|
|
|
|
|
|
|
|
|
|
|
|
|
Annual Report as of
May 31, 1999
SEI INSTITUTIONAL
INVESTMENTS TRUST
================================================================================
Large Cap Fund
================================================================================
Small Cap Fund
================================================================================
Core Fixed Income Fund
================================================================================
International Equity Fund
================================================================================
[LOGO]
<PAGE>
TABLE OF CONTENTS
================================================================================
Management's Discussion and Analysis
of Fund Performance.................................................. 1
Report of Independent Accountants....................................... 6
Statement of Net Assets/Schedule of Investments......................... 7
Statement of Assets and Liabilities..................................... 32
Statement of Operations................................................. 33
Statement of Changes in Net Assets...................................... 34
Financial Highlights.................................................... 35
Notes to Financial Statements........................................... 36
Notice to Shareholders.................................................. 42
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
SEI Institutional Investments Trust -- May 31, 1999
Large Cap Fund
Objective: The Large Cap Fund seeks to provide long-term growth of capital
and income.
Strategy: The Large Cap Fund employs a multi-manager structure to gain
exposure to the entire large cap sector, adding value through stock selection
while minimizing risk in the form of capitalization, valuation and economic
sector exposures. The Fund is jointly sub-advised by six investment managers.
Assets of the Fund are strategically allocated among its sub-advisers, each of
which has responsibility for stock selection for its respective assets under
management. Each of the sub-styles assumes a different importance in determining
overall style risk, and must therefore be weighted accordingly.
Analysis: The Large Cap Fund returned 19.40% for the fiscal year ended May
31, 1999 versus the benchmark Russell 1000 Index return of 20.31%. For the
period from July 1, 1996 through May 31, 1999 the Large Cap Fund returned 27.69%
on an annualized basis outperforming the Russell 1000 Index return of 26.76%
over the same time period. The broad market continued to advance over the last
fiscal period surviving the aftermath of the Asian crisis of 1997, the collapse
of the Ruble and the associated global liquidity crisis and the impeachment of a
sitting U.S. president to close the fiscal year near record levels. Larger cap
issues were the clear leader of the U.S. market, outperforming small cap stocks
by a wide margin. Within large cap, growth stocks outperformed value stocks over
most of the fiscal year, although value issues showed signs of a rebound in
April and May of 1999.
From a sector perspective the leaders over the fiscal year were the
technology stocks, particularly internet and internet-related names. Retail
stocks were also among the market leaders, as domestic economic fundamentals,
including employment and consumer confidence, remained strong. Among the lagging
groups, resource stocks, including chemicals, energy and metals, suffered from
falling prices related to the global economic slowdown. However some specific
commodity areas, such as papers, benefited from merger activity as industry
competitors began to buy up the companies that Wall Street had beaten down.
Defensive groups, including electric and gas utilities and real property, also
lagged the broader market averages over the period.
TCW Funds Management Inc. ("TCW") replaced American Express Asset
Management as a sub-adviser to the Fund in September of 1998. It is our belief
that the addition of TCW should benefit the Fund over time, providing stock
selection expertise in the large cap growth area of the U.S. equity market.
Overall the Fund continues to target a style neutral position to the Russell
1000 Index which controls unnecessary risk and puts the focus on stock selection
from the six specialist sub-advisers.
================================================================================
LARGE CAP FUND
================================================================================
AVERAGE ANNUAL TOTAL RETURN(1)
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
Large Cap Fund 19.40% 27.25%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $10,000 Investment in the SEI
Institutional Investment Trust Large Cap Fund, versus the Frank Russell 1000
Index
[GRAPHIC]
In the printed version of the document, a line graph appears which depicts the
following plot points:
Large Cap Fund Frank Russell 20000 Index
-------------- -------------------------
6/30/96 10,000 10,000
5/31/97 12,812 12,697
5/31/98 17,086 16,597
5/31/99 20,400 19,968
(1) For the period ended May 31, 1999. Past performance is no indication of
future performance. Fund shares were offered beginning 6/14/96.
1
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
SEI Institutional Investments Trust -- May 31, 1999
Small Cap Fund
Objective: The Small Cap Fund seeks to provide capital appreciation.
Strategy: The Small Cap Fund's investment philosophy is to add value
through stock selection while minimizing risk in the form of capitalization,
valuation and economic sector exposures. The Fund invests in stocks of companies
whose prices appear low relative to certain fundamental characteristics as well
as companies that are in an early stage or at a transitional point in their
development and demonstrated or have potential for above average capital growth.
The Small Cap Fund is sub-advised by ten investment managers, who are
responsible for the stock selection of the investment portfolio.
Each sub-adviser employs a unique investment process that allows the Fund
to benefit from a variety of sub-styles in the small cap area of the market. The
various sub-styles are: price/book, core value, deep-value, conservative growth,
momentum, emerging growth, micro-cap, relative price strength and anti-momentum.
Analysis: The Small Cap Fund returned -5.81 % for the fiscal year ended May
31, 1999 versus the benchmark Russell 2000 Index return of -2.69%. For the
period July 1, 1996 through May 31, 1999 the Fund returned 33.63% outperforming
the Russell 2000 Index return of 31.44% over the same time period. The fiscal
year was dominated by internet companies within small cap growth, which led to a
dramatic spread between growth and value stocks in the group. The spread between
growth and value was 13% and would have been even larger had it not been for the
rotation from growth stocks to value stocks that occurred during April and May.
Throughout the period the Fund maintained a weighting to internet related
issues that was roughly equal to that of the benchmark and therefore
participated fully in the strong gains the group enjoyed. Financial, apparel and
retail related issues also performed well during the fiscal year for the Fund.
The finance area of the portfolio benefited from exposure to online brokerage
firms and the trading operations that execute trades for numerous online
brokers. Retail and apparel holdings in the fund that added value included
primarily specialty retailers, which serve niche markets. These niche players
continue to take market share from the traditional department stores with
innovative merchandising and leading edge fashions. They tend to be more nimble
and closer to their customers, giving them an edge when it comes to knowing or
driving the next wave in fashion. Healthcare, telecommunications and business
services issues struggled throughout the period. Healthcare holdings that rely
on government reimbursements were negatively impacted by concerns over upcoming
changes to existing reimbursement rates. Within business services the Fund's
exposure to staffing companies was problematic, as employee related costs
continued to rise throughout the year, due to a tight labor market. This put a
squeeze on profit margins and led to numerous negative earnings surprises among
the group.
Spyglass Asset Management ("Spyglass") was added as a sub-adviser to the
Fund in September, 1998. Spyglass brings a "long-term growth" approach of
investing in small cap securities that was not present in the Fund. It is our
expectation that the addition of such a sub-style investment technique should
benefit the Fund over time.
2
<PAGE>
================================================================================
================================================================================
SMALL CAP FUND
================================================================================
AVERAGE ANNUAL TOTAL RETURN(1)
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
Small Cap Fund (5.81)% 9.34%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $10,000 Investment in the
SEI Institutional Investments Trust Small Cap Fund, versus the
Frank Russell 2000 Index
[GRAPHIC]
In the printed version of the document, a line graph appears which depicts the
following plot points:
Small Cap Fund Frank Russell 2000 Index
-------------- ------------------------
6/30/96 10,000 10,000
5/31/97 11,199 11,156
5/31/98 14,187 13,525
5/31/99 13,363 13,161
(1) For the period ended May 31, 1999. Past performance is no indication of
future performance. Fund shares were offered beginning 6/14/96.
CORE FIXED INCOME FUND
Objective: The Core Fixed Income Fund seeks to provide current income
consistent with the preservation of capital.
Strategy: The Core Fixed Income Fund's investment strategy focuses on
sector rotation, both among and within sectors, and issue selection. Risk is
principally controlled by explicitly limiting fund interest rate exposure
relative to the Lehman Aggregate Bond Index. The Fund's sub-advisers focus on
four key areas in determining portfolio structure: duration weighting, term
structure, sector allocation, and issue selection. While the duration and term
structure decision underlie the implementation process, the advisers primarily
concentrate on sector and issue selection to add value. In addition, the
sub-advisers may use futures and options primarily for tactical hedging purposes
and to implement portfolio strategies more efficiently.
Analysis: The Core Fixed Income Fund returned 4.15% for the fiscal year
ended May 31, 1999, slightly under-performing the Lehman Brothers Aggregate Bond
Index return of 4.34% over the same time period. Performance was negatively
affected by the fund's longer duration posture and by overweights to corporate
bonds and mortgage backed securities. Quality exposures, particularly to Baa and
split-rated credits, also detracted from performance. The fund benefited from
yield curve positioning and security selection.
Benchmark Treasury yields ended the period 5-10 basis points higher on the
longer end of the yield curve and 10 to 40 basis points lower on the short end
of the Treasury curve. Fund performance was hurt by rising rates on the longer
duration securities. However, the fund benefited from the change in the shape of
the yield curve. During the second half of 1998, the global financial crisis
dominated bond market performance. Interest rates fell sharply, as the US
Federal Reserve lowered the Federal Funds rate 75 basis points to provide
liquidity and stability to global financial markets. During the first half of
1999, the interest rate trend reversed. Bond yields rose sharply in response to
higher than expected domestic growth and concerns that inflationary pressures
were building.
Spreads on corporate bonds and mortgage-backed securities ended the fiscal
year somewhat wider, negatively impacting fund performance. Spreads widened
dramatically
3
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
SEI Institutional Investments Trust -- May 31, 1999
during the global financial crisis and retraced much of the widening during
early 1999, but did not return to pre-crisis levels. Security selection in these
sectors contributed to overall fund performance.
The fund continues to maintain a slightly long duration posture with
overweights to the corporate and mortgage backed security sectors. This is in
line with the managers' views that economic growth will continue without causing
inflationary pressures.
================================================================================
CORE FIXED INCOME FUND
================================================================================
AVERAGE ANNUAL TOTAL RETURN(1)
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
Core Fixed Income Fund 4.15% 8.07%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $10,000 Investment in the SEI
Institutional Investments Trust Core Fixed Income Fund, versus the Lehman
Aggregate Bond Index
[GRAPHIC]
In the printed version of the document, a line graph appears which depicts the
following plot points:
Core Fixed Lehman Aggregate
Income Fund Bond Index
6/30/96 10,000 10,000
5/31/97 10,685 10,689
5/31/98 11,924 11,856
5/31/99 12,419 12,370
(1) For the period ended May 31, 1999. Past performance is no indication of
future performance. Fund shares were offered beginning 6/14/96.
INTERNATIONAL EQUITY FUND
Objective: The International Equity Fund seeks to provide capital
appreciation.
Strategy: The International Equity Fund is diversified across twenty-six
markets and includes commitments to large-cap and small-cap shares. The Fund
also seeks to provide U.S. investors with a vehicle for international
diversification, which can reduce variability of Fund returns to the extent that
foreign markets have a relatively low correlation with the U.S. market. Exposure
is also maintained in growth and value styles of active management. The Fund
employs four sub-advisers, each providing a unique regional or style management
specialty. Allocations to the sub-advisers are carefully managed to ensure
proper geographic and market exposure. Emphasis is placed on active security
selection as the principal source of value-added as opposed to active country
allocation. The Fund does not hedge foreign currency exposure.
Analysis: The International Equity Fund returned 6.93% for the one year
ended May 31, 1999, outperforming the MSCI EAFE Index return of 4.3%. Markets
were driven by Japan and the rebounding Asian economies while European markets
have been weak. Global industries like telecommunications and banking were two
of the best performing groups last year. Both industries, in Europe and in Asia,
have benefited from consolidation driven by global competition. In addition to
the dramatic rebound in Asia, value stocks have returned to favor as
expectations of an economic recovery are realized.
4
<PAGE>
================================================================================
Despite the dramatic shifts in market leadership, from Europe to Asia, from
growth to value, the International Equity Fund outperformed. Because the fund is
built to be neutral to regions and styles, it was not negatively affected by
such leadership changes. In fact, these risks were controlled and individual
company selection added nearly 3.0% above the benchmark over this time period.
Capital Guardian Trust Company "CGTC" was added to the Fund in July of 1998
to provide an exposure and an expertise in selecting stocks on an industry
basis. The addition of CGTC last year contributed to the Fund's outperformance.
The Fund's stock selection in the global industries of banks, electronics and
telecommunications were all positive contributors for the one year ended May 31,
1999. The strategy coming into 1999 has been to focus on the Asian recovery,
whether directly investing in Asia or selecting European stocks with large Asian
exposures. The Fund was positioned to accomplish both. The direct investments
into Asia and Japan have focused on globally competitive companies in the
electronics and commodity sectors. The indirect exposure has come from
investments in Standard Chartered, a UK based bank with significant Asian
exposure. It has also come in the form of France based retail giant, LVMH whose
sales in Asia make up a substantial amount of their revenue.
Going forward, we will add another investment manager to the strategy to
increase our exposure to industry based analysis and stock picking across
borders. We continue to manage the strategy to remain neutral to the style and
regional allocations of the benchmark, but allowing individual investment
decisions based on fundamental research to add value.
================================================================================
INTERNATIONAL EQUITY FUND
================================================================================
AVERAGE ANNUAL TOTAL RETURN(1)
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
International Equity Fund 6.93% 8.40%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $10,000 Investment in the SEI
Institutional Investments Trust International Equity Fund, versus the Morgan
Stanley MSCI EAFE Index
[GRAPHIC]
In the printed version of the document, a line graph appears which depicts the
following plot points:
International Morgan Stanley
Equity Fund MSCI EAFE Index
------------- ---------------
6/30/96 10,000 10,000
5/31/97 10,680 10,695
5/31/98 11,791 11,883
5/31/99 12,608 12,401
(1) For the period ended May 31, 1999. Past performance is no indication of
future performance. Fund shares were offered beginning 6/14/96
5
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
SEI Institutional Investments Trust -- May 31, 1999
To the Board of Trustees and Shareholders of
The SEI Institutional Investments Trust:
In our opinion, the accompanying statements of net assets for the Large Cap
Fund, Small Cap Fund and Core Fixed Income Fund and the statements of assets and
liabilities, including the schedules of investments, for the International
Equity Fund and the related statements of operations and of changes in net
assets and the financial highlights present fairly, in all material respects,
the financial position of the SEI Institutional Investments Trust (the "Trust"),
comprised of the Large Cap Fund, Small Cap Fund, Core Fixed Income Fund, and
International Equity Fund, respectively, at May 31, 1999, the results of its
operations for the year then ended and the changes in its net assets for the two
years then ended and its financial highlights for each of the periods presented,
in conformity with generally accepted accounting principles. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Trust's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at May 31,
1999 by correspondence with the custodians and brokers, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
2400 Eleven Penn Center
Philadelphia, Pennsylvania
July 20, 1999
6
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI Institutional Investments Trust -- May 31, 1999
Large Cap Fund
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Common Stocks -- 98.6%
- --------------------------------------------------------------------------------
Aerospace & Defense -- 0.5%
Cordant Technologies 70,900 $ 3,439
Litton Industries* 75,900 4,929
--------
8,368
--------
Air Transportation -- 0.3%
AMR* 45,800 2,980
Delta Air Lines 43,700 2,507
--------
5,487
--------
Aircraft -- 1.7%
Allied Signal 172,600 10,022
United Technologies 283,800 17,613
--------
27,635
--------
Apparel/Textiles -- 0.2%
VF 60,125 2,766
--------
2,766
--------
Automotive -- 1.7%
Delphi Automotive Systems* 32,360 635
Eaton 34,900 3,043
Ford Motor 279,800 15,966
General Motors 46,300 3,195
Genuine Parts 65,000 2,190
Navistar International* 78,800 3,891
--------
28,920
--------
Banks -- 7.2%
Amsouth Bancorp 123,075 3,492
Astoria Financial* 40,600 1,827
Bank of America 411,521 26,620
Bank One 138,426 7,830
Bankers Trust New York 25,499 2,360
Chase Manhattan 322,628 23,391
Comerica 108,100 6,533
Commerce Bancshares 43,435 1,789
Firstar 259,700 7,483
Fleet Financial Group 148,900 6,124
Golden West Financial 72,200 6,850
JP Morgan 28,100 3,915
KeyCorp 143,600 4,990
PNC Bank 159,900 9,154
Republic New York 112,700 7,657
--------
120,015
--------
Beauty Products -- 2.1%
Avon Products 144,000 7,119
Colgate-Palmolive 68,200 6,811
Gillette 248,800 12,689
Procter & Gamble 85,400 7,974
--------
34,593
--------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Broadcasting, Newspapers & Advertising -- 0.4%
Cox Communications* 140,600 $ 5,492
Fox Entertainment, Cl A* 71,700 1,828
--------
7,320
--------
Building & Construction -- 0.4%
Centex 119,000 4,410
Fluor 68,600 2,555
--------
6,965
--------
Chemicals -- 1.5%
Eastman Chemical 69,900 3,539
FMC* 18,300 1,211
Lubrizol 53,500 1,471
Millenium Chemicals 27,200 678
Monsanto 139,600 5,793
Nalco Chemical 52,100 1,745
Praxair 78,500 3,832
Union Carbide 118,800 6,096
--------
24,365
--------
Communications Equipment -- 1.1%
GTE 56,800 3,582
Nokia 158,800 11,275
Tellabs* 63,400 3,709
--------
18,566
--------
Computers & Services -- 7.2%
America Online* 88,200 10,529
Apple Computer* 78,800 3,472
Cisco Systems* 296,100 32,275
Dell Computer* 768,400 26,462
EMC* 40,800 4,065
Hewlett Packard 42,600 4,018
IBM 185,704 21,600
Lexmark International Group* 76,900 10,468
Quantum* 67,600 1,339
Seagate Technology* 97,000 2,928
Unisys* 88,800 3,369
--------
120,525
--------
Concrete & Mineral Products -- 0.1%
Owens-Corning Fiberglass 36,100 1,421
--------
1,421
--------
Containers & Packaging -- 0.2%
Ball 24,100 1,173
Crown Cork & Seal 75,300 2,363
--------
3,536
--------
Drugs -- 5.2%
Amgen* 34,000 2,150
Bristol-Myers Squibb 196,000 13,450
Genentech* 25,700 2,250
7
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI Institutional Investments Trust -- May 31, 1999
Large Cap Fund -- Continued
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Merck 46,600 $ 3,146
Pfizer 223,757 23,942
Pharmacia & Upjohn 51,200 2,838
Schering Plough 597,000 26,902
Warner Lambert 186,000 11,532
-------
86,210
-------
Electrical Services -- 3.5%
AES* 56,000 2,786
American Electric Power 64,200 2,785
Central & South West 104,900 2,701
Consolidated Edison 75,800 3,681
Constellation Energy Group* 99,900 3,116
DTE Energy 42,800 1,864
Edison International 104,800 2,882
Energy East 170,600 4,734
Firstenergy 61,800 1,966
FPL Group 99,100 5,766
New Century Energies 37,500 1,516
PG&E 141,130 4,763
Pinnacle West Capital 210,500 8,815
Public Service Enterprise Group 95,000 3,984
Reliant Energy 16,204 494
Southern 193,100 5,479
Wisconsin Energy 69,000 1,915
-------
59,247
-------
Entertainment -- 1.5%
AT&T-Liberty Media, Cl A* 185,000 12,291
Mirage Resorts* 486,400 9,971
Walt Disney 71,000 2,068
-------
24,330
-------
Environmental Services -- 0.5%
Waste Management* 151,900 8,032
-------
8,032
-------
Financial Services -- 5.2%
American Express 59,900 7,259
Associates First Capital 213,400 8,749
Bear Stearns 85,537 3,796
Charles Schwab 98,750 10,449
FHLMC 46,100 2,688
FNMA 105,600 7,181
Goldman Sachs Group* 9,900 673
Lehman Brothers Holding 63,500 3,469
MBNA 682,662 18,859
Merrill Lynch 55,800 4,687
Morgan Stanley, Dean Witter,
Discover 106,500 10,277
T Rowe Price 210,700 8,138
-------
86,225
-------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Food, Beverage & Tobacco -- 2.3%
Adolph Coors, Cl B 59,900 $ 2,845
Coca-Cola 172,100 11,757
Conagra 92,000 2,398
IBP 214,800 4,605
Philip Morris 261,400 10,080
Ralston Purina Group 119,800 3,265
RJR Nabisco Holdings 103,200 3,193
--------
38,143
--------
Gas/Natural Gas -- 0.8%
Enron 133,200 9,507
Keyspan Energy 29,192 788
National Fuel & Gas 51,800 2,461
--------
12,756
--------
Household Furniture & Fixtures -- 3.0%
Clorox 29,300 2,957
General Electric 173,000 17,592
Maytag 136,000 9,597
Solectron* 366,000 20,039
--------
50,185
--------
Household Products -- 0.2%
Whirlpool 50,600 3,264
--------
3,264
--------
Insurance -- 7.7%
Aetna 80,400 7,301
Allstate 247,300 9,011
Ambac 98,873 5,766
American General 37,400 2,702
American International Group 114,750 13,117
Chubb 60,800 4,260
Cigna 152,100 14,183
Citigroup 356,000 23,585
Financial Security Assurance
Holdings 35,800 2,032
Foundation Health Systems, Cl A* 21,000 375
Hartford Financial 60,400 3,820
Jefferson-Pilot 51,600 3,493
Lincoln National 35,100 3,571
Old Republic International 264,550 4,812
Pacificare Health Systems, Cl B* 17,500 1,512
Progressive of Ohio 66,600 9,349
Providian Financial 35,000 3,358
St Paul 128,100 4,556
Transamerica 103,300 7,580
XL Capital, Cl A 65,800 4,001
--------
128,384
--------
Machinery -- 2.8%
Applied Materials* 180,000 9,900
Cummins Engine 33,800 1,711
8
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
NACCO Industries, Cl A 10,900 $ 813
PULTE 66,700 1,588
Timken 73,700 1,515
Tyco International 356,700 31,167
-------
46,694
-------
Measuring Devices -- 0.2%
Mallinckrodt 121,200 4,197
-------
4,197
-------
Medical Products & Services -- 0.5%
Guidant 37,200 1,860
Medtronic 95,000 6,745
-------
8,605
-------
Metals & Mining -- 0.2%
Vulcan Materials 69,900 3,159
-------
3,159
-------
Miscellaneous Business Services -- 4.5%
Altera* 208,000 7,241
BMC Software* 52,800 2,610
Compuware* 71,700 2,227
Fiserv* 45,200 1,695
Harris 58,700 2,220
Microsoft* 471,200 38,020
Oracle Systems* 115,350 2,862
Pixar* 56,300 2,224
Siebel Systems* 276,800 12,603
Sun Microsystems* 26,900 1,607
Sungard Data Systems* 51,300 1,796
-------
75,105
-------
Miscellaneous Consumer Services -- 0.4%
Robert Half International* 217,800 6,139
-------
6,139
-------
Office Furniture & Fixtures -- 0.6%
Champion International 199,300 10,214
-------
10,214
-------
Paper & Paper Products -- 1.4%
Consolidated Papers 38,400 1,066
Earthgrains 39,700 930
Georgia-Pacific 45,800 3,959
International Paper 246,575 12,329
Mead 45,950 1,717
Temple-Inland 30,500 2,044
Westvaco 53,100 1,517
-------
23,562
-------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Petroleum & Fuel Products -- 1.8%
Atlantic Richfield 126,400 $10,578
Enron Oil & Gas 96,100 1,832
Noble Drilling* 215,000 3,897
Occidental Petroleum 212,500 4,489
Phillips Petroleum 133,100 6,979
Schlumberger 37,800 2,275
-------
30,050
-------
Petroleum Refining -- 3.3%
Ashland 44,700 1,822
Chevron 58,900 5,459
Coastal 139,200 5,368
Exxon 268,600 21,454
Lyondell Petrochemical 68,000 1,296
Mobil 104,500 10,581
Sunoco 76,900 2,341
Texaco 46,500 3,046
USX-Marathon Group 104,900 3,140
-------
54,507
-------
Photographic Equipment & Supplies -- 0.3%
Eastman Kodak 67,300 4,551
-------
4,551
-------
Printing & Publishing -- 1.5%
Gannett 92,846 6,708
Lafarge 101,500 3,394
Time Warner 106,800 7,269
Tribune 43,200 3,410
Viacom, Cl B* 113,600 4,374
-------
25,155
-------
Professional Services -- 0.9%
Norfolk Southern 184,700 6,049
Paychex 281,400 8,336
-------
14,385
-------
Railroads -- 1.7%
Canadian Pacific Ltd. 79,700 1,823
CSX 198,974 9,339
Kansas City Southern Industries 201,000 11,306
Union Pacific 105,375 6,013
-------
28,481
-------
Repair Services -- 0.7%
Federated Department Stores* 123,300 6,720
Ryder System 14,400 346
Staples* 145,000 4,169
-------
11,235
-------
9
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI Institutional Investments Trust -- May 31, 1999
Large Cap Fund--Continued
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Retail -- 8.9%
Bed Bath & Beyond* 101,600 $ 3,473
Costco* 70,500 5,111
CVS 67,200 3,091
Darden Restaurants 158,400 3,376
Dayton-Hudson 147,400 9,286
Dillards, Cl A 70,500 2,476
Dollar Tree Stores* 55,500 1,866
Great Atlantic & Pacific Tea 41,200 1,349
Home Depot 456,600 25,969
JC Penney 165,967 8,578
Kmart* 335,900 5,164
Kohls* 250,500 17,081
Kroger* 169,000 9,897
Lowe's 103,700 5,386
May Department Stores 102,682 4,447
Ruddick 50,400 888
Safeway* 308,000 14,322
Sears Roebuck 252,500 12,073
Sodexho Marriott Services* 89,300 2,032
Tech Data* 32,000 1,177
TJX 78,600 2,358
Wal-Mart Stores 236,000 10,060
--------
149,460
--------
Rubber & Plastic -- 2.0%
Cooper Tire & Rubber 57,100 1,356
Dow Chemical 180,800 21,967
Goodyear Tire & Rubber 129,000 7,700
Premark International 69,200 2,478
--------
33,501
--------
Semi-Conductors/Instruments -- 2.5%
Conexant Systems* 10,500 407
Intel 575,136 31,093
Maxim Integrated Products* 124,200 6,637
Vitesse Semiconductor* 68,600 3,769
--------
41,906
--------
Specialty Construction -- 0.2%
Cooper Industries 38,246 1,896
Tecumseh Products, Cl A 20,400 1,346
--------
3,242
--------
Specialty Machinery -- 0.1%
American Standard* 35,900 1,660
--------
1,660
--------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Steel & Steel Works -- 0.7%
AK Steel Holding 96,100 $ 2,306
Alcan Aluminum 118,233 3,311
Alcoa 21,000 1,155
Nucor 61,500 3,071
Texas Industries 42,900 1,560
---------
11,403
---------
Technology, General -- 0.1%
Rockwell International 48,500 2,677
---------
2,677
---------
Telephones & Telecommunication -- 8.3%
Airtouch Communications* 33,600 3,377
Alltel 107,000 7,671
Ameritech 241,000 15,861
AT&T 173,650 9,638
Bell Atlantic 171,318 9,380
BellSouth 318,586 15,033
Lucent Technologies 448,100 25,486
MCI WorldCom* 412,625 35,640
Motorola 51,600 4,273
SBC Telecommunications 60,000 3,068
Sprint 43,200 4,871
Sprint Corp (PCS Group)* 21,450 965
US West 60,600 3,276
---------
138,539
---------
Trucking -- 0.0%
Yellow* 60,700 1,032
---------
1,032
---------
Wholesale -- 0.5%
Arrow Electronics* 43,000 747
Avnet 19,500 849
BJ's Wholesale Club* 97,800 2,543
CBS 54,700 2,284
Supervalu 89,900 2,180
---------
8,603
---------
Total Common Stocks
(Cost $1,213,975) 1,645,320
---------
U.S. Treasury Obligation -- 0.1%
U.S. Treasury Bill (A)
4.680%, 02/03/00 2,000 1,937
---------
Total U.S. Treasury Obligation
(Cost $1,939) 1,937
---------
10
<PAGE>
================================================================================
Large Cap Fund--Concluded
- --------------------------------------------------------------------------------
Shares/Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Repurchase Agreement -- 0.5%
J.P. Morgan
4.780%, dated 05/28/99,
matures 06/01/99, repurchase
price $8,684,000 (collateralized
by Resolution Trust Funding
Corporation, total par value
$32,450,000, 8.125%, 10/15/19,
total market value: $8,912,000) $ 8,679 $ 8,679
-----------
Total Repurchase Agreement
(Cost $8,679) 8,679
-----------
Money Market -- 0.2%
Evergreen Select Money
Market Trust 3,181 3,181
-----------
Total Money Market
(Cost $3,181) 3,181
-----------
Total Investments -- 99.4%
(Cost $1,227,774) 1,659,117
-----------
Other Assets and Liabilities, Net -- 0.6% 10,828
-----------
Net Assets:
Portfolio Shares of Class A (unlimited
authorization -- no par value)
based on 88,721,917 outstanding
shares of beneficial interest 1,184,775
Undistributed net investment income 2,690
Accumulated net realized gain on
investments 51,225
Net unrealized appreciation on investments 431,343
Net unrealized depreciation on futures
contracts (88)
-----------
Total Net Assets -- 100.0% $ 1,669,945
===========
Net Asset Value, Offering and
Redemption Price Per Share $ 18.82
===========
* 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 Corporation
Small Cap Fund
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Common Stocks -- 96.3%
Aerospace & Defense -- 0.6%
Aeroflex* 15,900 $ 232
Coinstar* 43,500 949
Cordant Technologies 4,400 213
Gencorp 25,500 623
--------
2,017
--------
Air Transportation -- 1.3%
Airborne Freight 21,580 558
Alaska Airgroup* 11,800 490
America West Holdings, Cl B* 25,200 491
Atlantic Coast Air* 12,000 210
Continental Airlines, Cl B* 4,300 169
International Total Services* 323,500 1,254
Skywest 53,400 1,242
--------
4,414
--------
Apparel/Textiles -- 1.2%
Kellwood 15,550 369
Kenneth Cole Production* 3,500 105
Mohawk Industries* 8,200 239
Nautica Enterprises* 50,200 813
Pillowtex 63,890 1,038
Quiksilver* 41,250 1,176
Tarrant Apparel Group* 12,000 364
--------
4,104
--------
Automotive -- 1.2%
Arvin Industries 33,010 1,296
Borg-Warner Automotive 14,812 821
Dura Automotive Systems* 15,000 446
Gentex* 13,000 390
JLG Industries 23,200 448
Monaco Coach* 8,500 255
Smith (A.O.) 15,850 386
Teleflex 3,000 131
--------
4,173
--------
Banks -- 4.0%
Alliant Techsystems* 7,339 624
Andover Bancorp 14,612 426
Astoria Financial* 3,700 166
Bancorpsouth 18,900 322
Bancwest 8,800 334
Bank North Group 30,300 809
Bank United, Cl A* 5,900 244
Chittenden 6,500 189
City National 14,100 555
Commerce Bancorp New Jersey 5,035 203
Community First Bankshares 11,000 233
Cullen/Frost Bankers 15,500 872
Dime Bancorp* 16,735 341
11
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
SEI Institutional Investments Trust -- May 31, 1999
Small Cap Fund -- Continued
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Downey Financial 36,140 $ 795
Firstfed Financial* 27,400 517
Flagstar Bancorp 22,200 522
Hudson United Bancorp 3,969 122
Imperial Bancorp* 22,400 431
Netbank* 4,600 196
Peoples Heritage Financial Group 29,700 557
Republic Bancorp 42,306 547
Resource Bancshares Mortgage
Group 24,000 252
Richmond County Financial* 41,500 757
Roslyn Bancorp 42,660 773
Southwest Bancorp of Texas* 7,400 124
Staten Island Bancorp* 48,700 937
Webster Financial 34,900 1,014
Westamerica Bancorporation 23,100 798
-------
13,660
-------
Beauty Products -- 0.3%
Church & Dwight 8,700 371
Playtex Products* 39,400 596
-------
967
-------
Broadcasting, Newspapers & Advertising -- 1.4%
Antec* 23,900 701
Big Flower Holdings* 14,000 436
Emmis Broadcasting* 12,800 598
Lamar Advertising* 16,200 553
McClatchy Newspapers, Cl A 3,800 140
Metro Networks* 15,600 868
Pegasus Communications* 14,400 680
Radio One* 4,300 173
TMP Worldwide* 14,900 727
-------
4,876
-------
Building & Construction -- 1.9%
Centex 22,260 825
Crossman Communities* 56,200 1,468
Jacobs Engineering Group* 8,300 309
Lennar 15,300 346
MDC Holdings 49,190 971
Ryland Group 33,100 921
Standard Pacific 52,500 689
US Home* 10,800 373
Webb (Del E.) 18,500 416
-------
6,318
-------
Building & Construction Supplies -- 0.9%
Granite Construction 4,000 112
Metals Isa* 82,900 953
NCI Building Systems* 55,000 1,389
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Nortek* 14,400 $ 441
-------
2,895
-------
Chemicals -- 1.0%
Albemarle 8,100 182
Cytec Industries* 10,500 288
Dexter 26,290 1,019
Ethyl 85,800 429
Geon 15,000 452
MacDermid 7,800 314
OM Group 8,300 310
Wellman 27,300 372
-------
3,366
-------
Communications Equipment -- 3.7%
C-Cor Electronics 4,500 106
Concord Communications* 6,100 271
CTS 5,300 297
DII Group* 27,000 889
Dionex* 2,000 82
DM Management* 60,000 967
Inet Technologies* 1,650 28
Intervoice* 17,800 198
MCleodusa, Cl A* 17,300 926
Melita International* 108,800 1,584
Mercury Interactive* 27,800 914
Plantronics* 3,600 220
Polycom* 54,500 1,397
Power Integration* 56,200 2,729
Proxim* 5,700 219
Research In Motion* 13,000 183
Sawtek* 17,500 693
Starmedia Network* 250 15
Vishay Intertechnology* 33,500 697
-------
12,415
-------
Computers & Services -- 2.5%
Apex PC Solutions* 57,300 1,031
Apple Computer* 7,300 322
Bell & Howell* 14,200 540
Computer Network Technology* 10,800 273
Comverse Technology* 8,900 601
Cybex Computer Products* 9,200 209
Global Imaging Systems* 23,000 362
Jabil Circuit* 22,100 1,066
Javelin Systems* 32,900 426
Micros Systems* 5,000 156
National Computer Systems 19,720 616
Neomagic* 18,600 153
Psinet* 10,300 458
QRS* 16,000 1,214
Scient 10,350 519
12
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
SCM Microsystems* 3,600 $ 209
Visual Networks* 13,000 383
-------
8,538
-------
Concrete & Mineral Products -- 0.4%
Dal-Tile International* 17,600 173
Ferro 9,750 283
Florida Rock Industries 18,660 744
Owens-Corning Fiberglass 7,100 280
-------
1,480
-------
Consumer Products -- 0.8%
Brown Shoe 24,700 469
Jakks Pacific* 12,700 352
Nine West Group* 19,000 527
Public Service of New Mexico 47,990 996
Stride Rite 37,900 396
-------
2,740
-------
Containers & Packaging -- 0.2%
Ball 6,600 321
Ivex Packaging* 10,400 200
-------
521
-------
Drugs -- 2.7%
Alkermes* 8,100 200
Alpharma, Cl A 9,800 262
Andrx 1,900 192
Biomatrix* 44,400 1,360
Chattem* 13,000 468
ChiRex* 4,800 145
Cytyc* 59,900 1,243
IDEC Pharmaceuticals* 11,100 560
Incyte Pharmaceuticals* 21,500 559
Ivax 40,400 543
Jones Pharmaceuticals 17,000 605
Liposome* 16,800 240
Medco Research* 6,200 146
Medicis Pharmaceutical, Cl A* 29,000 776
Ocular Sciences* 47,400 1,446
Parexel International* 11,000 263
Roberts Pharmaceutical* 12,300 234
-------
9,242
-------
Electrical Services -- 2.5%
Bec Energy 3,600 158
Calpine* 17,500 948
Cleco 22,900 757
Commonwealth Energy System 22,330 946
Conectiv 16,500 398
El Paso Electric* 120,600 1,033
Esco Electronics* 27,900 337
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Gemstar International* 24,600 $1,521
Nevada Power 17,500 440
Orange & Rockland Utility 3,300 192
Rochester Gas & Electric 13,900 388
Sierra Pacific Resources 18,260 664
United Illuminating 11,900 521
------
8,303
------
Entertainment -- 0.6%
Ambassador International* 33,000 472
Cinar Films, Cl B* 6,000 142
King World Productions* 9,600 320
Macrovision* 23,100 1,051
------
1,985
------
Environmental Services -- 0.3%
Casella Waste Systems, Cl A* 35,750 704
II Group* 17,100 287
------
991
------
Financial Services -- 2.8%
Bear Stearns 5,400 240
Creditrust* 19,300 456
Donaldson, Lufkin & Jenrette* 2,850 118
DVI* 17,000 265
Financial Federal* 41,800 935
Franchise Finance of America 23,400 576
Hambrecht & Quist* 4,100 147
Heller Financial* 19,600 583
Inacom* 93,800 1,038
Investment Technology Group* 12,285 544
John Nuveen, Cl A 3,100 131
JSB Financial 12,100 620
Knight/Trimark Group, Cl A* 11,900 666
Legg Mason 24,500 828
Metris* 11,522 672
Microfinancial* 15,700 190
Nextcard* 550 16
NVR* 3,900 188
Prism Financial 25,600 566
Waddell & Reed Financial, Cl A* 32,900 806
------
9,585
------
Food, Beverage & Tobacco -- 1.6%
Adolph Coors, Cl B 18,060 858
Aurora Foods* 38,900 661
Corn Products International 9,000 265
Dean Foods 12,200 457
Hain Food Group* 31,800 628
Pilgrims Pride 17,900 370
13
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
SEI Institutional Investments Trust -- May 31, 1999
Small Cap Fund--Continued
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Robert Mondavi* 7,700 $ 260
Universal 28,500 745
Universal Foods 14,700 337
UST 1,702 41
Wild Oates Markets* 24,800 727
-------
5,349
-------
Gas/Natural Gas -- 1.0%
Connecticut Energy 20,400 766
Energen 20,220 387
Oneok 12,400 372
Southwest Gas 25,900 732
Washington Gas Light 22,300 545
Wicor 21,000 536
-------
3,338
-------
Glass Products -- 0.1%
Libbey 7,300 219
-------
219
-------
Hotels & Lodging -- 0.6%
Extended Stay America* 97,500 1,036
Four Seasons Hotel 18,700 785
-------
1,821
-------
Household Furniture & Fixtures -- 1.1%
Ethan Allen Interiors 34,650 1,104
Furniture Brands International* 30,400 737
Meadowcraft* 137,100 1,337
O'Sullivan Industries Holdings* 35,360 588
-------
3,766
-------
Household Products -- 0.8%
Helen of Troy Ltd.* 39,100 621
Lifetime Hoan 176,200 1,575
Salton/Maxim Housewares* 1,800 77
Thomas Industries 23,665 479
-------
2,752
-------
Insurance -- 3.8%
American Heritage 20,360 473
Amerin* 16,900 454
Annuity & Life Re Holdings* 28,000 721
Arm Financial 10,000 150
Arthur J Gallegher 8,800 428
CNA Surety* 29,000 421
Concentra Managed Care* 90,700 1,332
Delphi Financial Group, Cl A* 10,590 367
EW Blanch Holdings 9,500 608
FBL Financial Group, Cl A 24,900 500
Financial Security Assurance
Holdings 9,000 511
First American Financial 36,560 601
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Frontier Insurance Group 30,400 $ 523
HCC Insurance Holdings 7,000 156
Healthcare Recoveries* 272,700 1,108
Horace Mann Educators 12,100 313
Lasalle Re Holdings 12,600 178
Life USA Holdings* 20,200 403
Nationwide Financial Services 13,800 596
Oxford Health Plans* 5,800 111
Presidential Life 44,390 816
Rehabcare Group* 73,600 1,582
Reliance Group Holdings 33,000 328
Stewart Information Services 11,200 218
-------
12,898
-------
Leasing & Renting -- 0.6%
Rent-A-Center* 18,300 472
Rent-Way* 34,000 854
Rental Service* 15,700 375
Xtra 10,400 463
-------
2,164
-------
Leisure Products -- 0.4%
Acclaim Entertainment* 27,200 176
Boyds Collection* 26,100 339
Standard Motor Products 31,900 760
T-HQ* 8,100 191
-------
1,466
-------
Lumber & Wood Products -- 0.2%
TJ International 20,610 567
-------
567
-------
Machinery -- 3.1%
Amcast Industrial 20,810 350
Applied Power 9,000 218
Aptar Group 14,000 385
Astec Industries* 3,800 142
Briggs & Stratton 8,300 519
Commercial Intertech 25,200 381
Cree Research* 25,200 1,388
Flowserve 12,800 262
Gardner Denver Machinery* 14,645 251
Gehl* 11,400 237
Gleason 17,500 293
Gradall Industries* 70,900 1,400
Lincoln Electric Holdings 21,800 488
Micrel* 8,000 448
Moog* 22,100 606
Omniquip International* 67,200 710
Pentair 12,300 543
PULTE 31,400 748
SPS Technologies* 14,400 610
Varco International* 54,300 495
-------
10,474
-------
14
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Manufacturing -- 0.4%
Champion Enterprises* 7,600 $ 155
Donaldson 3,000 73
NCH 7,150 392
Newport News Shipbuilding 29,600 814
-------
1,434
-------
Marine Transportation -- 0.3%
Avondale Industries* 19,460 710
Oak Industries* 3,300 159
-------
869
-------
Measuring Devices -- 0.1%
Tektronix 10,100 234
-------
234
-------
Medical Products & Services -- 4.8%
Apria Healthcare Group* 8,800 182
Coast Dental Services* 194,900 1,364
Conmed* 7,500 255
Dentsply International 3,100 84
Eclipse Surgical Technologies* 21,800 196
Gliatech* 5,100 131
Impath* 9,500 262
Invacare 7,500 187
Laser Vision Centers* 19,750 1,126
Lasersight* 10,000 173
Lifepoint Hospitals* 20,900 209
Lincare Holdings* 7,600 187
Maxxim Medical* 10,200 162
Medquist* 40,000 1,470
Minimed* 10,800 638
Novacare* 50,360 107
Osteotech* 21,850 776
Pediatrix Medical Group* 5,800 131
Perclose* 10,000 394
Pharmaceutical Product
Development* 11,700 313
Prime Medical Services* 136,600 1,007
Province Healthcare* 2,200 48
Quest Diagnostic* 19,800 506
Resmed* 44,400 1,246
Sabratek* 21,500 486
Steris* 11,900 197
Summit Technology* 31,000 612
Superior Consultants* 13,100 492
Techne* 3,600 90
TLC Laser Center* 15,500 682
Trigon Healthcare* 23,300 888
Universal Health Services, Cl B* 4,000 200
Visix Space* 10,700 556
Xomed Surgical Products* 23,550 960
-------
16,317
-------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Metals & Mining -- 0.3%
Cleveland Cliffs 21,400 $ 792
Kaiser Aluminum* 29,800 261
------
1,053
------
Miscellaneous Business Services -- 11.2%
@plan.inc* 12,500 165
Abacus Direct* 2,800 206
ABM Industries 7,300 199
Acxiom* 6,000 162
Advent Software* 15,700 1,107
Advo Systems* 10,400 206
American Management Systems 17,300 549
Answerthink Consulting Group* 18,800 496
Barra* 10,800 259
BEA Systems* 35,300 719
Beyond.com* 29,700 631
Black Box* 4,500 205
Brio Technology* 30,500 397
Brocade Communication Systems,* 550 35
Business Objects* 5,000 144
Career Education* 2,500 88
Carey International* 44,200 829
Checkpoint Software* 11,800 522
Compass International Services* 84,500 565
Complete Business Solutions* 7,700 187
Computer Task Group 11,900 198
Concord EFS* 7,700 261
CSG Systems International* 5,100 163
Data Processing Resources* 26,700 406
Dendrite International* 9,400 310
Digital River* 6,300 152
Dset* 44,600 552
Earthlink Network* 8,400 449
Fundtech* 21,000 672
Global Vacation Group* 18,200 155
Globix* 12,300 431
Hooper Holmes 10,100 183
IMR Global* 54,800 1,147
Infoseek* 8,600 360
Intervu* 4,600 159
ISS Group* 20,000 560
Jack Henry & Associates 4,600 162
Juno Online Services* 10,350 127
Keane* 22,500 653
Labor Ready* 28,850 1,028
Lason* 23,000 881
Macromedia* 23,400 897
Mastech* 29,400 564
Memberworks* 17,500 792
Mentor Graphics* 14,600 184
Metro Information Services* 9,600 221
Metzler Group* 24,500 802
15
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
SEI Institutional Investments Trust -- May 31, 1999
Small Cap Fund--Continued
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Micromuse* 5,400 $ 215
Midway Games* 23,700 252
Mindspring Enterprises* 10,450 773
National Instruments* 8,000 305
NCO Group* 32,200 982
Netopia* 24,000 675
Network Solutions* 8,800 560
On Assignment* 15,300 392
Peregrine Systems* 45,200 1,037
Pervasive Software* 32,600 558
Progress Software* 10,000 261
RCM Technologies* 98,400 1,445
Redback Networks* 4,750 520
Remedy Temp* 84,500 1,141
Sensormatic Electronics 34,100 456
Sungard Data Systems* 7,700 270
Superior Services* 24,900 534
Symantec* 41,800 1,024
Transaction Systems Architects* 7,800 249
TSI International Software* 29,800 659
Verio* 18,200 987
Verity* 17,800 591
Vignette* 8,000 474
Visio* 60,700 1,996
Wackenhut Corrections* 11,000 220
Xircom* 53,100 1,341
-------
38,057
-------
Miscellaneous Consumer Services -- 0.4%
ASI Solutions* 71,600 609
CSK Auto* 8,000 238
G & K Services 6,000 284
Regis 10,500 253
Unifirst 6,500 117
-------
1,501
-------
Miscellaneous Manufacturing -- 0.6%
Blyth Industries* 15,700 440
Commscope* 22,700 596
Department 56* 6,000 199
RTI International Metals* 9,700 129
Superior Telecom* 7,125 211
Varlen 16,500 623
-------
2,198
-------
Miscellaneous Transportation -- 0.1%
Fleetwood Enterprises 7,000 178
Harsco 6,800 222
-------
400
-------
Office Furniture & Fixtures -- 0.2%
Kimball International, Cl B 35,020 630
-------
630
-------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Paper & Paper Products -- 0.8%
Chesapeake 13,300 $ 480
Domtar 53,400 421
Mail-Well* 74,600 1,105
Rock Tenn, Cl A 28,200 427
Shorewood Packaging* 7,000 120
------
2,553
------
Petroleum & Fuel Products -- 1.0%
Atwood Oceanic* 10,900 316
Berry Petroleum 42,700 608
Cal Dive International* 8,500 208
Devon Energy 24,500 851
Giant Industries 24,400 258
Ocean Energy* 36,300 358
Oceaneering International* 9,900 153
Seitel* 10,100 160
Swift Energy* 31,200 404
Tom Brown* 7,000 91
------
3,407
------
Petroleum Refining -- 0.5%
Tesoro Petroleum* 80,300 949
Valero Energy 33,400 670
------
1,619
------
Photographic Equipment & Supplies -- 0.2%
Pinnacle Systems* 10,200 528
------
528
------
Printing & Publishing -- 1.5%
Bowne 15,500 260
Electronics for Imaging* 15,100 741
Lone Star Industries 75,980 2,707
Southdown 12,200 773
Standard Register 5,810 173
Valassis Communications* 13,600 473
------
5,127
------
Professional Services -- 3.7%
AHL Services* 18,300 485
American Oncology Resources* 41,600 423
CDI* 4,500 146
Consolidated Graphics* 70,900 3,270
Devry* 20,900 465
Ecsoft Group PLC* 15,900 227
Educational Management* 33,900 606
FYI* 4,400 121
International Network Services* 24,600 919
ITT Educational Services* 24,700 588
Nextera Enterprises, Cl A* 8,000 68
Pre Paid Legal* 12,700 337
16
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Profit Recovery Group
International* 26,800 $ 987
Promedco Management* 296,700 1,205
Stein Mart* 129,500 1,190
Strayer Education 4,300 125
Sylvan Learning Systems* 38,250 1,042
Tetra Tech* 14,062 299
URS* 7,400 182
-------
12,685
-------
Railroads -- 0.4%
Coach USA* 49,400 1,439
-------
1,439
-------
Real Estate -- 0.5%
Catellus Development* 29,900 460
CB Richard Ellis Services* 28,100 544
Centex Construction Products 5,100 183
Trammell Crow* 21,800 403
-------
1,590
-------
Retail -- 9.5%
Action Performance* 20,200 768
American Eagle Outfitters* 31,600 1,290
Ames Department Stores* 3,600 148
Ann Taylor Stores* 5,300 229
Applebees International 44,200 1,304
Barnes&noble.com* 1,150 27
Bebe Stores* 21,200 612
Buckle* 11,800 327
CDW Computer Centers* 4,400 191
Cheap Tickets* 16,300 513
Children's Place Retail Stores* 42,400 1,651
Cost Plus* 20,400 762
Darden Restaurants 3,600 77
Dress Barn* 23,670 348
Finish Line* 96,800 1,192
Foodmaker* 8,600 232
Footstar* 18,000 699
Grand Union* 58,500 600
Haverty Furniture 14,200 419
Hollywood Entertainment* 25,750 663
Homebase* 114,900 653
Intimate Brands 5,100 264
Jo-Ann Stores, Cl A* 81,600 1,372
Linens N Things* 20,600 821
Michaels Stores* 12,400 332
Musicland Stores* 2,500 22
Neiman-Marcus Group 14,600 402
Pacific Sunwear of California* 32,750 1,228
Paul Harris Stores* 179,600 1,167
Pier 1 Imports 98,500 1,090
PJ America* 20,100 471
Rare Hospitality International* 16,600 382
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Ross Stores* 14,900 $ 684
Ruby Tuesday 29,500 548
Ryan's Family Steak Houses* 89,830 1,050
Shopko Stores 50,250 1,784
Sonic Automotive* 6,800 88
Sonic* 17,100 471
Systemax* 94,700 1,290
Talbots 7,100 225
Track 'n Trail* 276,700 588
Wet Seal, Cl A* 13,800 383
Whitehall Jewellers* 98,100 1,766
Whole Foods Market* 21,500 892
Williams Sonoma* 8,800 262
Zale* 45,900 1,770
-------
32,057
-------
Rubber & Plastic -- 1.0%
Carlisle Companies 5,300 248
Cooper Tire & Rubber 23,400 556
Mark IV Industries 71,000 1,314
Reebok International 33,300 662
Spartech 2,600 63
Tupperware 24,200 538
-------
3,381
-------
Semi-Conductors/Instruments -- 2.5%
Alpha Industries* 15,800 550
Applied Micro Circuits* 19,400 1,147
Benchmark Electronics* 12,700 381
Conexant Systems* 12,000 465
Flextronics International* 22,900 1,145
Lattice Semiconductor* 3,000 147
Qlogic* 7,600 834
RF Micro Devices* 5,400 230
Stoneridge* 23,400 335
Transwitch* 48,100 2,225
Vitesse Semiconductor* 17,300 950
-------
8,409
-------
Specialty Construction -- 0.7%
Caprock Communications* 19,500 436
DR Horton* 100,100 1,702
Elcor 5,300 214
Insituform Technologies* 7,000 117
-------
2,469
-------
Specialty Machinery -- 0.4%
Cooper Cameron* 21,200 767
Hussman International 13,800 221
Tecumseh Products, Cl A 6,000 396
-------
1,384
-------
Steel & Steel Works -- 1.1%
AK Steel Holding 46,900 1,126
17
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
SEI Institutional Investments Trust -- May 31, 1999
Small Cap Fund--Continued
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Armco* 81,200 $ 523
Bethlehem Steel* 66,300 551
LTV 37,700 231
National Steel, Cl B* 34,430 263
Reliance Steel & Aluminum 16,140 575
Ryerson Tull 23,659 544
-------
3,813
-------
Telephones & Telecommunication -- 3.2%
Allegiance Telecommunications* 34,000 1,258
American Tower Systems* 28,900 650
Concentric Network* 39,800 1,286
Destia Communications* 15,750 173
Dycom Industry* 5,300 256
Electric Lightwave* 49,900 586
Exodus Communications* 3,800 285
Gilat Satellite Networks* 9,700 512
ICG Communications* 36,400 694
ITC Deltacom* 13,700 327
IXC Communications* 16,700 601
Metro One Telecommunications* 16,800 254
Metromedia Fiber Network* 15,400 622
Northpoint Communications* 5,150 219
Pacific Gateway Exchange* 8,000 315
Pinnacle Holdings* 27,200 495
Primus Telecommunications
Group* 25,900 431
Princeton Video Image* 96,100 607
Teligent* 8,500 418
Transaction Network Services* 10,900 292
Viatel* 15,900 716
-------
10,997
-------
Testing Laboratories -- 0.3%
Medimmune* 12,100 770
Plexus* 5,400 165
-------
935
-------
Transportation Services -- 0.4%
Forward Air* 21,200 580
GATX 18,280 709
-------
1,289
-------
Trucking -- 1.9%
Arkansas Best* 21,900 194
CH Robinson Worldwide 5,000 162
Consolidated Freightways* 27,000 361
Expeditors International of
Washington 6,900 384
Iron Mountain* 38,200 1,055
Landstar System* 6,100 230
Motor Cargo Industries* 157,400 1,259
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Pittston Services 14,300 $ 408
Rollins Truck Leasing 47,850 520
Swift Transportation* 12,375 226
USFreightways 31,220 1,229
Werner Enterprises 7,500 145
Yellow* 18,820 320
-------
6,493
-------
Wholesale -- 4.7%
Airgas* 23,300 266
Amerisource Health* 10,500 310
Barnes Group 21,160 488
Bindley Western Industries 35,300 1,063
BJ's Wholesale Club* 48,200 1,253
Central Garden & Pet* 78,500 1,060
Commercial Metals 11,600 272
Genesis Microchip* 24,600 446
Greenbrier 11,400 106
Ha Lo Industries* 15,750 190
Handleman 22,400 265
Harmonic Lightwaves* 5,700 281
Hughes Supply 7,300 197
Ingram Micro* 5,400 157
Insight Enterprises* 39,150 993
Meade Instruments* 116,600 1,574
Meritor Automotive 18,200 444
Officemax* 41,200 474
Patterson Dental* 16,600 608
Performance Food Group* 6,500 155
Playboy Enterprises* 12,300 358
Priority Healthcare, Cl B* 40,050 1,367
Richardson Electronics 105,100 690
Richfood Holdings 2,900 37
SCP Pool* 41,200 788
Tower Automotive* 57,200 1,308
United Stationers 28,000 525
US Foodservice* 8,000 356
-------
16,031
-------
Total Common Stocks
(Cost $297,042) 326,303
-------
U.S. Treasury Obligation -- 0.2%
U.S. Treasury Bill (A)
4.680% 02/03/00 800 775
-------
Total U.S. Treasury Obligation
(Cost $775) 775
-------
18
<PAGE>
================================================================================
Small Cap Fund--Concluded
- --------------------------------------------------------------------------------
Shares/Face Market
Description Amount (000) Value (000)
- -------------------------------------------------------------------------------
Money Market -- 0.7%
Evergreen Select Money
Market Trust 2,303 $ 2,303
---------
Total Money Market
(Cost $2,303) 2,303
---------
Repurchase Agreements -- 1.1%
J.P. Morgan
4.780%, dated 05/28/99, matures
06/01/99, repurchase price
$3,718,000 (collateralized by
Resolution Trust Funding
Corporation, total par value
$13,900,000, 8.125%, 10/15/19,
total market value: $3,817,000) $ 3,716 3,716
---------
Total Repurchase Agreements
(Cost $3,716) 3,716
---------
Total Investments -- 98.3%
(Cost $303,836) 333,097
---------
Other Assets & Liabilities, Net -- 1.7% 5,742
---------
Net Assets:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 29,853,898 outstanding shares
of beneficial interest 335,268
Undistributed net investment income 104
Accumulated net realized loss on
investments (25,805)
Net unrealized appreciation on
investments 29,261
Net unrealized appreciation on
futures contracts 11
---------
Total Net Assets -- 100.0% $ 338,839
=========
Net Asset Value, Offering and Redemption
Price Per Share $ 11.35
=========
(A) Security has been pledged as collateral on open futures contracts.
Cl -- Class
FNMA -- Federal National Mortgage Corporation
Core Fixed Income Fund
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
U.S. Treasury Obligations -- 24.9%
U.S. Treasury Bonds
10.750%, 08/15/05 $ 3,425 $ 4,291
9.250%, 02/15/16 85,495 113,181
6.375%, 08/15/27 20,305 21,178
6.125%, 11/15/27 17,560 17,750
5.500%, 08/15/28 200 187
U.S. Treasury Notes
5.875%, 11/15/99 1,760 1,768
6.375%, 01/15/00 525 529
5.500%, 02/29/00 3,140 3,152
5.000%, 02/28/01 1,045 1,038
4.875%, 03/31/01 1,000 991
5.500%, 03/31/03 5,960 5,923
5.500%, 05/31/03 350 348
5.250%, 08/15/03 250 246
6.500%, 10/15/06 330 343
U.S. Treasury Notes (E)
3.375%, 01/15/07 7,974 7,721
3.625%, 01/15/08 21,545 21,134
3.875%, 01/15/09 4,511 4,514
3.875%, 04/15/29 5,820 5,809
3.625%, 04/15/28 25,995 24,818
5.250%, 11/15/28 7,410 6,707
U.S. Treasury STRIPS
5.908%, 11/15/04 25,950 18,968
--------
Total U.S. Treasury Obligations
(Cost $263,908) 260,596
--------
Corporate Obligations -- 21.4%
Aerospace & Defense -- 0.0%
TCI Communications
6.375%, 05/01/03 170 170
--------
170
--------
Air Transportation -- 0.5%
Continental Airlines
6.800%, 01/02/08 1,340 1,280
Federal Express
9.650%, 06/15/12 1,275 1,504
6.845%, 01/15/19 612 602
9.625%, 10/15/19 150 157
Northwest Airlines
8.130%, 02/01/14 1,250 1,231
--------
4,774
--------
19
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
SEI Institutional Investments Trust -- May 31, 1999
Core Fixed Income Fund -- Continued
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Automotive -- 0.1%
Ford Motor
6.625%, 10/01/28 $ 400 $ 370
7.400%, 11/01/46 200 200
-------
570
-------
Banks -- 3.3%
AAAB
7.250%, 05/31/05 1,000 1,017
ABN Amro Bank of Chicago
6.625%, 12/31/01 1,000 1,007
BankAmerica
9.200%, 05/15/03 150 164
BankBoston MTN
6.375%, 04/15/08 1,000 965
Bankers Trust NY
8.125%, 05/15/20 6,200 6,417
Chase Manhattan
8.625%, 05/01/02 1,000 1,059
Continental Bank, NA
12.500%, 04/01/01 1,000 1,112
Dresdner Bank
7.250%, 09/15/15 1,750 1,754
Equitable
9.000%, 12/15/04 700 770
First Chicago Bank
9.875%, 08/15/00 450 470
8.875%, 03/15/02 2,700 2,865
First National Bank of Omaha
7.320%, 12/01/10 250 258
JP Morgan Capital
7.950%, 02/01/27 200 202
Key Bank (A)
5.130%, 03/18/02 5,000 4,998
Mercantile Bancorp
7.050%, 06/15/04 1,000 1,011
Midland Bank
6.950%, 03/15/11 1,750 1,728
Midlantic
9.200%, 08/01/01 1,085 1,150
National Westminster Bancorp
9.375%, 11/15/03 1,900 2,066
NCNB Bank
10.200%, 07/15/15 1,950 2,491
Security Pacific
11.000%, 03/01/01 2,750 2,963
Westpac Banking
7.875%, 10/15/02 500 517
-------
34,984
-------
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Broadcasting, Newspapers & Advertising -- 1.2%
Continental Cablevision
9.000%, 09/01/08 $ 800 $ 910
9.500%, 08/01/13 4,700 5,464
TCI Communications
7.875%, 02/15/26 1,550 1,684
7.125%, 02/15/28 4,860 4,842
-------
12,900
-------
Electrical Services -- 1.2%
Arizona Public Service
8.000%, 12/30/15 1,000 1,066
Boston Edison
9.875%, 06/01/20 800 858
Boston Edison First Mortgage
9.375%, 08/15/21 3,050 3,298
Commonwealth Edison
9.875%, 06/15/20 493 569
Korea Electric Power
7.750%, 04/01/13 540 497
6.750%, 08/01/27 450 423
Pandhandle Eastern Pipeline
7.000%, 07/15/29 1,300 1,222
Province of New Foundland
10.000%, 12/01/20 1,200 1,573
Quebec Province
11.000%, 06/15/15 1,000 1,082
System Energy Resources
7.430%, 01/15/11 345 345
USF&G
7.125%, 06/01/05 1,000 1,010
-------
11,943
-------
Entertainment -- 0.3%
News America Holdings
10.125%, 10/15/12 1,400 1,571
Time Warner
9.125%, 01/15/13 1,175 1,384
-------
2,955
-------
Financial Services -- 7.6%
American General
9.625%, 07/15/00 440 459
Associated P&C Holdings (B)
6.750%, 07/15/03 4,000 3,990
Bankamerica
8.375%, 03/15/02 800 842
Bear Stearns
6.500%, 06/15/00 1,450 1,459
6.250%, 07/15/05 800 768
Countrywide Capital I
8.000%, 12/15/26 600 593
20
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Countrywide Funding (A)
5.078%, 01/26/00 $5,000 $4,999
Donaldson Lufkin & Jenrette
6.000%, 12/01/01 3,000 2,974
6.170%, 07/15/03 3,000 2,947
Fleet Financial Group
6.875%, 03/01/03 1,000 1,015
Ford Motor Capital
10.125%, 11/15/00 1,525 1,614
9.500%, 07/01/01 4,000 4,265
9.875%, 05/15/02 1,550 1,697
9.500%, 06/01/10 1,000 1,192
7.700%, 05/15/97 1,300 1,342
GMAC
5.950%, 03/14/03 1,000 984
5.850%, 01/14/09 5,000 4,663
Zero coupon, 06/15/15 2,600 835
Goldman Sachs
6.250%, 02/01/03 800 793
Lehman Brothers
9.875%, 10/15/00 1,625 1,699
6.125%, 02/01/01 1,750 1,739
8.750%, 05/15/02 1,602 1,682
8.750%, 03/15/05 1,250 1,334
Lehman Brothers Holdings
8.875%, 03/01/02 2,600 2,733
Merrill Lynch
6.875%, 11/15/18 3,075 2,964
7.430%, 09/01/22 856 869
The Money Store (A)
5.550%, 07/15/25 1,093 1,093
Newcourt Credit
6.875%, 02/16/05 3,000 2,948
Paine Webber Group
7.875%, 02/15/03 1,500 1,539
6.930%, 08/15/03 325 323
6.450%, 12/01/03 1,450 1,416
6.730%, 01/20/04 150 148
8.875%, 03/15/05 1,100 1,176
Salomon Brothers
7.500%, 02/01/03 750 774
6.750%, 02/15/03 1,650 1,662
7.000%, 06/15/03 2,000 2,033
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Security Capital Group
7.750%, 11/15/03 $ 1,600 $ 1,596
Transamerica Finance
6.125%, 11/01/01 2,800 2,793
Wharf International Finance
7.625%, 03/13/07 575 515
Zurich Capital Trust (B)
8.376%, 06/01/37 10,300 10,699
-------
79,166
-------
Food, Beverage & Tobacco -- 2.5%
Archer Daniels
6.675%, 05/01/29 280 264
J Seagram & Sons
6.400%, 12/15/03 1,930 1,896
6.800%, 12/15/03 1,370 1,334
7.500%, 12/15/18 1,460 1,456
7.600%, 12/15/28 1,490 1,486
Pepsi
7.000%, 03/01/29 4,600 4,451
Philip Morris
7.750%, 01/15/27 5,570 5,786
RJR Nabisco
7.750%, 05/15/06 3,760 3,656
6.375%, 02/01/35 3,000 2,895
RJR Nabisco (B)
7.875%, 05/15/09 2,530 2,469
-------
25,693
-------
Gas/Natural Gas -- 0.1%
KN Energy
9.625%, 08/01/21 1,400 1,526
-------
1,526
-------
Insurance -- 1.1%
Allstate Insurance
7.500%, 06/15/13 1,000 1,048
Cendant
7.750%, 12/01/03 4,100 4,172
Lincoln National
9.125%, 10/01/24 1,000 1,104
Loew's
7.625%, 06/01/23 450 437
United Healthcare
6.600%, 12/01/03 5,000 4,875
-------
11,636
-------
21
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
SEI Institutional Investments Trust -- May 31, 1999
Core Fixed Income Fund -- Continued
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Lumber & Wood Products -- 0.3%
Georgia Pacific
9.500%, 12/01/11 $ 1,300 $ 1,529
9.875%, 11/01/21 1,800 1,946
-------
3,475
-------
Machinery -- 0.2%
John Deere
6.000%, 02/15/09 1,700 1,602
Tenneco
7.450%, 12/15/25 125 120
-------
1,722
-------
Miscellaneous Manufacturing -- 0.6%
NRG Energy (B)
7.625%, 02/01/06 2,000 1,995
Northrop-Gruman
9.375%, 10/15/24 2,990 3,237
Phillips Petroleum
9.180%, 09/15/21 1,200 1,301
-------
6,533
-------
Miscellaneous Transportation -- 1.0%
British Aerospace Financial (B)
7.500%, 07/01/27 4,600 4,755
Consolidated Rail
7.875%, 05/15/43 450 465
Union Pacific
7.000%, 02/01/16 5,000 4,831
-------
10,051
-------
Paper & Paper Products -- 0.1%
Federal Paperboard
8.875%, 07/01/12 300 351
Union Camp
10.000%, 05/01/19 550 579
Weyerhaeuser
7.250%, 07/01/13 325 334
-------
1,264
-------
Precious Metals -- 0.0%
Wharf Capital
8.875%, 11/01/04 375 365
-------
365
-------
Retail -- 0.6%
Dayton Hudson
10.000%, 01/01/11 350 439
8.600%, 01/15/12 175 201
JC Penney
9.750%, 06/15/21 1,200 1,311
6.900%, 08/15/26 1,650 1,662
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Loew's
7.000%, 10/15/23 $ 1,350 $ 1,237
May Department Stores
9.875%, 06/15/21 1,500 1,644
--------
6,494
--------
Telephones & Telecommunication -- 0.7%
AT&T
5.625%, 03/15/04 910 886
6.500%, 03/15/29 1,490 1,384
New York Telephone
9.375%, 07/15/31 2,768 3,048
US West Communication
8.875%, 06/01/31 2,200 2,354
--------
7,672
--------
Total Corporate Obligations
(Cost $228,144) 223,893
--------
U.S. Government Agency Obligations -- 0.8%
FHLMC Discount Note (D)
11/12/99 2,250 2,202
FNMA STRIPS
8.435%, 09/25/25 168 178
Resolution Trust Funding STRIP
6.278%, 10/15/19 22,000 6,024
Resolution Trust Funding
8.625%, 01/15/30 250 328
--------
Total U.S. Government Agency Obligations
(Cost $8,779) 8,732
--------
U.S. Government Mortgage-Backed
Obligations -- 35.2%
FHLMC
5.500%, 12/01/13-03/01/14 9,867 9,314
6.000%, 11/01/13-10/01/23 2,595 2,495
6.500%, 12/01/12 (D) 2,672 2,660
7.000%, 01/01/11-09/01/25 6,666 6,684
7.500%, 06/01/10-06/01/12 794 815
8.000%, 04/01/08-08/01/26 4,677 4,845
8.500%, 09/01/08-04/01/09 1,604 1,706
9.000%, 12/01/05 19 20
9.500%, 09/01/05 602 632
9.750%, 10/01/14 314 338
FHLMC REMIC Ser 1, Cl Z
9.300%, 04/15/19 408 432
FHLMC REMIC, Ser 1563, Cl B (D)
9.170%, 08/15/08 139 141
FHLMC TBA (C)
6.000%, 06/17/14 2,000 1,952
6.500%, 06/01/29 52,190 51,032
7.000%, 06/01/29 3,800 3,806
22
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
7.500%, 06/01/29 $ 1,890 $ 1,930
6.000%, 06/16/29 4,150 3,948
6.500%, 06/16/29 25,000 24,445
FHLMC, Ser 1997-A, Cl A
7.350%, 04/15/19 1,531 1,534
FNMA, PO
Zero Coupon, 08/25/23 47 43
FNMA
5.500%, 10/01/13-08/25/20 9,385 8,962
6.000%, 07/01/13-03/01/29 15,856 16,246
6.500%, 09/01/98-11/01/28 (D) 6,972 6,311
7.500%, 06/01/24-10/01/27 2,301 2,352
8.000%, 11/01/10-05/01/13 3,096 3,205
8.500%, 09/01/13 22 23
FNMA TBA (C)
6.000%, 06/21/14 3,032 2,955
6.500%, 06/01/14 10,300 10,245
6.000%, 06/01/23 62,060 58,976
6.500%, 06/01/23 35,560 34,737
7.000%, 06/01/28 7,200 7,200
8.000%, 06/01/29 2,280 2,365
6.000%, 06/16/29 2,094 1,990
7.000%, 06/16/29 2,000 2,000
FNMA REMIC
5.500%, 08/25/20 1,329 1,285
6.743%, 12/25/11 2,205 2,222
FNMA CMO, Ser 1997-G5
7.050%, 06/25/04 1,793 1,812
FNMA REMIC, Ser 1991-156, Cl A
7.500%, 10/25/21 919 929
FNMA REMIC, Ser 1990-106, Cl J
8.500%, 09/25/20 243 254
GNMA
6.500%, 11/15/23-04/15/29 13,246 12,929
6.750%, 08/15/38 1,085 1,089
7.000%, 12/15/27-09/15/28 7,810 7,819
7.150%, 10/15/38 604 603
7.375%, 06/20/21 2,553 2,606
7.500%, 09/15/06-04/15/28 10,881 11,127
8.000%, 05/15/24-01/20/27 4,148 4,295
8.500%, 11/15/00 15 16
9.500%, 09/15/09 226 244
GNMA (A)
6.875%, 04/20/25 763 780
GNMA TBA (C)
6.000%, 06/01/14 2,920 2,850
6.000%, 06/21/14 1,000 976
6.500%, 06/01/28 1,300 1,268
6.000%, 02/20/29 1,492 1,407
6.000%, 06/01/29 15,310 14,588
7.500%, 06/01/29 15,710 16,058
GNMA, ARM (A)
6.125%, 10/20/22 467 474
SLMA (A)
5.437%, 07/25/11 1,600 1,604
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
SLMA, Ser 1996-3 A1 (A)
4.997%, 10/25/04 $ 2,020 $ 2,010
SLMA, Ser 1997-3, Cl A-1,
ARM (A)
5.107%, 04/25/06 2,707 2,697
SLMA, Ser 1998-1, Cl A-2 (A)
5.267%, 10/25/11 500 494
--------
Total U.S. Government Mortgage-Backed
Obligations
(Cost $371,766) 368,775
--------
Asset-Backed Securities -- 3.5%
Advanta Credit Card Master Trust II
Ser 96-A, Cl A-1
6.000%, 11/15/05 3,320 3,315
American Airlines
9.780%, 11/26/11 2,410 2,780
Asset Securitization, Ser 1997-D4,
Cl A1-C
7.420%, 04/14/29 3,000 3,132
First Boston, Ser 1998-C2, Cl A1
5.960%, 12/15/07 6 6
Brazos Student Loan Finance,
Ser 1998-A, Cl A2 (A)
5.474%, 06/01/23 1,000 984
Chevy Auto Receivables Trust,
Ser 1996-2, Cl A
5.900%, 07/15/03 115 116
Citibank Credit Card Master
Trust I, Ser 1996-1, Cl A, PO
Zero Coupon, 02/07/03 7,400 6,379
Citibank Credit Card Master
Trust I Ser 1997-6, Cl A, PO
Zero Coupon, 08/15/06 1,175 843
Delta Funding Hel, Ser 1998-1,
Cl A1-F (A)
5.050%, 10/25/17 1,140 1,140
Discover Card Acceptance,
Ser 1995-2, Cl A
6.550%, 08/15/00 1,275 1,290
Dryden Investor Trust (B)
7.157%, 07/23/08 5,802 5,582
First Union-Lehman Brothers (A)
CMO, IO, Ser 1997-C2, Cl IO
1.540%, 11/18/27 2,100 163
GMACC, Ser 98, Cl C2 (A)
0.823%, 05/15/31 14,035 572
IBM Credit Receivables Lease
Asset Master Trust, Ser 93-1, Cl A
4.550%, 11/15/00 20 21
Metropolitan Asset Funding
REMIC, Ser 97-B
7.130%, 03/22/12 3,000 3,060
23
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
SEI Institutional Investments Trust -- May 31, 1999
Core Fixed Income Fund -- Continued
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Metropolitan Asset Funding
REMIC, Ser 97-B, Cl A-1B
6.670%, 12/20/06 $ 3,000 $ 3,030
Morgan Stanley Capital (A)
0.840%, 12/15/12 10,804 534
Sears Credit Account
Master Trust, Ser 1995-3, Cl A
7.000%, 10/15/04 1,300 1,318
Structured Asset Securities
Ser 1998-C2A, Cl A (A)
5.080%, 01/25/13 394 393
United Airlines Equipment,
Ser 1991, Cl C (A)
10.360%, 11/12/12 1,445 1,752
Western Financial Grantor Trust,
Ser 1995-2, Cl A1
7.100%, 07/01/00 329 330
-------
Total Asset-Backed Securities
(Cost $37,785) 36,740
-------
Mortgage-Backed Obligations -- 7.5%
Arbors of Little Rock (F)
7.450%, 01/01/39 950 964
Bell Tower Apartments (F)
7.000%, 06/30/39 1,525 1,520
Cadillac Lofts (F)
6.875%, 03/30/39 1,312 1,285
Capco American Securitization,
Ser 1998-D7, Cl A1B
6.260%, 09/15/08 225 217
Castle Terrace (F)
8.000%, 05/01/37 513 536
Caterpillar Financial Asset Trust,
Ser 1996-A, Cl A3
6.300%, 05/25/02 1,003 1,005
Chase Commercial Mortgage
7.370%, 02/19/07 5,221 5,356
Chase Commercial Mortgage,
Ser 1997-2, Cl A1
6.450%, 12/19/04 1,352 1,355
Colonial Apartments (F)
7.050%, 01/31/39 1,288 1,287
Commercial Mortgage Asset Trust,
Ser 1999-C1, Cl A1
6.250%, 02/17/07 991 982
Compass Pointe Apartments (F)
7.062%, 05/31/39 1,526 1,514
Contimortgage Home Equity
Loan Trust
6.630%, 12/15/20 1,600 1,608
Contimortgage Home Equity
Loan Trust, Ser 1997-2, Cl A9
7.090%, 04/15/28 1,750 1,758
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Contimortgage Home Equity
Loan Trust, Ser 1998-1, Cl A2
6.180%, 07/15/12 $2,096 $2,113
Creekwood (F)
7.300%, 11/15/38 998 1,045
Deutsche Mortgage,
Ser 1998-C1, Cl A1
6.220%, 09/15/07 552 545
Discover Card Master Trust
6.200%, 05/16/06 5,000 5,015
EQCC Home Equity Loan Trust
5.150%, 09/15/08 3,620 3,523
Evergreen Tower (F)
7.375%, 01/01/39 1,097 1,108
Excelsior II Apartments (F)
8.040%, 02/01/39 500 527
First Plus Home Loan Trust
Ser 1998-2, Cl A1 (A)
5.010%, 12/10/08 390 390
GE Capital Mortgage
5.000%, 02/25/09 580 513
GMAC Commercial Mortgage
Securities, Ser 1999-C2, Cl A2
6.945%, 09/15/33 3,000 3,040
Goldman Sachs Mortgage Securities
7.750%, 05/19/27 782 796
Green Tree Financial, Ser 1997-1,
Cl A-6
7.290%, 03/15/28 350 341
Green Tree Financial, Ser 1998 B,
Cl A4
6.390%, 02/15/25 2,000 1,998
Green Tree Recreational,
Ser 1998-A, Cl A1H
6.710%, 05/15/29 897 893
Goldman Sachs Mortgage
Securities CMO, Ser 98-1, Cl A
8.000%, 08/19/19 937 960
IMC Home Equity Loan,
Ser 1997-7, Cl A8
6.650%, 02/20/29 1,515 1,525
Impac Commercial Holdings
6.060%, 10/20/07 2,304 2,348
JP Morgan Commercial Mortgage
Finance, Ser 1997-C5, Cl X,
CMO, IO (A) (B)
1.550%, 09/15/29 6,545 514
Lehman Brothers CMO 6.78
1999-C1 Class A2 6.78% 12/15/30
6.780%, 12/15/30 1,750 1,767
Lehman Mortgage Trust
Senior 99-C1 6.79% 12/15/30
6.790%, 12/12/30 1,750 1,767
24
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Merit Securities CMO Ser 11,
Cl 1A1
6.580%, 07/28/22 $ 174 $ 174
Merrill Lynch Mortgage Investors,
Cl 1996-C2, Ser A3
6.960%, 11/21/28 6,700 6,779
Mortgage Capital Funding CMO,
Ser 98-MC3, Cl A1
6.001%, 11/18/31 6 6
MSCI 98-CF1 A1
6.330%, 05/15/30 454 450
Nomura Asset Securities,
Ser 1996-MD5, Cl A1B
7.120%, 04/13/36 3,000 3,055
RAST, Ser 98-A8, Cl A2
6.750%, 06/25/28 581 580
Renaissance Place (F)
7.375%, 08/02/32 864 873
Residential Accredit Loans,
Ser 1997-QS10, Cl A1
7.250%, 10/25/27 249 249
Residential Accredit Loans,
Ser 1998-QS05, Cl A1
6.750%, 04/25/28 107 107
Residential Accredit Loans,
Ser 1998-QS4, Cl A1
6.500%, 03/25/28 711 711
Residential Asset Securitization
Trust, Ser 1997-A7, Cl A8
7.750%, 09/25/27 2,200 2,236
Rosewood (F)
8.000%, 07/01/37 504 527
Rural Housing Trust, REMIC,
Ser 1987-1B
3.330%, 10/01/28 249 244
Ryland Mortgage, Ser 1994-7A,
Cl A2
7.000%, 08/25/25 551 554
Sanctuary At Tuttle Crossing (F)
8.250%, 06/01/37 521 550
Shavano Park (F)
7.875%, 07/01/38 611 636
Somerford Place Facility (F)
7.475%, 07/01/38 1,099 1,116
The Money Store Residential Trust,
Ser 97-2, Cl A1
6.650%, 11/15/07 259 260
UCFC Home Equity Loan,
Ser 1998-A, Cl A1 (A)
5.010%, 07/15/11 2,022 2,022
- --------------------------------------------------------------------------------
Face Amount Market
Description (000)/Contracts Value (000)
- --------------------------------------------------------------------------------
UCFC Home Equity Loan,
Ser 95-B-1, Cl A5
7.250%, 12/10/20 $ 1,600 $ 1,639
Union Acceptance
5.830%, 10/09/01 2,994 3,002
Union Planters Mortgage
Finance, CMO, Ser 1998-1, Cl A1
6.350%, 01/25/28 790 796
Village At Stone Falls (F)
7.375%, 08/29/37 471 475
Villages At Clear Springs (F)
7.625%, 09/30/38 1,087 1,115
--------
Total Mortgage-Backed Obligations
(Cost $78,852) 78,271
--------
Options -- 0.0%
June 1999 90-Day Euro$ Future
Call, Strike Price $95.25 82 1
June 1999 90-Day Euro$ Future
Call, Strike Price $95.00 368 2
--------
Total Options
(Cost $0) 3
--------
Municipal Bonds -- 0.0%
Los Angeles County, California, Ser D
6.831%, 06/30/10 650 309
--------
Total Municipal Bonds
(Cost $272) 309
--------
Repurchase Agreements -- 26.8%
Repurchase Agreement
4.820%, dated 05/28/99,
matures 06/01/99, repurchase
price $280,375,000 (collateralized
by various FNMA obligations,
total par value $329,116,000,
6.000%-7.500%, 02/25/04-
01/01/29, total market value:
$285,833,000) 280,225 280,225
--------
Total Repurchase Agreements
(Cost $280,225) 280,225
--------
Yankee Bonds -- 3.6%
Banco Santander Chile
6.500%, 11/01/05 4,100 3,921
Dresdner Funding Private
Placement (B)
8.151%, 06/30/31 1,180 1,186
Duty Free International
7.000%, 01/15/04 3,500 3,557
25
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
SEI Institutional Investments Trust -- May 31, 1999
Core Fixed Income Fund -- Concluded
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Hydro Quebec, Ser FU
11.750%, 02/01/12 $ 820 $ 1,151
Hydro Quebec, Ser GW
9.750%, 01/15/18 4,110 4,444
Korea Development Bank
7.125%, 09/17/01 540 537
National Bank of Hungary
8.875%, 11/01/13 650 704
Norsk Hydro A/S
9.000%, 04/15/12 525 607
Pohang Iron & Steel
7.125%, 07/15/04 500 475
7.375%, 05/15/05 250 238
Quebec Province
7.220%, 07/22/36 3,550 3,892
Republic of Korea
8.875%, 04/15/08 1,920 2,009
Sumitomo Bank International
9.550%, 07/15/00 2,000 2,057
Swiss Bank
7.375%, 07/15/15 2,300 2,349
7.000%, 10/15/15 300 294
Toll Road Investment
Partnership II (B)
6.722%, 02/15/06 5,000 3,209
Westdeutsche Landesbank NY
6.050%, 01/15/09 4,175 3,961
YPF Sociedad Anonima
7.750%, 08/27/07 3,000 2,895
-----------
Total Yankee Bonds
(Cost $38,906) 37,486
-----------
Total Investments -- 123.7%
(Cost $1,308,637) 1,295,030
-----------
Written Options -- (0.0)%
June 1999 90-Day Euro$ Future
Call, Strike Price $95.00 (82) --
July 1999 10 yr. Future Call,
Strike Price $114.00 (47) (4)
September 1999 10 yr. Future
Call, Strike Price $116.00 (66) (10)
August 1999 5 yr. Note Future
Call, Strike Price $112.00 (129) (16)
September 1999 US Long Bond
Future Call, Strike Price $122.00 (161) (81)
August 1999 US Long Bond
Future Call, Strike Price $122.00 (191) (48)
August 1999 US Long Bond Future
Put, Strike Price $116.00 (293) (380)
September 1999 US Long Bond
Future Put, Strike Price $114.00 (24) (17)
-----------
Total Written Options
(Cost $-716) (556)
-----------
- --------------------------------------------------------------------------------
Market
Description Value (000)
- --------------------------------------------------------------------------------
Other Assets and Liabilities, Net--(23.7)%
Accrued Income $ 10,774
Investment Securities Sold 26,324
Investment Securities Purchased (273,050)
Other Assets and Liabilities, Net (12,155)
-----------
(248,107)
-----------
Net Assets:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 102,336,290 outstanding shares
of beneficial interest $ 1,062,352
Accumulated net realized loss on investments (2,314)
Net unrealized depreciation on investments (13,607)
Net unrealized appreciation on written options 160
Net unrealized depreciation on futures
contracts (224)
-----------
Total Net Assets -- 100.0% $ 1,046,367
===========
Net Asset Value, Offering and Redemption
Price Per Share $ 10.22
===========
(A) Variable Rate Security -- the rate reported on the Statement of Net Assets
is the rate in effect as of May 31, 1999.
(B) Security sold within the terms of a private placement memorandum, exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to qualified buyers.
(C) Securities have been issued on a When-issued basis.
(D) Security is pledged as collateral on open futures contracts.
(E) Treasury Inflation Protection Securities
(F) Loans Supporting Construction in Progress
FNMA -- Federal National Mortgage Association
ARM -- Adjustable Rate Mortgage
Cl -- Class
CMO -- Collateralized Mortgage Obligation
FHMLC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only
MTN -- Medium Term Note
PO -- Principal Only
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
SLMA -- Student Loan Marketing Association
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
26
<PAGE>
================================================================================
International Equity Fund
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Foreign Common Stocks -- 95.9%
Argentina -- 0.1%
Telecom Argentina ADR 31,500 $ 898
-------
898
-------
Australia -- 2.8%
AMP Limited 16,550 180
Australia & New Zealand Bank
Group 111,825 811
Australia Gas & Light Company 82,822 524
Boral Limited 338,700 552
Brambles Industries 15,550 414
Broken Hill Proprietary 291,861 2,993
Broken Hill Proprietary ADR 2,000 41
Coca-Cola Amatil Limited 111,000 473
Coles Myer 445,000 2,325
Colonial 31,704 113
Leighton Holdings 115,500 441
Lend Lease 40,078 507
Macquarie Bank Limited 19,700 227
National Australia Bank 82,700 1,338
News Corporation 229,787 1,897
Pioneer International 216,200 502
Qantas Airways 246,800 724
Rio Tinto Limited 64,944 911
Santos Limited 97,400 302
Smith Howard Limited 62,000 485
Telstra Corporation 135,904 672
Westpac Banking Corporation 176,892 1,210
Woodside Petroleum 286,000 1,781
-------
19,423
-------
Belgium -- 0.2%
Cobepa 4,900 344
Cobepa Rights* 4,900 2
Fortis, Ser B 23,100 741
Tractebel 1,200 159
UCB 5,400 233
-------
1,479
-------
Brazil -- 0.1%
Unibanco GDR 30,000 677
-------
677
-------
Canada -- 1.8%
Air Canada* 80,400 322
Bank of Nova Scotia 96,300 2,089
BCE Incorporated 12,400 571
Bombardier Inc, Ser B 114,700 1,783
Canadian Tire Corporation,
Cl A 30,300 903
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Newbridge Networks* 16,900 $ 466
Nortel Networks Corporation 15,000 1,126
Royal Bank of Canada 26,700 1,224
Suncor Energy 33,000 1,244
Teleglobe 23,000 696
Thomson Corporation 60,000 1,772
-------
12,196
-------
Denmark -- 0.2%
Den Danske Bank 11,950 1,282
-------
1,282
-------
Finland -- 1.0%
Nokia Oyj, Ser A 70,400 5,009
UPM-Kymmene 74,500 2,184
-------
7,193
-------
France -- 13.7%
Accor 3,500 859
Assurances Generales de France 34,150 1,694
AXA UAP 52,348 6,034
Banque National Paris, Ser A 101,919 8,591
Canal Plus 8,200 2,374
Carrefour 66,966 8,788
Castorama Dubois 34,289 8,370
Cie de Saint Gobain 22,850 3,587
Elf Aquitaine 46,033 6,665
Equant* 73,150 6,028
France Telecom 11,500 882
Lafarge 67,020 6,041
Louis Vuitton Moet Hennessy 25,900 7,217
Paribas 4,900 532
Pechiney Ord, Ser A 35,500 1,376
Peugeot 51,500 7,629
Pinault-Printemps-Redoute 28,287 4,819
Renault 22,700 882
Sanofi-Synthelabo* 81,640 3,441
Scor 3,200 170
Stmicroelectonics 18,000 2,084
Suez Lyonnaise des Eaux 22,200 3,680
Total Compaigne, Ser B* 10,000 1,215
Valeo 7,500 613
Vivendi* 13,350 989
Vivendi Rights* 13,350 14
-------
94,574
-------
Germany -- 8.5%
Allianz 2,700 738
Bayerische Motoren Werke 1,200 769
Commerzbank 23,550 661
DaimlerChrysler 22,300 1,925
Depfa Deutsche Pfandbriefban 25,300 2,191
27
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI Institutional Investments Trust -- May 31, 1999
International Equity Fund--Continued
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Deutsche Bank 15,666 $ 817
Deutsche Telekom 146,150 5,832
Gehe 105,179 5,245
Henkel 9,500 648
Hoechst 143,150 6,377
Industrie Werke Karlsruhe
Augsburg 50,550 1,039
Man Muenchen 76,855 2,253
Mannesmann 111,649 15,258
RWE 143,750 6,426
Siemens 111,819 7,524
Varta 750 96
Veba 15,000 856
---------
58,655
---------
Hong Kong -- 2.6%
Cathay Pacific Airways 1,494,000 2,273
Cheung Kong Holdings 277,000 2,250
Citic Pacific Limited 307,000 798
CLP Holdings Limited 69,000 333
Hang Seng Bank 70,000 749
Hong Kong Electric Holdings 107,000 335
Hong Kong
Telecommunications 1,031,000 2,380
HSBC Holdings 12,800 419
Hutchison Whampoa 170,420 1,423
Kumagai Gumi 514,000 239
Legend Holdings 302,000 208
New World Development 56,000 137
Peregrine Investment
Holdings* (1) 236,000 --
Shun Tak Holdings 716,000 224
Smartone Telecommunications 100,000 310
Sun Hung Kai Properties 499,000 3,990
Swire Pacific, Cl A 291,500 1,391
Wharf Holdings 162,000 413
---------
17,872
---------
Ireland -- 0.1%
CRH 24,000 410
---------
410
---------
Italy -- 2.8%
Assicurazioni Generali 49,000 1,743
Banca Popolare Di Milano 80,000 622
ENI 674,000 4,212
Fiat 367,000 1,183
Istituto Nazionale delle
Assicurazioni 1,069,400 2,499
Montedison 199,600 177
San Paolo-IMI 20,700 280
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Telecom Italia 524,738 $ 5,408
Telecom Italia Mobile* 255,000 857
Telecom Italia RNC 393,700 2,140
-------
19,121
-------
Japan -- 21.2%
Acom 12,900 918
Advantest 30,600 2,413
Aiful Corporation 10,000 888
Aiwa 8,000 209
Ajinomoto 69,000 733
Alps Electric 36,000 770
Aoyama Trading 800 24
Asahi Breweries 112,000 1,416
Asahi Glass 247,000 1,591
Bank of Tokyo-Mitsubishi 211,000 2,811
Bridgestone Corporation 84,000 2,190
Canon 176,000 4,415
Chugai Pharmaceutical 53,000 595
Dai Ichi Pharmaceutical 76,000 1,213
Dai Nippon Printing 60,000 894
DDI Corporation 315 1,446
East Japan Railway 246 1,416
Ebara 63,000 707
Fuji Photo Film 98,000 3,482
Fuji Soft ABC 2,280 115
Fujikura Limited 120,000 576
Fujitsu 99,000 1,645
Hirose Electric 17,000 1,451
Hitachi 554,000 4,051
Honda Motor 244,000 9,953
Hoya Corporation 53,000 2,689
Industrial Bank of Japan 143,000 1,006
Ito-Yokado 23,000 1,364
Japan Energy 156,000 181
Jusco 41,000 772
Kao Corporation 50,000 1,365
Kawasaki Heavy Industries 239,000 537
Keyence Corporation 8,500 1,223
Kirin Brewery 80,000 914
Matsushita Electric 343,000 6,178
Meiji Milk Products 224,000 717
Mitsubishi Heavy Industries 304,000 1,180
Mitsubishi Trust & Banking 89,000 801
Mitsui 551,000 3,503
Mitsui Fudosan Real Estate 93,000 772
Mitsui Mining & Smelting 123,000 580
Murata Manufacturing 42,000 2,304
NEC 210,000 2,314
Nichiei 19,200 1,446
Nidec Corporation 18,000 2,598
The accompanying notes are an integral part of the financial statements.
28
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Nikon 16,000 $ 209
Nintendo 34,600 4,041
Nippon Express 116,000 658
Nippon Paper Industries 163,000 798
Nippon Shinpan 64,000 210
Nippon Steel 538,000 1,124
Nippon Telegraph & Telephone 745 7,230
Nippon Yusen Kabushiki Kaishi 174,000 701
Nissan Motors 495,000 2,166
Nomura Securities 103,000 1,022
NTT Data 56 370
NTT Mobile Communications* 57 3,099
Ono Pharmaceutical 61,000 2,182
Orix Corporation 22,000 1,737
Osaka Gas 223,000 719
Rohm Limited 27,000 3,515
Sakura Bank Limited 170,000 573
Sankyo 68,000 1,591
Secom 10,000 946
Sekisui House 151,000 1,629
Seven-Eleven 5,000 431
Shaddy 900 10
Shin-Etsu Chemical 40,000 1,234
Shinden 12,200 62
Skylark 28,000 523
SMC Corporation 6,400 580
Sony Corporation 54,800 5,120
Sony Corporation ADR 700 65
Sony Music Entertainment 4,600 333
Sumitomo Bank 229,000 2,755
Sumitomo Chemical 193,000 810
Suzuki Motor 87,000 1,228
Takeda Chemical Industries 81,000 3,577
Takefuji Corporation 10,000 876
TDK Corporation 2,000 171
Terumo 25,000 586
THK Corporation 4,000 74
Tokai Bank 134,000 778
Tokio Marine & Fire Insurance 97,000 1,053
Tokyo Electric Power 91,800 1,989
Tokyo Electronics 66,000 3,621
Toray 167,000 806
Toshiba 80,000 491
Toyo Seikan Kaisha 37,000 698
Toyota Motor 147,000 3,990
Yamanouchi Pharmaceutical 28,000 960
Yamato Transportation 46,000 752
--------
146,459
--------
Malaysia (2) -- 0.1%
Austral Enterprises 80,000 67
Berjaya Sports 42,000 70
Commerce Asset Holdings 91,000 154
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Genting Berhad 17,000 $ 48
Kuala Lumpur Kepong Berhad,
Ser B 18,000 21
Malayan Banking Berhad 60,000 134
Rothmans of Pall Mall 6,400 38
Sime Darby 46,000 48
Telekom Malaysia 43,000 118
Westmont Berhad Industries* (1) 227,000 --
YTL 40,000 65
-------
763
-------
Mexico -- 0.4%
Cenentos de Mexico ADR 49,000 431
Telefonos de Mexico ADR 31,200 2,494
-------
2,925
-------
Netherlands -- 7.9%
Aegon 31,334 2,533
Dordtsche Petrol 33,200 1,545
DSM 64,261 5,986
Elsevier 414,096 5,249
Fortis Amev 178,084 5,787
Heineken 25,000 1,390
Hoogovens 81,664 3,161
Ing Groep 87,513 4,679
Konink Philips Electronics* 76,038 6,822
Laurus 233,534 5,360
Royal Dutch Petroleum 83,408 4,646
Van Ommeren 3,477 102
VNU 168,033 7,134
-------
54,394
-------
New Zealand -- 0.1%
Air New Zealand, Cl B 51,800 110
Fletcher Challenge Paper 136,300 116
Independent Newspapers Limited 18,000 66
Telecom of New Zealand 34,759 150
-------
442
-------
Norway -- 0.3%
Kvaerner* 11,400 188
Norsk Hydro 11,500 452
Orkla, Ser A 60,000 950
Saga Petroleum* 34,700 512
-------
2,102
-------
Singapore -- 0.6%
City Developments 46,000 275
Cycle & Carriage 12,000 67
Development Bank of
Singapore 'F' 185,000 1,908
Jit Holdings Limited 76,000 113
29
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI Institutional Investments Trust -- May 31, 1999
International Equity Fund--Concluded
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
OCBC 'F' 20,000 $ 156
Overseas Union Bank 'F' 38,500 197
Parkway Holdings 64,000 137
Sembcorp Industries Limited* 80,000 107
Singapore International
Airlines 'F' 35,000 312
Singapore Press Holdings 49,959 683
Singapore Telecommunications 230,000 388
-------
4,343
-------
South Africa -- 0.2%
Sasol 73,300 416
South African Brewery 101,117 811
-------
1,227
-------
South Korea -- 0.0%
Korea Telecom ADR* 5,300 169
-------
169
-------
Spain -- 2.1%
Endesa 128,100 2,727
Repsol 101,200 1,833
Sevillana de Electricidad 48,600 563
Telefonica de Espana* 199,321 9,563
-------
14,686
-------
Sweden -- 3.5%
Astrazeneca 81,368 3,200
Boliden* 10,551 24
Electrolux, Ser B 296,981 5,754
Ericsson, Ser B 397,600 10,618
Foreningssparbaken, Ser A 30,000 614
Hennes & Mauritz, Ser B 52,000 1,168
Investor, Ser B 27,812 301
Scania, Ser A 47,000 1,189
Skandinaviska Enskilda Bank 32,500 393
SKF, Ser B 41,600 651
Trelleborg, Ser B 27,000 240
-------
24,152
-------
Switzerland -- 4.9%
Adecco 11,062 5,787
Baloise Holding 3,580 2,565
Compagnie Financiere Richemont 960 1,549
Credit Suisse Group 5,200 902
Holderbank Financiere Glarus 1,275 1,516
Nestle, Registered 2,017 3,625
Novartis 1,100 1,596
Sairgroup - Registered 8,050 1,813
Schweizerische Rueckversicherungs 540 1,024
Sulzer 330 199
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Swisscom 3,916 $ 1,410
UBS, Registered 24,460 7,079
Zurich Allied 8,085 4,754
-------
33,819
-------
Taiwan -- 0.2%
Taiwan Semiconductor ADR* 42,000 1,100
-------
1,100
-------
United Kingdom -- 20.5%
3I Group 136,900 1,546
Abbey National 327,100 6,767
Allied Zurich 37,075 473
Astrazeneca 37,200 1,480
Barclays Bank 320,003 9,714
Berkeley Group 73,944 812
BG 44,400 244
Boc Group 81,600 1,398
British Sky Broadcasting 696,500 6,623
British Telecom 447,279 7,467
Cadbury Schweppes 187,000 1,269
CGU 441,950 6,463
CMG 33,800 888
Coca-Cola Beverages* 149,000 272
EMI Group 132,000 932
George Wimpey 212,500 542
GKN 16,700 279
Glaxo Wellcome 192,991 5,422
Great Universal Stores 578,000 6,173
Hanson 54,000 490
Kingfisher 462,000 5,812
Lasmo 448,700 950
Lex Service 94,000 846
National Westminster Bank 348,686 8,007
Next 184,000 2,141
Orange* 77,200 1,070
Powergen 88,000 958
Railtrack Group 145,600 2,986
Reuters Group 153,300 2,125
RJB Mining 174,700 143
Royal & Sun Alliance 109,545 897
Scottish Power 67,800 585
Shell Transportation & Trading 140,000 1,014
Siebe 471,000 2,149
Signet Group 692,600 566
Smithkline Beecham 522,610 6,822
Standard Chartered Bank 634,700 9,613
Tate & Lyle 143,000 940
Thames Water 99,366 1,577
TI Group 145,000 1,117
United Assurance Group 85,700 564
30
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
Shares/Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
United Utilities 464,500 $ 5,613
Vodafone Group 911,356 17,377
Whitbread, Ser A 441,500 7,951
Yorkshire Water 115,200 811
--------
141,888
--------
Total Foreign Common Stocks
(Cost $590,162) 662,249
--------
Foreign Preferred Stocks -- 0.1%
Italy -- 0.1%
Fiat* 665,000 1,030
--------
Total Foreign Preferred Stocks
(Cost $1,558) 1,030
--------
U.S. Treasury Obligation -- 0.2%
U.S. Treasury Bill (3)
4.699%, 02/03/00 $ 1,500 1,453
--------
Total U.S. Treasury Obligation
(Cost $1,454) 1,453
--------
Repurchase Agreements -- 0.9%
Morgan Stanley (3)
4.78%, dated 05/28/99,
matures 06/01/99, repurchase
price $841,492 (collateralized
by RFCP, par value $35,710,000,
0.000%, due 10/15/19, market
value $9,647,735) 841 841
State Street Bank
4.00%, dated 05/28/99, matures
06/01/99, repurchase price
$5,089,261 (collateralized by
U.S. Treasury Note, 7.125%,
due 02/15/23, par value
$4,555,000, market
value $5,199,451) 5,087 5,087
--------
Total Repurchase Agreements
(Cost $5,928) 5,928
--------
Total Investments -- 97.1%
(Cost $599,102) 670,660
--------
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
* Non-income producing security
ADR -- American Depository Receipt
Cl -- Class
'F' -- Foreign
RFCP -- Refcorp Bonds Callable Principal
RNC -- Risparmio Non-Convertible
Ser -- Series
Amounts designated as "--" are either $0 or have been rounded to $0.
(1) Security fair valued using methods determined in good faith by the valuation
committee of the Board of Trustees.
(2) The repatriation of proceeds received from the sale of these securitites are
subject to a levy depending upon the length of time the position has been
held. This levy is applicable to securities purchased before February 15,
1999. These securities are considered illiquid and are being fair valued
using methods determined in good faith by the valuation committee of the
Board of Trustees.
(3) Securities segregated to collateralize futures contracts with an aggregate
market value of $2,492,405.
The accompanying notes are an integral part of the financial statements.
31
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (000)
================================================================================
SEI Institutional Investments Trust -- May 31, 1999
---------------
International
Equity
Fund
--------------
Assets:
Investment securities (Cost $599,102) $ 670,660
Foreign currency (Cost $4,870) 4,923
Accrued income 2,895
Investment securities sold 22,919
Capital shares sold 8,655
Other assets 133
---------
Total Assets 710,185
---------
Liabilities:
Investment securities purchased 19,120
Capital shares redeemed 84
Accrued expenses 464
Other payables 128
---------
Total Liabilities 19,796
---------
Net Assets 690,389
---------
---------
Net Assets:
Capital shares (unlimited authorization -- no par value)
based on 59,634,564 outstanding shares
of beneficial interest 605,232
Undistributed net investment income 3,532
Accumulated net realized gain on investments 10,052
Net unrealized depreciation on forward foreign currency
contracts, foreign currencies and translation of other
assets and liabilities in foreign currencies (40)
Net unrealized appreciation on futures contracts 55
Net unrealized appreciation on investments 71,558
---------
Total Net Assets 690,389
---------
---------
Net Asset Value, Offering and Redemption Price Per Share $ 11.58
---------
---------
The accompanying notes are an integral part of the financial statements
32
<PAGE>
STATEMENT OF OPERATIONS (000)
================================================================================
SEI Institutional Investments Trust -- For the year ended May 31, 1999
<TABLE>
<CAPTION>
Large Small Core Fixed International
Cap Cap Income Equity
Fund Fund Fund Fund
--------- --------- ---------- -------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 17,464 $ 1,884 $ -- $ 11,207
Interest 1,916 904 53,013 1,219
Less: Foreign taxes withheld -- -- -- (1,210)
--------- --------- --------- ---------
Total Investment Income 19,380 2,788 53,013 11,216
--------- --------- --------- ---------
Expenses:
Management fees 680 161 443 306
Less: Management fees waived (680) (161) (443) (306)
Investment advisory fees 5,439 2,091 2,658 3,124
Less: Investment advisory fees waived 2,243 (450) (1,575) (1,064)
Custodian fees 90 18 87 439
Transfer agent fees 55 13 35 24
Professional fees 56 10 32 23
Registration fees 64 17 255 28
Printing fees 68 16 53 18
Trustee fees 19 4 12 20
Miscellaneous fees 20 11 45 34
--------- --------- --------- ---------
Total Expenses 3,568 1,730 1,602 2,646
--------- --------- --------- ---------
Net Investment Income 15,812 1,058 51,411 8,570
--------- --------- --------- ---------
Net Realized and Unrealized Gain (Loss) on
Investments:
Net realized gain (loss) from
security transactions 60,016 (23,475) 7,499 15,095
Net realized gain (loss) from futures contracts (4,019) (1,132) (3,949) 691
Net realized gain from written options -- -- 570 --
Net realized loss on forward foreign currency
contracts and foreign currency transactions -- -- -- (1,578)
Net change in unrealized depreciation
on forward foreign currency contracts,
foreign currencies, and translation
of other assets and liabilities
denominated in foreign currencies -- -- -- 20
Net change in unrealized appreciation
(depreciation) on investments 188,281 4,492 (26,457) 23,352
Net change in unrealized appreciation
(depreciation) on futures contracts 84 441 (314) (698)
Net change in unrealized appreciation
on written options -- -- 43 --
--------- --------- --------- ---------
Net Realized and Unrealized Gain (Loss)
on Investments, Future Contracts and
Foreign Currency Transactions 244,362 (19,674) (22,608) 36,882
--------- --------- --------- ---------
Net Increase (Decrease) in Net Assets
from Operations $ 260,174 $ (18,616) $ 28,803 $ 45,452
========= ========= ========= =========
</TABLE>
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
33
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
================================================================================
SEI Institutional Investments Trust -- For the years ended May 31
<TABLE>
<CAPTION>
------------------------- -------------------------- -------------------------
Large Small Core Fixed
Cap Cap Income
Fund Fund Fund
------------------------- -------------------------- -------------------------
1999 1998 1999 1998 1999 1998
------------------------- -------------------------- -------------------------
<S> <C> <C> <C> <C> <C> <C>
Operations:
Net investment income $ 15,812 $ 10,602 $ 1,058 $ 1,388 $ 51,411 $ 33,988
Net realized gain (loss) from
security transactions
and futures contracts 55,997 38,324 (24,607) 28,140 4,120 9,813
Net realized gain (loss) on
forward foreign currency
contracts and foreign
currency transactions -- -- -- -- -- --
Net change in unrealized
appreciation (depreciation)
on forward foreign currency
contracts, foreign currencies,
and translation of other assets
and liabilities denominated
in foreign currencies -- -- -- -- -- --
Net change in unrealized
appreciation (depreciation)
on investments and
futures contracts 188,365 167,479 4,933 16,516 (26,728) 12,162
---------- ----------- ----------- ----------- ----------- -----------
Net increase (decrease) in
net assets from operations 260,174 216,405 (18,616) 46,044 28,803 55,963
---------- ----------- ----------- ----------- ----------- -----------
Dividends Distributed From:
Net investment income (15,387) (9,415) (1,154) (1,288) (51,404) (33,994)
Net realized gains (32,013) (14,826) (24,843) (8,430) (13,815) (2,673)
---------- ----------- ----------- ----------- ----------- -----------
Total dividends distributed (47,400) (24,241) (25,997) (9,718) (65,219) (36,667)
---------- ----------- ----------- ----------- ----------- -----------
Capital Share Transactions:
Proceeds from shares issued 557,703 682,733 240,758 211,227 478,577 479,000
Reinvestment of distributions 47,272 24,079 25,950 9,646 65,351 36,001
Cost of shares redeemed (297,141) (188,457) (185,611) (78,785) (224,381) (120,365)
---------- ----------- ----------- ----------- ----------- -----------
Increase in Net Assets Derived
from Capital Share Transactions 307,834 518,355 81,097 142,088 319,547 394,636
---------- ----------- ----------- ----------- ----------- -----------
Net increase in net assets 520,608 710,519 36,484 178,414 283,131 413,932
Net Assets:
Beginning of period 1,149,337 438,818 302,355 123,941 763,236 349,304
---------- ----------- ----------- ----------- ----------- -----------
End of period $1,669,945 $1,149,337 $ 338,839 $ 302,355 $ 1,046,367 $ 763,236
========== ========== =========== =========== =========== ===========
Capital Share Transactions:
Shares issued 33,151 46,459 21,342 16,923 45,017 45,756
Reinvestment of distributions 2,878 1,634 2,527 782 6,174 3,438
Shares redeemed (17,609) (12,452) (17,065) (6,065) (21,076) (11,466)
---------- ----------- ----------- ----------- ----------- -----------
Net increase in capital shares 18,420 35,641 6,804 11,640 30,115 37,728
========== ========== =========== =========== =========== ===========
</TABLE>
--------------------------
International
Equity
Fund
--------------------------
1999 1998
--------------------------
Operations:
Net investment income $ 8,570 $ 9,880
Net realized gain (loss) from
security transactions
and futures contracts 15,786 19,484
Net realized gain (loss) on
forward foreign currency
contracts and foreign
currency transactions (1,578) 271
Net change in unrealized
appreciation (depreciation)
on forward foreign currency
contracts, foreign currencies,
and translation of other assets
and liabilities denominated
in foreign currencies 20 (55)
Net change in unrealized
appreciation (depreciation)
on investments and
futures contracts 22,654 27,231
----------- -----------
Net increase (decrease) in
net assets from operations 45,452 56,811
----------- -----------
Dividends Distributed From:
Net investment income (9,587) (7,086)
Net realized gains (19,163) (9,801)
----------- -----------
Total dividends distributed (28,750) (16,887)
----------- -----------
Capital Share Transactions:
Proceeds from shares issued 222,376 386,064
Reinvestment of distributions 28,695 12,731
Cost of shares redeemed (131,805) (268,961)
----------- -----------
Increase in Net Assets Derived
from Capital Share Transactions 119,266 129,834
----------- -----------
Net increase in net assets 135,968 169,758
Net Assets:
Beginning of period 554,421 384,663
----------- -----------
End of period $ 690,389 $ 554,421
=========== ===========
Capital Share Transactions:
Shares issued 20,211 36,229
Reinvestment of distributions 2,609 1,294
Shares redeemed (12,019) (24,677)
----------- -----------
Net increase in capital shares 10,801 12,846
=========== ===========
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
34
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
SEI Institutional Investments Trust -- For the periods ended May 31
For a Share Outstanding Throughout each Period
<TABLE>
<CAPTION>
Net
Realized
Net Asset and Distributions Distributions
Value Net Unrealized from Net from Net Asset
Beginning Investment Gains/(Losses) on Investment Realized Capital Value End Total
of Period Income Securities Income Gains of Period Return
- ------------------------------------------------------------------------------------------------------------------------------
- --------------
Large Cap Fund
- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
1999 $16.35 $0.20 $ 2.88 $(0.20) $(0.41) $18.82 19.40%
1998 12.66 0.18 3.98 (0.18) (0.29) 16.35 33.36
1997(1) 10.00 0.17 2.63 (0.14) -- 12.66 28.22
- --------------
Small Cap Fund
- --------------
1999 $13.12 $0.03 $(0.89) $(0.04) $(0.87) $11.35 (5.81)%
1998 10.86 0.07 2.78 (0.07) (0.52) 13.12 26.68
1997(1) 10.00 0.06 0.85 (0.05) -- 10.86 9.18
- ----------------------
Core Fixed Income Fund
- ----------------------
1999 $10.57 $0.62 $(0.18) $(0.63) $(0.16) $10.22 4.15%
1998 10.13 0.64 0.50 (0.64) (0.06) 10.57 11.60
1997(1) 10.00 0.64 0.17 (0.64) (0.04) 10.13 8.28
- -------------------------
International Equity Fund
- -------------------------
1999 $11.35 $0.10 $ 0.65 $(0.17) $(0.35) $11.58 6.93%
1998 10.69 0.19 0.86 (0.16) (0.23) 11.35 10.40
1997(1) 10.00 0.14 0.61 (0.05) (0.01) 10.69 7.56
<CAPTION>
Ratio of
Ratio of Net Investment
Ratio of Expenses Income
Ratio of Net Investment to Average to Average
Net Assets Expenses Income Net Assets Net Assets Portfolio
End of to Average to Average (Excluding (Excluding Turnover
Period (000) Net Assets Net Assets Waivers) Waivers) Rate
- -------------------------------------------------------------------------------------------------------------------
- --------------
Large Cap Fund
- --------------
<S> <C> <C> <C> <C> <C> <C>
1999 $1,669,945 0.26% 1.16% 0.48% 0.94% 60%
1998 1,149,337 0.32 1.28 0.50 1.10 72
1997(1) 438,818 0.34 1.65 0.53 1.46 71
- --------------
Small Cap Fund
- --------------
1999 $ 338,839 0.54% 0.33% 0.73% 0.14% 154%
1998 302,355 0.59 0.61 0.75 0.45 120
1997(1) 123,941 0.60 0.70 0.79 0.51 163
- ----------------------
Core Fixed Income Fund
- ----------------------
1999 $1,046,367 0.18% 5.81% 0.41% 5.58% 393%
1998 763,236 0.20 6.13 0.41 5.92 324
1997(1) 349,304 0.21 6.60 0.42 6.39 194
- -------------------------
International Equity Fund
- -------------------------
1999 $ 690,389 0.43% 1.40% 0.66% 1.17% 82%
1998 554,421 0.53 2.21 0.70 2.04 109
1997(1) 384,663 0.63 1.73 0.82 1.54 120
</TABLE>
Amounts designated as "--" are either $0 or have been rounded to $0.
(1) The Funds commenced operations on June 14, 1996. All ratios except total
return have been annualized.
The accompanying notes are an integral part of the financial statements.
35
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI Institutional Investments Trust -- May 31, 1999
1. Organization
SEI Institutional Investments Trust (the "Trust") was organized as a
Massachusetts business trust under a Declaration of Trust dated March 1, 1995.
The Trust commenced operations on June 14, 1996.
The Trust is registered under the Investment Company Act of 1940, as
amended, as an open-end investment company with seven funds: The Large Cap,
Small Cap, Core Fixed Income, and International Equity Funds (each a "Fund" and,
together, the "Funds") are each diversified operational Funds. The Emerging
Markets Equity, International Fixed Income and High Yield Bond Funds are
currently not operational.
2. Significant Accounting Policies
The following is a summary of the significant accounting policies followed by
the Trust. The preparation of financial statements in conformity with generally
accepted accounting principles requires the use of management estimates. Actual
results could differ from the estimates.
Security Valuation -- Investments in equity securities that are traded on a
national securities exchange (or reported on 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. Foreign
securities in the International Equity Fund are valued based on quotations from
the primary market in which they are traded. Debt obligations with remaining
maturities in excess of sixty days are valued at the most recently quoted bid
price. Debt obligations with remaining maturities of sixty days or less are
valued at their amortized cost which approximates market value. Securities for
which quotations are not readily available are valued in good faith using
methods determined under general Trustee supervision.
Federal Income Taxes -- It is each Fund's intention to qualify as a
regulated investment company for Federal income tax purposes and distribute all
of its taxable income (including net capital gains). Accordingly, no provision
for Federal income taxes is required.
Net Asset Value Per Share -- Net asset value per share is calculated on a
daily basis by dividing the assets of each Fund less its liabilities by the
number of outstanding shares of the Fund.
Repurchase Agreements -- Securities pledged as collateral for repurchase
agreements are held by each Fund's custodian bank until maturity of the
repurchase agreement. Provisions of the repurchase agreement and procedures
adopted by the Manager and the Advisers of the Trust ensure that the market
value of the collateral, including accrued interest thereon, is sufficient in
the event of default by the counterparty. The Funds also invest in tri-party
repurchase agreements. Securities held as collateral for tri-party repurchase
agreements are maintained by the broker's custodian bank in a segregated account
until maturity of the repurchase agreement. Provisions of the repurchase
agreements ensure that the market value of the collateral, including accrued
interest thereon, is sufficient in the event of default. If the counterparty
defaults and the value of the collateral declines or if the counterparty enters
into an insolvency proceeding, realization of the collateral by the Funds may be
delayed or limited.
Discount and Premium Amortization -- All amortization is calculated using
the effective interest method over the holding period of the security.
Amortization of premiums and discounts is included in interest income.
Expenses -- Expenses that are directly related to one of the Funds are
charged directly to that Fund. Other operating expenses of the Funds are
prorated to the Funds on the basis of relative net assets.
Foreign Currency Translation -- The books and records of the International
Equity Fund are maintained in U.S. dollars on the following basis:
(I) market value of investment securities, assets and liabilities at the
current rate of exchange; and
(II) 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 investments in
36
<PAGE>
================================================================================
equity securities that is due to changes in the foreign exchange rates from that
which is due to change in market prices of equity securities.
The International Equity Fund reports certain foreign currency related
transactions as components of realized gains for financial reporting purposes,
whereas such components are treated as ordinary income for Federal income tax
purposes.
Futures Contracts -- Each of the Funds utilized futures contracts during
the period ended May 31, 1999. The Large Cap, Small Cap, and International
Equity Fund's investment in Index futures contracts is designed to enable the
Funds to more closely approximate the performance of their benchmark indices.
The Core Fixed Income Fund's use of futures contracts is primarily for tactical
hedging purposes. Initial margin deposits of cash or securities are made upon
entering into futures contracts. The contracts are marked to market daily and
the resulting changes in value are accounted for as unrealized gains and losses.
Variation margin payments are paid or received, depending upon whether
unrealized losses or gains are incurred. When the contract is closed, the Fund
records a realized gain or loss equal to the difference between the proceeds
from (or cost of) the closing transaction and the amount invested in the
contract.
Risks related to futures contracts include the possibility that there may
not be a liquid market for the contracts, that changes in the values of the
contract may not directly correlate with changes in the values of the underlying
securities, and that counterparty to a contract may default on its obligation to
perform.
Option Selling/Purchasing -- The Core Fixed Income Fund may invest in
financial options contracts solely for the purpose of hedging its existing
portfolio securities, or securities that the Fund intends to purchase, against
fluctuations in fair value caused by changes in prevailing market interest
rates. The Large Cap, Small Cap, and International Equity Funds may invest in
financial options contracts. When the Fund sells or purchases an option, an
amount equal to the premium received or paid by the Fund is recorded as a
liability or an asset and is subsequently adjusted to the current market value
of the option written or purchased. Premiums received or paid from purchasing
options which expire unexercised are treated by the Fund on the expiration date
as realized gains or losses. The difference between the premium and the amount
paid or received on effecting a closing purchase or sale transaction, including
brokerage commissions, is also treated as a realized gain or loss. If an option
is exercised, the premium paid or received is added to the cost of the purchase
or proceeds from the sale in determining whether the Fund has realized a gain or
a loss on investment transactions.
TBA and Other Purchase Commitments -- The Funds may enter into purchase
commitments to purchase securities for a fixed price at a future date. Purchase
commitments may be considered securities and involve a risk of loss if the value
of the security to be purchased declines prior to settlement date, which risk is
in addition to the risk of decline in the value of a Fund's other assets.
Unsettled purchase commitments are valued at the current market value of the
underlying securities, according to the procedures described under "Security
Valuation" above.
Structured Notes and Indexed Notes -- The Core Fixed Income Fund may invest
in structured notes and indexed notes whose values are linked either directly
and inversely to changes in foreign currency exchange rates, interest rates,
indices, or other reference instruments. The values of these instruments may be
more volatile than the rates, indices, or instruments to which they refer, but
any loss is limited to the amount of the original investment.
Distributions -- Distributions from net investment income and net realized
capital gains are determined in accordance with U.S. Federal income tax
regulations, which may differ from those amounts determined under generally
accepted accounting principles. These book/tax differences are either temporary
or permanent in nature. To the extent these differences are permanent, they are
charged or credited to paid in capital in the period that the difference arises.
Accordingly for the Small Cap and International Equity Fund, $12,000 and
$103,000 respectively, was reclassified between accu-
37
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI Institutional Investments Trust -- May 31, 1999
mulated net realized gain and accumulated net investment income. This
reclassification has no effect on net assets or net asset values per share.
Other -- Security transactions are recorded on the trade date of the
security purchase or sale. Cost used in determining net realized capital gains
and losses on the sale of securities are those of the specific securities sold.
Dividend income is recognized on the ex-dividend date, and interest income is
recognized using the accrual basis of accounting.
The market values of the Core Fixed Income Fund's investments will change
in response to interest rate changes and other factors. During periods of
falling interest rates, the values of fixed income securities generally rise.
Conversely, during periods of rising interest rates, the values of such
securities generally decline. Changes by recognized rating agencies in the
ratings of any fixed income security and in the ability of an issuer to make
payments of interest and principal may also affect the value of these
investments.
3. Management, Investment Advisory and Distribution Agreements
The Trust and SEI Investments Fund Management (the "Manager"), are parties to a
management agreement (the "Agreement") dated March 1, 1995. Under this
Agreement, the Manager provides administrative and shareholder servicing for an
annual fee of .05% of the average daily net assets of each Fund. The Manager has
agreed to waive a portion of its fee so that the total annual expenses of each
Fund will not exceed certain voluntary expense limitations adopted by the
Manager.
The Trust and SEIInvestments Distribution Co. (the "Distributor") are
parties to a distribution agreement dated June 14, 1996 pursuant to which the
Distributor provides distribution-related services to the Trust. The Distributor
is not currently entitled to any fee for performing these services.
SEI Investments Management Corporation ("SIMC") serves as investment
adviser to each Fund. In connection with serving as investment adviser, SIMC is
entitled to a fee, that is calculated daily and paid monthly, at an annual rate
of .40% of the Large Cap Fund's average daily net assets, at an annual rate of
.65% of the Small Cap Fund's average daily net assets, at an annual rate of .30%
of the Core Fixed Income Fund's average daily net assets and at an annual rate
of .51% of the International Equity Fund's average daily net assets. The Adviser
has agreed to waive a portion of its fee so that the total annual expenses of
each Fund will not exceed certain voluntary expense limitations adopted by the
Adviser.
Alliance Capital Management L.P., Provident Investment Counsel, Inc., LSV
Asset Management and Mellon Equity Associates, LLP each serve as an investment
sub-adviser to a portion of the assets of the Large Cap Fund and are parties to
investment sub-advisory agreements with the Trust and SIMC dated June 14, 1996.
Sanford C. Bernstein & Co., Inc. and TCW Funds Management Inc. also serve as
investment sub-advisers to a portion of the assets of the Large Cap Fund and are
party to investment sub-advisory agreements with the Trust and SIMC dated
December 15, 1997 and September 10, 1998, respectively.
Nicholas-Applegate Capital Management Inc., and Boston Partners Asset
Management, L.P. each serve as an investment sub-adviser to a portion of the
assets of the Small Cap Fund and are parties to investment sub-advisory
agreements with the Trust and SIMC dated June 14, 1996. Furman Selz Capital
Management, LLC, LSV Asset Management, Polynous Capital Management, RS
Investment Management, and Mellon Equity Associates also serve as investment
sub-advisers to a portion of the assets and are parties to agreements with the
Trust and SIMC dated October 1, 1996, May 1, 1997, December 15, 1997, September
30, 1998, and September 10, 1998, respectively. Artisan Partners and Sawgrass
Investment Advisers also serve as investment sub-advisers to a portion of the
assets of the Fund and are parties to agreements with the Trust and SIMC dated
March 26, 1999, and March 30, 1999, respectively.
Western Asset Management Company, BlackRock, Inc., and Firstar Investment
Research & Management Company each serve as an investment sub-adviser to a
portion of the assets of the Core Fixed Income Fund and are parties to
investment sub-advisory agreements with the Trust and SIMC dated June 14, 1996.
Acadian Asset Management, Inc. and SGY Asset Management each serve as an
investment sub-adviser to a portion of the assets of the International
38
<PAGE>
================================================================================
Equity Fund and are parties to investment sub-advisory agreements with the Trust
and SIMC dated June 14, 1996. Scottish Widows Investment Management Limited and
Capital Guardian Trust Company also serve as investment sub-advisers to a
portion of the assets and are parties to agreements with the Trust and SIMC
dated March 23, 1998 and June 29, 1998, respectively.
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 are redeemed by any holder thereof during the period that the Fund is
amortizing its organizational costs, the redemption proceeds payable to the
holder thereof by the Fund will be reduced by the unamortized organizational
costs in the same ratio as the number of initial shares being redeemed bears to
the initial shares outstanding at the time of redemption.
Certain officers and/or trustees of the Trust are also officers of the
Manager. The Trust pays each unaffiliated Trustee an annual fee for attendance
of quarterly, interim and committee meetings. Compensation of officers and
affiliated Trustees of the Trust is paid by the Manager.
The Large Cap, Small Cap and International Equity Funds also used the
Distributor as an agent in placing repurchase agreements. For this service the
Distributor retains a portion of the interest earned as a commission. Such
commissions for the period ended May 31, 1999 were $11,054, $7,657 and $5,054,
respectively.
5. Forward Foreign Currency Contracts
The International Equity Fund enters into forward foreign currency exchange
contracts as hedges against portfolio positions. Such contracts, which are
designed to 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. Also, although such contracts tend to minimize risk of loss
due to a decline in the value of a hedged currency, at the same time they tend
to limit any potential gain that might be realized should the value of such
foreign currency increase.
The following forward foreign currency contracts were outstanding at May
31, 1999:
<TABLE>
<CAPTION>
In Unrealized
Maturity Contracts to Exchange Appreciation
Dates Deliver/Receive For (Depreciation)
-------------------------- ------------------- -------------- --------------
International Equity Portfolio:
- -------------------------------
<S> <C> <C> <C>
Foreign Currency Sales:
6/1/99-6/2/99 EC 881,465 $919,544 $ --
-------- ----
Foreign Currency Purchases:
6/1/99 SD 734,681 $425,778 148
======== ====
$148
</TABLE>
Currency Legend
EC Euro Currency
SD Singapore Dollar
6. Investment Transactions
The cost of security purchases and proceeds from the sale of securities
including U.S. Government securities, other than temporary cash investments
during the period ended May 31, 1999, were as follows:
Purchases (000) Sales (000)
-------------------------- --------------------------
U.S. Gov't Other U.S. Gov't Other
---------- ---------- ---------- ----------
Large Cap Fund -- $1,068,245 -- $ 800,538
Small Cap Fund -- 534,633 -- 67,868
Core Fixed
Income Fund $3,350,190 219,706 3,166,914 134,129
International
Equity Fund -- 577,903 -- 484,847
The aggregate gross unrealized appreciation and depreciation on investments
and futures contracts held by the Funds at May 31, 1999 are as follows:
Net
Unrealized
Appreciated Depreciated Appreciation/
Securities Securities (Depreciation)
(000) (000) (000)
---------- ---------- -----------
Large Cap
Fund 465,804 (34,549) 431,255
Small Cap
Fund 55,469 (26,197) 29,272
Core Fixed
Income Fund 7,217 (20,888) (13,671)
International
Equity Fund 92,488 (20,875) 71,613
39
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI Institutional Investments Trust -- May 31, 1999
At May 31, 1999, the Small Cap Fund had capital loss carryforwards to the
extent provided in the regulations for Federal income tax as follows:
Capital Loss
Carryover
Expires
05/31/07
-----------
$20,049,291
The Core Fixed Income Fund, Small Cap Fund, and International Equity Fund
incurred losses from November 1, 1998 to May 31, 1999 in the amounts of
$4,219,411, $364,623 and $713,190, respectively. As permitted by tax
regulations, the funds intend to elect to defer and treat these losses as
arising in the fiscal year ended May 31, 2000.
7. Concentration of Risks
The International Equity Fund invests in securities of foreign issuers in
various countries. These investments may involve certain considerations and
risks not typically associated with investments in the United States, as a
result of, among other factors, the possibility of future political and economic
developments and the level of governmental supervision and regulation of
securities markets in the respective countries.
8. Futures Contracts
The following Funds had futures contracts open as of May 31, 1999:
Number Unrealized
Contract of Trade Settlement Gain/(Loss)
Description Contracts Price Month (000)
- ----------- --------- ----- ---------- -----------
Large Cap Fund
S & P 500 14 $1,304.45 June 1999 (25)
S & P 500 3 1,302.50 June 1999 (4)
S & P 500 2 1,331.20 June 1999 (17)
S & P 500 2 1,342.50 June 1999 (23)
S & P 500 1 1,334.50 June 1999 (9)
S & P 500 1 1,331.50 June 1999 (9)
S & P 500 1 1,299.50 June 1999 (1)
----
$(88)
====
Number
Contract of Trade Settlement Unrealized
Description Contracts Price Month Gain/(Loss)
- ----------- --------- --------- ---------- -----------
Small Cap Fund
Russell 2000 5 $ 437.50 June 1999 9
Russell 2000 2 438.50 June 1999 2
----
$11
====
Core Fixed Income Fund
U.S. 5 Year Note (135) $ 110.58 June 1999 139
U.S. 5 Year Note (61) 109.86 June 1999 19
U.S. 5 Year Note (40) 110.45 June 1999 36
U.S. 5 Year Note (33) 110.08 June 1999 17
U.S. 5 Year Note (26) 109.99 June 1999 11
U.S. 5 Year Note (16) 111.30 June 1999 28
U.S. 5 Year Note (2) 111.73 June 1999 4
U.S. 5 Year Bond (20) $ 109.66 September 1999 13
U.S. 10 Year Note (34) $ 113.75 June 1999 53
U.S. 10 Year Note (7) 112.60 June 1999 3
U.S. 10 Year Note (7) 112.41 September 1999 6
U.S. 30 Year Bond 137 $ 120.49 June 1999 (355)
U.S. 30 Year Bond 36 120.25 June 1999 (84)
U.S. 30 Year Bond 25 119.53 June 1999 (41)
U.S. 30 Year Bond 21 120.13 June 1999 (47)
U.S. 30 Year Bond (29) 118.02 September 1999 16
U.S. 30 Year Bond (11) 117.38 September 1999 (1)
U.S. 30 Year Bond (6) 117.16 September 1999 (2)
U.S. 30 Year Bond 16 99.47 March 2000 (39)
----
$(224)
=====
International Equity Fund
Australia Ords Index 2 2,955 June 1999 (3)
CAC 40 Index 6 3,991 June 1999 19
DAX Index 2 4,840 June 1999 12
FTSE 100 Index 8 6,284 June 1999 (6)
Hang Seng Index 1 12,542 June 1999 (3)
IBEX Index 2 10,042 June 1999 __
NIKKEI 225 Index 9 14,835 June 1999 42
MIB 30 Index 1 36,195 June 1999 (6)
-----
$55
=====
40
<PAGE>
================================================================================
9. Written Options Transactions
Written option transactions entered into during the year ending May 31, 1999 are
summarized as follows ($ in thousands):
Core Fixed Income
-------------------------------------
# of Contracts Premium
-------------- -------
Balance at the beginning
of period (33) 29
Written (5,073) (3,431)
Expired 841 346
Exercised 54 21
Closing Buys 3,218 2,319
------ ------
Balance at end of period (993) (716)
------ ------
------ ------
At May 31, 1999 the Core Fixed Income Fund had sufficient cash and/or securities
at least equal to the value of written options.
41
<PAGE>
NOTICE TO SHAREHOLDERS
================================================================================
SEI Institutional Investments Trust -- May 31, 1999 (Unaudited)
For shareholders that do not have a May 31, 1999 taxable year end, this notice
is for informational purposes only. For shareholders with a May 31, 1999 taxable
year end, please consult your tax adviser as to the pertinence of this notice.
For the fiscal year ended May 31, 1999 the Funds of the SEI Institutional
Investments Trust are designating long term and qualifying dividend income with
regard to distributions paid during the year as follows:
<TABLE>
<CAPTION>
(A) (B)
Long Term Ordinary
Capital Gains Income Total
Distributions Distributions Distributions
Portfolio (Tax Basis) (Tax Basis) (Tax Basis)
- ---------- ------------- ------------- -------------
<S> <C> <C> <C>
Large Cap Fund 29% 71% 100%
Small Cap Fund 39% 61% 100%
Core Fixed Income Fund 2% 98% 100%
International Equity Fund 31% 69% 100%
(C) (D) (E)
<CAPTION>
Qualifying Tax-Exempt Foreign
Portfolio Dividends(1) Interest Tax Credit
- ---------- ------------- ------------ --------------
Large Cap Fund 100% 0% 0%
Small Cap Fund 100% 0% 0%
Core Fixed Income Fund N/A 0% 0%
International Equity Fund 0% 0% 6%
</TABLE>
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction.
(2) See attached notice which details the per share amount of foreign taxes paid
by country and the per share amount of each dividend that represents income
derived from sources within each country.
Items (A) and (B) are based on the percentage of each fund's total distribution.
Items (C) and (E) are based on the percentage of ordinary income distributions
of each fund.
Item (D) is based on the percentage of gross income of each fund.
Please consult your tax adviser for proper treatment of this information. This
notification should be kept with your permanent tax records.
42
<PAGE>
================================================================================
For Taxpayers filing on a calendar year basis, this notice is for informational
purposes only:
The SEI Institutional Investments Trust International Equity Fund has made an
election under Section 853 of the Internal Revenue Code (the "Code") to provide
a foreign tax deduction or credit to their shareholders for the fiscal year
ended May 31, 1999. The information provided below is pertinent to taxpayers who
meet the following two criteria: 1) file a U.S. Federal Income Tax Return and 2)
held shares of the Fund on the dividend record date of December 31, 1998 and
satisfy the applicable requirements of the Code.
The amount per share of income from and foreign taxes paid to each country is
listed in the following schedule:
International Equity Fund
Gross Foreign
Country Dividend Taxes Paid
- -------- ------------ ------------
Argentina .............................. $ 0.0003 $ 0.0000
Austria ................................ 0.0018 0.0010
Belgium ................................ 0.0023 0.0002
Brazil ................................. 0.0003 0.0000
Canada ................................. 0.0008 0.0001
Denmark ................................ 0.0020 0.0004
Finland ................................ 0.0030 0.0004
France ................................. 0.0145 0.0000
Germany ................................ 0.0107 0.0015
Great Britain .......................... 0.0543 0.0066
Hong Kong .............................. 0.0078 0.0000
Italy .................................. 0.0045 0.0008
Japan .................................. 0.0149 0.0027
Malaysia ............................... 0.0005 0.0002
Netherlands ............................ 0.0092 0.0017
Norway ................................. 0.0006 0.0001
New Zealand ............................ 0.0008 0.0002
Singapore .............................. 0.0016 0.0005
South Africa ........................... 0.0001 0.0000
Spain .................................. 0.0044 0.0007
Sweden ................................. 0.0041 0.0007
Switzerland ............................ 0.0118 0.0022
United States .......................... 0.0303 0.0000
------------ -----------
$ 0.1906 $ 0.0200
============ ===========
43
<PAGE>
NOTES
<PAGE>
================================================================================
SEI INSTITUTIONAL
INVESTMENTS TRUST
================================================================================
ANNUAL REPORT
================================================================================
May 31, 1999
Robert A. Nesher
Chairman
Trustees
William M. Doran
F. Wendell Gooch
James M. Storey
George J. Sullivan, Jr.
Officers
Edward D. Loughlin
President and Chief Executive Officer
Mark Nagle
Controller and Chief Financial Officer
Todd Cipperman
Vice President, Assistant Secretary
Kevin P. Robins
Vice President, Assistant Secretary
Lynda Striegel
Vice President, Assistant Secretary
James Foggo
Vice President, Assistant Secretary
Cynthia M. Parrish
Vice President, Assistant Secretary
Richard W. Grant
Secretary
Investment Adviser
SEI Investments Management Corporation
Manager and Shareholder Servicing Agent
SEI Investments Fund Management
Distributor
SEI Investments Distribution Co.
Independent Accountants
PricewaterhouseCoopers LLP
Legal Counsel
Morgan, Lewis & Bockius LLP
This annual report and the financial statements contained herein are submitted
for the general information of the shareholders of the Trust and must be
preceded or accompanied by a current prospectus. Shares of the SEI Funds are not
deposits or obligations of, or guaranteed or endorsed by, any bank. The shares
are not federally insured by the Federal Deposit Insurance Corporation (FDIC),
the Federal Reserve Board, or any other government agency. Investment in the
shares involves risk, including the possible loss of principal. SEI Investments
Distribution Co., the Distributor of the SEI Funds, is not affiliated with any
bank.
For more information call 1Bullet800BulletDIALBulletSEI/1Bullet
800Bullet342Bullet5734
<PAGE>
[LOGO}
Investments
Distribution
Co.
Oaks, PA 19456-1100
800-DIAL-SEI/800-342-5734
SEI-F-140-01
|
|