<PAGE>
MARQUIS FUNDS (R)
. GOVERNMENT SECURITIES FUND
. STRATEGIC INCOME BOND FUND
. LOUISIANA TAX-FREE INCOME FUND
. BALANCED FUND
. VALUE EQUITY FUND
. GROWTH EQUITY FUND
. SMALL CAP EQUITY FUND
. INTERNATIONAL EQUITY FUND
CLASS A AND CLASS B SHARES
SUPPLEMENT DATED JULY 28, 1997
TO THE PROSPECTUS DATED JANUARY 28, 1997, AS SUPPLEMENTED MARCH 4, 1997
The Prospectus, dated January 28, 1997, as supplemented March 4, 1997, is
hereby amended by the addition of the following: (i) unaudited financial
information for the Class A Shares and Class B Shares of the Strategic Income
Bond, Small Cap Equity and International Equity Funds for the period ended
March 31, 1997; (ii) unaudited financial information for the Class A Shares of
the Small Cap Growth Portfolio of SEI Institutional Managed Trust ("SIMT") for
the period ended March 31, 1997; and (iii) audited financial information for
the Class A Shares for the International Equity Portfolio of SEI International
Trust ("SIT") for the year ended February 28, 1997.
FINANCIAL HIGHLIGHTS
The following table provides unaudited financial highlights for Class A Shares
and Class B Shares of the Strategic Income Bond Fund for the period January 31,
1997 (commencement of operations) to March 31, 1997.
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD:
<TABLE>
<CAPTION>
CLASS A CLASS B
SHARES SHARES
------- -------
<S> <C> <C>
STRATEGIC INCOME BOND FUND
Net Asset Value, Beginning of Period $ 10.00 $10.00
Net Investment Income 0.09 0.06
Realized and Unrealized Gains or (Losses) on Investments (0.32) (0.29)
Distributions from Net Investment Income (0.09) (0.08)
Distribution from Capital Gains -- --
Net Asset Value, End of Period $ 9.68 $ 9.69
Total Return+ (2.35)% (2.34)%
Net Assets, End of Period (000) $12,779 $ 85
Ratio of Expenses to Average Net Assets 0.90 %* 1.70 %*
Ratio of Net Investment Income to Average Net Assets 6.23 %* 5.88 %*
Ratio of Expenses to Average Net Assets (Excluding Waiv-
ers) 1.79 %* 3.25 %*
Ratio of Net Investment Income to Average Net Assets (Ex-
cluding Waivers) 5.34 %* 4.33 %*
Portfolio Turnover Rate 0.08 % 0.08 %
</TABLE>
- --------
Amounts designated as "--" are either $0 or have been rounded to $0.
+ Total Return does not reflect sales load on Class A Shares and Class B
Shares.
* Annualized.
----------------
<PAGE>
The following table provides unaudited financial highlights for Class A Shares
and Class B Shares of the Small Cap Equity Fund for the period February 3, 1997
(commencement of operations) to March 31, 1997.
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD:
<TABLE>
<CAPTION>
CLASS A CLASS B
SHARES SHARES
------- -------
<S> <C> <C>
SMALL CAP EQUITY FUND(++)
Net Asset Value, Beginning of Period $10.00 $10.00
Net Investment Income -- --
Realized and Unrealized Gains or (Losses) on Investments (1.44) (1.44)
Distributions from Net Investment Income -- --
Distributions from Capital Gains -- --
Net Asset Value, End of Period $ 8.56 $ 8.56
Total Return+ (15.45)% (15.65)%
Net Assets, End of Period (000) $1,550 $ 11
Ratio of Expenses to Average Net Assets 0.20 %* 0.95 %*
Ratio of Net Investment Income to Average Net Assets (0.20)%* (0.95)%*
Ratio of Expenses to Average Net Assets (Excluding Waiv-
ers) 3.71 %* 1.08 %*
Ratio of Net Investment Income to Average Net Assets (Ex-
cluding Waivers) (3.71)%* (1.08)%*
Portfolio Turnover Rate -- --
Average Commission Rate** -- --
</TABLE>
- --------
Amounts designated as "--" are either $0 or have been rounded to $0.
+ Total Return does not reflect sales load on Class A Shares and Class B
Shares.
++ Total return includes performance information relating to the SIMT Small Cap
Growth Portfolio for the period January 1, 1997 through February 2, 1997.
The Marquis Small Cap Equity Fund, which began investment operations on
February 3, 1997, currently invests substantially all of its assets in the
SIMT Small Cap Growth Portfolio and can be expected to have a performance
record that closely resembles that of the SIMT Small Cap Growth Portfolio.
The total return has been adjusted to reflect the actual fees and expenses
of the Marquis Small Cap Equity Fund, whose fees and expenses are higher
than those of the SIMT Small Cap Growth Portfolio.
* Annualized.
** Average commission rate paid for security purchases and sales during the
period.
----------------
<PAGE>
The following table provides unaudited financial highlights for Class A Shares
and Class B Shares of the International Equity Fund for the period February 3,
1997 (commencement of operations) to March 31, 1997.
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD:
<TABLE>
<CAPTION>
CLASS A CLASS B
SHARES SHARES
------- -------
<S> <C> <C>
INTERNATIONAL EQUITY FUND(++)
Net Asset Value, Beginning of Period $10.00 $10.00
Net Investment Income -- --
Realized and Unrealized Gains or (Losses) on Investments 0.10 0.10
Distributions from Net Investment Income -- --
Distribution from Capital Gains -- --
Net Asset Value, End of Period $10.10 $10.10
Total Return+ 0.91 % 0.64 %
Net Assets, End of Period (000) $ 790 $ 12
Ratio of Expenses to Average Net Assets 0.27 %* 1.02 %*
Ratio of Net Investment Income to Average Net Assets (0.27)%* (1.02)%*
Ratio of Expenses to Average Net Assets (Excluding Waiv-
ers) 4.36 %* 1.44 %*
Ratio of Net Investment Income to Average Net Assets (Ex-
cluding Waivers) (4.36)%* (1.44)%*
Portfolio Turnover Rate -- --
Average Commission Rate** -- --
</TABLE>
- --------
Amounts designated as "--" are either $0 or have been rounded to $0.
+ Total Return does not reflect sales load on Class A Shares and Class B
Shares.
++ Total return includes performance information relating to the SIT
International Equity Portfolio for the period January 1, 1997 through
February 2, 1997. The Marquis International Equity Fund, which began
investment operations on February 3, 1997, currently invests substantially
all of its assets in the SIT International Equity Portfolio and can be
expected to have a performance record that closely resembles that of the
SIT International Equity Portfolio. The total return has been adjusted to
reflect the actual fees and expenses of the Marquis International Equity
Fund, whose fees and expenses are higher than those of the SIT
International Equity Portfolio.
* Annualized.
** Average commission rate paid for security purchases and sales during the
period.
----------------
<PAGE>
The initial paragraph and table on page 10 of the Prospectus are deleted and
replaced with the following:
FINANCIAL HIGHLIGHTS
The following are financial highlights of the Small Cap Growth Portfolio of
SIMT for a share outstanding throughout the periods indicated. This
information should be read in conjunction with SIMT's 1) unaudited Schedule of
Investments, as of March 31, 1997, which is included in the Statement of
Additional Information and 2) financial statements as of, and for the fiscal
year ended, September 30, 1996 and notes thereto which have been audited by
Price Waterhouse LLP, independent accountants, which are incorporated by
reference into this Statement of Additional Information. Additional
performance information is set forth in SIMT's 1997 Semi-Annual Report to
Shareholders and is available upon request and without charge by calling 1-
800-342-5734.
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD ENDED SEPTEMBER 30 AND THE
PERIOD OCTOBER 1, 1996 TO MARCH 31, 1997:
<TABLE>
<CAPTION>
1997* 1996 1995 1994 1993 1992**
-------- -------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C> <C>
SMALL CAP GROWTH
PORTFOLIO CLASS A
SHARES
Net Asset Value,
Beginning of Period $ 20.51 $ 19.88 $ 14.04 $ 14.67 $ 10.65 $ 10.00
Net Investment Income
(Loss) $ (0.04) $ (0.08) $ (0.14) $ (0.05) $ (0.02) $ 0.02
Net Realized and
Unrealized Gains
(Losses) on Securities $ (3.12) $ 4.37 $ 5.98 $ 0.07 $ 4.05 $ 0.65
Distributions from Net
Investment Income -- -- -- -- $ (0.01) $ (0.02)
Distributions from
Realized Capital Gains $ (3.85) $ 3.66 -- $ (0.65) -- --
Net Asset Value, End of
Period $ 13.50 $ 20.51 $ 19.88 $ 14.04 $ 14.67 $ 10.65
Total Return(1) (36.26)% 26.56 % 41.65 % 0.23 % 37.81 % 15.07 %
Net Assets, End of
Period (000) $341,657 $380,525 $310,238 $300,296 $193,816 $36,191
Ratio of Expenses to
Average Net Assets 1.11 % 1.10 % 1.10 % 1.01 % 0.97 % 0.97 %
Ratio of Net Investment
Income (Loss) to
Average Net Assets (.50)% (0.63)% (0.60)% (0.51)% (0.25)% 0.49 %
Ratio of Expenses to
Average Net Assets
(Excluding Waivers) 1.11 % 1.11 % 1.13 % 1.11 % 1.14 % 1.29 %
Ratio of Net Investment
Income (Loss) to
Average Net Assets
(Excluding Waivers) (.50)% (0.64)% (0.63)% (0.61)% (0.42)% 0.17 %
Portfolio Turnover Rate 62 % 167 % 113 % 97 % 85 % 33 %
Average Commission
Rate(2) $ 0.0810 $ 0.0529 N/A N/A N/A N/A
</TABLE>
- --------
Amounts designated as "--" are either $0 or have been rounded to $0.
* For the period October 1, 1996 to March 31, 1997 (unaudited). All ratios
including total return for that period have been annualized.
** Small Cap Growth Portfolio's Class A shares were offered beginning April
20, 1992. All ratios including total return for that period have been
annualized.
(1) Sales load is not reflected in total return.
(2) Average commission rate paid for security purchases and sales during the
period. Presentation of the rate is only required for fiscal years
beginning after September 1, 1995.
----------------
<PAGE>
The second paragraph and table on page 10 of the Prospectus are deleted and
replaced with the following:
The following are financial highlights of the International Equity Portfolio of
SIT for a share outstanding throughout the periods indicated. This information
should be read in conjunction with SIT's financial statements as of, and for
the fiscal year ended, February 28, 1997 and notes thereto have been audited by
Price Waterhouse LLP, independent accountants, which are incorporated by
reference into this Statement of Additional Information. Additional performance
information is set forth in SIT's 1997 Annual Report to Shareholders and is
available upon request and without charge by calling 1- 800-342-5734.
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD ENDED FEBRUARY 28 OR 29:
<TABLE>
<CAPTION>
1997 1996 1995 1994 1993 1992 1991 1990(1)
-------- -------- -------- -------- -------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INTERNATIONAL EQUITY
PORTFOLIO CLASS A
SHARES
Net Asset Value,
Beginning of Period $ 10.00 $ 9.59 $ 11.00 $ 8.93 $ 9.09 $ 9.56 $ 9.62 $10.00
Net Investment
Income/(Loss) $ 0.09 $ 0.14 $ 0.15 $ 0.13 $ 0.16 $ 0.19 $ 0.18 $ 0.04
Net Realized and
Unrealized
Gains/(Losses) $ 0.47 $ 1.45 $ (0.97) $ 2.05 $ 0.04 $ (0.36) $ (0.14) $(0.42)
Distributions from Net
Investment Income(2) $ (0.07) $ (0.19) -- $ (0.11) $ (0.36) $ (0.30) -- --
Distributions from
Realized Capital Gains $ (0.82) $ (0.99) $ (0.59) -- -- -- -- --
Return of Capital -- -- -- -- -- -- $ (0.09) --
Net Asset Value, End of
Period $ 9.67 $ 10.00 $ 9.59 $ 11.00 $ 8.93 $ 9.09 $ 9.65 $ 9.62
Total Return 5.70 % 17.30 % (7.67)% 24.44 % 2.17 % (1.63)% 0.36 % (3.70)%
Net Assets, End of
Period (000) $524,062 $347,646 $328,503 $503,498 $178,287 $92,456 $35,829 $8,661
Ratio of Expenses to
Average Net Assets 1.28 % 1.25 % 1.19 % 1.10 % 1.10 % 1.10 % 1.10 % 1.10 %
Ratio of Net Investment
Income/ (Loss) to
Average Net Assets 1.11 % 1.29 % 1.30 % 1.46 % 1.80 % 2.07 % 3.52 % 3.13 %
Ratio of Expenses to
Average Net Assets
(Excluding Waivers) 1.42 % 1.29 % 1.21 % 1.24 % 1.53 % 1.52 % 1.64 % 5.67 %
Ratio of Net Investment
Income/ (Loss) to
Average Net Assets
(Excluding Waivers) 0.97 % 1.25 % 1.28 % 1.32 % 1.37 % 1.63 % 2.98 % (1.44)%
Portfolio Turnover Rate 117 % 102 % 64 % 19 % 23 % 79 % 14 % --
Average Commission
Rate(3) $ 0.0172 N/A N/A N/A N/A N/A N/A N/A
</TABLE>
- --------
Amounts designated as "--" are either $0 or have been rounded to $0.
(1) The International Equity Portfolio's (formerly Core International Equity
Portfolio) Class A Shares were offered beginning December 20, 1989. All
ratios for that period have been annualized.
(2) Distributions from net investment income include distributions of certain
foreign currency gains and losses.
(3) Average commission rate paid for security purchases and sales during the
period. Presentation of the rate is only required for fiscal years
beginning after September 1, 1995.
----------------
PLEASE RETAIN THIS SUPPLEMENT FOR FUTURE REFERENCE.
<PAGE>
MARQUIS FUNDS (R)
(THE "TRUST")
SUPPLEMENT DATED JULY 28, 1997 TO THE STATEMENT OF ADDITIONAL INFORMATION
DATED JANUARY 28, 1997
The Statement of Additional Information for the Trust is hereby amended and
supplemented by the following (i) unaudited financial statements for the
Strategic Income Bond, Small Cap Equity and International Equity Funds of the
Trust for the period ending March 31, 1997; and (ii) unaudited Schedule of
Investments of Class A Shares of SEI Institutional Managed Trust's Small Cap
Growth Portfolio as of March 31, 1997. Additionally, the annual report for the
fiscal year ended February 28, 1997, with respect to SEI International Trust's
International Equity Portfolio, which has been audited by Price Waterhouse LLP,
independent accountants to SEI International Trust, is incorporated herein by
reference.
----------------
PLEASE RETAIN THIS SUPPLEMENT FOR FUTURE REFERENCE.
<PAGE>
- -------------------------------------------------------------- --------------
MARCH 31, 1997
STATEMENT OF NET ASSETS
(Unaudited)
- --------------------------------------------------------------------------------
Strategic Income Bond Fund
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Par (000) Value (000)
- --------------------------------------------------------------------------------
U.S. Government Mortgage-Backed Obligations -- 38.4%
- --------------------------------------------------------------------------------
<S> <C> <C>
FHLMC
7.500%, 02/01/27 $993 $ 977
8.000%, 02/01/27 503 506
FNMA
8.000%, 09/01/26 499 502
7.500%, 10/01/26 501 492
7.500%, 02/01/27 493 484
GNMA
7.500%, 02/15/27 499 489
7.750%, 02/15/27 494 490
8.000%, 03/20/27 500 500
GNMA II
8.000%, 02/15/27 494 497
-------
TOTAL U.S. GOVERNMENT MORTGAGE-
BACKED OBLIGATIONS
(Cost $5,048) 4,937
-------
- --------------------------------------------------------------------------------
Corporate Obligations -- 52.7%
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 24.0%
Aetna Services
7.625%, 08/15/26 250 240
Bankers Trust NY
7.250%, 10/15/11 250 237
Ford Motor Credit
6.250%, 12/08/05 250 230
Korea Development Bank, Ser B
8.140%, 05/04/99 250 257
Lehman Brothers
8.500%, 08/01/15 295 309
Loew's
7.625%, 06/01/23 300 278
Nationsbank
7.800%, 09/15/16 500 498
Sunamerica
8.125%, 04/28/23 419 418
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Description Par (000) Value (000)
- --------------------------------------------------------------------------------
Corporate Obligations (continued)
- --------------------------------------------------------------------------------
<S> <C> <C>
FINANCIAL SERVICES (continued)
Torchmark
7.875%, 05/15/23 $400 $ 382
US West Capital Funding
7.300%, 01/15/07 250 244
-------
3,093
-------
INDUSTRIAL -- 14.7%
Brunswick
7.375%, 09/01/23 400 372
Canadian Pacific Limited
9.450%, 08/01/21 280 319
Eastman Chemical
7.600%, 02/01/27 250 240
IBM
7.000%, 10/30/25 250 228
Philip Morris
7.200%, 02/01/07 250 240
Weyerhaeuser
7.500%, 03/01/13 500 494
-------
1,893
-------
UTILITIES -- 14.0%
Commonwealth Edison
8.375%, 09/15/22 300 291
GTE
7.900%, 02/01/27 400 388
MCI Communications
8.250%, 01/20/23 400 400
Minnesota Power & Light
7.500%, 08/01/07 200 196
Pacificorp, Ser F
7.240%, 08/16/23 250 235
United Telephone Florida
8.375%, 01/15/25 270 288
-------
1,798
-------
TOTAL CORPORATE OBLIGATIONS
(Cost $7,078) 6,784
-------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
1
<PAGE>
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
(Unaudited)
- --------------------------------------------------------------------------------
Strategic Income Bond Fund (concluded)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Par (000) Value (000)
- --------------------------------------------------------------------------------
Cash Equivalent -- 0.4%
- --------------------------------------------------------------------------------
<S> <C> <C>
SEI Liquid Asset Trust
Government Portfolio (A) $ 53 $ 54
-------
TOTAL CASH EQUIVALENT
(Cost $54) 54
-------
- --------------------------------------------------------------------------------
Repurchase Agreements -- 7.5%
- --------------------------------------------------------------------------------
Morgan Stanley
6.200%, dated 03/31/97, matures
04/01/97, repurchase price
$478,000 (collateralized by
various FNMA obligations, total
par value $6,018,000, 9.000%-
10.000%, 09/01/18-11/01/19, total
market value $491,000) (1) $ 477 $ 477
UBS Securities
6.350%, dated 03/31/97, matures
04/01/97, repurchase price
$482,000 (collateralized by U.S.
Treasury Note, par value
$490,000, 5.875%, 11/15/99,
market value $493,000) (1) 482 482
-------
TOTAL REPURCHASE AGREEMENTS
(Cost $960) 959
-------
TOTAL INVESTMENTS -- 99.0%
(Cost $13,140) 12,734
-------
OTHER ASSETS AND LIABILITIES, NET -- 1.0% 130
-------
</TABLE>
<TABLE>
<CAPTION>
Description Value (000)
- --------------------------------------------------------------------------------
Net Assets
- --------------------------------------------------------------------------------
<S> <C>
Fund Shares of Class A (unlimited
authorization -- no par value) based
on 1,319,932 outstanding shares of
beneficial interest $13,184
Fund Shares of Class B (unlimited
authorization -- no par value) based
on 8,775 outstanding shares of
beneficial interest 86
Net unrealized depreciation on investments (406)
-------
TOTAL NET ASSETS -- 100.0% $12,864
=======
NET ASSET VALUE AND REDEMPTION
PRICE PER SHARE -- CLASS A $9.68
=======
MAXIMUM OFFERING PRICE PER SHARE -- CLASS A
($9.68/96.50%) $10.03
=======
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B (2) $9.69
=======
</TABLE>
- --------------------------------------------------------------------------------
(A) Variable rate instrument. The rate reflected on the Statement of Net Assets
is the rate in effect on March 31, 1997.
FHLMC--Federal Home Loan Mortgage Corporation
FNMA--Federal National Mortgage Association
GNMA--Government National Mortgage Association
Ser--Series
(1) Tri-party repurchase agreement
(2) Class B has a contingent deferred sales charge. For a description of a
possible sales charge, see notes to the financial statements.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
2
<PAGE>
- -------------------------------------------------------------- --------------
MARCH 31, 1997
STATEMENT OF NET ASSETS
(Unaudited)
- --------------------------------------------------------------------------------
Small Cap Equity Fund
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Shares Value (000)
- --------------------------------------------------------------------------------
U.S. Treasury Obligations -- 25.4%
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury Bills
4.450%, 04/03/97 7,500 $ 7,498
5.370%, 04/03/97 500 500
5.215%, 05/29/97 500 496
5.480%, 06/26/97 1,000 987
5.110%, 07/24/97 1,000 984
5.120%, 08/21/97 2,000 1,960
5.140%, 09/18/97 2,000 1,952
5.400%, 10/16/97 2,000 1,943
5.530%, 03/05/98 1,800 1,707
U.S. Treasury Note
6.500%, 04/30/97 500 500
-------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $18,527) 18,527
-------
- --------------------------------------------------------------------------------
Repurchase Agreements -- 74.9%
- --------------------------------------------------------------------------------
Aubrey G. Lanston
6.250%, dated 03/31/97, matures
04/01/97, repurchase price
$3,000,521 (collateralized by U.S.
Treasury Bill, par value $3,115,000,
0.000%,07/24/97, market value
$3,062,000) 3,000 3,000
Deutsche Bank
6.500%, dated 03/31/97, matures
04/01/97, repurchase price
$2,829,000 (collateralized by U.S.
Treasury Note, par value
$2,897,000, 5.250%, 07/31/98,
total market value $2,885,000)(1) 2,828 2,828
J.P. Morgan
6.250%, dated 03/31/97, matures
04/01/97, repurchase price
$16,003,000 (collateralized by
various U.S. Treasury obligations,
total par value $25,345,000,
0.000%-5.625%, 06/30/97-
05/15/06,total market value
$16,330,000) 16,000 16,000
</TABLE>
- --------------------------------------------------------------------------------
International Equity Fund
<TABLE>
<CAPTION>
Description Shares Value (000)
- --------------------------------------------------------------------------------
Repurchase Agreements (continued)
- --------------------------------------------------------------------------------
<S> <C> <C>
Lehman Brothers
6.400%, dated 03/31/97, matures
04/01/97, repurchase price
$16,003,000 (collateralized by
various U.S. Treasury obligations,
total par value $25,945,000,
0.000%-6.125%, 08/15/98-
11/15/05, total market value
$16,332,000) $16,000 $16,000
Merrill Lynch
6.330%, dated 03/31/97, matures
04/01/97, repurchase price
$2,703,000 (collateralized by U.S.
Treasury STRIPS, par value
$13,185,000, 9.000%, 11/15/18,
total market value $2,757,000)(1) 2,702 2,702
Morgan Stanley
6.200%, dated 03/31/97, matures
04/01/97, repurchase price
$2,782,000 (collateralized by U.S.
Treasury Bill, par value
$2,890,000, 0.000%, 06/19/97,
market value $2,856,000)(1) 2,781 2,781
Prudential Securities
6.250%, dated 03/31/97, matures
04/01/97, repurchase price
$3,001,000 (collateralized by U.S.
Treasury Note, par value
$3,100,000, 6.375%, market value
$3,065,000) 3,000 3,000
Nomura Securities
6.350%, dated 03/31/97, matures
04/01/97, repurchase price
$2,700,476 (collateralized by U.S.
Treasury STRIPS, par value
$13,430,000, 0.000%, 02/15/19,
total market value $2,754,000)(1) 2,700 2,700
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
3
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (000)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
STRATEGIC
INCOME SMALL CAP INTERNATIONAL
BOND EQUITY EQUITY
FUND (2) FUND (3) FUND (3)
---------- ---------- -------------
1/31/97 2/3/97 2/3/97
TO 3/31/97 TO 3/31/97 TO 3/31/97
---------- ---------- -------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income $ 125 $ -- $--
Dividend income -- -- --
----- ----- ---
TOTAL INVESTMENT INCOME 125 -- --
----- ----- ---
EXPENSES:
Administration fees 3 -- --
Less: waiver of administration fees (3) -- --
Investment advisory fees 13 1 --
Less: waiver of investment advisory fees (13) (1) --
Custodian -- -- --
Transfer agent fees 4 4 4
Distribution fees (1) -- -- --
Less: waiver of distribution fees (1) -- -- --
Professional fees -- -- --
Registration fees 10 -- --
Trustee fees -- -- --
Printing expense -- -- --
Amortization of deferred organization
costs -- -- --
Rating fees -- -- --
Insurance and other fees 2 -- --
----- ----- ---
TOTAL EXPENSES 16 4 4
----- ----- ---
LESS:
Reimbursement by Administrator -- (4) (4)
----- ----- ---
NET INVESTMENT INCOME 109 -- --
----- ----- ---
NET REALIZED GAIN (LOSS) ON SECURITIES
SOLD -- -- --
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON INVESTMENT SECURITIES (406) (198) 1
----- ----- ---
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS (406) (198) 1
----- ----- ---
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $(297) $(198) $ 1
===== ===== ===
</TABLE>
Amounts designated as "--" are either $0 or have been rounded to $0.
(1) All distribution fees and waivers are incurred at the Retail Class level
for Treasury Securities Money Market Fund and the Class B level for Non-
Dollar funds.
(2) The Strategic Income Bond Fund commenced operations on January 31, 1 997.
(3) The Small Cap Equity and International Equity Funds commenced operations on
February 3, 1997.
The accompanying notes are an integral part of the financial statements.
4
<PAGE>
- -------------------------------------------------------------- --------------
MARCH 31, 1997
STATEMENT OF CHANGES IN NET ASSETS (000)
(Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
STRATEGIC INCOME SMALL CAP INTERNATIONAL
BOND FUND (4) EQUITY FUND (5) EQUITY FUND (5)
---------------- --------------- ---------------
1/31/97 2/3/97 2/3/97
TO 3/31/97 TO 3/31/97 TO 3/31/97
---------------- --------------- ---------------
<S> <C> <C> <C>
INVESTMENT ACTIVITIES:
Net investment income $ 109 $ -- $ --
Net realized gain (loss) on
securities sold -- -- --
Net unrealized appreciation
(depreciation) of investment
securities (406) (198) 1
------- ------ ----
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM
OPERATIONS (297) (198) 1
------- ------ ----
DISTRIBUTIONS TO SHAREHOLDERS:
Income distribution Class A
(1) (109) -- --
Income distribution Class B
(2) -- -- --
Income distribution Class C
(3) -- -- --
Capital gain distribution
Class A (1) -- -- --
Capital gain distribution
Class B (2) -- -- --
------- ------ ----
TOTAL DISTRIBUTIONS (109) -- --
------- ------ ----
SHARE TRANSACTIONS:
Class A (1):
Shares issued 13,411 1,774 789
Shares issued in lieu of
cash distribution 54 -- --
Shares redeemed (281) (27) --
------- ------ ----
TOTAL CLASS A SHARE TRANSAC-
TIONS 13,184 1,747 789
------- ------ ----
Class B (2):
Shares issued 86 12 12
Shares issued in lieu of
cash distribution -- -- --
Shares redeemed -- -- --
------- ------ ----
TOTAL CLASS B SHARE TRANSAC-
TIONS 86 12 12
------- ------ ----
Class C (3):
Shares issued -- -- --
Shares issued in lieu of
cash distribution -- -- --
Shares redeemed -- -- --
------- ------ ----
TOTAL CLASS C SHARE TRANSAC-
TIONS -- -- --
------- ------ ----
INCREASE (DECREASE) IN NET AS-
SETS FROM SHAREHOLDER TRANS-
ACTIONS 13,270 1,759 801
------- ------ ----
TOTAL INCREASE (DECREASE) IN
NET ASSETS 12,864 1,561 802
------- ------ ----
</TABLE>
Amounts designated as "--" are either $0 or have been rounded to 50.
(1) Trust Class for Treasury Securities Money Market Fund.
(2) Retail Class for Treasury Securities Money Market Fund.
(3) Cash Sweep Class for Treasury Securities Money Market Fund.
(4) The Strategic Income Bond Fund commenced operations on January 31, 1997
(5) The Small Cap Equity and International Equity Funds commenced operations on
February 3, 1997.
The accompanying notes are an integral part of the financial statements.
5
<PAGE>
- ----------------------------------------------[LOGO OF SEI MARQUIS APPEARS HERE]
MARCH 31, 1997
STATEMENTS OF CHANGES IN NET ASSETS (000) (continued)
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Strategic Income Small Cap International
Bond Fund Equity Fund Equity Fund
-------------------- -------------------- ------------------
1/31/97 2/3/97 2/3/97
to 3/31/97 to 3/31/97 to 3/31/97
------------ ------------ ------------
<S> <C> <C> <C>
NET ASSETS:
Beginning of period $ -- $ -- $ --
-------- -------- --------
End of period $ 23,864 $ 1,561 $ 802
======== ======== ========
SHARES ISSUED AND REDEEMED:
Class A (1):
Issued 1,342 184 78
Issued in lieu of cash distribution 6 -- --
Redeemed (28) (3) --
-------- -------- --------
Total Class A share transactions 1,320 181 78
-------- -------- --------
Class B (2):
Issued 9 1 1
Issued in lieu of cash distribution -- -- --
Redeemed -- -- --
-------- -------- --------
Total Class B share transactions 9 1 1
-------- -------- --------
Class C (3):
Issued -- -- --
Issued in lieu of cash distribution -- -- --
Redeemed -- -- --
-------- -------- --------
Total Class C share transactions -- -- --
-------- -------- --------
Net increase (decrease) in share transactions 1,329 182 79
======== ======== ========
</TABLE>
Amounts designated as "--" are either $0 or have been rounded to $0.
(1) Trust Class for Treasury Securities Money Market Fund.
(2) Retail Class for Treasury Securities Money Market Fund.
(3) Cash Sweep Class for Treasury Securities Money Market Fund.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
19
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout the Six-Month Period Ended March 31, 1997 and
the Periods Ended September 30.
<TABLE>
<CAPTION>
Net Asset Realized Distributions Distributions
Value Net and Unrealized from Net from Net Asset
Beginning Investment Gains or (Losses) Investment Capital Value Total
of Period Income on Investments Income Gains End of Period Return+
- -----------------------------------------------------------------------------------------------------------------------------------
Strategic Income Bond Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A
1997 (1) $10.00 0.09 (0.32) (0.09) -- $9.68 (2.35)%
CLASS B
1997 (1) $10.00 0.06 (0.29) (0.08) -- $9.69 (2.34)%
- -----------------------------------------------------------------------------------------------------------------------------------
Small Cap Equity Fund++
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS A
1997 (2) $10.00 -- (1.44) -- -- $8.56 (15.45)%
CLASS B
1997 (2) $10.00 -- (1.44) -- -- $8.56 (15.65)%
- -----------------------------------------------------------------------------------------------------------------------------------
International Equity Fund+++
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS A
1997 (2) $10.00 -- 0.10 -- -- $10.10 0.91%
CLASS B
1997 (2) $10.00 -- 0.10 -- -- $10.10 0.64%
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
20
<PAGE>
- ----------------------------------------------[LOGO OF SEI MARQUIS APPEARS HERE]
MARCH 31, 1997
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratio of Ratio of Net
Ratio of Net Expenses to Investment
Ratio of Investment Average Net Income to
Net Assets Expenses to Income to Assets Average Portfolio Average
End of Average Average (Excluding Net Assets Turnover Commission
Period (000) Net Assets Net Assets Waivers) (Excluding Waivers) Rate Rate**
- -----------------------------------------------------------------------------------------------------------------------------------
Strategic Income Bond Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A
1997 (1) $12,779 0.90%* 6.23%* 1.79%* 5.34%* 0.08% n/a
CLASS B
1997 (1) $85 1.70%* 5.88%* 3.25%* 4.33%* 0.08% n/a
- -----------------------------------------------------------------------------------------------------------------------------------
Small Cap Equity Fund++
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS A
1997 (2) $1,550 0.20%* (0.20)%* 3.71%* (3.71)%* -- --
CLASS B
1997 (2) $11 0.95%* (0.95)%* 1.08%* (1.08)%* -- --
- -----------------------------------------------------------------------------------------------------------------------------------
International Equity Fund+++
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS A
1997 (2) $790 0.27%* (0.27)%* 4.36%* (4.36)%* -- --
CLASS B
1997 (2) $12 1.02%* (1.02)%* 1.44%* (1.44)%* -- --
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Amounts designated as "--" are either $0 or have been rounded to $0.
+ Total return does not reflect sales loads on Class B and Retail Class shares.
* Annualized.
** Average commission rate paid per share for security purchases and sales
during the period. Presentation of the rate is only required for fiscal years
beginning after September 1, 1995.
(1) Commenced operations on January 31, 1997.
(2) Commenced operations on February 3, 1997.
- --------------------------------------------------------------------------------
21
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1. Organization
- --------------------------------------------------------------------------------
The Marquis Funds (the "Trust") was organized as a Massachusetts business trust
under a Declaration of Trust dated June 29, 1993. The Trust is registered under
the Investment Company Act of 1940, as amended, as an open-end management
company with eleven series funds: Institutional Money Market Fund, Treasury
Securities Money Market Fund, Tax Exempt Money Market Fund (the "Money Market
Funds"), Government Securities Fund, Strategic Income Bond Fund, Louisiana
Tax-Free Income Fund, Balanced Fund (formerly the "Growth and Income Fund"),
Value Equity Fund, Growth Equity Fund, Small Cap Equity Fund, and International
Equity Fund (the "Non-Dollar Funds"). Each Fund's prospectus provides a
description of the Fund's investment objectives, policies and strategies. The
assets of each Fund are segregated, and a shareholder's interest is limited to
the Fund in which shares are held. The Trust is registered to offer the
following classes of shares: Trust, Retail, and the Cash Sweep Class in the
Treasury Securities Money Market Fund, and Class A and Class B in the Non-Dollar
Funds.
The Small Cap Equity Fund and the International Equity Fund are currently
"feeder" funds in separate Corporate Master-Feeder(TM) structures. That is, the
Small Cap Equity Fund and International Equity 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 Small Cap
Growth Portfolio and the SEI International Trust International Equity Portfolio,
respectively. However, in certain instances the Funds are permitted to invest in
securities other than a single open-end management investment company.
2. Significant Accounting Policies
- --------------------------------------------------------------------------------
The following is a summary of the significant accounting policies followed by
the Funds.
Securities Valuation -- Investments 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. Under this valuation method, purchase discounts and premiums are
accreted and amortized ratably to maturity and are included in interest income.
Restricted and illiquid securities for which quotations are not readily
available are valued at fair value using methods determined in good faith as
approved by the Board of Trustees.
The investments of the Small Cap Equity and International Equity Funds, (the
"Feeder" funds), in the SEI Institutional Managed Trust Small Cap
- --------------------------------------------------------------------------------
22
<PAGE>
- ----------------------------------------------[LOGO OF SEI MARQUIS APPEARS HERE]
MARCH 31, 1997
(Unaudited)
- --------------------------------------------------------------------------------
Equity Fund and the SEI International Trust International Equity Fund (the
"Master Funds"), respectively, are valued at the price of each Master Fund
determined as of the close of the New York Stock Exchange (generally 4:00 p.m.).
Federal Income Taxes -- It is each Fund's intention to continue to qualify as a
regulated investment company for federal income tax purposes by complying with
the appropriate provisions of the Internal Revenue Code of 1986, as amended, and
to distribute all of its taxable income and net capital gains. Accordingly, no
provision for federal income taxes has been made in the accompanying financial
statements.
Security Transactions and Related Income -- Security transactions are accounted
for on the date the security is purchased or sold (trade date). Dividend income
is recognized on the ex-dividend date and interest income is recognized on the
accrual basis. Costs used in determining realized gains and losses on the sales
of investment securities are those of the specific securities sold adjusted for
the accretion and amortization of purchase discounts and premiums during the
respective holding period. Purchase discounts and premiums on securities held by
the Non-Dollar Funds are accreted and amortized to maturity using the scientific
interest method, which approximates the effective interest method.
Repurchase Agreements -- Securities pledged as collateral for repurchase
agreements are held by the custodian bank until the respective agreements
mature. Provisions of the repurchase agreements ensure that the market value of
the collateral, including accrued interest thereon, is sufficient in the event
of default of the counterparty. The Funds also invest in tri-party repurchase
agreements. Securities held as collateral for tri-party repurchase agreements
are maintained in a segregated account by the broker's custodian bank until
maturity of the repurchase agreement. If the counterparty defaults and the value
of the collateral declines, or if the counterparty enters an insolvency
proceeding, realization of the collateral by the Funds may be delayed or
limited.
Net Asset Value Per Share -- The net asset value per share of each Fund is
calculated each business day. In general, it is computed by dividing the assets
of each Fund, less its liabilities, by the number of outstanding shares of the
Fund.
Expenses -- Expenses that are directly related to one of the Funds are charged
directly to that Fund. Other operating expenses are prorated to the Funds on the
basis of relative net assets. Class specific expenses are borne by that class.
Income, expenses, and realized and unrealized gains/losses are allocated to the
respective classes on the basis of relative daily net assets.
Use of Estimates in the Preparation of Financial Statements -- The preparation
of financial statements, in conformity with generally accepted accounting
principles, requires management to make estimates and assumptions that affect
the reported amount of assets and liabilities and disclosure of contingent
assets and liabilities at the date of the financial statements and the reported
- --------------------------------------------------------------------------------
23
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
amounts of revenue and expenses during the reporting period. Actual results
could differ from those estimates.
Other -- Distributions from net investment income are declared and paid
quarterly for the Balanced Fund, Value Equity Fund, Growth Equity Fund and Small
Cap Equity Fund. Distributions from net investment income are declared daily and
paid monthly for the Institutional Money Market Fund, Treasury Securities Money
Market Fund, and Tax Exempt Money Market Fund. Distributions from net investment
income are declared and paid monthly for the Government Securities Fund,
Strategic Income Bond Fund and Louisiana Tax-Free Income Fund. The International
Equity Fund's distributions from net investment income are declared and paid in
accordance with the SEI International Equity Fund. Any net realized capital
gains are declared and distributed to shareholders at least annually.
3. Investment Advisory, Administrative, and Distribution Agreements
- -------------------------------------------------------------------------------
First National Bank of Commerce in New Orleans (the "Adviser") serves as
investment adviser to each Fund pursuant to an investment advisory agreement
(the "Advisory Agreement") with the Trust. For its services, the Adviser is
entitled to a fee, that is calculated daily and paid monthly, at an annual rate
based on the average daily net assets of each Fund as follows: Institutional
Money Market Fund -- .15%, Treasury Securities Money Market Fund -- .30%, Tax
Exempt Money Market Fund -- .45%, Government Securities Fund -- .55%, Strategic
Income Bond Fund -- .74%, Louisiana Tax-Free Income Fund -- .35%, Balanced Fund
- -- .74%, Value Equity Fund -- .74%, Growth Equity Fund -- .74%, Small Cap Equity
Fund -- .40%, and International Equity Fund -- .40%. The Adviser has voluntarily
agreed to waive a portion of its fee so that expenses of each Fund will not
exceed certain annual expense limitations. The Adviser reserves the right to
terminate its waiver at any time in its sole discretion.
Weiss, Peck & Greer, L.L.C. serves as the investment sub-adviser for the Tax
Exempt Money Market Fund pursuant to a sub-advisory agreement with the Adviser.
The sub-advisory fees are paid by the Adviser.
The Trust and SEI Fund Resources (the "Administrator") have entered into an
Administration Agreement. SEI Financial Management Corporation, a wholly-owned
subsidiary of SEI Corporation, is the owner of all beneficial interest in the
Administrator. Under terms of the Administration Agreement, the Administrator is
entitled to a fee calculated daily and paid monthly at an annual rate of .10% of
the average daily net assets of the Institutional Money Market Fund and .15% of
the average daily net assets of the Treasury Securities Money Market Fund, Tax
Exempt Money Market Fund, Government Securities Fund, Strategic Income Bond
Fund, Louisiana Tax-Free Income Fund, Balanced Fund, Value Equity Fund, Growth
Equity Fund, Small Cap Equity Fund, and International Equity Fund. The
Administrator has voluntarily agreed to
- --------------------------------------------------------------------------------
24
<PAGE>
- ----------------------------------------------[LOGO OF SEI MARQUIS APPEARS HERE]
MARCH 31, 1997
(Unaudited)
- --------------------------------------------------------------------------------
waive a portion of its fee so that expenses of each Fund will not exceed certain
annual expense limitations. The Administrator reserves the right to terminate
its waiver at any time in its sole discretion.
The Trust and SEI Financial Services Company (the "Distributor") have entered
into a Distribution Agreement. As provided in certain Distribution Plans adopted
under the Distribution Agreement, the Trust will pay a fee at an annual rate of
.25% of the average daily net assets of the Retail class of Treasury Securities
Money Market Fund and .75% of the Class B shares of the Non-Dollar Funds to the
Distributor as compensation for its services. The Distributor has agreed to
waive a portion of its fee from the Treasury Securities Money Market Fund in
order to maintain a competitive expense ratio. The Distributor reserves the
right to terminate its waiver at any time in its sole discretion.
In addition to the fees paid at the feeder level for the Small Cap Equity and
International Equity Funds, each Feeder Fund's shareholders will bear indirectly
their prorata portion of the advisory, administrative, distribution and other
expenses of the respective Master Funds in which they invest.
The Class A shares of the Non-Dollar Funds are subject to a maximum sales load
of 3.50%.
There is a contingent deferred sales charge on the Class B shares of the
Non-Dollar Funds which varies depending on the number of years from time of
payment for the purchase of shares until the time of redemption of such shares
(the "holding period"). Solely for the purpose of determining the number of
years from the time of any payment for the purchase of shares, all payments
during the month are aggregated and deemed to have been made on the first day of
the month.
<TABLE>
<CAPTION>
CONTINGENT DEFERRED SALES
CHARGE AS A PERCENTAGE
YEAR SINCE OF DOLLAR AMOUNT
PURCHASE SUBJECT TO CHARGE
------------ ----------------------------
<S> <C>
First 3.50%
Second 2.75%
Third 2.00%
Fourth 1.25%
Fifth 0.50%
Sixth None
</TABLE>
4. Organizational 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
include legal fees of approximately $54,278 for organizational work performed by
a law firm of which an officer and a trustee of the Trust are partners. Certain
officers and trustees of the Trust who are officers of the Administrator and the
Distributor received no compensation from the Trust.
- --------------------------------------------------------------------------------
25
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (concluded)
- --------------------------------------------------------------------------------
5. Investment Transactions
- --------------------------------------------------------------------------------
The cost of security purchases and the proceeds from the sale of securities,
other than short-term investments, for the period ended March 31, 1997 were as
follows:
<TABLE>
<CAPTION>
STRATEGIC LOUISIANA
GOVERNMENT INCOME TAX-FREE
SECURITIES BOND INCOME BALANCED
FUND FUND FUND FUND
(000) (000) (000) (000)
------- ------- ------- -------
<S> <C> <C> <C> <C>
Purchases:
U.S.
Government $6,055 $5,054 $ -- $ 2,982
Other -- 7,080 994 27,911
Sales:
U.S.
Government $6,051 $ 6 $ -- $ 3,969
Other 5,102 -- 5 31,335
<CAPTION>
VALUE GROWTH SMALL CAP INTERNATIONAL
EQUITY EQUITY EQUITY EQUITY
FUND FUND FUND FUND
(000) (000) (000) (000)
------- ------- ------- -------
<S> <C> <C> <C> <C>
Purchases:
U.S.
Government $ -- $ -- $ -- $ --
Other 57,596 12,975 1,760 802
Sales:
U.S.
Government $ -- $ -- $ -- $ --
Other 51,168 8,306 -- --
</TABLE>
On March 31, 1997, 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 appreciation and depreciation on securities at March 31, 1997,
for each Non-Dollar Fund is as follows:
<TABLE>
<CAPTION>
STRATEGIC LOUISIANA
GOVERNMENT INCOME TAX-FREE
SECURITIES BOND INCOME BALANCED
FUND FUND FUND FUND
(000) (000) (000) (000)
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
Aggregate Gross
Unrealized
Appreciation $ 471 $ -- $166 $9,284
Aggregate Gross
Unrealized
Depreciation (4,909) (406) (183) (4,140)
------- ------- ------- -------
Net Unrealized
Appreciation/
(Depreciation) $(4,438) $(406) $ (17) $5,144
======= ======= ======= =======
<CAPTION>
VALUE GROWTH SMALL CAP INTERNATIONAL
EQUITY EQUITY EQUITY EQUITY
FUND FUND FUND FUND
(000) (000) (000) (000)
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
Aggregate Gross
Unrealized
Appreciation $12,039 $2,107 $ -- $4
Aggregate Gross
Unrealized
Depreciation (3,312) (95) (198) (3)
------- ------- ------- -------
Net Unrealized
Appreciation/
(Depreciation) $ 8,727 $1,160 $(198) $1
======= ======= ======= =======
</TABLE>
6. Concentration of Credit Risk
- --------------------------------------------------------------------------------
The Institutional Money Market Fund and the Treasury Securities Money Market
Fund invest primarily in a portfolio of money market instruments maturing in one
year or less whose ratings are within the highest ratings category assigned by a
nationally recognized statistical rating agency or, if not rated, are believed
to be of comparable quality.
The Tax Exempt Money Market Fund invests in debt instruments of municipal
issuers. The issuers' ability to meet their obligations may be affected by
economic developments in a specific state or region.
- --------------------------------------------------------------------------------
26
<PAGE>
- ----------------------------------------------[LOGO OF SEI MARQUIS APPEARS HERE]
MARCH 31, 1997
(Unaudited)
- --------------------------------------------------------------------------------
The Tax Exempt Money Market Fund invests in securities that include revenue
bonds, tax and revenue anticipation notes, and general obligation bonds. At
March 31, 1997, the percentages of portfolio investments by each revenue source
were as follows:
<TABLE>
<CAPTION>
Tax Exempt
Money Market Fund
-----------------
<S> <C>
Revenue Bonds 79%
Anticipation Notes 10%
General Obligations 9%
Pre-Refunded Securities 2%
-----------------
Total 100%
=================
</TABLE>
The Government Securities, Strategic Income Bond and Balanced Funds invest in
debt instruments.
The Louisiana Tax-Free Income Fund is more susceptible to factors adversely
affecting issuers of Louisiana municipal securities than a comparable municipal
bond fund that does not concentrate its investments in Louisiana municipal
securities.
The following table presents a summary of holdings in the Government Securities,
Strategic Income Bond and Louisiana Tax-Free Income Funds as of March 31, 1997.
<TABLE>
<CAPTION>
STRATEGIC LOUISIANA
GOVERNMENT INCOME TAX-FREE
SECURITIES BOND INCOME
RATING/SECURITY CATEGORY FUND FUND FUND
- ------------------------ ---------- --------- ---------
<S> <C> <C> <C>
U.S. Government Security 90.1% 38.8% 0.00%
AAA 0.0% 0.0% 80.1%
AA 0.9% 4.2% 0.0%
A 2.0% 36.1% 1.7%
BBB 0.0% 13.1% 0.0%
Not Rated 7.0% 7.8% 18.2%
---------- ---------- ----------
100% 100% 100%
========== ========== ==========
</TABLE>
These percentages are stated as a percentage of total investments. U.S.
Government Securities represent obligations issued or guaranteed by the U.S.
Government and its agencies or instrumentalities. Repurchase agreements are
collateralized by U.S. Government Securities and are included in Not Rated
above.
7. Capital Loss Carryforwards
- --------------------------------------------------------------------------------
The Funds had capital loss carryforwards and post-October deferred losses at
September 30, 1996, to the extent provided in the regulations for federal income
tax as follows:
<TABLE>
<CAPTION>
POST
CAPITAL LOSS OCTOBER 31,
CARRYFORWARDS EXPIRING 1995
----------------------- DEFERRED
FUNDS 2003 2004 LOSSES
- ----- ----------------------- ----------
<S> <C> <C> <C>
Government
Securities Fund $679,660 $124,634 $ --
Louisiana Tax-Free
Income Fund 32,125 2,083 19,720
Growth Equity Fund -- -- 73,265
</TABLE>
For tax purposes, capital losses can be carried forward for a maximum of
eight years to offset any future net realized capital gains. Post-October
deferred losses have been deferred to fiscal year 1997 for tax purposes.
- --------------------------------------------------------------------------------
27
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
SEI Institutional Managed Trust -- March 31, 1997 (Unaudited)
Small Cap Growth Portfolio
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
Market
Description Shares Value (000)
- -----------------------------------------------------------------------
<S> <C> <C>
Common Stocks -- 92.3%
Aerospace Defense -- 0.4%
Deltek Systems* 31,200 $ 277
Micron* 28,100 390
Tredegar Industries 1,200 48
Vistana* 42,400 477
-----
1,192
-----
Air Transportation -- 0.3%
Mesaba Holdings* 7,600 88
Offshore Logistics* 60,000 960
-----
1,048
-----
Aircraft -- 0.2%
BE Aerospace* 20,000 490
Rohr* 12,000 207
-----
697
-----
Apparel/Textiles -- 1.8%
Ashworth* 19,600 157
Culp Incorporated 2,750 47
Interface 21,000 526
Nautica Enterprises* 110,950 2,788
Quaker Fabric* 18,000 234
Quiksilver* 41,600 988
St. John Knits 12,000 519
Tommy Hilfiger* 16,600 867
-----
6,126
-----
Automotive -- 0.2%
Gentex* 33,000 652
-----
Banks -- 2.1%
Affiliated Community Bancorp 20,000 475
Astoria Financial 10,000 360
Bay View Capital 27,300 1,392
Coast Savings Financial* 12,000 475
Commercial Federal 7,500 253
Cullen/Frost Bankers 7,000 249
Downey Financial 15,000 304
First Savings Bank of
Washington 30,600 578
Firstfed Financial* 42,100 989
Hubco 7,000 159
New York Bancorp 1,950 57
North Fork Bancorporation 10,000 361
Peoples Heritage
Financial Group 13,000 400
Trans Financial 43,500 979
Westamerica Bancorporation 2,000 127
-----
7,158
-----
Broadcasting, Newspapers & Advertising -- 0.5%
Cox Radio, Cl A* 21,400 444
Emmis Broadcasting* 15,000 580
Pegasus Communications* 18,100 199
Universal Outdoor Holdings* 21,400 621
-----
1,844
-----
Building & Construction -- 0.2%
Jacobs Engineering Group* 15,000 367
Lennar 20,000 490
-----
857
-----
Building & Construction Supplies -- 0.5%
Miller Industries* 137,650 1,652
-----
Chemicals -- 0.3%
Scotts* 46,800 1,076
-----
Communications Equipment -- 2.8%
Act Manufacturing* 18,200 378
Black Box* 38,600 1,037
Checkpoint Systems* 39,500 676
Comverse Technology* 15,000 592
Digital Microwave* 57,000 1,097
Dionex* 4,000 182
</TABLE>
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
SEI Institutional Managed Trust -- March 31, 1997 (Unaudited)
Small Cap Growth Portfolio
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
DSP Communications* 45,400 $ 437
Dynatech* 17,500 525
Harman International 27,100 908
Inter-Tel* 5,000 57
Larscom Incorporated, Cl A* 44,500 373
National Wireless Holdings* 36,100 505
Sawtek* 42,200 1,213
Tekelec* 31,100 591
Ultrak* 66,700 1,201
------
9,772
------
Computers & Services -- 4.0%
Atl Products* 33,600 290
Caere* 66,600 475
Control Data Systems* 25,000 378
Digital Lightwave* 29,200 223
Encad* 56,000 1,673
HMT Technology* 41,500 508
HNC Software* 36,200 946
Hyperion Software* 50,000 825
Innovex 50,600 1,240
Lecroy* 18,100 471
Microchip Technology* 27,100 813
Micron Electronics* 32,600 623
Micros Systems* 13,300 464
Microtouch Systems* 52,900 1,045
Natural Microsystems* 46,000 914
Network Appliance* 45,000 1,462
Printronix* 41,000 512
Trident Microsystems* 57,200 772
Verifone* 12,000 393
------
14,027
------
Consumer Products -- 0.5%
Vans* 94,200 1,107
Wolverine World Wide 13,000 474
------
1,581
------
Drugs -- 4.5%
Amylin Pharmaceuticals Inc* 15,000 $ 182
Anesta* 43,100 743
ChiRex* 45,600 467
Dura Pharmaceuticals* 85,000 3,039
Fuisz Technologies* 55,450 326
Guilford Pharmaceuticals* 80,200 1,664
IDEC Pharmaceuticals Corp* 17,100 407
Interneuron Pharmeceutical* 23,200 409
Jones Medical Industries 111,275 2,671
Liposome* 20,500 418
Medicis Pharmaceutical, Cl A* 44,400 1,321
NBTY* 6,200 94
Neurocrine Biosciences Inc* 42,800 385
Onyx Pharmaceuticals* 39,800 478
Parexel International* 52,400 1,205
Pathogenesis* 54,500 1,362
Sangstat Medical Corp* 14,400 391
------
15,562
------
Electrical Technology -- 0.8%
Concord EFS* 88,950 1,668
Komag* 21,300 647
SBS Technologies* 33,400 509
------
2,824
------
Energy & Power -- 0.3%
Micro Linear* 83,100 1,028
------
Entertainment -- 1.2%
Anchor Gaming* 17,000 474
Hollywood Park* 90,200 1,161
MGM Grand* 13,100 475
Regal Cinemas* 75,850 2,048
------
4,158
------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
Environmental Services -- 0.3%
Culligan Water Technologies* 12,500 $ 489
Newpark Resources, Inc.* 10,700 468
------
957
------
Financial Services -- 4.4%
Aames Financial 102,650 2,079
Americredit* 58,000 1,008
Central Financial Acceptance* 26,000 416
Credit Acceptance* 102,700 1,823
DVI* 10,200 113
First Alliance* 27,400 644
Four Seasons Hotel Inc* 9,100 209
Hamilton Bank Corp* 10,500 181
Imperial Credit Industries* 169,300 3,407
Metris* 25,800 645
National Surgery Centers* 17,800 516
North American Mortgage 49,500 1,009
NVR* 39,700 600
Redwood Trust 25,100 1,161
Sirrom Capital 12,700 460
The Money Store 44,600 937
------
15,208
------
Food, Beverage & Tobacco -- 0.6%
Diedrich Coffee* 64,000 288
Morningstar Group* 93,600 1,802
------
2,090
------
Gas/Natural Gas -- 0.3%
Unit Corporation* 128,000 1,152
------
Glass Products -- 0.3%
Libbey 32,300 1,009
------
Hotels & Lodging -- 1.0%
Candlewood Hotels* 61,000 $ 538
Doubletree* 48,500 1,722
Signature Resorts* 44,600 1,048
-----
3,308
-----
Household Furniture & Fixtures -- 0.7%
Bush Industries 12,000 240
Ethan Allen Interiors 43,100 1,875
Furniture Brands International* 25,000 375
-----
2,490
-----
Household Products -- 0.5%
Advanced Lighting
Technologies* 61,200 1,346
Semitool* 44,100 485
-----
1,831
-----
Insurance -- 1.9%
Amerin* 37,500 755
CMAC Investment 1,200 40
Conseco 32,684 1,164
Delphi Financial Group, Cl A* 25,100 835
Executive Risk 7,100 329
Horace Mann Educators 11,000 485
Phycor* 48,500 1,322
Total Renal Care Holdings* 36,900 1,121
United Dental Care* 14,900 402
-----
6,453
-----
Leasing & Renting -- 0.3%
Rental Service* 20,500 389
Renters' Choice* 37,600 540
-----
929
-----
Leisure Products -- 0.2%
Cannondale* 28,600 529
-----
</TABLE>
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1997 (Unaudited)
Small Cap Growth Portfolio
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
Lumber & Wood Products -- 0.7%
Champion Enterprises* 163,368 $ 2,430
-------
Machinery -- 3.8%
Camco International 8,000 352
Donaldson 7,000 243
Duriron 17,000 374
Eagle Hardware & Garden* 50,100 902
Edelbrock* 61,900 1,184
FSI International* 42,500 478
Gardner Denver Machinery* 23,800 565
Gasonics International* 60,900 868
Idex 10,000 235
JLG Industries 60,400 1,185
Kuhlman 43,900 1,021
Kulicke & Soffa Industries* 26,500 560
Lindsay Manufacturing* 525 17
Magnetek* 82,600 1,332
Manitowoc 33,500 1,210
Photronics Labs* 34,800 1,022
Thermatrix* 46,900 258
Varco International* 13,300 332
Zoltek* 37,700 957
-------
13,095
-------
Manufacturing -- 0.7%
West Marine* 77,100 2,544
-------
Marine Transportation -- 0.2%
Trico Marine Services* 17,000 807
-------
Measuring Devices -- 0.3%
Benchmarq Microelectronics* 6,000 75
Molecular Dynamics* 55,100 813
-------
888
-------
Medical Products & Services -- 7.6%
Algos Pharmaceuticals* 68,000 1,139
American Homepatient* 10,000 222
Closure Medical* 39,400 581
Digene* 46,300 527
Emcare Holdings Inc* 3,000 81
ESC Medical Systems* 29,700 750
FemRx* 104,100 280
Genesis Health Ventures* 16,000 500
HemaSure* 53,000 212
Hologic* 20,700 505
Horizon Mental Health
Management* 41,700 641
II-VI, Inc.* 54,400 1,346
Interim Services* 17,900 696
Invacare 10,000 235
Lunar* 7,800 267
Medquist* 120,300 2,647
Mentor Corporation/Minn 37,700 815
Molecular Biosystems* 47,800 436
Molecular Devices* 27,600 383
Multicare* 25,000 472
NCS Healthcare, Cl A* 37,700 853
Neoprobe* 48,900 660
Occusystems* 36,300 817
Orthodontic Centers
of America* 109,300 1,476
Pediatrix Medical Group* 36,500 1,200
Perceptron* 15,000 394
Pharmaceutical Product
Development* 57,900 1,158
PHP Healthcare* 55,500 819
Prime Medical Services* 103,300 1,007
Renal Treatment Centers* 22,000 495
Rotech Medical* 63,000 1,150
Safeskin* 68,400 1,240
Techne* 9,000 208
Universal Health Services* 25,500 838
Urohealth Systems, Cl A* 54,900 528
Urologix* 40,300 685
-------
26,263
-------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
Metals & Mining -- 0.3%
Amcol International 50,300 $ 912
-------
Miscellaneous Business Services -- 14.99%
Abacus Direct* 31,300 665
Acxiom* 33,000 474
Advanced Technologies
Laboratories* 24,200 717
Allin Communications* 44,900 629
Arbor Software* 37,900 947
Aspen Technology* 116,900 3,186
Avant* 27,400 743
BDM International* 40,000 880
Bowne 39,600 1,074
BTG* 20,000 350
Caci International* 25,000 406
Cambridge Technology
Partners* 58,200 1,346
Clarify* 48,400 1,168
Computer Data Systems 8,500 256
Credit Management Solutions* 44,600 457
Dataworks* 82,100 1,190
Decisionone Holdings* 56,500 847
Electronics for Imaging* 46,200 1,842
Envoy* 44,400 1,038
Fair, Isaac & Company 15,000 542
Infinity Financial* 52,000 897
Insight Enterprises* 44,000 1,089
Intevac* 57,400 804
Iona Technologies PLC* 18,000 324
JDA Software Group* 90,300 1,840
Logicon 14,000 495
Manugistics* 28,100 1,026
McAfee Associates* 29,575 1,309
Medic Computer Systems* 11,000 176
Meta Group* 31,500 606
National Techteam* 75,200 1,166
NCO Group* 18,000 394
Network General* 22,800 490
Orcad* 69,200 536
Overland Data* 35,000 175
Parametric Technology* 13,100 591
Peerless Systems* 131,700 1,531
Pegasystems* 30,400 612
Planning Sciences
International, ADR* 61,500 553
PMT Services* 47,500 522
Project Software &
Development* 16,500 528
Pure Atria* 41,700 712
Qualix Group* 84,100 463
Rational Software* 22,500 464
Registry* 22,600 802
Renaissance Solutions* 11,400 288
Scopus Technology* 16,950 509
Security Dynamics
Technology* 16,100 394
Siebel Systems* 79,000 1,323
Spectrum Holobyte* 150,000 938
SPSS* 11,800 294
Summit Design* 87,100 697
Sunquest* 60,700 592
Synopsys* 17,700 443
Systemsoft Corp* 63,500 635
Technology Solutions* 34,700 959
Unison Software* 11,900 76
Veritas Software* 41,600 1,232
Viasoft* 23,600 767
Videoserver* 20,000 473
Viewlogic Systems* 72,900 1,016
Visio* 40,600 1,583
Wackenhut Corrections* 45,700 731
Wall Data* 35,900 574
Wind River Systems* 39,000 921
Xircom* 42,800 647
-------
51,954
-------
Miscellaneous Consumer Services -- 0.5%
Accustaff* 25,139 421
</TABLE>
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1997 (Unaudited)
Small Cap Growth Portfolio
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
Corestaff* 21,100 $ 417
G&K Services, Inc. 12,000 360
Robert Half International* 7,000 244
Romac International* 13,400 237
-------
1,679
-------
Miscellaneous Manufacturing -- 0.1%
Auspex Systems* 14,900 172
Cable Design Technologies* 6,500 145
-------
317
-------
Office Furniture & Fixtures -- 0.4%
Kimball International 32,300 1,227
-------
Paper & Paper Products -- 0.1%
Republic Group 33,110 505
-------
Petroleum & Fuel Products -- 5.6%
Belden & Blake* 49,700 1,286
Cabot Oil & Gas, Cl A 24,000 420
Cliffs Drilling* 31,900 1,894
Comstock Resources* 25,000 216
Cross Timbers Oil 67,950 1,062
Edge Petroleum* 34,200 547
Energy Ventures* 4,700 290
Ensco International* 9,200 453
Marine Drilling* 151,300 2,686
Noble Drilling* 32,500 561
Nuevo Energy* 11,000 422
Oceaneering International* 95,400 1,491
Patterson Energy* 52,700 1,456
Pool Energy Services* 74,900 1,105
Pride Petroleum Service* 26,500 550
Seacor Holdings* 7,500 402
Seitel* 36,700 1,298
Stone Energy* 51,000 1,224
Swift Energy* 33,100 782
Titan Exploration* 82,400 700
Veritas DGC* 20,000 395
-------
19,240
-------
Photographic Equipment & Supplies -- 0.0%
Seattle Filmworks* 4,500 $ 50
-------
Printing & Publishing -- 0.8%
Desktop Data* 22,600 288
Lone Star Industries 28,200 1,093
Southdown 37,500 1,284
-------
2,665
-------
Professional Services -- 2.1%
Cornell Corrections Inc* 20,700 210
Devry* 25,000 550
Ecsoft Group PLC* 59,400 497
Educational Management* 26,000 592
Equity International* 105,050 2,206
F.Y.I., Inc. 20,100 415
Intelliquest Information Group* 24,200 339
Nichols Research* 20,000 330
Sylvan Learning Systems* 73,800 1,827
Tetra Tech* 8,000 117
-------
7,083
-------
Railroads -- 0.6%
Genessee and Wyoming* 36,300 1,153
Railtex* 41,400 688
Rural/Metro Corporation* 12,500 381
-------
2,222
-------
Repair Services -- 0.1%
Rollins Truck Leasing 16,000 212
-------
Retail -- 8.4%
American Medserve* 25,700 302
Arbor Drugs 20,000 350
CDW Computer Centers* 23,150 1,043
CKE Restaurants 81,300 1,799
Coldwater Creek* 25,800 358
Dollar Tree Stores* 39,650 1,467
Dress Barn* 70,900 1,196
Filene's Basement* 128,900 870
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
Fine Host* 18,400 $ 432
Foodmaker* 42,800 433
Gadzooks* 30,600 964
Hollywood Entertainment* 33,000 804
Kenneth Cole Productions* 42,000 882
Landry's Seafood Restaurants* 67,200 1,067
Loehmann's Holdings* 23,000 403
Men's Wearhouse* 39,000 1,073
Micro Warehouse* 82,100 1,078
Mueller Industries* 1,100 43
Omnicare 80,300 1,887
Papa John's International* 55,800 1,472
Petco Animal Supplies* 50,600 1,189
Proffitts* 18,500 698
Quality Food Centers* 14,200 596
Rainforest Cafe* 16,400 324
Rexall Sundown* 125,450 3,215
Ross Stores 117,800 2,989
Stage Stores* 45,200 994
Williams Sonoma* 19,200 552
Zale* 20,500 377
------
28,857
------
Rubber & Plastic -- 2.3%
Carlisle 10,000 293
Computer Products* 30,000 439
Elantec Semiconductor* 118,200 369
Just for Feet* 42,900 740
MRV Communications* 18,200 405
Oak Technology* 147,900 1,497
Remec* 50,500 1,086
S3* 33,000 429
Sanmina* 43,700 1,956
Vitesse Semiconductor* 21,900 605
------
7,819
------
Semi-Conductors/Instruments -- 1.9%
Applied Magnetics* 11,800 333
Cymer* 13,200 474
Cypress Semiconductor* 53,500 669
Flextronics International* 15,300 304
Hutchinson Technology* 23,000 656
Integrated Device Technology* 58,200 582
Methode Electronics 20,000 280
Read-Rite* 26,900 679
Triquint Semiconductor* 34,800 831
Unitrode* 29,500 959
VLSI Technology* 36,200 627
-------
6,394
-------
Specialty Construction -- 0.6%
Apogee Enterprises 83,000 1,639
Oakwood Homes 25,000 441
-------
2,080
-------
Steel & Steel Works -- 0.6%
Maverick Tube* 82,000 1,456
Oregon Metallurgical* 7,200 130
Precision Castparts 10,000 510
-------
2,096
-------
Telephones & Telecommunication -- 2.9%
ACC* 19,350 431
Boston Technology* 51,300 968
Brightpoint* 59,137 961
Midcom Communications* 52,400 419
Orion Network Systems* 65,100 561
P-Com* 22,800 593
Pacific Gateway Exchange* 22,700 568
Pairgain Technologies* 76,800 2,275
Periophonics* 30,000 443
Telco Communications Group* 78,600 1,562
Teletech Holdings* 20,600 407
United Video Satellite Group,
Ser A* 59,300 993
-------
10,181
-------
</TABLE>
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
SEI Institutional Managed Trust -- March 31, 1997 (Unaudited)
Small Cap Growth Portfolio
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
Testing Laboratories -- 0.8%
Atrix Labs* 5,200 $ 57
Curative Technologies* 36,600 842
International Telecommunications
Data Systems* 25,100 427
Martek Biosciences* 40,700 712
Quintiles Transnational* 16,600 894
-------
2,932
-------
Trucking -- 0.9%
Air Express International 8,000 254
Expeditors International of
Washington 52,600 1,262
Gilead Sciences* 15,600 357
Swift Transportation* 14,000 357
US Freightways 20,000 518
Werner Enterprises 10,000 188
-------
2,936
-------
Wholesale -- 3.9%
AAR Corp. 10,000 300
Amerisource Health* 7,000 306
Barnett* 24,400 500
Bell Microproducts* 80,800 990
Cellstar* 38,300 814
Central Garden and Pet* 40,000 725
Ha Lo Industries* 43,475 663
Harmonic Lightwaves* 31,500 433
Henry Schein* 42,900 1,244
Hughes Supply 13,900 453
Inso* 27,100 1,018
Iron Mountain* 30,300 750
JP Food Service* 17,500 483
North Face* 73,200 1,217
Physician Sales & Services* 29,900 377
Playboy Enterprises* 72,500 1,115
Richfood Holdings 30,000 563
Serologicals* 43,150 647
Technical Chemical & Products* 26,900 222
US Office Products* 22,100 547
Winstar Communications* 27,200 316
-------
13,683
-------
Total Common Stocks
(Cost $326,333) 318,281
-------
U.S. Treasury Obligation -- 0.2%
U.S. Treasury Bills
0.000%, 09/18/97 (A) $ 700 682
-------
Total U.S. Treasury Obligation
(Cost $683) 682
-------
Repurchase Agreement -- 7.5%
J.P. Morgan
6.380%, dated 03/31/97,
matures 04/01/97, repurchase
price $25,791,000 (collateralized by
various FHLMC obligations, par
value $26,292,000, 0.000%-6.070%,
04/18/97-11/20/98, total
market value: $26,302,000) 25,786 25,786
-------
Total Repurchase Agreement
(Cost $25,786) 25,786
-------
Total Investments -- 100.0%
(Cost $352,802) 344,749
=======
</TABLE>
* Non-income producing security
(A) Security has been pledged as collateral on open futures
contracts.
Cl--Class
FHLMC--Federal Home Loan Mortgage Corporation
FNMA--Federal National Mortgage Association
Ser--Series
