ANNUAL REPORT
To Shareholders
December 31, 1999
[GRAPHIC CLASPING HANDS OMITTED]
[PILLAR LOGO OMITTED]
The Pillar Funds
Your Investment Foundation
<PAGE>
TABLE OF CONTENTS
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LETTER TO SHAREHOLDERS ................................... 1
MANAGER'S DISCUSSION & ANALYSIS .......................... 3
STATEMENT OF NET ASSETS .................................. 22
STATEMENTS OF OPERATIONS .................................. 57
STATEMENTS OF CHANGES IN NET ASSETS ...................... 60
FINANCIAL HIGHLIGHTS ..................................... 66
NOTES TO FINANCIAL STATEMENTS ............................ 72
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS ................. 100
NOTICE TO SHAREHOLDERS ................................... 101
NOT
FDIC
INSURED
MAY LOSE VALUE
NO BANK GUARANTEE
<PAGE>
LETTER TO SHAREHOLDERS [PILLAR LOGO OMITTED]
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DECEMBER 31,199
[JERVEY PHOTO OMITTED]
HILTON M. JERVEY, CFA
CHIEF INVESTMENT OFFICER
SUMMIT BANK
[NAGLE PHOTO OMITTED]
MARK E.NAGLE
PRESIDENT AND CEO
THE PILLAR FUNDS
A YEAR OF RECORD-BREAKING EQUITY RETURNS
Perhaps the best word to describe 1999's equity investment performance
is "unbelievable." All of the major index averages reached new highs. The S&P
500 Composite Index reported double digit returns for a record-breaking fifth
year in row!
SOME OF THE FACTORS BEHIND THE NUMBERS
But, despite the terrific equity numbers, we saw a few disquieting factors
which we are monitoring closely. These include:
[BULLET] the overwhelming influence that the broadly-defined technology
sector has had on the gains we saw in both 1998 and 1999;
[BULLET] the fact that the median stock in the S&P 500 Index in both of the
last two years has declined, highlighting the narrowness of the
stock market's advances; and
[BULLET] the craze to invest in practically any company with a connection
to the Internet.
In addition, the high equity returns witnessed were generated during a rise
in interest rates. The higher interest rates led to poor bond performance. In
1999, the ten-year government bond had a total return of minus 7%, composed of
5% from interest and a 12% decline in bond price.
THE LONGEST PERIOD OF ECONOMIC
EXPANSION IN HISTORY
On the positive side, in February 2000 the current period of economic
expansion will become the longest in our history. And, we are pleased to report
that there are no signs that the economy will falter. Consumer confidence is at
record levels stimulated by rising employment, higher incomes, and modest
inflation. The only reason that employment gains are slowing is because there
aren't enough potential workers to keep up with demand. But, as both research
and development spending and capital spending plans are forecasted to again grow
significantly in 2000, productivity should remain at its current pace. Markets
for our exports should also improve as growth in much of the rest of the world
is expected to accelerate this year. However, despite this good news, the
critical element in forecasting the year 2000 is really how the Federal Reserve
Board will react to economic events as they unfold in terms of interest rates.
THE FEDERAL RESERVE BOARD'S DILEMMA
Given the current factors, the Federal Reserve Board members must be in a
quandary about the future of interest rates. Every month they see more evidence
supporting the claim that today's United States economy is capable of growing at
high real rates (compared with several previous decades) while simultaneously
sustaining historically lower rates of inflation.
They also see the abundantly positive impact of these conditions on the
labor force. One of the more intriguing sets of data in recent years shows the
labor force, defined as the pool of people actively looking for a job,
continuing to expand well beyond what demographics would suggest. In other
words, there are a lot of people changing their mind and their attitude about
whether our society might be able to productively employ them.
SUPPLY-SIDE VERSUS DEMAND-DRIVEN
ECONOMICS
All of these very positive signals go against the grain of the academic
training of the Federal Reserve staff and many of its Board members. For they
were taught that as resources become more intensively utilized, the general
price level will begin to rise. They believe that the proper response to these
conditions is to prevent any acceleration in prices by raising interest rates.
Doing so will reduce the pace of demand and bring demand back into balance with
supply.
(CONTINUED NEXT PAGE)
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1
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LETTER TO SHAREHOLDERS
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(CONTINUED)
In contrast, "supply-side" economics would argue that as resources are used
up, those responsible for creating supplies will respond to these conditions by
expanding their capacity to produce. Such action would negate any unwanted
inflationary consequences. Any observer of the United States economy over the
last decade would have to agree that the "supply-side" model comes much closer
to describing actual events than does the "demand-driven" view.
However, the Federal Reserve Board's response to current conditions has
satisfied neither camp. Those who subscribe to a demand-driven view of the world
believe that the Federal Reserve Board's policy regarding interest rates is
still too lenient to prevent future inflation. Supply-siders argue that the
recent moves in Federal Reserve Board's policy to raise interest rates are
unnecessary because supply is responding so vigorously to demand that there is
no danger of inflation and the very positive fallout from higher growth must be
preserved.
PILLAR'S VIEW ON INTEREST RATES
How do we think the Federal Reserve Board will respond to economic
conditions in 2000? Although we think that given current conditions interest
rate increases are unnecessary, we believe that we will see additional interest
rate increases throughout the year. Even though we expect that inflation can
remain low on its own, we expect that the Federal Reserve Board members will
probably see a need for interest rate increases to prevent a rise in inflation.
BOND MARKET EXPECTATIONS
With our current strong economy and the property and stock markets
reflecting these positive conditions, we may find that tighter monetary policy
may have a muted initial impact on real growth. This is particularly true as
much of the rest of the industrialized world's growth is picking up. Such
conditions suggest that any serious attempt to slow demand will require higher
interest rates than we would expect. If this is indeed how Federal Reserve
Board's policy unfolds, this year may again be uncomfortable for bond market
participants as long rates of 7% and more would not be out of the question.
PILLAR EQUITY VIEW
Corporate profit growth in 2000 is expected to be slower than in 1999. Cost
pressures from increases in raw material prices that cannot be fully passed on
to the end user coupled with the expected monetary policy will offset continued
strong demand conditions. Our expectation is for a high, single-figure gain for
the reported return of the S&P 500 Index.
THE PILLAR INVESTMENT STRATEGY
We believe that individual risk assessment is key to developing a
successful investment strategy for the year 2000 and beyond. Even though the
last two years have produced superior returns, we know that we must continue to
work hard to balance risk and return.
We remain committed to our stand that diversification among a variety of
investment styles across the risk spectrum serves our investors best. We also
have a strong conviction that further diversification through exposure to
companies based outside the United States should be a part of most portfolios.
This is especially true as foreign businesses accelerate their convergence to
United States management practices. To maximize the benefits of diversification
we are, as always, steadfastly committed to maintaining the disciplines
established for each of our Pillar investment styles. Through true
diversification we can help you tailor your risk profile to your portfolio
circumstances. We want to help you successfully work toward, and reach, your
long term investment goals.
Sincerely,
/s/ Signature omitted
Hilton M. Jervey
Chief Investment Officer
Summit Bank
/s/ Signature omitted
Mark E. Nagle
President and CEO
The Pillar Funds
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2
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MANAGER'S DISCUSSION & ANALYSIS [PILLAR LOGO OMITTED]
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MONEY MARKET FUNDS DECEMBER 31, 1999
[Bullet] U.S. Treasury Securities Money Market Fund
[Bullet] Prime Obligation Money Market Fund
[Bullet] U.S. Treasury Securities Plus Money Market Fund
[Bullet] Institutional Select Money Market Fund
[TOMO PHOTO OMITTED]
JUDITH C. TOMO
VICE PRESIDENT/PORTFOLIO MANAGER
Judith Tomo began her investment
career in 1984. Ms. Tomo is currently
responsible for the management of all
money market portfolios holding taxable
securities as well as many short-term
investment portfolios. She joined Summit
Bank in 1995 from Signet Bank, where
Ms. Tomo managed short-term portfolios
and traded money market instruments.
Ms. Tomo received her bachelor of arts degree in business
administration from Rutgers University.
The Pillar Money Market Funds experienced tremendous growth in 1999. During
most of the year, the average weighted maturity of each of the Funds was either
neutral or shorter than its respective index. This strategy allowed the Funds to
take advantage of increasing interest rates.
Three interest rate increases totaling 75 basis points helped boost yields
during the second half of the year. Y2K uncertainties, normal year-end
activities, and a continued belief in higher interest rates for 2000 led yields
even higher during the month of December.
In 2000, we expect the Federal Reserve Bank to continue to raise interest
rates. The Funds are structured to take advantage of any further rise in
interest rates.
[Bullet] TAX-EXEMPT MONEY MARKET FUND
[PALMER PHOTO OMITTED]
CHARLENE PALMER
VICE PRESIDENT/PORTFOLIO MANAGER
Charlene Palmer began her investment
career in 1977 and has been with
summit bank since 1981. Ms. Palmer
has the additional responsibility of
managing the New Jersey municipal
securities fund in the Pillar Funds
mutual fund complex. She has recently
taken on the management of the
Pennsylvania Municipal Securities Fund.
Ms. Palmer received her bachelor's degree from Exeter University,
England, and has participated in post-graduate courses at New York
University and the New York Institute of Finance.
Throughout most of 1999, the Fund maintained a moderately longer average
maturity than the IBC Tax Free Money Market Funds Index. This enabled us to
produce a slightly higher current return. As of year end, one-year return for
the Pillar Tax-Exempt Money Market Fund's Class I Shares was 2.70% versus 2.69%
for the IBC Tax Free Money Market Funds Index.
As we entered 1999, investor demand for short-term investments exceeded
supply. This caused a decline in yields on select 30-day investment vehicles
from 2.85% to 2.70%. But, as the year progressed, demand wavered and yields
began to rise.
In December prices came down as Y2K fears intensified. Given a strong
economy, yields rose approximately 25 basis points for those investments having
maturities of 6 to 18 months. As cash outflows climbed, giving rise to liquidity
concerns, yields on daily variable rate issues climbed to 5% plus.
Going forward, it is likely that the Federal Reserve Bank will try to slow
economic growth by raising interest rates. We intend to position the Fund
accordingly.
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3
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MANAGER'S DISCUSSION & ANALYSIS
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FIXED INCOME FUNDS
[Bullet] FIXED INCOME FUNDS
[MARKOVICH PHOTO OMITTED]
JOSEPH MARKOVICH
SENIOR VICE PRESIDENT/REGIONAL
MANAGER, CENTRAL REGION
Joseph Markovich has been with Summit
Bank for more than a decade.
Mr. Markovich received both his
bachelor of science degree in business
administration and an MBA in finance from
Seton Hall University. He is affiliated
with the New York Society of Security
Analysts and the Association For Investment
Management and Research.
Exceptionally challenging is probably the most appropriate way of
describing the bond market over the course of 1999. A variety of circumstances
and events converged to make this past year the second worst of the decade in
terms of fixed income investment performance. As is typically the case, the
seeds of the 1999 bear market were sown prior to the beginning of the year. The
second half of 1998 was dominated by a potentially devastating worldwide
financial crisis. Asia was in a severe recession, Russia defaulted on its
government debt, South American economies were extremely unstable and hedge
funds were facing a liquidity squeeze. This resulted in a so-called "flight to
quality", a 75 basis point reduction in the Fed Funds rate and plummeting
commodity prices, all of which were extremely positive for inflation, interest
rates and bond prices. By year-end 1998, the thirty year Treasury Bond was
trading at the 5.1% yield level.
Heading into 1999, the prevailing thought was that the recovery from these
economic ills would be quite gradual. This led us to anticipate an environment
where yields would be flat or down from the then current levels. Surprisingly,
the various foreign economies recovered or stabilized at a much faster pace and,
together with very strong domestic growth, put upward pressure on commodity
prices. This heightened the Federal Reserve Bank's inflationary fears and they
raised the Fed Funds rate by 75 basis points over the course of the year. All of
these factors were very negative for bonds with the yield on the long Treasury
rising to 6.5% by year end, equivalent to a decline of 15% in price for the 1999
calendar year. Shorter maturities were impacted less but still experienced price
erosion and, in most cases, a negative total return. Another factor which added
to the difficulties of the past year was a somewhat
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4
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[PILLAR LOGO OMITTED]
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DECEMBER 31,1999
unexpected spike in the spreads (yield premium relative to Treasuries) of
corporate, agency and mortgage issues which put additional downward pressure on
these bonds. For example, the spread on some Government agency issues more than
doubled from normal levels by late summer before moderating in the fourth
quarter.
The performance of the Pillar Fixed Income Fund Institutional shares
reflected the above environment, finishing the year with a negative 1.71% total
return. These results fell behind the return of Lehman Intermediate Government /
Corporate Index of 0.39%, but were ahead of the Lipper A Rated Fixed Income Fund
average which fell 2%. Most of the damage was done in the first half of the year
when the Fund was positioned with a longer average life than the index, in
anticipation of slower worldwide economic growth and moderate inflation. As the
year progressed, it became obvious that the economy would continue its fast
growth pace. We also felt that the Federal Reserve Bank would be focused on the
low level of unemployment as a precursor of inflation rather than actual
inflation trends, which remained tame by historical measures. The average life
of the Fund was then reduced from 6.5 years to the current 4.8 years. Since
preservation of capital is a primary objective of the Fund, its credit quality
remains high with an AA average quality rating. The Fund also remains highly
diversified in terms of sector exposure which enhances its defensive
characteristics with respect to credit exposure, spread volatility and income
production. Overall, we are confident that the Fixed Income Fund is well
positioned as we begin the year 2000. A more defensive structure should help
insulate the Fund against potential Federal Reserve Bank rate increases while it
continues to offer attractive income for shareholders.
[GRAPH OMITTED]
[PLOT POINTS FOLLOW]
COMPARISON OF CHANGE IN VALUE
OF A $10,000 INVESTMENT
PILLAR PILLAR LEHMAN INTERMEDIATE
FIXED INCOME FUND FIXED INCOME FUND GOVERNMENT/CORPORATE
(CLASS I) (CLASS A) INDEX
4/30/92 10,000 9,575 10,000
12/92 10,867 10,390 10,721
12/93 12,069 11,509 11,663
12/94 11,386 10,830 11,438
12/95 13,408 12,710 13,189
12/96 13,802 13,050 13,724
12/97 14,876 14,017 14,804
12/98 16,036 15,074 16,051
12/99 15,762 14,777 16,113
INVESTMENT GROWTH ANALYSIS
------------------------------------------------------------------------
Average Annual Total Return1
------------------------------------------------------------------------
1 Year 3 Year 5 Year Since Inception
------------------------------------------------------------------------
CLASS I -1.71% 4.52% 6.72% 6.04%
------------------------------------------------------------------------
CLASS A -1.97% 4.23% 6.41% 5.76%
------------------------------------------------------------------------
CLASS A*
(with load) -6.17% 2.74% 5.49% 5.17%
------------------------------------------------------------------------
CLASS B -2.57% N/A N/A 3.79%
------------------------------------------------------------------------
CLASS B**
(with load) -7.70% N/A N/A 2.38%
------------------------------------------------------------------------
* Return figures reflect the impact of the maximum 4.25% sales charge.
**Return figures reflect the impact of paying the maximum contingent
deferred sales charge (CDSC) as disclosed in the prospectus.
1 For the period ended December 31, 1999. Past performance of the period is
not predictive of future performance. The investment return and principal
value of an investment will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than their original cost. Fixed
Income Fund Class I and Class A shares commenced operations on April 1,
1992 and Class B shares commenced operations on May 16, 1997.
5
<PAGE>
MANAGER'S DISCUSSION & ANALYSIS
FIXED INCOME FUNDS (CONTINUED)
HIGH YIELD BOND FUND
The high yield market significantly outperformed the higher quality segment
of the fixed income market in 1999. In general, spreads narrowed as investors'
confidence in the soundness of economic fundamentals improved. The Pillar High
Yield Bond Fund benefited from these developments, generating a positive total
return (before consideration of any sales loads) for the year as compared with
negative returns for most fixed income portfolios. The manager's choice of
holdings also provided a positive component to return. The gaming and cable
sectors were among those contributing favorably to the Fund's results.
COMPARISON OF CHANGE IN VALUE
OF A $10,000 INVESTMENT
[GRAPH OMITTED]
[PLOT POINTS FOLLOW]
<TABLE>
<CAPTION>
Pillar High Yield Pillar High Yield Pillar High Yield C.S. First Boston
Bond Fund Bond Fund Bond Fund High Yield
(Synthetic Class I) (Synthetic Class A) (Synthetic Class B) Bond Index
<S> <C> <C> <C> <C>
1/31/95 10,000 9,575 10,000 10,000
12/95 11,577 11,085 11,577 11,617
12/96 13,225 12,663 13,225 13,059
12/97 15,039 14,399 15,039 14,709
12/98 15,093 14,434 15,051 14,794
12/99 15,472 14,762 15,068 15,284
</TABLE>
<TABLE>
<CAPTION>
INVESTMENT GROWTH ANALYSIS
- ---------------------------------------------------------------------------------------------------
Average Annual Total Return1
- ---------------------------------------------------------------------------------------------------
1 Year 3 Year Since Inception
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CLASS I 2.51% 5.37% 9.15%
- ---------------------------------------------------------------------------------------------------
CLASS A 2.27% 5.24% 9.07%
- ---------------------------------------------------------------------------------------------------
CLASS A* (with load) -2.05% 3.74% 8.12%
- ---------------------------------------------------------------------------------------------------
CLASS B 1.44% 4.90% 8.86%
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CLASS B** (with load) -3.76% 3.80% 8.57%
- ---------------------------------------------------------------------------------------------------
* Return figures reflect the impact of the maximum 4.25% sales charge.
** Return figures reflect the impact of paying the maximum contingent
deferred sales charge (CDSC) as disclosed in the prospectus.
1 For the period ended December 31, 1999. Past performance of the period is
not predictive of future performance. The investment return and principal
value of an investment will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than their original cost. High Yield
Bond Fund Class I, Class A and Class B shares commenced operations
on January 11, 1995. The information set forth represents
portfolio information relating to the SEI Institutional Managed Trust
(SIMT) High Yield Bond Portfolio Class A, which began operation on
January 11,1995. The Pillar High Yield Bond Fund, a new series of
Pillar Funds that began investment operations on September 10, 1998 for
Class A and Class B and on September 22, 1998 for Class I, invests
substantially all its assets in the SIMT High Yield Bond Portfolio,
and can be expected to have a performance record that closely resembles
that of the SIMT High Yield Bond Portfolio. The performance information
contained herein has been adjusted to reflect the actual fees and
expenses of the Pillar High Yield Bond Fund, whose fees and expenses are
higher than those of the SIMT High Yield Bond Portfolio.This is not an
advertisement, an offer to sell, nor a solicitation of offers to
purchase the SIMT High Yield Bond Portfolio.
</TABLE>
6
<PAGE>
(Pillar Logo)
[GRAPHIC OMITTED]
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December 31,1999
FIXED INCOME FUNDS (CONTINUED)
[Bullet] New Jersey Municipal Securities Fund
[PHOTO OMITTED]
CHARLENE PALMER
VICE PRESIDENT/PORTFOLIO MANAGER
Charlene Palmer began her investment career in 1977 and has been with Summit
Bank since 1981. Ms. Palmer has the additional responsibility of managing the
Tax-Exempt Money Market Fund in The Pillar Funds mutual fund complex. She has
recently taken on the management of the Pennsylvania Municipal Securities Fund.
Ms. Palmer received her bachelor's degree from Exeter University, England, and
has participated in post-graduate courses at New York University and the New
York Institute of Finance.
Specialty state status, the desirability of a state and its issuers, not
only to residents, but to general market participants, coupled with the high
quality of the overall portfolio, hampered the Fund's performance with respect
to the Lehman Brothers 5-year General Obligation Bond Index in 1999. However,
the Fund ended the year in the top 20% (4 of 59) of the New Jersey Municipal
Debt Funds Average monitored by Lipper Analytics.
The year saw increased volatility in bond prices against a backdrop of
strong economic growth and low unemployment. Prices declined 10 out of 12 months
and as of year end, yields on AAA rated issues maturing in 10, 15, and 20 years
were 5.10%, 5.55%, and 5.85%, respectively.
Individuals remained the primary investors in municipal bonds followed by
non-financial entities. While yields on taxable issues rose more dramatically,
municipals continued to trade at historically high percentages. New Jersey
continued to enjoy "super specialty" state status. However, its health care
sector suffered to a greater extent than did the general market. This was due to
changes in state regulations affecting hospital reimbursement programs blocking
the build up of healthy cash positions necessary in a competitive environment.
The New Jersey Transit Corp, a new issuer, received a warm reception by
investors anxious for a "new" name to add to portfolios.
New issuance tumbled 21.1% in 1999 from 1998. The drop in new issuance was
almost entirely attributable to a decline in refunding activity. The trend was
particularly notable in December as underwriters and issuers rearranged their
calendars because of Y2K-related concerns.
We anticipate new issue volume to be flat for 2000. Overall, we expect a
difficult environment for bond investors over the next several months given the
Federal Open Market Committee's bias toward raising interest rates. As a result,
we have taken a more defensive posture in the fund.
[GRAPH OMITTED]
[PLOT POINTS FOLLOW]
COMPARISON OF CHANGE IN VALUE
OF A $10,000 INVESTMENT
<TABLE>
<CAPTION>
Pillar New Jersey Pillar New Jersey Municipal Lehman 7-Year Lehman 5-Year General
Municipal Securities Securities Fund Municipal Bond Index Obligation Bond Index
Fund (Class I) (Class A)
<S> <C> <C> <C> <C>
5/31/92 10,000 9,700 10,000 10,000
12/92 10,505 10,176 10,610 10,557
12/93 11,605 11,203 11,716 11,460
12/94 11,127 10,716 11,392 11,302
12/95 12,637 12,141 13,006 12,615
12/96 13,069 12,515 13,576 13,198
12/97 13,953 13,305 14,620 14,053
12/98 14,621 13,895 15,530 14,875
12/99 14,387 13,635 15,509 14,982
INVESTMENT GROWTH ANALYSIS
- ----------------------------------------------------------------------------------------------------------------------------------
Average Annual Total Return1
- ----------------------------------------------------------------------------------------------------------------------------------
1 Year 3 Year 5 Year Since Inception
- ----------------------------------------------------------------------------------------------------------------------------------
CLASS I -1.60% 3.26% 5.28% 4.97%
- ----------------------------------------------------------------------------------------------------------------------------------
CLASS A -1.87% 2.90% 4.94% 4.61%
- ----------------------------------------------------------------------------------------------------------------------------------
CLASS A*
(with load) -4.84% 1.86% 4.29% 4.19%
- ----------------------------------------------------------------------------------------------------------------------------------
*Return figures reflect the impact of the maximum 3.00% sales charge.
1For the period ended December 31, 1999. Past performance of the period is
not predictive of future performance. The investment return and principal
value of an investment will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than their original cost. Investment
performance and resulting ranking reflect voluntary fee waivers in
effect. In the absence of such fee waivers, total return would be
reduced. New Jersey Municipal Securities Fund Class I and Class A shares
commenced operations on May 4, 1992.
</TABLE>
7
<PAGE>
MANAGER'S DISCUSSION & ANALYSIS
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FIXED INCOME FUNDS (CONTINUED)
[Bullet] INTERMEDIATE-TERM GOVERNMENT SECURITIES FUND
[PHOTO OMITTED]
SARAH KRIEGER
VICE PRESIDENT/PORTFOLIO MANAGER
Sarah Krieger began her career in Trust Investments in 1983. Ms. Krieger
joined Summit Bank in 1997 after an extensive background in fixed income trading
and sales.
Ms. Krieger earned a bachelor of arts degree from Bucknell University
and an MBA in finance from Fordham University. She is affiliated with the New
York Society of Security Analysts and the Association for Investment Management
and Research.
For the year, the Intermediate-Term Government Securities Fund was invested
to provide current income while preserving principal and maintaining a high
degree of liquidity. The Fund's Class I Shares had a negative total return of
.83% and a duration of 3.3 years for 1999.
Throughout 1999, the U.S. economy remained strong with controlled inflation
causing uncertainty for the fixed-income market. The first six months ended with
the Federal Reserve Open Market Committee (FOMC) increasing the Federal Funds
rate by 25 basis points from 4.75% to 5.00%.
In July and August, volatility dominated the bond market as yields rose
prior to the release of inflation statistics and then declined as the statistics
failed to reveal any serious inflation threats. At the end of August, the FOMC
raised the Fed Funds rate another 25 basis points to 5.25%. For the remainder
of 1999 the bond market continued to be under pressure as rates were expected
to rise further. In October, the FOMC made their final increase for the year
of 25 basis points, raising the Fed Funds rate to 5.25%. In total, the 75
basis point increase in the Fed Funds rate reversed the 1998 reductions.
Looking ahead, we anticipate slightly higher rates due to continued strong
economic growth and low unemployment as the FOMC continues to believe it must
act to keep inflation in check. The FOMC will likely make a move in the first
half of the year. The Fund will likely continue to keep a short-to-intermediate
duration for the immediate future and seek higher current income.
[GRAPH OMITTED]
[PLOT POINTS FOLLOW]
<TABLE>
<CAPTION>
COMPARISON OF CHANGE IN VALUE
OF A $10,000 INVESTMENT
Pillar Intermediate-Term Pillar Intermediate-Term Lehman Intermediate
Government Securities Government Securities Government/Corporate
(Class I) (Class A) Bond Index
<S> <C> <C> <C>
4/30/92 10,000 9,600 10,000
12/92 10,540 10,112 10,721
12/93 11,417 10,915 11,663
12/94 10,863 10,360 11,438
12/95 12,493 11,884 13,189
12/96 12,900 12,241 13,724
12/97 13,798 13,049 14,804
12/98 14,708 13,893 16,051
12/99 14,586 13,729 16,113
INVESTMENT GROWTH ANALYSIS
----------------------------------------------------------------------------------------------------------------------------
Average Annual Total Return1
----------------------------------------------------------------------------------------------------------------------------
1 Year 3 Year 5 Year Since Inception
----------------------------------------------------------------------------------------------------------------------------
CLASS I -0.83% 4.18% 6.07% 5.06%
----------------------------------------------------------------------------------------------------------------------------
CLASS A -1.18% 3.90% 5.79% 4.79%
----------------------------------------------------------------------------------------------------------------------------
CLASS A*
(with load) -5.11% 2.50% 4.92% 4.24%
----------------------------------------------------------------------------------------------------------------------------
*Return figures reflect the impact of the maximum 4.00% sales charge.
1For the period ended December 31, 1999. Past performance of the period is
not predictive of future performance. The investment return and principal
value of an investment will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than their original cost.
Intermediate-Term Government Securities Fund Class I and Class A shares
commenced operations on April 2, 1992.
</TABLE>
8s
<PAGE>
(Pillar Logo omitted)
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December 31,1999
[Bullet] PENNSYLVANIA MUNICIPAL SECURITIES FUND
[PHOTO OMITTED]
CHARLENE PALMER
VICE PRESIDENT/PORTFOLIO MANAGER
Charlene Palmer began her investment career in 1977 and has been with Summit
Bank since 1981. Ms. Palmer has the additional responsibility of managing both
the Tax-Exempt Money Market and New Jersey Municipal Securities Funds in The
Pillar Funds mutual fund complex.
Ms. Palmer received her bachelor's degree from Exeter University, England, and
has participated in post-graduate courses at New York University and the New
York Institute of Finance.
Rising interest rates throughout most of 1999 caused difficulties for
municipal issues. Increased volatility provided several buying opportunities for
long-term investors particularly in light of favorable inflation statistics.
However, the Fund's longer average weighted maturity structure hindered its
performance.
Pennsylvania saw yields on its health care issues rise as fundamentals for
this sector deteriorated. We expect interest rates to rise over the near term.
As a result, we have begun to shorten maturities and increase cash positions in
the Fund.
COMPARISON OF CHANGE IN VALUE
OF A $10,000 INVESTMENT
[GRAPH OMITTED]
[PLOT POINTS FOLLOW]
<TABLE>
<CAPTION>
Pillar Pennsylvania Municipal Pillar Pennsylvania Municipal Lehman 5-Year Municipal
Securities Fund (Class I) Securities Fund (Class A) Bond Index
<S> <C> <C> <C>
5/31/93 10,000 9,700 10,000
12/93 10,417 10,101 10,501
12/94 10,149 9,815 10,338
12/95 11,319 10,910 11,541
12/96 11,759 11,318 12,030
12/97 12,603 12,068 12,798
12/98 13,213 12,621 13,547
12/99 12,282 11,697 13,647
INVESTMENT GROWTH ANALYSIS
----------------------------------------------------------------------------------------------------------------------------
Average Annual Total Return1
----------------------------------------------------------------------------------------------------------------------------
1 Year 3 Year 5 Year Since Inception
----------------------------------------------------------------------------------------------------------------------------
CLASS I -7.05% 1.46% 3.89% 3.10%
----------------------------------------------------------------------------------------------------------------------------
CLASS A -7.32% 1.11% 3.57% 2.83%
----------------------------------------------------------------------------------------------------------------------------
CLASS A*
(with load) -10.13% 0.10% 2.93% 2.36%
- ----------------------------------------------------------------------------------------------------------------------------
*Return figures reflect the impact of the maximum 3.00% sales charge.
1For the period ended December 31, 1999. Past performance of the period is
not predictive of future performance. The investment return and principal
value of an investment will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than their original cost.
Pennsylvania Municipal Securities Fund Class I and Class A shares
commenced operations on May 3, 1993 and May 13, 1993, respectively.
</TABLE>
9
<PAGE>
MANAGER'S DISCUSSION & ANALYSIS
- --------------------------------------------------------------------------------
EQUITY FUNDS
[Bullet] EQUITY GROWTH FUND
[PHOTO OMITTED]
GLEN C. CORBITT
VICE PRESIDENT/PORTFOLIO MANAGER
Glen Corbitt has been with Summit Bank since 1995 and with the Investment
Management Division for the past three years. Prior to joining Summit, Mr.
Corbitt served as an accountant for Rockefeller Financial Services.
Mr. Corbitt received a bachelor of arts degree from Providence College and
an MBA from New York University. He spent five years as an officer in the United
States Army. He is a member of the New York Society of Security Analysts
and is currently a Chartered Financial Analyst Level 3 candidate.
[PHOTO OMITTED]
GREGORY S. HUNING,
CHARTERED FINANCIAL ANALYST
SENIOR VICE PRESIDENT/REGIONAL MANAGER, COASTAL AND
SOUTHERN REGIONS
Greg Huning has been with Summit Bank since 1995. He began his investment career
in 1970 serving in several analytical and portfolio management positions,
including senior equity portfolio manager for the Robert Wood Johnson Foundation
prior to joining Summit.
Mr. Huning earned a bachelor of arts degree from Hiram College, a master of
science in business administration from Bucknell University, and earned
his certification as a Chartered Financial Analyst in 1976. He is a member
of the New York Society of Security Analysts and the Association for
Investment Management and Research.
For the full year 1999, the Pillar Growth Fund's Class I Shares rose an
impressive 49.62%, compared with the S&P 500 Composite Index which rose 21.04%
and the Lipper Large Cap Growth Index which was up 34.82%. During the fourth
quarter, the Fund produced a gain of 34.73% compared with 14.93% for the S&P 500
Composite Index and 25.54% for the Lipper Large Cap Growth Index.
Investments in the technology, telecommunications, internet, and
biotechnology sectors produced strong results for the Fund. These sectors
generated high levels of revenue growth, often as a result of innovative new
product or service introductions. Due to careful stock selection and industry
emphasis, the Fund has a powerful growth profile, particularly relative to the
benchmark S&P 500 Composite Index.
Furthermore, the Fund reflects its large capitalization character with
average company annual revenues of $19.4 billion and an average market
capitalization of $151 billion. These characteristics reflect the Fund's
objective of seeking long-term growth of capital through investment in
well-established companies with above average long-term growth potential.
Typically, these companies are among the leaders in their respective market
niche and possess both experienced management and strong balance sheets.
During 1999, the economy grew at an above average non-inflationary pace.
With unemployment low, the Federal Reserve Bank felt it necessary to raise
interest rates in an effort to preempt both inflation
10
<PAGE>
(Pillar Logo omitted)
- --------------------------------------------------------------------------------
DECEMBER 31, 1999
and excessive speculation in the financial markets. Many sectors of the
stock market have experienced poor stock performance attributable to investor
concern about the potential revenue and earnings slowdowns which could result
from Federal Reserve Bank tightening of monetary policy and interest rate
increases. Those companies and sectors which over the course of the year prove
to be the least affected by these macro policies, as well as potential
legislative road blocks, will likely prove to be the superior stock market
performers.
As we enter 2000, many economic and financial market forecasters, including
our own organization, anticipate several more increases in interest rates in an
effort to slow economic activity to a more sustainable pace. Our research
efforts are focused on a stock by stock basis seeking to uncover those companies
which possess solid business fundamentals such as new product introductions,
unique manufacturing capabilities, or innovative distribution techniques that
offer the potential for growth in spite of such macro forces.
In addition, our analysts and portfolio managers thoroughly evaluate both
the absolute and relative valuation attributes of each Fund holding, as well as
potential additions. Through this disciplined process we strive to sustain both
the characteristics of the Fund and its return potential.
COMPARISON OF CHANGE IN VALUE
OF A $10,000 INVESTMENT
[GRAPH OMITTED]
[PLOT POINTS FOLLOW]
<TABLE>
<CAPTION>
Pillar Equity Growth Fund Pillar Equity Growth Fund S&P 500 Composite Index
(Class I) (Class A)
<S> <C> <C> <C>
1/97 10,000 9,450 10,000
12/97 11,290 10,664 12,550
12/98 14,882 13,397 16,139
12/99 22,266 20,782 19,535
INVESTMENT GROWTH ANALYSIS
- -------------------------------------------------------------------------------
Average Annual Total Return1
- -------------------------------------------------------------------------------
1 Year Since Inception
- -------------------------------------------------------------------------------
CLASS I 49.62% 31.59%
- -------------------------------------------------------------------------------
CLASS A 49.12% 31.05%
- -------------------------------------------------------------------------------
CLASS A* (with load) 40.92% 28.54%
- -------------------------------------------------------------------------------
CLASS B 47.97% 32.47%
- -------------------------------------------------------------------------------
CLASS B** (with load) 42.47% 31.49%
- -------------------------------------------------------------------------------
* Return figures reflect the impact of the maximum 5.50% sales charge.
**Return figures reflect the impact of paying the maximum contingent
deferred sales charge (CDSC) as disclosed in the prospectus.
1For the period ended December 31, 1999. Past performance of the period is
not predictive of future performance. The investment return and principal
value of an investment will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than their original cost. Equity
Growth Fund Class I and Class A shares commenced operations on February
3, 1997 and Class B shares commenced operations on May 21, 1997.
</TABLE>
11
<PAGE>
MANAGER'S DISCUSSION & ANALYSIS
- -------------------------------------------------------------------------------
EQUITY FUNDS (CONTINUED)
[Bullet] EQUITY VALUE FUND
[PHOTO OMITTED]
FERNANDO GARIP
SENIOR VICE PRESIDENT/REGIONAL
MANAGER, NORTHERN REGION
Fernando Garip has been
with Summit Bank since 1982.
Mr. Garip earned a bachelor of arts degree from Villanova University and pursued
post graduate courses sponsored by the Financial Analysts Federation and the New
York Institute of Finance. He is a member of the New York Society of Security
Analysts and the Association for Investment Management and Research.
Shareholders in the Pillar Equity Value Fund's Class I Shares realized
another double digit increase in 1999 with a total return of 14.12%. While this
was below the various benchmarks, including the S&P 500 Composite Index, the
return was achieved without compromising the Fund's long-term strategy and
disposition regarding diversification and reasonable valuation. In fact, pure
value funds on average returned roughly 7.5% during 1999 reflecting the poor
performance of the broader market and relative underperformance of major market
sectors such as financial services and pharmaceuticals.
Overall, the final year of the century saw the equity markets reach new
highs as measured by all of the major indexes. The popular Dow Jones Industrial
Average rose about 25% and the broader S&P 500 Composite Index increased about
21%. The returns reflect changes in the compositions of both indexes which now
contain more growth-oriented companies. (Roughly 30% of the S&P 500 Index is now
comprised of technology companies, up from about 20% at the beginning of 1999).
However, the most spectacular returns were reported by the NASDAQ Index,
which posted a history-making gain of about 85% for 1999. This marked the
highest one-year return ever for any U.S. market. Unfortunately, virtually all
of the advance in both the S&P 500 Composite Index and the NASDAQ was the result
of just a handful of technology companies, many of which closed the year trading
at what may be unsustainably high earnings multiples. Market width became
increasingly narrow
12
<PAGE>
(Pillar Logo omitted)
- --------------------------------------------------------------------------------
December 31,1999
with the advance, much of which occurred during the fourth quarter. In fact,
about 15% of the S&P 500 Composite Index's 21% return for 1999 occurred during
the final three months of the year!
On the economic front, 1999 saw the U.S. economy grow its GDP at roughly 5%
for the year, much faster than many had predicted. The year also saw a
significant rebound in foreign stock markets, including the major markets in
Europe and Japan, following rosier outlooks for those economies. As a result,
while domestic inflation remained tame, interest rates in the U.S. rose to
levels not seen in over two years with the benchmark 30-year treasury bond
yielding about 6.5% on December 31st and Fed controlled short rates rising .75%
after three rate increases by the Central Bank.
Looking ahead, indications are that the Federal Reserve Bank will continue
to increase the level of short-term interest rates later this year until it is
satisfied that the broader economy is slowing to what it believes is a more
sustainable, noninflationary pace. We believe that shareholders of the Pillar
Equity Value Fund can continue to feel confident that they are invested in a
solid portfolio comprised of leading companies, including technology issues,
with good earnings prospects at reasonable prices. As overall market valuations
have continued to rise coincidentally with rising interest rates, risk levels
are increasing, especially where fundamentals are weakest. Thus, we feel
participants will be well served during calendar 2000 by keeping their assets
invested where history suggests they will receive the highest risk-adjusted,
long-term rate of return.
COMPARISON OF CHANGE IN VALUE
OF A $10,000 INVESTMENT
[GRAPH OMITTED]
[PLOT POINTS FOLLOW]
<TABLE>
<CAPTION>
Pillar Equity Value Fund (Class I) Pillar Equity Value Fund (Class A) S&P 500 Composite Index
<S> <C> <C> <C>
4/30/92 10,000 9,450 10,000
12/92 10,668 10,071 10,726
12/93 11,321 10,660 11,802
12/94 10,686 10,039 11,957
12/95 14,608 13,689 16,446
12/96 17,777 16,584 20,218
12/97 22,347 20,814 26,961
12/98 28,510 26,472 34,672
12/99 32,536 30,117 41,967
INVESTMENT GROWTH ANALYSIS
- ---------------------------------------------------------------------------------------------------------------------------------
Average Annual Total Return1
- ---------------------------------------------------------------------------------------------------------------------------------
1 Year 3 Year 5 Year Since Inception
- ---------------------------------------------------------------------------------------------------------------------------------
CLASS I 14.12% 22.32% 24.95% 16.60%
- ---------------------------------------------------------------------------------------------------------------------------------
CLASS A 13.77% 22.00% 24.57% 16.29%
- ---------------------------------------------------------------------------------------------------------------------------------
CLASS A*
(with load) 7.49% 19.71% 23.18% 15.44%
- ---------------------------------------------------------------------------------------------------------------------------------
CLASS B 12.95% N/A N/A 19.56%
- ---------------------------------------------------------------------------------------------------------------------------------
CLASS B**
(with load) 7.45% N/A N/A 18.42%
- ---------------------------------------------------------------------------------------------------------------------------------
* Return figures reflect the impact of the maximum 5.50% sales charge.
**Return figures reflect the impact of paying the maximum contingent
deferred sales charge (CDSC) as disclosed in the prospectus.
1For the period ended December 31, 1999. Past performance of the period is
not predictive of future performance. The investment return and principal
value of an investment will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than their original cost. Equity
Value Fund Class I and Class A shares commenced operations on April 1,
1992 and Class B shares commenced operations on May 12, 1997.
</TABLE>
13
<PAGE>
MANAGER'S DISCUSSION & ANALYSIS
- -------------------------------------------------------------------------------
EQUITY FUNDS (CONTINUED)
[Bullet] EQUITY INCOME FUND
[PHOTO OMITTED]
RICHARD CARO
VICE PRESIDENT / PORTFOLIO MANAGER
Richard Caro began his investment career in 1969. Prior to joining Summit Bank
in 1993, he was associated with several leading investment counseling firms in
New York City.
Mr. Caro received his bachelor of science degree from Syracuse
University and his law degree and master of law degree from New York University.
Overall, 1999 was another banner year for the equity markets. The S&P 500
Composite Index rose about 21.04% and the NASDAQ composite rose an astounding
85%. But a very narrow slice of the market actually reported this outstanding
performance. In fact, more stocks declined in price than appreciated. This
continued a trend started in 1998 when technology and internet stocks began
their meteoric rise. Traditional "value" stocks and valuation techniques didn't
seem to work. The number of companies reporting dividend increases continued to
drop as investors were more interested in capital appreciation. Since dividend
income is an important criterion for the stocks that the Fund purchases, this
made for a difficult year for the Fund.
Looking at the economy, 1999 saw the U.S. continue on its way to a
record-breaking economic expansion. It is estimated that GDP growth was near 5%,
led by record low unemployment which fueled consumer spending. Capital spending
continued to be strong. The surprise factor has been the restraint in the
inflation indicators. The broadest measure of prices advanced at about 1% and
the core Consumer Price Index rose at less than 2%. Wage costs were remarkably
stable. In spite of all of this, interest rates began to rise and the Federal
Reserve Bank took back the 75 basis points of cuts that it made last year in
response to the Asian currency crisis.
In spite of the difficulties we saw in 1999, we will continue to stay with
our traditional valuation parameters in 2000. The Fed has signaled that it
remains concerned about the economy growing too fast and we expect it will raise
rates again early in the year. Higher world-wide growth and rising interest
rates may signal a broadening of the market to include more cyclical shares and
this could benefit sectors of the economy where your Fund has put its emphasis.
COMPARISON OF CHANGE IN VALUE
OF A $10,000 INVESTMENT
[GRAPH OMITTED]
[PLOT POINTS FOLLOW]
<TABLE>
<CAPTION>
Pillar Equity Income Fund (Class I) Pillar Equity Income Fund (Class A) S&P 500 Composite Index
<S> <C> <C> <C>
4/30/92 10,000 9,450 10,000
12/92 10,662 10,056 10,726
12/93 11,757 11,055 11,802
12/94 11,238 10,551 11,957
12/95 15,233 14,266 16,446
12/96 18,434 17,219 20,218
12/97 23,049 21,469 26,961
12/98 25,682 23,856 34,672
12/99 27,164 25,168 41,967
INVESTMENT GROWTH ANALYSIS
- -----------------------------------------------------------------------------------------------------------------------------------
Average Annual Total Return1
- -----------------------------------------------------------------------------------------------------------------------------------
1 Year 3 Year 5 Year Since Inception
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS I 5.77% 13.80% 19.31% 14.15%
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS A 5.50% 13.49% 18.99% 13.86%
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS A*
(with load) -0.33% 11.36% 17.65% 13.03%
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS B 4.72% N/A N/A 11.27%
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS B**
(with load) -0.78% N/A N/A 9.99%
- -----------------------------------------------------------------------------------------------------------------------------------
* Return figures reflect the impact of the maximum 5.50% sales charge.
**Return figures reflect the impact of paying the maximum contingent
deferred sales charge (CDSC) as disclosed in the prospectus
1For the period ended December 31, 1999. Past performance of the period is
not predictive of future performance. The investment return and principal
value of an investment will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than their original cost. Equity
Income Fund Class I and Class A shares commenced operations on April 1,
1992 and Class B shares commenced operations on May 8, 1997.
</TABLE>
14
<PAGE>
(Pillar Logo omitted)
-------------------------------------------------------------------------------
December 31,1999
[Bullet] EQUITY INDEX FUND
For the fifth year in a row, investment returns for the S&P 500 Composite
Index were strongly positive, an unprecedented performance by this index. The
Pillar Equity Index Fund's Class I Shares participated in this advance returning
19.73%. The Fund's net assets as of year end were $31 million.
Shareholders should be aware that sector performance within the S&P 500
Composite Index has changed the composition of the Index quite significantly
over the last several years. The most important shift has been the weight of the
technology sector, which is over 28% of the total today. At the same time, the
weights of the raw materials sectors, including energy, and much of traditional
manufacturing have declined in influence. The result of these changes is
probably going to mean slightly faster growth in underlying earnings for the S&P
500 Composite Index but some increase in volatility as well.
COMPARISON OF CHANGE IN VALUE
OF A $10,000 INVESTMENT
[GRAPH OMITTED]
[PLOT POINTS FOLLOW]
<TABLE>
<CAPTION>
Pillar Equity Index Fund Pillar Equity Index Fund Pillar Equity Index Fund S&P 500 Composite
(Synthetic Class I) (Synthetic Class A) (Synthetic Class B) Index
<S> <C> <C> <C> <C>
12/31/89 10,000 9,450 10,000 10,000
12/90 9,630 9,100 9,630 9,690
12/91 12,442 11,758 12,442 12,642
12/92 13,282 12,551 13,282 13,604
12/93 14,504 13,706 14,504 14,969
12/94 14,562 13,761 14,562 15,165
12/95 19,884 18,790 19,884 20,859
12/96 24,239 22,906 24,239 25,644
12/97 32,065 30,302 32,065 34,196
12/98 39,280 36,868 39,043 43,976
12/99 47,030 43,973 46,266 53,228
INVESTMENT GROWTH ANALYSIS
- -----------------------------------------------------------------------------------------------------------------------------------
Average Annual Total Return1
- -----------------------------------------------------------------------------------------------------------------------------------
1 Year 3 Year 5 Year 10 Year Since Inception
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS I 19.73% 24.73% 26.43% 16.75% 16.94%
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS A 19.27% 24.29% 26.16% 16.62% 16.85%
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS A* (with load) 12.75% 21.94% 24.71% 15.96% 16.40%
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS B 18.50% 24.05% 26.01% 16.55% 16.81%
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS B** (with load) 13.00% 23.17% 25.85% 16.55% 16.81%
- -----------------------------------------------------------------------------------------------------------------------------------
* Return figures reflect the impact of the maximum 5.50% sales charge.
**Return figures reflect the impact of paying the maximum contingent
deferred sales charge (CDSC) as disclosed in the prospectus
1For the period ended December 31, 1999. Past performance of the period is
not predictive of future performance. The investment return and principal
value of an investment will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than their original cost. Equity
Index Class I, Class A and Class B shares commenced operations on July 31,
1985. The information set forth represents portfolio information relating
to the SEI Index Funds (SIF) S&P 500 Index Portfolio Class E, which began
operation on July 31,1998. The Pillar Equity Index Fund, a new series of
Pillar Funds that began investment operations for Class I on September 3,
1998, Class A on September 10, 1998, and Class B shares on September 8,
1998, invests substantially all its assets in the SIF S&P 500 Index
Portfolio, and can be expected to have a performance record that closely
resembles that of the SIF S&P 500 Index Portfolio. The performance
information contained herein has been adjusted to reflect the actual fees
and expenses of the Pillar Equity Index Fund, whose fees and expenses are
higher than those of the SIF S&P 500 Index Portfolio. This is not an
advertisement, an offer to sell, nor a solicitation of offers to purchase
the SIF S&P 500 Index Portfolio.
</TABLE>
15
<PAGE>
MANAGER'S DISCUSSION & ANALYSIS
- --------------------------------------------------------------------------------
EQUITY FUNDS (continued)
[Bullet] MID CAP FUND
[PHOTO OMITTED]
GLEN C. CORBITT
VICE PRESIDENT/PORTFOLIO MANAGER
Glen Corbitt has been with Summit Bank since 1995 and with the Investment
Management Division for the past three years. Prior to joining Summit, Mr.
Corbitt served as an accountant for Rockefeller Financial Services.
Mr. Corbitt received a bachelor of arts degree from Providence College and
an MBA from New York University. He spent five years as an officer in the United
States Army. He is a member of the New York Society of Security Analysts
and is currently a Chartered Financial Analyst Level 3 candidate.
[PHOTO OMITTED]
GREGORY S. HUNING,
CHARTERED FINANCIAL ANALYST
SENIOR VICE PRESIDENT/REGIONAL MANAGER, COASTAL AND
SOUTHERN REGIONS
Greg Huning has been with Summit Bank since 1995. He began his investment career
in 1970 serving in several analytical and portfolio management positions,
including senior equity portfolio manager for the Robert Wood Johnson Foundation
prior to joining Summit.
Mr. Huning earned a bachelor of arts degree from Hiram College, a master of
science in business administration from Bucknell University, and earned
his certification as a Chartered Financial Analyst in 1976. He is a member
of the New York Society of Security Analysts and the Association for
Investment Management and Research.
1999 was again a year of wide price fluctuations and under performance for
medium capitalization stocks. This sector is benchmarked by the S&P 400 Mid-Cap
Index which returned 14.72% for the year compared with 21.04% for the S&P 500
Composite Index. A more favorable pattern emerged for the fourth quarter during
which the Fund returned 18.06%, outperforming the S&P 500 Composite Index which
reported 14.93%.
If strengthening in the Fund's relative performance is to continue, it will
have to be supported by two fundamental conditions. The first is that revenue
and earnings growth for a broad range of companies in the mid-cap sector must
accelerate noticeably faster than that of the large capitalization companies.
The second requirement is that the "casualty rate" must decline significantly.
By "casualty rate" we mean the frequency of companies reporting revenue and
earnings growth disappointments. Because of liquidity constraints, when a
mid-cap company experiences a disappointment, the stock price often drops down
significantly. This tendency sharply increases the risk of investing in the
mid-cap sector of the market. Should economic conditions evolve such that the
business trends become more reliable, the mid-cap sector has the potential to
generate truly superior rates of return.
During the fourth quarter of 1999 a portfolio management change took place.
As part of this change, the investment focus of the Fund shifted toward an
emphasis on those mid-cap companies which we believe offer above average
sustainable growth at reasonable valuation levels. This investment approach will
emphasize both individual company business trends, as well as sector and
industry outlook relative to the S&P 400 Mid-Cap Index. The benefit of this
shift in investment approach was quickly demonstrated. During November and
December Fund performance was 18.27% versus 11.19% for the S&P 400 Mid-Cap
Index.
<TABLE>
<CAPTION>
COMPARISON OF CHANGE IN VALUE
OF A $10,000 INVESTMENT
Pillar Mid Cap Fund (Class I) S&P 400 Mid-Cap Index
<S> <C> <C>
4/30/92 10,000 10,000
12/92 11,037 11,385
12/93 12,496 12,968
12/94 11,329 12,502
12/95 13,537 16,368
12/96 15,372 19,514
12/97 18,522 25,803
12/98 19,961 30,736
12/99 20,765 35,261
INVESTMENT GROWTH ANALYSIS
- ----------------------------------------------------------------------------------------------
Average Annual Total Return1
- ----------------------------------------------------------------------------------------------
1 Year 3 Year 5 Year Since Inception
- ----------------------------------------------------------------------------------------------
CLASS I 4.03% 10.54% 12.88% 9.92%
- ----------------------------------------------------------------------------------------------
1For the period ended December 31, 1999. Past performance of the period is
not predictive of future performance. The investment return and principal
value of an investment will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than their original cost. Mid Cap
Fund Class I shares commenced operations on April 1, 1992.
</TABLE>
16
<PAGE>
(Pillar Logo omitted)
- --------------------------------------------------------------------------------
December 31,1999
[Bullet] BALANCED FUND
[PHOTO OMITTED
EDWARD KASPERAVICH,
CHARTERED FINANCIAL ANALYST
VICE PRESIDENT/PORTFOLIO
MANAGER/TEAM LEADER
Edward Kasperavich has been with Summit Bank since 1985.
Mr. Kasperavich received his bachelor of science degree from Kutztown University
and earned his certification as a Chartered Financial Analyst in 1991. He is
affiliated with the New York Society of Security Analysts and the Association
for Investment Management and Research and is a member of the Institute for
Chartered Financial Analysts.
The Pillar Balanced Fund's Class I Shares reported a gain of 9.33% for
1999, which was exactly in line with the median domestic balanced fund. The Fund
had an asset allocation of approximately 70% stocks and 30% bonds. This is
slightly more aggressive than usual but helped the overall annual performance.
The equity portion of the Fund benefited from exposure to the technology sector
which had a spectacular year. In contrast, the Fund was hurt by its positions in
the financial and health care sectors, although we believe these areas still
have great long-term potential. The fixed-income allocation hurt the Fund's
overall performance as yields continued to climb throughout the year.
The U.S. economy and U.S. equity markets confounded experts once again in
1999, both performing in a very rewarding manner. As we entered 1999, economists
expected the U.S. economy to slow from the above average growth rate of 1998.
Instead, it accelerated during the year, with the exception of the second
quarter, and entered the fourth quarter with a full head of steam. This enabled
unemployment to decline to levels not seen for thirty years and was accomplished
without much of an increase in the rate of inflation.
The U.S. stock market had another great year with the S&P 500 Composite
Index producing a 21.04% return and shattering market predictions that common
stocks would revert to mean returns of 10%.
17
<PAGE>
MANAGER'S DISCUSSION & ANALYSIS
- --------------------------------------------------------------------------------
EQUITY FUNDS (continued)
This is the fifth straight year that the S&P 500 Composite Index recorded
gains of over 20%. The NASDAQ composite, loaded with technology issues, returned
a phenomenal 85%. These gains were fueled by healthy corporate earnings and a
strong desire by the American public to own common stock. One theme that
continued from 1998 was the large performance gap between growth and value
returns. Top quartile returns were 48.9% and 11.6% respectively, and thus
widened the already large valuation discrepancy.
Unlike common stocks, bonds suffered one of their worst years in memory
with the 30-year treasury bond up 1.50% in yield and down 15% in price. This was
the result of the three Federal Reserve Bank interest rate hikes and bond
investors' perception that the economy was too strong to keep inflation in its
recent benign condition.
Looking ahead, it seems the Federal Reserve Bank is determined to slow the
growth of the economy. We believe that an anticipated increase in interest rates
in February is already priced into the markets, but that may not be the last in
the Federal Reserve Bank's series of tightenings. As a result, we expect to see
more trouble for the fixed-income markets. And, we should see valuation
contractions for the equity markets. However, this will be offset by continued
earnings growth for common stocks. The outcome, or total return of the market,
may be determined by exactly how much rates have to increase to slow this
economy.
COMPARISON OF CHANGE IN VALUE
OF A $10,000 INVESTMENT
[GRAPH OMITTED]
[PLOT POINTS FOLLOW]
<TABLE>
<CAPTION>
Pillar Balanced Fund Pillar Balanced Fund S&P 500 Composite Lehman Intermediate 50/50 Blend
(Class I) (Class A) Index Government/ of Above Indices
Corporate Index
<S> <C> <C> <C> <C> <C>
4/30/92 10,000 9,450 10,000 10,000 10,000
12/92 10,533 9,935 10,726 10,721 10,729
12/93 11,364 10,692 11,802 11,663 11,743
12/94 10,840 10,172 11,957 11,438 11,715
12/95 13,849 12,972 16,446 13,189 14,762
12/96 15,756 14,709 20,218 13,724 16,720
12/97 18,857 17,571 26,961 14,804 20,109
12/98 22,373 20,792 34,672 16,051 23,899
12/99 24,461 22,670 41,967 16,113 26,399
INVESTMENT GROWTH ANALYSIS
- ------------------------------------------------------------------------------------------------------------------------------------
Average Annual Total Return1
- ------------------------------------------------------------------------------------------------------------------------------------
1 Year 3 Year 5 Year Since Inception
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS I 9.33% 15.79% 17.68% 12.37%
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS A 9.04% 15.51% 17.38% 12.08%
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS A* (with load) 3.05% 13.37% 16.06% 11.27%
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS B 8.20% N/A N/A 14.49%
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS B** (with load) 2.70% N/A N/A 13.27%
- ------------------------------------------------------------------------------------------------------------------------------------
*Return figures reflect the impact of the maximum 5.50% sales charge.
**Return figures reflect the impact of paying the maximum contingent deferred
sales charge (CDSC) as disclosed in the prospectus.
1For the period ended December 31, 1999. Past performance of the period is not
predictive of future performance. The investment return and principal value of
an investment will fluctuate, so an investor's shares, when redeemed, may be
worth more or less than their original cost. Balanced Growth Fund Class I and
Class A shares commenced operations on April 1, 1992 and Class B shares
commenced operations on May 8, 1997.
</TABLE>
18
<PAGE>
(Pillar Logo omitted)
- --------------------------------------------------------------------------------
December 31,1999
[Bullet] INTERNATIONAL EQUITY FUND
[PHOTO OMITTED]
FABRIZIO PIERALLINI
SENIOR VICE PRESIDENT, CIO
MANAGING DIRECTOR INTERNATIONAL
INVESTMENTS ECONOMICS AND
BUSINESS ADMINISTRATION, UNIVERSITY
OF BERNE, SWITZERLAND (1980)
Fabrizio Pierallini is a graduate of the School of Economics and Business
Administration in Berne, Switzerland (1980). In 1981, he began a five-year
financial analyst training program with Union Bank of Switzerland (UBS) in
Zurich and London, after which he was sent to UBS Singapore as a financial
analyst.
In 1986 he joined Bank Julius Baer in Zurich as a financial analyst
specializing in the Swiss equity market.
In 1988 Mr. Pierallini joined SBC Portfolio Management Ltd. in Zurich as a
portfolio manager actively managing international equity portfolios for
institutional clients in the MSCI world universe. In 1991, he was transferred to
Swiss Bank Corporation (SBC) in New York to assume overall responsibility for
international asset allocation and to manage the international equity portion of
the SBC World Growth Fund.
Mr. Pierallini joined Vontobel USA in April 1994, and is responsible for
international equity research and portfolio management.
As in the U.S., foreign markets were also pushed to new highs in 1999 by
telecom and technology stocks. International equities, as measured by Morgan
Stanley Capital International's Europe, Asia, and the Far East (EAFE) Index,
gained 26.96% last year, surpassing the S&P 500 Composite Index's 21.04% return.
After six years of declining returns on capital and returns on equity in Europe
and Japan, international equities experienced a dramatic turnaround.
WHY DID OVERSEAS MARKETS OUTPERFORM THE S&P 500?
The focus in 1999 was on the creation of shareholder value. The need for
structural reform was significant in Europe and even more significant in Japan.
More stringent accounting standards, increased accountability in corporate
governance, and a greater focus on financial results (ROE, operating margins)
have given corporate executives new benchmarks. These changes are irreversible.
The recent earning season demonstrated that managers in Europe and Japan are
taking these new incentives seriously. Despite stagnant sales, many firms
reported substantial increases in operating profits, thanks to cost cutting,
outsourcing, and cuts in capital spending. Also illustrative is the change in
attitude toward share buybacks. A decade ago when underperforming U.S. firms
were actively buying back shares, Europe and Japan focused only on increasing
capital. Last year 39 of the 40 companies in France's CAC Index announced share
buybacks or share cancellations. In large part, the rerating of European and
Japanese equities is due to the fact that managements are learning to make
better use of their balance sheets, which are for the most part richly
capitalized.
HOW HAS EUROPE CHANGED?
Corporate governance has vastly improved in Europe, with the UK far in the
lead. Ten years ago, it was impossible to get a breakdown of a company's results
by industrial division. Today, improved reporting standards provide a more
accurate picture of financial performance, and unexplained "exceptional items"
are a thing of the past. One consequence of this greater transparency has been a
frenzy of mergers and acquisitions activity. Vodafone's bid for Mannesmann, if
successful, would set a precedent for a major cross-border acquisition, proving
that even great firms like Mannesmann are not immune from takeovers. The
combined $140 billion company would control 31 million cellular customers in
more than 26 countries. We've been generously rewarded for owning both firms for
many years. Last quarter alone both stocks shot up more than 35%, resulting in
full-year gains of 67% for Vodafone and 129% for Mannesmann.
For the most striking evidence of the new equity culture taking root in
Europe, you need look no further than Frankfurt's New Market Exchange (Neuer
Markt), established in 1998. Europe's answer to the NASDAQ, it lists more than
200 firms with a global market cap of close to $100 billion. Entrepreneurs are
commanding new respect, a big plus for Europe. The creation of the Eurozone has
facilitated their access to capital and spurred the dynamic creation of such
companies as Aixtron, Singulus, Intershop, EM TV, Fantastic,
(continued next page)
19
<PAGE>
MANAGER'S DISCUSSION & ANALYSIS
- --------------------------------------------------------------------------------
EQUITY FUNDS (continued)
Computerlinks, Mobilcom, just to name a few with the potential to be market
leaders in their respective industries. As bottom-up investors, we're finding
this a great environment. Some of these firms are getting close to meeting the
criteria for our investable universe, i.e., a proven business model and at least
a 5-year record of consistent financial results.
DID WE BENEFIT FROM EUROPE'S RESTRUCTURING?
Our investment discipline keeps us away from pure restructuring plays. We
demand a lot from the firms we own. Our investable universe consists of
companies with consistent track records, little or no debt, high barriers to
entry, and the ability to sustain their growth over the next 5-10 years. We
don't want to own every pharmaceutical, financial, or telecom stock, only the
most reliable ones. We want to have so much confidence in our stocks that if
some of them experience short-term setbacks, we'll be there to add to our
position.
ARE THE JAPANESE UNLOCKING THEIR TRUE VALUE?
Japan's market capitalization, like that of Europe, stands well below its
share of global GDP. As the world's second-largest economy, Japan produces 14%
of global GDP, yet represents only about 10% of global market capitalization.
Compare this to the U.S., which produces 28% of global output but represents 50%
of global market cap. This is mostly explained by a weaker equity culture that
has been slow to put business in public hands. Last October, Japan enacted
industrial revitalization measures aimed at facilitating corporate
reorganization, such as share exchanges and stock transfers. This should create
a more favorable environment for corporate restructuring, resulting in the
increased formation of holding companies as well as expanded mergers and
acquisitions activity. The build-up in free cash flow in Japan has been more
subdued than in Europe, which reflects the weakness of Japan's restructuring
efforts to date. Firms with rising levels of free cash flow and balance sheet
strength have been some of the best performers over the last five years, Rohm,
Murata, Tokyo Electron, Nintendo and Takeda, are all portfolio holdings.
We remain less hopeful about restructuring in the financial sector. After
the failure of a number of banks and four major credit unions, bank mergers were
front page news in Japan. But mergers that will take place in two years at the
earliest are not sufficient to boost the ROA's or ROE's of these beleaguered
institutions. A number of Japanese banks are still struggling to reduce their
huge burden of bad loans.
HOW HAS JAPAN CHANGED?
Japan has made a quantum leap in terms of their openness to minority
shareholders. A large number of the CEO's and company presidents interviewed
over the last year were very willing to talk one to one, and unreservedly, about
all aspects of their business. At last, shareholder value creation is becoming a
reality. Most companies realize that they need to watch costs more closely.
Japanese industry remains very much a vertically integrated system, and the
reorganization of the industry groups known as keiretsu will take time. But
Japanese managements have begun to adopt such policies as increased offshore
procurement, cuts in R&D, wage reduction measures, and re-engineering of
production. When asked what yardstick they were using to measure their success,
many companies responded in terms of inventory turnover or operating margin.
U.S.-type restructuring involving management consultants and mergers and
acquisitions teams, while still not common, is apparently under consideration.
Yet old habits die hard. Despite the fact that they are refocusing attention
away from sales growth to cost control and productivity, not many companies are
using return on equity to measure their performance. The exceptions were all the
companies that we own (e.g., Micro, Hikari Tsushin, Murata Manufacturing, Rohm,
Takeda Chemicals, Seven-Eleven).
JAPAN'S NEW ENTREPRENEURS
Japan too is experiencing dynamic growth in start-up companies. On December
22nd the Tokyo Stock Exchange created a new board, nicknamed "Mother," to launch
unproven, concept companies. Presently it lists only a handful of fledgling
firms, but could very
20
<PAGE>
(Pillar Logo omitted)
- --------------------------------------------------------------------------------
December 31,1999
[Bullet] INTERNATIONAL EQUITY FUND (continued)
likely grow to 100 listings over the next 12 months. We added a number of
domestic stocks last year, not because of the improved picture of the Japanese
domestic economy but because some Japanese firms are now competing on different
terms.
OUTLOOK
While the Fund benefited from its holdings in telecom and technology
companies, last year's strongest performers, it continues to be well diversified
among industry sectors. We have 16% in capital equipment (e.g., Rohm, Murata
Manufacturing, ASM Lithography), 18% in consumer goods (e.g., Roche, Takeda,
Sony, Nintendo), 18% in Finance (e.g., Aegon, Credit Suisse, Axa, Amvescap), 38%
in Services (e.g, NTT Mobile Communication Network, Nokia, NTT Data,
Mannesmann), 3% in energy (e.g., Total, BP, ENI), and 2% in materials (e.g.,
Assa Abloy and CRH)1. Our largest deviations against the EAFE benchmark are the
financial sector, where we have an underweight, and services, where we are
overweight due to the sharp appreciation in share prices. We are in the process
of trimming a lot of stocks that have increased in their portfolio weighting due
to performance and we are adding selectively into the financial sector.
We believe that the majority of companies within our investable universe
will be able to sustain their strong sales growth over the next 12 months. 1999
seems to have left a good foundation for rebuilding the needed strengths in
Europe's and Japan's corporate worlds. We believe that the tide has definitely
turned for international investors.
1 Portfolio holding percentages are as of December 31, 1999 and are subject to
change.
COMPARISON OF CHANGE IN VALUE
OF A $10,000 INVESTMENT
[GRAPH OMITTED]
[PLOT POINTS FOLLOW]
<TABLE>
<CAPTION>
Pillar International Equity Fund Pillar International Equity Fund MSCI EAFE Index
(Class I) (Class A)
<S> <C> <C> <C>
5/95 10,000 9,450 10,000
12/95 10,747 10,141 10,648
12/96 11,948 11,244 11,293
12/97 11,978 11,244 11,495
12/98 13,053 12,221 13,793
12/99 18,987 17,732 17,512
INVESTMENT GROWTH ANALYSIS
- ------------------------------------------------------------------------------------------------------------------------------------
Average Annual Total Return(2)
- ------------------------------------------------------------------------------------------------------------------------------------
1 Year 3 Year Since Inception
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS I 45.46% 16.70% 14.83%
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS A 45.09% 16.40% 14.54%
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS A*
(with load) 37.13% 14.23% 13.16%
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS B 44.13% N/A 17.02%
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS B**
(with load) 38.63% N/A 15.85%
- ------------------------------------------------------------------------------------------------------------------------------------
* Return figures reflect the impact of the maximum 5.50% sales charge.
**Return figures reflect the impact of paying the maximum contingent deferred sales
charge (CDSC) as disclosed in the prospectus.
2For the period ended December 31, 1999. Past performance of the period is
not predictive of future performance. The investment return and principal
value of an investment will fluctuate, so an investor's shares, when
redeemed, may be worth more or less than their original cost.
International Equity Fund Class I and Class A shares commenced operations
on May 1, 1995 and Class B shares commenced operations on May 7, 1997.
</TABLE>
21
<PAGE>
STATEMENT OF NET ASSETS
DECEMBER 31, 1999
U.S. TREASURY SECURITIES MONEY MARKET FUND
- --------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--40.4%
U.S. Treasury Bills (A)
5.190%, 01/20/00 $ 42,000 $ 41,885
5.550%, 05/25/00 50,000 48,882
U.S. Treasury Notes
6.375%, 01/15/00 105,000 105,044
5.375%, 01/31/00 65,000 65,009
5.500%, 04/15/00 49,000 48,995
5.625%, 04/30/00 50,000 49,979
5.375%, 07/31/00 27,000 26,972
-------
Total U.S. Treasury Obligations
(Cost $386,766) 386,766
-------
REPURCHASE AGREEMENTS--59.4%
Barclays
2.780%, dated 12/31/99, matures,
repurchase price $216,669,454
(collaterized by U.S.Treasury
Notes and Bond, total
market value $220,952,289) (B) 216,620 216,620
J.P. Morgan
2.780%, dated 12/31/99, matures
01/03/00, repurchase price
$41,375,333 (collaterized by
U.S. Treasury Notes, total market
value $42,192,628) (B) 41,365 41,365
Lehman Brothers 2.780%, dated
12/31/99, matures 01/03/00,
repurchase price
$30,798,705 (collaterized by
U.S. Treasury Notes, total
market value
$31,398,552) (B) 30,792 30,792
Merrill Lynch
2.780%, dated 12/31/99, matures
01/03/00, repurchase price
$21,148,626 (collaterized by U.S.
Treasury Notes and Bonds, total
market value $21,569,198) (B) 21,142 21,142
Morgan
2.780%, dated 12/31/99, matures
01/03/00, repurchase price
$31,232,037 (collaterized by
U.S. Treasury Bond, total
market value $32,049,343) (B) 31,226 31,226
Prudential
2.780%, dated 12/31/99, matures
01/03/00, repurchase price
$12,429,116 (collaterized by
U.S. Treasury Bond, total
market value $12,675,015) (B) 12,426 12,426
- ------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- ------------------------------------------------------------------------------
Warburg
2.780%, dated 12/31/99, matures
01/03/00, repurchase price
$214,301,635 (collaterized
by U.S. Treasury Note, total
market value $218,539,149) (B) $214,252 $214,252
--------
Total Repurchase Agreements
(Cost $567,823) 567,823
--------
Total Investments -- 99.8%
(Cost $954,589) 954,589
--------
OTHER ASSETS AND LIABILITIES, NET -- 0.2% 2,247
--------
NET ASSETS:
Portfolio Shares of Class I (unlimited
authorization -- no par value)
based on 838,223,483 outstanding
shares of beneficial interest 838,223
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 118,598,176 outstanding shares of
beneficial interest 118,599
Undistributed net investment income 16
Accumulated net realized loss on investments (2)
--------
Total Net Assets -- 100.0% $956,836
========
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.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
PRIME OBLIGATION MONEY MARKET FUND
- --------------------------------------------------------------------------------
COMMERCIAL PAPER -- 90.7%
BANKS--20.2%
Abbey National Bank
6.180%, 01/10/00 $ 8,000 $ 7,988
5.960%, 01/14/00 8,500 8,482
5.900%, 03/07/00 15,000 14,838
Australia New Zealand Bank
6.000%, 02/04/00 1,200 1,193
6.020%, 02/14/00 10,000 9,926
5.850%, 02/22/00 20,000 19,831
Bank of America
5.890%, 01/10/00 9,000 8,987
5.750%, 01/25/00 5,000 4,981
22
<PAGE>
[GRAPHIC OMITTED]
DECEMBER 31,1999
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
Bank of Nova Scotia
5.870%, 01/05/00 $ 9,000 $ 8,994
5.910%, 02/09/00 5,000 4,968
BankAmerica
5.400%, 01/26/00 10,000 9,962
4.940%, 02/01/00 8,500 8,464
5.880%, 03/10/00 4,000 3,955
Deutsche Bank
5.930%, 01/14/00 5,000 4,989
Rabobank
5.820%, 06/08/00 10,000 9,743
5.830%, 06/08/00 5,000 4,871
Royal Bank of Canada
6.150%, 01/20/00 20,000 19,935
Wells Fargo
5.740%, 03/10/00 10,000 9,890
5.830%, 03/10/00 5,000 4,944
5.970%, 03/15/00 15,000 14,816
5.860%, 03/17/00 10,000 9,876
--------
191,633
--------
DRUGS--1.0%
American Home Products
5.720%, 01/18/00 5,000 4,986
American Home Products
5.720%, 01/31/00 5,000 4,976
--------
9,962
--------
ELECTRICAL SERVICES -- 7.2%
Georgia Power
5.710%, 02/01/00 8,000 7,961
5.900%, 02/10/00 10,000 9,934
5.900%, 03/10/00 15,000 14,830
Pacificorp
5.710%, 01/20/00 10,400 10,369
Southern California Edison
5.920%, 01/18/00 10,000 9,972
5.750%, 01/24/00 5,000 4,982
6.080%, 02/11/00 10,000 9,931
--------
67,979
--------
FINANCIAL SERVICES -- 47.3%
American General Finance
6.050%, 01/24/00 10,000 9,961
5.870%, 01/31/00 10,000 9,951
5.900%, 02/03/00 7,000 6,962
5.810%, 02/15/00 10,000 9,927
Associates Financial Services
5.950%, 02/03/00 10,000 9,945
6.000%, 02/17/00 3,550 3,522
5.950%, 02/18/00 5,000 4,960
Cargill Financial
6.700%, 01/14/00 10,000 9,976
5.420%, 01/21/00 10,000 9,970
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
6.000%, 01/21/00 $ 1,300 $ 1,296
5.080%, 02/10/00 10,000 9,944
Centric Capital Funding
5.960%, 01/18/00 3,500 3,490
6.050%, 01/18/00 5,000 4,986
5.800%, 02/01/00 6,160 6,129
5.930%, 02/29/00 9,935 9,838
5.920%, 03/09/00 5,000 4,944
Ciesco
5.830%, 01/18/00 10,000 9,972
5.900%, 01/20/00 10,000 9,969
5.875%, 01/25/00 10,000 9,961
Ford Motor Credit
5.930%, 01/21/00 10,000 9,967
General Electric Capital Services
5.800%, 02/01/00 5,000 4,975
5.970%, 02/04/00 5,000 4,972
5.810%, 02/16/00 10,000 9,926
5.810%, 02/17/00 10,000 9,924
5.920%, 03/02/00 7,000 6,930
General Motors Acceptance
5.960%, 02/01/00 10,000 9,949
5.450%, 02/08/00 5,000 4,971
GMAC
6.090%, 01/18/00 3,000 2,991
5.880%, 01/19/00 4,000 3,988
5.860%, 01/26/00 7,000 6,972
5.810%, 01/27/00 10,000 9,958
5.950%, 02/14/00 1,000 993
Goldman Sachs Group
6.000%, 01/28/00 5,000 4,978
5.980%, 02/10/00 5,000 4,967
5.980%, 02/11/00 10,000 9,932
5.960%, 02/14/00 10,000 9,927
5.980%, 02/18/00 10,000 9,920
GTE Funding
5.920%, 01/19/00 2,249 2,242
5.880%, 01/20/00 10,000 9,969
5.870%, 01/21/00 5,000 4,984
5.930%, 02/24/00 10,000 9,911
6.040%, 03/14/00 5,000 4,939
J.P. Morgan
5.400%, 01/18/00 10,000 9,975
5.830%, 01/21/00 10,000 9,968
5.930%, 01/28/00 5,000 4,978
5.860%, 01/31/00 10,000 9,951
Merrill Lynch
5.960%, 01/31/00 10,000 9,950
5.050%, 02/01/00 5,000 4,978
6.170%, 02/01/00 2,000 1,989
5.950%, 02/11/00 3,000 2,980
Paccar Financial
6.100%, 01/04/00 3,000 2,998
5.900%, 01/11/00 4,200 4,193
6.050%, 01/14/00 5,300 5,288
23
<PAGE>
STATEMENT OF NET ASSETS
PRIME OBLIGATION MONEY MARKET FUND (CONTINUED)
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
5.950%, 01/20/00 $ 5,000 $ 4,984
6.000%, 01/20/00 1,300 1,296
5.800%, 02/29/00 4,000 3,962
5.820%, 03/03/00 3,500 3,465
Toyota Motor Credit
5.950%, 01/18/00 10,000 9,972
Transamerica Finance
6.070%, 02/08/00 5,000 4,968
5.720%, 02/09/00 2,000 1,988
5.850%, 03/10/00 7,000 6,922
5.900%, 03/13/00 1,463 1,446
5.770%, 03/20/00 10,000 9,873
5.820%, 03/20/00 10,000 9,872
Usaa Capital
6.200%, 01/21/00 9,500 9,467
5.870%, 01/25/00 10,000 9,961
--------
449,412
--------
FOOD, BEVERAGE & TOBACCO -- 0.3%
Archer Daniels Midland
5.900%, 04/20/00 2,950 2,897
--------
HOUSEHOLD PRODUCTS -- 1.1%
Gillette
5.930%, 01/14/00 10,000 9,979
--------
LEASING & RENTING -- 4.6%
International Lease Finance
6.120%, 02/01/00 1,500 1,492
5.830%, 02/09/00 3,000 2,981
5.730%, 02/14/00 10,000 9,930
5.870%, 02/14/00 10,000 9,928
5.780%, 02/23/00 5,000 4,957
5.790%, 02/23/00 10,000 9,915
5.800%, 02/23/00 5,000 4,957
--------
44,160
--------
LEISURE PRODUCTS -- 2.2%
Hasbro
5.880%, 01/03/00 3,000 2,999
5.930%, 01/04/00 13,135 13,129
5.870%, 01/11/00 4,750 4,742
--------
20,870
--------
PETROLEUM & FUEL PRODUCTS -- 2.3%
Colonial Pipeline
5.800%, 02/04/00 3,000 2,984
6.100%, 02/14/00 4,150 4,119
6.050%, 02/24/00 5,000 4,955
5.750%, 04/04/00 10,000 9,850
--------
21,908
--------
PRINTING & PUBLISHING--0.5%
McGraw Hill
6.200%, 01/21/00 5,000 4,983
--------
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
UTILITIES -- 4.0%
National Rural Utilities
5.800%, 01/25/00 $10,000 $ 9,961
5.900%, 03/07/00 5,000 4,946
5.850%, 03/10/00 3,490 3,451
5.850%, 03/14/00 15,000 14,822
5.920%, 03/21/00 5,000 4,934
--------
38,114
--------
Total Commercial Paper
(Cost $861,897) 861,897
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 6.6%
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
6.040%, 09/01/00 2,000 2,000
6.000%, 09/28/00 2,700 2,700
6.210%, 01/12/01 10,000 10,000
6.280%, 01/12/01 10,000 10,000
Federal National Mortgage
Association
5.900%, 12/01/00 7,000 6,988
--------
Total U.S. Government Agency
Obligations
(Cost $62,688) 62,688
--------
CERTIFICATES OF DEPOSIT -- 2.1%
Deutsche Bank
6.150%, 10/10/00 10,000 10,065
Toronto Dominion
5.060%, 04/17/00 10,000 9,998
--------
Total Certificates of Deposit
(Cost $20,063) 20,063
--------
CORPORATE OBLIGATIONS -- 1.0%
Associates Corporation of
North America
6.000%, 03/15/00 1,000 1,002
Bell Atlantic Financial
Services (MTN)
6.710%, 02/03/00 2,000 2,003
General Electric Capital (MTN)
5.430%, 01/17/00 2,000 2,000
24
<PAGE>
[GRAPHIC OMITTED]
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
GMAC (MTN)
6.875%, 06/01/00 $ 4,500 $ 4,526
--------
Total Corporate Obligations
(Cost $9,531) 9,531
--------
REPURCHASE AGREEMENTS--2.0%
Barclays
2.770%, dated 12/31/99 matures
01/03/00, repurchase price
$2,661,991 (collaterized by
U.S. Treasury Bill, total
market value $2,715,090) (A) 2,661 2,661
J.P. Morgan
2.770%, dated 12/31/99, matures
01/03/00, repurchase price $3,183,501
(collaterized by U.S. Treasury Note,
total market value $3,246,700) (A) 3,183 3,183
Morgan
2.770%, dated 12/31/99, matures
01/03/00, repurchase price $4,617,080,
(collaterized by U.S. Treasury Bond,
total market value $4,753,321)(A) 4,616 4,616
Warburg
2.770%, dated 12/31/99, matures
01/03/00, repurchase price $8,276,899
(collaterized by U.S. Treasury
Note, total market value
$8,443,087) (A) 8,275 8,275
--------
Total Repurchase Agreements
(Cost $18,735) 18,735
--------
Total Investments -- 102.4%
(Cost $972,914) 972,914
--------
OTHER ASSETS AND LIABILITIES, NET -- (2.4%) (22,650)
--------
NET ASSETS:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 758,284,764 outstanding shares
of beneficial interest 758,285
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on 3,506,654
outstanding shares of
beneficial interest 3,507
Portfolio Shares of Class B
(unlimited authorization --
no par value) based
on 1,734,894 outstanding
shares of beneficial interest 1,735
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
Portfolio Shares of Class S
(unlimited authorization --
no par value) based on
186,769,372 outstanding shares of
beneficial interest $186,769
Accumulated net realized loss
on investments (32)
--------
Total Net Assets -- 100.0% $950,264
========
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 and Redemption Price
Per Share -- Class B (1) $ 1.00
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class S $ 1.00
========
(1) CLASS B HAS A CONTINGENT DEFERRED SALES CHARGE.
(A) TRI-PARTY REPURCHASE AGREEMENT.
MTN -- MEDIUM TERM NOTE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
TAX-EXEMPT MONEY MARKET FUND
- --------------------------------------------------------------------------------
MUNICIPAL BONDS -- 73.2%
ALASKA -- 0.7%
Alaska State Housing, Series A (RB)
3.400%, 06/01/00 $ 1,130 $ 1,122
-------
ARIZONA -- 1.0%
Avondale, Industrial Development
(RB) (A) (B) (C)
5.550%, 01/05/00 1,700 1,700
-------
DELAWARE--0.6%
New Castle County, Delaware (GO)
6.200%, 10/15/00 1,000 1,017
-------
DISTRICT OF COLUMBIA--1.1%
District of Columbia,
Callable 06/01/00
@102 Series B (FSA) (GO)
7.500%, 06/01/10 1,800 1,864
-------
FLORIDA--1.3%
Jacksonville, Florida Electric
Authority, Callable 10/01/00
@ 101.50 (RB)
6.750%, 10/01/21 2,000 2,072
------
GEORGIA--3.0%
Georgia State, Series B (GO)
5.500%, 03/01/00 1,000 1,003
25
<PAGE>
STATEMENT OF NET ASSETS
TAX-EXEMPT MONEY MARKET FUND (CONTINUED)
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
Marietta, Housing Authority,
Bells Ferry (RB) (A) (C)
3.200%, 07/15/00 $ 1,905 $ 1,905
State, Municipal Electric Authority,
(RB), (A) (C) (D)
5.550%, 01/05/00 2,000 2,000
-------
4,908
-------
ILLINOIS -- 1.6%
Hoffman Estates, (RB)
Callable 11/15/00 @ 102.00
7.375%, 11/15/01 500 524
State, Development Finance Authority,
Illinois Power Project, Series B
(RB) (A) (B) (C)
5.550%, 11/01/28 2,000 2,000
-------
2,524
-------
KANSAS -- 0.6%
Kansas State Department of
Transportation (RB)
3.850%, 09/01/00 1,000 1,000
-------
LOUISIANA -- 6.2%
Jefferson Parish, Industrial Development
Board, George J. Ackel Sr. Project
(RB) (A) (B) (C)
5.550%, 01/05/00 2,000 2,000
New Orleans, Aviation Board,
Series A (RB) (MBIA) (A) (B) (C)
5.400%, 01/05/00 1,900 1,900
New Orleans, Aviation Board,
Series B (RB) (MBIA) (A) (B) (C)
5.400%, 01/05/00 2,800 2,800
New Orleans, Aviation Board,
Series C (GO) (MBIA) (A) (B) (C)
5.400%, 01/05/00 1,400 1,400
State, Public Facilities Authority,
Willis-Knighton Medical Center
(RB) (AMBAC) (A) (B) (C)
5.650%, 01/05/00 2,000 2,000
--------
10,100
--------
MARYLAND -- 2.9%
Baltimore, Maryland Series A
(GO) (FGIC)
7.500%, 10/15/00 2,225 2,286
Maryland State Callable 10/15/00
@101.00 (GO)
7.000%, 10/15/03 2,300 2,377
--------
4,663
--------
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
MASSACHUSETTS--1.2%
Greenfield, Massachuesetts (BAN)
3.500%, 01/14/00 $ 2,000 $ 2,000
--------
MICHIGAN--1.2%
Michigan State Recreational
Program (GO)
5.625%, 11/01/00 1,900 1,927
--------
MINNESOTA--6.1%
Minnesota Rural Water Finance
Authority Callable 08/02/99
@ 100 (GIC) (RB)
4.250%, 09/01/00 3,000 3,007
Minnesota State Callable
08/01/00 @100.00 (GO)
6.800%, 08/01/02 2,500 2,541
Minnesota State (GO)
5.000%, 11/01/00 3,000 3,028
New Brighton, Industrial
Development Authority, Unicare
Nursing Homes Project (A) (B) (C)
5.550%, 01/05/00 1,400 1,400
-------
9,976
-------
MISSOURI--2.6%
Kansas City, Municipal Assistance,
Series C (RB) (AMBAC)
5.875%, 04/15/00 1,000 1,007
Springfield, Industrial Development
Authority, Pebblecreek Apartments
(RB) (A) (B) (C)
5.500%, 01/05/00 1,200 1,200
State, Health & Educational Facilities
Authority, Cox Health Systems
(RB) (A)
4.700%, 01/01/00 1,000 1,000
State, Health & Educational Facilities
Authority, The Washington
University, Series D (RB) (A)
4.700%, 01/01/00 1,000 1,000
-------
4,207
-------
NEW JERSEY--9.2%
Bayonne (BAN)
4.000%, 07/14/00 3,000 3,002
Chatham Borough (BAN)
3.400%, 02/01/00 781 781
Little Ferry, New Jersey (BAN)
4.250%, 08/04/00 1,287 1,292
North Arlington, New Jersey (BAN)
4.250%, 01/19/00 3,000 3,000
26
<PAGE>
[GRAPHIC OMITTED]
DECEMBER 31,1999
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
Rumson (BAN)
4.000%, 04/19/00 $ 887 $ 889
3.375%, 05/12/00 800 800
State, Economic Development
Authority, Peddie School Project
(RB) (A) (B) (C)
5.350%, 01/06/00 1,350 1,350
State, Economic
Development Authority Series B
(RB) (AMBAC) (A) (B) (C)
4.500%, 01/01/00 2,500 2,500
State, Educational Facility
Authority (RB)
4.000%, 07/01/00 1,335 1,337
-------
14,951
-------
NEW YORK--19.0%
New York City, Municipal Water
Finance Agency (RB) (FGIC) (A)
4.500%, 01/01/00 5,100 5,100
New York City, Sub Series A-6
(GO) (A) (B) (C)
5.450%, 01/05/00 5,230 5,230
New York City, Sub Series A-10
(GO) (A) (B) (C)
4.500%, 01/01/00 3,000 3,000
New York City, Sub Series B-2
(GO) (MGT) (A)
4.500%, 01/01/00 1,300 1,300
New York City, Transitional Finance
Authority, Series A-1
(RB) (A) (B) (C)
5.500%, 01/05/00 8,000 8,000
New York State Medical Care Facility
Callable on 08/15/00 @102.00 (RB)
7.875%, 08/15/08 1,180 1,232
State, Bridge Authority (RB)
5.000%, 01/01/00 1,090 1,090
State, Energy Research &
Development Authority,
Brooklyn Union Gas Project,
Series A-1 (A) (B) (C)
5.450%, 01/05/00 6,000 6,000
-------
30,952
-------
NORTH CAROLINA--3.1%
Charlotte-Mecklenberg, North
Carolina Hospital Authority, Health
Care Systems, Series B
(RB) (A) (B) (C)
5.300%, 01/06/00 4,000 4,000
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
Wake County, Carolina Power &
Light Company (RB) (A) (B) (C)
5.400%, 01/05/00 $ 1,100 $ 1,100
--------
5,100
--------
OKLAHOMA--1.8%
Tulsa, University of Tulsa, Series B
(RB) (MBIA) (A)
5.500%, 01/05/00 3,000 3,000
--------
TENNESSEE--2.2%
Morristown, Industrial Development
Board, Williamhouse Regency
(RB) (A) (B)
5.750%, 01/05/00 1,600 1,600
Nashville & Davidson Counties,
Old Hickory Towers, Series A
(RB) (A) (B) (C)
5.650%, 01/05/00 2,000 2,000
-------
3,600
-------
TEXAS--1.5%
Harris County, Series C (RB) (A)
5.000%, 08/01/15 2,000 2,000
Texas State (GO)
5.375%, 01/05/00 500 505
-------
2,505
-------
WASHINGTON--6.3%
Chelan County, Public Utility District,
Chelan Hydro Project, Series A
(RB) (MBIA) (A)
5.500%, 01/05/00 2,040 2,040
Seattle, Washington Drain &
Wastewater (RB)
4.000%, 11/01/00 550 550
State (GO)
4.700%, 10/01/00 3,000 3,018
6.375%, 08/01/10 3,200 3,248
State, Health Care Facility, Fred
Hutchinson Cancer Center
(RB) (A)
4.500%, 01/01/00 1,500 1,500
-------
10,356
-------
Total Municipal Bonds
(Cost $119,544) 119,544
-------
COMMERCIAL PAPER--17.4%
FLORIDA--9.1%
Jacksonville, Florida (TECP)
3.800%, 01/10/00 5,000 5,000
3.400%, 01/12/00 3,000 3,000
27
<PAGE>
STATEMENT OF NET ASSETS
TAX-EXEMPT MONEY MARKET FUND (CONTINUED)
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000)/SHARES VALUE (000)
- --------------------------------------------------------------------------------
Sunshine State (TECP)
3.700%, 01/18/00 $ 2,800 $ 2,800
3.300%, 02/14/00 4,000 4,000
-------
14,800
-------
GEORGIA--2.8%
Municipal Electrical Authority of Georgia
(TECP)
3.750%, 02/01/00 4,600 4,600
-------
MARYLAND--2.5%
Baltimore County, Maryland (TECP)
3.750%, 04/10/00 4,000 4,000
-------
MASSACHUSETTS--1.2%
Massachusetts Bay Transit Authority
(TECP)
3.650%, 01/21/00 2,000 2,000
-------
TEXAS--1.8%
Austin Texas (TECP)
3.800%, 02/07/00 3,000 3,000
-------
Total Commercial Paper
(Cost $28,400) 28,400
-------
CASH EQUIVALENTS--8.9%
Goldman Sachs Tax-Free
Money Market 7,906,000 7,906
SEI Institutional Tax-Free
Portfolio 6,652,000 6,652
-------
Total Cash Equivalents
(Cost $14,558) 14,558
-------
Total Investments--99.5%
(Cost $162,502)) 162,502
-------
OTHER ASSETS AND LIABILITIES, NET--0.5% 742
-------
NET ASSETS:
Portfolio Shares of Class I (unlimited
authorization -- no par value) based
on 137,737,921 outstanding shares of
beneficial interest 137,738
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 25,508,227 outstanding shares of
beneficial interest 25,508
Accumulated net realized loss on
investments (2)
--------
Total Net Assets--100.0% $163,244
========
- --------------------------------------------------------------------------------
DESCRIPTION PAR (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
=======
(A) VARIABLE RATE SECURITY. THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS IS
THE RATE IN EFFECT ON DECEMBER 31, 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
GIC -- GUARANTEED INVESTMENT CONTRACT
GO -- GENERAL OBLIGATION
RB -- REVENUE BOND
TECP -- TAX EXEMPT COMMERCIAL PAPER
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 -- FEDERAL GUARANTY INSURANCE COMPANY
FSA -- FINANCIAL SECURITIES ASSURANCE
MBIA -- MUNICIPAL BOND INSURANCE ASSOCIATION
MGT -- MORGAN GUARANTY TRUST
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
U.S. TREASURY SECURITIES PLUS MONEY MARKET FUND
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--58.9%
U. S. Treasury Bills (A)
5.190%, 01/20/00 $ 3,000 $ 2,992
5.550%, 05/25/00 2,000 1,955
U.S. Treasury Notes
6.375%, 01/15/00 13,000 13,005
5.375%, 01/31/00 10,000 10,001
5.500%, 04/15/00 1,000 1,000
5.625%, 04/30/00 3,000 2,999
5.375%, 07/31/00 3,000 2,997
-------
Total U.S. Treasury Obligations
(Cost $34,949) 34,949
-------
28
<PAGE>
[GRAPHIC OMITTED]
DECEMBER 31,1999
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--40.0%
Barclays
2.860%, dated 12/31/99,
matures 01/03/00, repurchase
price $2,466,395 (collaterized
by U.S. Treasury Bill,
total market value
$2,515,165) (B) $ 2,466 $ 2,466
J.P. Morgan
2.860%, dated 12/31/99, matures
01/03/00, repurchase price
$7,081,080 (collaterized
by U.S. Treasury Note,
total market value
$7,221,455) (B) 7,079 7,079
Morgan
2.860%, dated 12/31/99, matures
01/03/00, repurchase price
$1,573,202 (collaterized by
U.S. Treasury Bill, total
market value
$1,607,947) (B) 1,573 1,573
Warburg
2.860%, dated 12/31/99, matures
01/03/00, repurchase price
$12,621,614 (collaterized
by U.S. Treasury Note,
total market value
$12,871,667) (B) 12,619 12,619
-------
Total Repurchase Agreements
(Cost $23,737) 23,737
-------
Total Investments--98.9%
(Cost $58,686) 58,686
-------
OTHER ASSETS AND LIABILITIES, NET--1.1% 654
-------
NET ASSETS:
Portfolio Shares (unlimited
authorization -- no par value) based
on 59,358,368 outstanding shares of
beneficial interest 59,358
Accumulated net realized loss on
investments (18)
-------
Total Net Assets--100.0% $59,340
=======
Net Asset Value, Offering and Redemption
Price Per Share $ 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.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
INSTITUTIONAL SELECT MONEY MARKET FUND
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER--91.8%
BANKS--22.2%
Abbey National Bank
6.180%, 01/10/00 $ 3,500 $ 3,495
5.920%, 01/14/00 1,000 998
5.900%, 03/07/00 4,000 3,957
Abn-Amro
6.270%, 01/06/00 500 500
Agfc
5.960%, 02/04/00 2,000 1,989
Australia New Zealand Bank
5.880%, 02/04/00 400 398
6.020%, 02/14/00 5,000 4,963
5.850%, 02/22/00 5,000 4,958
Bank of America
5.890%, 01/10/00 2,000 1,997
5.750%, 01/25/00 2,000 1,992
5.850%, 01/26/00 1,000 996
Bank of Nova Scotia
5.870%, 01/05/00 3,000 2,998
6.000%, 01/13/00 1,000 998
5.910%, 02/09/00 5,000 4,968
Bankamerica
5.400%, 01/26/00 2,000 1,993
4.940%, 02/01/00 1,000 996
5.880%, 03/10/00 4,000 3,955
Deutsche Bank
5.930%, 01/14/00 5,000 4,989
Ilfc
5.800%, 02/23/00 2,000 1,983
Rabobank
5.820%, 06/08/00 5,000 4,871
5.830%, 06/08/00 2,000 1,949
Royal Bank of Canada
6.150%, 01/20/00 5,000 4,984
Wells Fargo
5.740%, 03/10/00 5,000 4,945
5.830%, 03/10/00 2,200 2,175
5.970%, 03/15/00 2,500 2,469
5.860%, 03/17/00 5,000 4,938
-------
75,454
-------
DRUGS--0.6%
American Home Products
5.720%, 01/18/00 2,000 1,995
-------
ELECTRICAL SERVICES--7.6%
Georgia Power
5.710%, 02/01/00 2,000 1,990
5.750%, 02/02/00 2,000 1,990
5.900%, 02/10/00 4,500 4,471
5.900%, 03/10/00 4,500 4,449
29
<PAGE>
STATEMENT OF NET ASSETS
INSTITUTIONAL SELECT MONEY MARKET FUND (CONTINUED)
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
Pacificorp
5.710%, 01/20/00 $ 3,000 $ 2,991
Southern California Edison
5.920%, 01/18/00 5,000 4,986
6.080%, 02/11/00 5,000 4,965
-------
25,842
-------
FINANCIAL SERVICES--43.1%
American General Finance
6.050%, 01/24/00 2,000 1,992
5.870%, 01/31/00 4,000 3,980
5.900%, 02/03/00 2,000 1,989
5.810%, 02/15/00 3,000 2,978
Associates Financial Services
5.950%, 02/03/00 4,500 4,475
5.950%, 02/09/00 3,000 2,981
Cargill Financial
6.700%, 01/14/00 2,000 1,995
5.720%, 01/19/00 3,144 3,135
5.420%, 01/21/00 5,000 4,985
Cargill Global
5.080%, 02/10/00 3,000 2,983
Centric Capital Funding
5.960%, 01/18/00 2,000 1,994
6.050%, 01/18/00 750 748
5.800%, 02/01/00 2,000 1,990
5.920%, 03/09/00 5,800 5,735
Ciesco
5.830%, 01/18/00 2,000 1,994
6.050%, 01/18/00 450 449
5.900%, 01/20/00 2,000 1,994
5.875%, 01/25/00 2,000 1,992
Ford Motor Credit
5.820%, 01/19/00 3,000 2,991
5.930%, 01/21/00 2,000 1,993
General Electric Capital Services
5.970%, 02/04/00 2,000 1,989
5.810%, 02/16/00 5,000 4,963
5.810%, 02/17/00 3,000 2,977
5.920%, 03/02/00 3,000 2,970
GMAC
6.090%, 01/18/00 2,000 1,994
5.860%, 01/26/00 1,500 1,494
5.810%, 01/27/00 4,000 3,983
5.960%, 02/01/00 2,000 1,990
5.900%, 02/02/00 2,000 1,990
5.450%, 02/08/00 2,000 1,988
5.850%, 02/24/00 250 248
Goldman Sachs
6.000%, 01/28/00 2,000 1,991
5.670%, 02/01/00 2,000 1,990
5.980%, 02/10/00 2,000 1,987
5.980%, 02/11/00 2,000 1,986
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
5.960%, 02/14/00 $ 2,000 $ 1,985
5.910%, 03/08/00 3,000 2,967
GTE Funding
5.870%, 01/18/00 3,800 3,789
5.880%, 01/20/00 3,000 2,991
5.850%, 01/21/00 400 399
5.930%, 02/24/00 2,000 1,982
JP Morgan
5.400%, 01/18/00 2,000 1,995
Merrill Lynch
5.830%, 01/21/00 3,000 2,990
5.930%, 01/28/00 2,000 1,991
5.860%, 01/31/00 3,000 2,985
5.960%, 01/31/00 5,000 4,975
5.050%, 02/01/00 1,000 996
5.950%, 03/31/00 790 778
Paccar Financial
5.950%, 01/20/00 1,850 1,844
5.820%, 03/03/00 4,000 3,960
Toyota Motor Credit
5.950%, 01/18/00 3,000 2,992
Transamerica Finance
6.000%, 01/11/00 515 514
6.070%, 02/08/00 1,000 994
5.720%, 02/09/00 2,000 1,988
5.890%, 02/25/00 900 892
5.850%, 03/10/00 5,000 4,944
5.770%, 03/20/00 3,000 2,962
5.820%, 03/20/00 2,000 1,974
Usaa Capital
5.870%, 01/25/00 3,500 3,486
5.940%, 01/31/00 1,000 995
-------
146,281
-------
HOUSEHOLD PRODUCTS--1.7%
Gillette
5.930%, 01/14/00 5,000 4,989
6.000%, 01/14/00 907 905
-------
5,894
-------
LEASING & RENTING--3.5%
International Lease Finance
5.730%, 02/14/00 4,000 3,972
5.870%, 02/14/00 5,000 4,964
5.800%, 02/23/00 3,000 2,974
-------
11,910
-------
LEISURE PRODUCTS--1.6%
Hasbro
5.880%, 01/03/00 2,445 2,444
5.870%, 01/11/00 3,000 2,995
-------
5,439
-------
30
<PAGE>
[GRAPHIC OMITTED]
DECEMBER 31,1999
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
MACHINERY--1.5%
Deere
5.900%, 02/07/00 $ 5,000 $ 4,970
-------
MISCELLANEOUS BUSINESS SERVICES--2.1%
AT&T
5.860%, 01/13/00 7,000 6,986
-------
PETROLEUM & FUEL PRODUCTS--2.9%
Colonial Pipeline
5.800%, 02/04/00 2,100 2,089
6.050%, 02/24/00 2,000 1,982
5.750%, 04/04/00 3,000 2,955
5.820%, 04/26/00 3,000 2,944
-------
9,970
-------
PRINTING & PUBLISHING--0.9%
McGraw Hill
6.200%, 01/21/00 3,000 2,990
-------
UTILITIES--4.1%
National Rural Utilities
5.800%, 01/24/00 4,000 3,985
5.850%, 03/06/00 3,000 2,968
5.900%, 03/07/00 3,000 2,968
5.850%, 03/14/00 2,000 1,976
5.920%, 03/21/00 2,000 1,974
-------
13,871
-------
Total Commercial Paper
(Cost $311,602) 311,602
-------
U.S. GOVERNMENT AGENCY OBLIGATIONS--4.9%
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
6.040%, 09/01/00 1,350 1,350
6.210%, 01/12/01 2,750 2,750
6.280%, 01/12/01 5,000 5,000
-------
Total U.S. Government Agency
Obligations
(Cost $16,700) 16,700
-------
CORPORATE OBLIGATIONS--1.3%
Associates Corporation of North America
6.000%, 03/15/00 500 501
Bell Atlantic Financial Services (MTN)
6.710%, 02/03/00 900 901
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
Federal National Mortgage Association
5.900%, 12/01/00 $ 2,000 $ 1,997
GMAC (MTN)
6.875%, 06/01/00 1,000 1,006
-------
Total Corporate Obligations
(Cost $4,405) 4,405
-------
CERTIFICATE OF DEPOSIT--0.6%
Toronto Dominion
5.060%, 04/17/00 2,000 2,000
-------
Total Certificate of Deposit
(Cost $2,000) 2,000
-------
REPURCHASE AGREEMENTS--4.1%
J.P. Morgan
2.790%, dated 12/31/99,
matures 01/03/00, repurchase
price $3,745,834 (collaterized
by U.S. Treasury Note, total
market value $3,820,703) (A) 3,745 3,745
Lehman Brothers 2.790%, dated
12/31/99, matures 01/03/00,
repurchase price $10,268,335
(collaterized by U.S. Treasury
Note, total market value
$10,473,283) (A) 10,266 10,266
-------
Total Repurchase Agreements
(Cost $14,011) 14,011
-------
Total Investments--102.7%
(Cost $348,718) 348,718
-------
OTHER ASSETS AND LIABILITIES, NET-- (2.7%) (9,146)
-------
NET ASSETS:
Portfolio Shares (unlimited
authorization -- no par value) based
on 339,576,312 outstanding shares
of beneficial interest 339,576
Accumulated net realized loss on
investments (4)
--------
Total Net Assets -- 100.0% $339,572
========
Net Asset Value, Offering and Redemption
Price Per Share $ 1.00
========
(A) TRI-PARTY REPURCHASE AGREEMENT.
MTN -- MEDIUM TERM NOTE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
31
<PAGE>
STATEMENT OF NET ASSETS
FIXED INCOME FUND
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS--36.8%
Federal Farm Credit Bank (MTN)
5.770%, 07/20/05 $ 5,000 $ 4,741
Federal Home Loan Bank
6.250%, 11/06/02 5,000 4,921
5.785%, 03/17/03 5,000 4,867
7.200%, 10/30/12 5,000 4,751
Federal Home Loan Mortgage
Corporation
6.300%, 06/01/04 3,000 2,911
6.130%, 02/27/06 1,600 1,535
7.585%, 09/19/06 1,000 984
Federal National Mortgage
Association
6.990%, 07/09/07 5,000 4,844
5.750%, 02/15/08 5,000 4,615
6.375%, 06/15/09 4,982 4,756
Federal National Mortgage
Association (MTN)
6.360%, 10/23/02 5,000 4,960
6.580%, 06/24/04 3,250 3,174
6.760%, 07/16/07 5,000 4,876
6.560%, 12/10/07 5,000 4,742
6.810%, 12/18/07 5,000 4,696
6.620%, 12/28/07 4,000 3,746
6.240%, 01/14/08 5,000 4,619
6.290%, 04/23/08 5,000 4,648
-------
Total U.S. Government Agency Obligations
(Cost $77,784) 74,386
-------
CORPORATE BONDS--27.1%
AGRICULTURE--1.3%
Pioneer Hi-Bred International
5.750%, 01/15/09 3,000 2,674
-------
CHEMICALS--0.5%
E.I. DuPont de Nemours
6.750%, 10/15/02 1,000 994
-------
DRUGS--3.0%
American Home Products
6.500%, 10/15/02 2,250 2,216
Eli Lilly
6.250%, 03/15/03 2,000 1,952
SmithKline Beecham (MTN)
6.625%, 10/01/05 2,000 1,940
-------
6,108
-------
ENTERTAINMENT--1.2%
Walt Disney Company (MTN)
5.125%, 12/15/03 2,500 2,337
-------
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
FINANCIAL SERVICES--12.5%
Bear Stearns
6.150%, 03/02/04 $ 3,000 $ 2,850
CITI Group Holdings (MTN)
6.250%, 11/22/01 5,000 4,931
Ford Motor Credit
5.125%, 10/15/01 3,000 2,910
Ford Motor Credit Global Bond
6.700%, 07/16/04 5,000 4,900
General Electric Capital
5.280%, 01/08/02 4,000 3,880
GMAC
5.750%, 11/10/03 3,000 2,850
Lehman Brothers
6.625%, 04/01/04 2,000 1,927
Toyota Motor Credit
5.625%, 11/13/03 1,000 952
-------
25,200
-------
INDUSTRIAL--3.8%
Anheuser Busch
6.750%, 06/01/05 1,000 971
Colgate Palmolive (MTN)
5.270%, 12/01/03 3,250 3,031
IBM (MTN)
5.100%, 11/10/03 4,000 3,735
-------
7,737
-------
LEISURE PRODUCTS--1.4%
Mattel (MTN)
7.140%, 03/11/08 3,000 2,868
-------
RETAIL--3.4%
Sears Roebuck
6.690%, 04/30/01 3,000 2,970
Walmart Stores
6.550%, 08/10/04 4,000 3,930
-------
6,900
-------
Total Corporate Bonds
(Cost $57,065) 54,818
-------
U.S. TREASURY OBLIGATIONS--18.4%
U.S. Treasury (STRIPS) (B)
0.000%, 02/15/03 3,000 2,466
U.S. Treasury Notes
5.875%, 11/30/01 2,000 1,987
5.500%, 03/31/03 5,000 4,875
5.250%, 08/15/03 9,000 8,675
6.000%, 08/15/04 5,000 4,920
6.125%, 08/15/07 5,000 4,876
5.500%, 05/15/09 5,000 4,660
6.000%, 08/15/09 5,000 4,844
-------
Total U.S. Treasury Obligations
(Cost $38,816) 37,303
-------
32
<PAGE>
[GRAPHIC OMITTED]
DECEMBER 31,1999
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
TAXABLE MUNICIPAL BONDS--13.0%
Alabama State, Housing Finance
Authority (RB)
7.625%, 08/01/10 $ 750 $ 772
Arkansas State, Development
Finance Authority (RB)
9.750%, 11/15/05 509 534
Baltimore, Maryland, City Parking,
Series B (RB) (FGIC)
7.950%, 07/01/03 510 522
Buffalo, New York, Pens System,
Series D (GO) (FGIC)
8.500%, 08/15/03 360 375
Camden County, New Jersey
Improvement Authority, Series A,
Callable 07/01/03 @ 100.5 (RB)
7.200%, 01/01/04 2,200 2,178
Collier County, Florida, Water &
Sewer Authority, Series A
(RB) (FGIC)
6.300%, 07/01/04 450 433
6.750%, 07/01/08 790 751
Fort Myers, Florida, Improvement
Authority, Series B (RB) (AMBAC)
8.450%, 12/01/03 645 672
Gillette, Wyoming,
Community Program (SOB)
10.250%, 01/01/11 1,095 1,150
Houston, Texas, Airport Systems
(RB) (FGIC)
6.100%, 07/01/01 1,260 1,246
Metropolitan Washington D.C. &
Virginia Airport Authority
(RB) (MBIA)
6.900%, 10/01/08 1,980 1,901
Michigan State, Higher Education
Student Loan Authority,
Series XV-C (RB)
7.250%, 09/01/02 775 769
Minneapolis & St. Paul, Minnesota,
Metropolitan Airports Authority,
Series 9 (GO)
8.600%, 01/01/10 900 953
Monrovia, California Redevelopment
Agency (AMBAC)
8.100%, 05/01/01 650 660
New Hampshire State, Business
Finance Authority, Series A (RB)
8.600%, 11/01/12 2,165 2,268
New Hampshire State, Pease
Development Authority (GO)
7.050%, 07/01/06 410 414
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
New Jersey State (COP)
8.000%, 12/15/02 $ 800 $ 804
New Jersey State, Economic
Development Authority,
Callable 09/15/02 @ 102 (RB)
7.800%, 03/15/07 1,645 1,670
Oklahoma City, Oklahoma Airport
Trust, Junior Lien,
Series 21 (RB) (MBIA)
6.750%, 07/01/05 1,010 982
Oklahoma City, Oklahoma Airport
Trust, Senior Lien, Series 17 (RB)
8.300%, 10/01/12 2,015 2,050
Oklahoma State, Single Family
Housing Finance Agency, Callable
09/01/04 @ 102 (RB) (MBIA)
8.700%, 09/01/13 440 443
Palm Beach County, Florida, Airport
Systems Revenue, Callable
10/01/99 @ 102 (RB) (MBIA)
9.500%, 10/01/10 1,100 1,127
Raleigh, North Carolina, North
Carolina State University, Callable
12/15/02 @ 102 (RB) (MBIA)
7.700%, 12/15/07 1,175 1,191
Secaucus, New Jersey, Municipal
Utilities Authority (RB)
8.500%, 12/01/06 600 630
Vero Beach, Florida, Water & Sewer
Authority, Series A (RB) (FGIC)
6.400%, 12/01/08 1,885 1,748
-------
Total Taxable Municipal Bonds
(Cost $26,543) 26,243
-------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS--1.2%
Federal Home Loan Mortgage
9.500%, 10/01/04 41 43
9.500%, 07/01/06 10 10
8.000%, 06/01/07 99 101
9.000%, 08/01/08 39 40
10.000%, 02/01/09 34 37
9.250%, 05/01/09 235 247
9.500%, 08/01/09 25 27
8.750%, 09/01/09 26 27
10.000%, 04/01/10 18 20
8.750%, 09/01/10 63 66
9.500%, 09/01/10 62 66
9.750%, 11/01/10 76 82
10.250%, 11/01/10 12 13
9.500%, 03/01/11 12 12
9.500%, 04/01/11 52 55
10.000%, 05/01/11 55 59
33
<PAGE>
STATEMENT OF NET ASSETS
FIXED INCOME FUND (CONTINUED)
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000)/SHARES VALUE (000)
- --------------------------------------------------------------------------------
10.000%, 12/01/13 $ 19 $ 20
8.750%, 07/01/15 16 17
9.250%, 08/01/15 120 126
9.000%, 10/01/15 47 49
6.500%, 04/15/16 253 253
9.500%, 09/01/16 12 13
9.000%, 10/01/16 20 21
9.500%, 11/01/16 28 30
8.500%, 07/01/17 28 29
9.000%, 10/01/19 120 125
Federal National Mortgage Association
6.950%, 05/25/06 377 375
8.000%, 03/01/07 90 91
7.000%, 04/01/07 91 88
9.000%, 03/01/09 30 32
8.500%, 08/01/17 40 41
6.700%, 09/25/18 31 31
8.000%, 01/25/19 79 79
Government National Mortgage
Association
9.000%, 03/15/08 20 21
9.000%, 11/15/08 81 85
9.500%, 10/15/20 37 40
-------
Total U.S. Government Mortgage-Backed
Obligations
(Cost $2,413) 2,471
-------
MORTGAGE-BACKED SECURITY--1.5%
EAB Lease Receivables Trust (A)
5.660%, 09/15/02 3,000 2,963
-------
Total Mortgage-Backed Security
(Cost $3,000) 2,963
-------
ASSET-BACKED SECURITY--0.5%
Discover Card Master Trust
6.200%, 05/16/06 1,000 971
-------
Total Asset-Backed Security
(Cost $979) 971
-------
CASH EQUIVALENTS--0.3%
SEI Liquid Asset Trust --
Government Portfolio 372,000 372
SEI Liquid Asset Trust --
Treasury Portfolio 332,000 332
-------
Total Cash Equivalents
(Cost $704) 704
-------
Total Investments--98.8%
(Cost $207,304) 199,859
-------
OTHER ASSETS AND LIABILITIES, NET--1.2% 2,518
-------
- --------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class I
(unlimited authorization -- no
par value) based on 19,459,811
outstanding shares of
beneficial interest $198,903
Portfolio Shares of Class A
(unlimited authorization -- no par value)
based on 387,573 outstanding shares of
beneficial interest 4,495
Portfolio Shares of Class B (unlimited
authorization -- no par value) based
on 780,368 outstanding shares of
beneficial interest 8,243
Undistributed net investment income 2
Accumulated net realized loss on
investments (1,821)
Net unrealized depreciation on investments (7,445)
--------
Total Net Assets -- 100.0% $202,377
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $ 9.81
========
Net Asset Value and Redemption Price
Per Share -- Class A $ 9.79
========
Maximum Public Offering Price
Per Share -- Class A ($9.79 / 95.75%) $ 10.22
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $ 9.84
========
(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.
(B) ZERO COUPON BOND -- THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS
REPRESENTS THE SECURITY'S EFFECTIVE YIELD AT PURCHASE.
COP -- CERTIFICATE OF PARTICIPATION
GO -- GENERAL OBLIGATION
MTN -- MEDIUM TERM NOTE
RB -- REVENUE BOND
SOB -- SPECIAL OBLIGATION BOND
STRIPS -- SEPARATE TRADING OF REGISTERED INTEREST AND PRINCIPAL SECURITIES.
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR CERTAIN
SECURITIES AS DEFINED IN THE STATEMENT OF NET ASSETS:
AMBAC -- AMERICAN MUNICIPAL BOND ASSURANCE COMPANY
FGIC -- FEDERAL GUARANTY INSURANCE COMPANY
MBIA -- MUNICIPAL BOND INSURANCE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
34
<PAGE>
[GRAPHIC OMITTED]
DECEMBER 31,1999
HIGH YIELD BOND FUND
- --------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MUTUAL FUNDS--99.5%
SEI Institutional Managed Trust
High Yield Bond Fund -- Class A 918,012 $9,226
------
Total Mutual Funds
(Cost $9,639) 9,226
------
Total Investments--99.5%
(Cost $9,639) 9,226
------
OTHER ASSETS AND LIABILITIES, NET--0.5% 42
------
NET ASSETS:
Portfolio Shares of Class I
(unlimited authorization --
no par value) based
on 369,372 outstanding shares of
beneficial interest 3,651
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based
on 21,904 outstanding shares of
beneficial interest 221
Portfolio Shares of Class B
(unlimited authorization -- no
par value) based on 590,817
outstanding shares of
beneficial interest 5,876
Overdistributed net investment income (1)
Accumulated net realized loss on
investments (66)
Net unrealized depreciation on investments (413)
------
Total Net Assets -- 100.0% $9,268
======
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $ 9.45
======
Net Asset Value and Redemption Price
Per Share -- Class A $ 9.44
======
Maximum Public Offering Price Per
Share -- Class A ($9.44 / 95.75%) $ 9.86
======
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $ 9.43
======
(1) CLASS B HAS A CONTINGENT DEFERRED SALES CHARGE.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
NEW JERSEY MUNICIPAL SECURITIES FUND
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
MUNICIPAL BONDS--98.6%
NEW JERSEY--91.8%
Atlantic County (GO) (MBIA)
5.400%, 12/01/05 $ 400 $ 410
Atlantic County, Improvement
Authority, Convention
Center Project (RB) (MBIA)
7.375%, 07/01/10 400 449
Bayonne (GO) (AMBAC)
6.200%, 07/15/01 300 308
Bayonne (GO) (FGIC)
5.900%, 05/01/05 150 157
Bayonne, Municipal Authority, Water
Systems (RB) (MBIA)
5.000%, 01/01/12 500 478
Bergen County (GO)
5.125%, 06/15/05 220 223
Bergen County, General
Improvement Bonds (GO)
5.250%, 08/15/00 300 302
Bergen County, Utilities Authority,
Series A (RB) (FGIC)
6.100%, 06/15/04 500 525
Bergen County, Utilities Authority
Water Pollution Control, Callable
12/15/07 @ 101 (RB) (FGIC)
5.000%, 12/15/13 1,000 936
Bergen County, Water Pollution
Authority (RB) (FGIC)
4.750%, 12/15/15 900 790
Burlington County (GO)
5.200%, 10/01/07 700 707
4.850%, 07/15/13 500 462
Camden County (GO) (FGIC)
5.000%, 02/01/04 200 202
Camden County (GO) (MBIA)
5.600%, 06/01/03 200 204
Camden County, Health Systems--
Catholic Health East,
Series B (RB) (AMBAC)
5.000%, 11/15/18 500 439
Cape May County, Municipal Utilities
Authority (RB) (AMBAC)
5.000%, 08/01/03 800 808
Cherry Hill Township Callable
07/15/09 @ 100 (GO) (FGIC)
5.250%, 07/15/19 500 457
Cherry Hill Township (GO)
5.250%, 07/15/11 500 497
35
<PAGE>
STATEMENT OF NET ASSETS
NEW JERSEY MUNICIPAL SECURITIES FUND (CONTINUED)
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
Clinton Township (GO)
7.350%, 08/01/01 $ 300 $ 312
Delaware River & Bay Authority
(RB) (FGIC)
5.350%, 01/01/14 1,000 980
Delaware River, Pennsylvania &
New Jersey Port Authority
(RB) (FGIC)
5.400%, 01/01/13 1,000 992
Dover Township (GO) (AMBAC)
6.000%, 10/15/03 200 209
Edison Township (GO)
5.400%, 06/01/02 250 254
Edison Township (GO) (AMBAC)
4.500%, 01/01/02 500 499
4.800%, 01/01/05 300 300
Elizabeth, Additional School
Building Aid (GO)
9.000%, 03/01/01 150 157
Elizabeth, School Board (GO) (MBIA)
7.000%, 03/15/04 250 271
Essex County (GO) (FSA)
6.300%, 12/01/03 300 313
Essex County (GO) (MBIA)
4.750%, 07/15/07 200 197
Essex County, Improvement
Authority (RB) (AMBAC)
4.875%, 12/01/02 300 302
5.000%, 12/01/08 250 248
Essex County, Jail & Youth
Housing (RB)
6.500%, 12/01/06 345 373
Essex County, Property &
Equipment (RB)
5.850%, 12/01/03 300 308
Essex County, Utilities Authority,
Solid Waste Revenue (RB) (FSA)
5.000%, 04/01/04 250 252
Evesham Township, Callable
03/01/09 @ 100 (GO) (FGIC)
4.600%, 03/01/19 1,000 834
Evesham Township (GO) (FGIC)
5.000%, 09/15/12 500 476
Fort Lee (GO)
4.850%, 02/01/02 250 251
Franklin Township (GO)
5.600%, 11/01/05 400 412
Gloucester County (GO) (AMBAC)
5.000%, 09/01/03 500 504
Gloucester County, Improvement
Authority, Landfill Project,
Series A (RB)
6.000%, 09/01/06 300 308
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
Gloucester County, Solid Waste
Resource Revenue (RB) (AMT)
8.375%, 07/01/10 $1,175 $ 1,177
Greenwich Township (GO) (FSA)
5.000%, 01/15/13 500 471
5.000%, 01/15/14 800 737
Hackensack (GO)
6.100%, 06/01/05 250 259
6.100%, 06/01/07 250 259
4.900%, 03/15/09 500 491
Hackensack Meadowlands (RB)
7.125%, 06/01/02 385 394
Hackettstown, Municipal Utility
Authority, Series F (RB) (FGIC)
5.050%, 10/01/04 500 504
Hudson County, Utility Authority (RB)
11.875%, 07/01/06 285 327
Jersey City (GO)
6.500%, 02/15/03 370 388
5.500%, 03/15/14 500 496
Kearny (GO) (FGIC)
4.300%, 02/15/01 500 499
5.250%, 02/15/08 600 607
Long Branch, Sewer Authority
(RB) (FGIC)
4.900%, 06/01/02 300 302
5.200%, 06/01/05 500 506
5.250%, 06/01/06 200 202
Mercer County, Improvement
Authority (RB) (MBIA)
6.000%, 06/01/04 250 258
Mercer County, Improvement
Authority, Ewing Board of Education
Project (RB) (MBIA)
6.300%, 05/15/07 250 264
Mercer County, Improvement
Authority, Hamilton Board of
Education Project (RB) (MBIA)
5.500%, 06/01/01 200 203
4.900%, 12/15/05 150 150
Middlesex County (GO)
5.000%, 10/01/05 500 504
5.000%, 10/01/09 500 496
Middlesex County, Property Tax (GO)
5.800%, 10/01/10 500 524
Middlesex County, Utilities
Authority (RB) (FGIC)
5.000%, 12/01/12 400 381
Middlesex, Utilities Authority
(RB) (FGIC)
6.100%, 03/15/00 200 201
36
<PAGE>
[GRAPHIC OMITTED]
DECEMBER 31,1999
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
Middletown Township, Sewer
Authority, Series A (RB) (FGIC)
4.900%, 01/01/05 $ 800 $ 799
Monmouth County (RB) (MBIA)
5.125%, 12/01/16 500 457
Monmouth County, Improvement
Authority (RB) (FSA)
5.450%, 07/15/13 850 844
Monmouth County, Improvement
Authority (RB) (MBIA)
5.000%, 12/01/08 250 248
Moorestown Township (GO) (AMBAC)
6.000%, 09/01/07 300 312
Morristown (GO) (FSA)
5.500%, 08/01/01 100 102
Mount Laurel Township (GO)
4.650%, 08/01/05 500 495
New Brunswick (GO) (FGIC)
6.400%, 07/15/03 400 411
New Brunswick (GO) (MBIA)
4.700%, 09/15/09 500 479
New Brunswick, Housing Authority
(RB) (FGIC)
4.750%, 07/01/18 500 426
New Brunswick, Parking Authority
(RB) (FGIC)
5.000%, 01/01/20 500 435
Newark, Board of Education Bonds
(GO) (MBIA)
5.875%, 12/15/11 370 382
Newark, Housing Finance, Fairview
& Lock Street Project (RB)
6.150%, 02/01/13 495 506
North Bergen Township (GO) (MBIA)
4.400%, 08/01/01 500 500
North Bergen Township, Municipal
Utilities Authority (RB) (FGIC)
4.800%, 12/15/03 300 301
North Brunswick Township (GO)
5.000%, 05/15/12 1,000 952
North Brunswick Township
(GO) (FGIC)
5.000%, 02/01/10 750 736
North Jersey District, Water Supply,
Wanaque North Project,
Series A (RB) (MBIA)
4.875%, 11/15/09 250 243
5.000%, 11/15/10 500 488
North Jersey District, Water Supply,
Wanaque South Project (RB) (MBIA)
5.400%, 07/01/02 300 306
5.500%, 07/01/03 200 205
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
Ocean County (GO)
4.600%, 11/01/03 $ 500 $ 499
5.800%, 09/01/10 500 523
Ocean Township (GO) (MBIA)
5.400%, 06/01/15 250 256
Old Tappan, Board of Education
(GO) (FGIC)
5.100%, 04/01/18 500 449
Parsippany Troy Hills Township (GO)
4.700%, 12/01/03 500 501
4.700%, 12/01/04 400 399
Parsippany Troy Hills Township
(GO) (MBIA)
5.000%, 12/01/15 500 451
Passaic County (GO) (FGIC)
4.750%, 09/01/04 500 501
Passaic County (GO) (MBIA)
4.450%, 05/01/04 200 198
Passaic County, Cash Flow
Management Project (GO)
6.400%, 11/15/01 300 311
Paterson (GO)
6.350%, 02/15/03 235 245
Pennsylvania & New Jersey Delaware
River Port Authority
(RB) (AMBAC)
5.250%, 01/01/09 1,000 1,006
Pequannock-Lincoln Park, Sewer
Authority (RB) (MBIA)
4.400%, 12/01/02 500 496
Perth Amboy (GO) (FSA)
6.200%, 09/01/00 300 304
6.400%, 09/01/02 300 315
Pleasantville (GO) (MBIA)
5.000%, 02/15/11 500 487
Point Pleasant (GO) (MBIA)
5.450%, 12/01/00 200 203
Port Authority of New York &
New Jersey (RB)
5.300%, 08/01/03 300 306
Port Authority of New York &
New Jersey (RB) (AMBAC)
5.200%, 07/15/17 1,000 914
Princeton (GO)
4.400%, 09/01/01 300 300
Rahway Valley, Sewer Authority (RB)
6.200%, 04/01/01 210 210
Randolph Township, School
District (GO) (FGIC)
5.000%, 08/01/15 500 451
Roselle (GO) (MBIA)
4.750%, 10/15/04 700 701
37
<PAGE>
STATEMENT OF NET ASSETS
NEW JERSEY MUNICIPAL SECURITIES FUND (CONTINUED)
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
Roxbury (COP)
5.000%, 10/15/00 $ 250 $ 251
Rutgers State University, Series A (RB)
4.375%, 05/01/01 500 499
Rutgers State University, Series S (RB)
5.000%, 05/01/04 500 502
Rutgers University, Series U (RB)
5.000%, 05/01/14 500 467
Secaucus, Municipal Utilities
Authority, Sewer Project,
Series A (RB)
5.650%, 12/01/04 200 207
5.750%, 12/01/05 385 400
Somerset County (GO)
5.000%, 10/01/02 200 202
4.450%, 12/01/02 500 499
4.350%, 12/01/04 600 591
Somerset Raritan Valley, Sewer
Improvement Authority,
Series H (RB)
5.150%, 07/01/01 300 303
South Brunswick Township (GO)
6.300%, 04/01/04 250 263
South Jersey, Transportation
Authority, Transportation Systems,
Series B (RB) (MBIA)
5.500%, 11/01/02 250 256
State (COP) (AMBAC)
5.000%, 06/15/14 500 461
State (GO)
5.300%, 02/15/02 850 863
7.000%, 04/01/02 250 258
6.400%, 09/15/02 250 258
5.400%, 02/15/03 300 306
State, Building Authority
Callable 06/15/07 @ 102 (RB)
5.000%, 06/15/10 600 585
State, Building Authority (RB)
9.625%, 02/01/03 230 252
4.700%, 06/15/06 250 246
4.750%, 06/15/17 500 432
State, Building Authority
(RB) (MBIA)
5.000%, 06/15/18 1,000 884
State, Callable 03/01/08
@ 100 (GO)
4.750%, 03/01/17 1,000 863
State, Callable 06/15/07 @ 100
(COP) (AMBAC)
5.000%, 06/15/13 1,000 933
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
State, Casino Reinvestment
Development Authority (RB) (FSA)
5.000%, 10/01/04 $ 1,000 $ 1,009
5.250%, 10/01/09 1,000 1,008
5.250%, 10/01/13 500 484
5.250%, 10/01/14 1,000 958
State, Economic Development
Authority Prerefunded Callable
05/01/06 @ 101 (RB)
6.000%, 05/01/09 25 26
State, Economic Development
Authority Unrefunded Callable
05/01/06 @ 101 (RB)
6.000%, 05/01/09 175 180
State, Educational Facilities
Authority Princeton Theological,
Series A Callable 07/01/07
@ 101(RB)
4.700%, 07/01/10 500 480
State, Ecomonic Development
Authority (RB)
4.900%, 08/15/04 200 201
5.600%, 10/01/12 500 441
5.700%, 10/01/17 1,000 850
State, Economic Development
Authority (RB) (MBIA)
4.550%, 11/15/10 1,000 931
State, Economic Development
Authority, Saint Barnabas Project,
Series A (RB) (MBIA)
4.875%, 07/01/05 500 499
State, Economic Development
Authority, Series A (RB) (MBIA)
5.125%, 07/01/00 300 302
5.400%, 07/01/02 300 306
State, Educational Facilities
Authority (RB)
5.000%, 07/01/28 250 210
State, Educational Facilities Authority
(RB) (MBIA)
4.200%, 07/01/05 500 479
State, Educational Facilities Authority,
Drew University Issue, Series B (RB)
5.750%, 07/01/02 360 369
State, Educational Facilities Authority,
Glassboro State College (RB)
6.750%, 07/01/09 300 300
38
<PAGE>
[GRAPHIC OMITTED]
DECEMBER 31,1999
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
State, Educational Facilities Authority,
Medicine & Dentistry,
Series B (RB) (AMBAC)
5.000%, 12/01/07 $ 250 $ 249
State, Educational Facilities Authority,
Rowan College (RB) (MBIA)
5.050%, 07/01/03 300 303
State, Educational Facilities Authority,
Rowan College,
Series C (RB) (MBIA)
5.250%, 07/01/05 300 305
State, Educational Facilities Authority,
Series A (RB) (AMBAC)
5.125%, 09/01/06 300 302
State, Educational Facilities Authority,
Stockton State College,
Series B (RB) (AMBAC)
6.200%, 07/01/04 300 315
State, Environmental Infrastructure
Wastewater Treatment (RB)
5.000%, 09/01/10 1,000 978
5.000%, 09/01/14 1,000 935
State, Equipment Series A (COP)
6.000%, 10/01/00 300 304
State, Health Care Facilities Authority
(RB) (AMBAC)
5.000%, 07/01/16 1,000 896
State, Health Care Facilities Authority
(RB) (MBIA)
5.200%, 07/01/18 500 456
State, Health Care Facilities
Authority, Atlantic City Medical
Center (RB) (AMBAC)
5.000%, 07/01/02 300 303
State, Health Care Facilities Authority,
Chilton Memorial Hospital (RB)
6.550%, 07/01/03 300 312
State, Health Care Facilities Authority,
Hackensack Medical Center
(RB) (MBIA)
5.100%, 07/01/03 500 506
State, Health Care Facilities Authority,
JFK Health Systems (RB) (FGIC)
4.600%, 07/01/05 250 246
State, Health Care Facilities Authority,
Mountain Side Hospital (RB) (FGIC)
6.000%, 07/01/00 300 303
State, Health Care Facilities Authority,
Series A (RB) (MBIA)
5.000%, 01/01/18 500 440
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
State, Health Care Facilities
Authority, Shore Memorial
Healthcare Systems (RB) (FGIC)
4.800%, 07/01/03 $ 200 $ 201
State, Health Care Facilities
Financing Authority (RB)
6.800%, 08/01/19 1,000 1,042
State, Health Care Facilities
Financing Authority, Pre-
Refunded @ 102 (RB) (A)
6.800%, 08/01/19 425 444
State, Highway Authority, Garden
State Parkway (RB)
6.000%, 01/01/19 1,000 1,026
State, Hillcrest Health Project
(RB) (AMBAC)
5.000%, 01/01/07 300 299
State, Housing & Mortgage
Authority (RB)
6.300%, 05/01/02 400 412
6.400%, 05/01/02 520 536
State, Housing & Mortgage Finance
Agency (RB) (AMBAC)
5.300%, 05/01/06 325 329
State, Housing & Mortgage Finance
Agency, Home Buyer,
Series N (RB) (MBIA)
5.200%, 04/01/06 500 504
State, Housing & Mortgage Finance
Agency, Section 8 (RB)
6.000%, 11/01/02 570 579
State, Housing Finance Authority (RB)
5.100%, 11/01/00 500 499
State, Infrastructure Trust (RB)
5.000%, 05/01/11 500 483
State, Infrastructure Trust
(RB) (FGIC)
5.000%, 04/01/11 450 435
State, Montclair State University,
Series C (RB) (AMBAC)
5.375%, 07/01/08 1,285 1,312
State, Series A (COP)
6.100%, 10/01/01 1,000 1,028
State, Series E (GO)
5.000%, 07/15/04 100 101
State, South Orange & Maplewood
School District (GO)
6.125%, 11/01/01 150 155
39
<PAGE>
STATEMENT OF NET ASSETS
NEW JERSEY MUNICIPAL SECURITIES FUND (CONTINUED)
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
State, Sports & Expostion Authority
Convention Center (RB) (MBIA)
5.900%, 07/01/03 $ 300 $ 314
State, Sports & Exposition Authority,
Convention Center Luxury Tax,
Series A (RB) (MBIA)
5.600%, 07/01/01 175 178
State, Sports & Exposition Authority,
Series A (RB)
5.000%, 09/01/06 200 201
State, Sports & Exposition State
Guaranteed (RB)
8.300%, 01/01/03 380 417
State, Transportation Authority
(RB) (MBIA)
5.000%, 06/15/15 500 456
State, Transportation Authority,
Series A (RB)
5.750%, 06/15/15 1,000 1,006
State, Transportation Authority,
Series A (RB) (AMBAC)
5.200%, 12/15/00 200 202
State, Transportation Authority,
Series A (RB) (FSA)
5.300%, 12/15/01 200 203
5.000%, 06/15/18 1,000 884
State, Transportation Authority,
Series A (RB) (MBIA)
4.500%, 12/15/02 450 448
5.500%, 06/15/11 750 763
State, Transportation Authority,
Series A, Callable 06/15/09
@ 100 (RB) (FSA)
4.500%, 06/15/19 1,000 818
State, Transportation Authority,
Series B (RB) (MBIA)
5.200%, 06/15/06 1,850 1,871
State, Turnpike Authority (RB)
6.400%, 01/01/02 300 308
10.375%, 01/01/03 405 442
State, Turnpike Authority,
Series A (RB) (AMBAC)
5.900%, 01/01/04 500 514
6.400%, 01/01/07 620 639
State, Union County (GO)
4.400%, 10/01/05 500 488
State, Union County, Environmental
Improvement Authority (RB)
4.900%, 04/01/02 350 352
State, Union County, Improvement
Authority (RB)
4.700%, 11/01/05 250 248
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
State, University Medicine &
Dentistry, Series E (RB)
6.200%, 12/01/03 $ 500 $ 522
State, Warren County, Pollution
Control Finance Authority
(RB) (MBIA)
6.550%, 12/01/06 300 301
State, Washington Township,
Board of Education (GO) (MBIA)
5.000%, 02/01/03 500 505
State, Wastewater Treatment Trust,
Pre-refunded @ 102 (RB)
6.000%, 07/01/10 955 993
State, Wastewater Treatment
Trust (RB)
5.000%, 09/01/17 400 363
State, Wastewater Treatment Trust,
Series A (RB)
5.000%, 09/01/06 450 451
State, Woodbridge Township,
Pre-Refunded @ 101 (RB) (A)
6.800%, 08/01/04 250 256
State, Woodbridge Township,
Series A (GO)
4.650%, 09/15/05 100 99
State, Woodbridge Township,
Series C (GO)
4.650%, 09/15/05 100 99
Stony Brook, Sewer Authority (RB)
4.500%, 12/01/00 500 502
Union County (GO)
4.400%, 09/01/01 500 500
Union County, Environmental
Improvement Authority (RB)
5.150%, 04/01/05 500 506
Union County, General
Improvement (GO)
4.750%, 02/01/03 500 502
Union County, Improvement
Authority (RB)
5.050%, 03/01/08 125 125
Wanaque Valley, Sewer Authority,
Series B (RB) (AMBAC)
5.100%, 09/01/03 300 304
Warren County, Municipal Utilities
Authority, Wastewater Treatment
Project (RB)
5.050%, 12/01/04 225 227
Warren County, Pollution Control
Finance Authority, Resource
Recovery Project (RB) (MBIA)
6.150%, 12/01/02 210 211
40
<PAGE>
[GRAPHIC OMITTED]
DECEMBER 31,1999
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
Washington Township
(GO) (MBIA)
5.000%, 02/01/06 $ 250 $ 251
Wayne Township (GO)
5.450%, 10/01/04 250 254
West Windsor Township (GO)
6.000%, 10/15/05 200 205
--------
101,639
--------
NEW YORK--0.6%
New York & New Jersey
Port Authority (RB)
6.800%, 07/15/08 250 257
New York & New Jersey, Port
Authority (RB) (MBIA)
4.750%, 08/01/16 500 432
--------
689
--------
PENNSYLVANIA--1.2%
Delaware River Port Authority,
Series B (RB) (MBIA)
4.750%, 01/01/14 480 431
4.750%, 01/01/17 1,000 870
--------
1,301
--------
PUERTO RICO--5.0%
Puerto Rico, Electric Power
Authority (RB) (MBIA)
4.900%, 07/01/05 1,000 1,005
Puerto Rico, Electric Power
Authority, Series Y (RB) (MBIA)
6.500%, 07/01/06 500 544
Puerto Rico, Infrastructure Financing
Authority (RB) (AMBAC)
5.000%, 07/01/28 1,000 851
Puerto Rico, Public Buildings
Authority, Series A (RB) (AMBAC)
4.500%, 07/01/01 200 201
Puerto Rico, Series A (RB) (MBIA)
5.000%, 10/01/22 1,000 875
Puerto Rico, Telephone Authority,
Series M (RB)
5.000%, 01/01/02 500 506
5.400%, 01/01/08 260 270
Puerto Rico, Telephone Authority,
Series M (RB) (AMBAC)
5.050%, 01/01/04 590 606
Puerto Rico, Telephone Authority,
Series N (RB)
5.100%, 01/01/04 395 406
Puerto Rico, Tourist &
Environmental (RB)
5.250%, 08/01/06 200 200
--------
5,464
--------
- --------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Total Municipal Bonds
(Cost $111,325) $109,093
--------
CASH EQUIVALENT--0.2%
Federated New Jersey Municipal
Cash Trust 199,000 199
--------
Total Cash Equivalent
(Cost $199) 199
--------
Total Investments--98.8%
(Cost $111,524) 109,292
--------
OTHER ASSETS AND LIABILITIES, NET--1.2% 1,390
--------
NET ASSETS:
Portfolio Shares of Class I
(unlimited authorization --
no par value) based on
9,661,582 outstanding shares
of beneficial interest 100,758
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
1,129,866 outstanding shares of
beneficial interest 12,110
Accumulated net realized gain on
investments 46
Net unrealized depreciation on investments (2,232)
--------
Total Net Assets -- 100.0% $110,682
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $ 10.26
========
Net Asset Value and Redemption Price Per
Share -- Class A $ 10.22
========
Maximum Public Offering Price Per
Share -- Class A ($10.22 / 97%) $ 10.54
========
(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.
41
<PAGE>
STATEMENT OF NET ASSETS
INTERMEDIATE-TERM GOVERNMENT SECURITIES FUND
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000)/SHARES VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--48.3%
U.S. Treasury Notes
6.250%, 01/31/02 $ 750 $ 750
6.250%, 02/28/02 1,000 999
6.250%, 06/30/02 2,000 1,999
5.500%, 01/31/03 1,250 1,221
5.500%, 02/28/03 1,000 976
5.500%, 05/31/03 1,600 1,558
5.375%, 06/30/03 1,000 970
5.875%, 11/15/05 1,000 971
5.625%, 02/15/06 1,750 1,674
-------
Total U.S. Treasury Obligations
(Cost $11,380) 11,118
-------
U.S. GOVERNMENT AGENCY OBLIGATIONS--49.7%
Federal Farm Credit Bank
6.550%, 02/07/04 1,000 989
5.790%, 03/15/06 1,000 942
Federal Home Loan Bank
5.285%, 02/17/04 1,000 945
7.025%, 02/17/05 1,000 975
6.220%, 06/15/05 1,000 955
5.370%, 01/20/06 1,000 923
6.530%, 06/09/09 1,000 928
7.250%, 11/19/09 1,000 965
Federal National Mortgage Association
7.110%, 03/20/06 125 122
6.010%, 05/03/06 750 704
6.000%, 02/23/09 1,500 1,347
6.500%, 03/12/09 800 741
6.430%, 04/01/09 1,000 922
-------
Total U.S. Government Agency Obligations
(Cost $12,215) 11,458
-------
CASH EQUIVALENT--0.8%
SEI Liquid Asset Trust --
Government Portfolio 182,000 182
-------
Total Cash Equivalent
(Cost $182) 182
-------
Total Investments--98.8%
(Cost $23,777) 22,758
-------
OTHER ASSETS AND LIABILITIES, NET--1.2% 273
-------
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class I
(unlimited authorization --
no par value) based on
2,263,773 outstanding shares
of beneficial interest $24,159
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on 96,852
outstanding shares of
beneficial interest 1,237
Accumulated net realized loss on
investments (1,346)
Net unrealized depreciation on investments (1,019)
-------
Total Net Assets -- 100.0% $23,031
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $ 9.76
=======
Net Asset Value and Redemption Price
Per Share -- Class A $ 9.75
=======
Maximum Public Offering Price Per
Share -- Class A ($9.75 / 96%) $ 10.16
=======
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
PENNSYLVANIA MUNICIPAL SECURITIES FUND
- --------------------------------------------------------------------------------
MUNICIPAL BONDS--95.6%
PENNSYLVANIA--92.7%
Allegheny County Port Authority
Callable 03/01/09 @101
(RB) (MBIA)
6.375%, 03/01/15 250 262
Allegheny County, Hospital
Development Authority (RB) (MBIA)
5.600%, 04/01/13 500 495
Allegheny County, Hospital
Development Authority, Pittsburgh
Mercy Health System (RB) (AMBAC)
5.500%, 08/15/10 425 432
Allegheny County, International
Airport (RB) (MBIA)
5.000%, 01/01/17 750 660
Allegheny County, Pennsylvania
Hospital Development Authority,
Catholic Health East, Series A (RB)
4.875%, 11/15/18 1,000 849
42
<PAGE>
[GRAPHIC OMITTED]
DECEMBER 31,1999
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
Beaver County (GO) (MBIA)
5.150%, 10/01/17 $1,000 $ 904
Bethlehem, Area School District,
Callable 10/15/08 @ 100
(GO) (FSA)
5.000%, 10/15/18 1,000 867
Chester County, Health &
Education Facilities Authority,
Jefferson Health Systems,
Series B (RB)
5.375%, 05/15/27 500 415
Chester County, Health & Education
Facilities Authority, Main Line
Health Systems, Series A (RB)
5.400%, 05/15/09 500 490
Delaware County Callable
10/01/09 @ 100 (GO)
5.125%, 10/01/16 500 458
Emmaus, East Penn School District,
Callable 11/15/05 @ 100
(RB) (FSA)
5.050%, 11/15/16 150 134
Erie-Penn, Sewer Authority
(RB) (AMBAC)
5.000%, 06/01/18 450 391
Franklin County, Industrial
Development Authority
(RB) (AMBAC)
5.000%, 07/01/18 500 429
Greater Johnstown, School District,
Callable 8/1/08 @ 100.00
(GO) (MBIA)
5.000%, 02/01/19 1,300 1,126
Harrisburg (RB) (MBIA)
5.600%, 09/15/11 575 581
Hazelton, Area School District,
Callable 03/01/08 @ 100
(GO) (FGIC)
5.000%, 03/01/17 1,000 879
Lehigh County, Pennsylvania
College Callable 12/15/09
@ 100 (RB) (AMBAC)
5.000%, 12/15/20 750 645
Luzerne County (GO) (FGIC)
5.600%, 12/15/16 500 486
Montgomery County, Abington
Memorial Hospital (RB) (AMBAC)
4.875%, 06/01/18 500 425
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
Moon Township, Municipal
Authority, Water & Sewer (RB)
3.875%, 12/01/02 $ 2 $ 2
Norristown (GO) (A) (B)
0.000%, 12/15/16 140 49
Northampton County Callable
08/15/2009 @ 100 (GO)
5.000%, 08/15/16 1,000 897
Penn-Trafford, School District
(GO) (AMBAC)
4.800%, 05/01/15 1,000 876
Philadelphia, Authority for
Industrial Development
(RB) (MBIA)
4.900%, 06/01/12 700 647
Philadelphia, Authority for Industrial
Development, Callable
07/01/03 @ 102 (RB)
5.250%, 07/01/17 1,250 1,152
Philadelphia, Hospitals & Higher
Education Facilities Authority,
Jefferson Health System,
Series A, Callable 05/15/09
@101.00 (RB)
5.000%, 05/15/18 450 377
Philadelphia, School District
(GO) (AMBAC)
5.375%, 04/01/27 1,200 1,074
Philadelphia, Water & Wastewater,
Callable 06/15/03 @ 100
(RB) (FSA)
5.000%, 06/15/16 1,000 886
Saint Mary Hospital Authority,
Catholic Health Initiatives (RB)
5.000%, 12/01/28 1,000 804
South New Kensington,
Pennsylvania School District,
Series (GO) (MBIA)
3.500%, 05/15/01 325 321
State, Higher Education Facilities
Authority (RB)
4.500%, 07/15/18 1,000 809
State, Higher Education Facilities
Authority, College & University
Revenue (RB) (MBIA)
5.000%, 11/01/07 500 496
State, Higher Education Facilities
Authority, Drexel University
(RB) (MBIA)
4.500%, 05/01/13 1,000 876
43
<PAGE>
STATEMENT OF NET ASSETS
PENNSYLVANIA MUNICIPAL SECURITIES FUND (CONTINUED)
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000)/SHARES VALUE (000)
- --------------------------------------------------------------------------------
State, Higher Education Facilities
Authority, Health Services Project,
Series A (RB)
6.000%, 01/01/06 $1,000 $ 1,009
State, Higher Education Facilities
Authority, Series R,
Callable 06/15/09 @ 100
(RB) (FSA)
5.000%, 06/15/17 1,000 877
State, Higher Education Facilities
Authority, University of
Pennsylvania, Callable 07/15/08
@ 100.00 (RB)
4.500%, 07/15/21 1,400 1,106
State, Hospital & Education
Authority (RB) (FSA)
5.625%, 10/01/18 500 479
State, Housing Finance Agency (RB)
5.450%, 10/01/14 500 479
State, Housing Finance Authority,
Series 49 (RB) (AMT)
5.600%, 10/01/05 75 76
State, Intergovernmental Coop
Authority, Callable 06/15/09
@ 100 (RB) (FGIC)
5.000%, 06/15/18 200 174
4.750%, 06/15/19 1,050 879
State, Second Series (GO)
5.000%, 10/15/15 1,250 1,137
5.000%, 10/15/16 1,400 1,255
State, Series A (COP) (AMBAC)
5.000%, 07/01/15 1,000 889
Tredyffrin Township, Callable
11/15/06 @ 100 (GO)
5.250%, 11/15/17 1,000 924
Upper Merion, Pennsylvania Area
School District, Callable 07/15/08
@ 100 (GO)
5.000%, 07/15/15 500 452
-------
29,930
-------
NEW JERSEY--2.9%
Solanco School District
(GO) (FGIC)
5.200%, 02/15/14 1,000 940
-------
Total Municipal Bonds
(Cost $34,076) 30,870
-------
CASH EQUIVALENT--3.5%
Federated Pennsylvania Municipal
Cash Trust 1,135,000 1,135
-------
- --------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
Total Cash Equivalent
(Cost $1,135) $ 1,135
-------
Total Investments--99.1%
(Cost $35,211) 32,005
-------
OTHER ASSETS AND LIABILITIES, NET--0.9% 298
-------
NET ASSETS:
Portfolio Shares of Class
I (unlimited authorization
-- no par value) based
on 3,542,817 outstanding shares of
beneficial interest 35,428
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based
on 33,711 outstanding shares of
beneficial interest 348
Accumulated net realized loss on
investments (267)
Net unrealized depreciation on investments (3,206)
-------
Total Net Assets -- 100.0% $32,303
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $ 9.03
=======
Net Asset Value and Redemption Price
Per Share -- Class A $ 9.00
=======
Maximum Public Offering Price Per
Share -- Class A ($9.00 / 97%) $ 9.28
=======
(A) PRE-REFUNDED SECURITY. THE MATURITY DATE SHOWN IS THE PRE-REFUNDED DATE.
(B) 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 -- FEDERAL GUARANTY INSURANCE COMPANY
FSA -- FINANCIAL SECURITIES ASSURANCE
MBIA -- MUNICIPAL BOND INSURANCE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
44
<PAGE>
[GRAPHIC OMITTED]
DECEMBER 31,1999
EQUITY GROWTH FUND
- --------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS--93.2%
AUTOMOTIVE--1.1%
Harley-Davidson 55,000 $ 3,523
-------
BANKS--2.5%
Northern Trust 148,000 7,844
-------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 2.6%
Interpublic Group 142,000 8,192
-------
COMMUNICATIONS EQUIPMENT -- 10.6%
Nokia Series A (ADR) 134,000 25,460
Qualcomm* 20,000 3,522
Tellabs* 72,000 4,621
-------
33,603
-------
COMPUTERS & SERVICES--28.4%
Amazon.com* 30,000 2,284
America Online* 90,000 6,789
Cisco Systems* 174,000 18,640
Dell Computer* 152,000 7,752
Electronic Data Systems 109,000 7,296
EMC* 181,000 19,774
Microsoft* 128,000 14,944
Yahoo!* 30,000 12,981
-------
90,460
-------
DRUGS--7.3%
Amgen* 110,000 6,607
Bristol-Myers Squibb 50,000 3,209
Merck 70,000 4,694
Pfizer 75,000 2,433
Schering Plough 69,800 2,945
Warner-Lambert 40,000 3,277
-------
23,165
-------
ELECTRICAL & ELECTRONIC PRODUCTS--3.6%
General Electric 75,000 11,606
-------
FINANCIAL SERVICES--3.6%
Freddie Mac 10,000 471
Morgan Stanley, Dean Witter,
Discover 78,000 11,135
-------
11,606
-------
GAS/NATURAL GAS--2.5%
Enron 180,000 7,988
-------
HOUSEHOLD PRODUCTS--1.0%
Solectron* 35,000 3,329
-------
INSURANCE--3.7%
American International Group 108,937 11,779
-------
- --------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MARINE TRANSPORTATION--1.3%
Carnival, Class A 86,000 $ 4,112
-------
MEASURING DEVICES--0.8%
JDS Uniphase* 16,000 2,581
-------
MISCELLANEOUS BUSINESS SERVICES--1.7%
Network Appliance* 64,000 5,316
-------
MISCELLANEOUS MANUFACTURING--0.1%
Tyco International 5,000 194
-------
PROFESSIONAL SERVICES--0.6%
Veritas Software* 14,000 2,004
-------
RETAIL--6.8%
Bed Bath and Beyond* 110,000 3,823
Estee Lauder 1,000 50
Gap 140,000 6,440
Home Depot 166,200 11,395
-------
21,708
-------
SEMI-CONDUCTORS/INSTRUMENTS--9.4%
Applied Materials* 74,000 9,375
Intel 43,000 3,539
Texas Instruments 114,000 11,044
Xilinx* 130,000 5,911
-------
29,869
-------
TELEPHONES & TELECOMMUNICATION--4.0%
Alltel 60,000 4,961
Lucent Technologies 101,000 7,556
MCI WorldCom* 1,500 80
-------
12,597
-------
WHOLESALE--1.6%
Johnson & Johnson 55,000 5,122
-------
Total Common Stocks
(Cost $143,378) 296,598
-------
CASH EQUIVALENT--4.6%
Aim Short-Term Prime Obligation
4.360%, 14,750,000 14,750
-------
Total Cash Equivalent
(Cost $14,750) 14,750
-------
45
<PAGE>
STATEMENT OF NET ASSETS
EQUITY GROWTH FUND (CONTINUED)
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
TREASURY BILLS--1.0%
U.S. Treasury Bills (A)
4.660%, 01/06/00 $ 300 $ 300
4.840%, 01/13/00 3,000 2,996
--------
Total Treasury Bills
(Cost $3,295) 3,296
--------
Total Investments--98.8%
(Cost $161,423) 314,644
--------
OTHER ASSETS AND LIABILITIES, NET--1.2% 3,649
--------
NET ASSETS:
Portfolio Shares of Class I
(unlimited authorization --
no par value) based
on 20,184,482 outstanding
shares of beneficial interest 170,289
Portfolio Shares of Class A
(unlimited authorization --
no par value) based
on 379,879 outstanding
shares of beneficial interest 4,111
Portfolio Shares of Class B
(unlimited authorization --
no par value) based
on 1,691,244 outstanding
shares of beneficial interest 20,318
Overdistributed net investment income (14)
Accumulated net realized loss on
investments (29,632)
Net unrealized appreciation on investments 153,221
--------
Total Net Assets -- 100.0% $318,293
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $ 14.34
========
Net Asset Value and Redemption Price Per
Share -- Class A $ 14.15
========
Maximum Public Offering Price Per Share --
Class A ($14.15 / 94.5%) $ 14.97
========
Net Asset Value, Offering and Redemption
Price Per Share-- Class B (1) $ 13.86
========
* NON-INCOME PRODUCING SECURITY
(1) CLASS B HAS A CONTINGENT DEFERRED SALES CHARGE.
(A) VARIABLE RATE SECURITY. THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS IS
THE RATE IN EFFECT ON DECEMBER 31, 1999.
(ADR) -- AMERICAN DEPOSITORY RECEIPT
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EQUITY VALUE FUND
- --------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS--98.9%
AIRCRAFT--1.8%
United Technologies 90,000 $ 5,850
-------
BANKS--6.0%
Bank of America 70,000 3,513
Bank of New York 150,000 6,000
Chase Manhattan 60,000 4,661
J.P. Morgan 45,000 5,698
-------
19,872
-------
CHEMICALS--1.3%
E.I. DuPont de Nemours 65,000 4,282
-------
COMPUTERS & SERVICES--10.8%
3Com* 140,000 6,580
Hewlett Packard 80,000 9,115
International Business Machines 70,000 7,560
Microsoft* 105,000 12,259
-------
35,514
-------
DRUGS--9.2%
Bristol-Myers Squibb 100,000 6,419
Glaxo Wellcome PLC (ADR) 95,000 5,308
Merck 100,000 6,706
Pfizer 180,000 5,839
SmithKline Beecham PLC (ADR) 90,000 5,799
-------
30,071
-------
ELECTRICAL & ELECTRONIC PRODUCTS--5.4%
Emerson Electric 70,000 4,016
FPL Group 70,000 2,997
General Electric 70,000 10,832
-------
17,845
-------
ENTERTAINMENT--4.1%
Walt Disney 135,000 3,949
Time Warner 130,000 9,417
-------
13,366
-------
FINANCIAL SERVICES--5.3%
American Express 45,000 7,481
Federal National Mortgage
Association 85,000 5,307
Textron 60,000 4,601
-------
17,389
-------
FOOD, BEVERAGE & TOBACCO--4.9%
Bestfoods 95,000 4,993
PepsiCo 110,000 3,877
Sara Lee 170,000 3,751
Unilever NV* 65,200 3,549
-------
16,170
-------
46
<PAGE>
[GRAPHIC OMITTED]
DECEMBER 31,1999
- --------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
GAS/NATURAL GAS--3.1%
Consolidated Natural Gas 60,000 $ 3,896
Enron 140,000 6,213
-------
10,109
-------
HOUSEHOLD PRODUCTS--3.8%
Colgate-Palmolive 110,000 7,150
Procter & Gamble 50,000 5,478
-------
12,628
-------
INSURANCE--4.4%
American International Group 70,000 7,569
Citigroup 125,000 6,945
-------
14,514
-------
LEISURE PRODUCTS--0.1%
Mattel 30,000 394
-------
MACHINERY--2.7%
Deere 100,000 4,338
Ingersoll-Rand 80,000 4,405
-------
8,743
-------
MANUFACTURING--1.5%
Minnesota Mining &
Manufacturing 50,000 4,894
-------
MEDICAL PRODUCTS & SERVICES--0.7%
Becton Dickinson 87,000 2,327
-------
PAPER & PAPER PRODUCTS--1.7%
Kimberly Clark 85,000 5,546
-------
PETROLEUM & FUEL PRODUCTS--1.2%
Schlumberger 65,000 3,656
Transocean Sedco Forex 12,584 424
-------
4,080
-------
PETROLEUM REFINING--6.4%
BP Amoco (ADR) 100,000 5,931
Exxon Mobil 120,000 9,668
Royal Dutch Petroleum (ADR) 90,000 5,439
-------
21,038
-------
PRINTING & PUBLISHING--2.0%
Gannett 80,000 6,525
-------
RAILROADS--1.6%
Burlington Northern Santa Fe 105,000 2,546
Union Pacific 60,000 2,618
-------
5,164
-------
- --------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
RETAIL--2.3%
Wal-Mart Stores, Inc. 110,000 $ 7,604
-------
SEMI-CONDUCTORS/INSTRUMENTS--3.3%
Intel 130,000 10,701
-------
TELEPHONES & TELECOMMUNICATION--15.3%
Bell Atlantic 80,000 4,925
BellSouth 140,000 6,554
Lucent Technologies 145,000 10,848
MCI WorldCom* 105,000 5,572
Metromedia Fiber Network* 32,000 1,534
Motorola 95,000 13,989
SBC Communications 140,000 6,825
-------
50,247
-------
Total Common Stocks
(Cost $203,742) 324,873
-------
CASH EQUIVALENTS--1.1%
SEI Liquid Asset Trust --
Government Portfolio 641,000 641
SEI Liquid Asset Trust--
Treasury Portfolio 3,036,000 3,036
-------
Total Cash Equivalents
(Cost $3,677) 3,677
-------
Total Investments--100.0%
(Cost $207,419) 328,550
-------
OTHER ASSETS AND LIABILITIES, NET--0.0% 58
-------
NET ASSETS:
Portfolio Shares of Class I
(unlimited authorization -- no
par value) based on 15,310,012
outstanding shares of beneficial
interest 161,068
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
1,120,599 outstanding shares of
beneficial interest 13,737
Portfolio Shares of Class B
(unlimited authorization --
no par value) based
on 1,962,357 outstanding
shares of beneficial interest 30,075
Accumulated net realized gain on
investments 2,597
Net unrealized appreciation on investments 121,131
--------
Total Net Assets -- 100.0% $328,608
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $ 17.89
========
47
<PAGE>
STATEMENT OF NET ASSETS
DECEMBER 31,1999
EQUITY VALUE FUND (CONTINUED)
- --------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Net Asset Value and Redemption Price
Per Share -- Class A $ 17.87
=======
Maximum Public Offering Price Per
Share -- Class A ($17.87 / 94.5%) $ 18.91
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $ 17.71
=======
*NON-INCOME PRODUCING SECURITY
(1) CLASS B HAS A CONTINGENT DEFERRED SALES CHARGE.
ADR -- AMERICAN DEPOSITORY RECEIPT
PLC-- PUBLIC LIMITED COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EQUITY INCOME FUND
- --------------------------------------------------------------------------------
COMMON STOCKS--85.2%
AIRCRAFT--4.6%
Honeywell Intl 53,125 $ 3,065
United Technologies 40,000 2,600
-------
5,665
-------
AUTOMOTIVE--1.3%
Ford Motor 30,000 1,603
-------
BANKS--6.2%
Bank of America 25,000 1,255
Bank of New York 70,000 2,800
Chase Manhattan Bank 28,000 2,175
J.P. Morgan 11,000 1,393
-------
7,623
-------
CHEMICALS--2.1%
E.I. DuPont de Nemours 40,000 2,635
-------
COMPUTERS & SERVICES--1.0%
Pitney Bowes 25,000 1,208
-------
DRUGS--10.2%
American Home Products 25,000 986
Bristol-Myers Squibb 40,000 2,567
Glaxo Wellcome PLC (ADR) 25,000 1,397
Merck 28,000 1,878
Monsanto* (ACES) 20,000 662
Pfizer 50,000 1,622
Pharmacia & Upjohn 25,000 1,125
SmithKline Beecham PLC (ADR) 35,000 2,255
-------
12,492
-------
ELECTRICAL & ELECTRONIC PRODUCTS--6.9%
Emerson Electric 25,000 1,434
General Electric 39,000 6,035
Thomas & Betts 30,000 956
-------
8,425
-------
- --------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
FINANCIAL SERVICES--5.1%
Federal National Mortgage
Association 30,000 $ 1,873
Household International 47,000 1,751
Textron 35,000 2,684
-------
6,308
-------
FOOD, BEVERAGE & TOBACCO--2.5%
Bestfoods 35,000 1,840
Sara Lee 55,000 1,213
-------
3,053
-------
GAS/NATURAL GAS--5.6%
Consolidated Natural Gas 30,000 1,948
Enron 75,000 3,328
Williams 50,000 1,528
-------
6,804
-------
GLASS PRODUCTS--1.7%
PPG Industries 33,000 2,065
-------
HOUSEHOLD PRODUCTS--2.0%
Colgate-Palmolive 37,000 2,405
-------
INSURANCE--9.8%
American General 27,000 2,049
American International Group 25,000 2,703
Lincoln National 50,000 2,000
Marsh & McLennan 40,000 3,827
St. Paul 42,000 1,415
-------
11,994
-------
MEDICAL PRODUCTS & SERVICES--1.7%
Baxter International 33,000 2,073
-------
PAPER & PAPER PRODUCTS--2.1%
Kimberly Clark 40,000 2,610
-------
PETROLEUM REFINING--8.3%
BP Amoco PLC (ADR) 55,000 3,262
Chevron 22,000 1,906
Exxon Mobil 39,604 3,191
Texaco 33,000 1,792
-------
10,151
-------
PRINTING & PUBLISHING--3.5%
Hollinger International 55,000 712
McGraw-Hill 58,000 3,574
-------
4,286
-------
48
<PAGE>
[GRAPHIC OMITTED]
DECEMBER 31,1999
- --------------------------------------------------------------------------------
DESCRIPTION SHARES/PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
RAILROADS--0.8%
Burlington Northern Santa Fe 40,000 $ 970
-------
RETAIL--2.1%
Limited 59,000 2,555
-------
TELEPHONES & TELECOMMUNICATION--7.7%
AT&T 41,000 2,081
Bell Atlantic 30,000 1,847
BellSouth 65,000 3,043
Vodafone Group 50,000 2,475
-------
9,446
-------
Total Common Stocks
(Cost $72,612) 104,371
-------
PREFERRED STOCKS--5.8%
El Paso Energy Capital Trust 30,000 1,511
Ingersoll-Rand 35,000 892
Metromedia Decs Trust Vi* 15,000 698
Psinet* 27,000 1,576
Seagrams* (ACES) 25,000 1,125
Union Pacific Capital Trust* (A) 30,000 1,241
-------
Total Preferred Stocks
(Cost $6,994) 7,043
-------
CONVERTIBLE BONDS--2.4%
Exodus Communication Convertible Bond
4.75% 07/15/08 Callable
01/20/02 @ 100
4.750%, 07/15/08 $ 500 691
Newell Financial Trust I* 35 1,326
-------
Total Convertible Bonds
(Cost $2,289) 2,017
-------
REGULATED INVESTMENT COMPANY--2.4%
Estee Lauder, TRACES 17,000 1,611
Readers Digest, TRACES 48,000 1,302
-------
Total Regulated Investment Company
(Cost $1,455) 2,913
-------
CASH EQUIVALENTS--5.0%
SEI Liquid Asset Trust --
Government Portfolio 487,000 487
SEI Liquid Asset Trust--
Prime Obligation 5,606,000 5,606
-------
- --------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
Total Cash Equivalents
(Cost $6,093) $ 6,093
-------
Total Investments--100.0%
(Cost $89,443) 122,437
-------
OTHER ASSETS AND LIABILITIES, NET--0.0% (24)
-------
NET ASSETS:
Portfolio Shares of Class I
(unlimited authorization --
no par value) based on
5,889,889 outstanding shares
of beneficial interest 55,589
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
1,222,080 outstanding shares of
beneficial interest 15,057
Portfolio Shares of Class B
(unlimited authorization --
no par value) based
on 1,324,927 outstanding
shares of beneficial interest 18,989
Accumulated net realized loss on
investments (216)
Net unrealized appreciation on
investments 32,994
--------
Total Net Assets -- 100.0% $122,413
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $ 14.51
========
Net Asset Value and Redemption Price
Per Share -- Class A $ 14.54
========
Maximum Public Offering Price Per
Share -- Class A ($14.54 / 94.5%) $ 15.39
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $ 14.46
========
*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.
(B) ZERO COUPON BOND -- THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS
REPRESENTS THE SECURITY'S EFFECTIVE YIELD AT PURCHASE.
ACES -- ADUJSTABLE CONVERTIBLE RATE EQUITY SECURITY UNITS
ADR -- AMERICAN DEPOSITORY RECEIPT
PLC -- PUBLIC LIMITED COMPANY
TRACES -- TRUST AUTOMATIC COMMON EXCHANGE SECURITIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
49
<PAGE>
STATEMENT OF NET ASSETS
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MUTUAL FUNDS--99.3%
SEI S&P 500 Index Fund --
Class E 674,182 $30,675
-------
Total Mutual Funds
(Cost $26,874) 30,675
-------
Total Investments--99.3%
(Cost $26,874) 30,675
-------
OTHER ASSETS AND LIABILITIES, NET--0.7% 207
-------
NET ASSETS:
Portfolio Shares of Class I
(unlimited authorization --
no par value) based on
452,908 outstanding shares
of beneficial interest 5,783
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
106,391 outstanding shares
of beneficial interest 1,272
Portfolio Shares of Class B
(unlimited authorization --
no par value) based
on 1,619,950 outstanding shares
of beneficial interest 19,883
Overdistributed net investment income (18)
Accumulated net realized gain on
investments 161
Net unrealized appreciation on investments 3,801
-------
Total Net Assets -- 100.0% $30,882
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $ 14.35
=======
Net Asset Value and Redemption Price Per
Share -- Class A $ 14.20
=======
Maximum Public Offering Price Per Share --
Class A ($14.20 / 94.5%) $ 15.03
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) $ 14.12
=======
(1) CLASS B HAS A CONTINGENT DEFERRED SALES CHARGE.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
MID CAP FUND
- --------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS--96.8%
AUTOMOTIVE--2.1%
Harley-Davidson 3,000 $ 192
------
BANKS--9.0%
Charter One Financial 4,000 76
Compass Bancshares 3,500 78
First Security 3,000 77
First Tennessee National 4,500 128
Marshall & Ilsley 4,000 251
Zions Bancorp 4,000 237
------
847
------
BROADCASTING, NEWSPAPERS & ADVERTISING--3.2%
Hispanic Broadcasting* 1,000 92
Univision Communications* 2,000 204
------
296
------
COMMUNICATIONS EQUIPMENT--3.5%
ADC Telecommunications* 4,600 334
------
COMPUTERS & SERVICES--3.4%
Compuware* 5,700 212
Jabil Circuit* 1,500 109
------
321
------
FINANCIAL SERVICES--0.8%
E*trade* 3,000 78
------
FOOD, BEVERAGE & TOBACCO--3.8%
Hormel Foods 4,000 163
Suiza Foods* 5,000 198
------
361
------
INSURANCE--0.6%
AMBAC 1,000 52
------
LEISURE PRODUCTS--2.9%
Tiffany & Company 3,000 268
------
MEDICAL PRODUCTS & SERVICES--4.5%
Biomet* 5,320 213
Stryker 3,000 209
------
422
------
MISCELLANEOUS BUSINESS SERVICES--17.0%
Citrix Systems* 2,375 292
Comdisco 11,875 442
Convergys* 4,000 123
Electronic Arts* 3,000 252
Fiserv* 4,000 153
Legato Systems* 2,700 186
Siebel Systems* 1,700 143
------
1,591
------
50
<PAGE>
[GRAPHIC OMITTED]
DECEMBER 31,1999
- --------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MISCELLANEOUS CONSUMER SERVICES--1.2%
Robert Half International* 4,000 $ 114
------
PAPER & PAPER PRODUCTS--1.4%
Consolidated Papers 4,000 127
------
PETROLEUM & FUEL PRODUCTS--2.2%
BJ Services* 2,500 105
Ensco International 4,500 103
------
208
------
PRINTING & PUBLISHING--2.7%
Scholastic* 2,300 143
Washington Post, Cl B 200 111
------
254
------
PROFESSIONAL SERVICES--3.1%
Devry* 4,000 75
Veritas Software* 1,500 215
------
290
------
RETAIL--2.6%
Dollar Tree Stores* 2,000 97
Starbucks* 4,000 97
Williams Sonoma* 1,000 46
------
240
------
RUBBER & PLASTIC--1.1%
Weatherford International* 2,500 100
------
SEMI-CONDUCTORS/INSTRUMENTS--18.2%
Altera* 3,000 149
American Power Conversion* 14,250 376
Analog Devices* 3,315 308
C-Cube Microsystems Inc* 5,700 355
Maxim Integrated Products* 2,000 94
Sanmina* 1,950 195
Vitesse Semiconductor* 2,000 105
Xilinx* 2,800 127
------
1,709
------
SPECIALTY MACHINERY--1.0%
American Standard Companies* 2,000 92
------
TELEPHONES & TELECOMMUNICATION--2.4%
Broadwing 6,000 221
------
TESTING LABORATORIES--9.1%
Chiron* 13,750 583
Medimmune* 1,400 232
Millennium Pharmaceutical* 300 37
------
852
------
- --------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
WHOLESALE--1.0%
BJ's Wholesale Club* 2,600 $ 95
------
Total Common Stocks
(Cost $6,462) 9,064
------
CASH EQUIVALENTS--3.3%
SEI Liquid Asset Trust --
Government Portfolio 57,000 57
SEI Liquid Asset Trust--
Treasury Portfolio 251,000 251
------
Total Cash Equivalents
(Cost $308) 308
------
Total Investments--100.1%
(Cost $6,770) 9,372
------
OTHER ASSETS AND LIABILITIES, NET -- (0.1%) (8)
------
NET ASSETS:
Portfolio Shares of Class I
(unlimited authorization --
no par value) based on 852,821
outstanding shares of
beneficial interest 6,999
Accumulated net realized loss on
investments (237)
Net unrealized appreciation on investments 2,602
------
Total Net Assets -- 100.0% $9,364
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $10.98
======
* NON-INCOME PRODUCING SECURITY.
CL -- CLASS
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
51
<PAGE>
STATEMENT OF NET ASSETS
DECEMBER 31,1999
BALANCED FUND
- --------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS--74.5%
AIRCRAFT--3.7%
Honeywell International 28,125 $1,622
United Technologies 20,000 1,300
------
2,922
------
BANKS--4.9%
Bank of America 33,000 1,656
Bank of New York 16,000 640
Chase Manhattan 20,000 1,554
------
3,850
------
CHEMICALS--1.0%
E.I. DuPont de Nemours 11,755 774
------
COMPUTERS & SERVICES--11.5%
America Online* 30,000 2,263
Cisco Systems* 25,000 2,678
Dell Computer* 36,000 1,836
International Business Machines 5,000 540
Microsoft* 15,000 1,751
------
9,068
------
DRUGS--7.4%
Bristol-Myers Squibb 12,000 770
Glaxo Wellcome PLC (ADR) 10,000 559
Merck 20,000 1,341
Monsanto* (ACES) 35,000 1,159
Pfizer 32,000 1,038
SmithKline Beecham PLC (ADR) 15,000 967
------
5,834
------
ELECTRICAL & ELECTRONIC PRODUCTS--3.0%
General Electric 15,000 2,321
------
FINANCIAL SERVICES--5.6%
American Express 6,000 997
Federal National Mortgage
Association 12,000 749
Merrill Lynch 7,000 584
Morgan Stanley, Dean Witter,
Discover 5,000 714
Textron 18,000 1,380
------
4,424
------
FOOD, BEVERAGE & TOBACCO--0.5%
Campbell Soup 10,000 387
------
- --------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
GAS/NATURAL GAS--3.3%
Enron 30,000 $1,331
Williams 40,000 1,223
------
2,554
------
HOUSEHOLD PRODUCTS--3.1%
Colgate-Palmolive 20,000 1,300
Illinois Tool Works 17,000 1,149
------
2,449
------
INSURANCE--3.5%
American International Group 7,500 811
Citigroup 35,000 1,945
------
2,756
------
LEISURE PRODUCTS--0.3%
Mattel 20,000 263
------
MACHINERY--2.1%
Ingersoll-Rand 30,000 1,652
------
MISCELLANEOUS MANUFACTURING--2.7%
Tyco International 55,000 2,138
------
PETROLEUM & FUEL PRODUCTS--0.2%
Global Marine* 10,000 166
------
PETROLEUM REFINING--2.8%
BP Amoco (ADR) 10,586 628
Conoco 29,999 746
Exxon Mobil 7,920 638
USX Marathon 7,000 173
------
2,185
------
PROFESSIONAL SERVICES--0.3%
Halliburton 5,000 201
------
RETAIL--3.9%
Limited 25,000 1,083
Wal-Mart Stores, Inc. 29,000 2,005
------
3,088
------
SEMI-CONDUCTORS/INSTRUMENTS--6.9%
Applied Materials* 17,000 2,154
Intel 22,000 1,811
Texas Instruments 15,000 1,453
------
5,418
------
TELEPHONES & TELECOMMUNICATION--6.0%
AT&T 25,000 1,269
Lucent Technologies 27,000 2,020
MCI WorldCom* 27,000 1,433
------
4,722
------
52
<PAGE>
[GRAPHIC OMITTED]
DECEMBER 31,1999
- --------------------------------------------------------------------------------
DESCRIPTION SHARES/PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
TRUCKING--0.4%
CNF Transportation 10,000 $ 345
------
WHOLESALE--1.4%
Johnson & Johnson 12,000 1,118
------
Total Common Stocks
(Cost $38,965) 58,635
------
CORPORATE BONDS--18.9%
BANKS--0.6%
NBD Bancorp
7.125%, 05/15/07 $ 500 484
------
COMMUNICATIONS EQUIPMENT--1.1%
Motorola
5.800%, 10/15/08 1,000 900
------
COMPUTERS & SERVICES--1.3%
International Business Machines
7.500%, 06/15/13 1,000 1,009
------
ENTERTAINMENT--1.1%
Walt Disney (MTN)
5.800%, 10/27/08 1,000 896
------
FINANCIAL SERVICES--4.2%
Bear Stearns
6.625%, 10/01/04 800 771
Goldman Sachs
6.650%, 05/15/09 750 698
JP Morgan
6.000%, 01/15/09 1,000 895
Merrill Lynch
6.000%, 02/17/09 1,000 895
------
3,259
------
FOOD, BEVERAGE & TOBACCO--2.6%
McDonald's
6.500%, 08/01/07 1,000 959
PepsiCo
6.125%, 03/04/08 1,000 937
Philip Morris
9.250%, 02/15/00 100 100
------
1,996
------
MACHINERY--1.1%
Tyco International Group
6.125%, 01/15/09 1,000 885
------
PETROLEUM & FUEL PRODUCTS--1.2%
Amoco
6.250%, 10/15/04 1,000 966
------
- --------------------------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- --------------------------------------------------------------------------------
RAILROADS--1.1%
Norfolk Southern
5.950%, 04/01/08 $1,000 $ 903
------
RETAIL--1.1%
Nordstrom
5.625%, 01/15/09 1,000 870
------
TECHNOLOGY, GENERAL--1.2%
United Tech
6.500%, 06/01/09 1,000 935
------
TELEPHONES & TELECOMMUNICATION--1.1%
GTE California
5.500%, 01/15/09 1,000 873
------
UTILITIES--1.2%
GTE
6.460%, 04/15/08 1,000 935
------
Total Corporate Bonds
(Cost $15,522) 14,911
------
U.S. TREASURY OBLIGATIONS--2.4%
U.S. Treasury Notes
5.000%, 02/28/01 1,000 987
5.500%, 03/31/03 500 488
6.625%, 05/15/07 400 401
------
Total U.S. Treasury Obligations
(Cost $1,904) 1,876
------
U.S. GOVERNMENT AGENCY OBLIGATIONS--2.8%
Federal Farm Credit Bank
6.000%, 01/07/08 1,000 937
Federal Home Loan Bank
8.000%, 08/19/14 800 775
Federal Home Loan Mortgage Corporation
6.704%, 01/09/07 500 491
------
Total U.S. Government Agency Obligations
(Cost $2,304) 2,203
------
CERTIFICATE OF DEPOSIT--0.5%
National City Bank Cleveland
7.100%, 09/25/12 400 379
------
Total Certificate of Deposit
(Cost $400) 379
------
53
<PAGE>
STATEMENT OF NET ASSETS
BALANCED FUND (CONTINUED)
- --------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
CASH EQUIVALENTS--0.0%
SEI Liquid Asset Trust --
Government Portfolio 7,000 $ 7
SEI Liquid Asset Trust --
Treasury Portfolio 3,000 3
-------
Total Cash Equivalents
(Cost $10) 10
-------
Total Investments--99.1%
(Cost $59,105) 78,014
-------
OTHER ASSETS AND LIABILITIES, NET -- 0.9% 675
-------
NET ASSETS:
Portfolio Shares of Class I
(unlimited authorization --
no par value) based on
2,047,253 outstanding
shares of beneficial interest 19,478
Portfolio Shares of Class A
(unlimited authorization --
no par value) based
on 723,862 outstanding shares
of beneficial interest 7,438
Portfolio Shares of Class B
(unlimited authorization --
no par value) based on
2,517,162 outstanding shares
of beneficial interest 33,354
Undistributed net investment income 9
Accumulated net realized loss on
investments (499)
Net unrealized appreciation on investments 18,909
-------
Total Net Assets -- 100.0% $78,689
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $ 14.92
=======
Net Asset Value and Redemption Price
Per Share -- Class A $ 14.94
=======
Maximum Public Offering Price Per
Share -- Class A ($14.94 / 94.5%) $ 15.81
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class B (1) (1) $ 14.83
=======
* NON-INCOME PRODUCING SECURITY.
(1) CLASS B HAS A CONTINGENT DEFERRED SALES CHARGE
ACES-- ADJUSTABLE CONVERTIBLE RATE EQUITY SECURITY UNITS
ADR -- AMERICAN DEPOSITORY RECEIPT
MTN -- MEDIUM TERM NOTE
PLC-- PUBLIC LIMITED COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
FOREIGN COMMON STOCKS--92.6%
AUSTRALIA--0.4%
Telstra 27,000 $ 147
-------
FINLAND--3.3%
Nokia, Series A (ADR) 4,300 817
Sonera 5,000 343
-------
1,160
-------
FRANCE--8.6%
Altran Technologies 800 483
Axa 2,600 362
Cap Gemini 684 174
CGIP 4,444 291
Dassault Systemes 4,000 261
L'Oreal 300 241
Louis Vuitton Moet Hennessy 680 304
Scor 5,500 243
Total Fina, Series B 3,449 460
Valeo 2,000 154
-------
2,973
-------
GERMANY--3.5%
Allianz - Registered 1,000 336
Bayerische Motoren Werke 5,200 159
Mannesmann 2,514 606
Muenchener
Rueckversicherungs-Registered 500 127
-------
1,228
-------
HONG KONG--1.2%
SmarTone Telecommunications
Holdings 45,000 217
Sun Hung Kai Properties 19,161 200
-------
417
-------
IRELAND--1.7%
Allied Irish Banks (GBP) 6,972 79
Allied Irish Banks 12,000 137
CRH 6,000 129
Elan Group* (ADR) 8,000 236
-------
581
-------
ITALY--2.4%
ENI 40,000 220
Pirelli 47,000 129
Telecom Italia 15,000 211
Telecom Italia Mobile 24,000 268
-------
828
-------
54
<PAGE>
[GRAPHIC OMITTED]
DECEMBER 31,1999
- --------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
JAPAN--28.6%
Asatsu-DK 3,000 $ 202
Fuji Photo Film 2,000 73
Hikari Tsushin 300 602
Honda Motor* 4,000 149
Hoya 4,000 315
Mikuni Coca-Cola Bottling 5,000 88
Murata Manufacturing 5,000 1,174
Nichiei 4,500 98
Nintendo 2,500 415
Nomura Securities 5,000 90
NTT 3 51
NTT Data 30 690
NTT Mobile Communication
Network 28 1,077
Rohm 3,000 1,233
Ryohin Keikaku 2,000 401
Secom 2,000 220
Seven-Eleven 2,000 317
Shohkoh Fund 700 277
Sony 3,100 919
Takeda Chemical Industries 9,000 445
Tokyo Broadcasting System 10,000 338
Tokyo Electron 4,000 548
Yasuda Fire & Marine Insurance 30,000 170
-------
9,892
-------
MALAYSIA--0.0%
YTL 6,000 9
-------
NETHERLANDS--8.9%
Aegon (ADR) 10,060 961
ASM Lithography Holding* 5,000 555
Getronics 4,900 391
Heineken 4,500 219
Kempen 4,000 159
Philips Electronics 2,576 350
Vendex 10,033 267
Wolters Kluwer 5,500 186
-------
3,088
-------
NORWAY--0.4%
Tomra Systems 9,000 153
-------
SINGAPORE--1.5%
Datacraft Asia Limited 16,000 133
Singapore Press Holdings 17,000 369
-------
502
-------
SPAIN--0.5%
Telefonica* 7,000 175
-------
- --------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
SWEDEN--6.6%
A-Com* 7,400 $ 169
Assa Abloy, Series B 35,200 494
Connecta* 2,500 85
Ericsson, Seies B 5,900 379
Framtidsfabriken* 1,000 181
Hennes & Mauritz, Series B 14,000 469
Modern Times Group, Series B* 3,800 188
Securitas AB, Series B 9,900 179
Svenska Handlesbanken, Series A 11,300 142
-------
2,286
-------
SWITZERLAND--7.5%
Credit Suisse Group, Registered 3,500 697
Nestle - Registered 136 249
Pharma Vision 2000, Bearer* 200 142
Roche Holding, Bearer 12 196
Roche Holding, Genusscheine 85 1,010
Swiss Reinsurance, Registered 145 298
-------
2,592
-------
UNITED KINGDOM--17.5%
Amvescap 25,000 291
BP Amoco (ADR) 4,512 268
British Telecommunications 14,000 343
Capita Group 18,000 329
CGU 8,000 129
Compass Group 45,000 619
Diageo 10,000 81
Dixons Group 14,000 337
Hays 19,000 303
HSBC Holdings 20,700 289
Invensys 45,000 245
Lloyds TSB Group 26,000 326
Misys 34,000 531
Next 16,000 154
Provident Financial 10,000 113
Rentokil Initial 80,000 292
Schroders 9,027 182
Securicor 14,000 36
SmithKline Beecham 15,000 192
Vodafone Group 72,000 357
WPP Group 40,000 635
-------
6,052
-------
Total Foreign Common Stocks
(Cost $21,132) 32,083
-------
55
<PAGE>
STATEMENT OF NET ASSETS
INTERNATIONAL EQUITY FUND (CONCLUDED)
- --------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
FOREIGN PREFERRED STOCK--1.2%
GERMANY--1.2%
SAP 700 $ 421
-------
Total Foreign Preferred Stock
(Cost $365) 421
-------
FOREIGN OPTION--0.3%
JAPAN--0.3%
Salomon Smith Barney
Nikkei 225*, expires
05/09/00 100,000 100
-------
Total Foreign Option
(Cost $100) 100
-------
FOREIGN WARRANT--0.0%
SWITZERLAND--0.0%
Credit Suisse Group*, expires
09/15/00 15,000 12
-------
Total Foreign Warrant
(Cost $10) 12
-------
CASH EQUIVALENT--5.8%
UBOC Money Market
Demand Deposit 1,999,000 1,999
-------
Total Cash Equivalent
(Cost $1,999) 1,999
-------
Total Investments--99.9%
(Cost $23,606) 34,615
-------
OTHER ASSETS AND LIABILITIES, NET--0.1% 18
-------
- --------------------------------------------------------------------------------
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class I
(unlimited authorization --
no par value) based on
2,019,436 outstanding shares of
beneficial interest $21,943
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on 42,588
outstanding shares of
beneficial interest 394
Portfolio Shares of Class B
(unlimited authorization --
no par value) based
on 58,560 outstanding shares
of beneficial interest 706
Undistributed net investment income 84
Accumulated net realized gain
on foreign currency transactions 129
Accumulated net realized gain
on investments 368
Net unrealized appreciation on
investments 11,009
--------
Total Net Assets -- 100.0% $ 34,633
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class I $ 16.35
========
Net Asset Value and Redemption Price
Per Share-- Class A $ 16.25
========
Maximum Public Offering Price
Per Share -- Class A ($16.25 / 94.5%) $ 17.20
========
Net Asset Value, Offering and Redemption
Price Per Share B (1) $ 15.97
========
* NON-INCOME PRODUCING SECURITY.
(1) CLASS B HAS A CONTINGENT DEFERRED SALES CHARGE.
ADR -- AMERICAN DEPOSITORY RECEIPT
GBP -- TRADED IN GREAT BRITISH POUNDS
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
56
<PAGE>
<TABLE>
<CAPTION>
[GRAPHIC OMITTED]
STATEMENTS OF OPERATIONS (000)
FOR THE YEAR ENDED DECEMBER 31, 1999
DECEMBER 31,1999
------------------------------------------------------------------------------------------
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
------------------------------------------------------------------------------------------
INTEREST INCOME: $43,656 $44,104 $5,390 $3,031 $13,068
------------------------------------------------------------------------------------------
EXPENSES:
<S> <C> <C> <C> <C> <C>
Investment advisory fee 3,147 2,958 574 93 249
Less: Investment advisory fee waived -- (1) (59) (69) --
Administration fee 1,798 1,690 328 218 249
Custody fee 225 211 41 16 62
Transfer agency fee 156 142 43 38 29
Professional fees 181 167 33 12 38
Registration fees 81 125 23 4 63
Distribution fees (1) 238 890 58 19 --
Less: Distribution fee waiver -- (363) -- -- --
Printing expense 117 110 19 10 24
Insurance and other expenses 77 54 11 4 12
------------------------------------------------------------------------------------------
Total expenses, net 6,020 5,983 1,071 345 726
------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 37,636 38,121 4,319 2,686 12,342
Net realized loss
on investments (2) (1) -- -- --
------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $37,634 $38,120 $4,319 $2,686 $12,342
==========================================================================================
<FN>
(1) DISTRIBUTION FEES ARE INCURRED AT THE CLASS A, CLASS B AND CLASS S LEVELS,
AND FOR THE U.S. TREASURY SECURITIES PLUS MONEY MARKET FUND.
</FN>
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
The accompanying notes are an integral part of the financial statements.
57
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF OPERATIONS (000)
FOR THE YEAR ENDED DECEMBER 31, 1999
DECEMBER 31, 1999
-------------------------------------------------------------------------------------
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 13,516 645 6,517 1,648 1,829
Less: Foreign taxes withheld -- -- -- -- --
---------------------------------------------------------------------------------------
Total income 13,516 645 6,517 1,648 1,829
-------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fee 1,318 40 756 165 213
Less: investment advisory fee waived (220) (7) (127) (46) (51)
Less: Reimbursement from Advisor -- (7) -- -- --
Administration fee 439 14 252 55 71
Less: Administration fee waiver -- (14) -- -- --
Custody fee 55 2 32 7 9
Transfer agency fee 71 30 49 29 27
Professional fees 40 1 21 5 6
Registration fees 15 2 4 -- 2
Distribution fees (1) 91 46 35 2 1
Printing expense 25 -- 14 3 4
Amortization of deferred
organizational costs -- -- -- -- --
Insurance and other expenses 15 16 8 2 3
-------------------------------------------------------------------------------------
Total expenses, net 1,849 123 1,044 222 285
-------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 11,667 522 5,473 1,426 1,544
Net realized gain (loss)
on investments (1,621) (65) 275 96 (6)
Net realized gain on foreign currency
transactions and foreign
currency contracts -- -- -- -- --
Net change in unrealized depreciation
on foreign currency and translation
of other assets and liabilities
denominated in foreign currency -- -- -- -- --
Net change in unrealized appreciation
(deprecation) on investments (14,001) (409) (7,694) (1,778) (4,054)
-------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $(3,955) $ 48 $(1,946) $ (256) $(2,516)
=====================================================================================
<FN>
(1) ALL DISTRIBUTION FEES ARE INCURRED AT THE CLASS A AND CLASS B LEVELS.
</FN>
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
The accompanying notes are an integral part of the financial statements.
58
<PAGE>
[GRAPHIC OMITTED]
DECEMBER 31,1999
<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>
$ 1,165 $ 4,071 $2,821 $ 257 $ 18 $ 631 $ 406
390 262 295 -- 12 1,396 51
-- (30) (7) -- -- (2) (17)
- -----------------------------------------------------------------------------------------------------------------------------------
1,555 4,303 3,109 257 30 2,025 440
- -----------------------------------------------------------------------------------------------------------------------------------
1,833 2,300 971 141 69 551 234
(280) (351) (197) (66) (40) (127) (58)
-- -- -- (7) -- -- --
489 613 259 38 19 147 47
-- -- -- (38) -- -- --
61 76 33 5 2 18 42
75 123 100 43 19 80 54
52 55 24 10 1 13 5
23 21 4 6 4 5 2
141 319 236 144 -- 339 10
27 34 15 2 -- 8 3
-- -- -- -- -- -- 3
29 18 9 17 -- 4 15
- -----------------------------------------------------------------------------------------------------------------------------------
2,450 3,208 1,454 295 74 1,038 357
- ------------------------------------------------------------------------------------------------------------------------------------
(895) 1,095 1,655 (38) (44) 987 83
30,254 6,044 (99) 163 (21) (423) 1,014
-- -- -- -- -- -- 129
-- -- -- -- -- -- (2)
75,515 32,840 5,717 3,390 344 5,651 8,841
- ------------------------------------------------------------------------------------------------------------------------------------
$104,874 $39,979 $7,273 $3,515 $279 $6,215 $10,065
===================================================================================================================================
</TABLE>
59
<PAGE>
STATEMENTS OF CHANGES IN
NET ASSETS (000)
FOR THE YEARS ENDED DECEMBER 31,
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 $ 37,636 $ 28,454 $ 38,121 $ 26,477
Net realized gain (loss) on investments (2) 16 (1) --
-------------------------------------------------------------------------
Net increase in net assets resulting
from operations 37,634 28,470 38,120 26,477
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I (34,078) (26,771) (31,765) (23,045)
Class A (3,844) (1,683) (160) (824)
Class B -- -- (31) (2)
Class S -- -- (6,178) (2,606)
-------------------------------------------------------------------------
Total distributions (37,922) (28,454) (38,134) (26,477)
-------------------------------------------------------------------------
SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
Class I:
Shares issued 1,803,403 2,999,005 1,308,297 1,084,578
Shares issued in lieu of cash distributions 207 223 4,968 4,417
Shares redeemed (1,767,995) (2,683,531) (1,154,843) (889,840)
-------------------------------------------------------------------------
Net Class I share transactions 35,615 315,697 158,422 199,155
-------------------------------------------------------------------------
Class A:
Shares issued 169,750 136,282 2,540 54,056
Shares issued in lieu of cash distributions 99 100 152 755
Shares redeemed (119,657) (80,466) (3,350) (68,159)
-------------------------------------------------------------------------
Net Class A share transactions 50,192 55,916 (658) (13,348)
-------------------------------------------------------------------------
Class B:
Shares issued -- -- 3,017 228
Shares issued in lieu of cash distributions -- -- 30 2
Shares redeemed -- -- (1,458) (94)
-------------------------------------------------------------------------
Net Class B share transactions -- -- 1,589 136
-------------------------------------------------------------------------
Class S:
Shares issued -- -- 217,851 164,522
Shares issued in lieu of cash distributions -- -- -- --
Shares redeemed -- -- (131,060) (95,064)
-------------------------------------------------------------------------
Net Class S share transactions -- -- 86,791 69,458
-------------------------------------------------------------------------
Increase (decrease) in net assets from
share transactions 85,807 371,613 246,144 255,401
-------------------------------------------------------------------------
Total increase (decrease) in net assets 85,519 371,629 246,130 255,401
-------------------------------------------------------------------------
NET ASSETS:
Beginning of period 871,317 499,688 704,134 448,733
-------------------------------------------------------------------------
NET ASSETS:
End of period $ 956,836 $ 871,317 $ 950,264 $ 704,134
=========================================================================
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</TABLE>
The accompanying notes are an integral part of the financial statements.
60
<PAGE>
<TABLE>
<CAPTION>
(LOGO)
[GRAPHIC OMITTED]
STATEMENT OF NET ASSETS
DECEMBER 31,1999
- -----------------------------------------------------------------------------------------------------------------------------------
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>
$ 4,319 $ 2,660 $ 2,686 $ 3,116 $ 12,342 $ 5,979
-- 6 -- 1 -- (4)
- -----------------------------------------------------------------------------------------------------------------------------------
4,319 2,666 2,686 3,117 12,342 5,975
- -----------------------------------------------------------------------------------------------------------------------------------
(3,755) (2,422) (2,686) (3,116) (12,343) (5,979)
(565) (239) -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
(4,320) (2,660) (2,686) (3,116) (12,343) (5,979)
- -----------------------------------------------------------------------------------------------------------------------------------
188,938 196,199 368,717 417,987 749,927 422,961
399 470 2,332 2,657 -- (74)
(197,493) (125,880) (374,931) (426,081) (540,445) (354,314)
- -----------------------------------------------------------------------------------------------------------------------------------
(8,156) 70,789 (3,882) (5,437) 209,482 68,573
46,912 32,559 -- -- -- --
44 75 -- -- -- --
(37,792) (24,798) -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
9,164 7,836 -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
-- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
-- -- -- -- -- --
1,008 78,625 (3,882) (5,437) 209,482 68,573
1,007 78,631 (3,882) (5,436) 209,481 68,569
162,237 83,606 63,222 68,658 130,091 61,522
- -----------------------------------------------------------------------------------------------------------------------------------
$ 163,244 $ 162,237 $ 59,340 $ 63,222 $339,572 $130,091
===================================================================================================================================
</TABLE>
61
Statements of Changes in
Net Assets (000)
For the years ended December 31,
Fixed Income Funds
---------------------------------
Fixed
Income
Fund
---------------------------------
1999 1998
---------------------------------
Investment activities:
Net investment income $ 11,667 $ 12,004
Net realized gain (loss) on investments (1,621) 1,421
Net change in unrealized appreciation
(depreciation) on investments (14,001) 2,946
---------------------------------
Net increase (decrease) in net assets
resulting from operations (3,955) 16,371
Distributions to shareholders:
Net investment income:
Class I (11,097) (11,648)
Class A (212) (243)
Class B (347) (112)
Realized capital gains:
Class I -- (1,182)
Class A -- (24)
Class B -- (33)
---------------------------------
Total distributions (11,656) (13,242)
---------------------------------
Share transactions:
Class I:
Proceeds from shares issued 33,717 42,501
Reinvestment of cash distributions 3,317 4,592
Cost of shares redeemed (45,830) (42,531)
---------------------------------
Net Class I share transactions (8,796) 4,562
---------------------------------
Class A:
Proceeds from shares issued 1,373 2,856
Reinvestment of cash distributions 171 218
Cost of shares redeemed (1,748) (3,361)
---------------------------------
Net Class A share transactions (204) (287)
---------------------------------
Class B:
Proceeds from shares issued 4,655 6,617
Reinvestment of cash distributions 293 122
Cost of shares redeemed (3,543) (1,164)
---------------------------------
Net Class B share transactions 1,405 5,575
---------------------------------
Increase (decrease) in net assets
from share transactions (7,595) 9,850
---------------------------------
Total increase (decrease) in net assets (23,206) 12,979
---------------------------------
Net Assets:
Beginning of period 225,583 212,604
---------------------------------
Net Assets:
End of period $202,377 $225,583
=================================
Shares issued and redeemed:
Class I shares:
Issued 3,301 4,064
Issued in lieu of cash distributions 328 437
Redeemed (4,533) (4,064)
---------------------------------
Net Class I share transactions (904) 437
---------------------------------
Class A shares:
Issued 136 273
Issued in lieu of cash distributions 17 20
Redeemed (174) (322)
---------------------------------
Net Class A share transactions (21) (29)
Class B shares:
Issued 453 625
Issued in lieu of cash distributions 29 12
Redeemed (349) (111)
----------------------------------
Net Class B share transactions 133 526
---------------------------------
Net increase (decrease) in shares (792) 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.
62
<PAGE>
<TABLE>
<CAPTION>
(Logo)
[Graphic Omitted]
Statement of Net Assets
December 31,1999
- ------------------------------------------------------------------------------------------------------------------------------------
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> <C>
1999 1998(1) 1999 1998 1999 1998 1999 1998
- ------------------------------------------------------------------------------------------------------------------------------------
$ 522 $ 31 $ 5,473 $ 6,328 $ 1,426 $ 1,863 $ 1,544 $ 1,717
(65) 10 275 691 96 75 (6) 781
(409) (3) (7,694) (217) (1,778) 286 (4,054) (632)
- ------------------------------------------------------------------------------------------------------------------------------------
48 38 (1,946) 6,802 (256) 2,224 (2,516) 1,866
- -----------------------------------------------------------------------------------------------------------------------------------
(178) (4) (4,895) (5,568) (1,377) (1,791) (1,529) (1,700)
(15) (1) (579) (760) (53) (71) (15) (18)
(329) (25) -- -- -- -- -- --
(3) (1) (252) (357) -- -- (365) (725)
(1) -- (29) (49) -- -- (4) (8)
(4) (5) -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
(530) (36) (5,755) (6,734) (1,430) (1,862) (1,913) (2,451)
- -----------------------------------------------------------------------------------------------------------------------------------
3,599 493 11,758 17,442 2,746 8,472 5,166 4,440
17 2 844 885 601 788 155 279
(460) -- (26,435) (29,587) (11,082) (9,907) (6,597) (8,615)
- -----------------------------------------------------------------------------------------------------------------------------------
3,156 495 (13,833) (11,260) (7,735) (647) (1,276) (3,896)
- -----------------------------------------------------------------------------------------------------------------------------------
155 102 897 2,299 154 595 1 111
11 1 488 684 48 65 15 23
(47) (1) (5,691) (4,922) (444) (817) (99) (100)
- -----------------------------------------------------------------------------------------------------------------------------------
119 102 (4,306) (1,939) (242) (157) (83) 34
- -----------------------------------------------------------------------------------------------------------------------------------
4,476 2,346 -- -- -- -- -- --
207 19 -- -- -- -- -- --
(1,089) (83) -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
3,594 2,282 -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
6,869 2,879 (18,139) (13,199) (7,977) (804) (1,359) (3,862)
- -----------------------------------------------------------------------------------------------------------------------------------
6,387 2,881 (25,840) (13,131) (9,663) (442) (5,788) (4,447)
- -----------------------------------------------------------------------------------------------------------------------------------
2,881 -- 136,522 149,653 32,694 33,136 38,091 42,538
- -----------------------------------------------------------------------------------------------------------------------------------
$ 9,268 $ 2,881 $110,682 $136,522 $23,031 $32,694 $32,303 $38,091
===================================================================================================================================
365 49 1,093 1,601 272 823 524 427
2 -- 80 81 60 76 16 27
(47) -- (2,482) (2,712) (1,099) (959) (668) (831)
- -----------------------------------------------------------------------------------------------------------------------------------
320 49 (1,309) (1,030) (767) (60) (128) (377)
- -----------------------------------------------------------------------------------------------------------------------------------
15 10 84 211 16 58 -- 11
1 -- 46 63 5 6 2 2
(5) -- (536) (452) (44) (79) (10) (10)
- -----------------------------------------------------------------------------------------------------------------------------------
11 10 (406) (178) (23) (15) (8) 3
- -----------------------------------------------------------------------------------------------------------------------------------
453 236 -- -- -- -- -- --
21 2 -- -- -- -- -- --
(112) (8) -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
362 230 -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
693 289 (1,715) (1,208) (790) (75) (136) (374)
===================================================================================================================================
63
<PAGE>
</TABLE>
Statements of Changes in
Net Assets (000)
For the years ended December 31,
<TABLE>
<CAPTION>
December 31,1999
Equity Funds
---------------------------------------------------------
Equity Growth Equity Value
Fund Fund
---------------------------------------------------------
<S> <C> <C> <C> <C>
1999 1998 1999 1998
---------------------------------------------------------
Investment activities:
Net investment income (loss) $ (895) $ (309) $ 1,095 $ 1,882
Net realized gain (loss) on investments 30,254 (5,880) 6,044 5,983
Net realized gain (loss) on foreign currency transactions
and foreign currency contracts -- -- -- --
Net change in unrealized appreciation (depreciation)
on foreign currency and translation of other assets
and liabilities denominated in foreign currency -- -- -- --
Net change in unrealized appreciation (depreciation)
on investments 75,515 58,491 32,840 51,377
---------------------------------------------------------
Net increase in net assets resulting
from operations 104,874 52,302 39,979 59,242
---------------------------------------------------------
Distributions to shareholders:
Net investment income:
Class I -- -- (1,055) (1,791)
Class A -- -- (39) (95)
Class B -- -- -- (5)
Realized capital gains:
Class I (45,856) (7,614) (2,843) (5,584)
Class A (824) (133) (209) (428)
Class B (3,397) (167) (355) (438)
---------------------------------------------------------
Total distributions (50,077) (7,914) (4,501) (8,341)
---------------------------------------------------------
Share transactions:
Class I:
Proceeds from shares issued 23,725 11,609 32,942 23,837
Reinvestment of cash distributions 44,971 7,609 3,310 6,431
Cost of shares redeemed (30,380) (40,561) (35,286) (75,466)
---------------------------------------------------------
Net Class I share transactions 38,316 (21,343) 966 (45,198)
---------------------------------------------------------
Class A:
Proceeds from shares issued 2,032 3,882 2,711 5,275
Reinvestment of cash distributions 774 110 245 516
Cost of shares redeemed (1,972) (1,198) (3,712) (4,613)
---------------------------------------------------------
Net Class A share transactions 834 2,794 (756) 1,178
---------------------------------------------------------
Class B:
Proceeds from shares issued 13,014 5,404 15,154 13,477
Reinvestment of cash distributions 3,374 166 352 445
Cost of shares redeemed (1,712) (329) (3,378) (1,887)
---------------------------------------------------------
Net Class B share transactions 14,676 5,241 12,128 12,035
---------------------------------------------------------
Increase (decrease) in net assets from
share transactions 53,826 (13,308) 12,338 (31,985)
---------------------------------------------------------
Total increase (decrease) in net assets 108,623 31,080 47,816 18,916
---------------------------------------------------------
Net Assets:
Beginning of period 209,670 178,590 280,792 261,876
---------------------------------------------------------
Net Assets:
End of period $318,293 $209,670 $328,608 $280,792
=========================================================
Shares issued and redeemed:
Class I shares:
Issued 1,839 1,098 1,948 1,644
Issued in lieu of cash distributions 3,476 804 192 434
Redeemed (2,349) (3,931) (2,082) (5,667)
---------------------------------------------------------
Net Class I share transactions 2,966 (2,029) 58 (3,589)
---------------------------------------------------------
Class A shares:
Issued 158 369 162 369
Issued in lieu of cash distributions 61 12 14 35
Redeemed (155) (112) (221) (318)
---------------------------------------------------------
Net Class A share transactions 64 269 (45) 86
---------------------------------------------------------
Class B shares:
Issued 1,027 507 907 942
Issued in lieu of cash distributions 268 17 20 30
Redeemed (135) (32) (200) (131)
---------------------------------------------------------
Net Class B share transactions 1,160 492 727 841
---------------------------------------------------------
Net increase (decrease) in shares 4,190 (1,268) 740 (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.
64
<PAGE>
<TABLE>
<CAPTION>
[Graphic Omitted]
Statement of Net Assets
December 31,1999
- -----------------------------------------------------------------------------------------------------------------------------------
Equity Income Equity Index Mid Cap Balanced International Equity
Fund Fund Fund Fund Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C
1999 1998 1999 1998(1) 1999 1998 1999 1998 1999 1998
- -----------------------------------------------------------------------------------------------------------------------------------
$ 1,655 $ 2,480 $ (38) $ (9) $ (44) $ (111) $ 987 $ 899 $ 83 $ 62
(99) 3,428 163 35 (21) 14,564 (423) 115 1,014 (120)
-- -- -- -- -- -- -- -- 129 (74)
-- -- -- -- -- -- -- -- (2) 2
5,717 5,961 3,390 410 344 (11,839) 5,651 7,599 8,841 1,939
- -----------------------------------------------------------------------------------------------------------------------------------
7,273 11,869 3,515 436 279 2,614 6,215 8,613 10,065 1,809
- -----------------------------------------------------------------------------------------------------------------------------------
(1,022) (1,962) -- -- -- -- (548) (565) -- (23)
(161) (325) -- -- -- -- (167) (179) -- (1)
(36) (191) -- (1) -- -- (270) (155) -- (1)
(655) (2,645) (10) -- (119) (3,584) (41) (108) -- (16)
(131) (503) (3) -- -- (343) (14) (40) -- (1)
(142) (519) (34) (2) -- -- (44) (67) -- (1)
- -----------------------------------------------------------------------------------------------------------------------------------
(2,147) (6,145) (47) (3) (119) (3,927) (1,084) (1,114) -- (43)
- -----------------------------------------------------------------------------------------------------------------------------------
4,834 18,945 5,504 795 1,999 15,400 5,745 9,131 9,240 7,500
880 3,110 10 -- 115 3,489 454 547 -- 23
(18,577) (63,806) (378) (140) (3,939) (53,151) (7,263) (8,480) (4,754) (4,450)
- -----------------------------------------------------------------------------------------------------------------------------------
(12,863) (41,751) 5,136 655 (1,825) (34,262) (1,064) 1,198 4,486 3,073
- -----------------------------------------------------------------------------------------------------------------------------------
4,120 3,931 1,087 457 -- 80 1,361 1,467 43 131
287 819 3 -- -- 320 178 214 -- 1
(5,463) (4,160) (271) (1) -- (5,068) (2,841) (1,792) (151) (278)
- -----------------------------------------------------------------------------------------------------------------------------------
(1,056) 590 819 456 -- (4,668) (1,302) (111) (108) (146)
- -----------------------------------------------------------------------------------------------------------------------------------
3,635 12,484 16,956 4,956 -- -- 16,263 17,251 427 214
177 704 34 3 -- -- 308 217 -- 1
(4,287) (2,586) (1,919) (115) -- -- (4,305) (1,106) (37) (34)
- -----------------------------------------------------------------------------------------------------------------------------------
(475) 10,602 15,071 4,844 -- -- 12,266 16,362 390 181
- -----------------------------------------------------------------------------------------------------------------------------------
(14,394) (30,559) 21,026 5,955 (1,825) (38,930) 9,900 17,449 4,768 3,108
- -----------------------------------------------------------------------------------------------------------------------------------
(9,268) (24,835) 24,494 6,388 (1,665) (40,243) 15,031 24,948 14,833 4,874
- -----------------------------------------------------------------------------------------------------------------------------------
131,681 156,516 6,388 -- 11,029 51,272 63,658 38,710 19,800 14,926
- -----------------------------------------------------------------------------------------------------------------------------------
$122,413 $131,681 $ 30,882 $6,388 $9,364 $ 11,029 $78,689 $63,658 $34,633 $19,800
====================================================================================================================================
331 1,367 424 72 202 1,247 400 712 713 719
61 233 1 -- 11 348 32 42 -- 2
(1,269) (4,840) (30) (14) (391) (3,681) (506) (663) (377) (406)
- -----------------------------------------------------------------------------------------------------------------------------------
(877) (3,240) 395 58 (178) (2,086) (74) 91 336 315
- -----------------------------------------------------------------------------------------------------------------------------------
279 277 87 41 -- 5 95 113 3 12
20 61 -- -- -- 31 12 17 -- --
(373) (304) (21) -- -- (385) (199) (138) (11) (25)
- -----------------------------------------------------------------------------------------------------------------------------------
(74) 34 66 41 -- (349) (92) (8) (8) (13)
- -----------------------------------------------------------------------------------------------------------------------------------
252 896 1,330 446 -- -- 1,148 1,347 34 20
12 53 3 -- -- -- 22 17 -- --
(295) (190) (149) (10) -- -- (301) (87) (3) (3)
- ------------------------------------------------------------------------------------------------------------------------------------
(31) 759 1,184 436 -- -- 869 1,277 31 17
- ------------------------------------------------------------------------------------------------------------------------------------
(982) (2,447) 1,645 535 (178) (2,435) 703 1,360 359 319
====================================================================================================================================
65
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Financial Highlights
For a share outstanding throughout the year
December 31,1999
Ratio of
Net
Ratio Ratio of Investment
Net of Net Expenses Income to
Net Asset Distributions Assets Ratio of Investment to Average Average
Value Net from Net Net Asset End of Expenses Income Net Assets Net 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 $0.04 $(0.04) $1.00 4.33% $838,350 0.64% 4.21% 0.64% 4.21%
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
CLASS A
1999 $1.00 $0.04 $(0.04) $1.00 4.07% $118,486 0.89% 3.99% 0.89% 3.99%
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
- -----------------------------------------------------------------------------------------------------------------------------------
Prime Obligation Money Market Fund
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS I
1999 $1.00 $0.05 $(0.05) $1.00 4.65% $758,255 0.65% 4.56% 0.65% 4.56%
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
CLASS A
1999 $1.00 $0.04 $(0.04) $1.00 4.39% $ 3,507 0.89% 4.29% 0.89% 4.29%
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
CLASS B
1999 $1.00 $0.04 $(0.04) $1.00 3.61% $ 1,735 1.63% 3.79% 1.63% 3.79%
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 $0.04 $(0.04) $1.00 4.28% $186,767 1.00% 4.25% 1.25% 4.00%
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 $0.03 $(0.03) $1.00 2.70% $137,733 0.62% 2.66% 0.65% 2.63%
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
CLASS A
1999 $1.00 $0.02 $(0.02) $1.00 2.45% $ 25,511 0.86% 2.44% 0.90% 2.40%
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
- -----------------------------------------------------------------------------------------------------------------------------------
</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.
66
<PAGE>
<TABLE>
<CAPTION>
(Logo)
[Graphic Omitted]
Statement of Net Assets
December 31,1999
Ratio of
Ratio of Investment
Expenses Income to
Ratio to Average Average
Realized Ratio of of Net Net Assets Net Assets
and Distri- Distri- Net Expense Invest- (Excluding (Excluding Port-
Net Asset Net Unrealized butions butions Assets to ment Waivers Waivers folio
Value Invest- Gains or from Net from Net Asset End of Average Income to and and Turn-
Beginning ment (Losses) on Investment Capital Value End Total Period Net Average Reinburse- Reinburse- over
of Period Income Securities Income Gains of Period Return(+)(000) Assets Net Assets ments) ments Rate
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Securities Plus Money Market Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1999 $ 1.00 $0.04 -- $(0.04) -- $ 1.00 4.41% $ 59,340 0.55% 4.32% 0.67% 4.20% n/a
1998 1.00 0.05 -- (0.05) -- 1.00 4.78 63,222 0.55 4.69 0.70 4.54 n/a
1997 1.00 0.05 -- (0.05) -- 1.00 4.89 68,658 0.55 4.78 0.65 4.68 n/a
1996 1.00 0.05 -- (0.05) -- 1.00 4.82 65,173 0.55 4.72 0.65 4.62 n/a
1995 1.00 0.05 -- (0.05) -- 1.00 5.40 64,697 0.55 5.26 0.62 5.19 n/a
- -----------------------------------------------------------------------------------------------------------------------------------
Institutional Select Money Market Fund
- -----------------------------------------------------------------------------------------------------------------------------------
1999 $ 1.00 $0.05 -- $(0.05) -- $ 1.00 5.02% $339,572 0.29% 4.96% 0.29% 4.96% n/a
1998 1.00 0.05 -- (0.05) -- 1.00 5.35 130,091 0.30 5.22 0.32 5.20 n/a
1997(1) 1.00 0.03 -- (0.03) -- 1.00 5.38 61,522 0.30 5.32 0.35 5.27 n/a
- -----------------------------------------------------------------------------------------------------------------------------------
Fixed Income Fund
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS I
1999 $10.53 $0.54 $(0.72) $(0.54) $ -- $ 9.81 (1.71)%$190,905 0.80% 5.35% 0.91% 5.24% 34.42%
1998 10.38 0.58 0.21 (0.58) (0.06) 10.53 7.80 214,456 0.80 5.54 0.91 5.43 58.30
1997 10.21 0.60 0.17 (0.60) -- 10.38 7.78 206,810 0.80 5.90 0.91 5.79 80.34
1996 10.49 0.57 (0.28) (0.57) -- 10.21 2.94 100,129 0.80 5.60 0.92 5.48 40.56
1995 9.44 0.59 1.05 (0.59) -- 10.49 17.76 113,509 0.80 5.83 0.91 5.72 35.49
CLASS A
1999 $10.51 $0.52 $(0.72) $(0.52) $ -- $ 9.79 (1.97)% $ 3,794 1.05% 5.10% 1.06% 5.09% 34.42%
1998 10.36 0.55 0.21 (0.55) (0.06) 10.51 7.54 4,292 1.05 5.31 1.16 5.20 58.30
1997 10.20 0.57 0.16 (0.57) -- 10.36 7.41 4,526 1.05 5.60 1.16 5.49 80.34
1996 10.48 0.55 (0.28) (0.55) -- 10.20 2.68 4,830 1.05 5.35 1.17 5.23 40.56
1995 9.44 0.56 1.04 (0.56) -- 10.48 17.36 5,844 1.05 5.58 1.16 5.47 35.49
CLASS B
1999 $10.55 $0.45 $(0.72) $(0.44) $ -- $ 9.84 (2.57)% $ 7,678 1.80% 4.35% 1.81% 4.34% 34.42%
1998 10.39 0.48 0.22 (0.48) (0.06) 10.55 6.84 6,835 1.80 4.44 1.91 4.33 58.30
1997(2) 10.11 0.31 0.28 (0.31) -- 10.39 9.41 1,268 1.80 5.02 1.86 4.96 80.34
- ------------------------------------------------------------------------------------------------------------------------------------
High Yield Bond Fund
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS I
1999 $ 9.99 $0.79 $(0.54) $(0.78) $(0.01) $ 9.45 2.51% $ 3,489 1.16% 8.44% 1.50% 8.10% 18.01%*
1998(3) 9.99 0.15 0.05 (0.18) (0.02) 9.99 1.99 493 1.25 7.04 4.79 3.50 1.47
CLASS A
1999 $ 9.98 $0.79 $(0.56) $(0.76) $(0.01) $ 9.44 2.27% $ 207 1.41% 8.17% 1.85% 7.73% 18.01%*
1998(4) 10.00 0.17 0.01 (0.18) (0.02) 9.98 1.79 103 1.50 7.00 5.04 3.46 1.47
CLASS B
1999 $ 9.98 $0.70 $(0.55) $(0.69) $(0.01) $ 9.43 1.44% $ 5,572 2.16% 7.43% 2.60% 6.99% 18.01%*
1998(4) 10.00 0.16 -- (0.16) (0.02) 9.98 1.63 2,285 2.25 6.88 5.79 3.34 1.47
- ------------------------------------------------------------------------------------------------------------------------------------
<FN>
*The portfolio turnover rate for the master fund, the SEI Institutional
Managed Trust High Yield Bond Portfolio, is 18.73% for the period ending
December 31, 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 10, 1998. Ratios for the period have been
annualized. Total return is for the period indicated and has not been
annualized.
</FN>
</TABLE>
The accompanying notes are an integral part of the financial statements.
67
<PAGE>
<TABLE>
<CAPTION>
Financial Highlights
For a share outstanding throughout the year
December 31,1999
Ratio of Ratio of
Ratio Expenses Net
Realized Ratio of of Net to Investment
and Distri- Distri- Net Expense Invest- Average Income to Port-
Net Asset Net Unrealized butions butions Assets to ment Net Average folio
Value Invest- Gains or from Net from Net Asset End of Average Income to Assets Net Assets Turn-
Beginning ment (Losses) on Investment Capital Value End Total Period Net Average (Excluding (Excluding over
of Period Income Securities Income Gains of Period Return(+)(000) Assets Net Assets Waivers Waivers Rate
- -----------------------------------------------------------------------------------------------------------------------------------
New Jersey Municipal Securities Fund
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS I
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1999 $10.92 $0.47 $(0.63) $(0.47) $(0.03) $10.26 (1.60) $ 99,133 0.80% 4.37% 0.91% 4.26% 9.00%
1998 10.92 0.48 0.03 (0.48) (0.03) 10.92 4.79 119,816 0.80 4.40 0.92 4.28 17.55
1997 10.71 0.49 0.21 (0.49) .-- 10.92 6.76 131,002 0.80 4.68 0.94 4.54 22.85
1996 10.79 0.44 (0.08) (0.44) .-- 10.71 3.42 20,689 0.67 4.13 0.93 3.87 13.93
1995 9.93 0.47 0.86 (0.47) .-- 10.79 13.57 28,080 0.41 4.43 0.93 3.91 2.83
CLASS A
1999 $10.88 $0.44 $(0.63) $(0.44) $(0.03) $10.22 (1.87)%$ 11,549 1.05% 4.11% 1.06% 4.10% 9.00%
1998 10.89 0.44 0.03 (0.45) (0.03) 10.88 4.44 16,706 1.05 4.15 1.17 4.03 17.55
1997 10.70 0.49 0.17 (0.47) .-- 10.89 6.31 18,651 1.05 4.35 1.19 4.21 22.85
1996 10.79 0.41 (0.09) (0.41) .-- 10.70 3.08 20,247 0.92 3.88 1.18 3.62 13.93
1995 9.93 0.44 0.86 (0.44) .-- 10.79 13.30 25,954 0.66 4.18 1.18 3.66 2.83
- -----------------------------------------------------------------------------------------------------------------------------------
Intermediate-Term Government Securities Fund
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS I
1999 $10.37 $0.53 $(0.61) $(0.53) $-- $ 9.76 (0.83)%$ 22,086 0.80% 5.20% 0.97% 5.03% 49.64%
1998 10.27 0.56 0.10 (0.56) .-- 10.37 6.60 31,441 0.80 5.43 0.97 5.26 43.42
1997 10.16 0.58 0.11 (0.58) .-- 10.27 6.96 31,739 0.80 5.69 0.94 5.55 57.82
1996 10.37 0.53 (0.21) (0.53) .-- 10.16 3.26 24,679 0.80 5.26 0.87 5.19 40.60
1995 9.51 0.54 0.86 (0.54) .-- 10.37 15.00 28,877 0.80 5.33 1.05 5.08 68.29
CLASS A
1999 $10.37 $0.50 $(0.62) $(0.50) $-- $ 9.75 (1.18)% $ 945 1.05% 4.95% 1.14% 4.86% 49.64%
1998 10.26 0.54 0.11 (0.54) .-- 10.37 6.47 1,253 1.05 5.19 1.22 5.02 43.42
1997 10.16 0.55 0.10 (0.55) .-- 10.26 6.60 1,397 1.05 5.40 1.19 5.26 57.82
1996 10.37 0.52 (0.22) (0.51) .-- 10.16 3.01 2,578 1.05 5.01 1.12 4.94 40.60
1995 9.51 0.51 0.86 (0.51) .-- 10.37 14.71 3,665 1.05 5.08 1.30 4.83 68.29
- ------------------------------------------------------------------------------------------------------------------------------------
Pennsylvania Municipal Securities Fund
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS I
1999 $10.26 $0.43 $(1.13) $(0.43) $(0.10) $ 9.03 (7.05)%$ 31,999 0.80% 4.35% 0.94% 4.21% 43.19%
1998 10.41 0.44 0.05 (0.44) (0.20) 10.26 4.84 37,658 0.80 4.28 0.96 4.12 56.48
1997 10.17 0.45 0.26 (0.45) (0.02) 10.41 7.18 42,134 0.80 4.47 0.96 4.31 71.89
1996 10.23 0.44 (0.06) (0.44) .-- 10.17 3.89 3,665 0.69 4.42 1.49 3.62 25.88
1995 9.55 0.40 0.68 (0.40) .-- 10.23 11.53 3,345 0.80 4.05 1.27 3.58 36.92
CLASS A
1999 $10.23 $0.40 $(1.13) $(0.40) $(0.10) $ 9.00 (7.32)% $ 304 1.05% 4.08% 1.12% 4.01% 43.19%
1998 10.38 0.42 0.05 (0.42) (0.20) 10.23 4.58 433 1.05 4.03 1.21 3.87 56.48
1997 10.17 0.43 0.23 (0.43) (0.02) 10.38 6.63 404 1.05 4.18 1.21 4.02 71.89
1996 10.22 0.42 (0.05) (0.42) .-- 10.17 3.74 344 0.94 4.19 1.74 3.39 25.88
1995 9.55 0.38 0.67 (0.38) .-- 10.22 11.15 269 1.05 3.80 1.55 3.30 36.92
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(+) 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.
68
<PAGE>
<TABLE>
<CAPTION>
(Logo)
[Graphic Omitted]
December 31,1999
Ratio of Ratio of
Ratio Expenses Net
Realized Ratio of of Net to Investment
Net and Distri- Distri- Net Expense Invest- Average Income (Loss)Port-
Net Asset Invest- Unrealized butions butions Assets to ment Net to Average folio
Value ment Gains or from Net from Net Asset End of Average Income to Assets Net Assets Turn-
Beginning Income (Losses) on Investment Capital Value End Total Period Net Average (Excluding (Excluding over
of Period (Loss) Securities Income Gains of Period Return(+)(000) Assets Net Assets Waivers Waivers Rate
- -----------------------------------------------------------------------------------------------------------------------------------
Equity Growth Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS I
1999 $11.61 $(0.04) $ 5.37 $ -- $(2.60) $14.34 49.62% $289,471 0.94% (0.31)% 1.06% (0.43)% 65.40%
1998 9.24 -- 2.83 -- (0.46) 11.61 31.81 199,975 0.80 (0.15) 1.06 (0.41) 88.28
1997(1) 10.00 0.01 1.22 (0.01) (1.98) 9.24 14.17* 177,801 0.80 0.07 1.07 (0.20) 114.51
CLASS A
1999 $11.52 $(0.07) $ 5.30 $ -- $(2.60) $14.15 49.12% $ 5,376 1.19% (0.56)% 1.31% (0.68)% 65.40%
1998 9.25 -- 2.73 -- (0.46) 11.52 30.69 3,634 1.05 (0.41) 1.32 (0.68) 88.28
1997(1) 10.00 (0.01) 1.24 -- (1.98) 9.25 14.13* 432 1.05 (0.28) 1.32 (0.55) 114.51
CLASS B
1999 $11.41 $(0.10) $ 5.15 $ -- $(2.60) $13.86 47.97% $ 23,446 1.97% (1.32)% 2.07% (1.42)% 65.40%
1998 9.18 (0.03) 2.72 -- (0.46) 11.41 30.47 6,061 1.80 (1.16) 2.08 (1.44) 88.28
1997(2) 10.41 (0.02) 0.77 -- (1.98) 9.18 13.01* 357 1.80 (1.08) 2.09 (1.37) 114.51
- ------------------------------------------------------------------------------------------------------------------------------------
Equity Value Fund
- ------------------------------------------------------------------------------------------------------------------------------------
CLASSI
1999 $15.91 $0.08 $ 2.16 $(0.07) $(0.19) $17.89 14.12% $273,839 0.94% 0.46% 1.06% 0.34% 18.58%
1998 12.89 0.14 3.37 (0.12) (0.37) 15.91 27.58 242,669 0.80 0.83 1.07 0.56 19.69
1997 13.35 0.18 3.20 (0.18) (3.66) 12.89 25.71 242,881 0.80 1.26 1.06 1.00 80.24
1996 12.81 0.22 2.54 (0.22) (2.00) 13.35 21.69 116,715 0.80 1.67 1.08 1.39 85.30
1995 10.19 0.25 3.46 (0.25) (0.84) 12.81 36.71 82,677 0.80 2.08 1.07 1.81 61.88
CLASSA
1999 $15.91 $0.04 $ 2.15 $(0.04) $(0.19) $17.87 13.77% $ 20,025 1.19% 0.22% 1.31% 0.10% 18.58%
1998 12.90 0.11 3.36 (0.09) (0.37) 15.91 27.18 18,546 1.05 0.58 1.32 0.31 19.69
1997 13.35 0.15 3.20 (0.14) (3.66) 12.90 25.51 13,923 1.05 0.98 1.31 0.72 80.24
1996 12.83 0.19 2.51 (0.18) (2.00) 13.35 21.15 10,000 1.05 1.42 1.33 1.14 85.30
1995 10.21 0.21 3.47 (0.22) (0.84) 12.83 36.35 7,644 1.05 1.83 1.32 1.56 61.88
CLASSB
1999 $15.85 $(0.07) $ 2.12 $ -- $(0.19) $17.71 12.95% $ 34,744 1.95% (0.55)% 2.06% (0.66)% 18.58%
1998 12.87 0.03 3.33 (0.01) (0.37) 15.85 26.33 19,577 1.80 (0.18) 2.07 (0.45) 19.69
1997(3) 14.81 0.04 1.73 (0.05) (3.66) 12.87 19.17* 5,072 1.80 0.09 2.07 (0.18) 80.24
- ------------------------------------------------------------------------------------------------------------------------------------
* Annualized
(+) Total Return does not reflect sales loads on Class A and Class B shares.
(1) Commenced operations on February 3, 1997. Ratios for this period have been annualized.
(2) Commenced operations on May 21, 1997. Ratios for this period have been annualized.
(3) Commenced operations May 12, 1997. Ratios for this period have been annualized.
The accompanying notes are an integral part of the financial statements.
</TABLE>
69
<PAGE>
<TABLE>
<CAPTION>
Financial Highlights
For a share outstanding throughout the year
Ratio of
Investment
Ratio of Income
Ratio Expenses (Loss) to
of Net to Average Average
Realized Ratio of Invest- Net Assets Net Assets
Net and Distri- Distri- Net Expense ment (Excluding (Excluding Port-
Net Asset Invest- Unrealized butions butions Assets to Income Waivers Waivers folio
Value ment Gains or from Net from Net Asset End of Average (Loss) to and and Turn-
Beginning Income (Losses) on Investment Capital Value End Total Period Net Average Reinburse- Reinburse- over
of Period (Loss) Securities Income Gains of Period Return(+)(000) Assets Net Assets ments) ments Rate
- -----------------------------------------------------------------------------------------------------------------------------------
Equity Income Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS I
1999 $13.98 $ 0.21 $0.59 $(0.16) $(0.11) $14.51 5.77% $85,479 0.94% 1.46% 1.09% 1.31% 19.24%
1998 13.19 0.27 1.19 (0.28) (0.39) 13.98 11.42 94,615 0.80 2.05 1.11 1.74 40.30
1997 13.32 0.32 2.95 (0.32) (3.08) 13.19 25.04 131,968 0.80 2.34 1.09 2.05 76.67
1996 13.07 0.33 2.35 (0.34) (2.09) 13.32 21.01 58,035 0.80 2.55 1.09 2.26 85.47
1995 10.26 0.31 3.29 (0.31) (0.48) 13.07 35.55 44,202 0.80 2.61 1.10 2.31 42.97
CLASS A
1999 $14.01 $ 0.18 $0.59 $(0.13) $(0.11) $14.54 5.50% $17,772 1.19% 1.21% 1.34% 1.06% 19.24%
1998 13.22 0.24 1.19 (0.25) (0.39) 14.01 11.12 18,159 1.05 1.80 1.36 1.49 40.30
1997 13.35 0.29 2.94 (0.28) (3.08) 13.22 24.68 16,686 1.05 2.05 1.34 1.76 76.67
1996 13.08 0.31 2.34 (0.29) (2.09) 13.35 20.70 12,444 1.05 2.30 1.34 2.01 85.47
1995 10.27 0.28 3.29 (0.28) (0.48) 13.08 35.21 9,612 1.05 2.36 1.35 2.06 42.97
CLASSB
1999 $13.94 $ 0.07 $0.59 $(0.03) $(0.11) $14.46 4.72% $19,162 1.94% 0.46% 2.09% 0.31% 19.24%
1998 13.17 0.17 1.15 (0.16) (0.39) 13.94 10.29 18,907 1.80 1.07 2.11 0.76 40.30
1997(1) 14.34 0.15 1.94 (0.18) (3.08) 13.17 22.87* 7,862 1.80 1.27 2.13 0.94 76.67
- -----------------------------------------------------------------------------------------------------------------------------------
Equity Index Fund
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS I
1999 $12.01 $ 0.05 $2.32 $ -- $(0.03) $14.35 19.73% $ 6,497 0.80% 0.59% 1.37% 0.02% 2.14%**
1998(2) 10.00 0.03 2.01 (0.02) (0.01) 12.01 20.44 699 0.80 (0.70) 3.96 (3.86) 9.35
CLASS A
1999 $11.93 $ 0.04 $2.26 $ -- $(0.03) $14.20 19.27% $ 1,511 1.05% 0.29% 1.65% (0.31) % 2.14%**
1998(3) 9.92 0.02 2.02 (0.02) (0.01) 11.93 20.59 482 1.05 (1.63) 4.21 (4.79) 9.35
CLASS B
1999 $11.94 $(0.02) $2.23 $ -- $(0.03) $14.12 18.50% $22,874 1.80% (0.43)% 2.39% (1.02) % 2.14%**
1998(4) 9.96 0.02 1.99 (0.02) (0.01) 11.94 20.19 5,207 1.80 (1.51) 4.96 (4.67) 9.35
- -----------------------------------------------------------------------------------------------------------------------------------
Mid Cap Fund
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS I
1999 $10.70 $(0.05) $0.47 $ -- $(0.14) $10.98 4.03% $ 9,364 0.80% (0.48)% 1.24% (0.92) %120.07%
1998 14.80 0.01 0.32 -- (4.43) 10.70 7.77 11,029 0.80 (0.48) 1.21 (0.89) 32.88
1997 13.33 0.04 2.65 (0.04) (1.18) 14.80 20.49 46,125 0.80 0.30 1.09 0.01 59.80
1996 12.55 0.09 1.59 (0.09) (0.81) 13.33 13.56 45,556 0.80 0.66 1.10 0.36 41.41
1995 10.83 0.15 1.95 (0.15) (0.23) 12.55 19.49 42,375 0.80 1.28 1.10 0.98 32.96
- -----------------------------------------------------------------------------------------------------------------------------------
* Annualized
**The portfolio turnover rate for the master fund, the SEI Index Funds S&P 500
Index Portfolio, is 5.91% for the period ending December 31, 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.
</TABLE>
The accompanying notes are an integral part of the financial statements.
70
<PAGE>
(Logo)
[Graphic Omitted]
Statement of Net Assets
December 31,1999
<TABLE>
<CAPTION>
Ratio of Ratio of
Ratio Expenses Net
Realized Ratio of of Net to Investment
Net and Distri- Distri- Net Expense Invest- Average Income (Loss) Port-
Net Asset Invest- Unrealized butions butions Assets to ment Net to Average folio
Value ment Gains or from Net from Net Asset End of Average Income to Assets Net Assets Turn-
Beginning Income (Losses) on Investment Capital Value End Total Period Net Average (Excluding (Excluding over
of Period (Loss) Securities Income Gains of Period Return(+)(000) Assets Net Assets Waivers Waivers Rate
- ------------------------------------------------------------------------------------------------------------------------------------
Balanced Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS I
1999 $13.91 $ 0.26 $1.03 $(0.26) $(0.02) $14.92 9.33% $30,537 0.95% 1.81% 1.12% 1.64% 63.54%
1998 12.00 0.26 1.95 (0.25) (0.05) 13.91 18.65 29,495 0.80 2.06 1.18 1.68 43.77
1997 11.39 0.32 1.88 (0.32) (1.27) 12.00 19.68 24,362 0.80 2.67 1.14 2.33 93.85
1996 12.05 0.48 1.16 (0.47) (1.83) 11.39 13.77 19,243 0.80 3.68 1.11 3.37 43.80
1995 9.91 0.44 2.27 (0.44) (0.13) 12.05 27.76 32,145 0.80 3.89 1.11 3.58 41.63
CLASS A
1999 $13.93 $ 0.23 $1.02 $(0.22) $(0.02) $14.94 9.04% $10,812 1.20% 1.56% 1.37% 1.39% 63.54%
1998 12.02 0.23 1.95 (0.22) (0.05) 13.93 18.33 11,352 1.05 1.81 1.43 1.43 43.77
1997 11.40 0.26 1.92 (0.29) (1.27) 12.02 19.46 9,901 1.05 2.44 1.39 2.10 93.85
1996 12.07 0.43 1.17 (0.44) (1.83) 11.40 13.39 9,095 1.05 3.43 1.36 3.12 43.80
1995 9.92 0.42 2.28 (0.42) (0.13) 12.07 27.53 8,452 1.05 3.64 1.36 3.33 41.63
CLASS B
1999 $13.84 $ 0.12 $1.01 $(0.12) $(0.02) $14.83 8.20% $37,340 1.95% 0.80% 2.13% 0.62% 63.54%
1998 11.97 0.15 1.92 (0.15) (0.05) 13.84 17.40 22,811 1.80 1.02 2.18 0.64 43.77
1997(1) 11.93 0.15 1.34 (0.18) (1.27) 11.97 19.45* 4,447 1.80 1.23 2.28 0.75 93.85
- ------------------------------------------------------------------------------------------------------------------------------------
International Equity Fund
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS I
1999 $11.24 $ 0.11 $ 5.00 $ -- $ .-- $16.35 45.46% $33,008 1.50% 0.38% 1.75% 0.13% 37.62%
1998 10.34 (0.01) 0.93 (0.01) (0.01) 11.24 8.98 18,912 1.50 0.41 1.72 0.19 115.79
1997 11.23 0.08 (0.04) (0.08) (0.85) 10.34 0.25 14,143 1.50 0.95 1.69 0.76 71.22
1996 10.74 0.08 1.11 (0.08) (0.62) 11.23 11.17 14,822 1.50 0.85 1.73 0.62 67.03
1995(2) 10.00 0.03 0.75 (0.02) (0.02) 10.74 7.81 9,990 1.50 0.79 2.11 0.18 14.32
CLASS A
1999 $11.20 $ 0.08 $ 4.97 $ -- $ .-- $16. 25 45.09% $ 691 1.75% 0.07% 2.00% (0.18)% 37.62%
1998 10.33 0.01 0.88 (0.01) (0.01) 11.20 8.69 576 1.75 0.29 1.97 0.07 115.79
1997 11.22 0.05 (0.04) (0.05) (0.85) 10.33 0.00 665 1.75 0.70 1.95 0.50 71.22
1996 10.73 0.09 1.06 (0.04) (0.62) 11.22 10.88 788 1.75 0.70 1.98 0.47 67.03
1995(2) 10.00 0.01 0.75 (0.01) (0.02) 10.73 7.64 621 1.75 0.45 2.38 (0.18) 14.32
CLASS B
1999 $11.08 $ 0.07 $ 4.82 $ -- $ .-- $15. 97 44.13% $ 934 2.50% (0.55)% 2.77% (0.82)% 37.62%
1998 11.30 (0.06) 0.86 (0.01) (0.01) 11.08 7.84 312 2.50 (0.62) 2.70 (0.82) 115.79
1997(3) 11.45 (0.03) (0.23) (0.04) (0.85) 10.30 (2.39) 118 2.50 (0.60)% 2.70 (0.80)% *71.22
- ------------------------------------------------------------------------------------------------------------------------------------
<FN>
* Annualized
(+) Total Return does not reflect sales loads on Class A and Class B shares.
(1) Commenced operations on May 8, 1997. Ratios for this period have been annualized.
(2) Commenced operations on May 1, 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.
</FN>
</TABLE>
The accompanying notes are an integral part of the financial statements.
71
<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, the Institutional Select Money
Market Fund (the "Money Market Funds"); the Fixed Income Fund, the High Yield
Bond 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 and the Pennsylvania Municipal Securities 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 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's 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. Each Fund's prospectus provides a
description of its investment objective, 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.
72
<PAGE>
(Logo)
[Graphic Omitted]
December 31,1999
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 Summit
Bank Investment Management Division, a division of Summit Bank, (the "Advisor")
ensure that the market value of the collateral, including accrued interest
thereon, is sufficient in the event of default by the counterparty. If the
counterparty defaults and the value of the collateral declines or if the
counterparty enters into an insolvency proceeding, realization of the collateral
by the Fund may be delayed or limited.
SECURITY TRANSACTIONS AND INVESTMENT INCOME--Security transactions are
accounted for on the date the security is purchased or sold (trade date). Costs
used in determining realized gains and losses on the sale of investment
securities are those of the specific securities sold, adjusted for the accretion
and amortization of purchase discounts and premiums during the respective
holding periods. Interest income is recorded on the accrual basis; dividend
income is recorded on the ex-dividend date. Purchase discounts and premiums on
securities held by the Fixed Income Funds and the Balanced Fund are accreted and
amortized to maturity using the scientific interest method, which approximates
the effective interest method.
DISTRIBUTIONS TO SHAREHOLDERS--Distributions from net investment income for
the Money Market Funds and Fixed Income, Intermediate-Term Government, New
Jersey Municipal, and Pennsylvania Municipal Funds are declared daily and paid
monthly. Distributions from net investment income for the High Yield Bond Fund
are declared and paid monthly. The Equity Funds and the Balanced Fund declare
and pay distributions from net investment income quarterly, except for the
International Equity Fund which declares and pays distributions annually. Any
net realized capital gains will be distributed at least annually for all Funds.
EXPENSES--Expenses that are directly related to one of the Funds are
charged directly to that Fund. Other operating expenses of the Trust are
prorated to the Funds on the basis of relative net asset value. Class specific
expenses, such as the 12b-1 fees, are borne by that class. Income, other
expenses and realized and unrealized gains and losses of a Fund are allocated to
the respective classes on the basis of the relative net assets each day.
USE OF ESTIMATES--The preparation of the financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that effect the reported amount of assets and
liabilities, disclosure of contingent assets and liabilities at the date of the
financial statements, and reported amounts of revenues and expenses during the
reporting period. Actual amounts could differ from these estimates.
RECLASSIFICATION ON COMPONENTS OF NET ASSETS--The amounts of distributions
from net investment income and net realized capital gains are determined in
accordance with Federal income tax regulations, which may differ from those
amounts determined under generally accepted accounting principles. To the extent
these differences are permanent, adjustments are made to the appropriate equity
accounts in the period that the differences arise. The primary adjustments
relate to net operating losses and distribution reclasses. In accordance with
Statement of Position 93-2 "Determination, Disclosure, and Financial Statement
Presentation of Income Capital Gain and Return of Capital Distribution by
Investment Companies", on
73
<PAGE>
Notes to Financial Statements
(continued)
the Statement of Net Assets the following adjustments were made:
Accumulated Undistributed
Net Realized Net Investment Paid in
Gain (Loss) Income Capital
------------ -------------- ----------
U.S. Treasury Securities
Money Market (16,003) 16,003 --
Fixed Income (2,272) 2,272 --
Equity Growth (883,072) 883,072 --
Equity Value (641) 641 --
Equity Income -- 1,026 (1,026)
Equity Index 21,244 21,418 (42,662)
Mid Cap -- 43,891 (43,891)
Balanced (9,635) 9,635 --
The permanent book-tax differences, noted above, are not included for the
purpose of calculating net investment income (loss) per share in the financial
highlights.
3. Organization Costs and Transactions with Affiliates
Organizational costs have been capitalized by the Funds and are being amortized
over sixty months commencing with operations. In the event any of the initial
shares of the Funds are redeemed by any holder thereof during the period that
the Funds are amortizing their organizational costs, the redemption proceeds
payable to the holder thereof will be reduced by the unamortized organizational
costs in the same ratio as the number of initial shares being redeemed bears to
the number of initial shares outstanding at the time of redemption. These costs
included legal fees of approximately $60,521 for organizational work performed
by a law firm of which two officers of the 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 $306,405 for the period ended 12/31/99.
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 all Funds except the Institutional Select Money
Market and U.S. Treasury Plus Money Portfolios, the Trust pays the Administrator
a fee, calculated daily and paid monthly, at the following annual rate based on
the aggregate average daily net assets of such Funds: 0.20% on the first $3.5
billion of aggregate net assets; 0.16% on the next $1.5 billion of aggregate net
assets; 0.14% on the next $1.5 billion of aggregate net assets; and 0.12% on the
aggregate net assets in excess of $6.5 billion. The Institutional Select Money
Market Fund pays the Administrator a fee at an annual rate based upon the
average net assets of the Fund as follows: 0.10%, on the first $3.5 billion of
aggregate net assets; and 0.08% on the next $1.5 billion of aggregate net
assets; 0.07% on the next $1.5 billion of aggregate net assets; and 0.06% on the
aggregate net assets in excess of $6.5 billion. The U.S. Treasury Plus Money
Market Fund pays the Administrator a fee at an annual rate of 0.35% of the
average daily net assets of the Fund. 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
74
<PAGE>
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[Graphic Omitted]
December 31,1999
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 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 (except the International Equity Fund) 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 and
reimburse 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-advisor 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 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, for the year ended December 31, 1999 were as
follows:
New
Jersey Int.-Term PA
Fixed High Yield Muni. Gov't. Muni. Equity
Income Bond Securities Securities Securities Growth
--------- --------- ---------- ---------- ---------- --------
(000) (000) (000) (000) (000) (000)
Purchases
U.S. Gov't $44,926 $ -- $ -- $12,124 $ -- $ --
Other 25,450 8,160 11,168 -- 15,088 185,945
Sales
U.S. Gov' 62,627 -- -- 20,452 -- --
Other 16,379 1,192 31,155 -- 17,777 155,388
Interna-
Equity Equity Equity Mid tional
Value Income Index Cap Balanced Equity
-------- -------- -------- -------- ---------- --------
(000) (000) (000) (000) (000) (000)
Purchases
U.S. Gov't $ -- $ -- $ -- $ -- $ 9,060 $ --
Other 63,627 23,804 21,882 10,896 44,425 12,738
Sales
U.S. Gov't 2,727 367 -- -- 16,197 --
Other 53,059 41,447 395 12,047 28,858 8,418
At December 31, 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 December 31, 1999, for each Fund
is as follows:
New
Jersey Int.-Term PA
Fixed High Yield Muni. Gov't. Muni Equity
Income Bond Securities Securities Securities Growth
-------- ---------- ---------- ----------- ---------- --------
(000) (000) (000) (000) (000) (000)
Aggregate
gross
unrealized
gain $ 181 $ 2 $1,176 $ 9 $ 20 $154,492
Aggregate
gross
unrealized
loss (7,626) (415) (3,408) (1,028) (3,226) 1,271
------- ------- ------- ------- ------- -------
Net
unrealized
gain/loss $(7,445) $(413 $(2,232) $(1,019) $(3,206) $153,221
======= ======= ======= ======= ======= ========
Interna-
Equity Equity Equity Mid tional
Value Income Index Cap Balanced Equity
-------- ---------- ---------- ----------- ---------- --------
(000) (000) (000) (000) (000) (000)
Aggregate
gross
unrealized
gain $125,317 $35,213 $3,801 $2,734 $20,830 $11,818
Aggregate
gross
unrealized
loss (4,186 (2,219) -- (132) (1,921) (809)
------- ------- ------ ------ ------- -------
Net unrealized
gain $121,131 $32,994 $3,801 $2,602 $18,909 $11,009
======== ======= ====== ====== ======= =======
75
<PAGE>
Notes to Financial Statements
(continued)
7. Concentration of Credit Risk
The Money Market Funds invest primarily in a portfolio of money market
instruments maturing in one year or less whose rating are within one of the two
highest rating categories assigned by a nationally recognized statistical rating
organization ("NRSRO") or, if not rated, are believed by the Advisor to be of
comparable quality. The ability of the issuers of the securities held by a Fund
to meet their obligations may be affected by economic developments in a specific
industry, state or region. The Fixed Income Funds invest in debt instruments and
the Balanced Fund invests in a combination of equity, fixed income and money
market securities.
The taxable funds may invest in bank obligations. As a result of this
policy, these investments may be subject to greater risk than a fund that does
not concentrate its investments in the banking industry. In particular, bank
obligations may be subject to the risks associated with interest rate
volatility, changes in federal and state laws and regulations governing banking
and the inability of borrowers to pay principal and interest when due. In
addition, foreign banks present the risk of investing in foreign securities and
are not subject to the same reserve requirements and other regulations as those
of U.S. banks.
The New Jersey Municipal Securities and the Pennsylvania Municipal
Securities Funds invest primarily in a 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 or Moody's ratings for the holdings in each of
these portfolios:
U.S. U.S. Institu-
Treasury Prime Tax- Treasury tional
Securities Obligation Exemp Securities Select
Money Money Money Plus Money Money
Market Market Market Market Market
---------- ---------- ------- ----------- -------
U.S. Gov't. Securities 40.5% 4.8% -- 59.6% 4.0%
Repurchase Agreements 59.5 2.0 -- 40.4 4.1
Municipal Securities -- -- 73.6 -- --
Commercial Paper -- 91.5 17.5 -- 90.6
Other Short Term
Securities -- 1.7 8.9 -- 1.3
New Jersey Int.-Term PA
Fixed Muni. Govt. Muni.
Income Securities Securities Securities Balanced
---------- ----------- ---------- ---------- ----------
U.S. Gov't. Securities 55.5% -- 99.2% -- 5.2%
AAA 13.2 66.8% -- 56.7% 1.2
AA 10.5 22.1 -- 31.2 3.5
A 20.4 7.0 -- 6.0 14.4
BBB -- 1.4 -- -- --
NR 0.4 2.7 0.8 6.1 0.5
Common Stock -- -- -- -- 75.2
8. Capital Loss Carryforward
The capital loss carryforwards at December 31, 1999, for Federal income tax
purposes are as follows:
Expiration
Amount Date
-------- ---------
U.S. Treasury Securities Money Market 1,815 2007
Prime Obligation Money Market $ 31,975 2004-2007
Tax-Exempt Money Market 2,604 2003-2007
U.S. Treasury Securities Plus
Money Market 18,309 2003-2007
Institutional Select Money Market 3,999 2007
Fixed Income 1,769,890 2007
Intermediate-Term Government
Securities 1,345,707 2002-2005
Mid-Cap Value 233,449 2007
Balanced 466,118 2007
The Fixed Income, High Yield Bond, Equity Growth, Equity Value, Equity Income,
Equity Index, Mid Cap, and Balanced Funds had cumulative wash sale losses for
the fiscal year ended December 31, 1999 amounting to $51,839, $66,352, $286,086,
$178,819, $61,958, $25,757, $3,201, and $32,548, respectively. These wash sale
losses cannot be used for Federal income tax purposes and are deferred. The PA
Municipal Securities incurred a loss for the period November 1, 1999 to December
31, 1999, of $267,345, which is deferred for Federal income tax purposes until
fiscal year ended December 31, 2000.
9. Option Transactions The Equity Growth
Fund transacted in call and put options during the years ended December 31, 1999
and 1998. 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
76
<PAGE>
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[Graphic Omitted]
December 31,1999
options. Gains and losses for the Equity Growth Fund due to option activity for
the year ended December 31, 1999 were as follows:
Gains/(Losses)
--------------
Written Call Options $4,611,460
Call Options (782,505)
Put Options 1,691,134
As of December 31, 1999 there were no equity options outstanding.
10. Equity Swap Transaction
The Equity Growth Fund entered into an equity swap transaction in November of
1998. This equity swap transaction involved exchanging the returns from the
Equity Growth's basket of securities, inclusive of dividends, for the return of
the Standard and Poor's 500 Index ("S&P 500"); also inclusive of dividends. This
transaction was undertaken principally to allow the Equity Growth Fund to lock
in the superior performance relative to the S&P 500 for 1998. 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. For
income tax purposes, the timing of the deduction for these losses is deferred to
the extent it exceeds the aggregate remaining unrealized appreciation of
securities held by the Fund at the time the equity swap transaction was
executed.
11. Forward Foreign Currency Contracts
The International Equity 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 International Equity Fund realized gains of $163,661 from
forward foreign currency exchange contract activity for the year ended December
31, 1999.
There were no outstanding forward foreign currency contracts at December
31, 1999 for the International Equity Fund.
12. Line of Credit
Certain portfolios of The Pillar Funds entered into an agreement which enables
them to participate in a
$435 million unsecured line of credit with Chase Manhattan Bank and
participating lenders. Borrowings will be made solely to temporarily finance the
repurchase of capital shares. In addition, a commitment fee of 0.10% per annum,
payable at the end of each calendar quarter, is accrued by each participating
portfolio based on its average daily unused portion of the line of credit.
During the year ended December 31, 1999, The Pillar Funds had no borrowings
under the agreement.
13. Statements of Assets and Liabilities
and Schedules of Investments for SEI Institutional Managed Trust High Yield Bond
Portfolio and the SEI Index Funds S&P 500 Index Portfolio (Unaudited)
The following unaudited statements of assets and liabilities and schedules of
investments as of December 31, 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.
77
<PAGE>
Notes to Financial Statements
(continued)
Schedule of Investments (Unaudited)
SEI Institutional Managed Trust High Yield Bond Fund
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
Corporate Obligations--90.8%
21st Century Telecommunication
Group (B)
12.722%, 02/15/08 $3,000 $ 2,006
AAF-Mcquay
8.875%, 02/15/03 835 708
Abraxas Petroleum/Cn Abraxas (A)
11.500%, 11/01/04 875 595
Ackerley Group, Ser B
9.000%, 01/15/09 1,600 1,564
Acme Television (B)
12.430%, 09/30/04 500 451
Adelphia Cable Communications
10.500%, 07/15/04 500 522
Adelphia Communications
7.875%, 05/01/09 500 450
Adelphia Communications, Ser B
8.375%, 02/01/08 1,750 1,627
ADV Accessory
9.750%, 10/01/07 550 496
Advance Holding (B)
16.270%, 04/15/09 1,500 778
Advance Stores
10.250%, 04/15/08 2,350 2,039
Advanced Glassfiber
9.875%, 01/15/09 1,000 937
AEI Resources (A)
11.500%, 12/15/06 500 336
AES
8.500%, 11/01/07 800 744
8.000%, 12/31/08 500 461
Aetna Industries
11.875%, 10/01/06 1,000 982
AFC Enterprises
10.250%, 05/15/07 2,850 2,871
Agrilink Foods
11.875%, 11/01/08 1,700 1,679
Ainsworth Lumber PIK
12.500%, 07/15/07 1,500 1,650
Airgate Pcs (B)
12.920%, 10/01/09 250 129
Airplanes Pass Through Trust
10.875%, 03/15/19 300 260
Alaris Medical (B)
19.370%, 08/01/08 1,000 429
Algoma Steel
12.375%, 07/15/05 1,000 942
Allbritton Communications
9.750%, 11/30/07 800 808
Allied Holdings, Ser B
8.625%, 10/01/07 850 754
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
Allied Waste North America
7.875%, 01/01/09 $1,300 $ 1,150
Allied Waste North America (A)
10.000%, 08/01/09 2,000 1,785
AMC Entertainment
9.500%, 03/15/09 1,000 877
9.500%, 02/01/11 1,000 880
American Axle & Manufacturing
9.750%, 03/01/09 500 504
American Builder & Contractors
10.625%, 05/15/07 500 449
American Cellular
10.500%, 05/15/08 750 827
American Commercial Lines
10.250%, 06/30/08 1,100 1,056
American Lawyer Media Holdings (B)
13.790%, 12/15/08 1,000 640
American Lawyer Media
9.750%, 12/15/07 1,150 1,136
American Media Operation
10.250%, 05/01/09 900 909
American Plumbing & Mechanic (A)
11.625%, 10/15/08 1,500 1,421
American Radio Systems
9.000%, 02/01/06 500 523
American Restaurant Group
11.500%, 02/15/03 700 558
American Skiing
12.000%, 07/15/06 450 406
American Tissue (A)
12.500%, 07/15/06 800 810
Ameriking
10.750%, 12/01/06 600 556
Ameriserv Food (C)
0.000%, 10/15/06 200 116
Ameristar Casino, Ser B
10.500%, 08/01/04 2,200 2,216
AMF Bowling Worldwide, Ser B
10.875%, 03/15/06 700 303
AMF Bowling Worldwide, Ser B (B)
33.187%, 03/15/06 306 107
Amkor Technologies (A)
10.500%, 05/01/09 2,000 1,980
Ampex
12.000%, 03/15/03 1,000 1,005
Amphenol
9.875%, 05/15/07 500 511
AMSC Acquisition, Ser B
12.250%, 04/01/08 900 713
Amscan Holdings
9.875%, 12/15/07 400 337
78
<PAGE>
(Logo)
[Graphic Omitted]
December 31,1999
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
Amtrol
10.625%, 12/31/06 $ 400 $ 393
Anchor Lamina
9.875%, 02/01/08 1,000 802
Anthony Crane Rentals, Ser B
10.375%, 08/01/08 500 426
Ap Holdings (B)
19.970%, 03/15/08 1,700 695
Apcoa
9.250%, 03/15/08 700 495
Applied Extrusion Technologies, Ser B
11.500%, 04/01/02 800 823
Arcadia Financial Ltd
11.500%, 03/15/07 1,000 1031
Archibald Candy
10.250%, 07/01/04 1,200 1,164
Argosy Gaming
10.750%, 06/01/09 3,550 3,745
AT&T Canada
12.000%, 08/15/07 500 576
AT&T Canada (B)
8.770%, 06/15/08 1,400 1,101
Atlantic Express
10.750%, 02/01/04 500 486
Atlas Air
9.375%, 11/15/06 1,250 1,222
Atrium
10.500%, 05/01/09 1,000 977
Aurora Foods
9.875%, 02/15/07 750 763
8.750%, 07/01/08 850 812
Autotote
10.875%, 08/01/04 1,000 1,025
Avado Brands
11.750%, 06/15/09 325 245
Avalon Cable Holdings (B)
11.461%, 12/01/08 500 328
Avalon Cable of Michigan
9.375%, 12/01/08 1,250 1,259
Avis Rent A Car
11.000%, 05/01/09 1,500 1,575
Aztar
8.875%, 05/15/07 1,500 1,451
B&G Foods
9.625%, 08/01/07 500 445
Ball
8.250%, 08/01/08 700 672
Balley Total Fitness
9.875%, 10/15/07 1,900 1,843
Bayou Steel
9.500%, 05/15/08 500 466
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
Bellwether Exploration
10.875%, 04/01/07 $1,200 $ 1,087
Berry Plastics
12.500%, 06/15/06 500 479
Berry Plastics (A)
11.000%, 07/15/07 1,300 1,316
Beverly Enterprises
9.000%, 02/15/06 700 654
BGF Industries
10.250%, 01/15/09 1,000 892
Big City Radio (B)
21.080%, 03/15/05 1,700 1,120
Booth Creek
12.500%, 03/15/07 1,000 717
Boyd Gaming
9.500%, 07/15/07 500 496
Boyds Collection
9.000%, 05/15/08 1,978 1,874
Brand Scaffold Services
10.250%, 02/15/08 750 679
Breed Technologies (C)
0.000%, 04/15/08 1,000 25
Bresnan Communication
8.000%, 02/01/09 1,350 1,357
Bresnan Communication (B)
9.160%, 02/01/09 1,700 1,177
Buckeye Cellulose
9.250%, 09/15/08 500 509
Bucyrus International
9.750%, 09/15/07 500 379
Buhrmann US (A)
12.250%, 11/01/09 2,075 2,153
Burke Industries
10.000%, 08/15/07 600 286
BWAY, Ser B
10.250%, 04/15/07 500 501
Caithness Coso
9.050%, 12/15/09 1,000 995
California Steel
8.500%, 04/01/09 500 484
Call-Net Enterprises
9.375%, 05/15/09 1,050 869
Call-Net Enterprises (B)
14.000%, 08/15/07 1,000 589
13.870%, 08/15/08 600 287
14.200%, 05/15/09 500 244
Cambridge Industries, Ser B
10.250%, 07/15/07 500 204
Canadian Airlines
10.000%, 05/01/05 400 304
79
<PAGE>
Notes to Financial Statements
(continued)
Schedule of Investments (Unaudited)
SEI Institutional Managed Trust High Yield Bond Fund (continued)
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
Canadian Airlines Yankee
12.250%, 08/01/06 $ 950 $ 539
Canadian Forest Oil
8.750%, 09/15/07 500 477
Caprock Communications
11.500%, 05/01/09 1,000 1,027
Capstar Broadcasting
9.250%, 07/01/07 1,250 1,264
Capstar Broadcasting (B)
9.780%, 02/01/09 1,000 882
Capstar Hotel
8.750%, 08/15/07 500 459
Carrier One
13.250%, 02/15/09 1,000 1,000
Carrols
9.500%, 12/01/08 1,000 910
Casino Magic
13.000%, 08/15/03 1,600 1,778
Cencall Communication
10.125%, 01/15/04 100 103
Centennial Cellular
10.750%, 12/15/08 1,000 1,070
Century Communications
8.875%, 01/15/07 550 538
Century Communications, Ser B
Zero Coupon, 01/15/08 2,850 1,265
CF Cable Television
11.625%, 02/15/05 50 55
Chancellor Media
9.375%, 10/01/04 750 773
8.000%, 11/01/08 500 501
Charter Communication Holdings
8.625%, 04/01/09 1,500 1,387
Charter Communication (B)
11.390%, 04/01/11 1,600 942
Cinemark USA, Ser D
9.625%, 08/01/08 500 461
Cinemark USA, Ser B
8.500%, 08/01/08 500 430
9.625%, 08/01/08 100 92
Circus Circus Enterprise
9.250%, 12/01/05 1,000 1,015
Citadel Broadcasting
9.250%, 11/15/08 1,250 1,262
Clark R&M
8.875%, 11/15/07 500 301
Classic Communications (B)
12.790%, 08/01/09 1,000 694
Clearnet Communications (B)
9.690%, 12/15/05 1,800 1,773
Cliffs Drilling
10.250%, 05/15/03 400 409
- ------------------------------------------------------------------------------
Description Par (000) Value (000)
- ------------------------------------------------------------------------------
Climachem, Ser B
10.750%, 12/01/07 $1,000 $ 267
CMS Energy
7.500%, 01/15/09 1,100 991
6.750%, 01/15/04 800 742
Coast Hotels & Casinos
9.500%, 04/01/09 1,200 1,143
Coaxial Communication
10.000%, 08/15/06 1,700 1,670
Coaxial Communication (B)
12.970%, 08/15/08 1,000 651
Cogentrix Energy
8.750%, 10/15/08 1,000 1,006
Coinstar
13.000%, 10/01/06 1,000 1,046
Collins & Aikman
11.500%, 04/15/06 1,550 1,531
10.000%, 01/15/07 1,000 980
Color Spot Nurseries
10.500%, 12/15/07 900 652
Colorado Gaming & Entertainment (C)
0.000%, 06/01/03 1,000 797
Comcast
9.375%, 05/15/05 250 263
9.125%, 10/15/06 600 625
Comcast UK Cable (B)
10.500%, 11/15/07 750 712
Commonwealth Aluminum
10.750%, 10/01/06 500 499
Communications Instrument
10.000%, 09/15/04 500 419
Completel Europe (B)
13.310%, 02/15/09 1,800 943
Comstock Resources
11.250%, 05/01/07 2,000 2,045
Concentric Network
12.750%, 12/15/07 550 582
Condor Systems (A)
11.875%, 05/01/09 750 568
Congoleum
8.625%, 08/01/08 1,000 867
Consolidated Container Capital (A)
10.125%, 07/15/09 1,000 1,015
Consumers Packaging
9.750%, 02/01/07 750 540
Container
9.750%, 04/01/03 550 564
Costilla Energy (C)
0.000%, 10/01/06 1,000 287
Covad Communications Group
12.500%, 02/15/09 800 832
Crown Central Petroleum
10.875%, 02/01/05 1,200 906
80
<PAGE>
(Logo)
[Graphic Omitted]
December 31,1999
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
Crown Packaging Enterprises Ltd. (B)
64.048%, 08/01/06 $ 775 $ 39
Crown Paper
11.000%, 09/01/05 1,000 657
CSC Holdings
9.250%, 11/01/05 250 257
8.125%, 07/15/09 1,000 997
9.875%, 02/15/13 650 681
CSC Holdings, Ser B
8.125%, 08/15/09 750 748
Cumulus Media (A)
10.375%, 07/01/08 2,450 2,542
D.R. Horton
8.000%, 02/01/09 500 466
Dade International
11.125%, 05/01/06 500 487
Denbury Management
9.000%, 03/01/08 1,800 1,627
Delaware County Remy International
10.625%, 08/01/06 1,500 1,481
Details, Ser B
10.000%, 11/15/05 500 461
Diamond Brands Operating
10.125%, 04/15/08 650 510
Diamond Cable (B)
11.140%, 02/15/07 1,450 1,173
Diamond Cable Communications (B)
11.540%, 09/30/04 300 318
10.860%, 12/15/05 1,050 996
Diamond Holdings PLC
9.125%, 02/01/08 1,000 992
Diamond Triumph Auto (A)
9.250%, 04/01/08 1,000 707
Diva Systems, Ser B (B)
20.810%, 03/01/08 2,757 810
Dobson Communications
11.750%, 04/15/07 600 672
Dobson/Sygnet Communications
12.250%, 12/15/08 1,000 1,107
Dolphin Telecom PLC (B)
17.380%, 06/01/08 600 296
17.590%, 05/15/09 800 376
Doman Industries
12.000%, 07/01/04 1,250 1,300
Doskocil Manufacturing
10.125%, 09/15/07 500 164
Drypers
10.250%, 06/15/07 1,450 1,182
DTI Holdings (B)
19.210%, 03/01/08 1,000 349
Dual Drilling
9.875%, 01/15/04 500 522
- --------------------------------------------------------------------------------
Description Par (000) Value (000)
- --------------------------------------------------------------------------------
Dura Operating
9.000%, 05/01/09 $ 750 $ 705
E.spire Communications
13.750%, 07/15/07 500 319
E.spire Communications (B)
19.360%, 11/01/05 1,800 898
18.730%, 04/01/06 500 249
17.130%, 07/01/08 500 172
Eagle Family Foods
8.750%, 01/15/08 1,300 991
Eagle Geophysical (C)
0.000%, 07/15/08 1,000 97
Echostar DBS
9.375%, 02/01/09 3,750 3,769
Eldorado Resorts
10.500%, 08/15/06 500 511
Elgar Holdings
9.875%, 02/01/08 1,000 652
Emmis Communications
8.125%, 03/15/09 1,200 1,158
Empress Entertainment
8.125%, 07/01/06 450 446
Energis PLC
9.750%, 06/15/09 650 681
Energy of America
9.500%, 05/15/07 500 364
Equinix
13.000%, 12/01/07 800 800
Euramax International PLC
11.250%, 10/01/06 500 505
Exodus Communications (A)
10.750%, 12/15/09 1,400 1,421
Exodus Communications
11.250%, 07/01/08 2,200 2,282
Fairchild Semiconducter
10.375%, 10/01/07 2,800 2,863
Falcon Building
9.500%, 06/15/07 500 481
Falcon Holdings Group (B)
9.510%, 04/15/10 750 560
Falcon Holdings Group
8.375%, 04/15/10 1,165 1,174
Filtronic PLC
10.000%, 12/01/05 700 688
Finlay Enterprises
9.000%, 05/01/08 200 176
First Wave Marine
11.000%, 02/01/08 1,000 704
Fisher Scientific International
9.000%, 02/01/08 1,000 959
Fitzgeralds Gaming (C)
0.000%, 12/15/04 1,400 763
81
<PAGE>
Notes to Financial Statements
(continued)
Schedule of Investments (Unaudited)
SEI Institutional Managed Trust High Yield Bond Fund (continued)
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
Flag Ltd
8.250%, 01/30/08 $ 750 $ 688
Fleming
10.500%, 12/01/04 670 621
Florida Panthers Holdings
9.875%, 04/15/09 750 727
Focal Communications (B)
11.630%, 02/15/08 1,550 1,023
Formica
10.875%, 03/01/09 1,000 912
Fountain View
11.250%, 04/15/08 1,000 759
Friendly Ice Cream
10.500%, 12/01/07 700 600
Frontier Oil
9.125%, 02/15/06 800 722
11.750%, 11/15/09 800 786
Frontiervision Holdings (B)
10.950%, 09/15/07 700 619
10.950%, 09/15/07 600 530
Fundy Cable
11.000%, 11/15/05 500 540
Galaxy Telecom
12.375%, 10/01/05 1,400 1,484
Galey & Lord
9.125%, 03/01/08 750 167
Garden State Newspapers
8.625%, 07/01/11 1,000 909
Gaylord Container
9.750%, 06/15/07 600 573
9.375%, 06/15/07 850 788
GCI
9.750%, 08/01/07 1,250 1,189
Genesis Health Ventures
9.875%, 01/15/09 1,000 407
Gentek (A)
11.000%, 08/01/09 750 778
Georgia Gulf (A)
10.375%, 11/01/07 500 522
Global Crossings Holdings (A)
9.125%, 11/15/06 3,000 2,966
9.625%, 05/15/08 1,310 1,303
Global Telesystems Group
9.875%, 02/15/05 1,250 1,184
Global Tele-Systems Ltd
11.500%, 12/15/07 500 502
Globalstar
11.375%, 02/15/04 400 271
11.250%, 06/15/04 900 605
Globalstar LP/Capital
11.500%, 06/01/05 250 166
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
Globenet Communications Group (A)
13.000%, 07/15/07 $2,000 $ 2,040
Golden Northwest
12.000%, 12/15/06 700 735
Golden Ocean Group Ltd (C)
0.000%, 08/31/01 1,032 57
Golden Sky (B)
10.230%, 03/01/07 1,000 609
Golden Sky Systems, Ser B
12.375%, 08/01/06 400 427
Gothic Production
11.125%, 05/01/05 700 593
Graham Packaging
8.750%, 01/15/08 400 376
Granite Broadcasting
9.375%, 12/01/05 1,000 1,000
8.875%, 05/15/08 500 485
Gray Communications System
10.625%, 10/01/06 500 516
Great Lakes Carbon
10.250%, 05/15/08 500 474
Group 1 Automotive
10.875%, 03/01/09 1,000 987
Group Maintenance America
9.750%, 01/15/09 1,000 992
Grove Worldwide
9.250%, 05/01/08 1,000 280
GS Technologies
12.000%, 09/01/04 1,100 613
GSI Group
10.250%, 11/01/07 1,000 699
GST Equipment Funding
13.250%, 05/01/07 500 492
GST USA Guarantee (B)
17.550%, 12/15/05 1,760 1,291
Gulf Canada Resources
9.625%, 07/01/05 500 510
8.375%, 11/15/05 500 499
Gulf States Steel (C)
0.000%, 04/15/03 1,000 107
Hard Rock Hotel
9.250%, 04/01/05 1,850 1,346
Harrahs Operating
7.875%, 12/15/05 1,000 962
Harvey Casinos Resorts
10.625%, 06/01/06 2,400 2,457
Hayes Lemmerz International
8.250%, 12/15/08 600 550
Hayes Wheel International
11.000%, 07/15/06 500 525
9.125%, 07/15/07 600 586
82
<PAGE>
(Logo)
[Graphic Omitted]
December 31,1999
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
Haynes International
11.625%, 09/01/04 $ 500 $ 412
Hermes Europe Railtel BV
11.500%, 08/15/07 750 772
10.375%, 01/15/09 1,000 987
HMH Properties
8.450%, 12/01/08 500 464
HMV Media Group
10.250%, 05/15/08 1,000 897
Hollinger International Publishing
9.250%, 03/15/07 1,000 990
Hollywood Casino (A)
13.000%, 08/01/06 600 640
Hollywood Park, Ser B
9.250%, 02/15/07 1,000 990
9.500%, 08/01/07 2,800 2,800
Holmes Products
9.875%, 11/15/07 500 374
Holywood Casinos
11.250%, 05/01/07 1,750 1,824
Home Interior & Gifts
10.125%, 06/01/08 1,000 852
Home Products International
9.625%, 05/15/08 800 721
Homeside
11.250%, 05/15/03 325 371
Horseshoe Gaming Holdings
8.625%, 05/15/09 650 627
Horseshoe Gaming LLC
9.375%, 06/15/07 1,000 995
Hosiery of America
13.750%, 08/01/02 700 730
Host Marriott
7.875%, 08/01/05 550 517
8.375%, 02/15/06 500 472
7.875%, 08/01/08 800 714
HS Resources
9.250%, 11/15/06 500 499
HS Resources, Ser B
9.250%, 11/15/06 250 249
Huntsman (A)
9.500%, 07/01/07 1,650 1,564
Huntsman ICI Chemicals (A)
10.125%, 07/01/09 3,200 3,304
Zero Coupon, 12/31/09 2,100 622
Huntsman Polymers
11.750%, 12/01/04 250 262
Hyperion Telecommunications (B)
11.520%, 04/15/03 1,900 1,693
Hyperion Telecommunications
12.250%, 09/01/04 500 537
ICG Holding (B)
14.290%, 09/15/05 650 565
13.590%, 03/15/07 900 603
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
ICG Services (B)
14.110%, 02/15/08 $1,250 $ 623
ICN Pharmaceutical
9.250%, 08/15/05 500 492
ICN Pharmaceutical (A)
8.750%, 11/15/08 1,270 1,176
Imax
7.875%, 12/01/05 1,000 937
Impac Group
10.125%, 03/15/08 1,000 911
Informational Wire Group
11.750%, 06/01/05 1,250 1,291
Insight Midwest (A)
9.750%, 10/01/09 500 519
Integrated Electrical Services
9.375%, 02/01/09 1,500 1,485
Intelcom Group (B)
13.910%, 05/01/06 400 299
Interact Systems
14.000%, 08/01/03 700 195
Intermedia Communications of Florida (B)
11.260%, 05/15/06 900 800
11.530%, 07/15/07 750 562
International Cabletel
10.000%, 02/15/07 250 257
International Cabletel (B)
11.870%, 04/15/05 400 401
10.920%, 02/01/06 1,200 1,084
International Home Foods
10.375%, 11/01/06 750 778
International Knife & Saw
11.375%, 11/15/06 500 383
International Utility Structures (A)
10.750%, 02/01/08 1,300 1,092
International Wire Group
11.750%, 06/01/05 1,250 1,291
Intrawest
9.750%, 08/15/08 500 491
Iron Mountain
8.250%, 07/01/11 500 459
Isle of Capri Casinos
8.750%, 04/15/09 1,500 1,384
ISP Holdings
9.000%, 10/15/03 500 491
IT Group
11.250%, 04/01/09 1,000 964
ITC Deltacom
11.000%, 06/01/07 422 447
8.875%, 03/01/08 455 441
9.750%, 11/15/08 250 252
Ivaco
11.500%, 09/15/05 500 541
83
<PAGE>
Notes to Financial Statements
(continued)
Schedule of Investments (Unaudited)
SEI Institutional Managed Trust High Yield Bond Fund (continued)
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
IXC Communications
9.000%, 04/15/08 $ 1,500 $ 1,515
Jackson Products
9.500%, 04/15/05 1,200 1,092
James Cable
10.750%, 08/15/04 1,500 1,522
Jazz Casino LLC PIK
5.867%, 11/15/09 10,237 645
Jitney-Jungle Stores (C)
0.000%, 09/15/07 450 8
JL French Automotive Casting
11.500%, 06/01/09 1,000 1,007
Jo-Ann Stores
10.375%, 05/01/07 600 586
John Q Hammons Hotels
8.875%, 02/15/04 500 452
Jones Intercable
9.625%, 03/15/02 350 368
8.875%, 04/01/07 350 367
Jordan Industries, Ser B
10.375%, 08/01/07 1,000 997
Jordan Industries, Ser D
10.375%, 08/01/07 750 741
Jordan Telecommunications Products (B)
9.447%, 08/01/07 1,000 1,057
JPS Automotive Products
11.125%, 06/15/01 100 101
K Mart
7.750%, 10/01/12 850 761
8.540%, 01/02/15 733 709
Kaiser Aluminum & Chemical
9.875%, 02/15/02 700 689
Kaiser Aluminum & Chemical, Ser B
10.875%, 10/15/06 600 604
Keebler
10.750%, 07/01/06 450 485
Kelley Oil & Gas
14.000%, 04/15/03 956 927
Key Energy Services
14.000%, 01/15/09 1,150 1,255
Kitty Hawk
9.950%, 11/15/04 250 247
KMC Telecom Holdings (B)
15.480%, 02/15/08 1,250 677
Knoll
10.875%, 03/15/06 260 261
Knology Holdings (B)
13.390%, 10/15/07 3,300 2,174
Kpnqwest BV
8.125%, 06/01/09 1,000 966
KSL Recreation Group
10.250%, 05/01/07 1,000 977
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
L-3 Communications
8.000%, 08/01/08 $ 750 $ 682
Lady Luck Gaming
11.875%, 03/01/01 800 800
Lamar Media
9.625%, 12/01/06 450 464
Laroche Industries
9.500%, 09/15/07 1,400 382
LDM Technologies
10.750%, 01/15/07 500 446
Leiner Health Products
9.625%, 07/10/07 500 399
Lenfest Communications
10.500%, 06/15/06 700 786
8.250%, 02/15/08 650 653
Leslie's Poolmart
10.375%, 07/15/04 800 714
Level 3 Communications
9.125%, 05/01/08 4,100 3,924
Level 3 Communications (B)
12.120%, 12/01/08 500 303
Liberty Group Operating
9.375%, 02/01/08 650 561
Liberty Group Publishings (B)
23.240%, 02/01/09 500 284
Lifepoint Hospitals Holdings
10.750%, 05/15/09 800 836
Lin Holdings (B)
12.060%, 03/01/08 1,500 1,022
LLS (A)
11.625%, 08/01/09 1,000 968
Lodestar Holdings
11.500%, 05/15/05 750 381
Lodgian Finance
12.250%, 07/15/09 1,000 990
Loews Cineplex Entertainment
8.875%, 08/01/08 1,000 883
Logix Communication Enterprises
12.250%, 06/15/08 1,000 798
Louisiana Casino
11.000%, 12/01/05 1,000 1,028
Luigino's
10.000%, 02/01/06 1,200 1,065
Lyondell Chemical
9.875%, 05/01/07 1,100 1,139
10.875%, 05/01/09 1,900 1,957
Magnum Hunter Re
10.000%, 06/01/07 500 473
Mail-Well
8.750%, 12/15/08 800 758
Majestic Star Casino
10.875%, 07/01/06 1,300 1,264
84
<PAGE>
(Logo)
[Graphic Omitted]
December 31,1999
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
Marsh Supermarket
8.875%, 08/01/07 $ 500 $ 480
Mastec
7.750%, 02/01/08 700 681
Maxim Group, Ser B
9.250%, 10/15/07 400 359
Maxxam Group Holdings, Ser B
12.000%, 08/01/03 400 372
McLeod USA
9.250%, 07/15/07 500 503
8.375%, 03/15/08 500 471
8.125%, 02/15/09 500 466
McLeod USA (B)
10.590%, 03/01/07 1,500 1,217
MDC Communications
10.500%, 12/01/06 1,000 998
Mediacom Capital
7.875%, 02/15/11 2,000 1,765
Mentus Media PIK
12.000%, 02/01/03 1,005 312
Meristar Hotel
8.750%, 08/15/07 500 459
Metallurg
11.000%, 12/01/07 800 738
Metromedia Fiber Network, Ser B
10.000%, 11/15/08 1,000 1,023
Metromedia Fiber Network
10.000%, 12/15/09 2,100 2,158
Metromedia International Group
10.500%, 09/30/07 1,322 621
MGC Communications
13.000%, 10/01/04 1,150 1,159
Microcell Telecommunication (B)
10.380%, 06/01/06 1,000 886
MMI Products
11.250%, 04/15/07 1,000 1,030
Mohegan Tribal Gaming
8.750%, 01/01/09 1,300 1,294
Moog
10.000%, 05/01/06 500 496
Morris Materials Handling
9.500%, 04/01/08 400 133
Motors & Gears
10.750%, 11/15/06 1,050 1,007
Mrs. Fields, Ser B
10.125%, 12/01/04 760 618
Muzak Holdings (B)
13.020%, 03/15/10 500 292
Muzak LLC
9.875%, 03/15/09 1,000 965
National Steel
9.875%, 03/01/09 1,800 1,854
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
National Wine & Spirits
10.125%, 01/15/09 $1,000 $ 995
NCI Building Systems
9.250%, 05/01/09 1,750 1,658
NE Restaurant
10.750%, 07/15/08 600 533
Nebraska Book
8.750%, 02/15/08 1,000 860
Neenah
11.125%, 05/01/07 500 464
Neff
10.250%, 06/01/08 500 484
New World Pasta
9.250%, 02/15/09 1,250 1,150
Nextel Communications
9.750%, 08/15/04 500 515
Nextel Communications (B)
10.870%, 09/15/07 1,250 939
10.990%, 02/15/08 1,400 989
Nextel Partners (B)
12.200%, 02/01/09 2,000 1,315
Nextlink Communications
12.500%, 04/15/06 800 856
10.750%, 11/15/08 2,500 2,594
10.750%, 06/01/09 500 516
Nextlink Communications (B)
12.230%, 04/15/08 800 497
Nextlink Communications (A)
10.500%, 12/01/09 500 514
Niagra Mohawk Power
7.750%, 10/01/08 800 799
NL Industries
11.750%, 10/15/03 350 367
Nortek
8.875%, 08/01/08 1,000 950
Northland Cable Television
10.250%, 11/15/07 1,200 1,206
Northwestern Steel & Wire
9.500%, 06/15/01 1,000 459
NTL Communications
11.500%, 10/01/08 600 651
Nuevo Energy (A)
9.500%, 06/01/08 400 400
Numatics
9.625%, 04/01/08 800 598
Ocean Energy
8.875%, 07/15/07 400 402
Octel Developments
10.000%, 05/01/06 950 976
Offshore Logistics
7.875%, 01/15/08 600 566
85
<PAGE>
Notes to Financial Statements
(Continued)
Schedule of Investments (Unaudited)
SEI Institutional Managed Trust High Yield Bond Fund (continued)
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
Oglebay Norton
10.000%, 02/01/09 $1,000 $ 973
Omega Cabinets
10.500%, 06/15/07 1,000 994
Orange PLC
9.000%, 06/01/09 750 795
Orbital Imaging
11.625%, 03/01/05 950 620
Orion Network Systems
11.250%, 01/15/07 800 600
Owens & Minor
10.875%, 06/01/06 500 514
Oxford Automotive
10.125%, 06/15/07 1,200 1,128
Oxford Health Plans
11.000%, 05/15/05 500 485
P & L Coal Holdings
8.875%, 05/15/08 250 244
9.625%, 05/15/08 1,250 1,216
Pac-West Telecomm
13.500%, 02/01/09 1,100 1,141
Packaged Ice
9.750%, 02/01/05 1,000 913
Packaging Resources
11.625%, 05/01/03 500 501
Pagemart Nationwide
15.000%, 02/01/05 750 652
Pantry
10.250%, 10/15/07 800 766
Paracelsus Healthcare
10.000%, 08/15/06 500 281
Park Place Entertainment
7.875%, 12/15/05 1,000 958
Parker Drilling, Ser B
9.750%, 11/15/06 1,500 1,478
Pathmark Stores
9.625%, 05/01/03 1,400 1,015
Pegasus Communications (A)
12.500%, 08/01/07 500 535
Pegasus Communications, Ser B
9.625%, 10/15/05 550 556
9.750%, 12/01/06 500 499
Pegasus Shipping Hellas (C)
0.000%, 11/15/04 600 185
Peninsula Gaming (A)
12.250%, 07/01/06 1,000 1,055
Perkins Family Restaurant, Ser B
10.125%, 12/15/07 1,000 1,008
Perry-Judd
10.625%, 12/15/07 500 439
Phase Metrics
10.750%, 02/01/05 500 83
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
Philipp Brothers Chemical
9.875%, 06/01/08 $1,200 $ 1,055
Phillips Van-Heusen
9.500%, 05/01/08 1,000 933
Phoenix Color
10.375%, 02/01/09 750 722
Pierce Leahy
9.125%, 07/15/07 450 444
Pillowtex
10.000%, 11/15/06 500 215
Players International
10.875%, 04/15/05 500 525
Playtex Products
8.875%, 07/15/04 400 401
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 1,043
Portola Packaging
10.750%, 10/01/05 200 204
Powertel
11.125%, 06/01/07 500 524
Powertel (B)
8.389%, 02/01/06 500 445
Premier International Food PLC (A)
12.000%, 09/01/09 1,500 1,470
Premier Parks
9.250%, 04/01/06 500 494
9.750%, 01/15/07 500 511
9.750%, 06/15/07 2,000 1,995
Price Communications Wireless
11.750%, 07/15/07 250 276
Price Communications Wireless, Ser B
9.125%, 12/15/06 1,100 1,125
Pride International
10.000%, 06/01/09 500 510
Pride Petroleum Services
9.375%, 05/01/07 750 750
Prime Hospitality
9.250%, 01/15/06 600 600
9.750%, 04/01/07 450 438
Primus Telecommunications Group
11.750%, 08/01/04 600 593
11.250%, 01/15/09 1,500 1,448
Printpack, Ser B
10.625%, 08/15/06 800 768
Production Resources Group
11.500%, 01/15/08 500 445
Protection One Alarm (A)
8.125%, 01/15/09 350 167
86
<PAGE>
(Logo)
[Graphic Omitted]
December 31,1999
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
Psinet
10.000%, 02/15/05 $ 950 $ 943
11.500%, 11/01/08 350 367
11.000%, 08/01/09 3,500 3,605
PTC International Finance II (A)
11.250%, 12/01/09 1,000 976
PTC International Finance BV (B)
15.330%, 07/01/07 1,000 664
Pueblo Xtra International
9.500%, 08/01/03 1,000 608
Quest Diagnostic
10.750%, 12/15/06 450 474
Qwest Communications
10.875%, 04/01/07 325 360
Qwest Communications (B)
8.860%, 10/15/07 1,050 852
R&B Falcon
6.950%, 04/15/08 1,000 838
Ram Energy
11.500%, 02/15/08 500 224
RCN (B)
12.450%, 10/15/07 750 537
11.970%, 02/15/08 1,300 856
RCN
10.000%, 10/15/07 1,750 1,741
10.125%, 01/15/10 1,750 1,746
Regal Cinemas (A)
9.500%, 06/01/08 900 680
8.875%, 12/15/10 450 332
Regional Independent Media Group (A)
10.500%, 07/01/08 1,000 990
Renaissance Media Group (B)
70.875%, 04/15/08 1,000 709
Renco Metals
11.500%, 07/01/03 500 410
Repap New Brunswick
10.625%, 04/15/05 1,800 1,661
Republic Group
9.500%, 07/15/08 700 662
Revlon Consumer Products
8.625%, 02/01/08 800 406
RH Donnelley
9.125%, 06/01/08 800 791
Rhythms Netcommunications (B)
15.310%, 05/15/08 1,700 907
Rhythms Netconnections
12.750%, 04/15/09 300 290
Riverwood International
10.875%, 04/01/08 800 790
Riviera Black Hawk (A)
13.000%, 05/01/05 700 742
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
Rogers Cablesystems Ltd
10.000%, 12/01/07 $ 450 $ 482
Rogers Cantel
9.375%, 06/01/08 500 534
Rogers Communications
9.125%, 01/15/06 400 401
8.875%, 07/15/07 350 355
Roma
12.000%, 07/01/06 750 681
RSL Communications PLC
9.125%, 03/01/08 500 448
12.000%, 11/01/08 750 753
RSL Communications PLC (A)
9.875%, 11/15/09 1,000 903
Rural Cellular
9.625%, 05/15/08 500 514
Russell-Stanley Holdings
10.875%, 02/15/09 750 653
Safelite Glass
9.875%, 12/15/06 800 86
Safety Components
10.125%, 07/15/07 500 309
Safety-Kleen
9.250%, 05/15/09 750 714
Safety-Kleen Services
9.250%, 06/01/08 750 743
Salem Communications, Ser B
9.500%, 10/01/07 900 907
Santa Fe Hotel
11.000%, 12/15/00 1,571 1,544
Sbarro (A)
11.000%, 09/15/09 1,900 1,952
SCG Holding (A)
12.000%, 08/01/09 2,000 2,125
Scotts (A)
8.625%, 01/15/09 1,500 1,455
SD Warren PIK
14.000%, 12/15/06 927 1,061
SD Warren, Ser B
12.000%, 12/15/04 1,450 1,517
Sea Containers
10.750%, 10/15/06 700 695
Sealy Mattress
9.875%, 12/15/07 500 494
Sealy Mattress (B)
11.440%, 12/15/07 500 352
Sequa
9.000%, 08/01/09 1,000 971
SF Holdings Group (B)
16.350%, 03/15/08 1,000 566
87
<PAGE>
Notes to Financial Statements
(continued)
Schedule of Investments (Unaudited)
SEI Institutional Managed Trust High Yield Bond Fund (continued)
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
Sheffield Steel, Ser B
11.500%, 12/01/05 $ 500 $ 415
Siligan Holdings PIK
13.250%, 07/15/06 336 362
Silver Cinemas
10.500%, 04/15/05 800 332
Simmons
10.250%, 03/15/09 1,500 1,419
Simonds Industries
10.250%, 07/01/08 600 452
Sinclair Broadcast Group
10.000%, 09/30/05 800 798
9.000%, 07/15/07 3,000 2,813
Sitel
9.250%, 03/15/06 500 459
Sleepmaster LLC
11.000%, 05/15/09 1,250 1,256
Southwest Royalties, Ser B
10.500%, 10/15/04 500 275
Sovereign Bancorp
10.500%, 11/15/06 1,000 1,015
Sovereign Specialty Chemical, Ser B
9.500%, 08/01/07 450 447
Spanish Broadcasting
9.625%, 11/01/09 1,750 1,759
Specialty Paperboard
9.375%, 10/15/06 500 505
Sprint Spectrum
11.000%, 08/15/06 1,040 1,149
St John Knits International (A)
12.500%, 07/01/09 1,000 868
Stanadyne Automotive
10.250%, 12/15/07 500 414
Stater Brothers Holdings
10.750%, 08/15/06 2,500 2,506
Station Casinos
10.125%, 03/15/06 1,400 1,432
9.750%, 04/15/07 1,000 1,023
STC Broadcasting
11.000%, 03/15/07 1,000 998
Sterling Chemicals
12.375%, 07/15/06 1,500 1,545
11.750%, 08/15/06 500 375
Sterling Chemical Holdings (B)
33.040%, 08/15/08 1,000 274
Stone Container (A)
11.500%, 08/15/06 400 426
Sun International Hotels
9.000%, 03/15/07 1,300 1,245
Sun Media
9.500%, 05/15/07 325 323
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
Susquehanna Media
8.500%, 05/15/09 $1,250 $ 1,216
Swift Energy
10.250%, 08/01/09 1,750 1,776
T/SF Communications, Ser B
10.375%, 11/01/07 500 481
Tekni-Plex
11.250%, 04/01/07 800 864
Telewest Communications
9.625%, 10/01/06 150 153
11.250%, 11/01/08 500 546
Telewest Communications (A) (B)
11.080%, 04/15/09 1,650 1,048
Telewest Communications (B)
11.050%, 10/01/07 4,250 3,968
Teligent
11.500%, 12/01/07 1,000 973
Tembec Industries
8.625%, 06/30/09 500 500
Tenet Healthcare
8.625%, 01/15/07 500 478
Texas Petrochemical
11.125%, 07/01/06 1,000 868
Texas Petrochemical, Ser B
11.125%, 07/01/06 450 390
Therma-Wave
10.625%, 05/15/04 500 524
Thermadyne Holdings (B)
18.160%, 06/01/08 550 265
Time Warner
9.750%, 07/15/08 1,250 1,294
Titan Wheel International
8.750%, 04/01/07 500 421
Town Sports International
9.750%, 10/15/04 2,000 1,935
Trans World Airlines
11.375%, 03/01/06 900 365
Transportation Manufacturing
11.250%, 05/01/09 3,500 3,583
Travelcenters of America
10.250%, 04/01/07 750 741
Tri-State Outdoor Media
11.000%, 05/15/08 1,350 1,337
Tritel PCS (A) (B)
11.680%, 05/15/09 1,000 634
Tropical Sportswear International
11.000%, 06/15/08 500 480
TV Guide
8.125%, 03/01/09 1,000 1,000
Twin Laboratories
10.250%, 05/15/06 325 342
88
<PAGE>
(Logo)
[Graphic Omitted]
December 31,1999
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
Ultapetrol (Bahamas)
10.500%, 04/01/08 $ 800 $ 658
Unisys
12.000%, 04/15/03 550 587
11.750%, 10/15/04 500 549
7.875%, 04/01/08 400 385
United International Holdings,
Ser B (B)
11.730%, 02/15/08 2,000 1,275
United Pan-Europe
Communications (B)
13.300%, 08/01/09 1,000 574
United Pan-Europe Communications
10.875%, 08/01/09 1,000 1,016
United Pan-Europe
Communications (A)
10.875%, 08/01/09 2,000 2,033
United Rentals
9.250%, 01/15/09 800 768
9.000%, 04/01/09 1,000 943
Universal Compression (B)
12.910%, 02/15/08 800 506
Universal Health Services
8.750%, 08/15/05 250 254
URS
12.250%, 05/01/09 900 923
US Office Products
9.750%, 06/15/08 750 406
US Unwired (A) (B)
12.580%, 11/01/09 750 445
Vail Resorts
8.750%, 05/15/09 1,600 1,496
Verio (A)
10.675%, 11/15/09 1,200 1,230
Verio
13.500%, 06/15/04 1,000 1,105
10.375%, 04/01/05 500 507
11.250%, 12/01/08 750 788
Versatel Telecom
11.875%, 07/15/09 1,000 1,020
Viasystems
9.750%, 06/01/07 500 274
Viasystems, Ser B
9.750%, 06/01/07 600 329
Viatel (B)
14.380%, 04/15/08 1,500 953
Viatel (A)
11.500%, 03/15/09 686 686
Vlasic Foods International
10.250%, 07/01/09 1,250 1,192
Voicestream Wire (A)
10.375%, 11/15/09 2,750 2,826
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
Voicestream Wire (A) (B)
11.010%, 11/15/09 $1,250 $ 755
Waste Systems
11.500%, 01/15/06 550 545
Waste Systems International (A)
7.000%, 05/13/05 800 664
Waterford Gaming (A)
9.500%, 03/15/10 1,075 1,056
Waxman Industries
12.750%, 06/01/04 600 302
WCI Steel
10.000%, 12/01/04 1,000 1,018
Weirton Steel
11.375%, 07/01/04 250 240
Wells Aluminum
10.125%, 06/01/05 500 489
Werner Holdings
10.000%, 11/15/07 2,900 2,835
Wesco Distribution
9.125%, 06/01/08 1,750 1,645
Western Federal Notes (C)
0.000%, 09/30/00 500 100
Western Wireless
10.500%, 06/01/06 400 418
10.500%, 02/01/07 300 314
Wheeling-Pittsburgh
9.250%, 11/15/07 900 844
WHX
10.500%, 04/15/05 750 733
William Carter
10.375%, 12/01/06 750 655
Williams Communication
10.875%, 10/01/09 3,500 3,666
Winstar Communications
10.000%, 03/15/08 500 479
Winstar Communications (B)
10.030%, 10/15/05 1,250 1,205
Wiser Oil
9.500%, 05/15/07 600 473
World Access
13.250%, 01/15/08 800 718
World Color Press
7.750%, 02/15/09 1,500 1,433
Worldwide Fiber
12.500%, 12/15/05 750 784
Worldwide Fiber (A)
12.000%, 08/01/09 500 520
Worldwide Flight Service (A)
12.250%, 08/15/07 800 792
Young Broadcasting
9.000%, 01/15/06 400 389
8.750%, 06/15/07 1,200 1,143
89
<PAGE>
Notes to Financial Statements
(continued)
Schedule of Investments (Unaudited)
SEI Institutional Managed Trust High Yield Bond Fund (continued)
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
Ziff-Davis
8.500%, 05/01/08 $1,000 $ 1,003
Zilog, Ser B
9.500%, 03/01/05 1,200 1,110
ZSC Specialty Chemicals (A)
11.000%, 07/01/09 2,750 2,853
--------
Total Corporate Obligations
(Cost $588,752) 549,231
--------
Units--1.2%
Airgate PCS, 1 Unit = $1M senior
subordinate notes + 1 warrant
to buy 2.148
common shares @ $0.01/share (B)
12.920%, 10/01/09 1400 910
Australis Media, 1 Unit = $1M senior
subordinate discount note +
1 warrant (A) (C)
0.000%, 05/15/03 400 4
Colt Telecom Group, 1 Unit = 1 senior
discount note + 1 warrant (B)
9.410%, 12/15/06 600 528
County Seat Stores, 1 Unit = $1M
senior note + 1 warrant (C)
0.000%, 11/01/04 500 8
Earthwatch, 1 Unit = $1M senior
discount note to buy 49.095
shares of series C
preferred stock (A) (B)
14.400%, 07/15/07 2,250 1,552
Globix, 1 Unit = $1M senior
notes + 1 warrant
13.000%, 05/01/05 1,400 1,414
International Utility Structure,
1 Unit = $1M senior exchanged
preferred + 1 warrant PIK
13.000%, 02/01/08 500 469
Merrill, 1 Unit = $1M senior
subordinate note + 1 warrant
to buy 1.22987 of
Merrill common stock (A)
12.000%, 05/01/09 1,250 1,217
Mrs Fields, 1Unit = $1M senior
secured discount notes + warrants
to buy shares common stock (A) (B)
18.000%, 12/01/05 800 400
Pegasus Communications,
1 Unit = $1M preferred share +
1 warrant PIK
12.750%, 01/01/07 2,500 278
Republic Technologies,
1 Unit = $1M senior note + 1 warrant
to buy class D common stock
@ $0.01/share (A)
13.750%, 07/15/09 750 525
- -------------------------------------------------------------------------------
Description Par (000)/Shares Value (000)
- -------------------------------------------------------------------------------
Startec Global
Communication, 1 Unit
= $1M senior notes + 1 warrant
12.000%, 05/15/08 $ 500 $ 424
-------
Total Units
(Cost $8,809) 7,729
-------
Preferred Stocks--1.0%
Adelphia Business Solution PIK* 9 9
Adelphia Communications* 2,500 288
Ameriking PIK* 2,841,200 625
Benedek Communications PIK* 500,000 406
Diva Systems, Ser C* 41,615 333
E.Spire Communications PIK * 530 127
GPA Group, PLC
Convertible (A)* 1,000,000 525
Granite Broadcasting PIK* 100 10
Intermedia Communication PIK* 362 355
Intermedia Communication
Convertible (A) 20,000 675
International Utility PIK (A)* 102 8
Jordan Telecommunication PIK* 667 756
Nextel Communications PIK* 660 663
Nextel Communications PIK* 3,679 368
Nextlink Communications PIK* 7,296 390
Pegasus Communications PIK* 790 83
Primedia 4,000 388
-------
Total Preferred Stocks
(Cost $5,530) 6,009
-------
Warrants--0.2%
Abraxas Petroleum Ltd Contingent
Value Rights* 74,523 --
American Mobile* 900 4
Ampex (A)* 34,000 108
Australis* 500 --
CarrierOne * 1,000 2
Classic Cable* 3,000 50
Clearnet* 1,320 25
Crown Packaging* 100,848 --
Dairy Mart Convenience Stores* 1,334 --
Diva System* 1,025 373
Diva Systems * 8,271 66
DTI Holdings (A)* 5,000 --
E.spire Communications* 500 82
Globalstar Telecommunication* 400 60
Golden Ocean Group* 688 1
HF Holdings * 3,156 --
Inter Act Systems* 700 --
Key Energy Services * 1,150 29
KMC Telecom Holdings * 1,250 3
90
<PAGE>
(Logo)
[Graphic Omitted]
December 31,1999
- -------------------------------------------------------------------------------
Description Shares Value (000)
- -------------------------------------------------------------------------------
Mccaw International* 1,400 $ 11
Mentus Media (A)* 2,365 --
Metronet (A)* 500 4
Microcell Telecommunications* 2,400 96
Nextlink Communications (A)* 5,000 --
Orbital Imaging * 950 19
Pld Telekom* 830 --
Startec Global* 500 7
USN Communication* 11,540 12
Waste Systems International (A)* 8,250 --
Wright Medical Technology* 20 --
----
Total Warrants
(Cost $685) 952
----
Common Stocks--1.0%
Abraxas Petroleum (Nev)* 74,523 70
Advanced Radio
Telecommunications* 10,117 243
Coinstar* 4,545 64
Completel Holdings LLC (A)* 18,000 --
Concentric Network* 6,974 215
Globix* 9,856 591
ICG Communications* 1,155 22
Intermedia Communications* 2,682 104
Jordan Communications
Products (A)* 500 2
Loral Space & Communications* 454 11
Optel (A)* 300 --
Price Communications (C)* 89,949 2,502
Primus Telecommunications Group* 1,047 40
SF Holdings Group, Cl C (A)* 200 --
Verio * 28,168 1,301
Viatel* 2,863 154
Weatherford International* 23,691 946
World Access* 2,514 48
------
Total Common Stocks
(Cost $3,971) 6,313
------
- -------------------------------------------------------------------------------
Description Par (000)/Shares Value (000)
- -------------------------------------------------------------------------------
Asset-Backed Obligation--0.1%
Constellation Finance LLC Ser 1997-1
9.800%, 12/14/02 $ 500 $ 462
------
Total Asset-Backed Obligation
(Cost $500) 462
------
Right--0.0%
Primestar 8,827 62
------
Total Right
(Cost $0) 62
------
Repurchase Agreement--2.8%
Merrill Lynch 2.750%, dated 12/31/99,
matures 01/03/00, repurchase price
$17,004,000, (collateralized by
U.S. Treasury Note, par value
$17,025,000, 6.375%, 09/30/01,
total market value: $17,344,000) $17,000 17,000
------
Total Repurchase Agreement
(Cost $17,000) 17,000
------
Total Investments--97.1% of Net Assets
(Cost $625,247) 587,758
=======
*Non-income producing security
(A) Security sold within the terms of a private placement memorandum, exempt
from registration under section Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other "accredited
investors." These securities has been determined to be liquid under the
guidelines established by the Board of Directors.
(B) Step Bond--The rate reflected on the Statement of Net Assets is the
effective yield on December 31, 1999. The coupon on a step bond changes on
a specific date.
(C) In default on interest payments.
LLC -- Limited Liability Company
Ltd. -- Limited
PIK -- Payment In-Kind
PLC -- Public Limited Company
Ser -- Series
The accompanying notes are an integal part of the financial statements.
91
<PAGE>
Notes to Financial Statements
Schedule of Investments (Unaudited)
SEI Index Funds S&P 500 Index Fund
- -------------------------------------------------------------------------------
Description Shares Value (000)
- -------------------------------------------------------------------------------
Common Stocks--98.2%
Aerospace & Defense--0.1%
Raytheon, Cl B 77,940 $ 2,070
-------
Air Transportation--0.3%
AMR* 34,070 2,283
Delta Air Lines 30,570 1,523
FDX* 68,804 2,817
Southwest Airlines 116,200 1,881
US Air Group* 16,465 528
-------
9,032
-------
Aircraft--0.9%
Boeing 215,271 8,947
General Dynamics 46,260 2,440
Lockheed Martin 91,232 1,996
Northrop 15,965 863
Rockwell International 43,930 2,103
Textron 34,210 2,623
United Technologies 110,244 7,166
-------
26,138
-------
Apparel/Textiles--0.1%
Liz Claiborne 13,650 514
Russell 7,565 127
Springs Industries, Cl A 4,170 167
VF 27,160 815
-------
1,623
-------
Automotive--1.2%
Cooper Tire & Rubber 17,400 271
Dana 37,857 1,133
Delphi Automotive Systems* 130,117 2,049
Eaton 16,930 1,230
Fleetwood Enterprises 7,490 154
Ford Motor 278,240 14,868
General Motors 147,430 10,716
Genuine Parts 40,992 1,017
Goodyear Tire & Rubber 35,870 1,011
ITT Industries 20,165 674
Navistar International* 14,626 693
Paccar 18,008 798
TRW 28,020 1,455
-------
36,069
-------
Banks--5.0%
Amsouth Bancorp 90,100 1,740
Bank of America 393,212 19,734
Bank of New York 169,600 6,784
Bank One 264,201 8,471
BB&T 76,200 2,086
- -------------------------------------------------------------------------------
Description Shares Value (000)
- -------------------------------------------------------------------------------
Chase Manhattan 189,977 $ 14,759
Comerica 36,050 1,683
Fifth Third Bancorp 65,650 4,817
First Union 227,514 7,465
Firstar 225,794 4,770
Fleet Boston Financial 210,844 7,340
Golden West Financial 37,215 1,247
Huntington Bancshares 52,967 1,265
JP Morgan 39,930 5,056
KeyCorp 103,142 2,282
Mellon Financial 117,120 3,989
National City 142,100 3,366
Northern Trust 51,200 2,714
PNC Bank 67,760 3,015
Regions Financial 50,400 1,266
Republic New York 24,100 1,735
SouthTrust 38,700 1,463
State Street 36,800 2,689
Summit Bancorp 40,300 1,234
SunTrust Banks 73,730 5,074
Synovus Financial 64,500 1,282
U.S. Bancorp 167,631 3,992
Union Planters 32,500 1,282
Wachovia 46,678 3,174
Washington Mutual 133,047 3,459
Wells Fargo 378,252 15,296
-------
144,529
-------
Broadcasting, Newspapers & Advertising--0.8%
Clear Channel Communications* 78,000 6,961
Mediaone Group* 140,960 10,827
Omnicom Group 40,800 4,080
-------
21,868
-------
Chemicals--1.4%
Air Products & Chemicals 52,740 1,770
Avery Dennison 25,930 1,890
BF Goodrich 25,450 700
Dow Chemical 50,550 6,755
Eastman Chemical 17,991 858
EI du Pont de Nemours 233,586 15,387
FMC* 7,065 405
Great Lakes Chemical 13,200 504
Hercules 24,595 686
Monsanto 146,150 5,207
Praxair 36,565 1,840
Rohm & Haas 50,423 2,052
Union Carbide 30,865 2,060
W.R. Grace* 16,500 229
-------
40,343
-------
92
<PAGE>
(Logo)
[Graphic Omitted]
December 31,1999
- -------------------------------------------------------------------------------
Description Shares Value (000)
- -------------------------------------------------------------------------------
Communications--9.0%
Alltel 72,282 $ 5,977
Andrew* 18,815 356
AT&T 735,987 37,351
Bell Atlantic 357,714 22,022
BellSouth 433,612 20,298
Comcast, Cl A* 173,154 8,755
GTE 223,880 15,798
Interpublic Group 64,600 3,727
Lucent Technologies 721,632 53,987
Marriott International, Cl A* 57,340 1,810
Motorola 140,260 20,653
SBC Telecommunications 785,785 38,307
Scientific-Atlanta 18,084 1,006
Sprint 200,700 13,510
Tellabs* 92,700 5,950
Viacom, Cl B* 160,500 9,700
-------
259,207
-------
Communications Equipment--2.4%
ADC Telecommunications* 34,500 2,503
General Instrument* 40,100 3,408
Molex 36,100 2,046
Network Appliance* 34,400 2,857
Nortel Networks 307,600 31,068
Qualcomm* 152,000 26,771
-------
68,653
--------
Computers & Services--19.1%
Adaptec* 23,500 1,172
America Online* 514,900 38,843
Apple Computer* 37,020 3,806
Cabletron Systems* 41,600 1,082
Ceridian* 33,230 717
Cirrus Logic* 29,400 2,661
Cisco Systems* 753,400 80,708
Compaq Computer* 391,556 10,596
Computer Associates International 124,152 8,683
Computer Sciences* 38,320 3,626
Comverse Technology* 16,400 2,374
Dell Computer* 585,300 29,850
EMC* 234,400 25,608
First Data 96,504 4,759
Gateway * 72,900 5,253
Hewlett Packard 234,760 26,748
IBM 415,220 44,844
Microsoft* 1,188,600 138,769
Novell* 76,700 3,063
Oracle Systems* 327,914 36,747
Pitney Bowes 61,120 2,953
Seagate Technology* 47,900 2,230
Shared Medical Systems 6,295 321
- ------------------------------------------------------------------------------
Description Shares Value (000)
- ------------------------------------------------------------------------------
Silicon Graphics* 42,300 $ 415
Sun Microsystems* 359,800 27,862
Tandy 44,388 2,183
Texas Instruments 184,740 17,897
Unisys* 71,385 2,280
Yahoo!* 60,600 26,221
-------
552,271
-------
Construction--0.2%
Armstrong World Industries 9,265 309
Centex 13,680 338
Fluor 17,430 800
Foster Wheeler 9,365 83
Halliburton 101,710 4,094
McDermott International 13,665 124
Owens-Corning Fiberglass 12,565 243
-------
5,991
-------
Containers & Packaging--0.1%
Ball 6,995 275
Crown Cork & Seal 28,085 628
Newell Rubbermaid 64,836 1,880
Owens-Illinois* 34,600 867
-------
3,650
-------
Drugs--0.0%
Watson Pharmaceuticals* 22,000 788
-------
Electrical Services--0.5%
AES* 45,500 3,401
Ameren 31,500 1,032
CMS Energy 26,700 833
Consolidated Edison 50,790 1,752
Constellation Energy Group* 34,495 1,000
FirstEnergy* 53,805 1,221
Florida Progress 22,600 956
New Century Energies 26,500 805
Niagara Mohawk Holdings* 43,065 600
Pinnacle West Capital 19,500 596
Reliant Energy 68,151 1,559
-------
13,755
-------
Electronic & Other Electrical Equipment--3.0%
3Com* 79,500 3,736
Advanced Micro Devices* 33,830 979
Autodesk 14,100 476
Automatic Data Processing 143,940 7,755
Intel 769,580 63,346
Johnson Controls 19,630 1,116
LSI Logic* 34,200 2,308
Micron Technology 62,200 4,836
Millipore 10,490 405
National Semiconductor* 39,512 1,692
93
<PAGE>
Notes to Financial Statements
Schedule of Investments (Unaudited)
SEI Index Funds S&P 500 Index Fund (continued)
- -------------------------------------------------------------------------------
Description Shares Value (000)
- -------------------------------------------------------------------------------
Tektronix 10,855 $ 422
Thomas & Betts 13,340 425
-------
87,496
-------
Entertainment--0.0%
Mirage Resorts* 44,500 681
-------
Environmental Services--0.1%
Allied Waste Industries* 43,500 383
Ecolab 29,800 1,166
Waste Management* 142,714 2,453
-------
4,002
-------
Financial Services--3.6%
Allstate* 185,504 4,452
American Express 103,247 17,165
Associates First Capital 167,792 4,604
Bear Stearns 27,407 1,172
Capital One Financial 45,400 2,188
Charles Schwab 188,900 7,249
Countrywide Credit Industries 26,000 657
Equifax 32,600 768
FHLM 160,100 7,535
FNMA 236,060 14,739
Franklin Resources 58,100 1,863
Household International 108,291 4,034
Lehman Brothers Holding 27,500 2,329
MBNA 184,712 5,033
Merrill Lynch 85,400 7,131
Morgan Stanley 128,261 18,309
Old Kent Financial 27,100 959
Painewebber Group 32,900 1,277
SLM Holding 36,600 1,546
T Rowe, Price 27,600 1,019
-------
104,029
-------
Food, Beverage & Tobacco--4.1%
Adolph Coors, Cl B 8,565 450
Anheuser Busch 107,200 7,598
Archer-Daniels-Midland 140,089 1,707
Bestfoods 64,120 3,370
Brown-Forman, Cl B 15,760 902
Campbell Soup 98,560 3,813
Coca-Cola Enterprises 98,000 1,972
Coca-Cola Company 568,960 33,142
Conagra 113,384 2,558
Fortune Brands 37,840 1,251
General Mills 70,020 2,503
Hershey Foods 31,900 1,515
HJ Heinz 82,520 3,285
Kellogg 93,380 2,877
Nabisco Group Holdings 75,100 798
PepsiCo 335,280 11,819
- -------------------------------------------------------------------------------
Description Shares Value (000)
- -------------------------------------------------------------------------------
Philip Morris 545,030 $ 12,638
Quaker Oats 30,860 2,025
Ralston-Ralston Purina Group 74,480 2,076
Sara Lee 209,260 4,617
Seagram 99,900 4,489
Supervalu 32,260 645
Sysco 75,820 3,000
Unilever NV* 131,650 7,167
UST 39,440 993
William Wrigley, Jr. 26,705 2,215
-------
119,425
-------
Footwear--0.1%
Nike, Cl B 64,620 3,203
Reebok International 12,920 106
-------
3,309
-------
Gas/Natural Gas--0.1%
El Paso Energy 52,630 2,043
Oneok* 7,400 186
Sempra Energy* 55,227 960
-------
3,189
-------
Glass Products--0.3%
Corning 56,260 7,254
PPG Industries 39,890 2,496
-------
9,750
-------
Household Furniture & Fixtures--0.0%
Leggett & Platt 45,200 969
-------
Household Products--2.8%
Alberto-Culver, Cl B 12,780 330
Avon Products 55,840 1,843
Clorox 54,418 2,741
Colgate Palmolive 134,176 8,721
Danaher* 32,800 1,583
Gillette 247,076 10,176
International Flavors & Fragrances 24,195 913
Jostens 7,650 186
Masco 102,980 2,613
Maytag 19,430 933
Minnesota Mining & Manufacturing 92,530 9,056
National Service Industries 9,385 277
Procter & Gamble 302,708 33,165
Sherwin Williams 38,160 801
Snap-On Tools 13,497 359
Solectron* 67,500 6,421
Stanley Works 20,630 621
Tupperware 13,250 224
Whirlpool 17,105 1,113
-------
82,076
-------
94
<PAGE>
(Logo)
[Graphic Omitted]
December 31,1999
- -------------------------------------------------------------------------------
Description Shares Value (000)
- -------------------------------------------------------------------------------
Insurance--4.5%
Aetna 34,487 $ 1,925
Aflac 61,300 2,893
American General 56,939 4,320
American International Group 356,647 38,562
Aon 59,075 2,363
Chubb 40,518 2,282
Cigna 42,690 3,439
Cincinnati Financial 37,900 1,182
Citigroup 776,656 43,153
Conseco 75,353 1,347
Hartford Financial Services Group 51,030 2,418
Jefferson Pilot 24,205 1,652
Lincoln National 45,060 1,802
Loews 24,400 1,481
Marsh & McLennan 61,415 5,877
MBIA 23,000 1,215
MGIC Investment 24,300 1,463
Progressive of Ohio 16,800 1,229
Providian Financial 32,695 2,977
SAFECO 29,920 744
St. Paul 52,376 1,764
Torchmark 30,274 880
United Healthcare 39,100 2,077
UnumProvident 55,273 1,772
Wellpoint Health Networks* 14,700 969
-------
129,786
-------
Lumber & Wood Products--0.1%
Georgia-Pacific 39,400 2,000
Louisiana-Pacific 24,512 349
-------
2,349
-------
Machinery--5.8%
Applied Materials* 87,200 11,047
Baker Hughes 75,848 1,598
Black & Decker 20,035 1,047
Briggs & Stratton 5,340 286
Brunswick 21,130 470
Caterpillar 81,900 3,854
Cooper Industries 21,695 877
Crane 15,219 302
Cummins Engine 9,540 461
Deere 53,690 2,329
Dover 46,940 2,130
Emerson Electric 100,130 5,745
General Electric 755,760 116,954
Honeywell International 182,302 10,517
Illinois Tool Works 69,234 4,678
Ingersoll Rand 37,705 2,076
Kaufman & Broad Home 10,937 265
Milacron 8,595 132
- ------------------------------------------------------------------------------
Description Shares Value (000)
- ------------------------------------------------------------------------------
NACCO Industries, Cl A 1,925 $ 107
Pall 28,493 614
Parker-Hannifin 25,778 1,323
PULTE 10,090 227
Timken 14,240 291
WW Grainger 21,480 1,027
-------
168,357
-------
Marine Transportation--0.2%
Carnival, Cl A 142,100 6,794
-------
Measuring Devices--0.2%
KLA Instruments* 20,600 2,294
Mallinckrodt 15,985 509
PE - PE Biosystems 23,730 2,855
Thermo Electron* 36,400 546
-------
6,204
-------
Medical Products & Services--8.6%
Abbott Laboratories 354,120 12,859
Allergan 30,300 1,507
Alza* 23,520 814
American Home Products 300,780 11,862
Amgen* 235,300 14,133
Bausch & Lomb 13,180 902
Baxter International 66,873 4,200
Becton, Dickinson 57,520 1,539
Biomet* 26,000 1,040
Boston Scientific* 95,500 2,089
Bristol-Myers Squibb 456,880 29,326
Columbia HCA Healthcare 129,659 3,801
CR Bard 11,835 627
Eli Lilly 251,120 16,699
Guidant 70,800 3,328
Healthsouth Rehabilitation* 89,012 478
Humana* 38,500 315
Johnson & Johnson 320,340 29,832
Manor Care* 24,147 386
Medtronic 275,280 10,031
Merck 538,450 36,110
Pfizer 891,720 28,925
Pharmacia & Upjohn 119,442 5,375
Schering Plough 338,420 14,277
Sigma Aldrich 23,200 697
St Jude Medical 19,450 597
Tenet Healthcare* 71,760 1,686
Warner Lambert 197,760 16,204
-------
249,639
-------
Metal & Metal Industries--0.5%
Alcan Aluminum 50,452 2,078
Barrick Gold 90,800 1,606
Bethlehem Steel* 30,230 253
95
<PAGE>
Notes to Financial Statements
Schedule of Investments (Unaudited)
SEI Index Funds S&P 500 Index Fund (continued)
- ------------------------------------------------------------------------------
Description Shares Value (000)
- ------------------------------------------------------------------------------
Engelhard 28,917 $ 546
Freeport-McMoran
Copper & Gold, Cl B 37,600 794
Homestake Mining 59,800 467
Inco 44,100 1,036
Newmont Mining 38,522 944
Nucor 20,080 1,101
Phelps Dodge 18,680 1,254
Placer Dome Group 75,029 807
Reynolds Metals 14,435 1,106
USX-U.S. Steel Group 20,267 669
Worthington Industries 20,522 340
-------
13,001
-------
Metals & Mining--0.0%
Vulcan Materials 23,000 919
-------
Miscellaneous Business Services--1.0%
Adobe Systems 27,700 1,863
BMC Software* 55,782 4,459
Cendant* 163,810 4,351
Citrix Systems* 20,600 2,534
Compuware* 82,400 3,069
Electronic Data Systems 108,400 7,256
Parametric Technology* 61,900 1,675
Peoplesoft* 61,962 1,321
Teradyne* 39,300 2,594
-------
29,122
-------
Miscellaneous Manufacturing--0.5%
Pactiv* 39,512 420
Tyco International Ltd 388,940 15,120
-------
15,540
-------
Oil & Gas--1.7%
Amerada Hess 20,830 1,182
Ashland 16,625 548
Atlantic Richfield 74,360 6,432
Burlington Resources 40,763 1,348
Chevron 151,120 13,091
Coastal 49,204 1,744
Kerr McGee 19,852 1,231
Occidental Petroleum 84,630 1,830
Phillips Petroleum 58,235 2,737
Rowan* 19,105 414
Schlumberger 126,634 7,123
Texaco 127,420 6,920
Unocal 55,690 1,869
USX-Marathon Group 71,535 1,766
-------
48,235
-------
Paper & Paper Products--0.9%
Bemis 12,190 425
Boise Cascade 13,131 532
Champion International 22,300 1,381
Fort James 49,827 1,364
International Paper 95,389 5,384
- -------------------------------------------------------------------------------
Description Shares Value (000)
- -------------------------------------------------------------------------------
Kimberly-Clark 125,374 $ 8,181
Mead 23,520 1,022
Potlatch 6,670 298
Temple-Inland 12,790 843
Westvaco 22,990 750
Weyerhaeuser 54,170 3,890
Willamette Industries 25,600 1,189
-------
25,259
-------
Petroleum & Fuel Products--0.1%
Anadarko Petroleum 29,400 1,003
Apache 26,200 968
Transocean Sedco Forex 47,716 1,607
Union Pacific Resources 58,091 741
-------
4,319
-------
Petroleum Refining--3.4%
Conoco 144,166 3,586
Exxon Mobil 795,507 64,088
Royal Dutch Petroleum ADR 493,940 29,852
Sunoco 20,770 488
Tosco 33,200 903
-------
98,917
-------
Photographic Equipment & Supplies--0.3%
Eastman Kodak 72,765 4,821
Polaroid 10,358 195
Xerox 153,050 3,472
-------
8,488
-------
Printing & Publishing--1.4%
American Greetings, Cl A 14,900 352
Deluxe 16,955 465
Dow Jones 20,600 1,401
Gannett 64,270 5,242
Knight-Ridder 19,370 1,153
McGraw-Hill 45,240 2,788
Meredith 11,880 495
New York Times, Cl A 39,460 1,938
RR Donnelley & Sons 29,160 724
Time Warner 296,328 21,465
Times Mirror, Cl A 13,865 929
Tribune 54,720 3,013
-------
39,965
-------
Professional Services--0.3%
Dun & Bradstreet* 37,032 1,092
H&R Block 22,670 992
Ikon Office Solutions 34,230 233
IMS Health* 70,964 1,929
Paychex 56,750 2,270
Perkinelmer 10,640 444
Service International 62,544 434
-------
7,394
-------
96
<PAGE>
(Logo)
[Graphic Omitted]
December 31,1999
- -------------------------------------------------------------------------------
Description Shares Value (000)
- -------------------------------------------------------------------------------
Railroads--0.1%
Kansas City Southern Industries 25,400 $ 1,895
-------
Recreational Products & Services--0.6%
Harrah's Entertainment* 29,485 780
Hasbro 44,767 853
Hilton Hotels 84,805 816
Mattel 96,965 1,273
Walt Disney 475,001 13,894
-------
17,616
-------
Retail--6.9%
Albertson's 97,523 3,145
Autozone* 33,200 1,073
Bed Bath & Beyond* 32,100 1,115
Best Buy* 47,300 2,374
Circuit City Stores 46,800 2,109
Consolidated Stores* 25,524 415
Costco Wholesale* 51,058 4,659
CVS 90,313 3,607
Darden Restaurants* 30,360 550
Dayton-Hudson 101,580 7,460
Dillards, Cl A 24,820 501
Dollar General 61,268 1,394
Federated Department Stores* 48,400 2,447
Great Atlantic & Pacific Tea 8,965 250
Harcourt General 16,366 659
Home Depot 530,283 36,358
JC Penney 59,930 1,195
Kmart* 113,680 1,144
Kohls* 37,400 2,700
Kroger* 191,620 3,617
Longs Drug Stores* 9,090 235
Lowe's 87,988 5,257
May Department Stores 76,943 2,481
McDonald's 311,900 12,573
Nordstrom 31,960 837
Office Depot** 75,800 829
Pep Boys 12,150 111
Rite Aid 59,660 667
Sears Roebuck 87,025 2,649
Staples* 106,850 2,217
The Gap 197,230 9,073
The Limited 49,448 2,142
TJX 71,440 1,460
Toys R Us* 56,365 807
Tricon Global Restaurants* 35,398 1,367
Wal-Mart Stores 1,025,040 70,856
Walgreen 231,160 6,761
Wendy's International 27,575 569
Winn Dixie Stores 34,260 820
-------
198,483
-------
- --------------------------------------------------------------
Description Shares Value (000)
- --------------------------------------------------------------
Rubber & Plastic--0.0%
Sealed Air* 19,186 $ 994
-------
Semi-Conductors/Instruments--0.2%
Analog Devices* 40,200 3,739
Xilinx* 73,400 3,337
-------
7,076
-------
Specialty Machinery--0.4%
CBS 175,564 11,225
-------
Steel & Steel Works--0.3%
Alcoa 84,266 6,994
Allegheny Technologies* 21,674 486
Teledyne Technologies* 6,249 59
Water Pik Technologies* 2,187 21
-------
7,560
-------
Telephones & Telecommunication--2.5%
Centurytel 32,200 1,525
Global Crossing* 174,760 8,738
MCI WorldCom* 653,710 34,688
Nextel Communications, Cl A* 83,700 8,632
Sprint (PCS Group)* 99,250 10,173
US West 116,416 8,382
-------
72,138
-------
Testing Laboratories--0.0%
Quintiles Transnational* 26,400 493
-------
Transportation Services--0.3%
Burlington Northern-Santa Fe 105,300 2,554
CSX 50,318 1,579
Norfolk Southern 87,700 1,798
Ryder System 14,730 360
Union Pacific 57,240 2,497
-------
8,788
-------
Utilities, Electric & Gas--1.6%
American Electric Power 44,725 1,437
Carolina Power & Light 36,800 1,120
Central & South West 48,900 978
Cinergy 36,492 880
Columbia Gas System 18,672 1,181
Consolidated Natural Gas 22,030 1,431
Dominion Resources 44,075 1,730
DTE Energy 33,335 1,046
Duke Power 84,206 4,221
Eastern Enterprises 6,191 356
Edison International 79,840 2,091
Enron 164,868 7,316
Entergy 56,720 1,461
FPL Group 41,228 1,765
General Public Utilities 28,400 850
97
<PAGE>
Notes to Financial Statements
(continued)
Schedule of Investments (Unaudited)
SEI Index Funds S&P 500 Index Fund (continued)
- -------------------------------------------------------------------------------
Shares/
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
Nicor 10,800 $ 351
Northern States Power 35,620 695
PECO Energy 42,875 1,490
Peoples Energy 8,140 273
PG&E 88,445 1,813
PP&L Resources 33,100 757
Public Service Enterprise 50,383 1,754
Southern 155,026 3,643
Texas Utilities 63,535 2,259
UNICOM 49,995 1,675
Williams 100,090 3,059
----------
45,632
----------
Wholesale--0.3%
Cardinal Health 64,558 3,091
Huttig Building Products * 3,448 17
McKesson HBOC 64,891 1,464
Safeway* 117,300 4,171
----------
8,743
----------
Total Common Stocks
(Cost $1,478,357) 2,835,844
----------
U.S. Treasury Obligation--0.1%
United States Treasury Bill (A)
5.02%, 06/22/00 $ 3,500 3,416
----------
Total U.S. Treasury Obligation
(Cost $3,416) 3,416
----------
- -------------------------------------------------------------------------------
Description Par (000) Value (000)
- -------------------------------------------------------------------------------
Repurchase Agreement--0.7%
JP Morgan 3.200%, dated 12/31/99,
matures 01/03/00, repurchase price
$20,221,390 (collateralized by various
FNMA obligations, par value
$20,219,652) (B) $19,823 $ 19,823
----------
Total Repurchase Agreement
(Cost $19,823) 19,823
----------
Total Investments--99.9%
(Cost $1,501,596) 2,859,083
==========
* Non-income producing security
(A) Security pledged as collateral on open futures contracts.
(B) Tri-party repurchase agreement.
ADR -- American Depository Receipt
Cl -- Class
FHLM -- Federal Loan Home Mortgage
FNMA -- Federal National Mortgage Association
The accompanying notes are an integal part of the financial statements.
98
<PAGE>
(Logo)
[Graphic Omitted]
December 31,1999
Statements of Assets and Liabilities (000) (Unaudited)
As of December 31, 1999
-------------------------------------------
SEI Institutional SEI Index Funds
Managed Trust High Yield S&P 500 Index
Bond Fund Fund
-------------------------------------------
Assets:
Investments at value (cost
$625,247 and $1,501,596
respectively) $587,758 $2,859,083
Accrued income 13,749 2,661
Investment Securities sold -- 1,016
Capital shares sold -- 603
Income and other receivables 10,574 650
-------------------------------------------
Total assets 612,081 2,864,013
-------------------------------------------
Liabilities:
Income distributions payable 4,857 --
Investment securities purchased 1,692 882
Accrued expenses 462 723
Capital shares redeemed -- 458
Other liabilities 51 --
-------------------------------------------
Total liabilities 7,062 2,063
-------------------------------------------
Total net assets 605,019 2,861,950
Net Assets:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on 60,205,478
and 44,062,416 outstanding shares
of beneficial interest, respectively 647,862 821,073
Portfolio Shares of Class E
(unlimited authorization--
no par value) based on 0 and
18,877,105 outstanding
shares of beneficial interest,
respectively -- 584,349
Undistributed net investment income
(deficit) 14 (188)
Accumulated net realized gain
(loss)on investments (5,368) 98,465
Net unrealized appreciation (depreciation)
on investments
(37,489) 1,357,487
Net unrealized appreciation on
futures -- 764
-------------------------------------------
Total Net Assets--100.0% $605,019 $2,861,950
===========================================
Net Asset Value, Offering and
Redemption Price
Per Share-- Class A $10.05 $45.50
===========================================
Net Asset Value, Offering and
Redemption Price
Per Share-- Class E $ -- $45.40
===========================================
Amounts designated as "--" are either $0 or have been rounded to $0.
99
<PAGE>
Report of Independent Public Accountants
To the Shareholders and Trustees of The Pillar Funds:
We have audited the accompanying statements of net assets of the U.S. Treasury
Securities Money Market, Prime Obligation Money Market, Tax-Exempt Money Market,
U.S. Treasury Securities Plus Money Market, Institutional Select Money Market,
Fixed Income, High Yield Bond, New Jersey Municipal Securities,
Intermediate-Term Government Securities, Pennsylvania Municipal Securities,
Equity Growth, Equity Value, Equity Income, Equity Index, Mid Cap, Balanced, and
International Equity Funds of The Pillar Funds (the "Trust") as of December 31,
1999, and the related statements of operations, the statements of changes in net
assets, and the financial highlights for the periods presented. These financial
statements and financial highlights are the responsibility of the Trust's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights. Our procedures included confirmation of
securities owned as of December 31, 1999, by correspondence with the custodian
and application of alternative procedures with respect to unsettled securities
transactions. An audit also includes assessing the accounting principles used
and significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
U.S. Treasury Securities Money Market, Prime Obligation Money Market, Tax-Exempt
Money Market, U.S. Treasury Securities Plus Money Market, Institutional Select
Money Market, Fixed Income, High Yield Bond, New Jersey Municipal Securities,
Intermediate-Term Government Securities, Pennsylvania Municipal Securities,
Equity Growth, Equity Value, Equity Income, Equity Index, Mid Cap, Balanced, and
International Equity Funds of The Pillar Funds as of December 31, 1999, the
results of their operations, the changes in their net assets, and the financial
highlights for the periods presented, in conformity with generally accepted
accounting principles.
ARTHUR ANDERSEN LLP
Philadelphia, PA
February 18, 2000
<PAGE>
(Logo)
[Graphic Omitted]
Notice to Sharesholders of the Pillar Funds
December 31,1999
(Unaudited)
Dear Pillar Shareholders:
For the fiscal year ended December 31, 1999, each Fund is designating the
following items with regard to distributions paid during the year.
<TABLE>
<CAPTION>
Long Term
(20% rate) Ordinary
Capital Gains Income Tax Exempt Qualifying
Distributions Distributions Income Dividends Foreign
Portfolio (Tax Basis) (Tax Basis) Distribution Total (1) Tax Credit
- ------------- -------------- -------------- -------------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
U.S. Treasury Securities
Money Market Fund 0% 100% 0% 100% 0% 0%
Prime Obligation Money Market Fund 0 100 0 100 0 0
Tax-Exempt Money Market Fund 0 4 96 100 0 0
U.S. Treasury Securities
Plus Money Market Fund 0 100 0 100 0 0
Institutional Select Money
Market Fund 0 100 0 100 0 0
Fixed Income Fund 0 100 0 100 0 0
High Yield Bond Fund 1 99 0 100 0 0
New Jersey Municipal
Securities Fund 5 0 95 100 0 0
Intermediate-Term Government
Securities Fund 0 100 0 100 0 0
Pennsylvania Municipal
Securities Fund 19 0 81 100 0 0
Equity Growth Fund 75 25 0 100 11 0
Equity Value Fund 70 30 0 100 100 0
Equity Income Fund 27 73 0 100 100 0
Equity Index Fund 55 45 0 100 93 0
Mid Cap Fund 100 0 0 100 0 0
Balanced Fund 0 100 0 100 56 0
International Equity Fund 0 0 0 0 0 0
</TABLE>
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction. None of the Funds qualify in California,
Connecticut or New York to pass through exempt interest dividends from U.S.
government obligations.
101
<PAGE>
Notes
<PAGE>
(Logo)
(Graphic omitted)
December 31, 1999
<PAGE>
Notes
<PAGE>
<PAGE>
(Logo) [Graphic Omitted]
The Pillar Funds
Your Investment Foundation
Investment Advisor
Summit Bank
Administrator
SEI Investments Mutual Fund Services
Oaks, PA 19456
Distributor
SEI Investments Distribution Co.
Oaks, PA 19456
www.pillarfunds.com
Summit Bank is the custodian for The Pillar Funds. SEI Investments
Distribution Co. is not affiliated with Summit Bank.
The Pillar Funds, Pillar, the stylized "P" logo and Your Investment Foundation
are registered service marks of Summit Bank. pillarfunds.com is a service mark
of Summit Bank. Summit and Summit Bancorp are registered service marks of
Summit Bancorp. Summit Bank is a service mark of Summit Bancorp.
This information must be preceded or accompanied by a current prospectus. For
more information call, 1-800-932-7782.
Read it carefully before you invest or send money.
PIL-F-015-10
