 1,000,000 521
Granite Ltd* 106 10
Intermedia Communication* 305 307
Intermedia Communication* 20,000 360
Jordan Telecommunication* 500 475
Nextel Communications PIK* 583 618
Nextel Communications PIK* 3,230 291
Nextlink Communications* 6,144 320
Optel* 300
Pegasus Communications* 440 46
Primedia* 4,000 417
Renaissance Cosmetics (A)* 5,890 6
Renaissance Cosmetics* 40
SD Warren, Ser B* 20,000 1,020
Siligan Holdings
07/15/06 336,000 365
Viatel* 352 39
--------
Total Preferred Stocks
(Cost $6,506) 6,612
--------
- --------------------------------------------------------------------------------
86
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
Schedule of Investments (Unaudited)
- --------------------------------------------------------------------------------
Face Amount Market
Description (000)/Shares Value (000)
- --------------------------------------------------------------------------------
U.S. Government Agency Obligation--4.9%
FHLB Discount Note
5.500%, 01/04/99 $ 17,380 $ 17,374
--------
Total U.S. Government Agency Obligation
(Cost $17,374) 17,374
--------
Warrants--0.3%
Advanced Radio Telecom* 7 30
American Communication Services* 1 7
Ampex (A)* 34 26
Bell Technology* -- 1
Clearnet* 1 --
Concentric Network* -- 77
Crown Packaging* 100 --
Diva System* 1 256
E.spire Communications* -- 55
Globalstar Telecom* -- 36
Golden Ocean Group* -- 3
Hyperion* 1 16
Intermedia Communications of Florida* -- 17
International Utility* -- 3
Jordan Telecommunication Products (A)* -- 1
KMC Telecom Holdings * 1 3
Loral Orion Network Systems* -- 8
Mccaw International* 1 7
Metronet (A)* -- 2
Microcell Telecom Conditional* 2 --
Microcell Telecomm (A)* 2 31
Nextlink Communications* 5 --
Orbital Imaging (A)* -- 39
Price Communications* 3 151
Primus Telecommunications* -- 3
SF Holdings (A)* 2 4
USN Communication* 11 12
Verio* 8 272
Wireless One* -- 1
--------
Total Warrants
(Cost $102) 1,061
--------
Total Investments--100.0%
(Cost $369,718) 356,493
--------
Total Net Assets--100.0% $356,493
========
<PAGE>
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
* Non-income producing security
(A) Security sold within the terms of a private placement memorandum, exempt
from registration under section (A) of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." This security has been determined to be liquid under
the guidelines established by the Board of Directors.
(B) Step Bond -- The rate shown is the rate in effect at 12/31/98 and will reset
at a future date.
FHLB -- Federal Home Loan Bank
LL C -- Limited Liability Company
Ltd -- Limited
PIK -- Payment In Kind
PLC -- Public Limited Company
Ser -- Series
Amounts designated as "--" are zero or have been rounded to zero
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
87
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statement (continued}
Schedule of Investments (continued}
SEI Index Funds S&P 500 Index Portfolio
- ------------------------------------------------------------------
Market
Description Shares Value (000)
- ------------------------------------------------------------------
Common Stocks--98.7%
Aerospace & Defense--0.2%
Raytheon Company, Cl B 68,340 $ 3,639
---------
Agriculture--0.1%
Pioneer Hi Bred International 49,000 1,323
---------
Air Transportation--0.4%
AMR* 36,970 2,195
Delta Air Lines 28,970 1,506
FDX* 29,902 2,661
Southwest Airlines 68,200 1,530
US Air Group* 17,765 924
---------
8,816
---------
Aircraft--1.4%
Allegheny Teledyne 39,748 812
Allied Signal 113,540 5,031
Boeing 202,671 6,612
General Dynamics 25,660 1,504
Lockheed Martin 39,816 3,374
Northrop 13,965 1,021
Rockwell International 38,730 1,881
Textron 32,110 2,438
United Technologies 45,830 4,984
---------
27,657
---------
Apparel/Textiles--0.1%
Fruit of the Loom, Cl A* 14,500 200
Liz Claiborne 13,050 412
Russell 7,265 148
Springs Industries, Cl A 3,870 160
VF 24,260 1,137
---------
2,057
---------
Automotive--1.6%
Cooper Tire & Rubber 15,400 315
Dana 33,557 1,372
Eaton 14,530 1,027
Fleetwood Enterprises 6,890 239
Ford Motor 245,440 14,404
General Motors 132,730 9,499
Genuine Parts 36,492 1,220
Goodyear Tire & Rubber 31,670 1,597
ITT Industries 21,065 837
Navistar International* 13,726 391
Paccar 15,708 646
TRW 24,220 1,361
---------
32,908
---------
<PAGE>
- ------------------------------------------------------------------
Market
Description Shares Value (000)
- ------------------------------------------------------------------
Banks--7.1%
Bank of New York 154,300 $ 6,211
Bank One 237,501 12,127
BankAmerica 351,012 21,105
Bankboston 59,760 2,327
Bankers Trust New York 19,185 1,639
BB&T 59,700 2,407
Chase Manhattan 170,855 11,629
Comerica 31,550 2,151
Fifth Third Bancorp 54,150 3,862
First Union 200,914 12,218
Fleet Financial Group 115,232 5,149
Golden West Financial 11,505 1,055
Huntington Bancshares 42,770 1,286
J.P. Morgan 35,430 3,722
KeyCorp 92,342 2,955
Mellon Bank 53,010 3,644
Mercantile Bancorp 31,900 1,471
National City 67,100 4,865
Northern Trust 22,500 1,965
PNC Bank 61,060 3,305
Regions Financial 44,900 1,810
Republic New York 21,700 989
State Street 32,500 2,261
Summit Bancorp 35,200 1,538
SunTrust Banks 42,530 3,254
Synovus Financial 54,200 1,321
U.S. Bancorp 147,131 5,223
Union Planters 27,600 1,251
Wachovia 41,478 3,627
Washington Mutual 115,324 4,404
Wells Fargo 327,952 13,098
---------
143,869
---------
Broadcasting, Newspapers & Advertising--0.5%
Clear Channel Communications* 50,400 2,747
Mediaone Group* 123,060 5,784
Omnicom Group 34,200 1,984
---------
10,515
---------
Chemicals--1.6%
Air Products & Chemicals 46,940 1,878
Avery Dennison 23,630 1,065
B.F. Goodrich 15,050 540
Dow Chemical 44,850 4,079
E.I. du Pont de Nemours 228,290 12,114
Eastman Chemical 16,091 720
FMC* 7,065 396
- -------------------------------------------------------------------------------
88
<PAGE>
Schedule of Investments (continued}
- ------------------------------------------------------------------
Market
Description Shares Value (000)
- ------------------------------------------------------------------
Great Lakes Chemical 12,000 $ 480
Hercules 20,395 558
Monsanto 127,050 6,035
Morton International 24,595 603
Nalco Chemical 13,300 412
Praxair 31,965 1,127
Rohm & Haas 33,805 1,018
Union Carbide 26,965 1,146
W.R. Grace* 15,300 240
---------
32,411
---------
Communications--9.7%
Airtouch Communications* 115,990 8,366
Alltel 55,682 3,331
Ameritech 223,720 14,178
Andrew* 17,415 287
AT&T 366,299 27,564
Bell Atlantic 314,814 16,685
BellSouth 392,760 19,589
Comcast, Cl A* 74,827 4,391
GTE 195,780 12,726
Harris* 16,130 591
Interpublic Group 28,150 2,245
Lucent Technologies 266,646 29,331
Marriott International, Cl A* 50,740 1,471
Motorola 121,760 7,435
Northern Telecom Ltd. 132,250 6,629
SBC Telecommunications 396,732 21,275
Scientific-Atlanta 15,184 346
Sodexho Marriott Services* 3,317 92
Sprint 87,400 7,353
Tele-Communications, Cl A* 109,107 6,035
Tellabs* 39,400 2,701
Viacom, Cl B* 70,500 5,217
---------
197,838
---------
Communications Equipment--0.2%
Ascend Communications* 44,000 2,893
General Instrument* 33,900 1,151
---------
4,044
---------
Computers & Services--11.6%
Apple Computer* 27,320 1,118
Cabletron Systems* 33,400 280
Ceridian* 14,665 1,024
Cisco Systems* 320,250 29,723
Compaq Computer* 344,756 14,458
Computer Associates International 109,152 4,653
- ------------------------------------------------------------------
Market
Description Shares Value (000)
- ------------------------------------------------------------------
Computer Sciences* 32,120 $ 2,070
Data General* 10,070 166
Dell Computer* 258,300 18,904
EMC* 101,800 8,653
First Data 89,804 2,846
Gateway 2000* 15,300 783
Hewlett Packard 210,360 14,370
IBM 189,260 34,966
Microsoft* 503,700 69,857
Novell* 71,400 1,294
Oracle Systems* 197,143 8,502
Pitney Bowes 55,320 3,655
Seagate Technology* 49,700 1,503
Shared Medical Systems 5,295 264
Silicon Graphics* 38,000 489
Sun Microsystems* 77,200 6,610
Tandy 20,194 832
Texas Instruments 79,120 6,770
Unisys* 51,785 1,783
---------
235,573
---------
Construction--0.3%
Armstrong World Industries 8,065 486
Centex 11,980 540
Fluor 15,730 670
Foster Wheeler 8,165 108
Halliburton 89,210 2,643
McDermott International 12,165 300
Owens-Corning Fiberglass 10,865 385
---------
5,132
---------
Containers & Packaging--0.1%
Ball 6,295 288
Crown Cork & Seal 24,785 764
Owens-Illinois* 31,500 965
---------
2,017
---------
Electrical Services--0.4%
AES* 36,600 1,734
Ameren 27,800 1,187
Consolidated Edison 47,290 2,500
FirstEnergy* 48,105 1,566
New Century Energies 23,200 1,131
---------
8,118
---------
Electronic & Other Electrical Equipment--3.0%
3Com* 72,700 3,258
Advanced Micro Devices* 29,330 849
- -------------------------------------------------------------------------------
89
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statement (continued}
Schedule of Investments (continued}
SEI Index Funds S&P 500 Index Portfolio
- ------------------------------------------------------------------
Market
Description Shares Value (000)
- ------------------------------------------------------------------
AMP 44,378 $ 2,310
Autodesk 9,400 401
Automatic Data Processing 61,220 4,909
Honeywell 25,560 1,925
Intel 338,040 40,079
Johnson Controls 17,030 1,005
LSI Logic* 28,600 461
Micron Technology 43,300 2,189
Millipore 8,790 250
National Semiconductor* 33,712 455
Perkin Elmer 10,065 982
Solectron* 24,200 2,249
Tektronix 9,555 287
Thomas & Betts 11,540 500
---------
62,109
---------
Entertainment--0.0%
Mirage Resorts* 36,500 545
---------
Environmental Services--0.4%
Browning-Ferris Industries 35,235 1,002
Ecolab 26,200 948
Laidlaw 66,900 673
Waste Management Inc* 116,514 5,432
---------
8,055
---------
Financial Services--4.0%
American Express 91,647 9,371
Associates First Capital 146,492 6,208
Bear Stearns 22,700 848
Capital One Financial 13,300 1,530
Charles Schwab 81,350 4,571
Countrywide Credit Industries 22,700 1,139
Equifax 29,900 1,022
FHLM 137,600 8,867
FNMA 210,260 15,559
Franklin Resources 51,300 1,642
Household International 97,891 3,879
Lehman Brothers Holding 23,900 1,053
MBNA 152,512 3,803
Merrill Lynch 71,900 4,799
Morgan Stanley 117,061 8,311
SLM Holding 33,600 1,613
Transamerica 12,630 1,459
--------
75,674
--------
- ------------------------------------------------------------------
Market
Description Shares Value (000)
- ------------------------------------------------------------------
Food, Beverage & Tobacco--7.1%
Adolph Coors, Cl B 7,465 $ 421
Agribrands International Inc* 2,156 65
Anheuser Busch 96,900 6,359
Archer-Daniels-Midland 120,342 2,068
Bestfoods 57,920 3,084
Brown-Forman, Cl B 13,860 1,049
Campbell Soup 90,860 4,997
Coca-Cola Company 492,960 32,967
Coca-Cola Enterprises 79,500 2,842
Conagra 99,284 3,127
Fortune Brands 34,640 1,096
General Mills 30,960 2,407
H.J. Heinz 73,420 4,157
Hershey Foods 29,000 1,803
Kellogg 82,180 2,804
PepsiCo 297,580 12,182
Philip Morris 493,730 26,415
Quaker Oats 27,660 1,646
Ralston-Ralston Purina Group 63,280 2,049
RJR Nabisco 65,900 1,956
Safeway* 98,600 6,008
Sara Lee 185,960 5,242
Seagram 79,900 3,036
Supervalu 24,460 685
Sysco 67,720 1,858
Unilever NV, ADR 129,840 10,769
UST 37,740 1,316
William Wrigley, Jr. 23,605 2,114
---------
144,522
---------
Footwear--0.1%
Nike, Cl B 58,020 2,353
Reebok International 11,320 168
---------
2,521
---------
Gas/Natural Gas--0.1%
Oneok* 6,400 231
Sempra Energy* 48,627 1,234
---------
1,465
---------
Glass Products--0.3%
Corning 46,860 2,109
Newell 33,000 1,361
PPG Industries 35,890 2,091
---------
5,561
---------
Health Services--0.1%
Cardinal Health 40,690 3,087
---------
- ---------------------------------------------------------------
90
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
Schedule of Investments (continued}
- ------------------------------------------------------------------
Market
Description Shares Value (000)
- ------------------------------------------------------------------
Household Products--3.1%
Alberto-Culver, Cl B 11,180 $ 298
Avon Products 53,240 2,356
Clorox 20,870 2,438
Colgate Palmolive 59,388 5,516
Danaher 27,100 1,472
Gillette 224,976 10,869
International Flavors & Fragrances 21,495 950
Jostens 7,350 193
Masco 68,780 1,977
Maytag 18,230 1,135
Minnesota Mining &
Manufacturing 81,430 5,792
National Service Industries 8,485 322
Procter & Gamble 269,108 24,573
Raychem 16,030 518
Rubbermaid 30,460 958
Sherwin Williams 34,860 1,024
Snap-On Tools 11,897 414
Stanley Works 18,030 500
Tupperware 11,550 190
Whirlpool 15,405 853
---------
62,348
---------
Insurance--4.4%
Aetna 28,987 2,279
Allstate* 166,404 6,427
American General 51,139 3,989
American International Group 212,958 20,577
Aon 34,450 1,908
Chubb 33,060 2,145
Cigna 39,990 3,092
Cincinnati Financial 33,900 1,242
Citigroup 460,771 22,808
Conseco 63,753 1,948
Hartford Financial Services Group 47,330 2,597
Jefferson Pilot 21,405 1,605
Lincoln National 20,530 1,680
Loews 23,200 2,279
Marsh & McLennan 52,215 3,051
MBIA 20,100 1,318
MGIC Investment 22,200 884
Progressive of Ohio 14,600 2,473
Provident 27,400 1,137
Providian Financial 28,695 2,152
SAFECO 27,620 1,186
St. Paul 47,776 1,660
SunAmerica 44,000 3,570
- ------------------------------------------------------------------
Market
Description Shares Value (000)
- ------------------------------------------------------------------
Torchmark 28,474 $ 1,006
United Healthcare 37,800 1,628
UNUM 28,100 1,640
---------
96,281
---------
Lumber & Wood Products--0.1%
Georgia-Pacific 17,800 1,042
Louisiana-Pacific 22,112 405
---------
1,447
---------
Machinery--4.7%
Aeroquip-Vickers 5,715 171
Applied Materials* 74,900 3,197
Baker Hughes 66,348 1,174
Black & Decker 17,835 1,000
Briggs & Stratton 4,940 246
Brunswick 19,430 481
Case Equipment 14,900 325
Caterpillar 73,000 3,358
Cooper Industries 20,995 1,001
Crane 13,819 417
Cummins Engine 8,540 303
Deere 48,690 1,613
Dover 45,240 1,657
Emerson Electric 89,330 5,404
General Electric 660,360 67,398
Harnischfeger Industries 9,705 99
Illinois Tool Works 50,740 2,943
Ingersoll Rand 33,305 1,563
Kaufman & Broad Home 8,137 234
Milacron 7,995 154
NACCO Industries, Cl A 1,625 150
Pall 24,993 633
Parker-Hannifin 22,278 730
PULTE 8,790 244
Tenneco 34,512 1,176
Timken 12,540 237
W.W. Grainger 19,680 819
---------
96,727
---------
Marine Transportation--0.3%
Carnival, Cl A 120,800 5,798
---------
Measuring Devices--0.1%
KLA Instruments* 17,700 768
Mallinckrodt 14,485 446
Thermo Electron* 32,200 545
---------
1,759
---------
- -------------------------------------------------------------------------------
91
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
Schedule of Investments (Unaudited)
SEI Index Funds S&P 500 Index Portfolio (continued)
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Medical Products & Services--11.7%
Abbott Laboratories 307,820 $ 15,083
Allergan 13,400 868
Alza* 17,700 925
American Home Products 267,280 15,051
Amgen* 51,600 5,395
Bausch & Lomb 11,380 683
Baxter International 57,973 3,728
Becton, Dickinson 50,120 2,140
Biomet* 22,800 918
Boston Scientific* 79,700 2,137
Bristol-Myers Squibb 201,540 26,969
C.R. Bard 10,835 536
Columbia HCA Healthcare 130,959 3,241
Eli Lilly 223,020 19,821
Guidant 30,600 3,374
Hcr Manor Care* 22,447 659
Healthsouth Rehabilitation* 85,812 1,325
Humana* 33,900 604
Johnson & Johnson 272,740 22,876
Medtronic 99,440 7,383
Merck 241,525 35,670
Pfizer 260,740 32,707
Pharmacia & Upjohn 103,042 5,835
Schering Plough 298,020 16,466
Sigma Aldrich 20,400 599
St. Jude Medical 16,950 469
Tenet Healthcare* 62,760 1,647
Warner Lambert 166,560 12,523
----------
239,632
----------
Metal & Metal Industries--0.6%
Alcan Aluminum 46,152 1,249
Aluminum Company of America 37,333 2,784
Asarco 8,065 122
Barrick Gold 75,600 1,474
Battle Mountain Gold Cl A 46,600 192
Bethlehem Steel* 26,330 221
Cyprus AMAX Minerals 18,402 184
Engelhard 29,117 568
Freeport-McMoran Copper &
Gold, Cl B 33,600 351
Homestake Mining 48,500 446
Inco 33,700 356
Newmont Mining 33,922 613
Nucor 17,680 765
Phelps Dodge 11,830 602
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Placer Dome Group 50,729 $ 583
Reynolds Metals 13,035 687
USX-U.S. Steel Group 17,867 411
Worthington Industries 18,722 234
----------
11,842
----------
Miscellaneous Business Services--0.8%
Adobe Systems 13,300 622
BMC Software* 43,700 1,947
Cendant* 173,010 3,298
Electronic Data Systems 99,900 5,020
HBO 94,300 2,705
Parametric Technology* 55,200 897
Peoplesoft* 47,300 896
----------
15,385
----------
Miscellaneous Manufacturing--0.5%
Tyco International Ltd 130,651 9,856
----------
Oil & Gas--4.8%
Amerada Hess 18,430 917
Amoco 193,590 11,422
Ashland 15,525 751
Atlantic Richfield 65,160 4,252
Burlington Resources 35,963 1,288
Chevron 132,320 10,974
Coastal 43,104 1,506
Exxon 483,090 35,326
Helmerich & Payne 10,190 197
Kerr McGee 9,635 369
Mobil 158,190 13,782
Occidental Petroleum 70,530 1,190
Oryx Energy* 21,570 290
Phillips Petroleum 51,635 2,201
Rowan* 16,905 169
Schlumberger 110,734 5,108
Texaco 108,420 5,733
Unocal 48,990 1,430
USX-Marathon Group 62,335 1,878
----------
98,783
----------
Paper & Paper Products--0.9%
Bemis 10,790 409
Boise Cascade 11,431 354
Champion International 19,400 786
Fort James 44,727 1,789
International Paper 62,279 2,791
Kimberly-Clark 109,874 5,988
Mead 20,720 607
- --------------------------------------------------------------------------------
92
<PAGE>
- -------------------------------------------------------------- [graphic omitted]
December 31, 1998
Schedule of Investments (Unaudited)
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Potlatch 5,870 $ 216
Temple-Inland 11,290 670
Union Camp 13,955 942
Westvaco 20,490 549
Weyerhaeuser 40,370 2,051
Willamette Industries 22,400 750
----------
17,902
----------
Petroleum & Fuel Products--0.1%
Anadarko Petroleum 24,400 753
Apache 19,900 504
Union Pacific Resources 50,891 461
----------
1,718
----------
Petroleum Refining--1.0%
Royal Dutch Petroleum 431,840 20,674
Sunoco 18,870 681
----------
21,355
----------
Photographic Equipment & Supplies--0.6%
Eastman Kodak 65,665 4,728
Polaroid 8,758 164
Xerox 66,475 7,844
----------
12,736
----------
Printing & Publishing--1.5%
American Greetings, Cl A 14,400 591
Deluxe 16,255 594
Dow Jones 18,900 910
Gannett 57,070 3,681
Knight-Ridder 15,870 811
McGraw-Hill 20,070 2,045
Meredith 10,580 401
Moore 17,800 196
New York Times, Cl A 36,960 1,282
R.R. Donnelley & Sons 27,660 ,212
Time Warner 248,828 15,443
Times Mirror, Cl A 16,165 905
Tribune 24,060 1,588
----------
29,659
----------
Professional Services--0.4%
Dun & Bradstreet* 34,032 1,074
EG&G 9,140 254
H&R Block 20,370 917
Ikon Office Solutions 27,530 236
Ims Health* 32,832 2,477
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Paychex 33,200 $ 1,708
Service International 52,344 1,992
----------
8,658
----------
Recreational Products & Services--0.8%
Harrah's Entertainment* 20,585 323
Hasbro 26,578 960
Hilton Hotels 52,905 1,012
King World Productions* 14,824 436
Mattel 58,465 1,334
Walt Disney 415,501 12,465
----------
16,530
----------
Repair Services--0.0%
Midas * 100 3
----------
Retail--6.9%
Albertson's 49,840 3,174
American Stores 55,720 2,058
Autozone* 31,000 1,021
Circuit City Stores 20,300 1,014
Consolidated Stores* 22,224 449
Costco* 43,858 3,166
CVS 79,113 4,351
Darden Restaurants* 28,160 507
Dayton-Hudson 89,180 4,838
Dillards Incorporated, Cl A 21,620 613
Dollar General 37,475 885
Federated Department Stores* 41,900 1,825
Fred Meyer* 31,300 1,886
Great Atlantic & Pacific Tea 7,665 227
Harcourt General 14,266 759
Home Depot 317,022 19,398
J.C. Penney 51,530 2,415
Kmart* 99,980 1,531
Kohls* 32,100 1,972
Kroger* 51,960 3,144
Longs Drug Stores* 7,790 292
Lowe's 71,520 3,661
May Department Stores 47,362 2,860
McDonald's 137,200 10,513
Nordstrom 30,160 1,046
Pep Boys 12,950 203
Rite Aid 52,460 2,600
Sears Roebuck 77,725 3,303
Staples* 63,200 2,761
- --------------------------------------------------------------------------------
93
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
Schedule of Investments (Unaudited)
SEI Index Funds S&P 500 Index Portfolio (continued)
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
The Gap 117,420 $ 6,605
The Limited 46,212 1,346
TJX 65,340 1,895
Toys "R" Us* 52,965 894
Tricon Global Restaurants* 30,898 1,549
Venator Group* 27,520 177
Wal-Mart Stores 456,920 37,210
Walgreen 101,180 5,925
Wendy's International 25,475 556
Winn Dixie Stores 30,160 1,353
----------
139,982
----------
Rubber & Plastic--0.0%
Sealed Air* 9,909 506
----------
Specialty Machinery--0.2%
CBS 143,080 4,686
----------
Telephones & Telecommunication--1.8%
Frontier 34,800 1,183
MCI WorldCom* 371,807 26,677
Nextel Communications, Cl A* 58,300 1,377
Sprint Corp (PCS Group)* 84,250 1,948
US West 101,915 6,586
----------
37,771
----------
Transportation Services--0.5%
Burlington Northern-Santa Fe 95,100 3,210
CSX 44,318 1,839
Norfolk Southern 76,900 2,437
Ryder System 14,530 378
Union Pacific 50,140 2,259
----------
10,123
----------
Utilities, Electric & Gas--2.5%
American Electric Power 38,825 1,827
Baltimore Gas & Electric 30,295 935
Carolina Power & Light 30,700 1,445
Central & South West 43,100 1,183
Cinergy 32,192 1,107
Columbia Gas System 16,972 980
Consolidated Natural Gas 19,330 1,044
Dominion Resources 39,575 1,850
- --------------------------------------------------------------------------------
Shares/Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
DTE Energy 29,435 $ 1,262
Duke Power 73,406 4,703
Eastern Enterprises 4,591 201
Edison International 71,540 1,994
Enron 67,084 3,828
Entergy 50,020 1,557
FPL Group 36,728 2,263
General Public Utilities 26,000 1,149
Houston Industries 57,651 1,852
Niagara Mohawk Power* 42,265 682
Nicor 9,700 410
Northern States Power 30,920 858
Pacificorp 60,300 1,270
PECO Energy 45,475 1,893
Peoples Energy 7,140 285
PG&E 77,545 2,443
PP&L Resources 30,700 856
Public Service Enterprise Group 46,183 1,847
Sonat 22,330 604
Southern 141,426 4,110
Texas Utilities 60,635 2,831
UNICOM 43,995 1,697
Williams 86,790 2,707
----------
51,673
----------
Total Common Stocks
(Cost $1,092,644) 2,012,616
----------
Preferred Stock--0.0%
Paper & Paper Products--0.0%
Sealed Air Convertible, Ser A 6,877 357
----------
Total Preferred Stock
(Cost $286) 357
----------
U.S. Treasury Obligation--0.2%
U.S. Treasury Bill (A)
4.350%, 03/04/99 $3,000 2,978
----------
Total U.S. Treasury Obligation
(Cost $2,979) 2,978
----------
- --------------------------------------------------------------------------------
94
<PAGE>
- -------------------------------------------------------------- [graphic omitted]
December 31, 1998
Schedule of Investments (Unaudited)
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Repurchase Agreement--1.1%
J.P. Morgan
4.95%, dated 12/31/98, matures
01/04/99, repurchase price
$23,009,074 (collateralized by
various GNMA obligations,
par value $23,456,740) (B) $22,996 $ 22,996
----------
Total Repurchase Agreements
(Cost $22,996) 22,996
----------
Total Investments--100.0%
(Cost $1,118,905) 2,038,947
----------
Total Net Assets--100.0% $2,038,947
----------
----------
(A) Security pledged as collateral on open futures contracts.
(B) Tri-party repurchase agreement.
* Non-Income producing security.
ADR -- American Depository Receipt
Cl -- Class
- --------------------------------------------------------------------------------
95
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
Statements of Assets and Liabilities (000) (Unaudited)
as of December 31, 1998
<TABLE>
<CAPTION>
-------------------------------------------------------
SEI Institutional SEI Index Funds
Managed Trust High Yield S&P 500 Index
Bond Portfolio Portfolio
-------------------------------------------------------
Assets:
<S> <C> <C>
Investments at value (cost $369,718 and
$1,118,905 respectively) $356,493 $2,038,947
Accrued income 7,333 2,218
Investment Securities sold -- 296
Capital shares sold 4 215
Income and other receivables -- 84
-------------------------------------------------------
Total assets 363,830 2,041,760
-------------------------------------------------------
Liabilities:
Income distributions payable 2,807 --
Investment securities purchased 750 2,263
Accrued expenses 270 511
Capital shares redeemed -- 59
Other liabilities 376 693
-------------------------------------------------------
Total liabilities 4,203 3,526
-------------------------------------------------------
Total net assets 359,627 2,038,234
-------------------------------------------------------
Net Assets:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based on
33,673,539 and 37,704,889 outstanding shares of
beneficial interest, respectively 373,290 562,526
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on 0
and 15,350,378 outstanding shares of beneficial
interest, respectively -- 439,471
Undistributed net investmment income (10) 5,372
Accumulated net realized gain (loss) on investments (428) 110,102
Net unrealized appreciation (depreciation) on investments (13,225) 920,763
-------------------------------------------------------
Total Net Assets--100.0% 359,627 2,038,234
-------------------------------------------------------
Net Asset Value, Offering and Redemption Price
Per Share -- Class I $ 10.68 $38.44
Net Asset Value, Offering and Redemption Price
Per Share-- Class A $ -- $38.37
=======================================================
</TABLE>
Amounts designated as "--" are either $0 or have been rounded to $0.
- --------------------------------------------------------------------------------
96
<PAGE>
- --------------------------------------------------------------------------------
[LOGO]
December 31, 1998
Report of Independent
Public Accountants
To the Shareholders and Trustees of The Pillar Funds:
We have audited the accompanying statements of net assets of the U.S. Treasury
Securities Money Market, Prime Obligation Money Market, Tax-Exempt Money Market,
U.S. Treasury Securities Plus Money Market, Institutional Select Money Market,
Fixed Income, High Yield Bond, New Jersey Municipal Securities,
Intermediate-Term Government Securities, Pennsylvania Municipal Securities,
Equity Growth, Equity Value, Equity Income, Mid Cap, Balanced, and International
Equity Funds and the statement of assets and liabilities, including the schedule
of investments, of the Equity Index Fund of The Pillar Funds (the "Trust") as of
December 31, 1998, and the related statements of operations, changes in net
assets, and financial highlights for the periods presented. These financial
statements and financial highlights are the responsibility of the Trust's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights. Our procedures included confirmation of
securities owned as of December 31, 1998, by correspondence with the custodian
and application of alternative 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
U.S. Treasury Securities Money Market, Prime Obligation Money Market, Tax-Exempt
Money Market, U.S. Treasury Securities Plus Money Market, Institutional Select
Money Market, Fixed Income, High Yield Bond, New Jersey Municipal Securities,
Intermediate-Term Government Securities, Pennsylvania Municipal Securities,
Equity Growth, Equity Value, Equity Income, Equity Index, Mid Cap, Balanced, and
International Equity Funds of The Pillar Funds as of December 31, 1998, the
results of their operations, changes in their net assets, and financial
highlights for the periods presented, in conformity with generally accepted
accounting principles.
ARTHUR ANDERSEN LLP
Philadelphia, PA
February 12, 1999
- --------------------------------------------------------------------------------
97
<PAGE>
- --------------------------------------------------------------------------------
Notice to Shareholders of the
Pillar Funds (Unaudited)
Dear Pillar Shareholders:
For the fiscal year ended December 31, 1998, each Fund is designating the
following items with regard to distributions paid during the year.
<TABLE>
<CAPTION>
Long Term
(20% rate) Ordinary
Capital Gains Income Tax Exempt Qualifying
Distributions Distributions Income Dividends Foreign
Portfolio (Tax Basis) (Tax Basis) Distribution Total (1) Tax Credit
- -------- ------------- ------------- ------------ ----- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
U.S. Treasury Securities
MM Fund 0% 100% 0% 100% 0% 0%
Prime Obligations MM Fund 0 0 0 100 0 0
Tax-Exempt MM Fund 0 6 94 100 0 0
U.S. Treasury Securities
Plus MM Fund 0 100 0 100 0 0
Institutional Select Money Market Fund 0 100 0 100 0 0
Fixed Income Fund 9 91 0 100 0 0
New Jersey Municipal
Securities Fund 6 0 94 100 0 0
Intermediate-Term Government
Securities Fund 0 100 0 100 0 0
Pennsylvania Municipal
Securities Fund 24 6 70 100 0 0
Equity Growth Fund 59 41 0 100 7 0
Equity Value Fund 72 28 0 100 71 0
Equity Income Fund 57 43 0 100 94 0
Mid Cap Fund 93 7 0 100 4 0
Balanced Fund 15 85 0 100 39 0
High Yield Bond Fund 0 100 0 100 0 0
Equity Index Fund 0 100 0 100 0 0
International Equity Fund 3 97 0 100 0 16
</TABLE>
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction.
None of the Funds qualify in California, Connecticut or New York to pass
through exempt interest dividends from U.S. government obligations.
- --------------------------------------------------------------------------------
98
<PAGE>
- --------------------------------------------------------------------------------
Notes
- --------------------------------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
Notes
- --------------------------------------------------------------------------------
<PAGE>
The Pillar Funds
Annual Report
-----------------------------
December 31, 1998
Investment Adviser
Summit Bank
Administrator
SEI Investments Mututal Fund Services
Oaks, PA 19456
Distributor
SEI Investments Distribution Co.
Oaks, PA 19456
-----------------------------
Summit Bank serves as investment advisor and custodian to The Pillar Funds.
The Pillar Funds are distributed by SEI Investments Distribution Co.,
Oaks, PA 19456. SEI Investments Distribution Co. is not affiliated with
Summit Bank. The Pillar Funds, Pillar, Your Investment Foundation and the
stylized "P" logo are registered service marks of Summit Bank. Summit and
Summit Bancorp are registered service marks of Summit Bancorp. Summit Bank
is a service mark of Summit Bancorp.
This information must be preceded or accompanied by a current prospectus.
For more information call, 1-800-932-7782. Read it carefully before you
invest or send money.
