UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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FORM N-CSR
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-4283
SEI INDEX FUNDS
(Exact name of registrant as specified in charter)
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c/o CT Corporation
101 Federal St. Boston, MA 02110
(Address of principal executive offices) (Zip code)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Name and address of agent for service)
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734
DATE OF FISCAL YEAR END: MARCH 31, 2006
DATE OF REPORTING PERIOD: MARCH 31, 2006
ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO OMITTED]
SEI New Ways
New Answers
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SEI Index Funds
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Annual Report as of March 31, 2006
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S&P 500 Index Fund
Bond Index Fund
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TABLE OF CONTENTS
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Management's Discussion and Analysis of Fund Performance
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S&P 500 Index Fund 1
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Bond Index Fund 2
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Schedule of Investments/Statement of Net Assets 4
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Statement of Assets and Liabilities 18
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Statements of Operations 19
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Statements of Changes in Net Assets 20
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Financial Highlights 21
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Notes to Financial Statements 22
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Report of Independent Registered Public Accounting Firm 27
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Trustees and Officers of the Trust 28
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Disclosure of Fund Expenses 31
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Board of Trustees Considerations in Approving the Advisory
and Sub-Advisory Agreements 32
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Notice to Shareholders 34
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The Trust files its complete schedule of portfolio holdings with the Securities
and Exchange Commission for the first and third quarters of each fiscal year on
Form N-Q within sixty days after the end of the period. The Trust's Form N-Q is
available on the Commission's website at http://www.sec.gov, and may be reviewed
and copied at the Commission's Public Reference Room in Washington, DC.
Information on the operation of the Public Reference Room may be obtained by
calling 1-800-SEC-0330.
A description of the policies and procedures that the Trust uses to determine
how to vote proxies relating to portfolio securities, as well as information
relating to how a Fund voted proxies relating to portfolio securities during the
most recent 12-month period ended June 30, is available (i) without charge, upon
request, by calling 1-800-342-5734; and (ii) on the Commission's website at
http://www.sec.gov.
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INDEX FUNDS -- MARCH 31, 2006
S&P 500 Index Fund
Objectives
The S&P 500 Index Fund (the "Fund") seeks to provide investment results that
correspond to the aggregate price and dividend performance of the securities in
the S&P 500 Composite Stock Price Index (the "Index"). The Index is a
capitalization-weighted index of 500 stocks intended to be a representative
sample of leading companies in leading industries within the U.S. economy.
Stocks in the Index are chosen for market size (large-cap), liquidity, and
industry group representation.
Strategy
The Fund attempts to match the performance of the widely followed Index by
replicating its composition in full. The fifty largest stocks in the Index
account for approximately 50% of the weighting of the Index. Deviation of
performance between the Fund and the Index, measured as tracking error, is
typically attributable to trading costs and cash reserves held for liquidity
needs. The presence of cash in the Fund may result in underperformance relative
to the Index in rising markets and out-performance in declining markets. To
mitigate these effects, the Fund may use stock index futures to hedge its cash
position. Futures contracts enable the Fund to maintain exposure to the market
with reduced trading expenses, since the cost of the futures contract is
relatively nominal. The value of stock index futures held by the Fund may not
exceed 20% of the Fund's assets. The Fund may also invest in exchange-traded
funds and engage in swaps.
Analysis
The S&P 500 Index Fund, Class A, returned a comparable 11.32% for the fiscal
year. For the fiscal year ended March 31, 2006, the Index posted double digit
gains, returning 11.73%. However, large cap securities trailed their small cap
counterparts and non-U.S. securities. During the period, interest rates and
energy prices were two of the biggest drivers of market uncertainty and
volatility. The Federal Reserve raised the federal fund rate eight times during
the fiscal year to 4.75%, which is 200 basis points higher than March 31, 2005.
During the same period, oil prices continued to rise. In addition, Hurricane
Katrina and Rita disrupted the refineries in the Gulf of Mexico and interrupted
already stretched oil refining capacity, which in turn drove gasoline prices
higher.
Investors worried that higher fuel prices and interest rates would start to eat
into discretionary income and spending. In particular, the consumer
discretionary and consumer staple sectors were hit the hardest and were the two
worst performing sectors for the year. The energy sector again was the best
performing sector, followed by the financial sector. A pick-up in capital market
and mergers & acquisition activity boosted financial stocks returns. Given that
the Fund's mandate is to track the Index, the Fund was in line with the Index.
S&P 500 Index Fund:
AVERAGE ANNUAL TOTAL RETURN 1
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Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
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S&P 500 Index
Fund, Class A 11.32% 16.77% 3.54% 8.51% 8.46%
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S&P 500 Index
Fund, Class E 11.49% 16.94% 3.71% 8.69% 11.99%
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S&P 500 Index
Fund, Class I 11.02% 16.46% n/a n/a 8.66%
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Comparison of Change in the Value of a $10,000 Investment in the S&P 500 Index
Fund, Class A, versus the S&P 500 Index
[GRAPH OMITTED]
PLOT POINTSFOLLOW:
SEI Bond Index, Class A S&P 500 Index
3/96 $10,000 $10,000
3/97 11,922 11,983
3/98 17,577 17,735
3/99 20,758 21,009
3/00 24,395 24,778
3/01 19,011 19,406
3/02 18,961 19,452
3/03 14,210 14,636
3/04 19,129 19,776
3/05 20,325 21,099
3/06 22,625 23,574
S&P 500 Index -- $23,574
S&P 500 Index Fund, Class A -- $22,625
1 For the period ended March 31, 2006. Past performance is no indication of
future performance. Class A shares were offered beginning 02/28/96. Class E
shares were offered beginning 07/31/85. Class I shares were offered beginning
06/28/02. Effective 07/31/97, the Board of Trustees approved the renaming of
Class A and Class E shares to Class E and Class A shares, respectively. In
addition, returns shown do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund shares.
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SEI Index Funds / Annual Report / March 31, 2006 1
SEI INDEX FUNDS -- MARCH 31, 2006
Bond Index Fund
Objectives
The Bond Index Fund (the "Fund") seeks to provide investment results that
correspond to the aggregate price and interest performance of the Lehman U.S.
Aggregate Bond Index (the "Lehman Aggregate").
The Lehman Aggregate is made up of the Government/Credit Index, the
Mortgage-Backed Securities Index, the Asset-Backed Securities Index and the
Commercial Mortgage-Backed Index. The Lehman Aggregate includes fixed rate debt
issues rated investment grade (Baa3) or higher by Moody's Investor Service. If
both Moody's and S&P provide a rating for an issue, then the lower of the two
ratings will be used. All issues have at least one year to maturity and an
outstanding par value of at least $200 million. Price, coupon and total return
are reported for all sectors on a month-end basis. All returns are market value
weighted inclusive of accrued interest.
Strategy
The Fund will be managed in a manner designed to generally reflect the current
performance of the Lehman Aggregate. Obligations included in the Lehman
Aggregate have been categorized into sectors, which have been organized on the
basis of type of issuer and then further classified by quality and remaining
term to maturity.
The Fund's ability to duplicate the performance of the Lehman Aggregate will
depend to some level on the size and timing of cash flows into and out of the
Fund, the level of the Fund's expenses, and the capability of the Fund's
sub-advisers to select a representative sample of the securities included in the
Lehman Aggregate.
The percentage of the Fund's assets to be invested in the aggregate obligations
included in a particular sector of the Lehman Aggregate will approximate, to the
maximum extent feasible, the percentage such sector represents in that Lehman
Aggregate. The ability of the Fund to duplicate the Lehman Aggregate's
performance can be influenced by the Fund's asset size. To the extent that the
size of Fund assets limits the number of issues that the Fund can purchase,
there is more potential for deviation from the Lehman Aggregate's performance
than at larger asset levels. Under these circumstances, the Fund will implement
strategies designed to minimize this potential for greater deviation. The Fund
may also invest in exchange-traded funds and engage in swaps.
Analysis
The Bond Index Fund, Class A, registered a 1.79% return for the fiscal year. The
investment-grade U.S. fixed income market returned 2.26% for the fiscal year
ended March 31, 2006, as measured by the Lehman Aggregate. This marked the
seventh consecutive year of positive returns for the U.S. bond market, even as
rates rose across the curve for the period. The 2-year note, which is most
sensitive to the Federal Open Market Committee ("FOMC") interest rate policy
changes, increased 104 basis points (bps) for the period, bringing the yield to
4.81%. The ongoing battle between economic growth and inflation fears kept the
FOMC to its measured pace. The Fed increased the overnight lending rate by 200
bps through quarter point increments. The move to higher interest rates was met
with resistance along the long end of the curve as longer term rates were
supported by the unabating demand from investors.
All the major sectors except U.S. Corporate Investment Grade Credit, which was
plagued with uncertainties surrounding leveraged buyouts and event risk,
outperformed U.S. Treasuries for the period as spreads tightened across the
sectors. The Asset-Backed Security sector was the best performing sector as
technicals and fundamentals remained strong. The Mortgage-Backed Security and
Commercial Mortgage-Backed Security sectors also contributed positive market
performance as volatility remained low and consumer balance sheets remained
healthy.
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2 SEI Index Funds / Annual Report / March 31, 2006
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INDEX FUNDS -- MARCH 31, 2006
AVERAGE ANNUAL TOTAL RETURN 1
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Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
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Bond Index
Fund, Class A 1.79% 2.45% 4.60% 5.86% 6.90%
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Comparison of Change in the Value of a $10,000 Investment in the Bond Index
Fund, Class A, versus the Lehman U.S. Aggregate Bond Index
Bond Index Fund, Class A -- $17,676
Lehman U.S. Aggregate Bond Index -- $18,400
[GRAPH OMITTED]
PLOT POINTS FOLLOW:
Bond Index Fund, Class A Lehman U.S. Aggregate Bond Index
3/96 $10,000 $10,000
3/97 10,436 10,491
3/98 11,668 11,750
3/99 12,398 12,511
3/00 12,599 12,747
3/01 14,114 14,344
3/02 14,787 15,110
3/03 16,439 16,876
3/04 17,241 17,787
3/05 17,366 17,994
3/06 17,676 18,400
1 For the period ended March 31, 2006. Past performance is no indication of
future performance. The Fund was offered beginning 05/19/86. In addition,
returns shown do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
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SEI Index Funds / Annual Report / March 31, 2006 3
SCHEDULE OF INVESTMENTS
S&P 500 Index Fund
March 31, 2006
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[BAR CHART OMITTED]
PLOT POINTS FOLLOW:
SECTOR WEIGHTINGS (UNAUDITED)++:
18.4% FINANCIALS
13.9% INFORMATION TECHNOLOGY
11.3% HEALTH CARE
10.0% INDUSTRIALS
8.9% CONSUMER DISCRETIONARY
8.5% ENERGY
8.1% CONSUMER STAPLES
5.8% CORPORATE OBLIGATIONS
4.1% SHORT-TERM INVESTMENTS
2.9% TELECOMMUNICATION SERVICES
2.7% UTILITIES
2.7% MATERIALS
1.2% ASSET-BACKED SECURITIES
0.6% MASTER NOTES
0.6% COMMERCIAL PAPER
0.2% TIME DEPOSIT
0.1% U.S. TREASURY OBLIGATIONS
++PERCENTAGES BASED ON TOTAL INVESTMENTS.
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Market Value
Description Shares ($ Thousands)
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COMMON STOCK -- 97.6%
CONSUMER DISCRETIONARY -- 9.9%
Amazon.com (D)* 59,200 $ 2,161
Apollo Group, Cl A (D)* 27,203 1,428
Autonation (D)* 34,120 735
Autozone* 10,494 1,046
Bed Bath & Beyond* 53,833 2,067
Best Buy (D) 78,041 4,365
Big Lots (D)* 21,513 300
Black & Decker 14,809 1,287
Brunswick 18,415 716
Carnival (D) 84,284 3,993
CBS, Cl B 150,001 3,597
Centex 24,044 1,491
Circuit City Stores 29,654 726
Clear Channel Communications 99,163 2,877
Coach* 73,610 2,546
Comcast, Cl A* 410,396 10,736
Cooper Tire & Rubber 11,178 160
Darden Restaurants* 24,413 1,002
Dillard's, Cl A 11,805 307
Dollar General 62,390 1,103
Dow Jones (D) 11,163 439
DR Horton (D) 52,149 1,732
E.W. Scripps, Cl A (D) 16,100 720
Eastman Kodak (D) 54,310 1,545
Family Dollar Stores (D) 29,322 780
Federated Department Stores 52,282 3,817
Ford Motor (D) 357,709 2,847
Fortune Brands 28,119 2,267
Gannett (D) 46,347 2,777
Gap 107,531 2,009
General Motors (D) 108,548 2,309
Genuine Parts 33,136 1,452
Goodyear Tire & Rubber (D)* 33,293 482
H&R Block 61,404 1,329
Harley-Davidson (D) 52,308 2,714
Harman International Industries 12,300 1,367
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Market Value
Description Shares ($ Thousands)
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Harrah's Entertainment 35,287 $ 2,751
Hasbro 33,891 715
Hilton Hotels 61,987 1,578
Home Depot (D) 410,464 17,363
International Game Technology 63,156 2,224
Interpublic Group (D)* 81,601 780
J.C. Penney 44,580 2,693
Johnson Controls 37,219 2,826
Jones Apparel Group 22,390 792
KB Home 14,655 952
Knight Ridder (D) 13,077 827
Kohl's (D)* 66,147 3,507
Leggett & Platt (D) 34,154 832
Lennar, Cl A (D) 26,307 1,588
Limited Brands 66,827 1,635
Liz Claiborne (D) 20,323 833
Lowe's (D) 150,018 9,667
Marriott International, Cl A 30,870 2,118
Mattel 76,318 1,384
Maytag 15,143 323
McDonald's 243,170 8,355
McGraw-Hill 70,421 4,058
Meredith 7,963 444
New York Times, Cl A (D) 27,492 696
Newell Rubbermaid 52,047 1,311
News, Cl A* 460,633 7,651
Nike, Cl B (D) 36,347 3,093
Nordstrom (D) 40,902 1,603
Office Depot (D)* 57,120 2,127
OfficeMax 13,393 404
Omnicom Group 34,302 2,856
Pulte Homes 40,555 1,558
RadioShack (D) 25,425 489
Sears Holdings (D)* 19,465 2,566
Sherwin-Williams 20,616 1,019
Snap-On 10,953 418
Stanley Works (D) 13,779 698
Staples 139,814 3,568
Starbucks* 147,958 5,569
Starwood Hotels & Resorts
Worldwide 41,435 2,806
Target (D) 168,719 8,775
Tiffany (D) 26,973 1,013
Time Warner 870,714 14,619
TJX 86,267 2,141
Tribune (D) 49,005 1,344
Univision Communications, Cl A* 42,867 1,478
VF 16,914 962
Viacom, Cl B* 149,701 5,808
Walt Disney (D)* 369,527 10,306
Wendy's International 21,808 1,353
Whirlpool 12,594 1,152
Yum! Brands 53,035 2,591
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229,448
----------
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4 SEI Index Funds / Annual Report / March 31, 2006
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Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------
CONSUMER STAPLES -- 9.0%
Alberto-Culver 14,305 $ 633
Albertson's 70,733 1,816
Altria Group 400,456 28,376
Anheuser-Busch (D) 150,374 6,431
Archer-Daniels-Midland 125,466 4,222
Avon Products (D) 85,951 2,679
Brown-Forman, Cl B (D) 15,676 1,207
Campbell Soup 34,975 1,133
Clorox 28,242 1,690
Coca-Cola 398,096 16,668
Coca-Cola Enterprises 57,017 1,160
Colgate-Palmolive 98,893 5,647
ConAgra Foods 99,652 2,139
Constellation Brands, Cl A* 37,100 929
Costco Wholesale (D) 90,818 4,919
CVS 156,883 4,686
Dean Foods* 25,200 979
Estee Lauder, Cl A 22,900 852
General Mills 68,391 3,466
Hershey (D) 33,912 1,771
HJ Heinz 64,249 2,436
Kellogg 46,867 2,064
Kimberly-Clark 88,399 5,109
Kroger (D)* 139,259 2,835
McCormick 25,361 859
Molson Coors Brewing, Cl B 10,823 743
Pepsi Bottling Group 26,236 797
PepsiCo 317,867 18,370
Procter & Gamble 635,076 36,593
Reynolds American (D) 16,120 1,701
Safeway 86,246 2,166
Sara Lee 142,487 2,548
Supervalu 25,652 791
Sysco (D) 118,820 3,808
Tyson Foods, Cl A (D) 47,490 652
UST (D) 31,040 1,291
Wal-Mart Stores 480,611 22,704
Walgreen 194,244 8,378
Whole Foods Market (D) 25,900 1,721
WM Wrigley Jr. (D) 34,608 2,215
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209,184
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ENERGY -- 9.5%
Amerada Hess 15,325 2,182
Anadarko Petroleum 44,190 4,464
Apache 63,400 4,153
Baker Hughes (D) 65,634 4,489
BJ Services (D) 62,156 2,151
Burlington Resources 72,114 6,628
Chesapeake Energy 71,700 2,252
Chevron 427,197 24,765
ConocoPhillips 266,403 16,823
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Market Value
Description Shares ($ Thousands)
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Devon Energy (D) 84,813 $ 5,188
El Paso (D) 126,494 1,524
EOG Resources (D) 46,544 3,351
Exxon Mobil 1,171,736 71,312
Halliburton 99,091 7,236
Kerr-McGee 22,228 2,122
Kinder Morgan (D) 19,549 1,798
Marathon Oil 70,428 5,365
Murphy Oil (D) 31,063 1,548
Nabors Industries (D)* 30,339 2,172
National Oilwell Varco (D)* 33,534 2,150
Noble (D) 26,271 2,131
Occidental Petroleum 82,652 7,658
Rowan* 20,597 905
Schlumberger (D) 113,381 14,351
Sunoco 25,357 1,967
Transocean* 62,578 5,025
Valero Energy 119,308 7,132
Weatherford International (D)* 66,954 3,063
Williams (D) 114,065 2,440
XTO Energy 69,735 3,038
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219,383
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FINANCIALS -- 20.5%
ACE 61,885 3,219
Aflac 96,608 4,360
Allstate 123,759 6,449
AMBAC Financial Group (D) 19,714 1,569
American Express 237,515 12,481
American International Group 501,171 33,122
Ameriprise Financial 48,084 2,167
AmSouth Bancorp (D) 64,765 1,752
AON 61,829 2,566
Apartment Investment &
Management, Cl A+ (D) 18,062 847
Archstone-Smith Trust+ 40,968 1,998
Bank of America 896,770 40,839
Bank of New York 148,035 5,335
BB&T (D) 102,697 4,026
Bear Stearns 22,898 3,176
Boston Properties+ 13,200 1,231
Capital One Financial (D) 57,733 4,649
Charles Schwab 198,027 3,408
Chubb 38,378 3,663
Cincinnati Financial 33,079 1,392
CIT Group 37,408 2,002
Citigroup 961,746 45,423
Comerica 30,983 1,796
Compass Bancshares 23,483 1,188
Countrywide Financial 116,971 4,293
E*Trade Financial* 80,239 2,165
Equity Office Properties Trust+ 76,173 2,558
Equity Residential+ 55,740 2,608
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SEI Index Funds / Annual Report / March 31, 2006 5
SCHEDULE OF INVESTMENTS
S&P 500 Index Fund (Continued)
March 31, 2006
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Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------
Fannie Mae (D) 185,681 $ 9,544
Federated Investors, Cl B 16,045 627
Fifth Third Bancorp (D) 106,611 4,196
First Horizon National 23,615 984
Franklin Resources 29,315 2,763
Freddie Mac 133,659 8,153
Genworth Financial, Cl A 72,300 2,417
Golden West Financial (D) 49,171 3,339
Goldman Sachs Group 83,662 13,132
Hartford Financial Services
Group 58,086 4,679
Huntington Bancshares 47,775 1,153
Janus Capital Group (D) 40,077 929
Jefferson-Pilot (D) 24,826 1,389
JPMorgan Chase 673,172 28,031
Keycorp (D) 77,783 2,862
Kimco Realty+ 37,000 1,504
Lehman Brothers Holdings 51,853 7,494
Lincoln National (D) 32,602 1,780
Loews 25,991 2,630
M&T Bank (D) 14,961 1,708
Marsh & McLennan (D) 104,950 3,081
Marshall & Ilsley 39,170 1,707
MBIA 25,327 1,523
Mellon Financial 77,902 2,773
Merrill Lynch 176,247 13,881
Metlife 145,405 7,033
MGIC Investment 16,895 1,126
Moody's 47,308 3,381
Morgan Stanley 207,561 13,039
National City (D) 106,248 3,708
North Fork Bancorporation 89,189 2,571
Northern Trust (D) 35,505 1,864
Plum Creek Timber+ 34,835 1,286
PNC Financial Services Group 56,094 3,776
Principal Financial Group 53,648 2,618
Progressive 37,767 3,938
Prologis+ 46,760 2,502
Prudential Financial 94,966 7,199
Public Storage+ 15,628 1,269
Regions Financial (D) 87,523 3,078
Safeco 23,038 1,157
Simon Property Group+ (D) 34,809 2,929
SLM 80,043 4,157
Sovereign Bancorp 66,766 1,463
St. Paul Travelers 133,532 5,580
State Street 63,891 3,861
SunTrust Banks (D) 71,196 5,180
Synovus Financial 58,975 1,598
T Rowe Price Group 24,554 1,920
Torchmark (D) 19,705 1,125
UnumProvident (D) 56,352 1,154
US Bancorp 345,606 10,541
Vornado Realty Trust+ (D) 22,814 2,190
Wachovia 311,326 17,450
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Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------
Washington Mutual (D) 190,319 $ 8,111
Wells Fargo 323,753 20,678
XL Capital, Cl A 34,005 2,180
Zions Bancorporation 19,260 1,593
----------
473,816
----------
HEALTH CARE -- 12.6%
Abbott Laboratories 297,468 12,633
Aetna 108,802 5,347
Allergan 29,083 3,156
AmerisourceBergen 39,296 1,897
Amgen* 225,793 16,426
Applera - Applied Biosystems
Group 35,557 965
Barr Pharmaceuticals (D)* 20,300 1,278
Bausch & Lomb 10,174 648
Baxter International 124,438 4,829
Becton Dickinson 46,562 2,867
Biogen Idec* 65,998 3,109
Biomet (D)* 46,036 1,635
Boston Scientific (D)* 113,496 2,616
Bristol-Myers Squibb 375,901 9,251
C.R. Bard (D) 19,288 1,308
Cardinal Health 80,955 6,033
Caremark Rx* 86,073 4,233
Chiron (D)* 20,597 944
Cigna 23,257 3,038
Coventry Health Care* 30,413 1,642
Eli Lilly 216,830 11,991
Express Scripts (D)* 28,076 2,468
Fisher Scientific
International (D)* 23,064 1,569
Forest Laboratories* 62,363 2,783
Genzyme* 49,832 3,350
Gilead Sciences* 88,688 5,518
Guidant 65,014 5,075
HCA 78,269 3,584
Health Management Associates,
Cl A 46,737 1,008
Hospira* 30,204 1,192
Humana* 30,697 1,616
IMS Health 35,795 922
Johnson & Johnson 571,056 33,818
King Pharmaceuticals* 45,686 788
Laboratory of America
Holdings (D)* 23,263 1,360
Manor Care (D) 14,914 661
McKesson 58,769 3,064
Medco Health Solutions* 58,458 3,345
Medimmune* 49,063 1,795
Medtronic 233,317 11,841
Merck 419,717 14,787
Millipore* 9,793 715
Mylan Laboratories 41,311 967
Patterson (D)* 26,100 919
PerkinElmer 24,640 578
Pfizer 1,420,704 35,404
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6 SEI Index Funds / Annual Report / March 31, 2006
- -------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------
Quest Diagnostics 30,724 $ 1,576
Schering-Plough 283,872 5,391
St. Jude Medical* 70,294 2,882
Stryker 56,842 2,520
Tenet Healthcare* 88,576 654
Thermo Electron* 30,515 1,132
UnitedHealth Group 260,247 14,537
Waters (D)* 20,997 906
Watson Pharmaceuticals (D)* 18,771 539
WellPoint* 127,661 9,885
Wyeth 259,866 12,609
Zimmer Holdings* 47,555 3,215
----------
290,819
----------
INDUSTRIALS -- 11.2%
3M 145,982 11,049
Allied Waste Industries (D)* 41,242 505
American Power Conversion 32,346 748
American Standard 32,933 1,412
Avery Dennison 20,915 1,223
Boeing 154,732 12,058
Burlington Northern Santa Fe 71,524 5,960
Caterpillar 128,697 9,242
Cendant 193,411 3,356
Cintas* 26,107 1,113
Cooper Industries, Cl A (D) 16,993 1,477
CSX 42,125 2,519
Cummins 8,785 923
Danaher 45,548 2,895
Deere 46,051 3,640
Dover 39,037 1,896
Eaton 29,069 2,121
Emerson Electric 78,903 6,599
Equifax (D) 24,625 917
FedEx 58,305 6,585
Fluor (D) 16,422 1,409
General Dynamics 76,826 4,915
General Electric 2,008,007 69,838
Goodrich 23,020 1,004
Honeywell International 159,355 6,816
Illinois Tool Works 39,362 3,791
Ingersoll-Rand, Cl A 61,706 2,579
ITT Industries 35,400 1,990
L-3 Communications Holdings 23,223 1,992
Lockheed Martin 68,794 5,169
Masco (D) 78,868 2,562
Monster Worldwide (D)* 23,034 1,148
Navistar International* 11,632 321
Norfolk Southern 79,126 4,278
Northrop Grumman (D) 67,319 4,597
Paccar 32,463 2,288
Pall 23,495 733
Parker Hannifin 23,014 1,855
- -------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------
Pitney Bowes 42,375 $ 1,819
Raytheon (D) 85,568 3,922
Robert Half International (D) 32,027 1,237
Rockwell Automation (D) 33,526 2,411
Rockwell Collins 33,678 1,898
RR Donnelley & Sons 40,611 1,329
Ryder System 12,154 544
Southwest Airlines 135,849 2,444
Textron 24,749 2,311
Tyco International 386,731 10,395
Union Pacific 50,847 4,747
United Parcel Service, Cl B (D) 209,590 16,637
United Technologies 194,883 11,297
Waste Management 106,028 3,743
WW Grainger 14,365 1,082
----------
259,339
----------
INFORMATION TECHNOLOGY -- 15.6%
ADC Telecommunications (D)* 22,067 565
Adobe Systems* 115,136 4,021
Advanced Micro Devices* 92,263 3,059
Affiliated Computer Services,
Cl A* 23,249 1,387
Agilent Technologies* 82,306 3,091
Altera (D)* 66,651 1,376
Analog Devices 70,299 2,692
Andrew (D)* 30,685 377
Apple Computer* 163,392 10,248
Applied Materials* 304,450 5,331
Applied Micro Circuits* 57,797 235
Autodesk 43,217 1,665
Automatic Data Processing 111,250 5,082
Avaya (D)* 80,168 906
BMC Software (D)* 41,249 893
Broadcom, Cl A* 84,536 3,649
CA (D) 86,027 2,341
Ciena (D)* 109,300 569
Cisco Systems* 1,187,963 25,743
Citrix Systems* 34,242 1,298
Computer Sciences* 35,833 1,990
Compuware* 73,375 574
Comverse Technology* 38,071 896
Convergys (D)* 26,476 482
Corning* 296,678 7,984
Dell* 454,874 13,537
eBay (D)* 223,232 8,719
Electronic Arts* 59,078 3,233
Electronic Data Systems 98,702 2,648
EMC* 456,040 6,216
First Data 147,212 6,892
Fiserv* 35,380 1,505
Freescale Semiconductor, Cl B* 76,600 2,127
Gateway* 48,887 107
Google, Cl A* 37,416 14,592
- --------------------------------------------------------------------------------
SEI Index Funds / Annual Report / March 31, 2006 7
SCHEDULE OF INVESTMENTS
S&P 500 Index Fund (Continued)
March 31, 2006
- -------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------
Hewlett-Packard 542,752 $ 17,857
Intel 1,134,994 21,962
International Business Machines 300,790 24,806
Intuit* 33,943 1,805
Jabil Circuit (D)* 32,479 1,392
JDS Uniphase (D)* 311,655 1,300
Kla-Tencor (D) 38,271 1,851
Lexmark International, Cl A (D)* 21,639 982
Linear Technology (D) 57,094 2,003
LSI Logic (D)* 73,846 854
Lucent Technologies (D)* 857,591 2,616
Maxim Integrated Products (D) 60,905 2,263
Micron Technology (D)* 118,769 1,748
Microsoft 1,712,262 46,591
Molex 27,360 908
Motorola 483,406 11,075
National Semiconductor 62,537 1,741
NCR* 34,268 1,432
Network Appliance (D)* 71,776 2,586
Novell* 72,289 555
Novellus Systems (D)* 24,727 593
Nvidia (D)* 31,866 1,825
Oracle* 695,956 9,528
Parametric Technology* 20,612 337
Paychex 64,056 2,669
PMC - Sierra* 34,446 423
QLogic* 30,348 587
Qualcomm 317,832 16,085
Sabre Holdings, Cl A (D) 24,802 584
Sanmina-SCI* 99,373 407
Solectron* 172,754 691
Sun Microsystems* 664,111 3,407
Symantec* 200,247 3,370
Symbol Technologies 45,940 486
Tektronix (D) 15,959 570
Tellabs* 84,599 1,345
Teradyne (D)* 37,207 577
Texas Instruments 307,134 9,973
Unisys (D)* 64,395 444
VeriSign* 48,100 1,154
Xerox (D)* 178,236 2,709
Xilinx 64,709 1,647
Yahoo! (D)* 242,138 7,811
----------
359,579
----------
MATERIALS -- 3.0%
Air Products & Chemicals 42,726 2,871
Alcoa 167,335 5,114
Allegheny Technologies (D) 15,959 976
Ashland 13,293 945
Ball (D) 19,691 863
Bemis (D) 20,190 638
Dow Chemical 185,675 7,538
- -------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------
E.I. Du Pont de Nemours 176,535 $ 7,452
Eastman Chemical 15,408 789
Ecolab 34,830 1,331
Engelhard 22,734 900
Freeport-McMoRan Copper &
Gold, Cl B (D) 35,292 2,109
Hercules (D)* 21,307 294
International Flavors &
Fragrances 15,394 528
International Paper 94,570 3,269
Louisiana-Pacific (D) 19,494 530
MeadWestvaco 33,815 923
Monsanto 51,724 4,384
Newmont Mining 85,708 4,447
Nucor 29,791 3,122
Pactiv (D)* 26,487 650
Phelps Dodge 39,028 3,143
PPG Industries 30,945 1,960
Praxair 61,899 3,414
Rohm & Haas 26,922 1,316
Sealed Air (D)* 15,114 875
Sigma-Aldrich (D) 12,718 837
Temple-Inland 21,377 952
Tronox, Cl B 4,321 73
United States Steel (D) 20,926 1,270
Vulcan Materials 18,749 1,625
Weyerhaeuser (D) 46,727 3,384
----------
68,522
----------
TELECOMMUNICATION SERVICES -- 3.2%
Alltel 75,182 4,868
AT&T 744,481 20,131
BellSouth 344,947 11,952
CenturyTel 24,560 961
Citizens Communications (D) 62,031 823
Qwest Communications
International (D)* 288,426 1,961
Sprint Nextel 569,422 14,714
Verizon Communications 561,622 19,129
----------
74,539
----------
UTILITIES -- 3.1%
AES* 125,890 2,148
Allegheny Energy (D)* 30,768 1,041
Ameren (D) 39,244 1,955
American Electric Power (D) 75,515 2,569
Centerpoint Energy (D) 58,568 699
Cinergy 37,639 1,709
CMS Energy (D)* 41,492 537
Consolidated Edison (D) 47,133 2,050
Constellation Energy Group 34,199 1,871
Dominion Resources (D) 66,670 4,602
DTE Energy (D) 33,645 1,349
Duke Energy (D) 178,106 5,192
- --------------------------------------------------------------------------------
8 SEI Index Funds / Annual Report / March 31, 2006
- -------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- -------------------------------------------------------------
Dynegy, Cl A (D)* 56,989 $ 274
Edison International 62,553 2,576
Entergy 39,864 2,748
Exelon 129,154 6,832
FirstEnergy 63,287 3,095
FPL Group 77,420 3,108
KeySpan (D) 32,997 1,349
Nicor 8,325 329
NiSource 51,579 1,043
Peoples Energy 7,205 257
PG&E 66,229 2,576
Pinnacle West Capital 18,649 729
PPL 72,971 2,145
Progress Energy (D) 48,383 2,128
Public Service Enterprise Group 48,065 3,078
Sempra Energy 49,565 2,303
Southern (D) 142,335 4,664
TECO Energy (D) 39,312 634
TXU 88,824 3,976
Xcel Energy 76,119 1,382
----------
70,948
----------
Total Common Stock
(Cost $1,512,790) ($ Thousands) 2,255,577
----------
CORPORATE OBLIGATIONS (E) -- 6.5%
FINANCIALS -- 6.5%
Allstate Life Global Funding II
MTN (F) (G)
4.769%, 04/16/07 $ 1,971 1,971
American General Finance (F) (G)
4.779%, 05/13/07 6,213 6,212
American General Finance MTN,
Ser F
3.945%, 04/16/07 428 437
Bear Stearns, EXL (F)
4.759%, 04/16/07 7,626 7,626
CIT Group MTN (F)
4.750%, 05/12/06 10,711 10,711
4.617%, 04/19/06 1,071 1,072
Caterpillar Financial Services
MTN, Ser F (F)
4.680%, 07/10/06 2,142 2,142
Countrywide Financial MTN,
Ser A (F)
4.960%, 09/13/06 7,926 7,926
4.770%, 11/03/06 4,499 4,499
Dekabank (F) (G)
4.614%, 02/16/07 7,926 7,925
Irish Life & Permanent MTN,
Ser X (F) (G)
4.808%, 04/23/07 5,698 5,697
Islandsbanki (F) (G)
4.844%, 03/22/07 3,642 3,642
4.720%, 03/07/07 6,427 6,427
- -------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- -------------------------------------------------------------
Jackson National Life Funding
(F) (G)
4.630%, 03/01/07 $ 9,426 $ 9,426
Kaupthing Bank MTN (F) (G)
4.836%, 03/20/07 10,711 10,711
Landsbanki Islands (F) (G)
4.829%, 03/16/07 8,141 8,141
Liberty Lighthouse US Capital
MTN (F) (G)
4.725%, 05/10/06 4,285 4,282
Morgan Stanley EXL (F)
4.721%, 04/04/07 1,500 1,500
Morgan Stanley EXL, Ser S (F)
4.634%, 04/03/07 2,142 2,142
Natexis Banques (F) (G)
4.743%, 04/16/07 4,177 4,176
Nationwide Building Society (F)(G)
4.991%, 09/28/06 2,356 2,357
4.700%, 03/07/07 4,285 4,285
Nordbank (F) (G)
4.811%, 04/23/07 7,284 7,282
Northern Rock (F) (G)
4.650%, 04/03/07 4,413 4,413
Pacific Life Global Funding (F)(G)
4.740%, 04/13/07 3,213 3,213
Premium Asset Trust,
Ser 2004-06 (F) (G)
4.857%, 06/30/06 4,070 4,073
Premium Asset Trust,
Ser 2004-10 (F) (G)
4.759%, 04/18/07 5,998 5,998
SLM EXL, Ser S (F) (G)
4.570%, 04/16/07 4,713 4,713
Sigma Finance MTN (G)
4.680%, 11/09/06 2,314 2,314
Skandinav Enskilda Bank (F) (G)
4.772%, 03/19/07 4,713 4,712
----------
Total Corporate Obligations
(Cost $150,025) ($ Thousands) 150,025
----------
CASH EQUIVALENT -- 2.4%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 4.560%** (C) 56,589,487 56,589
----------
Total Cash Equivalent
(Cost $56,589) ($ Thousands) 56,589
----------
- --------------------------------------------------------------------------------
SEI Index Funds / Annual Report / March 31, 2006 9
SCHEDULE OF INVESTMENTS
S&P 500 Index Fund (Concluded)
March 31, 2006
- -------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------
ASSET-BACKED SECURITIES (E) (F) (G) -- 1.3%
MORTGAGE RELATED SECURITIES -- 1.3%
Cheyne High Grade, Ser 2004-1A,
Cl AM1
4.740%, 11/10/06 $ 2,142 $ 2,142
Commodore, Ser 2003-2A, Cl A1MM
4.970%, 12/12/38 1,971 1,971
Duke Funding, Ser 2004-6B,
Cl A1S1
4.620%, 10/10/06 3,213 3,213
Harwood Street Funding II,
Ser 2005-1A, Cl NOTE
4.868%, 05/25/06 4,285 4,285
Orchid Structured Finance CDO,
Ser 2003-1A, Cl A1MM
4.920%, 05/18/06 3,286 3,286
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AM4
4.858%, 05/25/06 3,060 3,060
RMAC, Ser 2004-NS3A, Cl A1
4.720%, 05/12/05 767 767
Saturn Ventures II
4.730%, 08/07/06 3,998 3,998
TIAA Real Estate CDO, Ser 2003 1A,
Cl A1MM
4.851%, 12/18/07 2,767 2,767
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMD
4.930%, 09/15/06 1,071 1,071
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMME
4.930%, 09/15/06 643 643
Witherspoon CDO Funding
4.786%, 06/15/06 2,999 2,999
----------
Total Asset-Backed Securities
(Cost $30,202) ($ Thousands) 30,202
----------
MASTER NOTES (E) (F) -- 0.7%
Bank of America
4.945%, 04/03/06 10,711 10,711
Bear Stearns
4.995%, 04/03/06 5,142 5,142
----------
Total Master Notes
(Cost $15,853) ($ Thousands) 15,853
----------
COMMERCIAL PAPER (A) (E) -- 0.6%
FINANCIALS -- 0.6%
CPI Funding
4.901%, 04/03/06 873 873
- -------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------
Elysian Funding LLC
4.867%, 04/27/06 $ 643 $ 640
4.767%, 04/28/06 4,285 4,252
4.706%, 04/10/06 2,142 2,127
Harbour Funding
4.763%, 04/06/06 3,185 3,178
Harwood Funding
4.881%, 04/03/06 1,028 1,028
Thornburg Mortgage Capital
Resources
4.781%, 04/19/06 2,142 2,134
Transamerica Securities
4.841%, 04/03/06 504 503
----------
Total Commercial Paper
(Cost $14,735) ($ Thousands) 14,735
----------
TIME DEPOSITS (E) (F) -- 0.2%
Societe Generale
4.900%, 04/03/06 4,285 4,285
----------
Total Time Deposits
(Cost $4,285) ($ Thousands) 4,285
----------
U.S. TREASURY OBLIGATIONS -- 0.1%
U.S. Treasury Bills (B)
4.593%, 06/22/06 2,900 2,871
----------
Total U.S. Treasury Obligations
(Cost $2,870) ($ Thousands) 2,871
----------
CERTIFICATES OF DEPOSIT (E) (F) -- 0.1%
U.S. Trust of New York
4.760%, 03/13/07 1,714 1,714
----------
Total Certificates of Deposit
(Cost $1,714) ($ Thousands) 1,714
----------
REPURCHASE AGREEMENTS (E) (H) -- 2.1%
Barclays Capital
4.790%, dated 03/31/06,
to be repurchased on 04/03/06,
repurchase price $24,772,114
(collateralized by various
U.S. Government Obligations,
ranging in par value $1,984,591-
$5,092,584, 0.000%-5.900%,
05/18/06-08/04/25; with total
market value $25,257,511) 24,762 24,762
- --------------------------------------------------------------------------------
10 SEI Index Funds / Annual Report / March 31, 2006
- -------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------
Lehman Brothers
4.800%, dated 03/31/06,
to be repurchased on 04/03/06,
repurchase price $24,945,899
(collateralized by various U.S.
Government Obligations,
ranging in par value $1,483,088-
$2,696,893, 0.000%-10.700%,
10/17/08-11/23/35; with total
market value $25,434,715) $24,936 $ 24,936
----------
Total Repurchase Agreements
(Cost $49,698) ($ Thousands) 49,698
----------
Total Investments -- 111.6%
(Cost $1,838,761) ($ Thousands) $2,581,549
==========
Percentages are based on Net Assets of $2,312,247 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2006.
+ Real Estate Investment Trusts.
(A) The rate reported is the effective yield at time of purchase.
(B) Security, or portion thereof, has been pledged as collateral on open futures
contracts. The rate reported is the effective yield at time of purchase.
(C) Investment in Affiliated Registered Investment Company (see Note 3).
(D) This security or a partial position of this security is on loan at March 31,
2006 (see note 8). The total value of securities on loan at March 31, 2006
was $258,262 ($ Thousands).
(E) This security was purchased with cash collateral held from securities
lending (see Note 8). The total value of such securities as of March 31,
2006 was $266,512 ($ Thousands).
(F) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of March 31, 2006.
(G) This security, which was purchased with cash collateral, was sold within the
terms of private placement memorandum, exempt from registration under
Section 3A-4, 4(2) or 144A of the Securities Act of 1933, as amended, and
may be sold only to dealers in that program or other "accredited investors."
(H) Tri-Party Repurchase Agreements.
CDO -- Collateralized Debt Obligation
Cl -- Class
EXL -- Extendable Maturity
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
Ser -- Series
Futures -- A summary of the open futures contracts held by the Fund at March 31,
2006, is as follows (See Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
Number of Contract Unrealized
Constracts Value Expiration Appreciation
Type of Contract Long ($ Thousands) Date ($ Thousands)
- --------------------------------------------------------------------------------
S&P 500 E MINI Index 920 $59,952 June 2006 $253
====
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Index Funds / Annual Report / March 31, 2006 11
STATEMENT OF NET ASSETS
Bond Index Fund
March 31, 2006
- --------------------------------------------------------------------------------
[BAR CHART OMITTED]
PLOT POINTS FOLLOW:
Sector Weightings (Unaudited)++:
34.3% U.S. Government Agency Mortgage-Backed Obligations
23.1% U.S. Treasury Obligations
11.3% U.S. Government Agency Obligations
10.0% Financials
6.2% Asset-Backed Securities
2.2% Telecommunication Services
1.9% Yankee Bonds
1.9% Short-Term Investments
1.7% Industrials
1.6% Utilities
1.5% Consumer Discretionary
1.4% Consumer Staples
1.0% Energy
0.7% Health Care
0.5% Materials
0.4% Information Technology
0.3% Municipal Bond
++Percentages based on total investments.
- -------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 34.4%
FHLMC
10.500%, 12/01/17 to 06/01/19 $ 2 $ 2
9.500%, 08/01/17 to 02/01/21 8 9
9.000%, 07/01/09 1 1
8.500%, 01/01/10 6 7
8.000%, 01/01/11 to 08/01/30 17 17
7.500%, 11/01/09 to 02/01/31 62 65
7.000%, 11/01/07 to 04/01/32 144 147
6.500%, 07/01/08 to 08/01/32 375 383
6.000%, 11/01/13 to 04/01/33 577 580
5.500%, 03/01/17 to 03/01/35 1,359 1,334
5.000%, 11/01/17 to 11/01/35 1,738 1,672
4.500%, 04/01/18 to 10/01/33 416 395
4.000%, 09/01/18 169 158
FNMA
9.500%, 02/01/21 1 1
8.500%, 05/01/07 to 04/01/30 24 25
8.000%, 08/01/07 to 02/01/30 31 33
7.500%, 06/01/07 to 07/01/33 63 65
7.000%, 02/01/08 to 05/01/32 191 196
6.500%, 04/01/11 to 07/01/32 358 367
6.000%, 12/01/08 to 09/01/34 966 971
5.500%, 12/01/13 to 12/01/35 2,106 2,065
5.000%, 11/01/17 to 09/01/35 2,043 1,959
4.500%, 04/01/18 to 07/01/35 783 740
4.000%, 10/01/18 77 72
GNMA
11.500%, 04/15/15 14 16
10.000%, 09/15/18 to 02/20/21 2 2
9.500%, 09/15/09 to 07/15/17 4 4
9.000%, 09/15/25 28 31
8.500%, 05/15/17 to 11/15/22 30 33
8.000%, 10/15/07 to 03/15/30 27 29
7.500%, 01/15/23 to 06/15/32 52 54
7.000%, 12/15/27 to 04/15/31 90 94
6.500%, 03/15/11 to 11/15/31 170 175
- -------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------
6.000%, 04/15/17 to 03/15/33 $ 287 $ 293
5.500%, 02/15/33 to 04/15/34 291 289
5.000%, 05/15/18 to 10/15/33 303 293
4.500%, 08/15/33 21 20
-------
Total U.S. Government Agency Mortgage-Backed
Obligations
(Cost $12,853) ($ Thousands) 12,597
-------
U.S. TREASURY OBLIGATIONS -- 23.2%
U.S. Treasury Bonds
12.000%, 08/15/13 140 162
11.250%, 02/15/15 35 51
9.875%, 11/15/15 30 41
9.125%, 05/15/18 80 110
8.875%, 02/15/19 100 136
8.750%, 05/15/17 to 08/15/20 170 230
8.125%, 08/15/19 to 08/15/21 240 316
8.000%, 11/15/21 45 59
7.875%, 02/15/21 85 110
7.625%, 11/15/22 to 02/15/25 130 168
7.500%, 11/15/16 to 11/15/24 195 240
7.250%, 05/15/16 155 183
7.125%, 02/15/23 80 98
6.875%, 08/15/25 25 31
6.500%, 11/15/26 40 47
6.375%, 08/15/27 45 53
6.250%, 05/15/30 65 76
6.125%, 11/15/27 to 08/15/29 115 132
6.000%, 02/15/26 100 112
5.500%, 08/15/28 80 85
5.375%, 02/15/31 90 95
5.250%, 11/15/28 to 02/15/29 80 82
4.500%, 02/15/36 100 94
U.S. Treasury Notes
6.500%, 02/15/10 140 148
6.000%, 08/15/09 150 155
5.750%, 08/15/10 280 290
5.500%, 05/15/09 245 250
5.000%, 02/15/11 to 08/15/11 380 384
4.875%, 02/15/12 100 100
4.500%, 02/15/09 to 11/15/15 180 177
4.375%, 12/31/07 to 08/15/12 1,210 1,195
4.250%, 01/15/11 to 08/15/14 560 541
4.125%, 05/15/15 95 90
4.000%, 11/15/12 to 02/15/15 390 368
3.875%, 05/15/09 to 02/15/13 350 336
3.625%, 06/30/07 to 07/15/09 415 406
3.500%, 11/15/09 200 191
3.375%, 09/15/09 110 105
3.000%, 11/15/07 to 02/15/08 895 868
2.625%, 05/15/08 180 172
-------
Total U.S. Treasury Obligations
(Cost $8,620) ($ Thousands) 8,487
-------
- --------------------------------------------------------------------------------
12 SEI Index Funds / Annual Report / March 31, 2006
- -------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------
CORPORATE OBLIGATIONS -- 21.1%
CONSUMER DISCRETIONARY -- 1.5%
Cox Communications
7.750%, 11/01/10 $ 75 $ 80
DaimlerChrysler
7.450%, 03/01/27 40 42
Gannett
6.375%, 04/01/12 40 41
Lowe's
6.500%, 03/15/29 25 27
May Department Stores
3.950%, 07/15/07 235 230
News America Holdings
7.700%, 10/30/25 55 60
Target
7.000%, 07/15/31 10 12
Time Warner
6.950%, 01/15/28 65 66
-------
558
-------
CONSUMER STAPLES -- 1.4%
Anheuser-Busch
4.375%, 01/15/13 25 23
Archer-Daniels-Midland
5.935%, 10/01/32 25 25
Coca Cola Enterprises
8.500%, 02/01/22 30 37
Conagra Foods
9.750%, 03/01/21 30 38
Kellogg, Ser B
7.450%, 04/01/31 15 18
Kraft Foods
5.625%, 11/01/11 40 40
Kroger
8.050%, 02/01/10 50 54
Procter & Gamble
6.450%, 01/15/26 20 22
Safeway
6.500%, 11/15/08 135 137
Unilever Capital
7.125%, 11/01/10 50 53
Wal-Mart Stores
5.250%, 09/01/35 20 18
4.550%, 05/01/13 40 38
-------
503
-------
ENERGY -- 1.1%
Canadian Natural Resources
6.450%, 06/30/33 20 20
ConocoPhilips
6.650%, 07/15/18 65 71
- -------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------
Devon Financing
7.875%, 09/30/31 $ 25 $ 30
KeySpan
7.625%, 11/15/10 50 54
Kinder Morgan Energy Partners LP
7.400%, 03/15/31 30 33
Marathon Oil
5.375%, 06/01/07 100 100
PC Financial Partnership
5.000%, 11/15/14 50 48
Southern Union
8.250%, 11/15/29 25 29
-------
385
-------
FINANCIALS -- 10.0%
Abbey National PLC
7.950%, 10/26/29 20 25
Allstate
7.200%, 12/01/09 90 95
5.000%, 08/15/14 40 39
American International Group
4.250%, 05/15/13 30 28
Ameriprise Financial
5.350%, 11/15/10 45 45
BB&T
6.500%, 08/01/11 65 68
Bank of America
7.800%, 09/15/16 35 41
Bear Stearns
7.625%, 12/07/09 70 75
Berkshire Hathaway
4.850%, 01/15/15 35 33
Boeing Capital
6.500%, 02/15/12 50 53
CIT Group
5.500%, 11/30/07 140 140
CIT Group MTN
5.125%, 09/30/14 35 33
Caterpillar Financial Services
4.750%, 02/17/15 60 56
Citigroup
6.625%, 06/15/32 20 21
6.500%, 01/18/11 55 57
4.250%, 07/29/09 100 97
Countrywide Home Loans MTN
3.250%, 05/21/08 135 129
Credit Suisse First Boston
7.125%, 07/15/32 20 23
EOP Operating LP+
7.875%, 07/15/31 20 23
7.250%, 02/15/18 35 38
- --------------------------------------------------------------------------------
SEI Index Funds / Annual Report / March 31, 2006 13
STATEMENT OF NET ASSETS
Bond Index Fund (Continued)
March 31, 2006
- -------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------
General Electric Capital MTN,
Ser A
6.750%, 03/15/32 $ 40 $ 45
5.450%, 01/15/13 65 65
General Electric Capital Services
7.500%, 08/21/35 10 12
Goldman Sachs Group
6.600%, 01/15/12 35 37
5.150%, 01/15/14 115 111
HSBC Finance
6.400%, 06/17/08 165 169
5.500%, 01/19/16 45 44
HSBC Holdings PLC
7.625%, 05/17/32 40 47
Inter-American Development Bank
4.375%, 09/20/12 45 43
International Bank for
Reconstruction & Development
7.625%, 01/19/23 30 38
JPMorgan Chase
6.750%, 02/01/11 50 53
5.250%, 05/30/07 125 125
JPMorgan Chase Capital XV
5.875%, 03/15/35 30 28
Korea Development Bank
5.750%, 09/10/13 50 50
Kreditanstalt fuer Wiederaufbau
4.250%, 06/15/10 40 39
Landesbank Baden - Wuerttemberg
New York MTN
5.050%, 12/30/15 40 39
Landwirtschaftliche Rentenbank
3.875%, 03/15/10 110 105
Lehman Brothers
7.875%, 08/15/10 110 120
Marsh & McLennan
5.375%, 07/15/14 85 81
Merrill Lynch
6.875%, 11/15/18 20 22
Merrill Lynch MTN, Ser C
5.000%, 01/15/15 35 33
Metlife
6.125%, 12/01/11 105 108
Morgan Stanley
7.250%, 04/01/32 30 34
NB Capital Trust IV
8.250%, 04/15/27 125 133
National Rural Utilities
Cooperative Finance MTN, Ser C
7.250%, 03/01/12 40 43
Pemex Project Funding Master Trust
7.875%, 02/01/09 145 152
RBS Capital Trust III (C)
5.512%, 09/30/49 60 58
- -------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------
Residential Capital
6.000%, 02/22/11 $ 30 $ 30
Royal Bank of Scotland Group PLC
4.700%, 07/03/18 50 46
SLM MTN, Ser A
5.000%, 10/01/13 35 34
SMBC International Finance
8.500%, 06/15/09 100 108
Sanwa Finance Aruba
8.350%, 07/15/09 100 108
Simon Property Group LP+
3.750%, 01/30/09 100 95
SunTrust Bank
6.375%, 04/01/11 50 52
Swiss Bank - New York
7.000%, 10/15/15 65 71
U.S. Bank NA
4.950%, 10/30/14 45 43
Wachovia Bank NA
7.800%, 08/18/10 85 93
Washington Mutual
4.625%, 04/01/14 50 46
-------
3,679
-------
HEALTH CARE -- 0.7%
Boston Scientific
5.450%, 06/15/14 40 38
Bristol-Myers Squibb
5.750%, 10/01/11 60 61
Eli Lilly
7.125%, 06/01/25 30 34
Pharmacia
6.500%, 12/01/18 20 22
WellPoint
5.000%, 12/15/14 25 24
Wyeth
5.500%, 03/15/13 75 74
-------
253
-------
INDUSTRIALS -- 1.7%
Alcoa
6.000%, 01/15/12 50 51
Baxter International
4.625%, 03/15/15 40 37
Eastman Chemical
7.250%, 01/15/24 15 16
Honeywell International
6.125%, 11/01/11 40 41
Illinois Tool Works
5.750%, 03/01/09 50 51
Lockheed Martin
8.500%, 12/01/29 20 26
- --------------------------------------------------------------------------------
14 SEI Index Funds / Annual Report / March 31, 2006
- -------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------
Masco
5.875%, 07/15/12 $ 45 $ 45
Nexen
5.875%, 03/10/35 25 23
Norfolk Southern
5.590%, 05/17/25 50 48
PHH Corp
7.125%, 03/01/13 25 26
Pulte Homes
5.250%, 01/15/14 55 51
Tyco International Group
6.875%, 01/15/29 15 16
Union Pacific
6.625%, 02/01/29 20 21
United Technologies
7.125%, 11/15/10 50 53
Viacom
6.625%, 05/15/11 80 83
Waste Management
7.000%, 07/15/28 20 21
-------
609
-------
INFORMATION TECHNOLOGY -- 0.4%
First Data
4.500%, 06/15/10 45 43
International Business Machines
4.750%, 11/29/12 125 121
-------
164
-------
MATERIALS -- 0.5%
Alcan
6.125%, 12/15/33 35 34
Dow Chemical
6.125%, 02/01/11 100 103
International Paper
5.500%, 01/15/14 40 38
Weyerhaeuser
7.125%, 07/15/23 25 26
-------
201
-------
TELECOMMUNICATION SERVICES -- 2.2%
AT&T
5.100%, 09/15/14 35 33
Alltel
7.000%, 03/15/16 25 27
Bellsouth Telecommunication
7.875%, 02/15/30 35 40
Deutsche Telekom International
Finance
8.750%, 06/15/30 20 24
France Telecom
8.500%, 03/01/31 25 31
- -------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------
Koninklijke
8.375%, 10/01/30 $ 35 $ 38
Motorola
8.000%, 11/01/11 75 84
SBC Communications
6.250%, 03/15/11 110 113
Sprint Capital
7.625%, 01/30/11 115 124
6.900%, 05/01/19 25 27
TCI Communications
8.750%, 08/01/15 75 88
Verizon Global Funding
7.750%, 12/01/30 65 72
Vodafone Group PLC
7.875%, 02/15/30 20 23
7.750%, 02/15/10 70 75
-------
799
-------
UTILITIES -- 1.6%
Alabama Power, Ser Q
5.500%, 10/15/17 35 34
Cincinnati Gas & Electric
5.700%, 09/15/12 55 55
Commonwealth Edison
4.740%, 08/15/10 60 58
Dominion Resources
6.300%, 03/15/33 35 34
Duke Energy
4.200%, 10/01/08 45 44
Duke Energy Field Services LLC
7.875%, 08/16/10 25 27
Exelon Generation LLC
6.950%, 06/15/11 40 42
FPL Group Capital
7.375%, 06/01/09 100 105
Jersey Central Power & Light
5.625%, 05/01/16 55 55
Midamerican Energy Holdings
8.480%, 09/15/28 40 49
Oncor Electric Delivery
7.000%, 05/01/32 20 22
Pacific Gas & Electric
4.800%, 03/01/14 50 47
-------
572
-------
Total Corporate Obligations
(Cost $7,797) ($ Thousands) 7,723
-------
- --------------------------------------------------------------------------------
SEI Index Funds / Annual Report / March 31, 2006 15
STATEMENT OF NET ASSETS
Bond Index Fund (Concluded)
March 31, 2006
- -------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 11.3%
FFCB
3.375%, 07/15/08 $ 170 $ 164
FHLB
4.625%, 02/08/08 320 317
4.500%, 09/16/13 100 96
4.375%, 09/17/10 175 170
3.875%, 08/22/08 75 73
3.625%, 11/14/08 100 96
3.375%, 09/14/07 165 161
3.000%, 04/15/09 160 151
FHLMC
6.875%, 09/15/10 125 133
6.750%, 03/15/31 25 30
6.625%, 09/15/09 60 63
6.375%, 08/01/11 85 85
6.250%, 07/15/32 65 73
5.750%, 03/15/09 to 01/15/12 345 353
5.625%, 03/15/11 100 102
5.500%, 01/01/36 196 192
5.125%, 07/15/12 75 75
4.500%, 01/15/14 110 105
3.500%, 09/15/07 215 210
2.875%, 05/15/07 100 98
FNMA
7.250%, 01/15/10 140 150
7.125%, 01/15/30 70 87
6.625%, 11/15/10 120 127
6.250%, 02/01/11 50 52
6.000%, 05/15/11 50 52
5.250%, 04/15/07 to 01/15/09 320 320
5.125%, 01/02/14 25 24
4.250%, 07/15/07 150 148
3.875%, 02/15/10 65 62
FNMA (A)
5.110%, 07/05/14 415 271
TVA, Ser B
6.000%, 03/15/13 100 105
-------
Total U.S. Government Agency Obligations
(Cost $4,137) ($ Thousands) 4,145
-------
ASSET-BACKED SECURITIES -- 6.3%
CREDIT CARDS -- 0.6%
Citibank Credit Card Issuance Trust,
Ser 2003-A7, Cl A7
4.150%, 07/07/17 100 91
Citibank Credit Card Master Trust,
Ser 1998-2, Cl A
6.050%, 01/15/10 100 102
-------
193
-------
- -------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------
FINANCIAL -- 0.5%
Morgan Stanley Dean Witter Capital,
Ser 2003-HQ2, Cl A2
4.920%, 03/12/35 $ 200 $ 193
-------
MORTGAGE RELATED SECURITIES -- 5.2%
Ameriquest Mortgage Securities,
Ser 2003-6 Cl AF4 (D)
4.329%, 08/25/33 150 146
Banc of America Commercial Mortgage,
Ser 2005-3, Cl A4
4.668%, 07/10/43 75 70
Bear Stearns Commercial Mortgage
Securities, Ser PWR4, Cl A3 (C)
5.468%, 06/11/41 100 99
CSFB Mortgage Securities,
Ser 1999-C1, Cl A2
7.290%, 09/15/41 250 262
Citigroup/Deutsche Bank Commercial
Mortgage Trust, Ser 2005-CD1,
Cl A4 (C)
5.225%, 07/15/44 85 83
DLJ Commercial Mortgage,
Ser 1998-CF2, Cl A1B
6.240%, 11/12/31 200 204
GE Capital Commercial Mortgage,
Ser 2000-1, Cl A2
6.496%, 01/15/33 175 182
GMAC Commercial Mortgage Securities,
Ser 1998-C1, Cl A2
6.700%, 05/15/30 94 95
GS Mortgage Securities, Ser 2005-GG4,
Cl A3
4.607%, 07/10/39 100 96
JPMorgan Chase Commercial Mortgage,
Ser 2000-C10, Cl A2
7.371%, 08/15/32 200 212
PECO Energy Transition Trust,
Ser 1999-A, Cl A7
6.130%, 03/01/09 150 152
UBS Commercial Mortage Trust,
Ser 2002-C1, Cl A3
6.226%, 03/15/26 150 154
Wachovia Bank Commercial Mortgage
Trust, Ser 2005-C17, Cl APB
5.037%, 03/15/42 50 49
Wachovia Bank Commercial Mortgage
Trust, Ser 2005-C20, Cl A7 (C)
5.118%, 07/15/42 110 106
-------
1,910
-------
Total Asset-Backed Securities
(Cost $2,346) ($ Thousands) 2,296
-------
- --------------------------------------------------------------------------------
16 SEI Index Funds / Annual Report / March 31, 2006
- -------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- -------------------------------------------------------------
YANKEE BONDS -- 1.9%
AXA
8.600%, 12/15/30 $ 15 $ 19
Canadian National Railways
4.400%, 03/15/13 25 23
Government of Canada
5.250%, 11/05/08 70 71
Hellenic Republic of Greece
6.950%, 03/04/08 90 93
Hydro-Quebec
8.050%, 07/07/24 20 25
International Bank for
Reconstruction & Development
8.250%, 09/01/16 85 104
Province of Nova Scotia
5.750%, 02/27/12 25 26
Province of Quebec
7.500%, 09/15/29 30 37
Republic of Italy
4.375%, 06/15/13 100 95
Telecom Italia Capital
6.375%, 11/15/33 15 14
United Mexican States
8.125%, 12/30/19 75 88
7.500%, 01/14/12 95 103
-------
Total Yankee Bonds
(Cost $705) ($ Thousands) 698
-------
CASH EQUIVALENT -- 1.9%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 4.560%* (B) 698,305 698
-------
Total Cash Equivalent
(Cost $698) ($ Thousands) 698
-------
MUNICIPAL BOND -- 0.3%
Illinois State, GO
5.100%, 06/01/33 120 112
-------
Total Municipal Bond
(Cost $110) ($ Thousands) 112
-------
Total Investments -- 100.4%
(Cost $37,266) ($ Thousands) $36,756
-------
- -------------------------------------------------------------
Value
Description ($ Thousands)
- -------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (0.4)%
Payable for Investment Securities Purchased $ (283)
Payable for Fund Shares Redeemed (137)
Income Distribution Payable (61)
Administration Fees Payable (9)
Investment Advisory Fees Payable (2)
Other Assets and Liabilities, Net 362
-------
Total Other Assets & Liabilities (130)
-------
Net Assets -- 100.0% $36,626
=======
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) 37,230
Accumulated net realized loss on investments (94)
Net unrealized depreciation on investments (510)
-------
Total Net Assets $36,626
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($36,625,533 / 3,575,203 shares) $10.24
======
* Rate shown is the 7-day effective yield as of March 31, 2006.
+ Real Estate Investment Trust
(A) Zero coupon security. The rate reported on the Statement of Net Assets is
the effective yield at time of purchase.
(B) Investment in Affiliated Registered Investment Company (see Note 3).
(C) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of March 31, 2006.
(D) Step Bonds -- The rate reflected on the Statement of Net Assets is the
effective yield on March 31, 2006. The coupon on a step bond changes on a
specified date.
Cl -- Class
FFCB -- Federal Farm Credit Bank
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
GO -- General Obligation
LLC -- Limited Liability Company
LP -- Limited Partnership
MTN -- Medium Term Note
NA -- National Association
PLC -- Public Limited Company
Ser -- Series
TVA -- Tennessee Valley Authority
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Index Funds / Annual Report / March 31, 2006 17
Statement of Assets and Liabilities ($ Thousands)
March 31, 2006
- ------------------------------------------------------------------------------------------------------------------------
S&P 500
INDEX
FUND
- ------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at Market Value (Cost $1,782,172) $2,524,960
Investments in Affiliated Investment Companies, at Market Value (Cost $56,589) 56,589
Receivable for Fund Shares Sold 88,697
Receivable for Investment Securities Sold 2,462
Dividends and Interest Receivable 2,665
- ------------------------------------------------------------------------------------------------------------------------
Total Assets 2,675,373
- ------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable Upon Return of Securities Loaned 266,512
Payable for Investment Securities Purchased 90,429
Payable for Fund Shares Redeemed 5,349
Administration Fees Payable 365
Variation Margin Payable 193
Investment Advisory Fees Payable 56
Shareholder Servicing Fees Payable 89
Accrued Expenses 133
- ------------------------------------------------------------------------------------------------------------------------
Total Liabilities 363,126
- ------------------------------------------------------------------------------------------------------------------------
Net Assets $2,312,247
- ------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital $1,550,557
Undistributed Net Investment Income 487
Accumulated Net Realized Gain on Investments and Futures Contracts 18,162
Net Unrealized Appreciation on Investments 742,788
Net Unrealized Appreciation on Futures Contracts 253
- ------------------------------------------------------------------------------------------------------------------------
Net Assets $2,312,247
- ------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share --
Class A ($614,245,850 / 16,006,374 shares) $38.38
- ------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share --
Class E ($1,684,856,885 / 43,784,851 shares) $38.48
- ------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share --
Class I ($13,143,856 / 341,998 shares) $38.43
- ------------------------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
18 SEI Index Funds / Annual Report / March 31, 2006
Statements of Operations ($ Thousands)
For the year ended March 31, 2006
- -------------------------------------------------------------------------------------------------------------------------
S&P 500 BOND
INDEX INDEX
FUND FUND
- -------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 36,992 $ --
Dividends from Affiliated Investment Companies(1) 876 28
Interest 63 2,289
Income from Securities Lending 296 --
- -------------------------------------------------------------------------------------------------------------------------
Total Investment Income 38,227 2,317
- -------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Administration Fees 4,423 168
Investment Advisory Fees 603 34
Shareholder Servicing Fees -- Class A Shares 952 120
Shareholder Servicing Fees -- Class E Shares 3,408 --
Shareholder Servicing Fees -- Class I Shares 32 --
Administrative Servicing Fees -- Class I Shares 32 --
Custodian/Wire Agent Fees 150 3
Professional Fees 113 2
Printing Fees 74 1
Licensing Fees 56 --
Registration Fees 51 2
Trustee Fees 24 1
Proxy Expenses 20 1
Other Expenses 133 3
- -------------------------------------------------------------------------------------------------------------------------
Total Expenses 10,071 335
- -------------------------------------------------------------------------------------------------------------------------
Less, Waiver of:
Administration Fees (602) (32)
Shareholder Servicing Fees -- Class A Shares -- (120)
Shareholder Servicing Fees -- Class E Shares (3,408) --
Shareholder Servicing Fees -- Class I Shares (13) --
- -------------------------------------------------------------------------------------------------------------------------
Net Expenses 6,048 183
- -------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 32,179 2,134
- -------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net Realized Gain (Loss) on Investments 64,637 (58)
Net Realized Gain on Futures Contracts 2,363 --
Net Change in Unrealized Appreciation (Depreciation) on Investments 118,328 (968)
Net Change in Unrealized Appreciation on Futures Contracts 348 --
- -------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $217,855 $1,108
- -------------------------------------------------------------------------------------------------------------------------
(1) See Note 3 in the Notes to Financial Statements.
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Index Funds / Annual Report / March 31, 2006 19
Statements of Changes in Net Assets ($ Thousands)
For the years ended March 31,
- ------------------------------------------------------------------------------------------------------------------------------
S&P 500 INDEX FUND BOND INDEX FUND
- ------------------------------------------------------------------------------------------------------------------------------
2006 2005 2006 2005
- ------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 32,179 $ 30,679 $ 2,134 $ 2,690
Net Realized Gain (Loss) from Investment Transactions
and Futures Contracts 67,000 50,061 (58) 840
Net Change in Unrealized Appreciation (Depreciation)
on Investments and Futures Contracts 118,676 34,524 (968) (3,296)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting
from Operations 217,855 115,264 1,108 234
- ------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income:
CLASS A: (9,054) (10,876) (2,165) (2,782)
CLASS E: (23,083) (19,191) -- --
CLASS I: (150) (131) -- --
Net Realized Gains:
CLASS A: (21,431) (582) (289) (692)
CLASS E: (48,130) (983) -- --
CLASS I: (430) (8) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (102,278) (31,771) (2,454) (3,474)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:(1)
CLASS A:
Proceeds from Shares Issued 100,477 144,323 20,737 33,693
Reinvestment of Dividends & Distributions 29,133 10,798 1,312 1,904
Cost of Shares Redeemed (207,986) (215,278) (37,683) (54,279)
- ------------------------------------------------------------------------------------------------------------------------------
Decrease in Net Assets Derived
from Class A Transactions (78,376) (60,157) (15,634) (18,682)
- ------------------------------------------------------------------------------------------------------------------------------
CLASS E:
Proceeds from Shares Issued 599,259(2) 569,754 -- --
Reinvestment of Dividends & Distributions 63,362 16,617 -- --
Cost of Shares Redeemed (362,975) (237,002) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class E Transactions 299,646 349,369 -- --
- ------------------------------------------------------------------------------------------------------------------------------
CLASS I:
Proceeds from Shares Issued 4,627 7,237 -- --
Reinvestment of Dividends & Distributions 580 139 -- --
Cost of Shares Redeemed (4,268) (2,653) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class I Transactions 939 4,723 -- --
- ------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 222,209 293,935 (15,634) (18,682)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 337,786 377,428 (16,980) (21,922)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 1,974,461 1,597,033 53,606 75,528
- ------------------------------------------------------------------------------------------------------------------------------
END OF YEAR $2,312,247 $1,974,461 $ 36,626 $ 53,606
- ------------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income $ 487 $ 578 $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------
(1) For Capital Share Transactions see Note 4 in the Notes to Financial
Statements.
(2) Includes subscriptions as a result of an in-kind transfer of securities (see
Note 9).
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
20 SEI Index Funds / Annual Report / March 31, 2006
Financial Highlights
For the years ended March 31, (unless otherwise indicated)
For a Share Outstanding Throughout Each Period
- -----------------------------------------------------------------------------------------------------------------------
Net Realized
and Distributions
Net Asset Unrealized Dividends from Total
Value, Net Gains Total from Net Realized Dividends Net Asset
Beginning Investment (Losses) from Investment Capital and Value, End
of Period Income on Securities Operations Income Gains Distributions of Period
- -----------------------------------------------------------------------------------------------------------------------
S&P 500 INDEX FUND
CLASS A
2006 $36.21 $0.56* $ 3.47* $ 4.03 $(0.54) $(1.32) $(1.86) $38.38
2005 34.66 0.59* 1.57* 2.16 (0.58) (0.03) (0.61) 36.21
2004 26.18 0.42* 8.58* 9.00 (0.52) -- (0.52) 34.66
2003 35.39 0.38 (9.21) (8.83) (0.38) -- (0.38) 26.18
2002 35.88 0.36 (0.46) (0.10) (0.39) -- (0.39) 35.39
CLASS E
2006 $36.31 $0.62* $ 3.48* $ 4.10 $(0.61) $(1.32) $(1.93) $38.48
2005 34.76 0.66* 1.55* 2.21 (0.63) (0.03) (0.66) 36.31
2004 26.26 0.47* 8.61* 9.08 (0.58) -- (0.58) 34.76
2003 35.49 0.44 (9.25) (8.81) (0.42) -- (0.42) 26.26
2002 35.97 0.43 (0.46) (0.03) (0.45) -- (0.45) 35.49
CLASS I
2006 $36.26 $0.47* $ 3.46* $ 3.93 $(0.44) $(1.32) $(1.76) $38.43
2005 34.72 0.51* 1.56* 2.07 (0.50) (0.03) (0.53) 36.26
2004 26.22 0.34* 8.60* 8.94 (0.44) -- (0.44) 34.72
2003 (2) 30.63 0.33 (4.46) (4.13) (0.28) -- (0.28) 26.22
BOND INDEX FUND
CLASS A
2006 $10.59 $0.47* $(0.28)* $ 0.19 $(0.48) $(0.06) $(0.54) $10.24
2005 11.12 0.46* (0.39)* 0.07 (0.47) (0.13) (0.60) 10.59
2004 11.11 0.46* 0.07* 0.53 (0.49) (0.03) (0.52) 11.12
2003 10.51 0.55 0.60 1.15 (0.55) -- (0.55) 11.11
2002 10.63 0.62 (0.12) 0.50 (0.62) -- (0.62) 10.51
Ratio of
Ratio of Net Expenses
Ratio of Net Investment to Average
Net Assets Expenses Income Net Assets Portfolio
Total+ End of Period to Average to Average (Excluding Turnover
Return(1) ($Thousands) Net Assets Net Assets Waivers) Rate(1)
- -----------------------------------------------------------------------------------------
S&P 500 INDEX FUND
CLASS A
2006 11.32% $ 614,246 0.40% 1.49% 0.43% 18%
2005 6.25 655,378 0.40 1.67 0.43 11
2004 34.62 686,129 0.40 1.33 0.43 7
2003 (25.06) 524,554 0.40 1.33 0.43 7
2002 (0.26) 815,354 0.40 0.99 0.43 9
CLASS E
2006 11.49% $1,684,857 0.25% 1.65% 0.53% 18%
2005 6.39 1,307,631 0.25 1.86 0.53 11
2004 34.83 904,534 0.25 1.47 0.53 7
2003 (24.92) 790,231 0.25 1.48 0.53 7
2002 (0.07) 1,194,588 0.25 1.14 0.53 9
CLASS I
2006 11.02% $ 13,144 0.65% 1.25% 0.78% 18%
2005 5.97 11,452 0.65 1.44 0.78 11
2004 34.28 6,370 0.65 1.06 0.78 7
2003 (2) (13.53) 1,707 0.65 1.17 0.78 7
BOND INDEX FUND
CLASS A
2006 1.79% $ 36,626 0.38% 4.45% 0.70% 56%
2005 0.72 53,606 0.38 4.24 0.69 55
2004 4.88 75,528 0.38 4.15 0.70 54
2003 11.17 82,304 0.38 4.92 0.70 54
2002 4.77 55,345 0.38 5.81 0.70 77
* Per share amounts calculated using average shares method.
(1) Returns and portfolio turnover rates are for the period indicated and have
not been annualized. Returns shown do not reflect the deduction of taxes
that a shareholder would pay on Fund distributions or the redemption of
Fund shares.
(2) Commenced operations June 28, 2002. All ratios for the period have been
annualized.
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Index Funds / Annual Report / March 31, 2006 21
Notes to Financial Statements
March 31, 2006
1. ORGANIZATION
SEI Index Funds (the "Trust") was organized as a Massachusetts Business Trust
under a Declaration of Trust dated March 6, 1985. The Trust is registered under
the Investment Company Act of 1940, as amended ("the 1940 Act"), as a
diversified, open-end management investment company with two funds: the S&P 500
Index Fund and the Bond Index Fund (each a "Fund" and together the "Funds"). The
Trust's prospectus provides a description of each Fund's investment objectives,
policies and strategies. The Trust is registered to offer Class A, Class E and
Class I shares of the S&P 500 Index Fund and Class A shares of the Bond Index
Fund. The assets of each Fund are segregated, and a shareholder's interest is
limited to the Fund in which shares are held.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by
the Funds.
USE OF ESTIMATES -- The preparation of financial statements in conformity with
generally accepted accounting principles in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates.
SECURITY VALUATION -- Securities listed on a securities exchange, market or
automated quotation system for which quotations are readily available (except
for securities traded on NASDAQ) are valued at the last quoted sale price on the
primary exchange or market on which they are traded, or, if there is no such
reported sale, at the most recent quoted bid price. For securities traded on
NASDAQ, the NASDAQ Official Closing Price will be used. If available, debt
securities are priced based upon valuations provided by independent, third-party
pricing agents. Such values generally reflect the last reported sales price if
the security is actively traded. The third-party pricing agents may also value
debt securities at an evaluated bid price by employing methodologies that
utilize actual market transactions, broker-supplied valuations, or other
methodologies designed to identify the market value for such securities. Debt
obligations with remaining maturities of sixty days or less may be valued at
their amortized cost, which approximates market value. Prices for most
securities held in the Funds are provided daily by recognized independent
pricing agents. If a security price cannot be obtained from an independent,
third-party pricing agent, the Funds seek to obtain a bid price from at least
one independent broker.
Securities for which market prices are not "readily available" are valued in
accordance with Fair Value Procedures established by the Funds' Board of
Trustees. The Funds' Fair Value Procedures are implemented through a Fair Value
Committee (the "Committee") designated by the Funds' Board of Trustees. Some of
the more common reasons that may necessitate that a security be valued using
Fair Value Procedures include: the security's trading has been halted or
suspended; the security has been de-listed from a national exchange; the
security's primary trading market is temporarily closed at a time when, under
normal conditions, it would be open; or the security's primary pricing source is
not able or willing to provide a price. When a security is valued in accordance
with the Fair Value Procedures, the Committee will determine the value after
taking into consideration relevant information reasonably available to the
Committee.
SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
accounted for on the date the security is purchased or sold (trade date).
Dividend income is recognized on the ex-dividend date, and interest income is
recognized on the accrual basis. Costs used in determining realized gains and
losses on the sales of investment securities are those of the specific
securities sold, adjusted for the accretion and amortization of purchase
discounts and premiums during the respective holding periods. Purchase discounts
and premiums on securities held by the Funds are accreted and amortized to
maturity using a method which approximates the effective interest method.
Paydown gains and losses are classified as interest income.
REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase
agreements are held by each Fund's custodian bank until maturity of the
repurchase agreements. Provisions of the agreements and the Trust's policies
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.
Tri-party repurchase agreements purchased as collateral for securities on loan
are maintained by the applicable securities lending agent (See Note 8).
Provisions of the 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 Fund may be delayed or limited.
- --------------------------------------------------------------------------------
22 SEI Index Funds / Annual Report / March 31, 2006
TBA PURCHASE COMMITMENTS -- The Funds may engage in "to be announced" ("TBA")
purchase commitments to purchase securities for a fixed price at a future date.
TBA 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 TBA purchase commitments are valued at the current market
value of the underlying securities, according to the procedures described under
"Security Valuation" above.
CLASSES -- Class-specific expenses are borne by that class of shares. Income,
expenses, and realized and unrealized gains/losses are allocated to the respec
tive classes on the basis of relative daily net assets.
EXPENSES -- Expenses that are directly related to one of the Funds are charged
directly to that Fund. Other operating expenses of the Trust are prorated to the
Funds on the basis of relative daily net assets.
FUTURES CONTRACTS -- The S&P 500 Index Fund invests in S&P 500 Index futures
contracts. The Fund's investment in S&P 500 Index futures contracts is intended
to assist the Fund in more closely approximating the performance of the S&P 500
Index. 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. The variation
margin requirements 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 the changes in the values of the
contract may not directly correlate with changes in the values of the underlying
securities, and that the counterparty to a contract may default on its
obligation to perform. Futures contracts involve risk of loss in excess of the
amounts recognized in the schedule of investments to the extent of the total
notional value.
In addition, the Fund pledged securities as collateral for the open futures
contracts and such securities have been segregated on the Fund's books.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions to
shareholders which are determined in accordance with Federal tax regulations are
recorded on the ex-dividend date. Dividends from net investment income for the
Funds are paid to shareholders in the form of monthly dividends for the Bond
Index Fund and quarterly dividends for the S&P 500 Index Fund. Any net realized
capital gains on sales of securities are distributed to shareholders at least
annually.
3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
ADMINISTRATION AND TRANSFER AGENCY AGREEMENT -- The Trust and SEI Investments
Global Funds Services (formerly SEI Investments Fund Management) (the
"Administrator") are parties to an amended and restated Administration and
Transfer Agency Agreement under which the Administrator provides administrative
and transfer agency services to the Funds for annual fees, based on the average
daily net assets of the respective funds, as presented below:
S&P 500 Index Fund .22%
Bond Index Fund .35%
However, the Administrator has also voluntarily agreed to waive its fee so that
the total annual expenses of each Fund will not exceed certain expense
limitations adopted by the Administrator as presented below. In the event that
the total annual expenses of a Fund, after reflecting a waiver of all fees by
the Administrator, exceed the specific limitation, the Administrator has agreed
to bear such excess. Any such waiver is voluntary and may be terminated at any
time at the Administrator's sole discretion.
- -------------------------------------------------------------------------------
S&P 500 Index Fund Bond Index Fund
- -------------------------------------------------------------------------------
Class A .40% .38%
Class E .25% --
Class I .65% --
During the year, expenses related to a proxy conducted by the Trust were charged
to the Funds above the cap.
Certain officers and Trustees of the Trust are also officers of the
Administrator or the adviser. The Trust pays each unaffiliated Trustee an annual
fee for attendance at quarterly, interim, and committee meetings. The
Administrator or the adviser pays compensation of officers.
DISTRIBUTION AGREEMENT -- SEI Investments Distribution Co. (the "Distributor"),
a wholly owned subsidiary of SEI Investments Company ("SEI") and a registered
broker-dealer, acts as the Distributor of the shares of the Trust under an
amended and restated distribution agreement dated September 16, 2002. The Trust
has adopted plans under which firms, including the Distributor, that provide
shareholder and administrative services may receive compensation therefrom. Such
plans provide fees payable to the Distributor equal to the following amounts,
calculated as a percentage of the average daily net
- --------------------------------------------------------------------------------
SEI Index Funds / Annual Report / March 31, 2006 23
Notes to Financial Statements (Continued)
March 31, 2006
assets attributable to each particular class of each respective fund.
- --------------------------------------------------------------------------------
Shareholder Administrative
servicing fees service fees
- --------------------------------------------------------------------------------
S&P 500 Index Fund
Class A .15% --
E .25% --
I .25% .25%
Bond Index Fund
Class A .25% --
The Distributor has voluntarily waived all or a portion of the shareholder
servicing fees for Class A of the Bond Index and Class E and I of the S&P 500
Index Fund since inception of the plan. Such waivers are voluntarily and may be
discontinued at any time.
For the year ended March 31, 2006, the Distributor retained 100% of both
shareholder servicing fees less the waiver and administrative servicing fees.
Wachovia Bank, N.A. serves as the custodian of the Funds. The custodian plays no
role in determining the investment policies of the Funds or which securities are
to be purchased or sold in the Funds.
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS -- Under an Investment Advisory
Agreement dated November 18, 1998 and amended November 1, 2004, SEI Investments
Management Corporation ("SIMC") serves as the Investment Adviser and "manager of
managers" of the Funds. For its services as Investment Adviser, SIMC receives a
monthly fee at an annual rate of 0.03% and 0.07% of the average daily net assets
of the S&P 500 Index and Bond Index Funds, respectively. As of October 11, 2005,
SSgA Funds Management, Inc. ("SSgA") serves as the sub-adviser for the S&P 500
Index Fund under a sub-advisory agreement with the Trust and SIMC. Prior to
October 11, 2005, Barclays Global Fund Advisors ("BGI") served as the
sub-adviser for the S&P 500 Index Fund. Standish Mellon Asset Management Company
LLC serves as the sub-adviser of the Bond Index Fund under a sub-advisory
agreement dated November 1, 2004.
INVESTMENT IN AFFILIATED REGISTERED INVESTMENT COMPANY -- Pursuant to an
exemptive order issued by the Securities and Exchange
Commission, the Funds may invest in the SEI moneymarket funds, provided that
investments in the SEI money market funds do not exceed 25% of the investing
Fund's total assets.
4. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
For the year ended March 31,
- -------------------------------------------------------------------------------------------------------------------
S&P 500 INDEX FUND BOND INDEX FUND
- -------------------------------------------------------------------------------------------------------------------
2006 2005 2006 2005
- -------------------------------------------------------------------------------------------------------------------
CLASS A:
Shares Issued 2,705 4,111 1,964 3,126
Shares Issued in Lieu of Cash Distributions 780 300 125 176
Shares Redeemed (5,579) (6,105) (3,577) (5,032)
- -------------------------------------------------------------------------------------------------------------------
Total Class A Transactions (2,094) (1,694) (1,488) (1,730)
- -------------------------------------------------------------------------------------------------------------------
CLASS E:
Shares Issued 15,809(1) 16,195 -- --
Shares Issued in Lieu of Cash Distributions 1,689 459 -- --
Shares Redeemed (9,723) (6,666) -- --
- -------------------------------------------------------------------------------------------------------------------
Total Class E Transactions 7,775 9,988 -- --
- -------------------------------------------------------------------------------------------------------------------
CLASS I:
Shares Issued 124 204 -- --
Shares Issued in Lieu of Cash Distributions 15 4 -- --
Shares Redeemed (113) (76) -- --
- -------------------------------------------------------------------------------------------------------------------
Total Class I Transactions 26 132 -- --
- -------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Capital Shares 5,707 8,426 (1,488) (1,730)
- -------------------------------------------------------------------------------------------------------------------
(1) Includes subscriptions as a result of in-kind transfers of securities (see
Note 9).
Amounts designated as "--" are either $0 or have been rounded to $0.
- --------------------------------------------------------------------------------
24 SEI Index Funds / Annual Report / March 31, 2006
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than temporary investments and short-term securities, during the year
ended March 31, 2006, were as follows ($ Thousands):
- --------------------------------------------------------------------------------
U.S.
Government
Securities Other Total
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND
Purchases $ -- $481,174 $481,174
Sales -- 364,571 364,571
BOND INDEX FUND
Purchases 20,529 5,436 25,965
Sales 31,574 10,112 41,686
The Bond Index Fund invests primarily in securities issued or guaranteed as to
principal and interest by the U.S. Government or its agencies or
instrumentalities. The ability of the issuers of repurchase agreements and other
bonds held by the Fund to meet their obligations may be affected by economic
developments in a specific industry, state or region. The market value of the
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 recognized by rating
agencies in the ability of an issuer to make payments of interest and principal
may also affect the value of these investments. A summary of credit quality
ratings for securities held by the Fund at March 31, 2006 is as follows
(Unaudited):
- --------------------------------------------------------------------------------
% of
Fund
Moody's Value
- --------------------------------------------------------------------------------
U.S. Government Securities 68.62%
Cash Equivalents 1.90
Other Bonds
Aaa 7.71
Aa 4.36
A 8.74
Baa 8.67
--------
Total 100.00%
========
6. FEDERAL TAX INFORMATION:
It is each Fund's intention to continue 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 tax
is required.
Dividends from net investment income and distributions from net realized capital
gains are determined in accordance with U.S. Federal income tax regulations,
which may differ from those amounts determined under accounting principles
generally accepted in the United States of America. 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, undistributed net
investment income or accumulated net realized gain, as appropriate, in the
period that the differences arise. Accordingly, the following permanent
differences, which are attributable to different treatment for gains and losses
on paydowns of mortgage- and asset-backed securities, reclassification of
long-term capital gain distributions on Real Estate Investment Trust securities,
the reclassification of long-term capital gain distributions to ordinary income,
and utilization of earnings and profits on shareholder redemptions have been
reclassified to/from the following accounts as of March 31, 2006 ($ Thousands):
- --------------------------------------------------------------------------------
Undistributed Accumulated
Net Investment Realized Paid-in-
Income/(Loss) Gain/(Loss) Capital
- --------------------------------------------------------------------------------
S&P 500 Index Fund $17 $(4,467) $4,450
Bond Index Fund $31 $(31) $--
The tax character of dividends and distributions declared during the years ended
March 31, 2006 and March 31, 2005 were as follows ($ Thousands):
- --------------------------------------------------------------------------------
S&P 500 Index Fund Bond Index Fund
2006 2005 2006 2005
- --------------------------------------------------------------------------------
Ordinary Income $ 33,739 $30,198 $2,165 $2,807
Long-term capital gain 68,539 1,573 289 667
-------- ------- ------ ------
Totals $102,278 $31,771 $2,454 $3,474
======== ======= ====== ======
As of March 31, 2006, the components of Distributable Earnings/ (Accumulated
Losses) on a tax basis were as follows ($ Thousands):
- --------------------------------------------------------------------------------
S&P 500 Bond
Index Fund Index Fund
- --------------------------------------------------------------------------------
Undistributed ordinary income $ 1,598 $ 147
Undistributed long-term capital gain 32,695 --
Post-October losses -- (77)
Unrealized appreciation (depreciation) 727,397 (528)
Other temporary differences -- (146)
-------- -----
Total Distributable Earnings/
(Accumulated Losses) $761,690 $(604)
======== =====
Post-October losses represent losses realized on investment transactions from
November 1, 2005 through March 31, 2006 that, in accordance with Federal income
tax regulations, the Funds may elect to defer and treat as having arisen in the
following fiscal year.
At March 31, 2006, the total cost of securities and the net realized gains and
losses on securities sold for Federal income tax purposes were different from
amounts reported for financial reporting purposes,
- --------------------------------------------------------------------------------
SEI Index Funds / Annual Report / March 31, 2006 25
Notes to Financial Statements (Concluded)
March 31, 2006
primarily due to wash sales which cannot be used for Federal income tax purposes
in the current year and have been deferred for use in future years. The Federal
tax cost and aggregate gross unrealized appreciation and depreciation on
investments held by the Funds at March 31, 2006 were as follows ($ Thousands):
- --------------------------------------------------------------------------------
Aggregate Aggregate Net
Gross Gross Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation Depreciation (Depreciation)
- --------------------------------------------------------------------------------
S&P 500 Index
Fund $1,854,152 $850,049 $(122,652) $727,397
Bond Index Fund 37,284 356 (884) (528)
7. INVESTMENT RISKS
In the normal course of business, the Funds enter into contracts that provide
general indemnifications by the Fund to the counterparty to the contract. The
Funds' maximum exposure under these arrangements is dependent on future claims
that may be made against the Funds and, therefore, cannot be established;
however, based on experience, the risk of loss from such claim is considered
remote.
8. SECURITIES LENDING
Each Fund, along with other funds in the SEI family of funds, may lend portfolio
securities to brokers, dealers and other financial organizations that meet
capital and other credit requirements or other criteria established by the
Trust's Board of Trustees. These loans may not exceed 33 1/3% of the total asset
value of the Fund (including the loan collateral). No Fund will lend portfolio
securities to its Investment Adviser, sub-adviser or their affiliates unless it
has applied for and received specific authority to do so from the SEC. Loans of
portfolio securities will be fully collateralized by cash, letters of credit,
corporate obligations, asset-back securities, repurchase agreements, master
notes or U.S. Government securities, and the collateral will be maintained in an
amount equal to at least 100% of the current market value of the loaned
securities by marking to market daily, although the borrower will be required to
deliver collateral of 102% and 105% of the market value of borrowed securities
for domestic and foreign securities, respectively. Although the risk of lending
is mitigated by the collateral, a Fund could experience delay in recovering its
securities and a possible loss of income or value if the borrower fails to
return them.
The S&P 500 Index Fund received cash as collateral for securities on loan and
made investments. Investments purchased with cash collateral are presented on
the schedule of investments.
9. IN-KIND TRANSFER OF SECURITIES
During the year ended March 31, 2006, the S&P 500 Index Fund issued shares of
beneficial interest in exchange for securities. The securities were transferred
at their current value on the date of transaction.
- --------------------------------------------------------------------------------
Transaction Shares
Date Issued Value
- --------------------------------------------------------------------------------
S&P 500 Index Fund 09/30/05 5,036,833 $191,047,087
03/31/06 845,413 32,531,494
10. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (UNAUDITED)
The Board of Trustees (the "Board") has selected KPMG LLP ("KPMG") to serve as
the Trust's independent registered public accounting firm for the Trust's fiscal
year ended March 31, 2006. The decision to select KPMG was recommended by the
Audit Committee and was approved by the Board on September 21, 2005. During the
Trust's fiscal years ended March 31, 2005 and March 31, 2004 and through
September 21, 2005, neither the Trust, its portfolios nor anyone on their behalf
has consulted with KPMG on items which (i) concerned the application of
accounting principles to a specified transaction, either completed or proposed,
or the type of audit opinion that might be rendered on the Trust's financial
statements; or (ii) concerned the subject of a disagreement (as defined in
paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as
described in paragraph (a)(1)(iv) of said Item 304).
The selection of KPMG does not reflect any disagreements with or dissatisfaction
by the Trust or the Board with the performance of the Trust's prior auditor. The
decision to dismiss Ernst & Young LLP ("E&Y"), the Trust's previous independent
registered public accounting firm, and to select KPMG was recommended by the
Trust's Audit Committee and approved by the Fund's Board of Trustees. E&Y's
report on the Trust's financial statements for the fiscal years ended March 31,
2005 and March 31, 2004 contained no adverse opinion or disclaimer of opinion
nor were they qualified or modified as to uncertainty, audit scope or accounting
principles. During the Trust's fiscal years ended March 31, 2005 and March 31,
2004 and through September 21, 2005, (i) there were no disagreements with E&Y on
any matter of accounting principles or practices, financial statement disclosure
or auditing scope or procedure, which disagreements, if not resolved to the
satisfaction of E&Y, would have caused it to make reference to the subject
matter of the disagreements in connection with its reports on the Trust's
financial statements for such years, and (ii) there were no "reportable events"
of the kind described in Item 302(a)(1)(v) of Regulation S-K under the
Securities Exchange Act of 1934, as amended.
- --------------------------------------------------------------------------------
26 SEI Index Funds / Annual Report / March 31, 2006
SEI INDEX FUNDS -- MARCH 31, 2006
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of SEI Index Funds:
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of the S&P 500 Index Fund and the statement of net
assets of the Bond Index Fund, the two Funds comprising the SEI Index Funds,
(collectively, the "Funds"), as of March 31, 2006, and the related statements of
operations and changes in net assets, and the financial highlights for the year
then ended. These financial statements and financial highlights are the
responsibility of the Funds' management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits. The statements of changes in net assets for the year-ended March 31,
2005 and the financial highlights for each of the years in the three-year period
then ended were audited by other auditors. Those auditors expressed an
unqualified opinion on those statements of changes in net assets and financial
highlights in their report dated May 13, 2005. The financial highlights for the
year ended March 31, 2002, were audited by other auditors who have ceased
operations. Those auditors expressed an unqualified opinion on those financial
highlights in their report dated April 30, 2002.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of March 31, 2006, by correspondence with custodians and
brokers. As to securities purchased or sold but not yet received or delivered,
we performed other appropriate auditing procedures. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the aforementioned funds of SEI Index Funds as of March 31, 2006, and the
results of their operations, the changes in their net assets, and the financial
highlights for the year then ended, in conformity with U.S. generally accepted
accounting principles.
[SIGNATURE OMITTED]
/s/ KPMG LLP
Philadelphia, Pennsylvania
May 23, 2006
- --------------------------------------------------------------------------------
SEI Index Funds / Annual Report / March 31, 2006 27
TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED)
The following chart lists Trustees and Officers as of May 28, 2006.
Set forth below are the names, addresses, ages, position with the Trust, Term of
Office and Length of Time Served, the principal occupations for the last five
years, number of portfolios in fund complex overseen by trustee, and other
directorships outside the fund complex of each of the persons currently serving
as Trustees and Officers of the Trust. The Trust's Statement of Additional
Information ("SAI") includes additional information about the Trustees and
Officers. The SAI may be obtained without charge by calling 1-800-342-5734.
- ------------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED1 FIVE YEARS BY TRUSTEE 2 TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES
- -------------------
Robert A. Nesher Chairman since 1982 Currently performs various 72 Trustee of The Advisors' Inner
One Freedom of the services on behalf of SEI Circle Fund, The Advisors
Valley Drive, Board of for which Mr. Nesher is Inner Circle Fund II, Bishop
Oaks, PA 19456 Trustees* compensated. Street Funds, Director of
59 yrs. old SEI Global Master Fund, plc,
SEI Global Assets Fund, plc,
SEI Global Investments Fund,
plc, SEI Investments Global,
Limited, SEI Investments --
Global Fund Services, Limited,
SEI Investments (Europe),
Limited, SEI Investments -- Unit
Trust Management (UK), Limited,
SEI Global Nominee Ltd., SEI
Absolute Return Master Fund,
L.P., SEI Absolute Return Fund,
L.P., SEI Opportunity Master
Fund, L.P., SEI Opportunity
Fund, L.P. and SEI Multi-Strategy
Funds plc.
- ------------------------------------------------------------------------------------------------------------------------------------
William M. Doran Trustee* since 1982 Self-employed consultant since 2003. 72 Trustee of The Advisors' Inner
1701 Market Street Partner, Morgan, Lewis & Bockius Circle Fund, The Advisors,
Philadelphia, PA LLP(law firm) from 1976 to 2003, Inner Circle Fund II, Director
19103 counsel to the Trust, SEI, SIMC, the of SEI since 1974. Director of
66 yrs. old Administrator and the Distributor. the Distributor since 2003.
Secretary of SEI since 1978. Director of SEI Investments --
Global Fund Services, Limited,
SEI Investments Global, Limited,
SEI Investments (Europe), Limited,
SEI Investments (Asia), Limited
and SEI Asset Korea Co., Ltd.
- ------------------------------------------------------------------------------------------------------------------------------------
TRUSTEES
- --------
F. Wendell Gooch Trustee since 1982 Retired 72 Trustee of STI Classic Funds
One Freedom and STI Classic Variable Trust.
Valley Drive,
Oaks, PA 19456
73 yrs. old
- ------------------------------------------------------------------------------------------------------------------------------------
James M. Storey Trustee since 1995 Attorney, sole practitioner 72 Trustee of The Advisors' Inner
One Freedom since 1994. Partner, Dechert Circle Fund, The Advisors'
Valley Drive, Price & Rhoads, September 1987- Inner Circle Fund II,
Oaks, PA 19456 December 1993. Massachusetts Health and
75 yrs. old Education Tax-Exempt Trust, and
U.S. Charitable Gift Trust.
- ------------------------------------------------------------------------------------------------------------------------------------
* MESSRS. NESHER AND DORAN ARE TRUSTEES WHO MAY BE DEEMED AS "INTERESTED"
PERSONS OF THE TRUST AS THAT TERM IS DEFINED IN THE 1940 ACT BY VIRTUE OF
THEIR AFFILIATION WITH SIMC AND THE TRUST'S DISTRIBUTOR.
1 EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE
ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER
DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF
TRUST.
2 THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST,
SEI DAILY INCOME TRUST, SEI INDEX FUNDS, SEIINSTITUTIONAL INVESTMENTS TRUST,
SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI
LIQUID ASSET TRUST AND SEI TAX EXEMPT TRUST.
- --------------------------------------------------------------------------------
28 SEI Index Funds / Annual Report / March 31, 2006
- ------------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED1 FIVE YEARS BY TRUSTEE 2 TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------------------
TRUSTEES (CONTINUED)
- --------
George J. Sullivan, Jr. Trustee since 1996 Self-Employed Consultant, Newfound 72 Trustee of The Advisors' Inner
One Freedom Consultants Inc. since April 1997. Circle Fund, The Advisors
Valley Drive Inner Circle Fund II, State
Oaks, PA 19456 Street Navigator Securities
63 yrs. old Lending Trust, SEI Absolute
Return Master Fund, L.P.,
SEI Absolute Return Fund, L.P.,
SEI Opportunity Master Fund,
L.P., and SEI Opportunity Fund,
L.P.
- ------------------------------------------------------------------------------------------------------------------------------------
Rosemarie B. Greco Trustee since 1999 Director, Governor's Office of Health 72 Director, Sonoco, Inc.; Director,
One Freedom` Care Reform, Commonwealth of ExelonCorporation; Trustee,
Valley Drive Pennsylvania since 2003. Founder Pennsylvania Real Estate
Oaks, PA 19456 and Principal, Grecoventures Ltd. Investment Trust.
60 yrs. old from 1999 to 2002.
- ------------------------------------------------------------------------------------------------------------------------------------
Nina Lesavoy Trustee since 2003 Managing Partner, Cue Capital since 72 SEI Absolute Return Master
One Freedom March 2002, Managing Partner and Fund, L.P., SEI Absolute Return
Valley Drive, Head of Sales, Investorforce, March Fund, L.P., SEI Opportunity
Oaks, PA 19456 2000-December 2001; Global Partner Master Fund, L.P., and SEI
48 yrs. old working for the CEO, Invesco Capital, Opportunity Fund, L.P.
January 1998-January 2000. Head of
Sales and Client Services, Chancellor
Capital and later LGT Asset
Management, 1986-2000.
- ------------------------------------------------------------------------------------------------------------------------------------
James M. Williams Trustee since 2004 Vice President and Chief Investment 72 SEI Absolute Return Master
One Freedom Officer, J. Paul Getty Trust, Non- Fund, L.P., SEI Absolute Return
Valley Drive, Profit Foundation for Visual Arts, Fund, L.P., SEI Opportunity
Oaks, PA 19456 since December 2002. President, Harbor Master Fund, L.P., and SEI
58 yrs. old Capital Advisors and Harbor Mutual Opportunity Fund, L.P.
Funds, 2000-2002. Manager, Pension
Asset Management, Ford Motor
Company, 1997-1999.
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS
- --------
Robert A. Nesher President since 2005 Currently performs various services N/A N/A
One Freedom & CEO on behalf of SEI for which
Valley Drive, Mr. Nesher is compensated.
Oaks, PA 19456
59 yrs. old
- ------------------------------------------------------------------------------------------------------------------------------------
Stephen F. Panner Controller and since 2005 Fund Accounting Director of the N/A N/A
One Freedom Chief Administrator since 2005. Fund
Valley Drive, Financial Administration Manager, Old Mutual
Oaks, PA 19456 Officer Fund Services, 2000-2005. Chief
35 yrs. old Financial Officer, Controller and
Treasurer, PBHG Funds and PBHG
Insurance Series Fund, 2004-2005.
Assistant Treasurer, PBHG Funds and
PBHG Insurance Series Fund, 2000-2004.
Assistant Treasurer, Old Mutual
Advisors Fund, 2004-2005.
- ------------------------------------------------------------------------------------------------------------------------------------
Russell Emery Chief since 2006 Director of Investment Product N/A N/A
One Freedom Compliance Management and Development
Valley Drive Officer of SEI since 2003. Senior
Oaks, PA 19456 Investment Analyst--Equity Team of
43 yrs. old SIMC, (2000-2003).
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Index Funds / Annual Report / March 31, 2006 29
TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED) (CONCLUDED)
- ------------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED1 FIVE YEARS BY TRUSTEE2 TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS (CONTINUED)
- --------------------
Timothy D. Barto Vice since 2002 General Counsel, Vice President and N/A N/A
One Freedom President Secretary of SIMC and the Administrator
Valley Drive and since 2004. Vice President and Assistant
Oaks, PA 19456 Secretary Secretary of SEI since 2001. Vice President
38 yrs. old of SIMC and the Administrator since 1999.
Assistant Secretary of SIMC, the
Administrator and the Distributor and Vice
President of the Distributor, 1999-2003.
- ------------------------------------------------------------------------------------------------------------------------------------
Sofia A. Rosala Vice since 2004 Vice President and Assistant Secretary of N/A N/A
One Freedom President SIMC and the Administrator since 2005.
Valley Drive and Compliance Officer of SEI September 2001-
Oaks, PA 19456 Assistant 2004. Account and Product Consultant,
32 yrs. old Secretary SEI Private Trust Company, 1998-2001.
- ------------------------------------------------------------------------------------------------------------------------------------
Philip T. Masterson Vice since 2004 Vice President and Assistant Secretary of N/A N/A
One Freedom President SIMC since 2005. General Counsel,
Valley Drive and Citco Mutual Fund Services, 2003-2004.
Oaks, PA 19456 Assistant Vice President and Associate Counsel,
42 yrs. old Secretary Oppenheimer Funds, 2001-2003.
Vice President and Assistant Counsel,
Oppenheimer Funds, 1997-2001.
- ------------------------------------------------------------------------------------------------------------------------------------
James Ndiaye Vice since 2005 Vice President and Assistant Secretary of N/A N/A
One Freedom President SIMC since 2005. Vice President,
Valley Drive and Deutsche Asset Management (2003-2004).
Oaks, PA 19456 Assistant Associate, Morgan, Lewis & Bockius LLP
37 yrs. old Secretary (2000-2003). Assistant Vice President,
ING Variable Annuities Group (1999-2000).
- ------------------------------------------------------------------------------------------------------------------------------------
Michael T. Pang Vice since 2005 Vice President and Assistant Secretary of N/A N/A
One Freedom President SIMC since 2005. Counsel, Caledonian
Valley Drive and Bank & Trust's Mutual Funds Group (2004).
Oaks, PA 19456 Assistant Counsel, Permal Asset Management
33 yrs. old Secretary (2001-2004). Associate, Schulte, Roth &
Zabel's Investment Management Group
(2000-2001). Staff Attorney, U.S. SEC's
Division of Enforcement, Northeast
Regional Office (1997-2000).
- ------------------------------------------------------------------------------------------------------------------------------------
John J. McCue Vice since 2004 Director of Portfolio Implementations for N/A N/A
One Freedom President SIMC since 1995. Managing Director
Valley Drive of Money Market Investments for SIMC
Oaks, PA 19456 since 2003.
43 yrs. old
- ------------------------------------------------------------------------------------------------------------------------------------
Nicole Welch Anti-Money since 2005 Assistant Vice President and Anti-Money N/A N/A
One Freedom Laundering Laundering Compliance Coordinator of
Valley Drive Compliance SEI since 2005. Compliance Analyst, TD
Oaks, PA 19456 Officer Waterhouse (2004). Senior Compliance
28 yrs. old Analyst, UBS Financial Services
(2002-2004). Knowledge Management
Analyst, PriceWaterhouseCoopers
Consulting (2000-2002).
- ------------------------------------------------------------------------------------------------------------------------------------
1 EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE
ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER
DIES, RESIGNS OR IS REMOVED IN ACCORDNCE WITH THE TRUST'S DECLARATION OF
TRUST.
2 THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST,
SEI DAILY INCOME TRUST, SEI INDEX FUNDS, SEIINSTITUTIONAL INVESTMENTS TRUST,
SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI
LIQUID ASSET TRUST AND SEI TAX EXEMPT TRUST.
- --------------------------------------------------------------------------------
30 SEI Index Funds / Annual Report / March 31, 2006
Disclosure of Fund Expenses (Unaudited)
All mutual funds have operating expenses. As a shareholder of a mutual fund,
your investment is affected by these ongoing costs, which include (among others)
costs for portfolio management, administrative services, and shareholder reports
like this one. It is important for you to understand the impact of these costs
on your investment returns.
Operating expenses such as these are deducted from the mutual fund's gross
income and directly reduce your final investment return. These expenses are
expressed as a percentage of the mutual fund's average net assets; this
percentage is known as the mutual fund's expense ratio.
The following examples use the expense ratio and are intended to help you
understand the ongoing costs (in dollars) of investing in your Fund and to
compare these costs with those of other mutual funds. The examples are based on
an investment of $1,000 made at the beginning of the period shown and held for
the entire period.
The table below illustrates your Fund's costs in two ways:
ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after
fee waivers that your Fund incurred over the period. The "Expenses Paid During
Period" column shows the actual dollar expense cost incurred by a $1,000
investment in the Fund, and the "Ending Account Value" number is derived from
deducting that expense cost from the Fund's gross investment return.
You can use this information, together with the actual amount you invested in
the Fund, to estimate the expenses you paid over that period. Simply divide your
actual account value by $1,000 to arrive at a ratio (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply that ratio by the number
shown for your Fund under "Expenses Paid During Period."
HYPOTHETICAL 5% RETURN. This section helps you compare your Fund's costs with
those of other mutual funds. It assumes that the Fund had an annual 5% return
before expenses during the year, but that the expense ratio (Column 3) for the
period is unchanged. This example is useful in making comparisons because the
Securities and Exchange Commission requires all mutual funds to make this 5%
calculation. You can assess your Fund's comparative cost by comparing the
hypothetical result for your Fund in the "Expenses Paid During Period" column
with those that appear in the same charts in the shareholder reports for other
mutual funds.
NOTE: Because the return is set at 5% for comparison purposes -- NOT your Fund's
actual return -- the account values shown may not apply to your specific
investment.
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
10/01/05 3/31/06 RATIOS PERIOD*
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A $1,000.00 $1,062.10 0.40% $2.06
Class E 1,000.00 1,062.60 0.25% 1.29
Class I 1,000.00 1,060.50 0.65% 3.34
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,022.94 0.40% $2.02
Class E 1,000.00 1,023.68 0.25% 1.26
Class I 1,000.00 1,021.69 0.65% 3.28
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
10/01/05 3/31/06 RATIOS PERIOD*
- --------------------------------------------------------------------------------
BOND INDEX FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A $1,000.00 $ 997.40 0.38% $1.89
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,023.04 0.38% 1.92
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO MULTIPLIED BY THE
AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 182/365 (TO REFLECT THE
ONE-HALF YEAR PERIOD SHOWN).
- --------------------------------------------------------------------------------
SEI Index Funds / Annual Report / March 31, 2006 31
Board of Trustees Considerations in Approving the
Advisory and Sub-Advisory Agreements (Unaudited)
The SEI Index Funds (the "Trust") and SEI Investments Management Corporation
("SIMC") have entered into an investment advisory agreement (the "Advisory
Agreement"). Pursuant to the Advisory Agreement, SIMC oversees the investment
advisory services provided to each series of the Trust (each, a "Fund" and,
collectively, the "Funds") and may manage the cash portion of the Funds' assets.
Pursuant to separate sub-advisory agreements (the "Sub-Advisory Agreements" and,
together with the Advisory Agreement, the "Investment Advisory Agreements") with
SIMC, and under the supervision of SIMC and the Trust's Board of Trustees (the
"Board"), the Sub-Advisers are responsible for the day-to-day investment
management of all or a discrete portion of the assets of the Funds. The
Sub-Advisers also are responsible for managing their employees who provide
services to these Funds. The Sub-Advisers are selected based primarily upon the
research and recommendations of SIMC, which evaluates quantitatively and
qualitatively each Sub-Adviser's skills and investment results in managing
assets for specific asset classes, investment styles and strategies.
The Investment Company Act of 1940, as amended (the "1940 Act") requires that
the initial approval of, as well as the continuation of, each Fund's Investment
Advisory Agreements must be specifically approved: (i) by the vote of the Board
of Trustees or by a vote of the shareholders of the Fund; and (ii) by the vote
of a majority of the Trustees who are not parties to the Investment Advisory
Agreements or "interested persons" of any party (the "Independent Trustees"),
cast in person at a meeting called for the purpose of voting on such approval.
In connection with their consideration of such approvals, the Fund's Trustees
must request and evaluate, and SIMC and the Sub-Advisers are required to
furnish, such information as may be reasonably necessary to evaluate the terms
of the Investment Advisory Agreements. In addition, the Securities and Exchange
Commission ("SEC") takes the position that, as part of their fiduciary duties
with respect to a mutual fund's fees, mutual fund boards are required to
evaluate the material factors applicable to a decision to approve an Investment
Advisory Agreement.
Consistent with these responsibilities, the Trust's Board of Trustees calls and
holds meetings each year that are dedicated to considering whether to renew the
Investment Advisory Agreements between the Trust and SIMC and SIMC and each of
the Sub-Advisers with respect to the Funds of the Trust. In preparation for
these meetings, the Board requests and reviews a wide variety of materials
provided by SIMC and the Sub-Advisers, including information about SIMC's and
the Sub-Advisers' affiliates, personnel and operations. The Board also receives
extensive data provided by third parties. This information is in addition to the
detailed information about the Funds that the Board reviews during the course of
each year, including information that relates to Fund operations and Fund
performance. The Trustees also receive a memorandum from Fund counsel and
independent counsel to the Independent Trustees regarding the responsibilities
of Trustees in connection with their consideration of whether to approve the
Trust's Investment Advisory Agreements. Finally, the Independent Trustees
receive advice from independent counsel to the Independent Trustees, meet in
executive session outside the presence of Fund management and participate in
question and answer sessions with representatives of SIMC and the Sub-Advisers.
Specifically, the Board requested and received written materials from SIMC and
each Sub-Adviser regarding: (a) the quality of SIMC's and the Sub-Adviser's
investment management and other services; (b) SIMC's and the Sub-Adviser's
investment management personnel; (c) SIMC's and the Sub-Adviser's operations and
financial condition; (d) SIMC's and the Sub-Adviser's brokerage practices
(including any soft dollar arrangements) and investment strategies; (e) the
level of the advisory fees that SIMC and each Sub-Adviser charge a Fund compared
with the fees each charge to comparable mutual funds; (f) a Fund's overall fees
and operating expenses compared with similar mutual funds; (g) the level of
SIMC's and each Sub-Adviser's profitability from its Fund-related operations;
(h) SIMC's and the Sub-Adviser's compliance systems; (i) SIMC's and the
Sub-Adviser's policies on and compliance procedures for personal securities
transactions; (j) SIMC's and the Sub-Adviser's reputation, expertise and
resources in domestic and/or international financial markets; and (k) each
Fund's performance compared with similar mutual funds.
At the September 20, 2005, September 21, 2005 and March 8, 2006 meetings of the
Board of Trustees, the Trustees, including a majority of the Independent
Trustees, approved the Investment Advisory Agreements and approved the selection
of SIMC and the Sub-Advisers to act in their respective capacities for the
Funds. The Board's approval was based on its consideration and evaluation of a
variety of specific factors discussed at the meetings and at prior meetings,
including:
o the nature, extent and quality of the services provided to the Funds under the
Investment Advisory Agreements, including the resources of SIMC and the
Sub-Advisers and their affiliates dedicated to the Funds;
- --------------------------------------------------------------------------------
32 SEI Index Funds / Annual Report / March 31, 2006
o each Fund's investment performance and how it compared to that of other
comparable mutual funds;
o each Fund's expenses under each Investment Advisory Agreement and how those
expenses compared to those of other comparable mutual funds;
o the profitability of SIMC and the Sub-Advisers and their affiliates with
respect to each Fund, including both direct and indirect benefits accruing to
SIMC and the Sub-Advisers and their affiliates; and
o the extent to which economies of scale would be realized as the Funds grow and
whether fee levels in the Investment Advisory Agreements reflect those
economies of scale for the benefit of Fund investors.
NATURE, EXTENT AND QUALITY OF SERVICES. The Board of Trustees considered the
nature, extent and quality of the services provided by SIMC and the Sub-Advisers
to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates
dedicated to the Funds. In this regard, the Trustees evaluated, among other
things, SIMC's and the Sub-Advisers' personnel, experience, track record and
compliance program. Following evaluation, the Board concluded that, within the
context of its full deliberations, the nature, extent and quality of services
provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and
the Sub-Advisers and their affiliates dedicated to the Funds supported renewal
of the Investment Advisory Agreements.
FUND PERFORMANCE. The Board of Trustees considered Fund performance in
determining whether to renew the Investment Advisory Agreements. Specifically,
the Trustees considered each Fund's performance relative to its peer group and
appropriate indices/benchmarks, in light of total return, yield and market
trends. As part of this review, the Trustees considered the composition of the
peer group and selection criteria. In evaluating performance, the Trustees
considered both market risk and shareholder risk expectations for a given Fund.
Following evaluation, the Board concluded that, within the context of its full
deliberations, the performance of the Funds supported renewal of the Investment
Advisory Agreements.
FUND EXPENSES. With respect to the Funds' expenses under the Investment Advisory
Agreements, the Trustees considered the rate of compensation called for by the
Investment Advisory Agreements and each Fund's net operating expense ratio in
comparison to those of other comparable mutual funds. The Trustees also
considered information about average expense ratios of comparable mutual funds
in each Fund's respective peer group. Finally, the Trustees considered the
effects of SIMC's voluntary waiver of management and other fees and the
Sub-Advisers' fees to prevent total Fund expenses from exceeding a specified cap
and that SIMC and the Sub-Advisers, through waivers, have maintained the Funds'
net operating expenses at competitive levels for their respective distribution
channels. Following evaluation, the Board concluded that, within the context of
its full deliberations, the expenses of the Funds are reasonable and supported
renewal of the Investment Advisory Agreements.
PROFITABILITY. With regard to profitability, the Trustees considered all
compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly
or indirectly. The Trustees considered whether the varied levels of compensation
and profitability under the Investment Advisory Agreements and other service
agreements were reasonable and justified in light of the quality of all services
rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. When
considering the profitability of the Sub-Advisors, the Board took into account
the fact that the Sub-Advisors are compensated by SIMC, and not by the Funds
directly, and such compensation with respect to any Sub-Advisor reflects an
arms-length negotiation between the Sub-Advisor and SIMC. Based on this
evaluation, the Board concluded that, within the context of its full
deliberations, the profitability of SIMC and the Sub-Advisers is reasonable and
supported renewal of the Investment Advisory Agreements.
ECONOMIES OF SCALE. The Trustees considered the existence of any economies of
scale and whether those were passed along to a Fund's shareholders through a
graduated investment advisory fee schedule or other means, including any fee
waivers by SIMC and its affiliates. Based on this evaluation, the Board
concluded that, within the context of its full deliberations, the Funds obtain
reasonable benefit from economies of scale.
Based on the Trustees' deliberation and their evaluation of the information
described above, the Board, including all of the Independent Trustees,
unanimously approved the continuation of the Investment Advisory Agreements and
concluded that the compensation under the Investment Advisory Agreements is fair
and reasonable in light of such services and expenses and such other matters as
the Trustees considered to be relevant in the exercise of their reasonable
judgment. In the course of their deliberations, the Trustees did not identify
any particular information that was all-important or controlling.
- --------------------------------------------------------------------------------
SEI Index Funds / Annual Report / March 31, 2006 33
Notice to Shareholders (Unaudited)
FOR SHAREHOLDERS THAT DO NOT HAVE A MARCH 31, 2006 TAXABLE YEAR END, THIS NOTICE
IS FOR INFORMATIONAL PURPOSES ONLY. For shareholders with a March 31, 2006
taxable year end, please consult your tax advisor as to the pertinence of this
notice.
For the fiscal year ended March 31, 2006 the Funds are designating long term
capital gains and qualifying dividend income with regard to distributions paid
during the year as follows:
(B) (C)
(A) ORDINARY QUALIFYING FOR
LONG TERM (15%) INCOME TOTAL CORPORATE
CAPITAL GAINS DISTRIBUTIONS DISTRIBUTIONS DIVIDENDS RECEIVED
FUND DISTRIBUTIONS (TAX BASIS) (TAX BASIS) DEDUCTION (2)
- --------- --------------- ------------- ------------- ------------------
S&P 500 Index 68.39% 31.61% 100.00% 100.00%
Bond Index (1) 11.49% 88.51% 100.00% 0.00%
(D)
QUALIFYING U.S. QUALIFIED QUALIFIED
DIVIDEND GOVERNMENT INTEREST SHORT-TERM
FUND INCOME(3) INTEREST(4) INCOME (5) CAPITAL GAIN (6)
- --------- ----------- ------------- ---------- ----------------
S&P 500 Index 100.00% 0.16% 2.46% 0.21%
Bond Index 0.00% 22.21% 90.79% 0.00%
(1) The Bond Index Fund does not satisfy statutory requirements to pass through
income from Federal obligations. Accordingly, the pro-rata portion of income
from Federal obligations may be exempt for those respective states' income
tax purposes.
(2) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction.
(3) The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short term capital gain and net investment income distributions).
It is the intention of each of the aforementioned funds to designate the
maximum amount permitted by law.
(4) "U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short term capital gain and net
investment income distributions). General interest from direct U.S.
Government obligations is exempt from state income tax.
(5) The percentage in this column represents the amount of "Qualifying Interest
Income" as created by the American Jobs Creation Act of 2004 and is
reflected as a percentage of net investment income distributions that is
exempt from U.S. withholding tax when paid to foreign investors.
(6) The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by the American Jobs Creation Act of
2004 and is reflected as a percentage of short-term distributions that is
exempt from U.S. withholding tax when paid to foreign investors.
Items (A) and (B) are based on the percentage of each Fund's total distribution.
Items (C) and (D) are based on the percentage of ordinary income of the Fund.
- --------------------------------------------------------------------------------
34 SEI Index Funds / Annual Report / March 31, 2006
Notes
Notes
SEI INDEX FUNDS ANNUAL REPORT MARCH 31, 2006
Robert A. Nesher, CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
James M. Storey
George J. Sullivan, Jr.
Rosemarie B. Greco
Nina Lesavoy
James M. Williams
OFFICERS
Robert A. Nesher
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Stephen F. Panner
CONTROLLER AND CHIEF FINANCIAL OFFICER
Russell Emery
CHIEF COMPLIANCE OFFICER
Timothy D. Barto
VICE PRESIDENT, SECRETARY
Sofia A. Rosala
VICE PRESIDENT, ASSISTANT SECRETARY
Philip T. Masterson
VICE PRESIDENT, ASSISTANT SECRETARY
James Ndiaye
VICE PRESIDENT, ASSISTANT SECRETARY
Michael T. Pang
VICE PRESIDENT, ASSISTANT SECRETARY
John J. McCue
VICE PRESIDENT
Nicole Welch
ANTI-MONEY LAUNDERING COMPLIANCE OFFICER
INVESTMENT ADVISER
SEI Investments Management Corporation
ADMINISTRATOR
SEI Investments Global Funds Services
DISTRIBUTOR
SEI Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
KPMG LLP
This 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.
FOR MORE INFORMATION CALL
1 800 DIAL SEI
(1 800 342 5734)
[LOGO OMITTED]
SEI New Ways
New Answers
SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-091 (3/06)
ITEM 2. CODE OF ETHICS.
The registrant has adopted a code of ethics that applies to the registrant's
principal executive officer, principal financial officer, comptroller or
principal accounting officer.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) The registrant's board of trustees has determined that the registrant
has one audit committee financial expert serving on the audit committee.
(a) (2) The audit committee financial expert is George J. Sullivan, Jr. Mr.
Sullivan is an independent trustee as defined in Form N-CSR Item 3 (a) (2).
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Fees billed by KPMG LLP ("KPMG") and Ernst & Young, LLP ("E&Y") related to the
Trust.
KPMG billed the Trust aggregate fees for services rendered to the Trust for the
fiscal year 2006 and E&Y billed the Trust aggregate fees for services rendered
to the Trust for the fiscal year 2005 as follows:
- ------------------ ----------------------------------------------------- -----------------------------------------------------
2006* 2005+
- ------------------ ----------------------------------------------------- -----------------------------------------------------
All fees and All fees and All other fees All fees and All fees and All other fees
services to the services to and services to services to the services to and services to
Trust that were service service Trust that were service service
pre-approved affiliates that affiliates that pre-approved affiliates that affiliates that
were pre- did not require were pre- did not require
approved pre-approval approved pre-approval
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(a) Audit $31,500 N/A $ $33,500 N/A $0
Fees(1)
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(b) Audit- $0 $0 $0 $0 $0 $0
Related
Fees
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(c) Tax $0 $0 $0 $0 $0 $0
Fees
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(d) All $0 $231,000 $0 $0 $0 $165,000
Other
Fees
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
*KPMG
+E&Y
Notes:
(1) Audit fees include amounts related to the audit of the registrant's
annual financial statements and services normally provided by the
accountant in connection with statutory and regulatory filings.
(2) Non-audit fees include amounts related to services provided in
connection with the SAS70 report on the hedge fund operations of the
administrator.
(e)(1) Not Applicable.
(e)(2) Percentage of fees billed applicable to non-audit services pursuant
to waiver of pre-approval requirement were as follows:
---------------------------- ----------------- ----------------
2006* 2005+
---------------------------- ----------------- ----------------
Audit-Related Fees 0% 0%
---------------------------- ----------------- ----------------
Tax Fees 0% 0%
---------------------------- ----------------- ----------------
All Other Fees 0% 0%
---------------------------- ----------------- ----------------
*KPMG
+E&Y
(f) Not applicable.
(g)(1) The aggregate non-audit fees and services billed by KPMG for the
fiscal year 2006 were $231,000. Non-audit fees consist of SAS No. 70 review of
fund accounting and administration operations, attestation report in accordance
with Rule 17 Ad-13, agreed upon procedures report over certain internal controls
related to compliance with federal securities laws and regulations and tax
consulting services for various service affiliates of the registrant.
(g)(2) The aggregate non-audit fees and services billed by E&Y for the
fiscal year 2005 were $165,000. Non-audit fees include amounts related to
services provided in connection with the SAS No.70 report on the hedge fund
operations of the administrator.
(h) During the past fiscal year, Registrant's principal accountant
provided certain non-audit services to Registrant's investment adviser or to
entities controlling, controlled by, or under common control with Registrant's
investment adviser that provide ongoing services to Registrant that were not
subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of
Regulation S-X. The audit committee of Registrant's Board of Trustees reviewed
and considered these non-audit services provided by Registrant's principal
accountant to Registrant's affiliates, including whether the provision of these
non-audit services is compatible with maintaining the principal accountant's
independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to open-end management investment companies.
ITEM 6. SCHEDULE OF INVESTMENTS
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to open-end management investment companies.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable. Effective for closed-end management investment companies for
fiscal years ending on or after December 31, 2005
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not applicable to open-end management investment companies.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Trust has a standing Nominating Committee (the "Committee") currently
consisting of the Independent Trustees. The Committee is responsible for
evaluating and recommending nominees for election to the Trust's Board of
Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18,
2004, the Committee will review all shareholder recommendations for nominations
to fill vacancies on the Board if such recommendations are submitted in writing
and addressed to the Committee at the Trust's office.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The certifying officers, whose certifications are included herewith, have
evaluated the registrant's disclosure controls and procedures within 90 days of
the filing date of this report. Based on their evaluation, certifying officers
have concluded that the the registrant's disclosure controls and procedures are
adequately designed, and are operating effectively to ensure, that information
required to be disclosed by the registrant in the reports it files or submits
under the Securities Exchange Act of 1934 is recorded, processed, summarized and
reported within the time periods specified in the Securities and Exchange
Commission's rules and forms.
(b) There were no significant changes in the registrant's internal control over
financial reporting that occurred during the registrant's last fiscal half-year
that have materially affected, or are reasonably likely to materially affect,
the registrants internal control over financial reporting.
ITEMS 12. EXHIBITS.
(a)(1) Code of Ethics attached hereto.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed
herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing
as an Exhibit.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) SEI Index Funds
By (Signature and Title)* /s/ Robert A. Nesher
---------------------------------
Robert A. Nesher, Chief Executive Officer
Date: June 5, 2006
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Robert A. Nesher
---------------------------------
Robert A. Nesher, Chief Executive Officer
Date: June 5, 2006
By (Signature and Title)* /s/ Stephen F. Panner
---------------------------------
Stephen F. Panner, Controller & CFO
Date: June 5, 2006
* Print the name and title of each signing officer under his or her signature.