SEMI-ANNUAL REPORT
To Shareholders
June 30, 1999
(Pillar LOGO)
[GRAPHIC OMITTED]
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TABLE OF CONTENTS
Letter to Shareholders .............................. 1
Statement of NetAssets .............................. 4
Statement of Operations ............................. 39
Statements of Changes in Net Assets ................. 42
Financial Highlights ................................ 48
Notes to Financial Statements ....................... 54
NOT
FDIC
INSURED
MAY LOSE VALUE
NO BANK GUARANTEE
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JUNE 30, 1999 (UNAUDITED)
Letter to Shareholders
INDUSTRIAL STOCKS OUTPERFORMED THE S&P 500
During the second quarter of the year, the Dow Jones Industrial Average rose
more than 12% -- nearly double the performance of the S&P 500. This trend in out
performance by "industrial America" stocks was established late in the first
quarter and continued into the early part of the second quarter when optimism
about renewed global growth was at a high. In June, growth-oriented averages,
including the S&P 500, were again the focus and interest in small and mid-cap
stocks also increased.
INTEREST RATE INCREASE BY THE FEDERAL RESERVE
In contrast, the bond market viewed the increased economic optimism skeptically
in the belief that the Federal Reserve's reaction would be to raise interest
rates. An increase of 1/4 of one percent was made at quarter end. However, the
action was almost anti-climactic, since the general level of Treasury rates had
already risen more than 0.6% during the quarter. More importantly, the Fed's
late-quarter policy change to a "neutral bias" toward further interest rate
increases quieted fears of further tightening.
CONSUMER CONFIDENCE HIGH
U.S. consumer behavior has been driving both the domestic and worldwide
economies and will probably continue to help determine the global economic
growth pattern in the months ahead. Conditions for spending have been ideal.
Rising levels of consumer demand have resulted in employment and wage gains
producing solid advances in incomes and very high consumer confidence levels.
The substantial rise in our stock market over the last several years has also
contributed to the consumer's willingness to spend.
THE INFLUENCE OF ONE-TIME EVENTS
In recent quarters, a number of one-time events have further stimulated demand.
These events include:
o the sharp decline in petroleum product prices during the second half of 1998
which functioned like a tax decrease for consumers;
o a large increase in tax refunds in the first part of 1999; and
o the gains in income associated with the the high level of home refinancing
during this period.
Looking ahead, we expect a more moderate rate of growth from consumer spending
largely because these one-time events will no longer be at work. The recent rise
in interest rates should also temper the current strong demand for housing.
However, we still believe that we will continue to see positive economic
conditions which should result in a continued healthy period of demand,
production, employment, and incomes generating solid gains in consumption.
THE INCREASED PRODUCTIVITY OF THE AMERICAN WORKER
These high levels of consumption have caused the Federal Reserve to be concerned
about potential inflation sparked by labor shortages. But, the productivity of
American workers has risen sharply in recent years so labor shortages should not
be a worry. Increased productivity has been due to the growing role of
technological innovation and high levels of capital spending per employee caused
by intense global market competition. Growth continues at levels higher than
previously believed to be sustainable with virtually no inflationary effect.
(CONTINUED NEXT PAGE)
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1
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INFLATION SHOULD NOT BE A CONCERN
Since it appears that higher productivity is offsetting any concerns that
increased consumer demand will result in a greater demand for labor leading to
increased prices, inflation should not be a concern. Please keep in mind that
inflation is purely a monetary phenomenon. It is based on the relationship
between the amount of money present in an economy and the goods and services
available to be consumed. Although it sounds easy, it is difficult to manage
this relationship. This is particularly true today when the dollar is the
reserve currency for the world and changes in our U.S. monetary policy affect
global production.
Keeping an eye on prices that affect goods used early in the production cycle
can provide some clues about whether money growth is keeping pace with our
ability to produce. Evidence here also suggests there is little to be concerned
about on the inflation front. The Commodities Research Bureau Bridge Index, a
broad measure of commodity prices, just recently hit a new low despite the surge
in oil prices over the last few months. And gold, which remains a valid
indicator of future inflation expectations, has fallen to a 20-year low.
Consequently, the combination of productivity gains and few signs of excessive
money creation convince us that there's no meaningful rise in inflation on the
horizon.
GROWING CORPORATE PROFITS
After more than a year of reported declines, corporate profits have begun to
grow again. But it remains an environment where only sound strategies
accompanied by superb execution can hope to generate above average gains in
earnings. Both corporate and consumer buyers continue to grow in knowledge and
sophistication, heightening competition in the marketplace. Slow growth overseas
has also helped to create competitive conditions as capacity created to supply
those markets now must look for other sources of demand. Under these conditions,
we believe there will be high single-figure gains in profits in 1999 followed by
middle single-figure increases in following years.
PILLAR VIEW REGARDING INTEREST RATES
We believe the rise in interest rates so far this year -- about one full
percentage point -- has been unusual since a rise in inflatioN seems unlikely.
The current rates reflect, in our opinion, a much more pessimistic outlook than
is warranted. The U.S. has the highest real growth in the industrialized world
accompanied by enviable government surpluses. And yet, our interest rates are
the highest of any major country. Our short rates, which have historically been
on par with current inflation, now generate very positive returns. It may take
time to demonstrate that the current rate environment is not accurately
reflecting the outlook for inflation, but we believe today's rates are highly
attractive from a longer-term perspective and plan to lengthen the average lives
of our bond portfolios as a result.
PILLAR EQUITY PERSPECTIVE
In terms of equity strategy, we are closely watching to see whether cyclical or
growth stocks will be the more consistent performance leaders. The outcome will
be largely determined by relative earnings gains. Over a longer span of time,
such as five years, the probability that companies with the best earnings gains
will also have the best stock market performance is extremely high. Although
this is still true over the shorter term, the probability of out performance is
not as compelling. Cyclically sensitive companies tend to have their best
relative performance in the stock market in the early stages of an economic
recovery. This is generally a time when their earnings are usually growing from
a depressed base and are growing more rapidly.
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2
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JUNE 30, 1999 (UNAUDITED)
A FOCUS ON EARNINGS GROWTH WINNERS
While the current environment may have some of these recovery characteristics,
we do not believe that operating leverage will be powerful and sustainable
enough to create relative earnings gains for cyclical stocks that will
overshadow growth stocks. So, in the various equity styles that we pursue, we
are continuing our strategies that focus on companies that we believe will be
the winners in earnings growth.
The information provided herein represents the opinion of the manager and is not
intended to be a forecast of future events, a guarantee of future results nor
investment advice. Further, there is no assurance that certain securities will
remain in or out of the portfolio(s). Please consult an investment professional
for advice concerning your particular circumstances.
Sincerely,
/S/ SIGNATURE OMITTED /S/ SIGNATURE OMITTED
Mark Nagle Hilton M. Jervey, CFA
President and CEO Senior Vice President
The Pillar Funds Chief Investment Officer
Summit Bank
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3
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Statement of Net Assets
U.S. TREASURY SECURITIES MONEY MARKET FUND
- --------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
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U.S. TREASURY OBLIGATIONS--39.3%
U.S. Treasury Bills (A)
4.790%, 08/12/99 $ 59,000 $ 58,692
4.475%, 08/19/99 32,000 31,805
U.S. Treasury Notes
5.875%, 07/31/99 142,000 142,140
6.875%, 07/31/99 48,000 48,087
5.875%, 08/31/99 30,000 30,057
5.750%, 09/30/99 50,000 50,143
5.625%, 10/31/99 48,000 48,150
----------
Total U.S. Treasury Obligations
(Cost $409,074) 409,074
----------
REPURCHASE AGREEMENTS--60.4%
Barclays
4.75%, dated 06/30/99, matures
07/01/99, repurchase price
$206,417,744 (collateralized by
U.S. Treasury STRIPS and Note,
total market value
$210,518,921) (B) 206,391 206,391
J.P. Morgan
4.75%, dated 06/30/99, matures
07/01/99, repurchase price
$33,347,577 (collateralized by
U.S. Treasury Notes, total
market value $34,010,138) (B) 33,343 33,343
Lehman Brothers 4.75%, dated
06/30/99, matures 07/01/99,
repurchase price $47,123,167
(collateralized by U.S.
Treasury Notes, total market
value $48,064,254.32) (B) 47,117 47,117
Merrill Lynch 4.75%, dated
06/30/99, matures 07/01/99,
repurchase price $34,536,713
(collateralized by U.S.
Treasury Note and Bond, total
market value
$35,225,722) (B) 34,532 34,532
Morgan
4.75%, dated 06/30/99,
matures 07/01/99, repurchase price
$47,345,493 (collateralized by
U.S. Treasury Note and Bond,
total market value
$48,599,339) (B) 47,339 47,339
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FACE
DESCRIPTION AMOUNT (000) VALUE (000)
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Prudential
4.75%, dated 06/30/99,
matures 07/01/99, repurchase price
$47,471,924 (collateralized by
U.S. Treasury Securities, total
market value $48,415,430) (B) $ 47,466 $ 47,466
Warburg
4.75%, dated 06/30/99, matures
07/01/99, repurchase price
$211,538,517 (collateralized by
U.S. Treasury Bond, total market
value $215,745,797) (B) 211,511 211,511
----------
Total Repurchase Agreements
(Cost $627,699) 627,699
----------
Total Investments--99.7%
(Cost $1,036,773) 1,036,773
----------
OTHER ASSETS AND LIABILITIES, NET--0.3% 3,118
----------
NET ASSETS:
Portfolio Shares of Class I
(unlimited authorization --
no par value) based on 941,065,033
outstanding shares of beneficial
interest 941,065
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on 98,573,295
outstanding shares of beneficial
interest 98,573
Undistributed net investment income 239
Accumulated net realized gain on investments 14
----------
Total Net Assets--100.0% $1,039,891
==========
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 SECURITIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
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4
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JUNE 30, 1999 (UNAUDITED)
PRIME OBLIGATION MONEY MARKET FUND
- --------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
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COMMERCIAL PAPER--82.1%
BANKS--15.5%
Abbey National Bank
4.810%, 07/15/99 $ 5,000 $ 4,991
4.740%, 08/02/99 10,000 9,958
4.800%, 08/09/99 12,585 12,520
ABN Amro
4.790%, 10/19/99 15,000 14,780
Bank of Nova Scotia
4.800%, 08/10/99 15,000 14,920
4.920%, 08/11/99 6,000 5,966
BankAmerica
4.840%, 07/14/99 5,000 4,991
4.940%, 02/01/00 8,500 8,249
Banker's Trust
5.000%, 12/15/99 5,000 4,884
Barclays Bank PLC
4.840%, 07/08/99 10,000 9,991
Citigroup
4.850%, 07/12/99 15,000 14,978
Deutsche Bank
4.820%, 08/09/99 10,000 9,948
Rabobank
4.790%, 11/08/99 5,000 4,914
Societe Generale
4.840%, 07/08/99 5,000 4,995
Toronto Dominion
4.800%, 07/06/99 3,900 3,897
Wells Fargo
4.810%, 07/15/99 10,000 9,981
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139,963
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FINANCIAL SERVICES--47.3%
American Express
4.790%, 07/08/99 10,000 9,991
4.790%, 07/19/99 5,000 4,988
4.790%, 08/25/99 5,000 4,963
4.800%, 09/07/99 5,000 4,955
4.780%, 09/13/99 10,000 9,902
American General
4.800%, 07/09/99 10,000 9,989
4.800%, 07/12/99 10,000 9,985
4.790%, 07/13/99 10,000 9,984
Associates First Capital
4.810%, 07/02/99 15,000 14,998
Cargill Financial
5.700%, 07/01/99 20,000 20,000
4.770%, 07/06/99 5,000 4,997
5.080%, 02/10/00 10,000 9,684
PRIME OBLIGATION MONEY MARKET FUND
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FACE
DESCRIPTION AMOUNT (000) VALUE (000)
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Centric Capital
4.810%, 07/15/99 $15,000 $ 14,972
4.850%, 07/16/99 8,000 7,984
4.810%, 07/19/99 6,000 5,986
Ciesco
4.800%, 07/16/99 10,000 9,980
Ford Motor Credit
4.990%, 07/06/99 5,000 4,997
5.260%, 07/07/99 10,000 9,991
4.810%, 07/09/99 5,000 4,995
4.840%, 07/09/99 5,000 4,995
4.790%, 07/13/99 5,000 4,992
4.780%, 07/26/99 5,000 4,983
4.790%, 07/26/99 5,000 4,983
General Electric
4.990%, 07/06/99 10,000 9,993
5.250%, 07/07/99 5,000 4,996
4.810%, 07/08/99 10,000 9,991
4.830%, 08/16/99 5,000 4,969
4.790%, 08/24/99 7,000 6,950
GMAC
4.800%, 07/08/99 1,910 1,908
4.800%, 07/14/99 5,000 4,991
Goldman Sachs
4.830%, 07/01/99 10,000 10,000
4.850%, 07/29/99 10,000 9,962
4.780%, 08/27/99 5,000 4,962
4.820%, 10/01/99 5,000 4,938
4.800%, 10/14/99 5,000 4,930
4.820%, 10/22/99 1,250 1,231
GTE Funding
4.930%, 07/07/99 20,000 19,984
5.000%, 07/16/99 10,000 9,979
International Lease
4.720%, 07/12/99 7,000 6,990
4.800%, 07/13/99 5,000 4,992
4.790%, 07/14/99 10,000 9,983
4.900%, 08/05/99 2,000 1,991
4.780%, 08/06/99 10,000 9,952
J.P. Morgan
4.800%, 09/15/99 15,000 14,848
4.800%, 10/15/99 5,000 4,929
Merrill Lynch
4.840%, 07/07/99 5,600 5,596
4.780%, 07/16/99 5,000 4,990
4.810%, 07/16/99 5,000 4,990
4.780%, 07/19/99 5,000 4,988
4.810%, 07/30/99 10,000 9,961
5.050%, 02/01/00 5,000 4,849
Paccar Financial
4.770%, 07/22/99 5,475 5,460
4.780%, 08/12/99 7,000 6,961
4.920%, 09/02/99 2,000 1,983
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5
<PAGE>
Statement of Net Assets
PRIME OBLIGATION MONEY MARKET FUND
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FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------
TransAmerica
4.890%, 07/08/99 $ 6,000 $ 5,994
4.800%, 10/08/99 3,000 2,960
USAA Capital
4.790%, 07/23/99 5,000 4,985
4.840%, 07/28/99 7,250 7,224
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427,704
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INDUSTRIAL--12.5%
American Home Products
4.820%, 07/13/99 3,000 2,995
4.790%, 07/20/99 5,900 5,885
4.780%, 08/06/99 5,000 4,976
4.800%, 08/06/99 5,000 4,976
4.790%, 08/19/99 7,000 6,954
Amgen
4.860%, 07/14/99 5,000 4,991
4.970%, 07/14/99 11,000 10,980
4.810%, 07/16/99 10,000 9,980
Colonial Pipeline
4.820%, 07/07/99 3,300 3,297
4.850%, 07/07/99 3,000 2,998
4.790%, 07/09/99 6,700 6,693
4.800%, 09/09/99 8,000 7,925
Hasbro
4.800%, 08/03/99 10,000 9,956
4.790%, 08/09/99 5,000 4,974
4.800%, 08/10/99 10,000 9,947
4.930%, 09/07/99 4,750 4,706
5.050%, 09/07/99 989 980
McGraw Hill
4.780%, 07/19/99 10,000 9,976
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113,189
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UTILITIES--6.8%
AT&T
5.040%, 07/01/99 20,000 20,000
4.820%, 07/02/99 8,000 7,999
National Rural Utilities
Cooperative
5.220%, 07/07/99 2,500 2,498
4.780%, 07/12/99 6,065 6,056
4.790%, 07/15/99 10,000 9,981
4.840%, 07/16/99 10,000 9,980
4.900%, 08/26/99 5,195 5,155
----------
61,669
----------
Total Commercial Paper
(Cost $742,525) 742,525
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FACE
DESCRIPTION AMOUNT (000) VALUE (000)
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U.S. GOVERNMENT AGENCY OBLIGATIONS--5.3%
Federal Farm Credit Bank
4.750%, 07/01/99 $ 5,000 $ 5,000
4.875%, 09/01/99 5,000 5,000
4.830%, 10/01/99 2,000 2,000
4.770%, 11/01/99 5,000 5,000
Federal Home Loan Bank
5.150%, 03/17/00 5,000 5,000
5.220%, 03/17/00 5,000 5,000
5.150%, 05/10/00 6,000 6,000
5.170%, 05/24/00 5,000 5,000
5.200%, 05/26/00 5,000 5,000
5.520%, 06/22/00 5,000 5,000
----------
Total U.S. Government Agency
Obligations
(Cost $48,000) 48,000
----------
CERTIFICATE OF DEPOSIT--1.1%
Toronto Dominion
5.060%, 04/17/00 10,000 9,994
----------
Total Certificate of Deposit
(Cost $9,994) 9,994
----------
CORPORATE OBLIGATIONS--1.0%
Associates Corporation
of North America
6.000%, 03/15/00 1,000 1,006
Bell Atlantic Financial Services (MTN)
6.710%, 02/03/00 2,000 2,018
General Electric Capital (MTN)
5.430%, 01/17/00 2,000 2,004
GMAC (MTN)
6.875%, 06/01/00 4,500 4,557
----------
Total Corporate Obligations
(Cost $9,585) 9,585
----------
REPURCHASE AGREEMENTS--10.7%
Barclays
4.71%, dated 06/30/99, matures
07/01/99, repurchase price $1,676,285
(collateralized by U.S. Treasury
Note, total market value
$1,709,983) (A) 1,676 1,676
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JUNE 30, 1999 (UNAUDITED)
PRIME OBLIGATION MONEY MARKET FUND
- --------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
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J.P. Morgan
4.71%, dated 06/30/99, matures
07/01/99, repurchase price
$65,323,292 (collateralized by
U.S. Treasury Note and Bond,
total market value
$66,621,592) (A) $65,315 $ 65,315
Merrill Lynch 4.71%, dated
06/30/99, matures 07/01/99,
repurchase price $18,574,248
(collateralized by U.S.
Treasury Notes, total market
value $18,945,616) (A) 18,572 18,572
Morgan
4.71%, dated 06/30/99, matures
07/01/99, repurchase price
$1,839,341 (collateralized by
U.S. Treasury Note, total market
value $1,886,343) (A) 1,839 1,839
Prudential
4.71%, dated 06/30/99, matures
07/01/99, repurchase price
$9,244,594 (collateralized by
U.S. Treasury STRIPS and Bond,
total market value $9,428,275) (A) 9,243 9,243
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Total Repurchase Agreements
(Cost $96,645) 96,645
----------
Total Investments--100.2%
(Cost $906,749) 906,749
----------
OTHER ASSETS AND LIABILITIES, NET--(0.2%) (2,222)
----------
NET ASSETS:
Portfolio Shares of Class I
(unlimited authorization -- no
par value) based on 762,916,809
outstanding shares of beneficial
interest 762,917
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on 3,542,543
outstanding shares of beneficial
interest 3,542
Portfolio Shares of Class B
(unlimited authorization -- no
par value) based on 352,121
outstanding shares of beneficial
interest 352
Portfolio Shares of Class S
(unlimited authorization -- no
par value) based on 137,746,534
outstanding shares of beneficial
interest 137,747
Accumulated net realized loss
on investments (31)
----------
Total Net Assets--100.0% $ 904,527
==========
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FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------
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 DEFERRED SALES CHARGE.
(A) TRI-PARTY REPURCHASE AGREEMENT.
MTN -- MEDIUM TERM NOTE
STRIPS -- SEPARATE TRADING OF REGISTERED INTEREST AND PRINCIPAL SECURITIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
TAX-EXEMPT MONEY MARKET FUND
- --------------------------------------------------------------
MUNICIPAL BONDS--87.8%
ALABAMA--0.8%
State, Water Pollution Control
Authority (RB) (AMBAC)
6.150%, 08/15/99 $1,315 $ 1,320
----------
ARIZONA--1.1%
Avondale, Industrial
Development
(RB) (A) (B) (C)
3.400%, 07/07/99 1,700 1,700
----------
FLORIDA--2.1%
Jacksonville, Electric
Authority (TECP)
3.400%, 08/06/99 3,000 3,000
Saint Petersburg, Callable
07/26/99 @ 101 (GO)
5.800%, 10/01/99 250 251
----------
3,251
----------
GEORGIA--4.2%
Marietta, Housing Authority,
Bells Ferry (RB) (A) (C)
3.200%, 07/15/99 1,905 1,905
State, Municipal Utility
Authority (TECP)
3.300%, 09/08/99 4,600 4,600
----------
6,505
----------
HAWAII--0.4%
State (GO)
4.250%, 07/01/99 600 600
----------
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7
<PAGE>
Statement of Net Assets
TAX-EXEMPT MONEY MARKET FUND (CONTINUED)
- --------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------
ILLINOIS--6.3%
Cook County, Pre-refunded
11/01/99 @ 102 (GO) (MBIA)
7.375%, 11/01/99 $3,000 $ 3,102
Cook County, Series A
(GO) (MBIA)
4.375%, 11/15/99 1,800 1,809
Cook County, Series B (GO)
4.375%, 11/15/99 1,000 1,005
Harvey (GO)
4.000%, 12/15/99 2,000 1,999
State, Development Finance
Authority, Illinois Power Project,
Series B (RB) (A) (B) (C)
3.300%, 07/07/99 2,000 2,000
----------
9,915
----------
INDIANA--4.0%
Kokomo Center Township (RB)
3.500%, 12/31/99 3,698 3,703
Saint Joseph County Welfare
Funding (GO)
3.750%, 12/30/99 2,555 2,562
----------
6,265
----------
LOUISIANA--7.2%
Jefferson Parish, Industrial
Development Board,
George J. Ackel Sr.
Project (RB) (A) (B) (C)
3.550%, 07/01/99 2,000 2,000
New Orleans, Aviation Board,
Series A (RB) (MBIA) (A) (B) (C)
3.600%, 07/07/99 2,000 2,000
New Orleans, Aviation Board,
Series B (RB) (MBIA) (A) (B) (C)
3.600%, 07/07/99 2,900 2,900
New Orleans, Aviation Board,
Series C (GO) (MBIA) (A) (B) (C)
3.600%, 07/07/99 1,400 1,400
State, Gas & Fuel Tax, Series A (RB)
7.200%, 11/15/99 1,000 1,015
State, Public Facilities Authority,
Willis-Knighton Medical Center
(RB) (AMBAC) (A) (B) (C)
3.550%, 07/07/99 2,000 2,000
----------
11,315
----------
MAINE--0.5%
Scarborough (GO) (FSA)
5.250%, 11/01/99 763 768
----------
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FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------
MINNESOTA--2.2%
Bird Island (GO)
3.600%, 09/10/99 $1,000 $ 1,001
New Brighton, Industrial
Development Authority, Unicare
Nursing Homes Project (A) (B) (C)
3.500%, 07/01/99 1,400 1,400
State (GO)
6.600%, 08/01/99 1,000 1,003
----------
3,404
----------
MISSOURI--2.7%
Kansas City, Municipal Assistance,
Series C (RB) (AMBAC)
5.875%, 04/15/00 1,000 1,019
Springfield, Industrial Development
Authority, Pebblecreek Apartments
(RB) (A) (B) (C)
3.500%, 07/01/99 1,200 1,200
State, Health & Educational
Facilities Authority,
Cox Health Systems (RB) (A)
3.450%, 07/01/99 1,000 1,000
State, Health & Educational
Facilities Authority,
The Washington University,
Series D (RB) (A)
3.450%, 07/01/99 1,000 1,000
----------
4,219
----------
NEW HAMPSHIRE--1.6%
Nashua (BAN)
3.500%, 12/10/99 2,500 2,502
----------
NEW JERSEY--12.5%
Borough of Pennington (BAN)
4.500%, 10/01/99 1,245 1,246
Borough of Rockleigh (TECP)
3.680%, 12/10/99 380 381
Bridgewater Township (BAN)
3.600%, 11/04/99 910 910
Caldwell (BAN)
3.680%, 10/01/99 2,060 2,062
Camden (TAN)
4.000%, 07/30/99 2,500 2,500
Chatham Borough (BAN)
3.400%, 02/01/00 781 781
Monmouth County (RB) (AMBAC)
3.150%, 12/01/99 500 501
New Brunswick, Housing
Authority (RB)
3.100%, 07/01/99 790 790
- --------------------------------------------------------------------------------
8
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------
Rumson (BAN)
4.000%, 04/19/00 $ 886 $ 892
3.375%, 05/12/00 800 801
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, Economic Development
Authority, Peddie School Project
(RB) (A) (B) (C)
3.450%, 07/01/99 1,350 1,350
State, Education Facilities Authority,
Pre-refunded 07/01/99 @ 102 (RB)
6.850%, 07/01/99 2,000 2,040
State, Health Care Facilities
Financing Authority, Elizabeth
General Medical Center,
Series C (RB)
7.100%, 07/01/99 1,125 1,125
State, Series E (GO)
5.000%, 07/15/99 1,000 1,001
Summit (BAN)
3.780%, 07/20/99 315 315
---------
19,630
---------
NEW YORK--18.2%
New York City, Municipal Water
Finance Agency (RB) (FGIC) (A)
3.550%, 07/15/99 3,800 3,800
New York City, Sub Series A-6
(GO) (A) (B) (C)
3.350%, 07/01/99 5,230 5,230
New York City, Sub Series A-10
(GO) (A) (B) (C)
4.000%, 07/01/99 3,000 3,000
New York City, Sub Series B-2
(GO) (MGT) (A)
4.000%, 07/01/99 1,300 1,300
New York City, Transitional
Finance Authority,
Series A-1 (RB) (A) (B) (C)
3.500%, 11/01/99 8,000 8,000
State, Bridge Authority (RB)
5.000%, 01/01/00 1,090 1,098
State, Energy Research &
Development Authority,
Brooklyn Union Gas Project,
Series A-1 (A) (B) (C)
3.350%, 07/07/99 6,000 6,000
---------
28,428
---------
- --------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------
NORTH CAROLINA--3.3%
Charlotte-Mecklenberg,
North Carolina Hospital Authority,
Health Care Systems, Series B
(RB) (A) (B) (C)
3.700%, 07/01/99 $4,000 $ 4,000
Wake County, Carolina Power &
Light Company (RB) (A) (B) (C)
3.300%, 07/07/99 1,100 1,100
---------
5,100
---------
OKLAHOMA--1.9%
Tulsa, University of Tulsa,
Series B (RB) (MBIA) (A)
3.500%, 07/01/99 3,000 3,000
---------
PENNSYLVANIA--4.2%
Emmaus (RB) (A) (B)
3.450%, 07/01/99 2,500 2,500
Harrisburg, Water Revenue
Authority (RB) (FGIC) (ETM) (B)
6.400%, 07/15/99 1,000 1,001
Philadelphia, Water & Sewer
Revenue Authority, 14th Series,
Pre-refunded 10/01/99 @
102 (RB) (MBIA) (B)
6.900%, 10/01/99 2,000 2,066
Springfield Township (TRAN)
3.300%, 12/31/99 1,000 1,000
---------
6,567
---------
RHODE ISLAND--0.7%
Warwick, Pre-refunded 11/15/99 @
102 (GO) (FGIC) (B)
7.050%, 11/15/99 500 517
7.100%, 11/15/99 500 517
---------
1,034
---------
SOUTH CAROLINA--0.6%
York County, Pollution Control
Revenue (RB) (A)
3.000%, 09/15/99 970 970
---------
TENNESSEE--2.3%
Morristown, Industrial Development
Board, Williamhouse Regency
(RB) (A) (B)
3.550%, 07/07/99 1,600 1,600
Nashville & Davidson Counties,
Old Hickory Towers,
Series A (RB) (A) (B) (C)
3.600%, 07/01/99 2,000 2,000
---------
3,600
---------
- --------------------------------------------------------------------------------
9
<PAGE>
Statement of Net Assets
TAX-EXEMPT MONEY MARKET FUND (CONTINUED)
- --------------------------------------------------------------
FACE AMOUNT (000)
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------
TEXAS--2.6%
Austin (TECP)
3.050%, 08/13/99 $1,000 $ 1,000
Harris County, Series C (RB) (A)
3.350%, 07/01/99 2,000 2,000
State, Water Development
Board (RB)
5.300%, 07/15/99 1,000 1,001
----------
4,001
----------
VIRGINIA--2.6%
Louisa (TECP)
3.300%, 08/03/99 4,000 4,000
----------
WASHINGTON--2.2%
Chelan County, Public Utility
District, Chelan Hydro Project,
Series A (RB) (MBIA) (A)
3.450%, 07/01/99 2,040 2,040
State, Health Care Facility,
Fred Hutchinson Cancer
Center (RB) (A)
3.600%, 07/01/99 1,500 1,500
----------
3,540
----------
WISCONSIN--2.3%
Waukesha, Series A (GO)
6.000%, 10/01/99 1,590 1,600
West Bend City,
School District #1 (TRAN)
3.400%, 10/04/99 2,000 2,002
----------
3,602
----------
WYOMING--1.3%
Sweetwater (TECP)
3.400%, 08/06/99 2,100 2,100
----------
Total Municipal Bonds
(Cost $137,336) 137,336
----------
TREASURY BILLS--5.6%
U.S. Treasury Bills (D)
4.180%, 07/15/99 8,000 7,988
4.210%, 07/22/99 750 748
----------
Total Treasury Bills
(Cost $8,736) 8,736
----------
CASH EQUIVALENTS--6.2%
Goldman Sachs Tax-Free
Money Market 3,614,000 3,614
SEI Institutional Tax-Free
Portfolio 6,179,000 6,179
----------
Total Cash Equivalents
(Cost $9,793) 9,793
----------
- --------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
Total Investments--99.6%
(Cost $155,865) $155,865
--------
OTHER ASSETS AND LIABILITIES, NET--0.4% 573
--------
NET ASSETS:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 133,726,891 outstanding shares
of beneficial interest 133,727
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 22,714,258 outstanding shares
of beneficial interest 22,714
Accumulated net realized loss
on investments (3)
--------
Total Net Assets--100.0% $156,438
========
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) VARIABLE RATE SECURITY. THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS IS
THE RATE IN EFFECT ON JUNE 30, 1999.
(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.
(D) THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS REPRESENTS THE SECURITY'S
DISCOUNT RATE AT PURCHASE.
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 NOTE
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 SECURITIES ASSURANCE
MGT -- MORGAN GUARANTY TRUST
MBIA -- MUNICIPAL BOND INSURANCE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
10
<PAGE>
[LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
U.S. TREASURY SECURITIES PLUS MONEY MARKET FUND
- --------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--44.4%
U.S. Treasury Bills (A)
4.790%, 08/12/99 $ 6,000 $ 5,969
4.475%, 08/19/99 3,000 2,982
U.S. Treasury Notes
5.875%, 07/31/99 10,000 10,010
6.875%, 07/31/99 2,000 2,004
5.875%, 08/31/99 2,000 2,004
5.625%, 10/31/99 2,000 2,006
--------
Total U.S. Treasury Obligations
(Cost $24,975) 24,975
--------
REPURCHASE AGREEMENTS--55.0%
Barclays
4.77%, dated 06/30/99, matures
07/01/99, repurchase price
$11,983,956 (collateralized by
U.S. Treasury Note, total market
value $12,222,528) (B) 11,982 11,982
J.P. Morgan
4.77%, dated 06/30/99,
matures 07/01/99, repurchase
price $2,341,561 (collateralized
by U.S. Treasury Note, total
market value $2,389,060) (B) 2,341 2,341
Lehman Brothers 4.77%, dated
06/30/99, matures 07/01/99,
repurchase price $2,000,265
(collateralized by U.S.
Treasury STRIPS, total market
value $2,040,893) (B) 2,000 2,000
Merrill Lynch 4.77%, dated
06/30/99, matures 07/01/99,
repurchase price $2,000,265
(collateralized by U.S.
Treasury Note, total market
value $2,042,581) (B) 2,000 2,000
Morgan
4.77%, dated 06/30/99,
matures 07/01/99, repurchase
price $2,500,661 (collateralized
by U.S. Treasury Note, total market
value $2,555,193) (B) 2,500 2,500
Warburg
4.77%, dated 06/30/99, matures
07/01/99, repurchase price $10,195,055
(collateralized by U.S. Treasury Bond,
total market
value $10,401,148) (B) 10,194 10,194
--------
Total Repurchase Agreements
(Cost $31,017) 31,017
--------
- --------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------
Total Investments--99.2%
(Cost $55,992) $55,992
-------
OTHER ASSETS AND LIABILITIES, NET--0.6% 311
-------
NET ASSETS:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 56,322,679 outstanding shares of
beneficial interest 56,322
Distributions in excess of net investment
income (1)
Accumulated net realized loss
on investments (18)
-------
Total Net Assets--100.0% $56,303
=======
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 SECURITIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
INSTITUTIONAL SELECT MONEY MARKET FUND
- --------------------------------------------------------------------------------
COMMERCIAL PAPER--85.4%
BANKS--12.1%
Abbey National Bank
4.810%, 07/15/99 $3,000 2,994
4.910%, 07/20/99 3,000 2,992
4.740%, 08/02/99 2,000 1,992
4.800%, 08/09/99 1,000 995
BankAmerica
4.940%, 02/01/00 1,000 971
Bank of America
5.030%, 07/27/99 1,000 996
Bank of Nova Scotia
4.800%, 08/10/99 5,000 4,973
4.920%, 08/11/99 3,000 2,983
5.000%, 08/11/99 500 497
Banker's Trust
5.000%, 12/15/99 3,000 2,930
Barclays Bank PLC
4.840%, 07/08/99 4,000 3,996
Rabobank
4.790%, 11/08/99 2,000 1,966
Toronto Dominion
4.800%, 07/06/99 1,000 999
- --------------------------------------------------------------------------------
11
<PAGE>
Statement of Net Assets
INSTITUTIONAL SELECT MONEY MARKET FUND (CONTINUED)
- --------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------
Wells Fargo
4.810%, 07/15/99 $5,000 $ 4,991
---------
34,275
---------
FINANCIAL SERVICES--51.3%
American Express
4.790%, 07/08/99 5,000 4,995
4.790%, 07/19/99 2,000 1,995
4.780%, 09/13/99 3,000 2,971
American General
4.800%, 07/09/99 5,000 4,995
4.800%, 07/12/99 3,000 2,996
Associates First Capital
4.810%, 07/02/99 5,000 4,999
4.890%, 07/07/99 5,000 4,996
Cargill Financial
5.700%, 07/01/99 5,000 5,000
4.770%, 07/06/99 2,000 1,999
Cargill Global
5.080%, 02/10/00 3,000 2,905
Centric Capital
4.810%, 07/15/99 2,000 1,996
4.850%, 07/16/99 2,000 1,996
Ciesco
5.000%, 07/09/99 389 389
5.000%, 07/12/99 1,000 999
4.800%, 07/16/99 3,500 3,493
Ford Motor Credit
5.260%, 07/07/99 3,000 2,997
4.810%, 07/09/99 2,000 1,998
4.840%, 07/09/99 2,000 1,998
4.790%, 07/13/99 2,000 1,997
4.780%, 07/26/99 2,000 1,993
4.900%, 08/02/99 2,000 1,991
General Electric
4.990%, 07/06/99 2,000 1,999
5.250%, 07/07/99 2,000 1,998
4.810%, 07/08/99 2,000 1,998
4.860%, 07/23/99 1,000 997
4.810%, 08/11/99 1,000 995
4.810%, 08/12/99 2,000 1,989
4.830%, 09/20/99 2,000 1,978
GMAC
5.250%, 07/12/99 1,500 1,498
4.800%, 07/14/99 2,000 1,997
4.840%, 07/22/99 3,150 3,141
5.010%, 07/22/99 2,000 1,994
Goldman Sachs
4.830%, 07/01/99 2,000 2,000
4.850%, 07/29/99 5,000 4,981
4.840%, 08/27/99 2,000 1,985
- --------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------
GTE Funding
5.350%, 07/06/99 $ 500 $ 500
4.930%, 07/07/99 5,000 4,996
5.000%, 07/16/99 3,000 2,994
International Lease
4.720%, 07/12/99 1,000 999
4.790%, 07/14/99 2,000 1,997
4.790%, 07/19/99 2,000 1,995
4.850%, 08/05/99 400 398
4.780%, 08/06/99 3,200 3,185
J.P. Morgan
4.850%, 08/20/99 5,750 5,711
4.800%, 09/15/99 3,050 3,019
Merrill Lynch
4.970%, 07/06/99 1,200 1,199
4.780%, 07/16/99 3,000 2,994
5.200%, 07/16/99 1,491 1,488
4.780%, 07/19/99 3,000 2,993
4.810%, 07/30/99 2,000 1,992
5.050%, 02/01/00 1,000 970
Paccar Financial
4.950%, 07/08/99 250 250
4.950%, 07/09/99 500 499
4.920%, 09/02/99 1,400 1,388
TransAmerica
4.980%, 07/07/99 3,000 2,998
4.820%, 07/09/99 900 899
4.840%, 07/20/99 1,000 997
5.040%, 07/27/99 3,000 2,989
4.850%, 08/12/99 994 988
4.800%, 10/08/99 1,000 987
USAA Capital
4.820%, 07/13/99 1,000 998
4.860%, 07/13/99 500 499
4.830%, 07/15/99 3,000 2,994
4.790%, 07/23/99 2,000 1,994
--------
145,158
--------
INDUSTRIAL--12.7%
American Home Products
4.820%, 07/13/99 500 499
4.790%, 07/20/99 710 708
4.790%, 08/19/99 3,000 2,980
4.860%, 08/20/99 530 526
4.880%, 09/03/99 2,000 1,983
Amgen
4.860%, 07/14/99 5,000 4,991
4.970%, 07/14/99 2,000 1,996
4.810%, 07/16/99 3,500 3,493
- --------------------------------------------------------------------------------
12
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
PRIME OBLIGATION MONEY MARKET FUND
- --------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------
Archer-Daniels-Midland
4.850%, 07/27/99 $5,000 $ 4,983
Colonial Pipeline
4.850%, 07/07/99 2,000 1,998
4.800%, 09/09/99 2,000 1,981
Hasbro
4.800%, 08/03/99 2,000 1,991
4.930%, 09/07/99 3,000 2,972
4.940%, 09/07/99 3,000 2,972
4.950%, 10/26/99 2,000 1,968
----------
36,041
----------
UTILITIES--9.3%
AT&T
5.040%, 07/01/99 8,000 8,000
4.820%, 07/02/99 2,000 2,000
BellSouth
4.950%, 07/07/99 1,300 1,299
4.850%, 07/16/99 3,000 2,994
Georgia Power
4.860%, 07/14/99 2,600 2,595
National Rural Utilities
Cooperative
4.840%, 07/16/99 3,000 2,994
4.790%, 08/10/99 1,500 1,492
4.920%, 09/10/99 3,000 2,971
5.070%, 10/04/99 2,000 1,973
----------
26,318
----------
Total Commercial Paper
(Cost $241,792) 241,792
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS--2.7%
Federal Home Loan Bank
5.150%, 03/17/00 2,000 2,000
5.220%, 03/17/00 2,000 2,000
5.150%, 05/10/00 2,000 2,000
5.170%, 05/24/00 600 600
5.520%, 06/22/00 1,000 1,000
----------
Total U.S. Government Agency
Obligations
(Cost $7,600) 7,600
----------
CORPORATE OBLIGATIONS--0.9%
Associates Corporation
of North America
6.000%, 03/15/00 500 503
Bell Atlantic Financial
Services (MTN)
6.710%, 02/03/00 900 908
- --------------------------------------------------------------
FACE
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------
GMAC (MTN)
6.875%, 06/01/00 $ 1,000 $ 1,013
--------
Total Corporate Obligations
(Cost $2,424) 2,424
--------
CERTIFICATE OF DEPOSIT--0.7%
Toronto Dominion
5.060%, 04/17/00 2,000 1,999
--------
Total Certificate of Deposit
(Cost $1,999) 1,999
--------
REPURCHASE AGREEMENTS--10.6%
J.P. Morgan
4.74%, dated 06/30/99, matures
07/01/99, repurchase price
$1,453,818 (collateralized by
U.S. Treasury Note, total market
value $1,483,216) (A) 1,453 1,453
Lehman Brothers
4.74%, dated 06/30/99, matures
07/01/99, repurchase price
$28,716,311 (collateralized
by U.S. Treasury STRIPS, total
market value $29,287,544) (A) 28,713 28,713
--------
Total Repurchase Agreements
(Cost $30,166) 30,166
--------
Total Investments--100.3%
(Cost $283,981) 283,981
--------
OTHER ASSETS AND LIABILITIES, NET--(0.3%) (949)
--------
NET ASSETS:
Portfolio Shares of Class I
(unlimited authorization -- no
par value) based on 283,036,207
outstanding shares of beneficial
interest 283,036
Accumulated net realized loss
on investments (4)
--------
Total Net Assets--100.0% $283,032
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $1.00
=====
(A) TRI-PARTY REPURCHASE AGREEMENT.
MTN -- MEDIUM TERM NOTE
STRIPS -- SEPARATE TRADING OF REGISTERED INTEREST AND PRINCIPAL SECURITIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
13
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
FIXED INCOME FUND
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS--39.8%
Federal Farm Credit Bank
6.560%, 12/23/99 $ 60 $ 60
Federal Farm Credit Bank (MTN)
5.770%, 07/20/05 8,000 7,784
Federal Home Loan Bank
6.250%, 11/06/02 5,000 5,004
5.785%, 03/17/03 5,000 4,958
5.385%, 11/10/08 2,100 1,946
7.200%, 10/30/12 5,000 5,007
Federal Home Loan Mortgage
Corporation
6.300%, 06/01/04 3,000 2,982
6.130%, 02/27/06 1,600 1,577
7.585%, 09/19/06 1,000 1,023
Federal National Mortgage
Association
7.560%, 06/12/06 900 905
6.990%, 07/09/07 5,000 5,065
5.750%, 02/15/08 5,000 4,796
Federal National Mortgage
Association (MTN)
6.850%, 05/08/02 5,000 5,012
6.360%, 10/23/02 5,000 5,022
6.580%, 06/24/04 3,250 3,259
6.760%, 07/16/07 5,000 5,023
6.210%, 11/07/07 5,000 4,926
6.560%, 12/10/07 5,000 4,933
6.810%, 12/18/07 5,000 4,893
6.620%, 12/28/07 4,000 3,904
6.240%, 01/14/08 5,000 4,815
6.290%, 04/23/08 5,000 4,852
----------
Total U.S. Government Agency
Obligations
(Cost $88,890) 87,746
----------
CORPORATE BONDS--26.5%
AGRICULTURE--1.3%
Pioneer Hi-Bred International
5.750%, 01/15/09 3,000 2,794
----------
CHEMICALS--0.5%
E.I. DuPont de Nemours
6.750%, 10/15/02 1,000 1,012
----------
DRUGS--4.1%
American Home Products
6.500%, 10/15/02 2,250 2,258
Eli Lilly
6.250%, 03/15/03 2,000 1,995
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Monsanto Company (A)
5.875%, 12/01/08 $3,000 $ 2,786
SmithKline Beecham (MTN)
6.625%, 10/01/05 2,000 2,015
----------
9,054
----------
ENTERTAINMENT--1.1%
Walt Disney Company (MTN)
5.125%, 12/15/03 2,500 2,369
----------
FINANCIAL SERVICES--10.2%
Bear Stearns
6.150%, 03/02/04 3,000 2,929
CITI Group Holdings (MTN)
6.250%, 11/22/01 5,000 4,994
Ford Motor Credit
5.125%, 10/15/01 3,000 2,929
6.750%, 05/15/05 1,000 997
General Electric Capital
5.500%, 11/01/01 1,000 986
5.280%, 01/08/02 4,000 3,915
GMAC
5.750%, 11/10/03 3,000 2,884
Lehman Brothers
6.625%, 04/01/04 2,000 1,957
Toyota Motor Credit
5.625%, 11/13/03 1,000 966
----------
22,557
----------
INDUSTRIAL--6.2%
Anheuser Busch
6.750%, 06/01/05 1,000 1,001
Colgate Palmolive (MTN)
5.270%, 12/01/03 3,250 3,096
H.J. Heinz
6.000%, 03/15/08 3,000 2,869
IBM (MTN)
5.100%, 11/10/03 4,000 3,800
Sears Roebuck
6.690%, 04/30/01 3,000 3,019
----------
13,785
----------
LEISURE PRODUCTS--1.4%
Mattel (MTN)
7.140%, 03/11/08 3,000 3,005
----------
MACHINERY--0.4%
Tyco International Group
6.125%, 01/15/09 1,000 926
----------
- --------------------------------------------------------------------------------
14
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
FIXED INCOME FUND
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
UTILITIES--1.3%
AT&T
7.500%, 06/01/06 $ 1,000 $ 1,032
U.S. West Communications
6.125%, 11/15/05 2,000 1,907
---------
2,939
---------
Total Corporate Bonds
(Cost $59,955) 58,441
---------
U.S. TREASURY OBLIGATIONS--15.6%
U.S. Treasury Bond
5.250%, 11/15/28 3,000 2,655
U.S. Treasury Notes
4.500%, 01/31/01 2,000 1,971
5.500%, 03/31/03 5,000 4,953
5.250%, 08/15/03 9,750 9,556
6.125%, 08/15/07 5,000 5,052
5.500%, 05/15/09 2,000 1,957
U.S. Treasury (STRIPS)
5.920%, 02/15/03 10,000 8,134
---------
Total U.S. Treasury Obligations
(Cost $35,326) 34,278
---------
TAXABLE MUNICIPAL BONDS--13.7%
Alabama State, Housing Finance
Authority (RB)
7.625%, 08/01/10 770 793
Arkansas State, Development
Finance Authority (RB)
9.750%, 11/15/05 545 597
Baltimore, Maryland, City Parking,
Series B (RB) (FGIC)
7.950%, 07/01/03 510 539
Buffalo, New York, Pens System,
Series D (GO) (FGIC)
8.500%, 08/15/03 360 388
Camden County, New Jersey
Improvement Authority, Series A,
Callable 07/01/03 @ 100.5 (RB)
7.200%, 01/01/04 2,200 2,250
Collier County, Florida, Water &
Sewer Authority,
Series A (RB) (FGIC)
6.300%, 07/01/04 450 448
6.750%, 07/01/08 790 786
Colorado State, Housing Finance
Authority, Single Family Program,
Series B-1 (RB)
10.400%, 08/01/03 10 10
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Fort Myers, Florida, Improvement
Authority, Series B
(RB) (AMBAC)
8.450%, 12/01/03 $ 645 $ 696
Gillette, Wyoming, FMHA
Community Program (SOB)
10.250%, 01/01/11 1,095 1,181
Houston, Texas, Airport
Systems (RB) (FGIC)
6.100%, 07/01/01 1,260 1,262
Metropolitan Washington D.C. &
Virginia Airport Authority
(RB) (MBIA)
6.900%, 10/01/08 1,980 1,987
Michigan State, Higher Education
Student Loan Authority,
Series XV-C (RB)
7.250%, 09/01/02 775 788
Minneapolis & St. Paul, Minnesota,
Metropolitan Airports Authority,
Series 9 (GO)
8.600%, 01/01/10 900 973
Missouri State, Economic
Development & Infrastructure
Board Health Services,
Series A (RB) (MBIA)
8.400%, 06/01/04 1,350 1,466
Monrovia, California
Redevelopment Agency (AMBAC)
8.100%, 05/01/01 650 672
New Hampshire State, Business
Finance Authority, Series A (RB)
8.600%, 11/01/12 2,165 2,322
New Hampshire State, Pease
Development Authority (GO)
7.050%, 07/01/06 410 424
New Jersey State (COP)
8.000%, 12/15/02 1,035 1,070
New Jersey State, Economic
Development Authority,
Callable 09/15/02 @ 102 (RB)
7.800%, 03/15/07 1,645 1,723
New York State, Mortgage Agency,
Series 15, Callable
04/01/03 @ 101 (RB)
7.375%, 10/01/12 952 970
Oklahoma City, Oklahoma
Airport Trust, Junior Lien,
Series 21 (RB) (MBIA)
6.750%, 07/01/05 1,010 1,019
- --------------------------------------------------------------------------------
15
<PAGE>
- --------------------------------------------------------------------------------
Statement of Net Assets
FIXED INCOME FUND (CONTINUED)
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Oklahoma City, Oklahoma
Airport Trust, Senior Lien,
Series 17 (RB)
8.300%, 10/01/12 $2,015 $ 2,096
Oklahoma State, Single Family
Housing Finance Agency,
Callable 09/01/04 @ 102
(RB) (MBIA)
8.700%, 09/01/13 585 612
Palm Beach County, Florida,
Airport Systems Revenue,
Callable 10/01/99 @ 102
(RB) (MBIA)
9.500%, 10/01/10 1,270 1,304
Raleigh, North Carolina,
North Carolina State University,
Callable 12/15/02 @ 102
(RB) (MBIA)
7.700%, 12/15/07 1,175 1,232
Secaucus, New Jersey, Municipal
Utilities Authority (RB)
8.500%, 12/01/06 600 655
Vero Beach, Florida, Water &
Sewer Authority, Series A
(RB) (FGIC)
6.400%, 12/01/08 1,885 1,831
---------
Total Taxable Municipal Bonds
(Cost $29,606) 30,094
---------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS--1.5%
Federal Home Loan Mortgage
9.500%, 10/01/04 53 56
9.500%, 07/01/06 14 15
8.000%, 06/01/07 111 114
9.000%, 08/01/08 52 53
10.000%, 02/01/09 39 43
9.250%, 05/01/09 271 289
9.500%, 08/01/09 31 33
8.750%, 09/01/09 50 53
10.000%, 04/01/10 19 20
8.750%, 09/01/10 89 94
9.500%, 09/01/10 83 88
9.750%, 11/01/10 80 87
10.250%, 11/01/10 12 13
9.500%, 03/01/11 14 15
9.500%, 04/01/11 61 65
10.000%, 05/01/11 59 64
10.000%, 12/01/13 23 25
8.750%, 07/01/15 18 19
9.250%, 08/01/15 149 159
- ---------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000)/SHARES VALUE (000)
- ---------------------------------------------------------------
9.000%, 10/01/15 $ 58 $ 62
6.500%, 04/15/16 391 392
9.500%, 09/01/16 14 15
9.000%, 10/01/16 21 22
9.500%, 11/01/16 30 32
8.500%, 07/01/17 38 41
9.000%, 10/01/19 129 137
Federal National Mortgage Association
6.500%, 06/15/04 45 45
6.950%, 05/25/06 482 483
8.000%, 03/01/07 105 108
7.000%, 04/01/07 98 97
9.000%, 03/01/09 35 37
8.500%, 08/01/17 49 51
6.700%, 09/25/18 207 206
8.000%, 01/25/19 129 132
Government National Mortgage
Association
9.000%, 03/15/08 21 23
9.000%, 11/15/08 93 99
9.500%, 10/15/20 38 41
---------
Total U.S. Government Mortgage-
Backed Obligations
(Cost $3,218) 3,328
---------
MORTGAGE-BACKED SECURITY--1.3%
EAB Lease Receivables Trust (A)
5.660%, 09/15/02 3,000 2,974
---------
Total Mortgage-Backed Security
(Cost $3,000) 2,974
---------
ASSET-BACKED SECURITY--0.4%
Discover Card Master Trust
6.200%, 05/16/06 1,000 996
---------
Total Asset-Backed Security
(Cost $977) 996
---------
CASH EQUIVALENTS--0.2%
SEI Liquid Asset Trust --
Government Portfolio 446,000 446
SEI Liquid Asset Trust--
Treasury Portfolio 11,000 11
---------
Total Cash Equivalents
(Cost $457) 457
---------
Total Investments--99.2%
(Cost $221,429) 218,314
---------
- --------------------------------------------------------------------------------
16
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
- ---------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- ---------------------------------------------------------------
OTHER ASSETS AND LIABILITIES, NET--1.0% $ 2,311
----------
NET ASSETS:
Portfolio Shares of Class I
(unlimited authorization --
no par value) based on 20,611,301
outstanding shares of beneficial
interest 210,356
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on 408,055
outstanding shares of beneficial
interest 4,699
Portfolio Shares of Class B
(unlimited authorization -- no
par value) based on 860,903
outstanding shares of beneficial
interest 9,049
Accumulated net realized loss
on investments (364)
Net unrealized depreciation on investments (3,115)
----------
Total Net Assets--100.0% $ 220,625
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $10.08
==========
Net Asset Value and Redemption Price
Per Share -- Class A $10.06
==========
Maximum Public Offering Price Per Share --
Class A ($10.06 / 95.75%) $10.51
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $10.11
==========
(1) CLASS B HAS A 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 OBLIGATIONS
RB -- REVENUE BONDS
SOB -- SPECIAL OBLIGATION BONDS
STRIPS -- SEPARATE TRADING OF REGISTERED INTEREST AND PRINCIPAL SECURITIES.
THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS REPRESENTS THE
SECURITY'S EFFECTIVE YIELD AT PURCHASE.
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
- ---------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
MUTUAL FUND--99.6%
SEI Institutional Managed Trust
HighYield Bond Portfolio 660,000 $6,930
------
Total Mutual Fund
(Cost $7,046) 6,930
------
Total Investments--99.7%
(Cost $7,046) 6,930
------
OTHER ASSETS AND LIABILITIES, NET--0.4% 25
------
NET ASSETS:
Portfolio Shares of Class I
(unlimited authorization -- no
par value) based on 200,264
outstanding shares of beneficial
interest 2,011
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on 22,237
outstanding shares of
beneficial interest 224
Portfolio Shares of Class B
(unlimited authorization -- no
par value) based on 483,038
outstanding shares of beneficial
interest 4,833
Accumulated net realized gain
on investments 3
Net unrealized depreciation
on investments (116)
------
Total Net Assets--100.0% $6,955
======
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $9.87
======
Net Asset Value and Redemption Price
Per Share -- Class A $9.85
======
Maximum Public Offering Price Per Share --
Class A ($9.85 / 95.75%) $10.29
======
Net Asset Value Offering and Redemption
Price Per Share -- Class B (1) $9.85
======
(1) CLASS B HAS A DEFERRED SALES CHARGE.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
NEW JERSEY MUNICIPAL SECURITIES FUND
- --------------------------------------------------------------
MUNICIPAL BONDS--97.2%
NEW JERSEY--91.4%
Atlantic County (GO) (MBIA)
5.400%, 12/01/04 $200 $ 209
5.400%, 12/01/05 400 415
Atlantic County, Improvement
Authority, Convention Center
Project (RB) (MBIA)
7.375%, 07/01/10 400 458
- ---------------------------------------------------------------
17
<PAGE>
Statement of Net Assets
NEW JERSEY MUNICIPAL SECURITIES FUND (CONTINUED)
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Bayonne (GO) (AMBAC)
6.200%, 07/15/01 $ 300 $ 312
Bayonne (GO) (FGIC)
5.900%, 05/01/05 150 159
Bayonne, Municipal Authority,
Water Systems (RB) (MBIA)
5.000%, 01/01/12 500 493
Bergen County (GO)
4.700%, 07/15/02 350 355
5.125%, 06/15/05 220 227
Bergen County, General
Improvement Bonds (GO)
5.250%, 08/15/00 300 305
Bergen County, Utilities Authority,
Series A (RB) (FGIC)
6.100%, 06/15/04 500 534
Bergen County, Utilities Authority
Water Pollution Control,
Callable 12/15/07 @ 101
(RB) (FGIC)
5.000%, 12/15/13 1,000 980
Bergen County, Water Pollution
Authority (RB) (FGIC)
4.750%, 12/15/15 900 843
Bridgeton (GO) (AMBAC)
5.000%, 01/01/05 300 303
Burlington County (GO)
5.200%, 10/01/07 700 717
4.850%, 07/15/13 500 485
Camden County, Board of
Education (GO) (FSA)
5.000%, 10/01/05 310 317
Camden County (GO) (AMBAC)
7.750%, 08/01/99 200 201
Camden County (GO) (FGIC)
5.000%, 02/01/04 200 205
5.000%, 02/01/08 500 503
Camden County (GO) (MBIA)
5.600%, 06/01/03 200 206
Camden County, Health Systems
Catholic Health East,
Series B (RB) (AMBAC)
5.000%, 11/15/18 500 475
Cape May County, Municipal
Utilities Authority (RB) (AMBAC)
5.000%, 08/01/03 800 818
Clinton Township (GO)
7.350%, 08/01/01 300 318
Clinton Township (GO) (FGIC)
5.000%, 02/15/11 250 249
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Delaware River & Bay Authority
(RB) (FGIC)
5.350%, 01/01/14 $1,000 $ 1,017
Delaware River, Pennsylvania &
New Jersey Port Authority
(RB) (FGIC)
5.450%, 01/01/12 250 255
5.400%, 01/01/13 1,000 1,012
Dover Township (GO) (AMBAC)
6.000%, 10/15/03 200 212
Edison Township, Additional School
Building Aid (GO)
9.000%, 03/01/01 150 161
Edison Township (GO)
5.700%, 12/01/99 100 101
6.500%, 06/01/00 500 513
5.400%, 06/01/02 250 257
Edison Township (GO) (AMBAC)
4.500%, 01/01/02 500 503
4.800%, 01/01/05 300 303
Elizabeth (GO) (FGIC)
4.625%, 07/15/03 200 202
Elizabeth, School Board
(GO) (MBIA)
7.000%, 03/15/04 250 276
Essex County (GO) (FSA)
6.300%, 12/01/03 300 318
Essex County (GO) (MBIA)
4.750%, 07/15/07 200 200
Essex County, Improvement
Authority (RB) (AMBAC)
4.875%, 12/01/02 300 306
5.000%, 12/01/08 250 252
Essex County, Jail & Youth
Housing (RB)
6.500%, 12/01/06 345 380
Essex County, Orange School
District (RB)
5.550%, 12/01/04 150 157
Essex County, Property &
Equipment (RB)
5.850%, 12/01/03 300 312
Essex County, Utilities Authority,
Solid Waste Revenue (RB) (FSA)
5.000%, 04/01/04 250 255
Evesham Township, Callable
03/01/09 @ 100 (GO) (FGIC)
4.600%, 03/01/19 1,000 904
Evesham Township (GO) (FGIC)
5.000%, 09/15/12 500 494
Fort Lee (GO)
4.850%, 02/01/02 250 254
- --------------------------------------------------------------------------------
18
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Franklin Township (GO)
5.600%, 11/01/05 $ 400 $ 420
Gloucester County (GO) (AMBAC)
5.000%, 09/01/03 500 512
Gloucester County, Improvement
Authority, Landfill Project,
Series A (RB)
6.000%, 09/01/06 300 313
Gloucester County, Solid Waste
Resource Revenue (RB) (AMT)
8.375%, 07/01/10 1,175 1,179
Gloucester County, Utilities
Authority (RB) (AMBAC)
4.800%, 03/01/02 300 304
Greenwich Township (GO) (FSA)
5.000%, 01/15/13 500 492
5.000%, 01/15/14 800 782
Hackensack (GO)
6.100%, 06/01/05 250 262
6.100%, 06/01/07 250 262
4.900%, 03/15/09 500 501
Hackensack Meadowlands (RB)
7.125%, 06/01/02 385 402
Hackettstown, Municipal Utilities
Authority, Series F (RB) (FGIC)
5.050%, 10/01/04 500 512
Hillsborough Township, Board of
Education (COP) (FSA)
5.500%, 12/15/99 250 252
Hudson County (GO) (FGIC)
6.250%, 11/01/99 200 202
Hudson County, Utilities
Authority (RB)
11.875%, 07/01/06 285 341
Jersey City (GO)
6.500%, 02/15/03 370 396
5.500%, 03/15/14 1,000 1,039
Kearny (GO) (FGIC)
4.300%, 02/15/01 500 502
5.250%, 02/15/08 600 618
Long Branch, Sewer Authority
(RB) (FGIC)
4.900%, 06/01/02 300 305
5.200%, 06/01/05 500 514
5.250%, 06/01/06 200 205
Mercer County, Improvement
Authority, Ewing Board of
Education Project (RB) (MBIA)
6.300%, 05/15/07 250 268
Mercer County, Improvement
Authority, Hamilton Board of
Education Project (RB) (MBIA)
5.500%, 06/01/01 200 205
4.900%, 12/15/05 150 152
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Mercer County, Improvement
Authority (RB) (MBIA)
6.000%, 06/01/04 $250 $ 261
Middlesex County (GO)
5.000%, 10/01/05 500 514
Middlesex County, Property Tax (GO)
5.800%, 10/01/10 500 532
Middlesex County, Utilities
Authority (RB) (FGIC)
5.000%, 12/01/12 400 394
Middlesex, Utilities Authority
(RB) (FGIC)
6.100%, 03/15/00 200 204
Middletown Township,
Sewer Authority,
Series A (RB) (FGIC)
4.900%, 01/01/05 800 810
Monmouth County, Improvement
Authority (RB) (FSA)
5.450%, 07/15/13 850 870
Monmouth County, Improvement
Authority (RB) (MBIA)
5.000%, 12/01/08 250 252
Monmouth County (RB)
4.750%, 07/15/03 200 202
Monmouth County (RB) (MBIA)
5.125%, 12/01/16 500 489
Moorestown Township (GO)
5.000%, 02/01/12 150 148
5.000%, 02/01/15 150 147
Moorestown Township
(GO) (AMBAC)
6.000%, 09/01/07 300 317
Morris County (GO)
5.000%, 07/15/13 800 792
Morristown (GO) (FSA)
5.500%, 08/01/01 100 103
Mount Laurel Township (GO)
4.650%, 08/01/05 500 504
New Brunswick (GO) (FGIC)
6.400%, 07/15/03 400 416
New Brunswick (GO) (MBIA)
4.700%, 09/15/09 500 491
New Brunswick, Housing
Authority (RB) (FGIC)
4.750%, 07/01/18 500 459
New Brunswick, Parking
Authority (RB) (FGIC)
4.300%, 09/01/99 300 300
5.000%, 01/01/20 500 476
- --------------------------------------------------------------------------------
19
<PAGE>
Statement of Net Assets
NEW JERSEY MUNICIPAL SECURITIES FUND (CONTINUED)
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Newark, Board of Education
Bonds (GO) (MBIA)
5.875%, 12/15/11 $ 370 $ 389
Newark, Housing Finance,
Fairview & Lock Street Project (RB)
6.150%, 02/01/13 495 517
Newark, Water Utilities (GO) (MBIA)
5.500%, 10/01/14 475 490
North Bergen Township (GO) (MBIA)
4.400%, 08/01/01 500 503
North Bergen Township, Municipal
Utilities Authority (RB) (FGIC)
4.800%, 12/15/03 300 305
North Bergen Township, Utilities
Authority (RB) (FGIC)
4.700%, 12/15/02 300 304
North Brunswick Township (GO)
5.000%, 05/15/12 1,000 989
North Brunswick Township
(GO) (FGIC)
5.000%, 02/01/10 750 749
North Jersey District, Water Supply,
Wanaque North Project,
Series A (RB) (MBIA)
4.875%, 11/15/09 250 248
5.000%, 11/15/10 500 499
North Jersey District, Water Supply,
Wanaque South Project
(RB) (MBIA)
5.400%, 07/01/02 300 309
5.500%, 07/01/03 200 208
Ocean City (GO)
8.700%, 05/15/00 250 261
Ocean County (GO)
4.600%, 11/01/03 500 506
5.800%, 09/01/10 500 529
Ocean Township (GO) (MBIA)
5.400%, 06/01/15 250 260
Old Tappan, Board of Education
(GO) (FGIC)
5.100%, 04/01/18 500 483
Paramus, School District (GO) (FSA)
5.100%, 05/01/16 500 493
Parsippany Troy Hills Township (GO)
4.600%, 02/01/02 100 101
4.700%, 12/01/03 500 508
4.700%, 12/01/04 400 406
Parsippany Troy Hills Township
(GO) (MBIA)
5.000%, 12/01/15 500 487
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Passaic County, Cash Flow
Management Project (GO)
6.400%, 11/15/01 $ 300 $ 315
Passaic County (GO)
4.700%, 09/01/03 250 253
Passaic County (GO) (FGIC)
4.750%, 09/01/04 500 506
5.550%, 04/01/09 250 257
5.125%, 09/01/13 500 497
Passaic County (GO) (MBIA)
4.450%, 05/01/04 200 200
Paterson (GO)
6.350%, 02/15/03 235 249
Paterson, School Board (GO)
7.400%, 08/01/00 250 260
Pequannock-Lincoln Park,
Sewer Authority (RB) (MBIA)
4.400%, 12/01/02 500 502
Perth Amboy (GO) (FSA)
6.200%, 09/01/00 300 309
6.400%, 09/01/02 300 319
Pleasantville (GO) (MBIA)
5.000%, 02/15/11 500 498
Point Pleasant (GO) (MBIA)
5.450%, 12/01/00 200 205
Port Authority of New York &
New Jersey (RB)
5.300%, 08/01/03 300 310
Port Authority of New York &
New Jersey (RB) (AMBAC)
5.200%, 07/15/17 1,000 982
Princeton (GO)
4.400%, 09/01/01 300 302
Rahway Valley, Sewer Authority (RB)
6.200%, 04/01/01 210 211
Randolph Township,
School District (GO) (FGIC)
5.000%, 08/01/15 500 486
Roselle (GO) (MBIA)
4.750%, 10/15/04 700 709
Roxbury (COP)
5.000%, 10/15/00 250 253
Rutgers State University,
Series A (RB)
4.375%, 05/01/01 500 502
Rutgers State University,
Series S (RB)
5.000%, 05/01/04 500 510
Rutgers State University, Series U (RB)
5.000%, 05/01/14 500 490
Sayreville (GO) (MBIA)
10.125%, 12/01/00 250 271
- --------------------------------------------------------------------------------
20
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Secaucus, Municipal Utilities Authority,
Sewer Project, Series A (RB)
5.650%, 12/01/04 $ 200 $ 211
5.750%, 12/01/05 385 408
Somerset County (GO)
5.000%, 10/01/02 200 205
4.450%, 12/01/02 500 504
4.350%, 12/01/04 600 599
Somerset Raritan Valley, Sewer
Improvement Authority,
Series H (RB)
5.150%, 07/01/01 300 306
South Brunswick Township (GO)
6.300%, 04/01/04 250 267
South Jersey, Transportation
Authority, Transportation Systems,
Series B (RB) (MBIA)
5.500%, 11/01/02 250 259
State (COP) (AMBAC)
5.000%, 06/15/14 500 485
State (GO)
5.300%, 02/15/02 850 872
7.000%, 04/01/02 250 263
6.400%, 09/15/02 250 262
5.400%, 02/15/03 300 311
State, Building Authority (RB)
9.625%, 02/01/03 230 257
4.700%, 06/15/06 250 250
5.000%, 06/15/11 200 199
4.750%, 06/15/17 500 464
State, Building Authority
(RB) (MBIA)
5.000%, 06/15/18 1,000 956
State, Callable 03/01/08 @
100 (GO)
4.750%, 03/01/17 1,000 931
State, Callable 06/15/07 @ 100
(COP) (AMBAC)
5.000%, 06/15/13 1,000 979
State, Casino Reinvestment
Development Authority
(RB) (FSA)
5.000%, 10/01/04 1,000 1,024
5.250%, 10/01/09 1,000 1,023
5.250%, 10/01/13 500 502
5.250%, 10/01/14 1,000 1,000
State, Ecomonic Development
Authority (RB)
4.900%, 08/15/04 200 204
5.600%, 10/01/12 500 486
5.700%, 10/01/17 1,000 965
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
State, Economic Development
Authority (RB) (MBIA)
4.550%, 11/15/10 $1,000 $ 959
State, Economic Development
Authority, Health Village
1996 Project (RB)
6.000%, 05/01/09 200 212
State, Economic Development
Authority, Saint Barnabas Project,
Series A (RB) (MBIA)
4.875%, 07/01/05 500 506
State, Economic Development
Authority, Series A (RB) (MBIA)
5.125%, 07/01/00 300 305
State, Economic Development
Authority, Series A, (RB) (MBIA)
5.400%, 07/01/02 300 309
State, Educational Facilities
Authority (RB)
5.000%, 07/01/28 250 232
State, Educational Facilities
Authority (RB) (MBIA)
4.200%, 07/01/05 500 490
State, Educational Facilities
Authority, Drew University Issue,
Series B (RB)
5.750%, 07/01/02 360 374
State, Educational Facilities
Authority, Glassboro State
College (RB)
6.750%, 07/01/09 300 301
State, Educational Facilities
Authority, Medicine & Dentistry,
Series B (RB) (AMBAC)
5.000%, 12/01/07 250 254
State, Educational Facilities
Authority, Rowan College
(RB) (MBIA)
5.050%, 07/01/03 300 307
State, Educational Facilities
Authority, Rowan College,
Series C (RB) (MBIA)
5.250%, 07/01/05 300 309
State, Educational Facilities
Authority, Series A (RB) (AMBAC)
5.125%, 09/01/06 300 307
State, Educational Facilities
Authority, Stockton State College,
Series B (RB) (AMBAC)
6.200%, 07/01/04 300 319
- --------------------------------------------------------------------------------
21
<PAGE>
Statement of Net Assets
NEW JERSEY MUNICIPAL SECURITIES FUND (CONTINUED)
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
State, Environmental Infrastructure
Wastewater Treatment (RB)
5.000%, 09/01/10 $1,000 $ 1,004
5.000%, 09/01/14 1,000 980
State, Equipment Series A (COP)
6.000%, 10/01/00 300 308
State, Health Care Facilities Authority
(RB) (AMBAC)
5.000%, 07/01/16 1,000 959
State, Health Care Facilities Authority
(RB) (MBIA)
5.200%, 07/01/18 500 487
State, Health Care Facilities
Authority, Atlantic City Medical
Center (RB) (AMBAC)
5.000%, 07/01/02 300 306
State, Health Care Facilities
Authority, Chilton Memorial
Hospital (RB)
6.550%, 07/01/03 300 319
State, Health Care Facilities
Authority, Hackensack Medical
Center (RB) (MBIA)
5.100%, 07/01/03 500 511
State, Health Care Facilities
Authority, JFK Health Systems
(RB) (FGIC)
4.600%, 07/01/05 250 249
State, Health Care Facilities
Authority, Mountain Side Hospital
(RB) (FGIC)
6.000%, 07/01/00 300 307
State, Health Care Facilities
Authority, Series A (RB) (MBIA)
5.000%, 01/01/18 500 476
State, Health Care Facilities
Authority, Shore Memorial
Healthcare Systems (RB) (FGIC)
4.800%, 07/01/03 200 203
State, Health Care Facilities
Authority, St. Peters Medical Center,
Series F (RB) (MBIA)
5.000%, 07/01/13 100 98
State, Health Care Facilities
Financing Authority (RB)
6.800%, 08/01/19 3,000 3,180
State, Health Care Facilities
Financing Authority,
Pre-Refunded @ 102 (RB) (A)
6.800%, 08/01/19 425 451
State, Highway Authority,
Garden State Parkway (RB)
6.000%, 01/01/19 1,000 1,093
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
State, Hillcrest Health Project
(RB) (AMBAC)
4.600%, 01/01/02 $ 200 $ 201
5.000%, 01/01/07 300 303
State, Housing & Mortgage
Authority (RB)
6.300%, 05/01/02 400 418
6.400%, 05/01/02 520 542
State, Housing & Mortgage
Finance Agency (RB) (AMBAC)
5.300%, 05/01/06 325 336
State, Housing & Mortgage
Finance Agency, Home Buyer,
Series N (RB) (MBIA)
5.200%, 04/01/06 500 515
State, Housing & Mortgage Finance
Agency, Section 8 (RB)
6.000%, 11/01/02 665 683
State, Housing Finance Authority (RB)
5.100%, 11/01/00 500 500
State, Infrastructure Trust (RB)
5.000%, 05/01/11 500 496
State, Infrastructure Trust (RB) (FGIC)
5.000%, 04/01/11 450 446
State, Montclair State University,
Series C (RB) (AMBAC)
5.375%, 07/01/08 1,285 1,335
State, New York & New Jersey
Port Authority (RB)
6.800%, 07/15/08 250 261
State, New York & New Jersey
Port Authority (RB) (MBIA)
4.750%, 08/01/16 500 463
State, Series A (COP)
6.100%, 10/01/01 1,000 1,040
State, Series E (GO)
5.000%, 07/15/04 100 103
State, South Orange & Maplewood
School District (GO)
6.125%, 11/01/01 150 157
State, Sports & Exposition Authority,
Convention Center Luxury Tax,
Series A (RB) (MBIA)
5.600%, 07/01/01 175 180
State, Sports & Expostion Authority,
Convention Center (RB) (MBIA)
5.900%, 07/01/03 300 319
State, Sports & Exposition Authority,
Series A (RB)
5.000%, 09/01/06 515 525
State, Sports & Exposition Authority State
Guaranteed (RB)
8.300%, 01/01/03 380 427
- --------------------------------------------------------------------------------
22
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
State, Transportation Authority
(RB) (MBIA)
5.000%, 06/15/15 $ 500 $ 484
State, Transportation Authority,
Series A (RB) (AMBAC)
5.200%, 12/15/00 200 204
State, Transportation Authority,
Series A (RB) (FSA)
5.300%, 12/15/01 200 206
5.000%, 06/15/18 1,000 956
State, Transportation Authority,
Series A (RB) (MBIA)
4.500%, 12/15/02 450 453
5.500%, 06/15/11 750 776
State, Transportation Authority,
Series A, (RB) (MBIA)
5.500%, 06/15/13 500 514
State, Transportation Authority,
Series A, Callable 06/15/09 @
100 (RB) (FSA)
4.500%, 06/15/19 500 443
State, Transportation Authority,
Series B (RB) (MBIA)
5.200%, 06/15/06 1,850 1,906
State, Turnpike Authority (RB)
6.400%, 01/01/02 300 314
10.375%, 01/01/03 405 452
State, Turnpike Authority,
Series A (RB) (AMBAC)
5.900%, 01/01/04 500 523
6.400%, 01/01/07 620 646
State, Union County (GO)
5.750%, 02/01/05 100 105
4.400%, 10/01/05 500 498
State, Union County, Environmental
Improvement Authority (RB)
4.900%, 04/01/02 350 356
State, Union County, Improvement
Authority (RB)
4.700%, 11/01/05 250 253
State, University Medicine &
Dentistry, Series E (RB)
6.200%, 12/01/03 500 529
State, Warren County, Pollution
Control Finance Authority
(RB) (MBIA)
6.550%, 12/01/06 300 318
State, Washington Township,
Board of Education (GO) (MBIA)
5.000%, 02/01/03 500 511
State, Wastewater Treatment Trust (RB)
5.000%, 09/01/17 400 387
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
State, Wastewater Treatment Trust,
Pre-refunded @ 102 (RB)
6.000%, 07/01/10 $955 $ 1,006
State, Wastewater Treatment Trust,
Series A (RB)
5.000%, 09/01/06 450 460
State, Woodbridge Township,
Pre-Refunded @ 101 (RB) (A)
6.800%, 08/01/04 250 261
State, Woodbridge Township,
Series A (GO)
4.650%, 09/15/05 100 101
State, Woodbridge Township,
Series C (GO)
4.650%, 09/15/05 100 101
Stony Brook, Sewer Authority (RB)
4.500%, 12/01/00 500 505
Union County (GO)
4.400%, 09/01/01 500 504
Union County, Environmental
Improvement Authority (RB)
5.150%, 04/01/05 500 514
Union County, General
Improvement (GO)
4.750%, 02/01/03 500 508
Union County, Improvement
Authority (RB)
5.050%, 03/01/08 125 128
Wanaque Valley, Sewer Authority,
Series B (RB) (AMBAC)
5.100%, 09/01/03 300 308
Warren County, Municipal Utilities
Authority, Wastewater Treatment
Project (RB)
5.050%, 12/01/04 225 230
Warren County, Pollution Control
Finance Authority, Resource
Recovery Project (RB) (MBIA)
6.150%, 12/01/02 210 221
Warren County, Pollution Control
Finance Authority, Series B
(RB) (MBIA)
5.700%, 12/01/03 300 313
Washington Township (GO) (MBIA)
5.000%, 02/01/06 250 255
Washington Township, Board of
Education Authority (MBIA)
7.500%, 09/01/00 500 521
Washington Township,
Fire District Authority (GO) (FGIC)
4.700%, 01/01/06 300 300
Wayne Township (GO)
5.450%, 10/01/04 250 256
- --------------------------------------------------------------------------------
23
<PAGE>
Statement of Net Assets
NEW JERSEY MUNICIPAL SECURITIES FUND (CONTINUED)
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
West Windsor Township (GO)
6.000%, 10/15/05 $ 200 $ 207
--------
113,919
--------
PENNSYLVANIA--1.1%
Delaware River Port Authority,
Series B (RB) (MBIA)
4.750%, 01/01/14 480 457
4.750%, 01/01/17 1,000 929
--------
1,386
--------
PUERTO RICO--4.5%
Puerto Rico, Electric Power
Authority (RB) (MBIA)
4.900%, 07/01/05 1,000 1,021
Puerto Rico, Electric Power
Authority, Series Y (RB) (MBIA)
6.500%, 07/01/06 500 557
Puerto Rico, Infrastructure
Financing Authority
(RB) (AMBAC)
5.000%, 07/01/28 1,000 939
Puerto Rico, Public Buildings
Authority, Series A (RB) (AMBAC)
4.500%, 07/01/01 200 202
Puerto Rico, Series A (RB) (MBIA)
5.000%, 10/01/22 1,000 946
Puerto Rico, Telephone Authority,
Series M (RB)
5.000%, 01/01/02 500 510
5.400%, 01/01/08 260 273
Puerto Rico, Telephone Authority,
Series M (RB) (AMBAC)
5.050%, 01/01/04 590 612
Puerto Rico, Telephone
Authority, Series N (RB)
5.100%, 01/01/04 395 410
Puerto Rico, Tourist &
Environmental Authority (RB)
5.250%, 08/01/06 200 205
--------
5,675
--------
GUAM--0.2%
Guam Government,
Water System (RB)
6.950%, 07/01/00 250 258
--------
Total Municipal Bonds
(Cost $120,268) 121,701
--------
- ---------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ---------------------------------------------------------------
CASH EQUIVALENT--1.6%
Federated New Jersey Municipal
Cash Trust 1,986,000 $ 1,986
---------
Total Cash Equivalent
(Cost $1,986) 1,986
---------
Total Investments--98.8%
(Cost $122,504) 123,687
---------
OTHER ASSETS AND LIABILITIES, NET--1.2% 1,518
---------
NET ASSETS:
Portfolio Shares of Class I
(unlimited authorization -- no
par value) based on 10,510,826
outstanding shares of beneficial
interest 109,631
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on 1,317,688
outstanding shares of beneficial
interest 14,070
Accumulated net realized gain
on investments 321
Net unrealized appreciation
on investments 1,183
---------
Total Net Assets--100.0% $ 125,205
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $10.59
======
Net Asset Value and Redemption Price
Per Share -- Class A $10.55
======
Maximum Public Offering Price
Per Share -- Class A ($10.55 / 97%) $10.88
======
(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.
- --------------------------------------------------------------------------------
24
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
INTERMEDIATE-TERM GOVERNMENT SECURITIES FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000)/SHARES VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--58.1%
U.S. Treasury Notes
6.250%, 04/30/01 $ 200 $ 203
6.625%, 06/30/01 1,000 1,020
6.500%, 08/31/01 1,500 1,526
6.125%, 12/31/01 900 910
6.250%, 01/31/02 1,000 1,014
6.250%, 02/28/02 1,000 1,014
6.250%, 06/30/02 2,000 2,029
5.500%, 01/31/03 1,600 1,586
5.500%, 02/28/03 1,000 991
5.500%, 05/31/03 1,600 1,583
5.375%, 06/30/03 1,000 985
5.875%, 11/15/05 1,000 997
5.625%, 02/15/06 1,750 1,719
--------
Total U.S. Treasury Obligations
(Cost $15,575) 15,577
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS--40.0%
Federal Farm Credit Bank
6.550%, 02/07/04 1,000 1,017
5.790%, 03/15/06 1,000 967
Federal Home Loan Bank
5.285%, 02/17/04 1,000 966
6.220%, 06/15/05 1,000 981
5.370%, 01/20/06 1,000 945
6.530%, 06/09/09 1,000 984
Federal National Mortgage
Association
6.330%, 08/16/05 1,000 1,000
6.010%, 05/03/06 750 725
6.000%, 02/23/09 1,500 1,403
6.500%, 03/12/09 800 780
6.430%, 04/01/09 1,000 965
--------
Total U.S. Government
Agency Obligations
(Cost $11,093) 10,733
--------
CASH EQUIVALENT--0.8%
SEI Liquid Asset Trust--
Government Portfolio 237,000 237
--------
Total Cash Equivalent
(Cost $237) 237
--------
Total Investments--99.0%
(Cost $26,906) 26,547
--------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES, NET--1.0% $ 260
--------
NET ASSETS:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based on
2,577,634 outstanding shares of beneficial
interest 27,269 Portfolio Shares of Class A
(unlimited authorization -- no par value)
based on 97,127 outstanding shares of
beneficial interest 1,240
Undistributed net investment income 4
Accumulated net realized loss
on investments (1,347)
Net unrealized depreciation
on investments (359)
--------
Total Net Assets--100.0% $26,807
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $10.02
========
Net Asset Value and Redemption Price
Per Share -- Class A $10.02
========
Maximum Public Offering Price
Per Share -- Class A ($10.02 / 96%) $10.44
========
PENNSYLVANIA MUNICIPAL SECURITIES FUND
- ------------------------------------------------------------------------------
MUNICIPAL BONDS--97.9%
PENNSYLVANIA--95.1%
Allegheny County, Hospital
Development Authority
(RB) (MBIA)
5.600%, 04/01/13 $ 500 516
Allegheny County, Hospital
Development Authority,
Pittsburgh Mercy Health System
(RB) (AMBAC)
5.500%, 08/15/10 425 443
Allegheny County, International
Airport (RB) (MBIA)
5.000%, 01/01/17 750 716
Allegheny County, Pennsylvania
Hospital Development Authority,
Catholic Health East, Series A (RB)
4.875%, 11/15/18 1,000 931
Altoona, City Authority, Water
Revenue (RB) (FGIC)
5.050%, 11/01/11 500 496
Beaver County (GO) (MBIA)
5.150%, 10/01/17 1,000 974
25
<PAGE>
Statement of Net Assets
PENNSYLVANIA MUNICIPAL SECURITIES FUND (CONTINUED)
- -------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
Bethlehem, Area School District,
Callable 10/15/08 @ 100
(GO) (FSA)
5.000%, 10/15/18 $1,000 $ 976
Bethlehem, Penn School
District (GO) (FGIC)
4.850%, 09/01/10 200 197
Chester County, Health &
Education Facilities Authority,
Jefferson Health Systems,
Series B (RB)
5.375%, 05/15/27 500 472
Chester County, Health & Education
Facilities Authority, Main Line
Health Systems, Series A (RB)
5.400%, 05/15/09 500 503
Delaware County, Pennsylvania
Mercy Health Southeastern (RB)
5.125%, 11/15/12 500 495
Emmaus, East Penn School District,
Callable 11/15/05 @ 100
(RB) (FSA)
5.050%, 11/15/16 150 144
Erie-Penn, Sewer Authority
(RB) (AMBAC)
5.000%, 06/01/18 450 427
Fairview, Penn School District
(GO) (FGIC)
5.050%, 02/15/11 260 258
Franklin County, Industrial
Development Authority
(RB) (AMBAC)
5.000%, 07/01/18 500 472
Greater Johnstown, School District,
Callable 08/01/08 @ 100.00
(GO) (MBIA)
5.000%, 02/01/19 1,300 1,227
Harrisburg (RB) (MBIA)
5.600%, 09/15/11 575 592
Hazelton, Area School District,
Callable 03/01/08 @ 100
(GO) (FGIC)
5.000%, 03/01/17 1,000 955
Luzerne County (GO) (FGIC)
5.600%, 12/15/16 500 520
Montgomery County, Abington
Memorial Hospital (RB) (AMBAC)
4.875%, 06/01/18 500 466
Moon Township, Municipal
Authority, Water & Sewer (RB)
3.875%, 12/01/02 3 3
- ------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------------------------
Norristown (GO) (A)
5.050%, 12/15/16 $ 140 $ 52
Penn-Trafford, School District
(GO) (AMBAC)
4.800%, 05/01/15 1,000 944
Philadelphia, Authority for
Industrial Development,
Callable 07/01/03 @ 102 (RB)
5.250%, 07/01/17 1,250 1,241
Philadelphia, Authority for
Industrial Development
(RB) (MBIA)
4.900%, 06/01/12 700 682
Philadelphia, Hospitals &
Higher Education Facilities
Authority, Jefferson Health
System, Series A, Callable
05/15/09 @101 (RB)
5.000%, 05/15/18 450 408
Philadelphia, School District
(GO) (AMBAC)
5.375%, 04/01/27 1,200 1,188
Philadelphia, Water & Wastewater,
Callable 06/15/03 @ 100
(RB) (FSA)
5.000%, 06/15/16 1,000 957
Pittsburgh, Urban Redevelopment
Authority (RB)
5.750%, 10/01/14 100 102
Saint Mary Hospital Authority,
Catholic Health Initiatives (RB)
5.000%, 12/01/28 1,000 897
State, Convention Center Authority,
Series A, (RB) (FGIC)
6.000%, 09/01/19 1,000 1,084
State, Higher Education Facilities
Authority (RB)
4.500%, 07/15/18 1,000 872
State, Higher Education Facilities
Authority, College & University
Revenue (RB) (MBIA)
5.000%, 11/01/07 500 504
State, Higher Education Facilities
Authority, Drexel University
(RB) (MBIA)
4.500%, 05/01/13 1,000 924
State, Higher Education Facilities
Authority, Health Services Project,
Series A (RB)
6.000%, 01/01/06 1,000 1,052
26
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
- -------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
State, Higher Education Facilities
Authority, LaSalle University
(RB) (MBIA)
5.250%, 05/01/10 $ 200 $ 203
State, Higher Education Facilities
Authority, Series R, Callable
06/15/09 @ 100 (RB) (FSA)
5.000%, 06/15/17 1,000 954
State, Higher Education Facilities
Authority, University of
Pennsylvania, Callable
07/15/08 @ 100 (RB)
4.500%, 07/15/21 1,400 1,202
State, Hospital & Education
Authority (RB) (FSA)
5.625%, 10/01/18 500 508
State, Housing Finance
Agency (RB)
5.450%, 10/01/14 500 499
State, Housing Finance Agency,
Callable 06/04/08 @
101.5 (RB) (AMT)
5.500%, 10/01/22 1,000 979
State, Housing Finance Authority,
Series 49 (RB) (AMT)
5.600%, 10/01/05 75 77
State, Intergovernmental Coop
Authority, Callable 06/15/09 @
100 (RB) (FGIC)
5.000%, 06/15/18 200 190
4.750%, 06/15/19 1,050 958
State, Second Series (GO)
5.000%, 10/15/15 1,250 1,213
5.000%, 10/15/16 1,400 1,348
State, Series A (COP) (AMBAC)
5.000%, 07/01/15 1,000 955
Tredyffrin Township,
Callable 11/15/06 @ 100 (GO)
5.250%, 11/15/17 1,000 993
Upper Merion, Pennsylvania Area
School District, Callable
07/15/08 @ 100 (GO)
5.000%, 07/15/15 500 486
--------
33,255
--------
NEW JERSEY--2.8%
Solanco School District
(GO) (FGIC)
5.200%, 02/15/14 1,000 991
--------
Total Municipal Bonds
(Cost $35,264) 34,246
--------
- ------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ------------------------------------------------------------------------------
CASH EQUIVALENT--1.0%
Federated Pennsylvania Municipal
Cash Trust 335,000 $ 335
--------
Total Cash Equivalent
(Cost $335) 335
--------
Total Investments--98.9%
(Cost $35,599) 34,581
--------
OTHER ASSETS AND LIABILITIES, NET--1.1% 400
--------
NET ASSETS:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 3,522,821 outstanding shares of
beneficial interest 35,190
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 40,881 outstanding shares of
beneficial interest 415
Undistributed net investment income 1
Accumulated net realized gain
on investments 393
Net unrealized depreciation
on investments (1,018)
--------
Total Net Assets--100.0% $34,981
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $9.82
========
Net Asset Value and Redemption Price
Per Share -- Class A $9.79
========
Maximum Public Offering Price
Per Share -- Class A ($9.79 / 97%) $10.09
========
(A) ZERO COUPON BOND -- THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS
REPRESENTS THE SECURITY'S EFFECTIVE YIELD AT PURCHASE.
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 CORPORATION
FGIC -- FINANCIAL GUARANTY INSURANCE COMPANY
FSA -- FINANCIAL SECURITIES ASSURANCE
MBIA -- MUNICIPAL BOND INSURANCE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
27
<PAGE>
Statement of Net Assets
EQUITY GROWTH FUND
- ------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ------------------------------------------------------------------------------
COMMON STOCKS--96.6%
AUTOMOTIVE--1.5%
Harley-Davidson 70,000 $ 3,806
--------
BANKS--2.9%
Northern Trust 74,000 7,178
--------
BEAUTY PRODUCTS--0.9%
Procter & Gamble 25,000 2,231
--------
BROADCASTING, NEWSPAPERS & ADVERTISING--2.5%
Interpublic Group 71,000 6,150
--------
COMMUNICATIONS EQUIPMENT--5.8%
Nokia Series A (ADR) 134,000 12,269
Tellabs* 30,000 2,027
--------
14,296
--------
COMPUTERS & SERVICES--21.6%
America Online* 53,800 5,945
Cisco Systems* 174,000 11,212
Compuware* 35,000 1,113
Dell Computer* 182,000 6,734
Electronic Data Systems 119,000 6,731
EMC* 181,000 9,955
Microsoft* 128,000 11,544
--------
53,234
--------
DRUGS--10.6%
American Home Products 112,000 6,440
Bristol-Myers Squibb 93,200 6,565
Merck 41,000 3,034
Schering Plough 119,800 6,349
Warner-Lambert 54,835 3,804
--------
26,192
--------
ELECTRICAL & ELECTRONIC PRODUCTS--3.4%
General Electric 75,000 8,475
--------
FINANCIAL SERVICES--6.5%
Freddie Mac 75,000 4,350
MBNA 200,000 6,125
Morgan Stanley, Dean Witter,
Discover 53,000 5,433
--------
15,908
--------
GAS/NATURAL GAS--3.0%
Enron 90,000 7,358
--------
INSURANCE--4.1%
American International Group 87,150 10,202
--------
MARINE TRANSPORTATION--2.2%
Carnival, Class A 111,000 5,384
--------
- ------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ------------------------------------------------------------------------------
MISCELLANEOUS BUSINESS SERVICES--0.5%
Network Appliance* 20,000 $ 1,117
--------
MISCELLANEOUS MANUFACTURING--3.6%
Tyco International 92,247 8,740
--------
PROFESSIONAL SERVICES--0.4%
Paychex 34,500 1,100
--------
RETAIL--10.7%
Estee Lauder 130,000 6,516
Gap 183,712 9,255
Home Depot 110,800 7,140
Starbucks* 90,000 3,381
--------
26,292
--------
SEMI-CONDUCTORS/INSTRUMENTS--6.6%
Altera* 27,000 994
Applied Materials* 66,000 4,876
Intel 38,000 2,261
Texas Instruments 57,000 8,265
--------
16,396
--------
TELEPHONES & TELECOMMUNICATION--8.1%
Alltel 30,000 2,145
Lucent Technologies 101,000 6,811
MCI WorldCom* 105,530 9,082
Qwest Communications
International* 60,000 1,984
--------
20,022
--------
WHOLESALE--1.7%
Johnson & Johnson 43,000 4,214
--------
Total Common Stocks
(Cost $149,262) 238,295
--------
CASH EQUIVALENT--2.7%
Aim Short-Term Prime
Obligation 6,660,000 6,660
--------
Total Cash Equivalent
(Cost $6,660) 6,660
--------
REGULATED INVESTMENT COMPANY--0.8%
S&P 500 Depository
Receipt 15,000 2,055
--------
Total Regulated Investment
Company
(Cost $2,039) 2,055
--------
Total Investments--100.1%
(Cost $157,961) 247,010
--------
OTHER ASSETS AND LIABILITIES, NET--(0.1%) (287)
--------
28
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 16,958,379 outstanding shares of
beneficial interest $128,537
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 315,409 outstanding shares of
beneficial interest 3,253
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 1,050,564 outstanding shares of
beneficial interest 12,156
Distributions in excess of net
investment income (294)
Accumulated net realized gain
on investments 14,022
Net unrealized appreciation
on investments 89,049
--------
Total Net Assets--100.0% $246,723
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $13.48
========
Net Asset Value and Redemption Price
Per Share -- Class A $13.35
========
Maximum Public Offering Price
Per Share -- Class A ($13.35 / 94.5%) $14.13
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $13.17
========
* NON-INCOME PRODUCING SECURITY
(1) CLASS B HAS A DEFERRED SALES CHARGE.
ADR -- AMERICAN DEPOSITORY RECEIPT
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EQUITY VALUE FUND
- -------------------------------------------------------------------------------
COMMON STOCKS--98.4%
AEROSPACE & DEFENSE--1.5%
Lockheed Martin 125,000 4,656
--------
AIRCRAFT--2.0%
United Technologies 90,000 6,452
--------
BANKS--6.7%
Bank of America 56,000 4,105
Bank of New York 150,000 5,503
Chase Manhattan 60,000 5,197
J.P. Morgan 45,000 6,322
--------
21,127
--------
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
BEAUTY PRODUCTS--1.4%
Procter & Gamble 50,000 $ 4,462
--------
CHEMICALS--2.5%
Air Products & Chemicals 90,000 3,622
E.I. DuPont de Nemours 65,000 4,440
--------
8,062
--------
COMPUTERS & SERVICES--8.7%
Hewlett Packard 85,000 8,542
International Business Machines 70,000 9,047
Microsoft* 110,000 9,921
--------
27,510
--------
DRUGS--10.3%
Bristol-Myers Squibb 110,000 7,748
Glaxo Wellcome PLC (ADR) 95,000 5,379
Merck 96,000 7,104
Pfizer 60,000 6,585
SmithKline Beecham PLC (ADR) 90,000 5,946
--------
32,762
--------
ELECTRICAL & ELECTRONIC PRODUCTS--5.1%
Emerson Electric 70,000 4,401
FPL Group 70,000 3,824
General Electric 70,000 7,910
--------
16,135
--------
ENTERTAINMENT--1.2%
Walt Disney 125,000 3,852
--------
FINANCIAL SERVICES--5.4%
American Express 50,000 6,506
Federal National Mortgage
Association 85,000 5,812
Textron 60,000 4,939
--------
17,257
--------
FOOD, BEVERAGE & TOBACCO--3.9%
Bestfoods 95,000 4,702
PepsiCo 100,000 3,869
Sara Lee 170,000 3,857
--------
12,428
--------
GAS/NATURAL GAS--3.0%
Consolidated Natural Gas 60,000 3,645
Enron 70,000 5,722
--------
9,367
--------
HOUSEHOLD PRODUCTS--1.7%
Colgate-Palmolive 55,000 5,431
--------
29
<PAGE>
Statement of Net Assets
EQUITY VALUE FUND (CONTINUED)
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
INSURANCE--4.1%
American International Group 60,000 $ 7,024
Citigroup 127,500 6,056
--------
13,080
--------
LEISURE PRODUCTS--1.3%
Mattel 150,000 3,966
--------
MACHINERY--1.2%
Deere 100,000 3,963
--------
MANUFACTURING--1.4%
Minnesota Mining &
Manufacturing 50,000 4,347
--------
MEDICAL PRODUCTS & SERVICES--0.5%
Becton Dickinson 51,500 1,545
--------
PAPER & PAPER PRODUCTS--1.5%
Kimberly Clark 85,000 4,845
--------
PETROLEUM & FUEL PRODUCTS--1.3%
Schlumberger 65,000 4,140
--------
PETROLEUM REFINING--7.0%
BP Amoco (ADR) 50,000 5,425
Exxon 65,000 5,013
Mobil 65,000 6,435
Royal Dutch Petroleum (ADR) 90,000 5,423
--------
22,296
--------
PRINTING & PUBLISHING--5.0%
Gannett 85,000 6,067
Time Warner 135,000 9,923
--------
15,990
--------
RAILROADS--2.1%
Burlington Northern Santa Fe 105,000 3,255
Union Pacific 60,000 3,499
--------
6,754
--------
RETAIL--2.8%
Safeway* 75,000 3,713
Wal-Mart Stores 110,000 5,308
--------
9,021
--------
SEMI-CONDUCTORS/INSTRUMENTS--2.4%
Intel 130,000 7,735
--------
TELEPHONES & TELECOMMUNICATION--14.4%
Ameritech 100,000 7,350
BellSouth 145,000 6,797
Lucent Technologies 150,000 10,116
MCI WorldCom* 60,000 5,164
- ------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ------------------------------------------------------------------------------
Motorola 100,000 $ 9,475
SBC Communications 115,000 6,670
--------
45,572
--------
Total Common Stocks
(Cost $204,385) 312,755
--------
CASH EQUIVALENTS--1.5%
SEI Liquid Asset Trust --
Government Portfolio 4,232,000 4,232
SEI Liquid Asset Trust--
Treasury Portfolio 481,000 481
--------
Total Cash Equivalents
(Cost $4,713) 4,713
--------
Total Investments--99.9%
(Cost $209,098) 317,468
--------
OTHER ASSETS AND LIABILITIES, NET--0.1% 209
--------
NET ASSETS:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 15,515,048 outstanding shares of
beneficial interest 164,367
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 1,114,350 outstanding shares of
beneficial interest 13,642
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 1,620,112 outstanding shares of
beneficial interest 24,227
Accumulated net realized gain
on investments 7,071
Net unrealized appreciation
on investments 108,370
--------
Total Net Assets--100.0% $317,677
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $17.42
========
Net Asset Value and Redemption Price
Per Share -- Class A $17.41
========
Maximum Public Offering Price Per Share --
Class A ($17.41 / 94.5%) $18.42
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $17.31
========
*NON-INCOME PRODUCING SECURITY
(1) CLASS B HAS A DEFERRED SALES CHARGE.
ADR -- AMERICAN DEPOSITORY RECEIPT
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
30
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
EQUITY INCOME FUND
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
COMMON STOCKS--88.3%
AEROSPACE & DEFENSE--1.2%
Allied Signal 25,000 $ 1,575
--------
AIRCRAFT--2.1%
United Technologies 40,000 2,867
--------
AUTOMOTIVE--2.7%
Dana 40,000 1,842
Ford Motor 30,000 1,693
--------
3,535
--------
BANKS--6.2%
Bank of New York 70,000 2,568
Bank One 33,000 1,966
Chase Manhattan 26,000 2,252
J.P. Morgan 11,000 1,545
--------
8,331
--------
CHEMICALS--2.0%
E.I. DuPont de Nemours 40,000 2,732
--------
DRUGS--13.4%
American Home Products 26,000 1,495
Bristol-Myers Squibb 50,000 3,522
Glaxo Wellcome PLC (ADR) 40,000 2,265
Merck 30,000 2,220
Monsanto*, ACES 35,000 1,404
Pfizer 20,000 2,195
Pharmacia & Upjohn 40,000 2,273
SmithKline Beecham PLC (ADR) 40,000 2,643
--------
18,017
--------
ELECTRICAL & ELECTRONIC PRODUCTS--7.5%
Emerson Electric 25,000 1,572
General Electric 41,000 4,633
Honeywell 15,000 1,738
Thomas & Betts 45,000 2,126
--------
10,069
--------
ENVIRONMENTAL SERVICES--1.3%
Browning-Ferris Industries 40,000 1,720
--------
FINANCIAL SERVICES--5.1%
Federal National Mortgage
Association 25,000 1,709
Household International 45,000 2,132
Textron 37,000 3,046
--------
6,887
--------
FOOD, BEVERAGE & TOBACCO--2.4%
Bestfoods 37,000 1,832
Sara Lee 60,000 1,361
--------
3,193
--------
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
GAS/NATURAL GAS--5.4%
Consolidated Natural Gas 30,000 $ 1,823
Enron 40,000 3,270
Williams 50,000 2,128
--------
7,221
--------
GLASS PRODUCTS--1.1%
PPG Industries 25,000 1,477
--------
HOUSEHOLD PRODUCTS--2.1%
Colgate-Palmolive 19,000 1,876
Sherwin Williams 35,000 971
--------
2,847
--------
INSURANCE--10.6%
Allstate 40,000 1,435
American General 25,000 1,884
American International Group 17,000 1,990
Lincoln National 50,000 2,616
Marsh & McLennan 40,000 3,020
St. Paul 42,000 1,336
XL Capital, Class A 35,000 1,978
--------
14,259
--------
MEDICAL PRODUCTS & SERVICES--1.5%
Baxter International 33,000 2,001
--------
PAPER & PAPER PRODUCTS--1.7%
Kimberly Clark 40,000 2,280
--------
PETROLEUM REFINING--7.6%
BP Amoco (ADR) 28,000 3,038
Chevron 22,000 2,094
Mobil 30,000 2,970
Texaco 33,000 2,063
--------
10,165
--------
PRINTING & PUBLISHING--4.3%
Hollinger International 70,000 831
McGraw-Hill 60,000 3,236
Readers Digest 46,000 1,702
--------
5,769
--------
RAILROADS--0.9%
Burlington Northern Santa Fe 40,000 1,240
--------
RETAIL--2.3%
Limited 68,000 3,086
--------
31
<PAGE>
Statement of Net Assets
EQUITY INCOME FUND (CONTINUED)
- -------------------------------------------------------------------------------
SHARES MARKET
DESCRIPTION FACE AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
TELEPHONES & TELECOMMUNICATION--6.9%
AT&T 40,000 $ 2,233
Bell Atlantic 26,000 1,700
BellSouth 70,000 3,281
Vodafone Group 10,342 2,037
--------
9,251
--------
Total Common Stocks
(Cost $83,248) 118,522
--------
PREFERRED STOCKS--4.0%
El Paso Energy Capital Trust 30,000 1,485
Ingersoll-Rand 35,000 1,050
Mattel 41,500 415
Psinet* 10,000 483
Seagrams* ACES 6,000 300
Union Pacific Capital Trust* (A) 30,000 1,586
--------
Total Preferred Stocks
(Cost $5,078) 5,319
--------
CONVERTIBLE BOND--1.5%
Newell Financial Trust I* $35 1,951
--------
Total Convertible Bond
(Cost $1,789) 1,951
--------
REGULATED INVESTMENT COMPANY--1.1%
Estee Lauder, TRACES 15,000 1,414
--------
Total Regulated Investment
Company
(Cost $1,298) 1,414
--------
CASH EQUIVALENT--4.4%
SEI Liquid Asset Trust --
Prime Obligation 5,905,000 5,905
--------
Total Cash Equivalent
(Cost $5,905) 5,905
--------
Total Investments--99.3%
(Cost $97,319) 133,111
--------
OTHER ASSETS AND LIABILITIES, NET--0.7% 904
--------
- ------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 6,354,743 outstanding shares of
beneficial interest $ 62,439
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 1,211,084 outstanding shares of
beneficial interest 14,894
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 1,302,318 outstanding shares of
beneficial interest 18,682
Distributions in excess of net
investment income (81)
Accumulated net realized gain
on investments 2,289
Net unrealized appreciation on
investments 35,792
--------
Total Net Assets--100.0% $134,015
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $15.12
========
Net Asset Value and Redemption Price
Per Share -- Class A $15.15
========
Maximum Public Offering Price Per Share --
Class A ($15.15 / 94.5%) $16.03
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $15.04
========
*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.
ACES -- ADJUSTABLE CONVERTIBLE RATE EQUITY SECURITY UNITS
ADR -- AMERICAN DEPOSITORY RECEIPT
TRACES -- TRUST AUTOMATIC COMMON EXCHANGE SECURITIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
MUTUAL FUND--99.5%
SEI S&P 500 Index Portfolio 46,000,000 19,898
--------
Total Mutual Fund
(Cost $17,939) 19,898
--------
Total Investments--99.5%
(Cost $17,939) 19,898
--------
OTHER ASSETS AND LIABILITIES, NET--0.5% 106
--------
32
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 267,484 outstanding shares of
beneficial interest $ 3,307
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 90,725 outstanding shares of
beneficial interest 1,069
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 1,147,191 outstanding shares of
beneficial interest 13,706
Distributions in excess of net investment
income (66)
Accumulated net realized gain
on investments 29
Net unrealized appreciation on investments 1,959
--------
Total Net Assets--100.0% $ 20,004
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $13.41
========
Net Asset Value and Redemption Price
Per Share -- Class A $13.28
========
Maximum Public Offering Price
Per Share -- Class A ($13.28 / 94.5%) $14.05
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $13.26
========
(1) CLASS B HAS A DEFERRED SALES CHARGE.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
MID CAP FUND
- ------------------------------------------------------------------------------
COMMON STOCKS--100.0%
APPAREL/TEXTILES--1.2%
U.S. Industries 6,412 109
--------
AUTOMOTIVE--3.9%
Cooper* 14,250 355
--------
BROADCASTING, NEWSPAPERS &
ADVERTISING--1.8%
Antec* 5,000 160
--------
COMMUNICATIONS EQUIPMENT--1.8%
ADC Telecommunications* 3,600 164
--------
COMPUTERS & SERVICES--8.4%
Black Box* 4,750 238
Compuware* 5,700 181
Sungard Data Systems* 9,975 344
--------
763
--------
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
DRUGS--8.6%
Alza* 4,275 $ 218
Centocor* 7,125 332
Watson Pharmaceuticals* 6,412 225
--------
775
--------
HOUSEHOLD PRODUCTS--3.5%
Danaher 5,462 318
--------
INSURANCE--3.9%
Delphi Financial Group* 5,139 184
Radian Group 3,445 168
--------
352
--------
MEDICAL PRODUCTS & SERVICES--5.5%
Biomet* 5,320 212
Omnicare 12,500 158
PSS World Medical* 11,400 128
--------
498
--------
MISCELLANEOUS BUSINESS
SERVICES--18.2%
Cendant* 10,260 210
Citrix Systems* 2,375 134
Comdisco 11,875 304
CSG Systems International* 5,000 131
Electronic Arts* 5,985 325
Parametric Technology* 10,640 148
QuadraMed* 13,775 112
Zomax* 6,615 291
--------
1,655
--------
MISCELLANEOUS CONSUMER SERVICES--2.0%
Stewart Enterprises, Class A 12,635 184
--------
PROFESSIONAL SERVICES--2.7%
Devry* 10,925 244
--------
RETAIL--13.8%
CBRL Group 4,750 82
Papa John's International* 2,850 127
Pier 1 Imports 14,250 160
Piercing Pagoda* 15,390 194
Rainforest Cafe* 20,520 104
Rite Aid 3,800 94
Stage Stores* 14,250 93
Tech Data* 10,450 400
--------
1,254
--------
33
<PAGE>
Statement of Net Assets
MID CAP FUND (CONTINUED)
- ----------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------
SEMI-CONDUCTORS/INSTRUMENTS--6.4%
American Power Conversion* 14,250 $ 287
Analog Devices* 2,315 116
C-Cube Microsystems Inc* 5,700 181
--------
584
--------
SPECIALTY MACHINERY--2.5%
SLI* 8,360 226
--------
TELEPHONES & TELECOMMUNICATION--2.1%
Pacific Gateway Exchange* 6,650 194
--------
TESTING LABORATORIES--6.9%
Chiron* 15,675 325
Quintiles Transnational* 7,200 302
--------
627
--------
TRUCKING--3.7%
Suiza Foods* 7,980 334
--------
WHOLESALE--3.1%
Cardinal Health 4,417 283
--------
Total Common Stocks
(Cost $7,096) 9,079
--------
CASH EQUIVALENT--0.1%
SEI Liquid Asset Trust --
Government Portfolio 6,000 6
--------
Total Cash Equivalent
(Cost $6) 6
--------
Total Investments--100.2%
(Cost $7,102) 9,085
--------
OTHER ASSETS AND LIABILITIES, NET--(0.2%) (15)
--------
NET ASSETS:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 851,088 outstanding shares of
beneficial interest 7,031
Distributions in excess of net
investment income (25)
Accumulated net realized gain on investments 81
Net unrealized appreciation on investments 1,983
--------
Total Net Assets--100.0% $9,070
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $10.66
========
* NON-INCOME PRODUCING SECURITY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
BALANCED FUND
- ------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ------------------------------------------------------------------------------
COMMON STOCKS--69.6%
AIRCRAFT--1.9%
United Technologies 20,000 $ 1,434
--------
APPAREL/TEXTILES--1.2%
U.S. Industries 55,000 935
--------
BANKS--6.7%
Bank of America 21,000 1,540
Bank of New York 16,000 587
Chase Manhattan 20,000 1,732
First Union 25,000 1,175
--------
5,034
--------
BEAUTY PRODUCTS--1.1%
Gillette 20,000 820
--------
CHEMICALS--3.0%
Air Products & Chemicals 23,000 926
E.I. DuPont de Nemours 20,000 1,366
--------
2,292
--------
COMPUTERS & SERVICES--5.4%
Cisco Systems* 26,000 1,675
Dell Computer* 35,000 1,295
Microsoft* 12,000 1,082
--------
4,052
--------
DRUGS--7.6%
Bristol-Myers Squibb 12,000 845
Glaxo Wellcome PLC (ADR) 10,000 566
Merck 11,000 814
Monsanto*, ACES 35,000 1,404
Pfizer 10,000 1,097
SmithKline Beecham PLC (ADR) 15,000 991
--------
5,717
--------
ELECTRICAL & ELECTRONIC PRODUCTS--3.9%
General Electric 11,000 1,243
Honeywell 15,000 1,738
--------
2,981
--------
ENTERTAINMENT--0.8%
Walt Disney 20,000 616
--------
FINANCIAL SERVICES--6.0%
American Express 6,000 781
Federal National Mortgage
Association 12,000 820
Franklin Resources 10,000 406
Merrill Lynch 7,000 560
Morgan Stanley, Dean Witter,
Discover 5,000 512
Textron 18,000 1,482
--------
4,561
--------
34
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
FOOD, BEVERAGE & TOBACCO--0.6%
Campbell Soup 10,000 $ 464
--------
GAS/NATURAL GAS--3.3%
Enron 15,000 1,226
Williams 30,000 1,277
--------
2,503
--------
HOUSEHOLD PRODUCTS--4.5%
Clorox 11,000 1,175
Colgate-Palmolive 10,000 987
Illinois Tool Works 15,000 1,230
--------
3,392
--------
INSURANCE--3.2%
American International Group 6,000 702
Citigroup 27,750 1,318
UNUM 7,500 411
--------
2,431
--------
MACHINERY--2.2%
Ingersoll-Rand 26,000 1,680
--------
MISCELLANEOUS MANUFACTURING--2.7%
Tyco International 21,000 1,990
--------
PETROLEUM REFINING--1.9%
BP Amoco (ADR) 5,293 574
Mobil 6,000 594
USX Marathon 7,000 228
--------
1,396
--------
PROFESSIONAL SERVICES--0.3%
Halliburton 5,000 226
--------
RETAIL--1.8%
Limited 25,000 1,134
Office Depot* 10,000 221
--------
1,355
--------
SEMI-CONDUCTORS/INSTRUMENTS--3.2%
Applied Materials* 15,000 1,108
Intel 22,000 1,309
--------
2,417
--------
TELEPHONES & TELECOMMUNICATION--6.0%
AT&T 25,000 1,395
Lucent Technologies 24,000 1,619
MCI WorldCom* 18,000 1,549
--------
4,563
--------
TRUCKING--1.0%
CNF Transportation 20,000 768
--------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
WHOLESALE--1.6%
Johnson & Johnson 12,000 $ 1,176
--------
Total Common Stocks
(Cost $36,810) 52,803
--------
CORPORATE BONDS--18.5%
BANKS--1.9%
Bank One Texas
6.250%, 02/15/08 $1,000 955
NBD Bancorp
7.125%, 05/15/07 500 503
--------
1,458
--------
FINANCIAL SERVICES--3.3%
Bear Stearns
6.625%, 10/01/04 800 787
Goldman Sachs
6.650%, 05/15/09 750 725
Merrill Lynch & Company,
Series B
6.070%, 04/06/04 950 930
--------
2,442
--------
FOOD, BEVERAGE & TOBACCO--1.3%
PepsiCo
6.125%, 03/04/08 1,000 956
--------
INDUSTRIAL--4.5%
Amoco
6.250%, 10/15/04 1,000 994
Browning-Ferris
6.375%, 01/15/08 500 432
McDonald's
6.500%, 08/01/07 1,000 998
Philip Morris
9.250%, 02/15/00 100 102
Sara Lee (MTN)
6.000%, 01/15/08 950 906
--------
3,432
--------
INSURANCE--1.2%
Citigroup
6.200%, 03/15/09 1,000 940
--------
MACHINERY--1.2%
Tyco International Group
6.125%, 01/15/09 1,000 926
--------
PETROLEUM REFINING--1.3%
Conoco
6.350%, 04/15/09 1,000 960
--------
960
--------
35
<PAGE>
Statement of Net Assets
BALANCED FUND (CONTINUED)
- ------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000)/SHARES VALUE (000)
- ------------------------------------------------------------------------------
TELEPHONES & TELECOMMUNICATION--2.5%
AT&T
6.000%, 03/15/09 $2,000 $ 1,888
--------
UTILITIES--1.3%
GTE
6.460%, 04/15/08 1,000 968
--------
Total Corporate Bonds
(Cost $14,659) 13,970
--------
U.S. TREASURY OBLIGATIONS--5.8%
U.S. Treasury Notes
5.750%, 11/15/00 300 301
5.000%, 02/28/01 1,000 993
5.500%, 03/31/03 500 495
6.625%, 05/15/07 1,000 1,041
6.125%, 08/15/07 1,500 1,516
--------
Total U.S. Treasury Obligations
(Cost $4,304) 4,346
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS--3.9%
Federal Farm Credit Bank
6.000%, 01/07/08 1,000 972
Federal Home Loan Mortgage
Corporation
6.704%, 01/09/07 500 508
Federal National Mortgage
Association
5.750%, 04/15/03 1,000 991
7.760%, 08/02/06 500 502
--------
Total U.S. Government Agency
Obligations
(Cost $3,001) 2,973
--------
CERTIFICATE OF DEPOSIT--0.5%
National City Bank Cleveland
7.100%, 09/25/12 400 376
--------
Total Certificate of Deposit
(Cost $400) 376
--------
CASH EQUIVALENTS--1.1%
SEI Liquid Asset Trust --
Government Portfolio 687,000 687
SEI Liquid Asset Trust--
Treasury Portfolio 177,000 177
--------
Total Cash Equivalents
(Cost $864) 864
--------
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Total Investments--99.7%
(Cost $60,038) $ 75,332
--------
OTHER ASSETS AND LIABILITIES, NET--0.3% 245
--------
NET ASSETS:
Portfolio Shares of Class I
(unlimited authorization -- no par
value) based on 2,180,423 outstanding
shares of beneficial interest 21,427
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 770,469 outstanding shares of
beneficial interest 8,106
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 2,259,093 outstanding shares of
beneficial interest 29,677
Accumulated net realized gain
on investments 1,073
Net unrealized appreciation on investments 15,294
--------
Total Net Assets--100.0% $ 75,577
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $14.54
========
Net Asset Value and Redemption Price Per
Share -- Class A $14.56
========
Maximum Public Offering Price Per Share --
Class A ($14.56 / 94.5%) $15.41
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $14.46
========
* NON-INCOME PRODUCING SECURITY.
(1) CLASS B HAS A DEFERRED SALES CHARGE.
ACES -- ADJUSTABLE CONVERTIBLE RATE EQUITY SECURITY UNITS
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--93.1%
BELGIUM--0.6%
Barco N.V. 850 $ 137
--------
DENMARK--0.5%
Bang & Olufsen Holding, Series B 1,700 108
--------
FINLAND--2.2%
Nokia ADR, Series A 3,300 302
Sampo Insurance, Series A 6,000 174
--------
476
--------
36
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
FRANCE--12.3%
Altran Technologies 800 $ 212
AXA 2,500 306
CGIP 5,000 243
Dassault Systemes 5,000 166
L'Oreal 300 203
Louis Vuitton Moet Hennessy 800 235
Louis Vuitton Moet Hennessy
Bonus Rights* 800 23
Scor 7,500 373
Societe Generale, Series A 1,660 293
TotalFina, Series B 3,199 414
Vivendi 3,272 266
--------
2,734
--------
GERMANY--3.8%
Allianz - Registered 700 195
Bayerische Motoren Werke 200 138
Mannesmann - Registered 2,734 409
Muenchener Rueckvers
(New) - Registered* 500 92
--------
834
--------
HONG KONG--2.6%
HSBC Holdings 6,900 244
SmarTone Telecommunications
Holdings 45,000 160
Sun Hung Kai Properties 19,161 175
--------
579
--------
IRELAND--2.8%
Allied Irish Banks 12,000 158
Allied Irish Banks (GBP) 6,972 92
CRH 6,000 107
Elan Group (ADR) 8,000 222
Greencore Group 15,000 47
--------
626
--------
ITALY--0.7%
Telecom Italia 15,000 156
--------
JAPAN--20.5%
Bridgestone 10,000 302
Fuji Photo Film 6,000 227
Honda Motor 5,000 212
Hoya 4,000 225
Mikuni Coca-Cola Bottling 5,000 101
Murata Manufacturing 3,000 197
Nintendo 2,500 351
NTT Data 35 278
NTT Mobile Communication
Network 8 108
NTT Mobile Communication
Network (New)* 32 428
- ------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ------------------------------------------------------------------------------
Rohm 4,000 $ 625
Sony 3,100 334
Takeda Chemical Industries 11,000 509
Tokyo Broadcasting System 10,000 144
Tokyo Electron 5,000 339
Yasuda Fire & Marine Insurance 30,000 159
--------
4,539
--------
MALAYSIA(2)--0.1%
Genting Berhad 2,000 8
Telekom Malaysia 3,000 11
YTL 5,000 11
--------
30
--------
NETHERLANDS--10.0%
Aegon ADR 10,000 740
ASM Lithography Holding* 5,000 290
Getronics 4,000 154
Heineken 4,500 231
Hunter Douglas 2,560 88
Kempen & Co NV 4,000 201
Philips Electronics 3,076 304
Vendex 7,533 202
--------
2,210
--------
SINGAPORE--2.2%
Jardine Strategic Holdings 75,000 195
Singapore Press Holdings 17,000 290
--------
485
--------
SPAIN--0.6%
Banco Popular Espanol 2,000 144
--------
SWEDEN--5.7%
ABB, Series B 20,000 267
Assa Abloy, Series B 32,000 349
Assa Abloy, Series B Rights* 32,000 7
AstraZeneca 5,045 198
Bure Investment Aktiebolaget 4,000 21
Hennes & Mauritz, Series B 14,000 348
Om Gruppen 7,000 80
--------
1,270
--------
SWITZERLAND--9.6%
Credit Suisse Group - Registered 2,500 434
Nestle - Registered 156 282
Pharma Vision 2000 - Bearer* 200 126
Roche Holding - Bearer 10 165
Roche Holding - Genusscheine 60 619
Swiss Reinsurance - Registered 145 277
Swisscom - Registered 600 227
--------
2,130
--------
37
<PAGE>
Statement of Net Assets
INTERNATIONAL EQUITY FUND (CONTINUED)
- ------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ------------------------------------------------------------------------------
UNITED KINGDOM--18.9%
BP Amoco (ADR) 2,256 $ 245
Capita Group 15,000 155
CGU 13,000 188
Compass Group 38,000 377
Diageo 10,000 104
Dixons Group 18,000 336
Hays 20,000 211
Invensys 35,000 166
Lloyds TSB Group 14,000 190
Misys 27,000 231
Next 13,000 158
Provident Financial 10,000 139
Rentokil Initial 80,000 312
Schroders 9,027 184
Securicor 28,000 246
SmithKline Beecham 15,000 195
Tomkins 42,000 182
Vodafone Group 16,000 315
WPP Group 30,000 254
--------
4,188
--------
Total Foreign Common Stocks
(Cost $18,070) 20,646
--------
FOREIGN PREFERRED STOCKS--2.0%
BRAZIL--0.0%
CIA Vale do Rio Doce* 2,000 --
--------
GERMANY--2.0%
SAP 1,100 441
--------
Total Foreign Preferred Stocks
(Cost $599) 441
--------
FOREIGN WARRANTS--0.1%
SWITZERLAND--0.1%
Credit Suisse Group,
expire 12/17/99* 50,000 33
--------
THAILAND--0.0%
Siam Commercial Bank,
expire 12/31/02* 300 --
--------
Total Foreign Warrants
(Cost $30) 33
--------
FOREIGN OPTION--0.5%
JAPAN--0.5%
Salomon Smith Barney Nikkei 225,
expires 05/09/00* 20 100
--------
Total Foreign Option
(Cost $100) 100
--------
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
CASH EQUIVALENT--3.8%
UBOC Money Market
Demand Deposit 852,688 $ 853
--------
Total Cash Equivalent
(Cost $853) 853
--------
Total Investments--99.5%
(Cost $19,652) 22,073
--------
OTHER ASSETS AND LIABILITIES, NET--0.5% 112
--------
NET ASSETS:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 1,815,215 outstanding shares of
beneficial interest 18,979
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 48,233 outstanding shares of
beneficial interest 465
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 39,195 outstanding shares of
beneficial interest 439
Accumulated net investment loss (1)
Accumulated net realized loss
on investments (365)
Net unrealized appreciation on investments 2,421
Net unrealized appreciation on foreign
currency and translation of other
assets and liabilities in foreign
currency investments 247
--------
Total Net Assets--100.0% $ 22,185
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $11.67
========
Net Asset Value and Redemption Price
Per Share -- Class A $11.61
========
Maximum Public Offering Price Per Share --
Class A ($11.61 / 94.5%) $12.29
========
Net Asset Value and Redemption Price
Per Share -- Class B (1) $11.45
========
(1) CLASS B HAS A DEFERRED SALES CHARGE.
(2) THE REPATRIATION OF PROCEEDS RECEIVED FROM THE SALE OF THESE SECURITITES 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 RECEIPT
GBP -- TRADED IN GREAT BRITISH POUNDS
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
38
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
Statement of Operations (000)
FOR THE PERIOD ENDED JUNE 30, 1999 (UNAUDITED)
<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: $20,359 $19,024 $2,515 $1,472 $4,863
--------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fee 1,529 1,338 282 47 98
Less: Investment advisory fee waived -- -- (60) (39) --
Administration fee 873 764 161 111 98
Custody fee 109 96 20 8 25
Transfer agency fee 61 69 22 23 14
Professional fees 68 57 12 6 13
Registration fees 71 54 68 1 15
Distribution fees (1) 106 217 26 10 --
Printing expense 48 41 16 5 9
Insurance and other expenses 32 17 3 2 10
--------------------------------------------------------------------------------------
Total expenses, net 2,897 2,653 550 174 282
--------------------------------------------------------------------------------------
NET INVESTMENT INCOME 17,462 16,371 1,965 1,298 4,581
Net realized (loss)
on investments (2) -- (1) -- --
--------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $17,460 $16,371 $1,964 $1,298 $4,581
======================================================================================
</TABLE>
(1) DISTRIBUTION FEES ARE INCURRED AT THE CLASS A, CLASS B AND CLASS S
LEVELS.THE U.S. TREASURY SECURITIES PLUS MONEY MARKET FUND ALSO INCURS
DISTRIBUTION FEES.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
39
<PAGE>
- --------------------------------------------------------------------------------
Statement of Operations (000)
FOR THE PERIOD ENDED JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------
INTERMEDIATE-
HIGH NEW JERSEY TERM PENNSYLVANIA
FIXED YIELD MUNICIPAL GOVERNMENT MUNICIPAL
INCOME BOND SECURITIES SECURITIES SECURITIES
FUND FUND FUND FUND FUND
--------------------------------------------------------------------------------------
INVESTMENT INCOME:
<S> <C> <C> <C> <C> <C>
Dividend income $ -- $ -- $ -- $ -- $ --
Interest income 6,798 229 3,382 893 907
Less: Foreign taxes withheld -- -- -- -- --
--------------------------------------------------------------------------------------
Total income 6,798 229 3,382 893 907
--------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fee 672 14 398 89 110
Less: investment advisory fee waived (114) (5) (77) (28) (30)
Less: Reimbursement from Advisor -- (7) -- -- --
Administration fee 224 5 133 30 37
Less: Administration fee waiver -- (5) -- -- --
Custody fee 28 1 17 4 5
Transfer agency fee 39 17 26 17 15
Professional fees 17 1 12 3 3
Registration fees 7 4 4 -- 1
Distribution fees (1) 46 18 19 2 1
Printing expense 16 -- 12 3 3
Amortization of deferred
organizational costs -- 4 -- -- --
Insurance and other expenses 7 -- 7 1 2
--------------------------------------------------------------------------------------
Total expenses, net 942 47 551 121 147
--------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 5,856 182 2,831 772 760
Net realized gain (loss)
on investments (165) (2) 269 96 285
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 (9,671) (113) (4,279) (1,118) (1,865)
--------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ (3,980) $ 67 $(1,179) $ (250) $ (820)
======================================================================================
</TABLE>
(1) ALL DISTRIBUTION FEES ARE INCURRED AT THE CLASS A AND CLASS B LEVELS.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
The accompanying notes are an integral part of the financial statements.
40
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
EQUITY EQUITY EQUITY EQUITY INTERNATIONAL
GROWTH VALUE INCOME INDEX MID CAP BALANCED EQUITY
FUND FUND FUND FUND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$ 636 $ 2,007 $ 1,475 $ 51 $ 8 $ 304 $185
126 128 66 -- 7 651 23
-- -- -- -- -- -- (21)
- -----------------------------------------------------------------------------------------------------------------------------------
762 2,135 1,541 51 15 955 187
- -----------------------------------------------------------------------------------------------------------------------------------
864 1,101 494 49 36 259 106
(208) (276) (144) (27) (26) (87) (18)
-- -- -- (7) -- -- --
230 294 132 13 10 69 21
-- -- -- (13) -- -- --
29 37 17 2 1 9 18
33 62 48 18 15 36 13
17 24 11 7 1 6 2
6 7 3 5 -- 1 1
54 139 22 54 -- 151 3
13 21 103 1 1 7 --
-- -- -- 4 -- -- 1
15 8 4 -- 1 2 7
- -----------------------------------------------------------------------------------------------------------------------------------
1,053 1,417 690 106 39 453 154
- -----------------------------------------------------------------------------------------------------------------------------------
(291) 718 851 (55) (24) 502 33
40,196 7,111 1,479 (4) 178 1,041 281
-- -- -- -- -- -- (35)
-- -- -- -- -- -- 245
(5,906) 20,079 8,516 1,549 (275) 2,037 253
- -----------------------------------------------------------------------------------------------------------------------------------
$33,999 $27,908 $10,846 $1,490 $ (121) $3,580 $777
===================================================================================================================================
</TABLE>
41
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
FOR THE PERIOD ENDED JUNE 30, 1999 (UNAUDITED) AND THE YEAR ENDED DECEMBER 31,
1998
MONEY MARKET FUNDS
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
U.S. TREASURY PRIME OBLIGATION
SECURITIES MONEY MARKET
MONEY MARKET FUND FUND
--------------------------------------------------------------------------------
1999 1998 1999 1998
--------------------------------------------------------------------------------
INVESTMENT ACTIVITIES:
<S> <C> <C> <C> <C>
Net investment income $ 17,462 $ 28,454 $ 16,371 $ 26,477
Net realized gain (loss) on investments (2) 16 -- --
--------------------------------------------------------------------------------
Net increase in net assets resulting
from operations 17,460 28,470 16,371 26,477
--------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I (15,901) (26,771) (13,897) (23,045)
Class A (1,608) (1,683) (79) (824)
Class B -- -- (3) (2)
Class S -- -- (2,406) (2,606)
Realized capital gains:
Class I -- -- -- --
Class A -- -- -- --
Class B -- -- -- --
Class S -- -- -- --
--------------------------------------------------------------------------------
Total distributions (17,509) (28,454) (16,385) (26,477)
--------------------------------------------------------------------------------
SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
Class I:
Shares issued 745,305 2,999,005 665,249 1,084,578
Shares issued in lieu of cash distributions 93 223 2,370 4,417
Shares redeemed (606,941) (2,683,531) (504,564) (889,840)
--------------------------------------------------------------------------------
Net Class I share transactions 138,457 315,697 163,055 199,155
--------------------------------------------------------------------------------
Class A:
Shares issued 99,112 136,282 1,529 54,056
Shares issued in lieu of cash distributions 45 100 75 755
Shares redeemed (68,991) (80,466) (2,226) (68,159)
--------------------------------------------------------------------------------
Net Class A share transactions 30,166 55,916 (622) (13,348)
--------------------------------------------------------------------------------
Class B:
Shares issued -- -- 237 228
Shares issued in lieu of cash distributions -- -- 3 2
Shares redeemed -- -- (34) (94)
--------------------------------------------------------------------------------
Net Class B share transactions -- -- 206 136
--------------------------------------------------------------------------------
Class S:
Shares issued -- -- 106,130 164,522
Shares issued in lieu of cash distributions -- -- -- --
Shares redeemed -- -- (68,362) (95,064)
--------------------------------------------------------------------------------
Net Class S share transactions -- -- 37,768 69,458
--------------------------------------------------------------------------------
Increase (decrease) in net assets from
share transactions 168,623 371,613 200,407 255,401
--------------------------------------------------------------------------------
Total increase (decrease) in net assets 168,574 371,629 200,393 255,401
--------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 871,317 499,688 704,134 448,733
--------------------------------------------------------------------------------
NET ASSETS:
End of period $1,039,891 $ 871,317 $ 904,527 $ 704,134
================================================================================
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
42
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
TAX-EXEMPT U.S. TREASURY INSTITUTIONAL
MONEY MARKET SECURITIES PLUS SELECT MONEY
FUND MONEY MARKET FUND MARKET FUND
1999 1998 1999 1998 1999 1998
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 1,965 $ 2,660 $ 1,298 $ 3,116 $ 4,581 $ 5,979
(1) 6 -- 1 -- (4)
- -----------------------------------------------------------------------------------------------------------------------------------
1,964 2,666 1,298 3,117 4,581 5,975
- -----------------------------------------------------------------------------------------------------------------------------------
(1,732) (2,422) (1,299) (3,116) (4,581) (5,979)
(233) (239) -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
(1,965) (2,660) (1,299) (3,116) (4,581) (5,979)
- -----------------------------------------------------------------------------------------------------------------------------------
109,057 196,199 192,549 417,987 381,275 422,961
191 470 1,121 2,657 -- (74)
(121,416) (125,880) (200,588) (426,081) (228,334) (354,314)
- -----------------------------------------------------------------------------------------------------------------------------------
(12,168) 70,789 (6,918) (5,437) 152,941 68,573
- -----------------------------------------------------------------------------------------------------------------------------------
28,551 32,559 -- -- -- --
15 75 -- -- -- --
(22,196) (24,798) -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
6,370 7,836 -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
-- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
-- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
(5,798) 78,625 (6,918) (5,437) 152,941 68,573
(5,799) 78,631 (6,919) (5,436) 152,941 68,569
162,237 83,606 63,222 68,658 130,091 61,522
- -----------------------------------------------------------------------------------------------------------------------------------
$ 156,438 $ 162,237 $ 56,303 $ 63,222 $283,032 $130,091
===================================================================================================================================
</TABLE>
- --------------------------------------------------------------------------------
43
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
FOR THE PERIOD ENDED JUNE 30, 1999 (UNAUDITED) AND THE YEAR ENDED DECEMBER 31,
1998
FIXED INCOME FUNDS
---------------------------
FIXED
INCOME
FUND
---------------------------
1999 1998
---------------------------
INVESTMENT ACTIVITIES:
Net investment income $ 5,856 $ 12,004
Net realized gain (loss) on investments (165) 1,421
Net change in unrealized appreciation
(depreciation) on investments (9,671) 2,946
----------------------------
Net increase (decrease) in net assets
resulting from operations (3,980) 16,371
---------------------------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I (5,571) (11,648)
Class A (107) (243)
Class B (167) (112)
Realized capital gains:
Class I -- (1,182)
Class A -- (24)
Class B -- (33)
---------------------------
Total distributions (5,845) (13,242)
---------------------------
SHARE TRANSACTIONS:
Class I:
Proceeds from shares issued 23,348 42,501
Reinvestment of cash distributions 1,704 4,592
Cost of shares redeemed (22,396) (42,531)
--------------------------
Net Class I share transactions 2,656 4,562
---------------------------
Class A:
Proceeds from shares issued 490 2,856
Reinvestment of cash distributions 86 218
Cost of shares redeemed (576) (3,361)
---------------------------
Net Class A share transactions -- (287)
---------------------------
Class B:
Proceeds from shares issued 3,948 6,617
Reinvestment of cash distributions 142 122
Cost of shares redeemed (1,879) (1,164)
---------------------------
Net Class B share transactions 2,211 5,575
---------------------------
Increase (decrease) in net assets from
share transactions 4,867 9,850
Total increase (decrease) in net assets (4,958) 12,979
---------------------------
NET ASSETS:
Beginning of period 225,583 212,604
---------------------------
NET ASSETS:
End of period $220,625 $225,583
===========================
Class I shares:
Issued 2,262 4,064
Issued in lieu of cash distributions 166 437
Redeemed (2,181) (4,064)
---------------------------
Net Class I share transactions 247 437
---------------------------
Class A shares:
Issued 48 273
Issued in lieu of cash distributions 8 20
Redeemed (56) (322)
---------------------------
Net Class A share transactions -- (29)
---------------------------
Class B shares:
Issued 382 625
Issued in lieu of cash distributions 14 12
Redeemed (183) (111)
---------------------------
Net Class B share transactions 213 526
---------------------------
Net increase (decrease) in shares 460 934
===========================
(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.
- --------------------------------------------------------------------------------
44
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
HIGH YIELD NEW JERSEY INTERMEDIATE- PENNSYLVANIA
BOND MUNICIPAL TERM GOVERNMENT MUNICIPAL
FUND SECURITIES FUND SECURITIES FUND SECURITIES FUND
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1999 1998(1) 1999 1998 1999 1998 1999 1998
- -----------------------------------------------------------------------------------------------------------------------------------
$ 182 $ 31 $ 2,831 $ 6,328 $ 772 $ 1,863 $ 760 $ 1,717
(2) 10 269 691 96 75 285 781
(113) (3) (4,279) (217) (1,118) 286 (1,865) (632)
- -----------------------------------------------------------------------------------------------------------------------------------
67 38 (1,179) 6,802 (250) 2,224 (820) 1,866
- -----------------------------------------------------------------------------------------------------------------------------------
(49) (4) (2,520) (5,568) (744) (1,791) (753) (1,700)
(7) (1) (312) (760) (29) (71) (8) (18)
(125) (25) -- -- -- -- -- --
-- (1) -- (357) -- -- -- (725)
-- -- -- (49) -- -- -- (8)
-- (5) -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
(181) (36) (2,832) (6,734) (773) (1,862) (761) (2,451)
- -----------------------------------------------------------------------------------------------------------------------------------
1,656 493 8,118 17,442 1,060 8,472 2,576 4,440
6 2 359 885 326 788 13 279
(146) -- (13,437) (29,587) (6,011) (9,907) (4,103) (8,615)
- -----------------------------------------------------------------------------------------------------------------------------------
1,516 495 (4,960) (11,260) (4,625) (647) (1,514) (3,896)
- -----------------------------------------------------------------------------------------------------------------------------------
142 102 665 2,299 3 595 1 111
5 1 253 684 26 65 6 23
(26) (1) (3,264) (4,922) (268) (817) (22) (100)
- -----------------------------------------------------------------------------------------------------------------------------------
121 102 (2,346) (1,939) (239) (157) (15) 34
- -----------------------------------------------------------------------------------------------------------------------------------
2,806 2,346 -- -- -- -- -- --
79 19 -- -- -- -- -- --
(334) (83) -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
2,551 2,282 -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
4,188 2,879 (7,306) (13,199) (4,864) (804) (1,529) (3,862)
- -----------------------------------------------------------------------------------------------------------------------------------
4,074 2,881 (11,317) (13,131) (5,887) (442) (3,110) (4,447)
- -----------------------------------------------------------------------------------------------------------------------------------
2,881 -- 136,522 149,653 32,694 33,136 38,091 42,538
- -----------------------------------------------------------------------------------------------------------------------------------
$ 6,955 $ 2,881 $125,205 $136,522 $26,807 $32,694 $34,981 $38,091
===================================================================================================================================
165 49 745 1,601 104 823 253 427
1 -- 33 81 32 76 1 27
(15) -- (1,238) (2,712) (589) (959) (402) (831)
- -----------------------------------------------------------------------------------------------------------------------------------
151 49 (460) (1,030) (453) (60) (148) (377)
- -----------------------------------------------------------------------------------------------------------------------------------
14 10 63 211 -- 58 -- 11
1 -- 23 63 3 6 1 2
(3) -- (303) (452) (27) (79) (2) (10)
- -----------------------------------------------------------------------------------------------------------------------------------
12 10 (217) (178) (24) (15) (1) 3
- -----------------------------------------------------------------------------------------------------------------------------------
279 236 -- -- -- -- -- --
8 2 -- -- -- -- -- --
(33) (8) -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
254 230 -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
417 289 (677) (1,208) (477) (75) (149) (374)
===================================================================================================================================
</TABLE>
45
<PAGE>
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets (000)
FOR THE PERIOD ENDED JUNE 30, 1999 (UNAUDITED) AND THE YEAR ENDED DECEMBER 31,
1998
EQUITY FUNDS
<TABLE>
<CAPTION>
---------------------------------------------------
EQUITY GROWTH EQUITY VALUE
FUND FUND
---------------------------------------------------
1999 1998 1999 1998
---------------------------------------------------
INVESTMENT ACTIVITIES:
<S> <C> <C> <C> <C>
Net investment income (loss) $ (291) $ (309) $ 718 $ 1,882
Net realized gain (loss) on investments 40,196 (5,880) 7,111 5,983
Net realized loss on foreign currency transactions -- -- -- --
Net change in unrealized appreciation
on foreign currency and translation of other assets
and liabilities denominated in foreign currency -- -- -- --
Net change in unrealized appreciation (depreciation)
on investments (5,906) 58,491 20,079 51,377
---------------------------------------------------
Net increase (decrease) in net assets resulting
from operations 33,999 52,302 27,908 59,242
---------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I -- -- (689) (1,791)
Class A -- -- (28) (95)
Class B -- -- -- (5)
Realized capital gains:
Class I -- (7,614) -- (5,584)
Class A -- (133) -- (428)
Class B -- (167) -- (438)
---------------------------------------------------
Total distributions -- (7,914) (717) (8,341)
---------------------------------------------------
SHARE TRANSACTIONS:
Class I:
Proceeds from shares issued 14,233 11,609 18,258 23,837
Reinvestment of cash distributions -- 7,609 335 6,431
Cost of shares redeemed (17,668) (40,561) (14,328) (75,466)
---------------------------------------------------
Net Class I share transactions (3,435) (21,343) 4,265 (45,198)
---------------------------------------------------
Class A:
Proceeds from shares issued 928 3,882 1,149 5,275
Reinvestment of cash distributions -- 110 28 516
Cost of shares redeemed (952) (1,198) (2,028) (4,613)
---------------------------------------------------
Net Class A share transactions (24) 2,794 (851) 1,178
---------------------------------------------------
Class B:
Proceeds from shares issued 7,039 5,404 7,566 13,477
Reinvestment of cash distributions -- 166 -- 445
Cost of shares redeemed (526) (329) (1,286) (1,887)
---------------------------------------------------
Net Class B share transactions 6,513 5,241 6,280 12,035
---------------------------------------------------
Increase (decrease) in net assets from
share transactions 3,054 (13,308) 9,694 (31,985)
---------------------------------------------------
Total increase (decrease) in net assets 37,053 31,080 36,885 18,916
---------------------------------------------------
NET ASSETS:
Beginning of period 209,670 178,590 280,792 261,876
---------------------------------------------------
NET ASSETS:
End of period $246,723 $209,670 $317,677 $280,792
===================================================
SHARES ISSUED AND REDEEMED:
Class I shares:
Issued 1,121 1,098 1,102 1,644
Issued in lieu of cash distributions -- 804 20 434
Redeemed (1,382) (3,931) (859) (5,667)
---------------------------------------------------
Net Class I share transactions (261) (2,029) 263 (3,589)
---------------------------------------------------
Class A shares:
Issued 74 369 70 369
Issued in lieu of cash distributions -- 12 2 35
Redeemed (75) (112) (124) (318)
---------------------------------------------------
Net Class A share transactions (1) 269 (52) 86
---------------------------------------------------
Class B shares:
Issued 563 507 462 942
Issued in lieu of cash distributions -- 17 -- 30
Redeemed (43) (32) (77) (131)
---------------------------------------------------
Net Class B share transactions 520 492 385 841
---------------------------------------------------
Net increase (decrease) in shares 258 (1,268) 596 (2,662)
===================================================
</TABLE>
(1) 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.
- --------------------------------------------------------------------------------
46
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
EQUITY INCOME EQUITY INDEX MID CAP BALANCED INTERNATIONAL EQUITY
FUND FUND FUND FUND FUND
1999 1998 1999 1998(1) 1999 1998 1999 1998 1999 1998
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 851 $ 2,480 $ (55) $ (9) $ (24) $ (111) $ 502 $ 899 $ 33 $ 62
1,479 3,428 (4) 35 178 14,564 1,041 115 281 (120)
-- -- -- -- -- -- -- -- (35) (74)
-- -- -- -- -- -- -- -- 245 2
8,516 5,961 1,549 410 (275) (11,839) 2,037 7,599 253 1,939
- -----------------------------------------------------------------------------------------------------------------------------------
10,846 11,869 1,490 436 (121) 2,614 3,580 8,613 777 1,809
- -----------------------------------------------------------------------------------------------------------------------------------
(398) (1,962) -- -- -- -- (277) (565) -- (23)
(65) (325) -- -- -- -- (88) (179) -- (1)
(34) (191) -- (1) -- -- (134) (155) -- (1)
-- (2,645) -- -- -- (3,584) -- (108) -- (16)
-- (503) -- -- -- (343) -- (40) -- (1)
-- (519) -- (2) -- -- -- (67) -- (1)
- -----------------------------------------------------------------------------------------------------------------------------------
(497) (6,145) -- (3) -- (3,927) (499) (1,114) -- (43)
- -----------------------------------------------------------------------------------------------------------------------------------
3,060 18,945 2,770 795 1,490 15,400 3,313 9,131 2,993 7,500
99 3,110 -- -- -- 3,489 212 547 -- 23
(9,172) (63,806) (120) (140) (3,328) (53,151) (2,641) (8,480) (1,471) (4,450)
- -----------------------------------------------------------------------------------------------------------------------------------
(6,013) (41,751) 2,650 655 (1,838) (34,262) 884 1,198 1,522 3,073
- -----------------------------------------------------------------------------------------------------------------------------------
1,340 3,931 711 457 -- 80 736 1,467 12 131
63 819 -- -- -- 320 87 214 -- 1
(2,622) (4,160) (97) (1) -- (5,068) (1,457) (1,792) (49) (278)
- -----------------------------------------------------------------------------------------------------------------------------------
(1,219) 590 614 456 -- (4,668) (634) (111) (37) (146)
- -----------------------------------------------------------------------------------------------------------------------------------
1,556 12,484 9,612 4,956 -- -- 10,122 17,251 149 214
33 704 -- 3 -- -- 131 217 -- 1
(2,372) (2,586) (750) (115) -- -- (1,665) (1,106) (26) (34)
- -----------------------------------------------------------------------------------------------------------------------------------
(783) 10,602 8,862 4,844 -- -- 8,588 16,362 123 181
- -----------------------------------------------------------------------------------------------------------------------------------
(8,015) (30,559) 12,126 5,955 (1,838) (38,930) 8,838 17,449 1,608 3,108
- -----------------------------------------------------------------------------------------------------------------------------------
2,334 (24,835) 13,616 6,388 (1,959) (40,243) 11,919 24,948 2,385 4,874
- -----------------------------------------------------------------------------------------------------------------------------------
131,681 156,516 6,388 -- 11,029 51,272 63,658 38,710 19,800 14,926
- -----------------------------------------------------------------------------------------------------------------------------------
$134,015 $131,681 $ 20,004 $6,388 $9,070 $ 11,029 $75,577 $63,658 $22,185 $19,800
===================================================================================================================================
210 1,367 219 72 151 1,247 232 712 261 719
7 233 -- -- -- 348 15 42 -- 2
(629) (4,840) (10) (14) (331) (3,681) (188) (663) (129) (406)
- -----------------------------------------------------------------------------------------------------------------------------------
(412) (3,240) 209 58 (180) (2,086) 59 91 132 315
- -----------------------------------------------------------------------------------------------------------------------------------
92 277 58 41 -- 5 52 113 1 12
4 61 -- -- -- 31 6 17 -- --
(181) (304) (7) -- -- (385) (103) (138) (4) (25)
- -----------------------------------------------------------------------------------------------------------------------------------
(85) 34 51 41 -- (349) (45) (8) (3) (13)
- -----------------------------------------------------------------------------------------------------------------------------------
107 896 770 446 -- -- 719 1,347 13 20
2 53 -- -- -- -- 9 17 -- --
(163) (190) (59) (10) -- -- (118) (87) (2) (3)
- -----------------------------------------------------------------------------------------------------------------------------------
(54) 759 711 436 -- -- 610 1,277 11 17
- -----------------------------------------------------------------------------------------------------------------------------------
(551) (2,447) 971 535 (180) (2,435) 624 1,360 140 319
===================================================================================================================================
</TABLE>
47
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Financial Highlights
FOR A SHARE OUTSTANDING THROUGHOUT THE YEARS ENDED DECEMBER 31 AND FOR THE
PERIOD ENDED JUNE 30, 1999 (UNAUDITED)
RATIO
OF NET
RATIO RATIO OF INVESTMENT
NET OF NET EXPENSES INCOME TO
NET ASSET DISTRIBUTIONS ASSETS RATIO OF INVESTMENT TO AVERAGE AVERAGE NET
VALUE NET FROM NET NET ASSET END OF EXPENSES INCOME NET ASSETS ASSETS
BEGINNING INVESTMENT INVESTMENT VALUE END TOTAL PERIOD TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING
OF PERIOD INCOME INCOME OF PERIOD RETURN (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS)
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY SECURITIES MONEY MARKET FUND
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS I
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1999 $1.00 $0.02 $(0.02) $1.00 2.02% $941,404 0.64%* 4.02%* 0.64%* 4.02%
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
1999 $1.00 $0.04 $(0.04) $1.00 1.89% $ 98,487 0.89%* 3.77%* 0.89%* 3.77%
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
1999 $1.00 $0.02 $(0.02) $1.00 2.17% $762,888 0.64%* 4.33%* 0.64%* 4.33%
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
1999 $1.00 $0.02 $(0.02) $1.00 2.05% $ 3,543 0.89%* 4.09%* 0.89%* 4.09%
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
1999 $1.00 $0.02 $(0.02) $1.00 1.67% $ 352 1.64%* 3.33%* 1.64%* 3.33%
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
1999 $1.00 $0.02 $(0.02) $1.00 2.00% $137,744 0.99%* 3.98%* 0.99%* 3.98%
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
1999 $1.00 $0.01 $(0.01) $1.00 1.23% $133,721 0.65%* 2.47%* 0.73%* 2.39%
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
1999 $1.00 $0.01 $(0.01) $1.00 1.11% $ 22,717 0.90%* 2.23%* 0.98%* 2.15%
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. ALL RATIOS INCLUDING TOTAL
RETURN FOR THIS PERIOD HAVE BEEN ANNUALIZED.
(2) COMMENCED OPERATIONS ON AUGUST 18, 1997. ALL RATIOS INCLUDING TOTAL
RETURN FOR THIS PERIOD HAVE BEEN ANNUALIZED.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
48
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
Financial Highlights
FOR A SHARE OUTSTANDING THROUGHOUT THE YEARS ENDED DECEMBER 31 AND FOR THE
PERIOD ENDED JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
REALIZED AND NET
NET ASSET UNREALIZED DISTRIBUTIONS DISTRIBUTIONS 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
- -----------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY SECURITIES PLUS MONEY MARKET FUND
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS I
<S> <C> <C> <C> <C> <C> <C> <C>
1999 $ 1.00 $0.02 -- $(0.02) -- $ 1.00 2.06% $ 56,303 0.55%*
1998 1.00 0.05 -- (0.05) -- 1.00 4.78 63,222 0.55
1997 1.00 0.05 -- (0.05) -- 1.00 4.89 68,658 0.55
1996 1.00 0.05 -- (0.05) -- 1.00 4.82 65,173 0.55
1995 1.00 0.05 -- (0.05) -- 1.00 5.40 64,697 0.55
1994 1.00 0.04 -- (0.04) -- 1.00 3.60 46,301 0.55
- -----------------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL SELECT MONEY MARKET FUND
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS I
1999 $ 1.00 $0.02 -- $(0.02) -- $ 1.00 2.35% $283,032 0.29%*
1998 1.00 0.05 -- (0.05) -- 1.00 5.35 130,091 0.30
1997(1) 1.00 0.03 -- (0.03) -- 1.00 5.38 61,522 0.30
- -----------------------------------------------------------------------------------------------------------------------------------
FIXED INCOME FUND
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS I
1999 $10.53 $0.27 $(0.45) $(0.27) $ -- $10.08 (1.74)% $207,818 0.80%*
1998 10.38 0.58 0.21 (0.58) (0.06) 10.53 7.80 214,456 0.80
1997 10.21 0.60 0.17 (0.60) -- 10.38 7.78 206,810 0.80
1996 10.49 0.57 (0.28) (0.57) -- 10.21 2.94 100,129 0.80
1995 9.44 0.59 1.05 (0.59) -- 10.49 17.76 113,509 0.80
1994 10.68 0.59 (1.18) (0.59) (0.06) 9.44 (5.66) 96,558 0.80
CLASS A
1999 $10.51 $0.26 $(0.45) $(0.26) $ -- $10.06 (1.87)% $ 4,106 1.05%*
1998 10.36 0.55 0.21 (0.55) (0.06) 10.51 7.54 4,292 1.05
1997 10.20 0.57 0.16 (0.57) -- 10.36 7.41 4,526 1.05
1996 10.48 0.55 (0.28) (0.55) -- 10.20 2.68 4,830 1.05
1995 9.44 0.56 1.04 (0.56) -- 10.48 17.36 5,844 1.05
1994 10.68 0.56 (1.18) (0.56) (0.06) 9.44 (5.90) 5,525 1.05
CLASSB
1999 $10.55 $0.22 $(0.44) $(0.22) $ -- $10.11 (2.12)% $ 8,701 1.80%*
1998 10.39 0.48 0.22 (0.48) (0.06) 10.55 6.84 6,835 1.80
1997(2) 10.11 0.31 0.28 (0.31) -- 10.39 9.41 1,268 1.80
- -----------------------------------------------------------------------------------------------------------------------------------
HIGH YIELD BOND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS I
1999 $ 9.99 $0.39 $(0.13) $(0.38) $ -- $ 9.87 2.58% $ 1,976 1.25%*
1998(3) 9.99 0.15 0.05 (0.18) (0.02) 9.99 1.99 493 1.25
CLASS A
1999 $ 9.98 $0.38 $(0.15) $(0.36) $ -- $ 9.85 2.35% $ 219 1.50%*
1998(4) 10.00 0.17 0.01 (0.18) (0.02) 9.98 1.79 103 1.50
CLASS B
1999 $ 9.98 $0.33 $(0.13) $(0.33) $ -- $ 9.85 2.01% $ 4,760 2.25%*
1998(4) 10.00 0.16 -- (0.16) (0.02) 9.98 1.63 2,285 2.25
- -----------------------------------------------------------------------------------------------------------------------------------
RATIO OF NET
RATIO OF INVESTMENT
RATIO EXPENSES INCOME TO
OF NET TO AVERAGE AVERAGE
INVESTMENT NET ASSETS NET ASSETS
INCOME (EXCLUDING (EXCLUDING PORTFOLIO
TO AVERAGE WAIVERS AND WAIVERS AND TURNOVER
NET ASSETS REIMBURSEMENTS) REIMBURSEMENTS) RATE
- --------------------------------------------------------------------------
U.S. TREASURY SECURITIES PLUS MONEY MARKET FUND
- --------------------------------------------------------------------------
CLASS I
1999 4.12%* 0.67%* 4.00%* n/a
1998 4.69 0.70 4.54 n/a
1997 4.78 0.65 4.68 n/a
1996 4.72 0.65 4.62 n/a
1995 5.26 0.62 5.19 n/a
1994 3.42 0.63 3.34 n/a
- --------------------------------------------------------------------------
INSTITUTIONAL SELECT MONEY MARKET FUND
- --------------------------------------------------------------------------
CLASS I
1999 4.67%* 0.29%* 4.67%* n/a
1998 5.22 0.32 5.20 n/a
1997(1) 5.32 0.35 5.27 n/a
- --------------------------------------------------------------------------
FIXED INCOME FUND
- --------------------------------------------------------------------------
CLASS I
1999 5.26%* 0.90%* 5.16%* 15.70%
1998 5.54 0.91 5.43 58.30
1997 5.90 0.91 5.79 80.34
1996 5.60 0.92 5.48 40.56
1995 5.83 0.91 5.72 35.49
1994 5.91 0.90 5.81 15.24
CLASS A
1999 5.01%* 1.15%* 4.91%* 15.70%
1998 5.31 1.16 5.20 58.30
1997 5.60 1.16 5.49 80.34
1996 5.35 1.17 5.23 40.56
1995 5.58 1.16 5.47 35.49
1994 5.65 1.15 5.55 15.24
CLASSB
1999 4.28%* 1.90%* 4.18%* 15.70%
1998 4.44 1.91 4.33 58.30
1997(2) 5.02 1.86 4.96 80.34
- --------------------------------------------------------------------------
HIGH YIELD BOND FUND
- --------------------------------------------------------------------------
CLASS I
1999 8.22%* 1.94%* 7.53%* 5.25%**
1998(3) 7.04 4.79 3.50 1.47
CLASS A
1999 8.05%* 2.19%* 7.36%* 5.25%**
1998(4) 7.00 5.04 3.46 1.47
CLASS B
1999 7.29%* 2.94%* 6.60%* 5.25%**
1998(4) 6.88 5.79 3.34 1.47
- --------------------------------------------------------------------------
</TABLE>
* ANNUALIZED.
** THE PORTFOLIO TURNOVER RATE FOR THE MASTER FUND, THE SEI INSTITUTIONAL
MANAGED TRUST HIGH YIELD BOND PORTFOLIO, IS 10.42% FOR THE SIX MONTH PERIOD
ENDING JUNE 30, 1999.
(+) 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.
- --------------------------------------------------------------------------------
49
<PAGE>
Financial Highlights
FOR A SHARE OUTSTANDING THROUGHOUT THE YEARS ENDED DECEMBER 31 AND FOR THE
PERIOD ENDED JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
REALIZED AND NET
NET ASSET UNREALIZED DISTRIBUTIONS DISTRIBUTIONS 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
- --------------------------------------------------------------------------------------------------------------------------------
NEW JERSEY MUNICIPAL SECURITIES FUND
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS I
1999 $10.92 $0.23 $(0.33) $(0.23) $ -- $10.59 (0.93)% $111,304 0.80%*
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
1999 $10.88 $0.22 $(0.33) $(0.22) $ -- $10.55 (1.07)% $ 13,901 1.05%*
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
1999 $10.37 $0.26 $(0.35) $(0.26) $ -- $10.02 (0.85)% $ 25,834 0.80%*
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
1999 $10.37 $0.25 $(0.35) $(0.25) $ -- $10.02 (0.97)% $ 973 1.05%*
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
1999 $10.26 $0.21 $(0.44) $(0.21) $ -- $ 9.82 (2.29)% $ 34,581 0.80%*
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
1999 $10.23 $0.20 $(0.44) $(0.20) $ -- $ 9.79 (2.42)% $ 400 1.05%*
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>
<TABLE>
<CAPTION>
RATIO OF
NET
RATIO RATIO OF INVESTMENT
OF NET EXPENSES INCOME TO
INVESTMENT TO AVERAGE AVERAGE
INCOME NET ASSETS NET ASSETS PORTFOLIO
TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
NET ASSETS WAIVERS) WAIVERS) RATE
- --------------------------------------------------------------------------
NEW JERSEY MUNICIPAL SECURITIES FUND
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CLASS I
1999 4.29%* 0.92%* 4.17%* 4.69%
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
1999 4.04%* 1.17%* 3.92%* 4.69%
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
1999 5.20%* 0.99%* 5.01%* 43.12%
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
1999 4.95%* 1.24%* 4.76%* 43.12%
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
1999 4.16%* 0.96%* 4.00%* 32.78%
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
1999 3.91%* 1.21%* 4.07%* 32.78%
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
- --------------------------------------------------------------------------
</TABLE>
* ANNUALIZED
(+) 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.
- --------------------------------------------------------------------------------
50
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
REALIZED AND NET
NET ASSET UNREALIZED DISTRIBUTIONS DISTRIBUTIONS 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 GROWTH FUND
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS I
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1999 $11.61 $(0.01) $ 1.88 $ -- $ -- $13.48 16.11% $228,672 0.87%*
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
1999 $11.52 $(0.03) $ 1.86 $ -- $ -- $13.35 15.89% $ 4,211 1.12%*
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
1999 $11.41 $(0.05) $ 1.81 $ -- $ -- $13.17 15.43% $ 13,840 1.89%*
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
1999 $15.91 $ 0.05 $ 1.50 $(0.04) $ -- $17.42 9.78% $270,238 0.87%*
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
1999 $15.91 $ 0.03 $ 1.50 $(0.03) $ -- $17.41 9.59% $ 19,402 1.12%*
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
1999 $15.85 $(0.02) $ 1.48 $ -- $ -- $17.31 9.21% $ 28,037 1.88%*
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>
<TABLE>
<CAPTION>
RATIO OF
NET
RATIO RATIO OF INVESTMENT
OF NET EXPENSES INCOME TO
INVESTMENT TO AVERAGE AVERAGE
INCOME NET ASSETS NET ASSETS PORTFOLIO
TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
NET ASSETS WAIVERS) WAIVERS) RATE
- --------------------------------------------------------------------------
EQUITY GROWTH FUND
- --------------------------------------------------------------------------
CLASS I
<S> <C> <C> <C> <C>
1999 (0.21)%* 1.05%* (0.39)%* 51.56%
1998 (0.15) 1.06 (0.41) 88.28
1997(1) 0.07 1.07 (0.20) 114.51
CLASS A
1999 (0.46)%* 1.30%* (0.28)%* 51.56%
1998 (0.41) 1.32 (0.68) 88.28
1997(1) (0.28) 1.32 (0.55) 114.51
CLASS B
1999 (1.20)%* 2.07%* (1.38)%* 51.56%
1998 (1.16) 2.08 (1.44) 88.28
1997(2) (1.08) 2.09 (1.37) 114.51
- --------------------------------------------------------------------------
EQUITY VALUE FUND
- --------------------------------------------------------------------------
CLASS I
1999 0.58%* 1.06%* 0.39%* 11.06%
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
1999 0.34%* 1.31%* 0.15%* 11.06%
1998 0.58 1.32 0.31 19.69
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
1999 (0.41)%* 2.07%* (0.60)%* 11.06%
1998 (0.18) 2.07 (0.45) 19.69
1997(3) 0.09 2.07 (0.18) 80.24
- --------------------------------------------------------------------------
</TABLE>
* 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.
- --------------------------------------------------------------------------------
51
<PAGE>
Financial Highlights
FOR A SHARE OUTSTANDING THROUGHOUT THE YEARS ENDED DECEMBER 31 AND FOR THE
PERIOD ENDED JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
REALIZED AND NET
NET ASSET UNREALIZED DISTRIBUTIONS DISTRIBUTIONS 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
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS I
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1999 $13.98 $ 0.11 $1.09 $(0.06) $ -- $15.12 8.61% $96,089 0.87%*
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
1999 $14.01 $ 0.09 $1.10 $(0.05) $ -- $15.15 8.53% $18,342 1.12%*
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
1999 $13.94 $ 0.03 $1.09 $(0.02) $ -- $15.04 8.08% $19,584 1.87%*
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
1999 $12.01 $ -- $1.40 $ -- $ -- $13.41 11.66% $ 3,586 0.80%*
1998(2) 10.00 0.03 2.01 (0.02) (0.01) 12.01 20.44 699 0.80
CLASS A
1999 $11.93 $ -- $1.35 $ -- $ -- $13.28 11.32% $ 1,205 1.05%*
1998(3) 9.92 0.02 2.02 (0.02) (0.01) 11.93 20.59 482 1.05
CLASS B
1999 $11.94 $(0.03) $1.35 $ -- $ -- $13.26 11.06% $ 15,213 1.80%*
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
1999 $10.70 $(0.05) $0.01 $ -- $ -- $10.66 (0.37)% $ 9,070 0.80%*
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
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RATIO OF NET
RATIO OF INVESTMENT
RATIO EXPENSES INCOME TO
OF NET TO AVERAGE AVERAGE
INVESTMENT NET ASSETS NET ASSETS
INCOME (EXCLUDING (EXCLUDING PORTFOLIO
TO AVERAGE WAIVERS AND WAIVERS AND TURNOVER
NET ASSETS REIMBURSEMENTS) REIMBURSEMENTS) RATE
- --------------------------------------------------------------------------
EQUITY INCOME FUND
- --------------------------------------------------------------------------
CLASS I
<S> <C> <C> <C> <C>
1999 1.47%* 1.09%* 1.25%* 10.50%
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
1999 1.22%* 1.34%* 1.00%* 10.50%
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
1999 0.47%* 2.09%* 0.25%* 10.50%
1998 1.07 2.11 0.76 40.30
1997(1) 1.27 2.13 0.94 76.67
- --------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------
CLASS I
1999 (0.10)%* 1.50%* (0.80)%* 0.88%**
1998(2) (0.70) 3.96 (3.86) 9.35
CLASS A
1999 (0.19)%* 1.75%* (0.89)%* 0.88%**
1998(3) (1.63) 4.21 (4.79) 9.35
CLASS B
1999 (1.03)%* 2.50%* 1.73%* 0.88%**
1998(4) (1.51) 4.96 (4.67) 9.35
- --------------------------------------------------------------------------
MID CAP FUND
- --------------------------------------------------------------------------
CLASS I
1999 (0.50)%* 1.34%* (1.04)%* 40.28%
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
- --------------------------------------------------------------------------
</TABLE>
* ANNUALIZED
** THE PORTFOLIO TURNOVER RATE FOR THE MASTER FUND, THE SEI INDEX FUNDS
S&P 500 INDEX PORTFOLIO, IS 2.46% FOR THE SIX MONTH PERIOD ENDING
JUNE 30, 1999.
(+) TOTAL RETURN DOES NOT REFLECT SALES LOADS ON CLASS A AND CLASS B SHARES.
(1) COMMENCED OPERATIONS ON MAY 8, 1997. ALL RATIOS INCLUDING TOTAL RETURN
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.
- --------------------------------------------------------------------------------
52
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
REALIZED AND NET
NET ASSET UNREALIZED DISTRIBUTIONS DISTRIBUTIONS 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
- -----------------------------------------------------------------------------------------------------------------------------------
BALANCED FUND
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS I
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1999 $13.91 $ 0.13 $0.63 $(0.13) $ -- $14.54 5.48% $31,697 0.87%*
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
1999 $13.93 $ 0.11 $0.63 $(0.11) $ -- $14.56 5.34% $11,216 1.12%*
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
1999 $13.84 $ 0.06 $0.62 $(0.06) -- $14.46 4.95% $32,664 1.87%*
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
- -----------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS I
1999 $11.24 $ -- $ 0.43 $ -- $ -- $11.67 3.83% $21,176 1.50%*
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
1999 $11.20 $(0.01) $ 0.42 $ -- $ -- $11.61 3.66% $ 560 1.75%*
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
1999 $11.08 $(0.02) $ 0.39 $ -- $ -- $11.45 3.34% $ 449 2.50%*
1998 11.30 (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>
<TABLE>
<CAPTION>
RATIO OF
NET
RATIO RATIO OF INVESTMENT
OF NET EXPENSES INCOME TO
INVESTMENT TO AVERAGE AVERAGE
INCOME NET ASSETS NET ASSETS PORTFOLIO
TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
NET ASSETS WAIVERS) WAIVERS) RATE
- --------------------------------------------------------------------------
BALANCED FUND
- --------------------------------------------------------------------------
CLASS I
<S> <C> <C> <C> <C>
1999 1.89%* 1.12%* 1.64%* 38.60%
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
1999 1.64%* 1.37%* 1.39%* 38.60%
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
1999 0.89%* 2.12%* 0.64%* 38.60%
1998 1.02 2.18 0.64 43.77
1997(1) 1.23 2.28 0.75 93.85
- --------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------
CLASS I
1999 0.33%* 1.66%* 0.17%* 15.13%
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
1999 0.08%* 1.89%* (0.06)%* 15.13%
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
1999 (0.65)%* 2.66%* (0.81)% 15.13%
1998 (0.62) 2.70 (0.82) 115.79
1997(3) (0.60) 2.70 (0.80) 71.22
- --------------------------------------------------------------------------
</TABLE>
* ANNUALIZED
(+) 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. TOTAL RETURN IS FOR THE PERIOD INDICATED AND HAS NOT
BEEN ANNUALIZED.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
53
<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.
- --------------------------------------------------------------------------------
54
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
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.
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
- --------------------------------------------------------------------------------
55
<PAGE>
Notes to Financial Statements (CONTINUED)
$60,521 for organizational work performed by a law firm of which two officers
of the Trust are 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.
The Fund has entered into an agreement with SEI Investments to manage the
investments of repurchase agreements for the Funds. For its services the
Liquidity Desk received $135,248 for the period ended 6/30/99.
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. The U.S. Treasury Securities Plus Money Market Fund 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 Advisor 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 MoneyMarket 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 Advisor are also parties to a
second advisory agreement relating only to the International Equity Fund. Under
the terms of the agreement, the Advisor receives a fee, which 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 Advisor 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-advisor to the Fund. The
sub-advisory fees are paid by the Advisor.
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
- --------------------------------------------------------------------------------
56
<PAGE>
JUNE 30, 1999 (UNAUDITED)
are to be purchased or sold in the Funds. For its services, the Custodian
receives a fee, which 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 period ended June 30, 1999 were as
follows:
NEW
EQUITY FIXED JERSEY INT.-TERM PA HIGH YIELD
INDEX INCOME MUNI. GOV'T. MUNI. BOND
---------- -------- -------- ---------- -------- --------
(000) (000) (000) (000) (000) (000)
Purchases
U.S. Gov't $ -- $21,776 $ -- $10,999 $ -- $ --
Other 12,643 16,465 6,141 -- 11,905 4,566
Sales
U.S. Gov't -- 31,875 -- 15,256 -- --
Other 112 2,100 16,965 -- 13,705 253
EQUITY EQUITY EQUITY MID INTERNATIONAL
GROWTH VALUE INCOME CAP BALANCED EQUITY
---------- -------- -------- ---------- -------- -------------
(000) (000) (000) (000) (000) (000)
Purchases
U.S. Gov't $ -- $ -- $ -- $ -- $ 9,060 $ --
Other 118,003 39,608 13,531 3,883 25,039 5,266
Sales
U.S. Gov't -- 2,727 367 -- 12,339 --
Other 133,374 29,464 24,689 4,600 13,902 3,022
At June 30, 1999, 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 June 30, 1999, for each Fund is
as follows:
NEW
EQUITY FIXED JERSEY INT.-TERM PA HIGH YIELD
INDEX INCOME MUNI. GOV'T. MUNI. BOND
------ ------- ------ --------- -------- ----------
(000) (000) (000) (000) (000) (000)
Aggregate gross
unrealized gain $1,959 $ 1,109 $2,457 $134 $ 116 $ --
Aggregate gross
unrealized loss -- (4,224) (1,274) (493) (1,134) (116)
------ ------- ------ ----- ------- -----
Net unrealized
gain/loss $1,959 $(3,115) $1,183 $(359) $(1,018) $(116)
====== ======= ====== ===== ======= =====
<TABLE>
<CAPTION>
EQUITY EQUITY EQUITY MID INTERNATIONAL
GROWTH VALUE INCOME CAP BALANCED EQUITY
---------- -------- -------- ---------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
(000) (000) (000) (000) (000) (000)
Aggregate gross
unrealized gain $90,435 $111,064 $37,237 $2,673 $16,589 $3,708
Aggregate gross
unrealized loss (1,386) (2,694) (1,445) (690) (1,295) (1,287)
------- -------- ------- ------ ------- ------
Net unrealized
gain $89,049 $108,370 $35,792 $1,983 $15,294 $2,421
======= ======== ======= ====== ======= ======
</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 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 A or better by a
NRSRO, or, if not rated, determined by the Advisor to be of comparable quality.
Although the Funds maintain a portfolio containing the securities of various
issuers, 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 39.5% 5.3% 5.6% 44.6% 2.7%
Repurchase Agreements 60.5 10.6 -- 55.4 10.6
Municipal Securities -- -- 88.1 -- --
Commercial Paper -- 84.1 -- -- 86.7
Other Short Term
Securities -- -- 6.3 -- --
</TABLE>
- --------------------------------------------------------------------------------
57
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (CONTINUED)
FIXED NEW JERSEY INT.-TERM
INCOME MUNI. GOVT.
---------- -------------- ----------
U.S. Gov't. Securities 55.9% -- 99.1%
AAA 13.7 69.8% --
AA 7.1 17.9 --
A 23.1 7 --
BBB -- 1.3 --
NR .2 4 .9
All Other -- -- --
PA
BALANCED MUNI.
------------ ----------
U.S. Gov't. Securities 9.7% --
AAA 1.4 60.6%
AA 7.6 35.5
A 9.9 .3
BBB -- --
NR 1.5 3.6
Common Stock 69.9 --
All Other -- --
8. OPTIONS TRANSACTIONS
The Equity Growth Fund transacted in call and put 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 period ended June 30, 1999 were as follows:
GAINS/(LOSSES)
--------------
Written Call Options $1,136,727
Call Options (782,754)
Put Options 1,615,520
As of June 30, 1999 there were no equity options
outstanding.
9. 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.
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.
10. SHAREHOLDER VOTING RESULTS
At a shareholder meeting held on April 15, 1999, the shareholders of the Pillar
Equity Growth Fund, Equity Value Fund, Equity Income Fund, Balanced Fund, Mid
Cap Fund, Fixed Income Fund, New Jersey Municipal Securities Fund, and
Pennsylvania Municipal Securities Fund voted on the following proposals set
forth below.
- --------------------------------------------------------------------------------
58
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
Proposal 1
To revise a fundamental investment policy to increase, from 10% to 33-1/3%
of total assets, the Fund's ability to borrow money for temporary or emergency
purposes.
Shares % of Shares % of Shares
Portfolio Voted Voted Outstanding
- ---------------------------------------------------------------
Balanced Fund
For 2,543,185 93.91% 52.69%
Against 108,687 4.01% 2.25%
Abstain 56,288 2.08% 1.17%
Equity Income Fund
For 6,977,657 97.61% 75.63%
Against 109,923 1.54% 1.19%
Abstain 60,714 0.85% 0.66%
Equity Value Fund
For 15,673,627 98.65% 87.52%
Against 147,043 0.93% 0.82%
Abstain 66,966 0.42% 0.37%
Equity Growth Fund
For 17,442,717 99.39% 94.91%
Against 96,688 0.55% 0.53%
Abstain 10,478 0.06% 0.06%
Fixed Income Fund
For 20,160,412 99.58% 92.50%
Against 63,110 0.31% 0.29%
Abstain 21,759 0.11% 0.10%
Mid Cap Fund
For 969,875 99.04% 94.73%
Against 90,417 0.96% 0.92%
Abstain 0 0.00% 0.00%
Pennsylvania Municipal Securities Fund
For 3,536,327 99.98% 99.35%
Against 679 0.02% 0.02%
Abstain 0 0.00% 0.00%
New Jersey Municipal Securities Fund
For 11,237,076 98.91% 88.56%
Against 104,084 0.92% 0.83%
Abstain 19,535 0.17% 0.15%
Proposal 2
To revise a fundamental investment policy to permit the Fund to invest in
futures contracts, commodities and commodities contracts.
Shares % of Shares % of Shares
Portfolio Voted Voted Outstanding
- ---------------------------------------------------------------
Balanced Fund
For 442,990 16.36% 9.18%
Against 2,210,272 81.62% 45.79%
Abstain 54,899 2.02% 1.14%
Equity Income Fund
For 612,736 8.57% 6.64%
Against 6,479,069 90.64% 70.23%
Abstain 56,487 0.79% 0.61%
Equity Value Fund
For 656,005 4.13% 3.66%
Against 15,182,468 95.56% 84.78%
Abstain 49,164 0.31% 0.27%
Fixed Income Fund
For 240,318 1.19% 1.10%
Against 19,972,744 98.65% 91.64%
Abstain 32,218 0.16% 0.10%
Mid Cap Fund
For 19,458 1.99% 1.90%
Against 959,834 98.01% 93.75%
Abstain 0 0.00% 0.00%
Pennsylvania Municipal Securities Fund
For 17,849 0.50% 0.50%
Against 3,519,157 99.50% 98.87%
Abstain 0 0.00% 0.00%
New Jersey Municipal Securities Fund
For 779,994 6.87% 6.15%
Against 10,568,709 93.02% 83.29%
Abstain 12,642 0.11% 0.10%
- --------------------------------------------------------------------------------
59
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (CONTINUED)
Proposal 3
To revise a fundamental limitation of the Fund to increase, from 5% to 10%,
the Fund's ability to acquire the voting securities of any one issuer and to
apply the 10% limit on ownership of voting securities of an issuer to 75% of the
total assets of the Fund, rather than 100% of its total assets.
Shares % of Shares % of Shares
Portfolio Voted Voted Outstanding
- ---------------------------------------------------------------
Balanced Fund
For 2,584,300 95.43% 53.54%
Against 58,210 2.15% 1.21%
Abstain 65,651 2.42% 1.36%
Equity Income Fund
For 7,011,044 98.08% 75.99%
Against 65,242 0.91% 0.71%
Abstain 72,007 1.01% 0.78%
Equity Value Fund
For 15,752,159 99.15% 87.96%
Against 79,115 0.50% 0.44%
Abstain 56,363 0.35% 0.31%
Equity Growth Fund
For 17,452,331 99.55% 95.07%
Against 60,522 0.35% 0.33%
Abstain 17,030 0.10% 0.09%
Fixed Income Fund
For 20,165,400 99.60% 92.50%
Against 46,416 0.23% 0.21%
Abstain 33,464 0.17% 0.15%
Mid Cap Fund
For 960,609 98.09% 93.83%
Against 4,454 0.45% 0.44%
Abstain 14,228 1.46% 1.39%
<PAGE>
Proposal 4
To reclassify as "non-fundamental" a fundamental limitation of the Fund
regarding investment in companies for the purpose of exercising control.
Shares % of Shares % of Shares
Portfolio Voted Voted Outstanding
- ---------------------------------------------------------------
Balanced Fund
For 2,559,143 94.50% 53.02%
Against 81,911 3.02% 1.70%
Abstain 67,057 2.48% 1.39%
Equity Income Fund
For 7,000,950 97.94% 75.08%
Against 72,673 1.02% .790%
Abstain 74,665 1.04% 0.81%
Equity Value Fund
For 15,737,152 99.05% 87.88%
Against 86,669 0.55% 0.48%
Abstain 63,815 0.40% 0.36%
Fixed Income Fund
For 20,159,361 99.58% 92.50%
Against 58,671 0.29% 0.27%
Abstain 27,229 0.13% 0.12%
Mid Cap Fund
For 974,837 99.55% 95.22%
Against 4,454 0.45% 0.44%
Abstain 0 0.00% 0.00%
Pennsylvania Municipal Securities Fund
For 3,536,862 100.00% 99.37%
Against 144 0.00% 0.00%
Abstain 0 0.00% 0.00%
New Jersey Municipal Securities Fund
For 11,242,763 98.95% 88.61%
Against 99,486 0.88% 0.78%
Abstain 19,096 0.17% 0.15%
- --------------------------------------------------------------------------------
60
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
Proposal 5
To reclassify as "non-fundamental" a fundamental limitation of the fund
that restricts the Fund's ability to purchase securities of issues whose
securities are owned by the officers, trustees, partners and directors of the
Trust or any investment advisor.
Shares % of Shares % of Shares
Portfolio Voted Voted Outstanding
- ---------------------------------------------------------------
Balanced Fund
For 436,308 16.11% 9.04%
Against 2,200,517 81.26% 45.59%
Abstain 71,336 2.63% 1.48%
Equity Income Fund
For 600,611 8.40% 6.51%
Against 6,473,550 90.56% 70.17%
Abstain 71,336 1.04% 0.80%
Equity Value Fund
For 651,255 4.10% 3.64%
Against 15,167,692 95.47% 84.70%
Abstain 68,690 0.43% 0.38%
Fixed Income Fund
For 261,239 1.30% 1.20%
Against 19,848,672 98.53% 91.53%
Abstain 35,369 0.17% 0.16%
Mid Cap Fund
For 8,776 0.90% 0.86%
Against 956,287 97.65% 93.41%
Abstain 14,228 1.45% 1.39%
Pennsylvania Municipal Securities Fund
For 21,842 0.62% 0.61%
Against 3,515,164 99.38% 98.76%
Abstain 0 0.00% 0.00%
New Jersey Municipal Securities Fund
For 775,008 6.82% 6.11%
Against 10,563,355 92.98% 83.25%
Abstain 22,982 0.20% 0.18%
10. FORWARD FOREIGN CURRENCY CONTRACTS
The International Fund enters into forward foreign currency exchange contracts
as hedges against portfolio positions and in connection with portfolio purchases
and sales of securities denominated in a foreign currency. Such contracts, which
protect the value of the fund's investment securities against a decline in the
value of the hedged currency, do not eliminate fluctuations in the underlying
prices of the securities. They simply establish an exchange rate at a future
date. Although such contracts tend to minimize the risk of loss due to a decline
in the value of a hedged currency, at the same time they tend to limit any
potential gain that might be realized should the value of such foreign currency
increase.
The following forward foreign currency contracts were outstanding at June
30, 1999 for the International Fund.
<TABLE>
<CAPTION>
NET UNREALIZED/
CONTRACTS IN EXCHANGE APPRECIATION
SETTLEMENT TO DELIVER FOR (DEPRECIATION)
DATES (000) (000) (000)
---------- ---------- ----------- --------------
Foreign Currency Sales:
<S> <C> <C> <C> <C>
8/24/99 CHF 1,500 $1,052 $ 78
8/24/99 EUR 2,500 2,781 184
8/24/99 JPY 125,000 1,055 16
------ -----
$4,888 $ 278
------ -----
Foreign Currency Purchases:
8/24/99 JPY 125,000 $1,070 $ (31)
------ -----
$1,070 $ (31)
------ -----
$ 247
=====
CURRENCY LEGEND
CHF -- Swiss Francs
EUR -- Euro
JPY -- Japanese Yen
</TABLE>
11. 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 June 30, 1999 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.
- --------------------------------------------------------------------------------
61
<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)
- ---------------------------------------------------------------
CORPORATE OBLIGATIONS--93.4%
AAF-Mcquay (A)
8.875%, 02/15/03 $ 535 $ 512
Abraxas Petroleum, Ser D
11.500%, 11/01/04 1,250 784
Ackerley Group, Ser B
9.000%, 01/15/09 1,600 1,608
Acme Television (B)*
0.000%, 09/30/04 500 411
Adelphia Cable Communications
10.500%, 07/15/04 500 535
Adelphia Communications
7.875%, 05/01/09 500 464
Adelphia Communications (A)
8.375%, 02/01/08 1,000 990
Adelphia Communications, Ser B
8.375%, 02/01/08 750 742
ADV Accessory
9.750%, 10/01/07 550 516
Advance Holding (B)
0.000%, 04/15/09 1,500 846
Advance Stores (A)
10.250%, 04/15/08 1,100 1,056
Advanced Glassfiber (A)
9.875%, 01/15/09 1,000 972
AEI Resources (A)
11.500%, 12/15/06 500 492
AES
8.500%, 11/01/07 800 748
AES (A)
8.000%, 12/31/08 500 492
Aetna Industries
11.875%, 10/01/06 1,000 1,059
AFC Enterprises
10.250%, 05/15/07 1,100 1,122
Agrilink Foods
11.875%, 11/01/08 1,700 1,755
Ainsworth Lumber
12.500%, 07/15/07 1,500 1,669
Airplanes Pass Through Trust
10.875%, 03/15/19 300 300
Alaris Medical (B)
0.000%, 08/01/08 1,000 549
Algoma Steel
12.375%, 07/15/05 1,000 977
Allbritton Communications
9.750%, 11/30/07 800 808
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Allied Holdings, Ser B
8.625%, 10/01/07 $ 850 $ 828
Allied Waste North America
7.875%, 01/01/09 1,300 1,204
AMC Entertainment
9.500%, 03/15/09 1,000 962
AMC Entertainment (A)
9.500%, 02/01/11 1,000 952
American Axle (A)
9.750%, 03/01/09 500 500
American Builder & Contractors
10.625%, 05/15/07 500 470
American Cellular
10.500%, 05/15/08 750 769
American Commercial Lines
10.250%, 06/30/08 600 614
American Lawyer Media
9.750%, 12/15/07 1,000 1,031
American Media Operation (A)
10.250%, 05/01/09 750 751
American Radio Systems
9.000%, 02/01/06 500 536
American Restaurant Group
11.500%, 02/15/03 700 634
American Skiing
12.000%, 07/15/06 450 359
Ameriking
10.750%, 12/01/06 500 529
Ameriserv Food
8.875%, 10/15/06 200 185
Ameristar Casino, Ser B
10.500%, 08/01/04 1,000 1,016
AMF Group
10.875%, 03/15/06 700 572
AMF Group Senior (B)
0.000%, 03/15/06 306 189
Ampex
12.000%, 03/15/03 1,000 1,040
Amphenol
9.875%, 05/15/07 500 511
AMSC Acquisition, Ser B
12.250%, 04/01/08 900 700
Amscan Holdings
9.875%, 12/15/07 400 332
Amtrol
10.625%, 12/31/06 400 395
Anchor Lamina
9.875%, 02/01/08 1,000 927
- --------------------------------------------------------------------------------
62
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
SCHEDULE OF INVESTMENTS (UNAUDITED)
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Anthony Crane Rentals, Ser B
10.375%, 08/01/08 $ 500 $ 502
Apcoa
9.250%, 03/15/08 700 652
Applied Extrusion Tech, Ser B
11.500%, 04/01/02 800 818
Arcadia Financial Ltd.
11.500%, 03/15/07 500 434
Archibald Candy
10.250%, 07/01/04 1,200 1,212
Argosy Gaming
10.750%, 06/01/09 1,300 1,323
Atlantic Express
10.750%, 02/01/04 500 499
Atlas Air
9.375%, 11/15/06 750 733
Aurora Foods
8.750%, 07/01/08 850 856
Autotote
10.875%, 08/01/04 1,000 1,047
Avalon Cable Holdings
0.000%, 12/01/08 500 334
Avalon Cable of Michigan
9.375%, 12/01/08 1,250 1,275
Aztar (A)
8.875%, 05/15/07 1,500 1,436
B&G Foods
9.625%, 08/01/07 500 469
Ball
8.250%, 08/01/08 700 689
Bally Total Fitness, Ser B
9.875%, 10/15/07 400 387
Bayou Steel
9.500%, 05/15/08 750 733
Belden & Blake, Ser B
9.875%, 06/15/07 500 384
Bellwether Exploration
10.875%, 04/01/07 1,200 1,131
Berry Plastics
12.500%, 06/15/06 500 519
Berry Plastics (A)
11.000%, 07/15/07 1,300 1,313
Beverly Enterprises
9.000%, 02/15/06 700 691
BGF Industries (A)
10.250%, 01/15/09 1,000 912
Big City Radio (B)
0.000%, 03/15/05 1,700 1,213
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Big Flower Press (A)
8.625%, 12/01/08 $ 1,000 $ 927
Blue Bird Body
10.750%, 11/15/06 500 524
Booth Creek
12.500%, 03/15/07 600 532
Boyd Gaming
9.500%, 07/15/07 500 499
Boyds Collection (A)
9.000%, 05/15/08 478 470
Brand Scaffold Services
10.250%, 02/15/08 750 734
Breed Technologies
9.250%, 04/15/08 1,000 147
Bresnan Communication (A)
8.000%, 02/01/09 850 839
Bresnan Communication (B)
0.000%, 02/01/09 1,700 1,107
Buckeye Cellulose
9.250%, 09/15/08 500 526
Bucyrus International
9.750%, 09/15/07 500 487
Building One Services (A)
10.500%, 05/01/09 750 711
Burke Industries
10.000%, 08/15/07 600 454
BWAY, Ser B
10.250%, 04/15/07 500 519
Caithness Coso (A)
9.050%, 12/15/09 1,000 980
California Steel (A)
8.500%, 04/01/09 500 489
Call-Net Enterprises
9.375%, 05/15/09 1,050 1,000
Call-Net Enterprises (A) (B)
0.000%, 08/15/08 600 331
Call-Net Enterprises (B)
0.000%, 08/15/07 1,000 679
Call-Net Enterprises (B)
0.000%, 05/15/09 500 277
Cambridge Industries, Ser B
10.250%, 07/15/07 500 409
Canadian Airlines
10.000%, 05/01/05 400 287
Canadian Airlines Yankee
12.250%, 08/01/06 950 397
Canadian Forest Oil, Ltd.
8.750%, 09/15/07 500 479
- --------------------------------------------------------------------------------
63
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
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)
- ---------------------------------------------------------------
Caprock Communications (A)
11.500%, 05/01/09 $ 1,000 $ 1,012
Capstar Broadcasting
9.250%, 07/01/07 1,000 1,032
Capstar Broadcasting (B)
0.000%, 02/01/09 1,000 837
Capstar Hotel
8.750%, 08/15/07 500 467
Carrier One (A)
13.250%, 02/15/09 1,000 1,060
Carrols (D)
9.500%, 12/01/08 1,000 955
Casino Magic
13.000%, 08/15/03 1,600 1,784
Cencall Communication (B)
0.000%, 01/15/04 100 102
Centennial Cellular (A)
10.750%, 12/15/08 1,000 1,032
Century Communications
8.875%, 01/15/07 550 550
Century Communications, Ser B
0.000%, 01/15/08 1,850 830
CF Cable Television
11.625%, 02/15/05 50 55
Chancellor Media
9.375%, 10/01/04 750 771
Chancellor Media (A)
8.000%, 11/01/08 500 490
Charter Comm Holdings (A)
8.625%, 04/01/09 1,500 1,440
Charter Comm Holdings (B)
0.000%, 04/01/11 1,600 994
Cinemark USA
9.625%, 08/01/08 500 496
9.625%, 08/01/08 100 99
Cinemark USA, Ser B
8.500%, 08/01/08 500 474
Circus Circus Enterprise
9.250%, 12/01/05 1,000 1,015
Citadel Broadcasting
9.250%, 11/15/08 1,250 1,287
Clark R&M
8.875%, 11/15/07 500 427
Classic Cable (A)
9.875%, 08/01/08 1,200 1,251
Classic Communications (B)
0.000%, 08/01/09 1,000 666
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Clearnet Communications (B)
0.000%, 12/15/05 $ 1,800 $ 1,636
Cliffs Drilling
10.250%, 05/15/03 400 390
Climachem, Ser B
10.750%, 12/01/07 1,000 1,001
CMS Energy
7.500%, 01/15/09 1,100 1,045
CMS Energy (A)
6.750%, 01/15/04 650 618
Coast Hotels & Casinos
9.500%, 04/01/09 1,200 1,149
Coaxial Communication
10.000%, 08/15/06 1,700 1,772
0.000%, 08/15/08 1,000 675
Cogentrix Energy
8.750%, 10/15/08 1,000 1,012
Coinstar (B)
0.000%, 10/01/06 1,000 986
Collins & Aikman (A)
10.000%, 01/15/07 1,000 1,007
Collins & Aikman (A)
11.500%, 04/15/06 1,550 1,577
Color Spot Nurseries
10.500%, 12/15/07 900 673
Colorado Gaming &
Entertainment PIK
12.000%, 06/01/03 1,000 1,010
Comcast
9.375%, 05/15/05 250 268
9.125%, 10/15/06 600 641
Comcast Cellular (A)
9.500%, 05/01/07 1,000 1,124
Comcast UK Cable (B)
0.000%, 11/15/07 750 678
Commonwealth Aluminum
10.750%, 10/01/06 500 502
Communications Instrument
10.000%, 09/15/04 500 451
Completel Europe (B)
0.000%, 02/15/09 1,800 981
Concentric Network
12.750%, 12/15/07 550 568
Condor Systems (A)
11.875%, 05/01/09 750 724
Congoleum
8.625%, 08/01/08 500 484
- --------------------------------------------------------------------------------
64
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
SCHEDULE OF INVESTMENTS (UNAUDITED)
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Consolidated Container (A)
10.125%, 07/15/09 $ 1,000 $ 1,010
Constellation Finance LLC
Ser 1997-1
9.800%, 12/14/02 500 480
Consumers Packaging (A)
9.750%, 02/01/07 750 731
Container
9.750%, 04/01/03 550 576
Costilla Energy
10.250%, 10/01/06 1,000 297
Covad Comm Group (A)
12.500%, 02/15/09 800 770
Crown Central Petroleum
10.875%, 02/01/05 1,000 870
Crown Packaging Enterprises Ltd. (B)
0.000%, 08/01/06 775 39
Crown Paper
11.000%, 09/01/05 1,000 727
CSC Holdings
9.250%, 11/01/05 250 266
9.875%, 02/15/13 650 702
CSC Holdings, Ser B
8.125%, 08/15/09 750 787
Cumulus Media (A)
10.375%, 07/01/08 1,000 1,052
Dr. Horton (A)
8.000%, 02/01/09 1,000 942
Dade International
11.125%, 05/01/06 500 526
Dailey International, Ser B
0.000%, 02/15/08 1,250 809
Day International
9.500%, 03/15/08 600 550
Deleware County Remy International
10.625%, 08/01/06 1,500 1,571
Details, Ser B
10.000%, 11/15/05 500 475
Diamond Brands Operating (A)
10.125%, 04/15/08 650 583
Diamond Cable (B)
0.000%, 02/15/07 1,450 1,122
Diamond Cable Communications (B)
0.000%, 09/30/04 300 307
0.000%, 12/15/05 1,050 928
Diamond Holdings PLC
9.125%, 02/01/08 1,000 1,002
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Diamond Triumph Auto (A)
9.250%, 04/01/08 $ 1,000 $ 995
Digital Television Services DTS
Capital, Ser B
12.500%, 08/01/07 500 558
Diva Systems, Ser B (B)
0.000%, 03/01/08 2,757 930
Dobson Communications (A)
11.750%, 04/15/07 600 634
Dobson/Sygnet Communications (A)
12.250%, 12/15/08 1,000 1,057
Dolphin Telecom PLC (A)
0.000%, 05/15/09 800 380
Dolphin Telecom PLC (B)
0.000%, 06/01/08 600 299
Doman Industries (A)
12.000%, 07/01/04 1,250 1,203
Doskocil Manufacturing
10.125%, 09/15/07 500 309
Drypers
10.250%, 06/15/07 1,450 1,164
DTI Holdings
0.000%, 03/01/08 1,000 369
Dual Drilling
9.875%, 01/15/04 500 524
Dura Operating (A)
9.000%, 05/01/09 750 722
E.spire Communications
13.750%, 07/15/07 500 444
0.000%, 07/01/08 500 184
E.spire Communications (B)
0.000%, 11/01/05 1,800 1,132
0.000%, 04/01/06 500 314
Eagle Family Foods
8.750%, 01/15/08 1,200 1,095
Eagle Geophysical (A)
10.750%, 07/15/08 1,000 587
Echostar DBS (A)
9.375%, 02/01/09 1,550 1,581
Econophone (B)
0.000%, 02/15/08 1,000 557
Eldorado Resorts
10.500%, 08/15/06 500 520
Elgar Holdings
9.875%, 02/01/08 1,000 797
- --------------------------------------------------------------------------------
65
<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)
- ---------------------------------------------------------------
Emmis Communication (A)
8.125%, 03/15/09 $ 1,000 $ 955
Empress Entertainment (A)
8.125%, 07/01/06 450 454
Energis PLC (A)
9.750%, 06/15/09 650 655
Energy of America
9.500%, 05/15/07 500 459
Esprit Telecom Group PLC
11.500%, 12/15/07 500 527
Exodus Communications (A)
11.250%, 07/01/08 1,200 1,248
Facilicom International
10.500%, 01/15/08 800 618
Falcon Building
9.500%, 06/15/07 500 462
Falcon Holding Group (B)
0.000%, 04/15/10 750 520
Falcon Holdings Group
8.375%, 04/15/10 1,165 1,150
Finlay Enterprises
9.000%, 05/01/08 200 197
First Wave Marine
11.000%, 02/01/08 1,000 944
Fisher Scientific International
9.000%, 02/01/08 1,000 950
Fitzgeralds Gaming
0.000%, 12/15/04 1,050 575
Flag Ltd.
8.250%, 01/30/08 750 707
Fleming
10.500%, 12/01/04 670 635
Flores & Rucks
9.750%, 10/01/06 400 411
Florida Panthers Holdings (A)
9.875%, 04/15/09 750 718
Focal Communications (B)
0.000%, 02/15/08 1,250 672
Formica (A)
10.875%, 03/01/09 1,000 977
Fountain View (A)
11.250%, 04/15/08 1,000 874
French Fragrances
10.375%, 05/15/07 500 507
Friendly Ice Cream
10.500%, 12/01/07 700 621
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Frontier Oil (A)
9.125%, 02/15/06 $ 800 $ 760
Frontiervision (B)
0.000%, 09/15/07 700 605
Frontiervision Holdings (B)
0.000%, 09/15/07 600 518
Fundy Cable
11.000%, 11/15/05 500 545
Galaxy Telecom Senior
Subordinate Notes (A)
12.375%, 10/01/05 1,000 1,105
Galey & Lord
9.125%, 03/01/08 750 493
Garden State (A)
8.625%, 07/01/11 1,000 937
Gaylord Container
9.750%, 06/15/07 600 571
Gaylord Container (A)
9.375%, 06/15/07 850 788
GCI
9.750%, 08/01/07 1,250 1,250
Genesis Health Ventures (A)
9.875%, 01/15/09 1,000 827
Global Crossings Holdings (A)
9.625%, 05/15/08 1,200 1,275
Global Telesystems Group
9.875%, 02/15/05 1,250 1,247
Globalstar
11.375%, 02/15/04 400 275
11.250%, 06/15/04 900 619
Globalstar LP/Capital
11.500%, 06/01/05 250 169
Golden Northwest (A)
12.000%, 12/15/06 700 719
Golden Ocean Group Ltd
10.000%, 08/31/01 1,032 163
Golden Sky (B)
0.000%, 03/01/07 1,000 601
Golden Sky Systems, Ser B
12.375%, 08/01/06 400 448
Gothic Production
11.125%, 05/01/05 350 311
Graham Packaging
8.750%, 01/15/08 400 405
Granite Broadcasting
9.375%, 12/01/05 1,000 997
8.875%, 05/15/08 500 481
- --------------------------------------------------------------------------------
66
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
SCHEDULE OF INVESTMENTS (UNAUDITED)
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Gray Communications System
10.625%, 10/01/06 $ 500 $ 520
Great Lakes Carbon
10.250%, 05/15/08 500 509
Group Maintenance (A)
9.750%, 01/15/09 1,000 987
Grove Worldwide (A)
9.250%, 05/01/08 1,000 730
GS Technologies
12.000%, 09/01/04 1,100 973
GST Equipment Funding
13.250%, 05/01/07 500 547
GST USA Guarantee (B)
0.000%, 12/15/05 1,760 1,450
Gulf Canada Resources
9.625%, 07/01/05 500 512
Gulf Canada Resources (A)
8.375%, 11/15/05 500 496
Gulf States Steel
0.000%, 04/15/03 1,000 237
Hard Rock Hotel (A)
9.250%, 04/01/05 1,750 1,658
Harrahs Operating (A)
7.875%, 12/15/05 1,000 967
Harvey Casinos Resorts
10.625%, 06/01/06 1,400 1,445
Hawk
10.250%, 12/01/03 325 342
Hayes Lemmerz (A)
8.250%, 12/15/08 600 565
Hayes Wheel International
11.000%, 07/15/06 500 537
9.125%, 07/15/07 600 603
Haynes International
11.625%, 09/01/04 500 471
Helicon (B)
11.000%, 11/01/03 700 730
Hermes Europe Railtel BV
11.500%, 08/15/07 750 786
10.375%, 01/15/09 750 759
Hmh Properties (A)
8.450%, 12/01/08 500 474
Hmv Media Group (A)
10.250%, 05/15/08 1,000 1,014
Hollinger International Publishing
9.250%, 03/15/07 1,000 1,020
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Hollywood Park, Ser B
9.250%, 02/15/07 $ 1,000 $ 987
9.500%, 08/01/07 800 794
Holmes Products (A)
9.875%, 11/15/07 500 480
Holywood Casino (A)
11.250%, 05/01/07 1,000 1,002
Home Products International
9.625%, 05/15/08 800 759
Homeside
11.250%, 05/15/03 325 373
Horeshoe Gaming Holdings (A)
8.625%, 05/15/09 650 629
Horseshoe Gaming
9.375%, 06/15/07 1,000 1,007
Hosiery of America
13.750%, 08/01/02 700 756
Host Marriott
7.875%, 08/01/05 550 518
7.875%, 08/01/08 500 459
Host Marriott (A)
8.375%, 02/15/06 500 481
HS Resources
9.250%, 11/15/06 500 492
HS Resources (A)
9.250%, 11/15/06 250 246
Huntsman (A)
9.500%, 07/01/07 1,650 1,571
Huntsman ICI Chemicals (A)
10.125%, 07/01/09 1,200 1,203
Huntsman Polymers
11.750%, 12/01/04 250 271
Hyperion Telecommunication (B)
0.000%, 04/15/03 1,900 1,560
Hyperion Telecommunications
12.250%, 09/01/04 500 527
ICG Holding (B)
0.000%, 09/15/05 350 315
ICG Holdinggs (A) (B)
0.000%, 03/15/07 900 664
ICG Services (B)
0.000%, 02/15/08 1,250 787
ICN Pharmaceutical (A)
8.750%, 11/15/08 770 772
- --------------------------------------------------------------------------------
67
<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)
- ---------------------------------------------------------------
ICN Pharmaeuticals
9.250%, 08/15/05 $ 500 $ 501
IHF Holdings
0.000%, 11/15/04 600 71
Imax (A)
7.875%, 12/01/05 1,000 940
Impac Group (A)
10.125%, 03/15/08 1,000 982
Integrated Elec. Services (A)
9.375%, 02/01/09 1,000 982
Integrated Health
10.250%, 04/30/06 250 181
Integrated Health Services
9.500%, 09/15/07 500 366
9.250%, 01/15/08 250 181
Intelcom Group (B)
0.000%, 09/15/05 350 315
0.000%, 05/01/06 400 312
Interact Systems ((B)
0.000%, 08/01/03 700 258
Intermedia Capital Partners
11.250%, 08/01/06 750 831
Intermedia Communications
of Florida (B)
0.000%, 05/15/06 900 744
0.000%, 07/15/07 750 535
International Cabletel
10.000%, 02/15/07 250 259
International Cabletel (B)
0.000%, 04/15/05 400 384
0.000%, 02/01/06 1,200 1,018
International Home Foods
10.375%, 11/01/06 750 787
International Knife & Saw
11.375%, 11/15/06 500 492
International Utility Structures (A)
10.750%, 02/01/08 950 952
International Wire Group
11.750%, 06/01/05 500 520
Intrawest
9.750%, 08/15/08 1,000 1,012
Iron Mountain (A)
8.250%, 07/01/11 500 485
Isle of Capri Casinos (A)
8.750%, 04/15/09 1,500 1,406
ISP Holdings
9.000%, 10/15/03 500 501
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
IT Group (A)
11.250%, 04/01/09 $ 1,000 $ 960
ITC Deltacom
11.000%, 06/01/07 422 452
8.875%, 03/01/08 455 450
9.750%, 11/15/08 250 257
Ivaco
11.500%, 09/15/05 500 519
IXC Communications
9.000%, 04/15/08 1,500 1,429
Jackson Products (A)
9.500%, 04/15/05 1,200 1,183
Jacor Communications
9.750%, 12/15/06 450 486
8.000%, 02/15/10 750 779
James Cable
10.750%, 08/15/04 1,400 1,487
Jitney-Jungle Stores
10.375%, 09/15/07 450 206
JL French Auto Casting (A)
11.500%, 06/01/09 1,000 1,010
Jo-Ann Stores (A)
10.375%, 05/01/07 500 490
John Q Hammons Hotels
8.875%, 02/15/04 500 465
Jones Intercable
9.625%, 03/15/02 350 381
8.875%, 04/01/07 350 387
Jordan Industries
10.375%, 08/01/07 1,000 1,012
Jordan Telecom Products (B)
0.000%, 08/01/07 1,000 852
Jordon Industries (A)
10.375%, 08/01/07 750 757
JPS Automotive Products
11.125%, 06/15/01 100 102
K-mart (A)
8.540%, 01/02/15 733 729
K-mart
7.750%, 10/01/12 850 860
Kaiser Aluminum & Chemical
9.875%, 02/15/02 700 705
Kaiser Aluminum & Chemical, Ser B
10.875%, 10/15/06 600 626
Keebler
10.750%, 07/01/06 450 487
- --------------------------------------------------------------------------------
68
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
SCHEDULE OF INVESTMENTS (UNAUDITED)
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Kelley Oil & Gas
10.375%, 10/15/06 $ 750 $ 429
Kelley Oil & Gas (A)
14.000%, 04/15/03 1,300 1,321
Key Energy Svcs 144A
14.000%, 01/15/09 1,150 1,187
Kitty Hawk
9.950%, 11/15/04 250 249
Kmc Telecom Holdings (B)
0.000%, 02/15/08 1,250 667
Knoll
10.875%, 03/15/06 260 286
Knology Holdings (B)
0.000%, 10/15/07 1,400 847
Kpnqwest BV (A)
8.125%, 06/01/09 1,000 981
KSL Recreation Group
10.250%, 05/01/07 1,000 1,024
Lady Luck Gaming
11.875%, 03/01/01 800 810
Lamar Advertising (A)
9.625%, 12/01/06 450 459
LaRoche Industries
9.500%, 09/15/07 1,200 957
LDM Technologies
10.750%, 01/15/07 500 516
Leiner Health Products
9.625%, 07/10/07 500 509
Lenfest Communications
10.500%, 06/15/06 700 803
Lenfest Communications (A)
8.250%, 02/15/08 650 661
Leslie's Poolmart
10.375%, 07/15/04 800 830
Level 3 Communications
9.125%, 05/01/08 1,600 1,578
Level 3 Communications (A)
8.000%, 08/01/08 750 749
Level 3 Communications (B)
0.000%, 12/01/08 750 450
Liberty Group Operating
9.375%, 02/01/08 650 648
Liberty Group Publishings (B)
0.000%, 02/01/09 500 284
Lifepoint Hospitals Holdings (A)
10.750%, 05/15/09 1,200 1,221
Lin Holdings (B)
0.000%, 03/01/08 500 326
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Lodestar Holdings (A)
11.500%, 05/15/05 $ 750 $ 582
Loews Cineplex Entertainment (A)
8.875%, 08/01/08 1,000 955
Logix Communication Enterprises (A)
12.250%, 06/15/08 1,000 939
Louisiana Casino (A)
11.000%, 12/01/05 1,000 1,005
Luigino's (A)
10.000%, 02/01/06 1,200 1,200
Lyondell Chemical (A)
9.875%, 05/01/07 1,100 1,119
Magellan Health Services (A)
9.000%, 02/15/08 850 725
Magnum Hunter Re
10.000%, 06/01/07 500 449
Mail-Well (A)
8.750%, 12/15/08 800 778
Majestic Star Casino (A)
10.875%, 07/01/06 1,300 1,290
Marsh Supermarket
8.875%, 08/01/07 500 509
Mastec
7.750%, 02/01/08 500 489
Maxim Group, Ser B
9.250%, 10/15/07 400 400
Maxxam Group Holdings, Ser B
12.000%, 08/01/03 400 413
McCaw International (B)
0.000%, 04/15/07 1,400 845
McLeod USA (A)
8.125%, 02/15/09 500 469
Mcleodusa
9.250%, 07/15/07 500 501
8.375%, 03/15/08 500 468
Mcleodusa (B)*
0.000%, 03/01/07 1,500 1,142
MDC Communications (A)
10.500%, 12/01/06 1,000 1,003
Mediacom (A)
7.875%, 02/15/11 900 842
Mentus Media PIK
0.000%, 02/01/03 949 925
Meristar Hospitality (A)
8.750%, 08/15/07 500 489
Metallurg
11.000%, 12/01/07 800 782
- --------------------------------------------------------------------------------
69
<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 $ 1,035
Metronet Communications
12.000%, 08/15/07 500 575
Metronet Communications (B)
0.000%, 06/15/08 1,400 1,041
Microcell Telecommunication (A) (B)
0.000%, 06/01/06 1,000 806
MMI Products
11.250%, 04/15/07 500 513
MMI Products (A)
11.250%, 04/15/07 500 513
Mohegan Tribal (A)
8.750%, 01/01/09 1,000 988
Moog
10.000%, 05/01/06 500 498
Morris Materials Handling
9.500%, 04/01/08 400 155
Motors & Gears
10.750%, 11/15/06 1,050 1,066
Mrs. Fields (B)
0.000%, 12/01/05 800 400
Mrs. Fields, Ser B
10.125%, 12/01/04 760 699
Muzak Holdings (B)
0.000%, 03/15/10 500 277
Muzak LLC (A)
9.875%, 03/15/09 1,000 988
National Steel (A)
9.875%, 03/01/09 750 763
National Wine & Spirits (A)
10.125%, 01/15/09 1,000 1,028
Ne Restaurant (A)
10.750%, 07/15/08 600 552
Nebraska Book
8.750%, 02/15/08 1,300 1,198
Neenah
11.125%, 05/01/07 500 494
Neff
10.250%, 06/01/08 500 513
New World Pasta (A)
9.250%, 02/15/09 1,000 1,014
Nextel Communications
0.000%, 09/15/07 1,250 914
Nextel Communications (B)
9.750%, 08/15/04 500 509
0.000%, 02/15/08 1,400 968
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Nextel Partners (B)
0.000%, 02/01/09 $ 2,000 $ 1,133
Nextlink Communications
12.500%, 04/15/06 800 878
Nextlink Communications (A)
10.750%, 11/15/08 500 513
Nextlink Communications (B)
0.000%, 04/15/08 800 465
Niagra Mohawk Power
7.750%, 10/01/08 800 823
NL Industries
11.750%, 10/15/03 350 368
Northland Cable Television
10.250%, 11/15/07 1,000 1,045
Northwestern Steel & Wire
9.500%, 06/15/01 1,000 648
NTL Incorporated (A)
11.500%, 10/01/08 600 647
Nuevo Energy
9.500%, 04/15/06 400 397
Numatics
9.625%, 04/01/08 800 725
Ocean Energy
10.375%, 10/15/05 250 263
Octel Developments
10.000%, 05/01/06 950 981
Offshore Logistics
7.875%, 01/15/08 600 569
Oglebay Norton (A)
10.000%, 02/01/09 1,000 963
Omega Cabinets
10.500%, 06/15/07 1,000 1,011
Optel
13.000%, 02/15/05 300 300
Optel (A)
11.500%, 07/01/08 500 424
Orange PLC (A)
9.000%, 06/01/09 750 750
Orbital Imaging
11.625%, 03/01/05 950 866
Orion Network Systems
11.250%, 01/15/07 800 670
Owens & Minor
10.875%, 06/01/06 500 528
Oxford Automotive
10.125%, 06/15/07 1,200 1,200
Oxford Health Plans Sr Nts (A)
11.000%, 05/15/05 500 519
- --------------------------------------------------------------------------------
70
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
SCHEDULE OF INVESTMENTS (UNAUDITED)
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
P&L Coal Holdings (A)
8.875%, 05/15/08 $ 250 $ 251
Pac-West Telecom (A)
13.500%, 02/01/09 900 891
Packaged Ice
9.750%, 02/01/05 1,000 999
Packaging Resources
11.625%, 05/01/03 500 527
Pagemart Nationwide (B)
0.000%, 02/01/05 750 644
Pantry
10.250%, 10/15/07 800 812
Paracelsus Healthcare
10.000%, 08/15/06 500 389
Park Place Entertainment
7.875%, 12/15/05 1,000 950
Parker Drilling, Ser B
9.750%, 11/15/06 1,000 928
Pathmark Stores
9.625%, 05/01/03 1,400 1,432
Pathnet (A)
12.250%, 04/15/08 750 420
Pegasus Communications, Ser B
9.625%, 10/15/05 550 539
9.750%, 12/01/06 500 513
Pegasus Shipping Hellas
11.875%, 11/15/04 600 383
Perkins Family Restaurant/Finance, Ser B
10.125%, 12/15/07 1,000 1,053
Perry-Judd
10.625%, 12/15/07 500 491
Petersburg Long Distance (A)
9.000%, 06/01/06 90 42
Phase Metrics (A)
10.750%, 02/01/05 500 329
Philipp Brothers Chemical (A)
9.875%, 06/01/08 1,000 938
Phillips Van-Heusen (A)
9.500%, 05/01/08 1,000 1,001
Phoenix Color (A)
10.375%, 02/01/09 750 733
Pierce Leahy (A)
9.125%, 07/15/07 450 465
Pillowtex
10.000%, 11/15/06 500 505
Plastic Containers
10.000%, 12/15/06 400 451
Players International
10.875%, 04/15/05 500 536
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Playtex Products
8.875%, 07/15/04 $ 400 $ 409
Pogo Producing
8.750%, 05/15/07 850 810
Polymer Group, Ser B
9.000%, 07/01/07 600 587
Port Royal Holdings
10.250%, 10/01/07 1,000 1,049
Portola Packaging
10.750%, 10/01/05 200 207
Powertel
11.125%, 06/01/07 500 520
Powertel (B)
0.000%, 02/01/06 500 419
Premier Parks
9.250%, 04/01/06 500 501
9.750%, 01/15/07 500 506
9.750%, 06/15/07 1,000 1,013
Price Communications Wireless
11.750%, 07/15/07 250 278
Price Communications Wireless, Ser B
9.125%, 12/15/06 1,000 1,008
Price Communication Cellular, PIK
11.250%, 08/15/08 796 818
Pride International
10.000%, 06/01/09 500 510
Pride Petroleum Services
9.375%, 05/01/07 500 496
Prime Hospitality
9.250%, 01/15/06 600 600
9.750%, 04/01/07 450 443
Primus Telecom Group (A)
11.250%, 01/15/09 1,500 1,545
Primus Telecommunications
11.750%, 08/01/04 600 608
Printpack, Ser B
10.625%, 08/15/06 800 761
Production Resources Group
11.500%, 01/15/08 500 504
Psinet
10.000%, 02/15/05 950 950
11.500%, 11/01/08 350 367
PTC Intl Finance BV
0.000%, 07/01/07 1,000 729
Pueblo Xtra International
9.500%, 08/01/03 1,000 968
Quest Diagnostic
10.750%, 12/15/06 450 496
Quest Diagnostic (A)
9.875%, 07/01/09 1,000 1,005
- --------------------------------------------------------------------------------
71
<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)
- ---------------------------------------------------------------
Qwest Communications
10.875%, 04/01/07 $ 325 $ 371
Qwest Communications (B)
0.000%, 10/15/07 1,050 807
Ram Energy
11.500%, 02/15/08 500 259
Randall's Food Markets, Ser B
9.375%, 07/01/07 1,150 1,228
RCN(A)
0.000%, 10/15/07 750 503
RCN (B)
0.000%, 02/15/08 1,300 824
Regal Cinemas (A)
9.500%, 06/01/08 900 842
8.875%, 12/15/10 450 415
Regional Independent Media Group (A)
10.500%, 07/01/08 1,000 1,024
Renaissance Media Group (B)
0.000%, 04/15/08 1,000 700
Renco Metals
11.500%, 07/01/03 500 524
Repap New Brunswick
10.625%, 04/15/05 1,500 1,200
Republic Engineered Steel
9.875%, 12/15/01 800 832
Republic Group (A)
9.500%, 07/15/08 700 698
Revlon Consumer Products
8.625%, 02/01/08 800 746
RH Donnelly (A)
9.125%, 06/01/08 800 816
Rhythms Netcommunications (B)
0.000%, 05/15/08 1,700 882
Rhythms Netconnections (A)
12.750%, 04/15/09 500 470
Rifkin Acquisition Partners
11.125%, 01/15/06 750 843
Riverwood International
10.875%, 04/01/08 800 776
Riviera Black Hawk (A)
13.000%, 05/01/05 700 712
Rogers Cantel
9.375%, 06/01/08 500 525
Rogers Communications
9.125%, 01/15/06 400 407
8.875%, 07/15/07 350 353
Roma (A)
12.000%, 07/01/06 400 390
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
RSL Communications PLC
9.125%, 03/01/08 $ 500 $ 464
12.000%, 11/01/08 750 789
RSL Communications PLC (A)
9.875%, 11/15/09 1,850 1,753
Rural Cellular
9.625%, 05/15/08 500 519
Russell Stanley Holdings (A)
10.875%, 02/15/09 750 731
Safelite Glass Senior Subordinate Notes (A)
9.875%, 12/15/06 800 750
Safety Components
10.125%, 07/15/07 500 449
Safety-Kleen (A)
9.250%, 05/15/09 750 750
Safety-Kleen Svcs (A)
9.250%, 06/01/08 750 782
Salem Communications, Ser B
9.500%, 10/01/07 950 990
Santa Fe Hotel
11.000%, 12/15/00 1,571 1,571
Scotts (A)
8.625%, 01/15/09 1,300 1,281
SD Warren, Ser B
12.000%, 12/15/04 1,450 1,562
Sealy Mattress
9.875%, 12/15/07 500 501
Sealy Mattress (B)
0.000%, 12/15/07 500 323
SF Holdings Group (B)
0.000%, 03/15/08 1,000 349
SFX Broadcasting
10.750%, 05/15/06 394 427
SFX Entertainment
9.125%, 12/01/08 500 489
Sheffield Steel, Ser B
11.500%, 12/01/05 500 474
Shop-Vac
10.625%, 09/01/03 625 688
Signature Brands USA
13.000%, 08/15/02 500 552
Siligan Holdings
13.250%, 07/15/06 336 375
Silver Cinemas (A)
10.500%, 04/15/05 800 357
Simonds Industries (A)
10.250%, 07/01/08 600 609
Sinclair Broadcast
10.000%, 09/30/05 800 834
- --------------------------------------------------------------------------------
72
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
SCHEDULE OF INVESTMENTS (UNAUDITED)
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Sitel (A)
9.250%, 03/15/06 $ 500 $ 477
Southwest Royalties, Ser B
10.500%, 10/15/04 500 239
Sovereign Specialty Chemical, Ser B
9.500%, 08/01/07 450 461
Spanish Broadcasting
11.000%, 03/15/04 500 543
Specialty Paperboard
9.375%, 10/15/06 500 508
Sprint Spectrum
11.000%, 08/15/06 1,040 1,170
Stanadyne Automotive
10.250%, 12/15/07 500 434
Station Casinos (A)
9.750%, 04/15/07 1,000 1,020
Sterling Chemical Holdings (B)
0.000%, 08/15/08 1,000 349
Sterling Chemicals
11.750%, 08/15/06 500 380
Stone Container (A)
11.500%, 08/15/06 400 431
Sun International Hotels
9.000%, 03/15/07 1,000 1,003
Sun Media
9.500%, 05/15/07 325 340
Susquehanna Media (A)
8.500%, 05/15/09 1,250 1,228
Synthetic Industries
9.250%, 02/15/07 400 411
T/SF Communications, Ser B
10.375%, 11/01/07 500 503
Tekni-Plex
11.250%, 04/01/07 800 848
Telewest Communications
9.625%, 10/01/06 150 154
Telewest Communication
11.250%, 11/01/08 500 569
Telewest Communication (A) (B)
0.000%, 04/15/09 1,650 1,099
Telewest Communications (B)
0.000%, 10/01/07 1,750 1,560
Teligent
11.500%, 12/01/07 1,000 1,025
Tembec Industries (A)
8.625%, 06/30/09 500 498
Tenet Healthcare
8.625%, 01/15/07 500 493
- ---------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000)/SHARES VALUE (000)
- ---------------------------------------------------------------
Texas Petrochem
11.125%, 07/01/06 $ 450 $ 407
Therma-Wave
10.625%, 05/15/04 500 399
Thermadyne Holdings (A), (B)
0.000%, 06/01/08 550 267
Time Warner (A)
9.750%, 07/15/08 850 876
Titan Wheel International
8.750%, 04/01/07 500 478
Trans World Airlines
11.375%, 03/01/06 900 540
Transamerican Energy, Ser B
0.000%, 06/15/02 900 115
Transportation Manufacturing (A)
11.250%, 05/01/09 1,000 998
Tri-State Outdoor Media
11.000%, 05/15/08 1,000 1,015
Tritel PCS (A) (B)
12.750%, 05/15/09 1,000 544
Tropical Sportswear International
11.000%, 06/15/08 500 520
TV Guide (A)
8.125%, 03/01/09 1,000 948
Twin Laboratories
10.250%, 05/15/06 325 345
Unisys
12.000%, 04/15/03 550 600
11.750%, 10/15/04 500 558
7.875%, 04/01/08 400 402
United International Holdings, Ser B (B)
0.000%, 02/15/08 2,000 1,325
United Rentals (A)
9.250%, 01/15/09 1,000 993
Universal Compression (B)
0.000%, 02/15/08 800 519
Universal Health Services
8.750%, 08/15/05 250 253
URS (A)
12.250%, 05/01/09 1,000 1,000
US Office Products (A)
9.750%, 06/15/08 750 499
Vail Resorts (A)
8.750%, 05/15/09 600 587
Vencor (A)
0.000%, 05/01/05 500 104
Verio
10.375%, 04/01/05 500 505
- --------------------------------------------------------------------------------
73
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (CONTINUED)
SCHEDULE OF INVESTMENTS (UNAUDITED)
SEI INSTITUTIONAL MANAGED TRUST HIGH YIELD BOND PORTFOLIO (CONCLUDED)
- ---------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
Viasystems
9.750%, 06/01/07 $ 1,100 $ 963
Viatel (B)
0.000%, 04/15/08 1,500 960
Vlasic Foods International (A)
10.250%, 07/01/09 1,100 1,084
Waste Systems (A)
11.500%, 01/15/06 550 547
Waste Systems International (A)
7.000%, 05/13/05 800 728
Waterford Gaming (A)
9.500%, 03/15/10 1,100 1,097
Waxman Industries (B)
0.000%, 06/01/04 600 305
WCI Steel
10.000%, 12/01/04 1,000 1,018
Weirton Steel
11.375%, 07/01/04 250 244
Wells Aluminum
10.125%, 06/05/05 500 493
Werner Holdings
10.000%, 11/15/07 1,400 1,376
Western Federal Notes (C)
0.000%, 09/15/99 500 185
Western Wireless
10.500%, 06/01/06 400 428
10.500%, 02/01/07 300 324
Wheeling-Pittsburgh
9.250%, 11/15/07 900 866
WHX
10.500%, 04/15/05 750 711
William Carter (A)
10.375%, 12/01/06 750 786
Winstar Communications (B)
0.000%, 10/15/05 1,250 1,086
Wiser Oil
9.500%, 05/15/07 600 445
World Color Press (A)
7.750%, 02/15/09 1,500 1,384
Worldwide Fiber (A)
12.500%, 12/15/05 750 758
Young Broadcasting
9.000%, 01/15/06 400 392
8.750%, 06/15/07 1,200 1,170
Ziff-Davis
8.500%, 05/01/08 1,000 933
Zilog, Ser B
9.500%, 03/01/05 1,000 878
- ---------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000)/SHARES VALUE (000)
- ---------------------------------------------------------------
ZSC Specialty Chemicals (A)
11.000%, 07/01/09 $ 1,500 $ 1,511
--------
Total Corporate Obligations
(Cost $452,565) 432,416
--------
U.S. GOVERNMENT AGENCY OBLIGATION--3.4%
FHLB Discount Note
4.490%, 07/01/99 15,658 15,658
--------
Total U.S. Government Agency Obligation
(Cost $15,658) 15,658
--------
PREFERRED STOCKS--1.5%
Adelphia Communications* 2,500 288
Ameriking PIK
0.000, 12/01/08 2,581,400 620
Benedek Communications PIK* 500,000 395
Coinstar* 4,545 130
Diva Systems, Ser C* 41,615 499
E.Spire Communications PIK (A) 499 175
GPA Group, PLC (A)* 1,000,000 500
Granite Ltd* 100 10
Hyperion Telecomm* 9 8
Intermedia Communication* 327 320
Intermedia Communication* 20,000 565
Jordan Telecommunication* 629 645
Nextel Communications PIK* 620 620
Nextel Communications PIK* 3,490 349
Nextlink Communications* 6,812 344
Optel* 300 --
Pegasus Communications* 610 63
Primedia* 4,000 404
Renaissance Cosmetics (A)* 5,890 --
Renaissance Cosmetics* 40 --
SD Warren, Ser B* 20,000 1,048
TCR Holdings Series B* 1,580 --
TCR Holdings Series C* 869 --
TCR Holdings Series D* 2,291 --
TCR Holdings Series E* 4,739 --
--------
Total Preferred Stocks
(Cost $7,015) 6,983
--------
UNITS--1.1%
Australis Media 1 Unit = $1M
senior suordinate discount note
+ 1 warrant (A) (B)
0.000%, 05/15/03 400 6
- --------------------------------------------------------------------------------
74
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
SCHEDULE OF INVESTMENTS (UNAUDITED)
- ---------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000)/SHARES VALUE (000)
- ---------------------------------------------------------------
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
0.000%, 11/01/04 500 50
Globix 1 Unit = $1m Sr Notes
+ 1 Warrant
13.000%, 05/01/05 1,400 1,330
International Utility Structure
1 Unit = $1M senior exchanged
preferred + 1 warrant PIK
13.000%, 02/01/08 500 469
Pegasus Communications
1 Unit = $1M preferred share
+ 1 warrant PIK* 2,500 293
Pld Telekom 1 Unit = 1 Bond
+ 1 Warrant (B)
0.000%, 06/01/04 830 564
Startec Global Communication,
1 Unit = $1m Sr Notes + 1 Warrant
12.000%, 05/15/08 500 449
Verio, 1 Unit = $1m Senior Note
+ 8 Warrants To Buy 1.7604
common shares
13.500%, 06/15/04 1,000 1,145
--------
Total Units
(Cost $5,584) 4,834
--------
WARRANTS--0.5%
American Communication Services* 1,320 7
American Mobile Warrant* 900 4
Ampex (A)* 34,000 96
Australis* 500 --
Bell Technology* 1,400 13
Classic Cable Warrant* 3,000 50
Clearnet* 1,320 --
Crown Packaging* 100,848 --
Dairy Mart* 1,334 --
Diva System* 1,025 12
Diva Systems* 8,271 --
DTI Holdings (A)* 5 --
E.spire Communications* 500 63
Ermis Maritime Holdings* 725 --
Globalstar Telecom* 400 36
Golden Ocean Group* 688 1
Intelcom Group* 700 --
Interact Systems* 700 --
- ---------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ---------------------------------------------------------------
Intermedia Communications of
Florida* 1,897 $ 57
International Utility* 66 6
Jordan Telecommunication Products (A)* 500 1
KMC Telecom Holdings* 1,250 3
Mccaw International* 1,400 4
Mentus Media* 2,365 --
Metronet (A)* 500 4
Microcell Telecomm (A)* 2,400 48
Nextlink Communications* 5,000 --
Orbital Imaging (A)* 950 38
Pathnet* 750 8
PLD Telekom* 830 --
Price Communications* 3,440 323
Rhythms Netconnect* 4,800 800
SF Holdings (A)* 2,000 4
Signature* 500 --
Startec Global* 500 1
USN Communication* 11,540 12
Verio* 8,000 882
Waste Systems International* 8,250 --
Wireless One* 20 --
Wright Medical* 21 --
--------
Total Warrants
(Cost $116) 2,473
--------
COMMON STOCK--0.1%
Advanced Radio Telecom* 10,117 145
Concentric Network* 6,974 277
ICG Communications* 1,155 25
Loral Space & Communication* 454 8
Primus Telecommunications Group* 1,047 23
Viatel* 2,863 161
--------
Total Common Stock
(Cost $63) 639
--------
Total Investments--100.0%
(Cost $481,001) 463,003
--------
*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 06/30/99 AND WILL RESET
AT A FUTURE DATE.
LLC -- LIMITED LIABILITY COMPANY
PIK -- PAYMENT IN-KIND
SER -- SERIES
AMOUNTS DESIGNATED AS "--" ARE EITHER ZERO OR HAVE BEEN ROUNDED TO ZERO.
THE ACCOMPANYING NOTES ARE AN INTEGAL PART OF THE FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
75
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (CONTINUED)
SCHEDULE OF INVESTMENTS
SEI INDEX FUNDS S&P 500 INDEX PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS--97.5%
AEROSPACE & DEFENSE--0.2%
Raytheon, Cl B 75,140 $ 5,288
--------
AGRICULTURE--0.1%
Pioneer Hi-Bred International 53,400 2,079
--------
AIR TRANSPORTATION--0.4%
AMR* 34,170 2,332
Delta Air Lines 31,570 1,819
FDX* 65,904 3,575
Southwest Airlines 75,000 2,334
US Air Group* 16,465 717
--------
10,777
--------
AIRCRAFT--1.5%
Allegheny Teledyne 42,948 972
Allied Signal 123,040 7,752
Boeing 216,971 9,587
General Dynamics 28,260 1,936
Lockheed Martin 87,432 3,257
Northrop 15,365 1,019
Rockwell International 42,330 2,572
Textron 33,610 2,767
United Technologies 107,444 7,702
--------
37,564
--------
APPAREL/TEXTILES--0.1%
Fruit of the Loom, Cl A* 15,900 155
Liz Claiborne 14,150 517
Russell 7,565 148
Springs Industries, Cl A 4,170 182
VF 26,760 1,144
--------
2,146
--------
AUTOMOTIVE--1.5%
Cooper Tire & Rubber 16,900 399
Dana 36,957 1,702
Delphi Automotive Systems 125,917 2,337
Eaton 15,730 1,447
Fleetwood Enterprises 7,790 206
Ford Motor 269,640 15,218
General Motors 144,430 9,532
Genuine Parts 40,092 1,403
Goodyear Tire & Rubber 34,770 2,045
ITT Industries 19,565 746
Navistar International* 14,726 736
Paccar 17,408 929
TRW 26,720 1,466
--------
38,166
--------
- ---------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ---------------------------------------------------------------
BANKS--6.8%
Amsouth Bancorp 39,700 $ 921
Bank of America 388,612 28,490
Bank of New York 169,500 6,219
Bank One 263,001 15,665
BankBoston 66,486 3,399
BB&T 70,000 2,568
Chase Manhattan 188,490 16,328
Comerica 34,650 2,060
Fifth Third Bancorp 59,850 3,984
First Union 215,514 10,129
Firstar 147,300 4,124
Fleet Financial Group 126,632 5,619
Golden West Financial 12,705 1,245
Huntington Bancshares 46,970 1,644
JP Morgan 39,530 5,554
KeyCorp 99,742 3,204
Mellon Bank 116,420 4,235
Mercantile Bancorp 35,100 2,005
National City 70,000 4,585
Northern Trust 24,700 2,396
PNC Bank 67,660 3,899
Regions Financial 49,900 1,918
Republic New York 23,400 1,596
SouthTrust 37,300 1,431
State Street 35,800 3,056
Summit Bancorp 38,100 1,593
SunTrust Banks 71,430 4,960
Synovus Financial 60,400 1,200
U.S. Bancorp 161,931 5,506
Union Planters 31,800 1,421
Wachovia 45,178 3,866
Washington Mutual 132,247 4,678
Wells Fargo 368,152 15,739
--------
175,237
--------
BROADCASTING, NEWSPAPERS & ADVERTISING--0.7%
Clear Channel Communications* 74,000 5,101
Mediaone Group* 135,260 10,060
Omnicom Group 39,800 3,184
--------
18,345
--------
CHEMICALS--1.7%
Air Products & Chemicals 51,140 2,058
Avery Dennison 25,330 1,529
BF Goodrich 16,350 695
Dow Chemical 49,350 6,261
Eastman Chemical 17,691 916
EI du Pont de Nemours 250,890 17,139
- --------------------------------------------------------------------------------
76
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
SCHEDULE OF INVESTMENTS (UNAUDITED)
- ---------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ---------------------------------------------------------------
FMC* 7,365 $ 503
Great Lakes Chemical 13,200 608
Hercules 22,395 880
Monsanto 140,650 5,547
Nalco Chemical 14,600 757
Praxair 35,165 1,721
Rohm & Haas 47,223 2,025
Union Carbide 29,565 1,441
W.R. Grace* 15,400 283
--------
42,363
--------
COMMUNICATIONS--9.4%
Alltel 62,682 4,482
Ameritech 244,920 18,002
Andrew* 18,215 345
AT&T 708,687 39,554
Bell Atlantic 345,914 22,614
BellSouth 421,823 19,773
Comcast, Cl A* 164,854 6,337
GTE 216,380 16,391
Harris* 17,530 687
Interpublic Group 30,950 2,681
Lucent Technologies 677,032 45,657
Marriott International, Cl A* 55,540 2,076
Motorola 134,260 12,721
SBC Telecommunications 437,332 25,365
Scientific-Atlanta 16,584 597
Sprint 192,700 10,177
Tellabs* 87,200 5,891
Viacom, Cl B* 153,800 6,767
--------
240,117
--------
COMMUNICATIONS EQUIPMENT--0.1%
General Instrument* 38,400 1,632
Network Appliance* 16,000 894
--------
2,526
--------
COMPUTERS & SERVICES--14.5%
America Online* 242,000 26,741
Apple Computer* 35,420 1,640
Cabletron Systems* 38,400 499
Ceridian* 31,930 1,044
Cisco Systems* 711,500 45,847
Compaq Computer* 378,656 8,969
Computer Associates International 119,452 6,570
Computer Sciences* 35,420 2,451
Data General* 10,970 160
Dell Computer* 564,800 20,898
EMC* 225,500 12,403
First Data 96,204 4,708
- ---------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ---------------------------------------------------------------
Gateway* 34,800 $ 2,053
Hewlett Packard 226,160 22,729
IBM 404,220 52,245
Microsoft* 1,136,700 102,516
Nortel Networks 147,850 12,835
Novell* 75,200 1,993
Oracle Systems* 320,814 11,910
Pitney Bowes 59,820 3,843
Seagate Technology* 49,600 1,271
Shared Medical Systems 5,895 385
Silicon Graphics* 41,800 685
Sun Microsystems* 172,300 11,867
Tandy 43,188 2,111
Texas Instruments 86,920 12,603
Unisys* 60,085 2,340
--------
373,316
--------
CONSTRUCTION--0.3%
Armstrong World Industries 8,965 518
Centex 13,080 491
Fluor 16,830 682
Foster Wheeler 9,065 128
Halliburton 98,010 4,435
McDermott International 12,965 366
Owens-Corning Fiberglass 11,865 408
--------
7,028
--------
CONTAINERS & PACKAGING--0.2%
Ball 6,895 291
Crown Cork & Seal 27,285 778
Newell Rubbermaid 62,636 2,913
Owens-Illinois* 34,600 1,131
--------
5,113
--------
DRUGS--0.0%
Watson Pharmaceuticals* 21,200 743
--------
ELECTRICAL SERVICES--0.5%
AES* 42,400 2,465
Ameren 30,600 1,174
CMS Energy 26,100 1,093
Consolidated Edison 50,590 2,289
Constellation Energy Group* 33,295 986
FirstEnergy* 52,305 1,621
Florida Progress 21,800 901
New Century Energies 25,500 990
Niagara Mohawk Holdings* 41,765 671
Reliant Energy 65,951 1,822
--------
14,012
--------
- --------------------------------------------------------------------------------
77
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (CONTINUED)
SCHEDULE OF INVESTMENTS (UNAUDITED)
SEI INDEX FUNDS S&P 500 INDEX PORTFOLIO (CONTINUED)
- ---------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ---------------------------------------------------------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT--2.5%
3Com* 80,600 $ 2,151
Advanced Micro Devices* 32,230 582
Autodesk 13,200 390
Automatic Data Processing 137,840 6,065
Honeywell 28,060 3,251
Intel 738,980 43,969
Johnson Controls 18,930 1,312
LSI Logic* 31,500 1,453
Micron Technology 55,800 2,249
Millipore 9,790 397
National Semiconductor* 37,212 942
Tektronix 10,255 310
Thomas & Betts 12,640 597
--------
63,668
--------
ENTERTAINMENT--0.0%
Mirage Resorts* 44,300 742
--------
ENVIRONMENTAL SERVICES--0.4%
Browning-Ferris Industries 35,235 1,515
Ecolab 28,800 1,256
Laidlaw 73,600 543
Waste Management Inc* 135,614 7,289
--------
10,603
--------
FINANCIAL SERVICES--4.1%
Allstate* 179,704 6,447
American Express 100,347 13,058
Associates First Capital 162,192 7,187
Bear Stearns 25,955 1,213
Capital One Financial 43,900 2,445
Charles Schwab 90,950 9,993
Countrywide Credit Industries 25,100 1,073
Equifax 32,200 1,149
FHLM 154,800 8,978
FNMA 228,260 15,607
Franklin Resources 56,300 2,287
Household International 106,791 5,059
Lehman Brothers Holding 26,500 1,650
MBNA 178,712 5,473
Merrill Lynch 81,900 6,547
Morgan Stanley 127,061 13,024
Painewebber Group 32,500 1,519
SLM Holding 36,300 1,663
Transamerica 27,760 2,082
--------
106,454
--------
FOOD, BEVERAGE & TOBACCO--5.3%
Adolph Coors, Cl B 8,165 404
Anheuser Busch 105,900 7,512
- ---------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ---------------------------------------------------------------
Archer-Daniels-Midland 130,942 $ 2,021
Bestfoods 62,220 3,080
Brown-Forman, Cl B 15,260 995
Campbell Soup 97,160 4,506
Coca-Cola 94,600 2,814
Coca-Cola 549,360 34,335
Conagra 109,084 2,904
Fortune Brands 37,240 1,541
General Mills 34,160 2,746
Hershey Foods 31,100 1,847
HJ Heinz 80,020 4,011
Kellogg 90,280 2,979
Nabisco Group Holdings 72,400 1,416
PepsiCo 328,980 12,727
Philip Morris 537,330 21,594
Quaker Oats 30,360 2,015
Ralston-Ralston Purina Group 72,580 2,209
RJ Reynolds Tobacco Holdings* -- --
Sara Lee 201,260 4,566
Seagram 95,400 4,806
Supervalu 26,760 687
Sysco 73,720 2,198
Unilever NV 127,350 8,883
UST 39,240 1,148
William Wrigley, Jr. 25,905 2,331
--------
136,275
--------
FOOTWEAR--0.2%
Nike, Cl B 63,020 3,990
Reebok International 12,420 231
--------
4,221
--------
GAS/NATURAL GAS--0.1%
Oneok* 7,000 222
Sempra Energy* 53,527 1,211
--------
1,433
--------
GLASS PRODUCTS--0.2%
Corning 54,360 3,812
PPG Industries 38,690 2,285
--------
6,097
--------
HOUSEHOLD PRODUCTS--2.8%
Alberto-Culver, Cl B 12,480 332
Avon Products 58,540 3,249
Clorox 26,059 2,783
Colgate Palmolive 65,288 6,447
Danaher* 29,800 1,732
Gillette 247,176 10,134
- --------------------------------------------------------------------------------
78
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
SCHEDULE OF INVESTMENTS (UNAUDITED)
- ---------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ---------------------------------------------------------------
International Flavors &
Fragrances 23,695 $ 1,051
Jostens 7,650 161
Masco 75,080 2,168
Maytag 20,030 1,396
Minnesota Mining & Manufacturing 89,630 7,792
National Service Industries 9,185 331
Procter & Gamble 295,908 26,410
Raychem 17,130 634
Sherwin Williams 37,860 1,051
Snap-On Tools 14,397 521
Solectron* 56,100 3,741
Stanley Works 19,830 638
Tupperware 12,850 328
Whirlpool 16,705 1,236
--------
72,135
--------
INSURANCE--4.8%
Aetna 31,387 2,807
Aflac 59,100 2,829
American General 56,139 4,232
American International Group 275,878 32,295
Aon 56,875 2,346
Chubb 36,360 2,527
Cigna 45,290 4,031
Cincinnati Financial 37,200 1,397
Citigroup 752,556 35,746
Conseco 72,053 2,193
Hartford Financial Services Group 50,530 2,947
Jefferson Pilot 23,605 1,562
Lincoln National 45,060 2,357
Loews 24,300 1,923
Marsh & McLennan 58,615 4,425
MBIA 22,100 1,431
MGIC Investment 24,400 1,186
Progressive of Ohio 16,200 2,349
Provident 30,100 1,204
Providian Financial 31,595 2,954
SAFECO 30,320 1,338
St. Paul 50,376 1,603
Torchmark 29,674 1,013
United Healthcare 38,600 2,417
UNUM 30,800 1,686
Wellpoint Health Networks* 15,000 1,273
--------
122,071
--------
- ---------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ---------------------------------------------------------------
LUMBER & WOOD PRODUCTS--0.1%
Georgia-Pacific 38,200 $ 1,810
Louisiana-Pacific 24,212 575
--------
2,385
--------
MACHINERY--4.8%
Applied Materials* 83,100 6,139
Baker Hughes 72,848 2,440
Black & Decker 19,535 1,233
Briggs & Stratton 5,240 303
Brunswick 20,430 570
Case Equipment 16,300 784
Caterpillar 79,200 4,752
Cooper Industries 20,995 1,092
Crane 15,319 482
Cummins Engine 9,240 528
Deere 51,590 2,044
Dover 47,540 1,664
Emerson Electric 96,930 6,094
General Electric 728,660 82,339
Illinois Tool Works 55,740 4,571
Ingersoll Rand 36,605 2,366
Kaufman & Broad Home 10,637 265
Milacron 8,595 159
NACCO Industries, Cl A 1,725 127
Pall 27,693 614
Parker-Hannifin 24,178 1,106
PULTE 9,390 217
Tenneco 37,912 905
Timken 13,640 266
WW Grainger 21,180 1,140
--------
122,200
--------
MARINE TRANSPORTATION--0.3%
Carnival, Cl A 136,600 6,625
--------
MEASURING DEVICES--0.1%
KLA Instruments* 19,600 1,272
Mallinckrodt 15,685 571
PE Biosystems 11,065 1,270
Thermo Electron* 35,400 710
--------
3,823
--------
MEDICAL PRODUCTS & SERVICES--10.2%
Abbott Laboratories 338,220 15,389
Allergan 14,700 1,632
Alza* 22,220 1,130
American Home Products 291,680 16,772
Amgen* 114,000 6,940
- --------------------------------------------------------------------------------
79
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (CONTINUED)
SCHEDULE OF INVESTMENTS (UNAUDITED)
SEI INDEX FUNDS S&P 500 INDEX PORTFOLIO (CONTINUED)
- ---------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ---------------------------------------------------------------
Bausch & Lomb 12,480 $ 955
Baxter International 64,973 3,939
Becton, Dickinson 55,520 1,666
Biomet* 25,000 994
Boston Scientific* 88,100 3,871
Bristol-Myers Squibb 442,280 31,153
Columbia HCA Healthcare 126,559 2,887
CR Bard 11,435 547
Eli Lilly 245,020 17,550
Guidant 67,100 3,451
HCR Manor Care* 24,747 599
Healthsouth Rehabilitation* 92,412 1,380
Humana* 37,300 483
Johnson & Johnson 299,640 29,365
Medtronic 130,140 10,135
Merck 525,750 38,906
Pfizer 288,240 31,634
Pharmacia & Upjohn 113,242 6,434
Schering Plough 327,520 17,359
Sigma Aldrich 22,400 771
St. Jude Medical 18,750 668
Tenet Healthcare* 69,160 1,284
Warner Lambert 189,460 13,144
--------
261,038
--------
METAL & METAL INDUSTRIES--0.5%
Alcan Aluminum 50,752 1,621
Asarco 8,665 163
Barrick Gold 86,800 1,682
Battle Mountain Gold, Cl A 51,200 125
Bethlehem Steel* 28,930 222
Cyprus AMAX Minerals 20,302 308
Engelhard 27,917 632
Freeport-McMoran Copper
& Gold, Cl B 36,400 653
Homestake Mining 57,900 474
Inco 42,800 770
Newmont Mining 37,222 740
Nucor 19,480 924
Phelps Dodge 12,930 801
Placer Dome Group 72,529 857
Reynolds Metals 14,135 834
USX-U.S. Steel Group 19,667 531
Worthington Industries 20,622 339
--------
11,676
--------
MISCELLANEOUS BUSINESS SERVICES--0.7%
Adobe Systems 13,600 1,117
BMC Software* 52,582 2,839
Cendant* 171,210 3,510
- ---------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ---------------------------------------------------------------
Compuware* 81,900 $ 2,605
Electronic Data Systems 109,800 6,211
Parametric Technology* 60,300 837
Peoplesoft* 53,600 925
--------
18,044
--------
MISCELLANEOUS MANUFACTURING--0.7%
Tyco International Ltd. 182,770 17,317
--------
OIL & GAS--4.3%
Amerada Hess 20,130 1,198
Ashland 16,525 663
Atlantic Richfield 71,660 5,988
Burlington Resources 39,563 1,711
Chevron 145,920 13,890
Coastal 47,404 1,896
Exxon 540,690 41,701
Helmerich & Payne 10,890 259
Kerr McGee 19,252 966
Mobil 174,290 17,255
Occidental Petroleum 77,130 1,629
Phillips Petroleum 56,235 2,829
Rowan* 18,705 345
Schlumberger 121,634 7,747
Texaco 119,120 7,445
Unocal 53,790 2,131
USX-Marathon Group 68,535 2,232
--------
109,885
--------
PAPER & PAPER PRODUCTS--0.9%
Bemis 11,690 465
Boise Cascade 12,531 537
Champion International 21,300 1,020
Fort James 49,127 1,861
International Paper 91,389 4,615
Kimberly-Clark 118,574 6,759
Mead 22,720 949
Potlatch 6,470 284
Temple-Inland 12,390 846
Westvaco 22,390 649
Weyerhaeuser 44,370 3,050
Willamette Industries 24,700 1,138
--------
22,173
--------
PETROLEUM & FUEL PRODUCTS--0.1%
Anadarko Petroleum 26,900 990
Apache 24,700 963
Union Pacific Resources 55,891 912
--------
2,865
--------
- --------------------------------------------------------------------------------
80
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
SCHEDULE OF INVESTMENTS (UNAUDITED)
- ---------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ---------------------------------------------------------------
PETROLEUM REFINING--1.1%
Royal Dutch Petroleum 477,840 $ 28,790
Sunoco 20,170 609
--------
29,399
--------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES--0.5%
Eastman Kodak 71,665 4,855
Polaroid 9,758 270
Xerox 147,250 8,697
--------
13,822
--------
PRINTING & PUBLISHING--1.4%
American Greetings, Cl A 15,000 452
Deluxe 17,355 676
Dow Jones 20,200 1,072
Gannett 62,270 4,445
Knight-Ridder 17,270 949
McGraw-Hill 43,840 2,365
Meredith 11,580 401
New York Times, Cl A 39,260 1,445
RR Donnelley & Sons 29,160 1,081
Time Warner 265,628 19,524
Times Mirror, Cl A 15,865 940
Tribune 26,460 2,305
--------
35,655
--------
PROFESSIONAL SERVICES--0.3%
Dun & Bradstreet* 36,832 1,305
EG&G 9,940 354
H&R Block 21,770 1,089
Ikon Office Solutions 32,930 494
IMS Health* 70,564 2,205
Paychex 54,650 1,742
Service International 60,944 1,173
--------
8,362
--------
RAILROADS--0.1%
Kansas City Southern Industries 24,400 1,557
--------
RECREATIONAL PRODUCTS & SERVICES--0.8%
Harrah's Entertainment* 28,185 620
Hasbro 43,767 1,223
Hilton Hotels 57,505 816
King World Productions* 15,824 551
Mattel 92,865 2,455
Walt Disney 458,601 14,131
--------
19,796
--------
- ---------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ---------------------------------------------------------------
RETAIL--6.7%
Albertson's 93,623 $ 4,827
Autozone* 33,400 1,006
Best Buy* 45,600 3,078
Circuit City Stores 22,400 2,083
Consolidated Stores* 24,424 659
Costco* 48,658 3,896
CVS 86,913 4,411
Darden Restaurants* 29,760 649
Dayton-Hudson 98,280 6,388
Dillards Incorporated, Cl A 23,820 837
Dollar General 49,268 1,429
Federated Department Stores* 46,700 2,472
Great Atlantic & Pacific Tea 8,565 290
Harcourt General 15,666 808
Home Depot 330,022 21,266
JC Penney 58,730 2,852
Kmart* 109,880 1,806
Kohls* 36,200 2,794
Kroger* 183,320 5,122
Longs Drug Stores* 8,690 300
Lowe's 82,788 4,693
May Department Stores 74,443 3,043
McDonald's 302,400 12,493
Nordstrom 31,660 1,061
Office Depot* 83,300 1,838
Pep Boys 11,650 252
Rite Aid 57,660 1,420
Sears Roebuck 84,825 3,780
Staples* 103,550 3,204
The Gap 191,430 9,643
The Limited 46,248 2,099
TJX 72,040 2,400
Toys "R" Us* 55,365 1,145
Tricon Global Restaurants* 33,998 1,840
Wal-Mart Stores 991,040 47,818
Walgreen 223,060 6,552
Wendy's International 27,775 786
Winn Dixie Stores 33,160 1,225
--------
172,265
--------
RUBBER & PLASTIC--0.0%
Sealed Air* 18,586 1,206
--------
SPECIALTY MACHINERY--0.3%
CBS 158,580 6,888
--------
- --------------------------------------------------------------------------------
81
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (CONTINUED)
SCHEDULE OF INVESTMENTS (UNAUDITED)
SEI INDEX FUNDS S&P 500 INDEX PORTFOLIO (CONCLUDED)
- ---------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ---------------------------------------------------------------
STEEL & STEEL WORKS--0.2%
Alcoa 81,866 $ 5,065
--------
TELEPHONES & TELECOMMUNICATION--2.1%
Centurytel 30,700 1,220
Frontier 38,200 2,254
MCI WorldCom* 414,407 35,665
Nextel Communications, Cl A* 65,900 3,307
Sprint (PCS Group)* 98,050 5,601
US West 112,116 6,587
--------
54,634
--------
TRANSPORTATION SERVICES--0.4%
Burlington Northern-Santa Fe 104,500 3,240
CSX 48,318 2,189
Norfolk Southern 84,500 2,546
Ryder System 15,930 414
Union Pacific 55,140 3,215
--------
11,604
--------
UTILITIES, ELECTRIC & GAS--2.1%
American Electric Power 42,625 1,601
Carolina Power & Light 33,700 1,443
Central & South West 47,400 1,108
Cinergy 35,292 1,129
Columbia Gas System 18,572 1,164
Consolidated Natural Gas 21,330 1,296
Dominion Resources 42,775 1,853
DTE Energy 32,335 1,293
Duke Power 80,706 4,388
Eastern Enterprises 4,891 194
Edison International 77,340 2,069
Enron 78,784 6,441
Entergy 54,920 1,716
FPL Group 40,328 2,203
General Public Utilities 28,000 1,181
Nicor 10,500 400
Northern States Power 34,020 823
Pacificorp 66,300 1,218
PECO Energy 42,675 1,787
Peoples Energy 7,940 299
PG&E 85,245 2,770
PP&L Resources 35,100 1,079
Public Service Enterprise 48,883 1,998
Sonat 24,530 813
Southern 155,426 4,119
Texas Utilities 62,935 2,596
UNICOM 48,395 1,866
Williams 96,290 4,098
--------
52,945
--------
- ---------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ---------------------------------------------------------------
WHOLESALE--0.4%
Cardinal Health 60,658 $ 3,890
McKesson HBOC 61,791 1,985
Safeway* 110,600 5,475
----------
11,350
----------
Total Common Stocks
(Cost $1,344,411) 2,501,098
----------
U.S. TREASURY OBLIGATION--0.1%
U.S. Treasury Bill (A)
4.65%, 10/14/99 3,500 3,453
----------
Total U.S. Treasury Obligation
(Cost $3,454) 3,453
----------
REPURCHASE AGREEMENT--0.9%
J.P. Morgan, 4.950%, dated
06/30/99, matures 07/01/99,
repurchase price $22,822,501
(collateralized by
GNMA Obligation, par value
$23,275,751) (B) $22,819 22,819
----------
Total Repurchase Agreement
(Cost $22,819) 22,819
----------
Total Investments--100.0%
(Cost $1,369,740) 2,527,370
----------
*NON-INCOME PRODUCING SECURITY
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
(B) TRI-PARTY REPURCHASE AGREEMENT.
CL -- CLASS
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
- --------------------------------------------------------------------------------
82
<PAGE>
- -------------------------------------------------------------- [LOGO OMITTED]
JUNE 30, 1999 (UNAUDITED)
STATEMENTS OF ASSETS AND LIABILITIES (000)
AS OF JUNE 30, 1999
<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 $481,001 and
$1,369,740 respectively) $463,003 $2,527,370
Accrued income 9,687 2,287
Investment Securities sold -- 13,783
Capital shares sold -- 221
Income and other receivables 35 755
----------------------------------------------------
Total assets 472,725 2,544,416
----------------------------------------------------
LIABILITIES:
Income distributions payable 3,541 --
Investment securities purchased 5,211 3,026
Accrued expenses 373 595
Capital shares redeemed -- 13
Other liabilities 63 184
----------------------------------------------------
Total liabilities 9,188 3,818
Total net assets 463,537 2,540,598
----------------------------------------------------
NET ASSETS:
Portfolio Shares of Class I (unlimited authorization --
no par value) based on 44,142,813 and 41,291,515
outstanding shares of beneficial interest, respectively 484,896 705,867
Portfolio Shares of Class A (unlimited authorization -- no par value) based
on 0 and 17,940,377 outstanding shares of beneficial
interest, respectively -- 543,686
Undistributed net investment income -- 7,153
Accumulated net realized gain (loss) on investments (3,361) 126,262
Net unrealized appreciation (depreciation) on investments (17,998) 1,157,630
----------------------------------------------------
Total Net Assets--100.0% $463,537 $2,540,598
====================================================
Net Asset Value, Offering and Redemption Price
Per Share -- Class I $ 10.50 $42.92
====================================================
Net Asset Value, Offering and Redemption Price
Per Share -- Class A $ -- $42.82
====================================================
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
- --------------------------------------------------------------------------------
83
<PAGE>
- --------------------------------------------------------------------------------
Notes
- --------------------------------------------------------------------------------
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