UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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FORM N-CSRS
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-07445
SEI ASSET ALLOCATION TRUST
(Exact name of registrant as specified in charter)
--------
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Address of principal executive offices) (Zip code)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
CT Corporation
101 Federal Street
Boston, MA 02110
(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, 2009
DATE OF REPORTING PERIOD: SEPTEMBER 30, 2008
ITEM 1. REPORTS TO STOCKHOLDERS.
(SEI LOGO) New ways.
New answers.(R)
SEI Asset Allocation Trust
Semi-Annual Report as of September 30, 2008
Diversified Conservative Income Fund
Diversified Conservative Fund
Diversified Global Moderate Growth Fund
Diversified Moderate Growth Fund
Diversified Global Growth Fund
Diversified Global Stock Fund
Diversified U.S. Stock Fund
Defensive Strategy Fund
Defensive Strategy Allocation Fund
Conservative Strategy Fund
Conservative Strategy Allocation Fund
Moderate Strategy Fund
Moderate Strategy Allocation Fund
Aggressive Strategy Fund
Tax-Managed Aggressive Strategy Fund
Core Market Strategy Fund
Core Market Strategy Allocation Fund
Market Growth Strategy Fund
Market Growth Strategy Allocation Fund
TABLE OF CONTENTS
Schedules of Investments 1
Statements of Assets and Liabilities 20
Statements of Operations 26
Statements of Changes in Net Assets 32
Financial Highlights 38
Notes to Financial Statements 45
Disclosure of Fund Expenses 55
Supplemental Financial Information:
Financial Statements of SIMT Large Cap Diversified Alpha Fund 57
The Trust files its complete schedule of investments of portfolio holdings with
the Securities and Exchange Commission for the first and third quarter of each
fiscal year on Form N-Q within sixty days after period end. 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-DIAL-SEI; and (ii) on the Commission's website at
http://www.sec.gov.
SCHEDULE OF INVESTMENTS (Unaudited)
Diversified Conservative Income Fund
September 30, 2008
SECTOR WEIGHTINGS+:
(PERFORMANCE GRAPH)
Fixed Income Fund 54.1%
Equity Funds 25.9%
Money Market Fund 20.0%
+ Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- --------------------------------------- --------- -------------
AFFILIATED INVESTMENT FUNDS -- 99.9%
FIXED INCOME FUND -- 54.0%
SEI Institutional Managed Trust
Core Fixed Income Fund,
Class A* 2,727,442 $ 25,556
-------------
Total Fixed Income Fund
(Cost $28,220) ($ Thousands) 25,556
-------------
EQUITY FUNDS -- 25.9%
SEI Institutional Managed Trust
Large Cap Diversified Alpha Fund,
Class A 1,302,378 10,719
SEI Institutional Managed Trust
Small Cap Growth Fund, Class A 36,647 512
SEI Institutional Managed Trust
Small Cap Value Fund, Class A 31,570 486
SEI Institutional Managed Trust
Small/Mid Cap Diversified Alpha
Fund, Class A 70,847 512
-------------
Total Equity Funds
(Cost $14,558) ($ Thousands) 12,229
-------------
MONEY MARKET FUND -- 20.0%
SEI Liquid Asset Trust
Prime Obligation Fund,
Class A, 1.87% (A) 9,446,175 9,446
-------------
Total Money Market Fund
(Cost $9,446) ($ Thousands) 9,446
-------------
Total Investments -- 99.9%
(Cost $52,224) ($ Thousands) $ 47,231
=============
Percentages are based on Net Assets of $47,270 ($ Thousands).
(A) Rate shown is the 7-day effective yield as of September 30, 2008.
* The Fund's investment in the SEI Institutional Managed Trust Core Fixed
Income Fund, Class A represents greater than 50% of the Fund's total
investments. The SEI Institutional Managed Trust Core Fixed Income Fund
seeks to have current income consistent with the preservation of capital.
For further financial information, available upon request at no charge, on
the SEI Institutional Managed Trust Core Fixed Income Fund please go to the
Securities Exchange Commission's website at http://www.sec.gov or call
1-800-DIAL-SEI.
The accompanying notes are an integral part of the financial statements.
SEI ASSET ALLOCATION TRUST / SEMI-ANNUAL REPORT / SEPTEMBER 30, 2008 1
SCHEDULE OF INVESTMENTS (Unaudited)
Diversified Conservative Fund
September 30, 2008
SECTOR WEIGHTINGS+:
(PERFORMANCE GRAPH)
Fixed Income Fund 57.8%
Equity Funds 41.1%
Money Market Fund 1.1%
+ Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
AFFILIATED INVESTMENT FUNDS -- 100.6%
FIXED INCOME FUND -- 58.2%
SEI Institutional Managed Trust
Core Fixed Income Fund,
Class A* 3,580,167 $ 33,546
---------------
Total Fixed Income Fund
(Cost $36,998) ($ Thousands) 33,546
---------------
EQUITY FUND -- 41.3%
SEI Institutional International Trust
International Equity Fund, Class A 528,006 4,673
SEI Institutional Managed Trust
Large Cap Diversified Alpha Fund,
Class A 2,040,304 16,792
SEI Institutional Managed Trust
Small Cap Growth Fund, Class A 57,559 805
SEI Institutional Managed Trust
Small Cap Value Fund, Class A 49,474 761
SEI Institutional Managed Trust
Small/Mid Cap Diversified Alpha Fund,
Class A 111,250 804
---------------
Total Equity Funds
(Cost $27,759) ($ Thousands) 23,835
---------------
MONEY MARKET FUND -- 1.1%
SEI Liquid Asset Trust
Prime Obligation Fund,
Class A, 1.87%(A) 609,111 609
---------------
Total Money Market Fund
(Cost $609) ($ Thousands) 609
---------------
Total Investments -- 100.6%
(Cost $65,366) ($ Thousands) $ 57,990
===============
Percentages are based on Net Assets of $57,658 ($ Thousands).
(A) Rate shown is the 7-day effective yield as of September 30, 2008.
* The Fund's investment in the SEI Institutional Managed Trust Core Fixed
Income Fund, Class A represents greater than 50% of the Fund's total
investments. The SEI Institutional Managed Trust Core Fixed Income Fund
seeks to have current income consistent with the preservation of capital.
For further financial information, available upon request at no charge, on
the SEI Institutional Managed Trust Core Fixed Income Fund please go to the
Securities Exchange Commission's website at http://www.sec.gov or call
1-800-DIAL-SEI.
The accompanying notes are an integral part of the financial statements.
2 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Diversified Global Moderate Growth Fund
September 30, 2008
SECTOR WEIGHTINGS+:
(PERFORMANCE GRAPH)
Equity Funds 61.4%
Fixed Income Funds 38.1%
Money Market Fund 0.5%
+ Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
AFFILIATED INVESTMENT FUNDS -- 99.7%
EQUITY FUNDS -- 61.3%
SEI Institutional International Trust
Emerging Markets Equity Fund,
Class A 140,245 $ 1,603
SEI Institutional International Trust
International Equity Fund, Class A 2,442,107 21,612
SEI Institutional Managed Trust
Large Cap Diversified Alpha Fund,
Class A 7,589,285 62,460
SEI Institutional Managed Trust
Small Cap Growth Fund, Class A 213,693 2,987
SEI Institutional Managed Trust
Small Cap Value Fund, Class A 183,920 2,829
SEI Institutional Managed Trust
Small/Mid Cap Diversified Alpha Fund,
Class A 413,116 2,987
---------------
Total Equity Funds
(Cost $112,228) ($ Thousands) 94,478
---------------
FIXED INCOME FUNDS -- 38.0%
SEI Institutional Managed Trust
Core Fixed Income Fund, Class A 4,968,125 46,551
SEI Institutional International Trust
Emerging Markets Debt Fund,
Class A 639,867 6,034
SEI Institutional Managed Trust
High Yield Bond Fund, Class A 915,481 6,061
---------------
Total Fixed Income Funds
(Cost $66,057) ($ Thousands) 58,646
---------------
MONEY MARKET FUND -- 0.4%
SEI Liquid Asset Trust
Prime Obligation Fund, Class A,
1.87% (A) 672,862 673
---------------
Total Money Market Fund
(Cost $673) ($ Thousands) 673
---------------
Total Investments -- 99.7%
(Cost $178,958) ($ Thousands) $ 153,797
===============
Percentages are based on Net Assets of $154,219 ($ Thousands).
(A) Rate shown is the 7-day effective yield as of September 30, 2008.
The accompanying notes are an integral part of the financial statements.
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 3
SCHEDULE OF INVESTMENTS (Unaudited)
Diversified Moderate Growth Fund
September 30, 2008
SECTOR WEIGHTINGS+:
(PERFORMANCE GRAPH)
Equity Funds 61.2%
Fixed Income Fund 38.0%
Money Market Fund 0.8%
+ Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
AFFILIATED INVESTMENT FUNDS -- 106.4%
EQUITY FUNDS -- 65.1%
SEI Institutional International Trust
International Equity Fund, Class A 1,631,565 $ 14,439
SEI Institutional Managed Trust
Large Cap Diversified Alpha Fund,
Class A 6,308,089 51,916
SEI Institutional Managed Trust
Small Cap Growth Fund, Class A 177,891 2,487
SEI Institutional Managed Trust
Small Cap Value Fund, Class A 152,899 2,352
SEI Institutional Managed Trust
Small/Mid Cap Diversified Alpha Fund,
Class A 343,903 2,486
---------------
Total Equity Funds
(Cost $86,394) ($ Thousands) 73,680
---------------
FIXED INCOME FUND -- 40.4%
SEI Institutional Managed Trust
Core Fixed Income Fund,
Class A 4,872,529 45,655
---------------
Total Fixed Income Fund
(Cost $50,673) ($ Thousands) 45,655
---------------
MONEY MARKET FUND -- 0.9%
SEI Liquid Asset Trust
Prime Obligation Fund, Class A,
1.87% (A) 1,002,007 1,002
---------------
Total Money Market Fund
(Cost $1,002) ($ Thousands) 1,002
---------------
Total Investments -- 106.4%
(Cost $138,069) ($ Thousands) $ 120,337
===============
Percentages are based on Net Assets of $113,115 ($ Thousands).
(A) Rate shown is the 7-day effective yield as of September 30, 2008.
The accompanying notes are an integral part of the financial statements.
4 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Diversified Global Growth Fund
September 30, 2008
SECTOR WEIGHTINGS+:
(PERFORMANCE GRAPH)
Equity Funds 80.7%
Fixed Income Funds 18.3%
Money Market Fund 1.0%
+ Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
AFFILIATED INVESTMENT FUNDS -- 100.6%
EQUITY FUNDS -- 81.2%
SEI Institutional International Trust
Emerging Markets Equity Fund,
Class A 311,910 $ 3,565
SEI Institutional International Trust
International Equity Fund, Class A 3,489,914 30,886
SEI Institutional Managed Trust
Large Cap Diversified Alpha Fund,
Class A* 11,249,654 92,584
SEI Institutional Managed Trust
Small Cap Growth Fund, Class A 317,150 4,434
SEI Institutional Managed Trust
Small Cap Value Fund, Class A 273,342 4,204
SEI Institutional Managed Trust
Small/Mid Cap Diversified Alpha Fund,
Class A 613,021 4,432
---------------
Total Equity Funds
(Cost $166,788) ($ Thousands) 140,105
---------------
FIXED INCOME FUNDS -- 18.4%
SEI Institutional Managed Trust
Core Fixed Income Fund, Class A 2,670,993 25,027
SEI Institutional International Trust
Emerging Markets Debt Fund,
Class A 355,498 3,353
SEI Institutional Managed Trust
High Yield Bond Fund, Class A 508,643 3,367
---------------
Total Fixed Income Funds
(Cost $35,752) ($ Thousands) 31,747
---------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
MONEY MARKET FUND -- 1.0%
SEI Liquid Asset Trust
Prime Obligation Fund,
Class A, 1.87% (A) 1,793,133 $ 1,793
---------------
Total Money Market Fund
(Cost $1,793) ($ Thousands) 1,793
---------------
Total Investments -- 100.6%
(Cost $204,333) ($ Thousands) $ 173,645
===============
Percentages are based on Net Assets of $172,662 ($ Thousands).
(A) Rate shown is the 7-day effective yield as of September 30, 2008.
* The Fund's investment in the SEI Institutional Managed Trust Large Cap
Diversified Alpha Fund, Class A represents greater than 50% of the Fund's
total investments. The SEI Institutional Managed Trust Large Cap
Diversified Alpha Fund seeks to provide capital appreciation. Since the
investment in the SEI Institutional Managed Trust Large Cap Diversified
Alpha Fund represents greater than 75% of the total investments of certain
other funds included in this Semi-Annual report, the Annual Report as of
September 30, 2008 for the SEI Institutional Managed Trust Large Cap
Diversified Alpha Fund is included at the back of these financial
statements. For further financial information, available upon request at no
charge, on the SEI Institutional Managed Trust Large Cap Diversified Alpha
Fund please go to the Securities Exchange Commission's website at
http://www.sec.gov or call 1-800-DIAL-SEI.
The accompanying notes are an integral part of the financial statements.
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 5
SCHEDULE OF INVESTMENTS (Unaudited)
Diversified Global Stock Fund
September 30, 2008
SECTOR WEIGHTINGS+:
(PERFORMANCE GRAPH)
Equity Funds 99.0%
Money Market Fund 1.0%
+ Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
AFFILIATED INVESTMENT FUNDS -- 100.5%
EQUITY FUNDS -- 99.5%
SEI Institutional International Trust
Emerging Markets Equity Fund, Class A 149,291 $ 1,707
SEI Institutional International Trust
International Equity Fund, Class A 2,132,930 18,877
SEI Institutional Managed Trust
Large Cap Diversified Alpha Fund,
Class A* 6,639,166 54,640
SEI Institutional Managed Trust
Small Cap Growth Fund, Class A 187,430 2,620
SEI Institutional Managed Trust
Small Cap Value Fund, Class A 160,882 2,474
SEI Institutional Managed Trust
Small/Mid Cap Diversified Alpha Fund,
Class A 362,314 2,620
---------------
Total Equity Funds
(Cost $101,462) ($ Thousands) 82,938
---------------
MONEY MARKET FUND -- 1.0%
SEI Liquid Asset Trust
Prime Obligation Fund, Class A,
1.87% (A) 837,463 837
---------------
Total Money Market Fund
(Cost $837) ($ Thousands) 837
---------------
Total Investments -- 100.5%
(Cost $102,299) ($ Thousands) $ 83,775
===============
Percentages are based on Net Assets of $83,371 ($ Thousands).
(A) Rate shown is the 7-day effective yield as of September 30, 2008.
* The Fund's investment in the SEI Institutional Managed Trust Large Cap
Diversified Alpha Fund, Class A represents greater than 50% of the Fund's
total investments. The SEI Institutional Managed Trust Large Cap
Diversified Alpha Fund seeks to provide capital appreciation. Since the
investment in the SEI Institutional Managed Trust Large Cap Diversified
Alpha Fund represents greater than 75% of the total investments of certain
other funds included in this Semi-Annual report, the Annual Report as of
September 30, 2008 for the SEI Institutional Managed Trust Large Cap
Diversified Alpha Fund is included at the back of these financial
statements. For further financial information, available upon request at no
charge, on the SEI Institutional Managed Trust Large Cap Diversified Alpha
Fund please go to the Securities Exchange Commission's website at
http://www.sec.gov or call 1-800-DIAL-SEI.
The accompanying notes are an integral part of the financial statements.
6 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Diversified U.S. Stock Fund
September 30, 2008
SECTOR WEIGHTINGS+:
(PERFORMANCE GRAPH)
Equity Funds 99.1%
Money Market Fund 0.9%
+ Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
AFFILIATED INVESTMENT FUNDS -- 100.0%
EQUITY FUND-- 99.1%
SEI Institutional Managed Trust
Large Cap Diversified Alpha Fund,
Class A* 5,377,961 $ 44,261
SEI Institutional Managed Trust
Small Cap Growth Fund, Class A 151,691 2,121
SEI Institutional Managed Trust
Small Cap Value Fund, Class A 130,320 2,004
SEI Institutional Managed Trust
Small/Mid Cap Diversified Alpha Fund,
Class A 293,185 2,120
---------------
Total Equity Funds
(Cost $61,242) ($ Thousands) 50,506
---------------
MONEY MARKET FUND -- 0.9%
SEI Liquid Asset Trust
Prime Obligation Fund, Class A,
1.87% (A) 434,365 434
---------------
Total Money Market Fund
(Cost $434) ($ Thousands) 434
---------------
Total Investments -- 100.0%
(Cost $61,676) ($ Thousands) $ 50,940
===============
Percentages are based on Net Assets of $50,944 ($ Thousands).
(A) Rate shown is the 7-day effective yield as of September 30, 2008.
* The Fund's investment in the SEI Institutional Managed Trust Large Cap
Diversified Alpha Fund, Class A represents greater than 75% of the Fund's
total investments. The SEI Institutional Managed Trust Large Cap
Diversified Alpha Fund seeks to provide capital appreciation. Due to the
Funds investment in the SEI Institutional Managed Trust Large Cap
Diversified Alpha Alpha being greater than 75%, the Semi-Annual Report as
of March 31, 2008 for the SEI Institutional Managed Trust Large Cap
Diversified Alpha Fund is included in the back of these financial
statements. For further financial information, available upon request at no
charge, on the SEI Institutional Managed Trust Large Cap Diversified Alpha
Fund please go to the Securities Exchange Commission's website at
http://www.sec.gov or call 1-800-DIAL-SEI.
The accompanying notes are an integral part of the financial statements.
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 7
SCHEDULE OF INVESTMENTS (Unaudited)
Defensive Strategy Fund
September 30, 2008
SECTOR WEIGHTINGS+:
(PERFORMANCE GRAPH)
Fixed Income Funds 28.9%
Equity Funds 5.0%
Money Market Fund 66.1%
+ Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
AFFILIATED INVESTMENT FUNDS-- 100.3%
FIXED INCOME FUNDS -- 28.9%
SEI Institutional Managed Trust
Core Fixed Income Fund, Class A 537,269 $ 5,034
SEI Institutional Managed Trust
Enhanced Income Fund, Class A 519,283 4,269
SEI Institutional Managed Trust
High Yield Bond Fund, Class A 672,277 4,450
---------------
Total Fixed Income Funds
(Cost $15,941) ($ Thousands) 13,753
---------------
EQUITY FUNDS -- 5.1%
SEI Institutional Managed Trust
Global Managed Volatility Fund,
Class A 43,500 394
SEI Institutional Managed Trust
Real Estate Fund, Class A 28,503 392
SEI Institutional Managed Trust
U.S. Managed Volatility Fund, Class A 143,126 1,610
---------------
Total Equity Funds
(Cost $2,172) ($ Thousands) 2,396
---------------
MONEY MARKET FUND --66.3%
SEI Liquid Asset Trust Prime Obligation
Fund, Class A, 1.87%* (A) 31,533,966 31,534
---------------
Total Money Market Fund
(Cost $31,534) ($ Thousands) 31,534
---------------
Total Investments -- 100.3%
(Cost $49,647) ($ Thousands) $ 47,683
===============
Percentages are based on Net Assets of $47,557 ($ Thousands).
(A) Rate shown is the 7-day effective yield as of September 30, 2008.
* The Fund's investment in the SEI Liquid Asset Trust Prime Obligation Fund,
Class A represents greater than 50% of the Fund's total investments. The
SEI Liquid Asset Trust Prime Obligation Fund seeks to preserve principal
value and maintain a high degree of liquidity while providing current
income. For further financial information, available upon request at no
charge, on the SEI Liquid Asset Trust Prime Obligation Fund please go to
the Securities Exchange Commission's website at http://www.sec.gov or call
1-800-DIAL-SEI.
The accompanying notes are an integral part of the financial statements.
8 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Defensive Strategy Allocation Fund
September 30, 2008
SECTOR WEIGHTINGS+:
(PERFORMANCE GRAPH)
Equity Funds 61.0%
Fixed Income Fund 39.0%
+ Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
AFFILIATED INVESTMENT FUNDS -- 100.2%
EQUITY FUNDS -- 61.2%
SEI Institutional Managed Trust
Real Estate Fund, Class A 249,822 $ 3,430
SEI Institutional Managed Trust
U.S. Managed Volatility Fund, Class A 594,628 6,690
---------------
Total Equity Funds
(Cost $10,019) ($ Thousands) 10,120
---------------
FIXED INCOME FUND -- 39.0%
SEI Institutional Managed Trust High
Yield Bond Fund, Class A 975,675 6,459
---------------
Total Fixed Income Fund
(Cost $8,087) ($ Thousands) 6,459
---------------
Total Investments -- 100.2%
(Cost $18,106) ($ Thousands) $ 16,579
===============
Percentages are based on Net Assets of $16,542 ($ Thousands).
The accompanying notes are an integral part of the financial statements.
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 9
SCHEDULE OF INVESTMENTS (Unaudited)
Conservative Strategy Fund
September 30, 2008
SECTOR WEIGHTINGS+:
(PERFORMANCE GRAPH)
Fixed Income Funds 64.8%
Equity Funds 34.7%
Money Market Fund 0.5%
+ Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
AFFILIATED INVESTMENT FUNDS -- 100.8%
FIXED INCOME FUNDS -- 65.4%
SEI Institutional Managed Trust
Core Fixed Income Fund, Class A 1,382,885 $ 12,958
SEI Institutional Managed Trust
Enhanced Income Fund, Class A 2,437,015 20,032
SEI Institutional Managed Trust
High Yield Bond Fund, Class A 3,037,019 20,105
SEI Daily Income Trust
Ultra Short Bond Fund, Class A 3,817,522 34,930
---------------
Total Fixed Income Funds
(Cost $98,663) ($ Thousands) 88,025
---------------
EQUITY FUNDS -- 34.9%
SEI Institutional Managed Trust
Global Managed Volatility Fund,
Class A 1,518,771 13,760
SEI Institutional Managed Trust
Real Estate Fund, Class A 617,456 8,478
SEI Institutional Managed Trust
U.S. Managed Volatility Fund,
Class A 2,205,882 24,816
---------------
Total Equity Funds
(Cost $47,118) ($ Thousands) 47,054
---------------
MONEY MARKET FUND -- 0.5%
SEI Liquid Asset Trust
Prime Obligation Fund,
Class A, 1.87% (A) 671,016 671
---------------
Total Money Market Fund
(Cost $671) ($ Thousands) 671
---------------
Total Investments -- 100.8%
(Cost $146,452) ($ Thousands) $ 135,750
===============
Percentages are based on Net Assets of $134,621 ($ Thousands).
(A) Rate shown is the 7-day effective yield as of September 30, 2008.
The accompanying notes are an integral part of the financial statements.
10 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Conservative Strategy Allocation Fund
September 30, 2008
SECTOR WEIGHTINGS+:
(PERFORMANCE GRAPH)
Fixed Income Fund 67.8%
Equity Funds 31.9%
Money Market Fund 0.3%
+ Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
AFFILIATED INVESTMENT FUNDS -- 99.9%
EQUITY FUNDS -- 67.8%
SEI Institutional Managed Trust
Real Estate Fund, Class A 585,154 $ 8,034
SEI Institutional Managed Trust
U.S. Managed Volatility Fund,
Class A 1,424,403 16,025
---------------
Total Equity Funds
(Cost $22,665) ($ Thousands) 24,059
---------------
FIXED INCOME FUND -- 31.9%
SEI Institutional Managed Trust
High Yield Bond Fund, Class A 1,711,827 11,332
---------------
Total Fixed Income Fund
(Cost $14,504) ($ Thousands) 11,332
---------------
MONEY MARKET FUND -- 0.2%
SEI Liquid Asset Trust
Prime Obligation Fund,
Class A, 1.87% (A) 88,000 88
---------------
Total Money Market Fund
(Cost $88) ($ Thousands) 88
---------------
Total Investments -- 99.9%
(Cost $37,257) ($ Thousands) $ 35,479
===============
Percentages are based on Net Assets of $35,519 ($ Thousands).
(A) Rate shown is the 7-day effective yield as of September 30, 2008.
The accompanying notes are an integral part of the financial statements.
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 11
SCHEDULE OF INVESTMENTS (Unaudited)
Moderate Strategy Fund
September 30, 2008
SECTOR WEIGHTINGS+:
(PERFORMANCE GRAPH)
Fixed Income Funds 52.9%
Equity Funds 47.1%
+ Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
AFFILIATED INVESTMENT FUNDS -- 100.2%
FIXED INCOME FUNDS -- 53.0%
SEI Institutional Managed Trust
Core Fixed Income Fund, Class A 8,382,952 $ 78,548
SEI Institutional Managed Trust
Enhanced Income Fund, Class A 9,237,359 75,931
SEI Institutional Managed Trust
High Yield Bond Fund, Class A 9,090,840 60,182
---------------
Total Fixed Income Funds
(Cost $250,864) ($ Thousands) 214,661
---------------
EQUITY FUNDS -- 47.2%
SEI Institutional Managed Trust
Global Managed Volatility Fund,
Class A 6,820,334 61,792
SEI Institutional Managed Trust
Large Cap Growth Fund, Class A 1,146,825 21,090
SEI Institutional Managed Trust
Large Cap Value Fund, Class A 1,340,584 21,168
SEI Institutional Managed Trust
Real Estate Fund, Class A 1,849,232 25,390
SEI Institutional Managed Trust
U.S. Managed Volatility Fund,
Class A 5,503,448 61,914
---------------
Total Equity Funds
(Cost $199,856) ($ Thousands) 191,354
---------------
Total Investments -- 100.2%
(Cost $450,720) ($ Thousands) $ 406,015
===============
Percentages are based on Net Assets of $405,196 ($ Thousands).
The accompanying notes are an integral part of the financial statements.
12 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Moderate Strategy Allocation Fund
September 30, 2008
SECTOR WEIGHTINGS+:
(PERFORMANCE GRAPH)
Equity Funds 82.4%
Fixed Income Fund 17.2%
Money Market Fund 0.4%
+ Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
AFFILIATED INVESTMENT FUNDS -- 100.5%
EQUITY FUNDS -- 82.8%
SEI Institutional International Trust
International Equity Fund, Class A 980,457 $ 8,677
SEI Institutional Managed Trust
Real Estate Fund, Class A 655,107 8,994
SEI Institutional Managed Trust
Tax-Managed Large Cap Fund, Class A 1,625,245 18,008
SEI Institutional Managed Trust
U.S. Managed Volatility Fund, Class A 3,983,492 44,814
---------------
Total Equity Funds
(Cost $80,999) ($ Thousands) 80,493
---------------
FIXED INCOME FUND -- 17.3%
SEI Institutional Managed Trust
High Yield Bond Fund, Class A 2,537,453 16,798
---------------
Total Fixed Income Fund
(Cost $21,419) ($ Thousands) 16,798
---------------
MONEY MARKET FUND -- 0.4%
SEI Liquid Asset Trust
Prime Obligation Fund, Class A,
1.87% (A) 426,738 427
---------------
Total Money Market Fund
(Cost $427) ($ Thousands) 427
---------------
Total Investments -- 100.5%
(Cost $102,845) ($ Thousands) $ 97,718
===============
Percentages are based on Net Assets of $97,248 ($ Thousands).
(A) Rate shown is the 7-day effective yield as of September 30, 2008.
The accompanying notes are an integral part of the financial statements.
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 13
SCHEDULE OF INVESTMENTS (Unaudited)
Aggressive Strategy Fund
September 30, 2008
SECTOR WEIGHTINGS+:
(PERFORMANCE GRAPH)
Equity Funds 80.3%
Fixed Income Funds 19.3%
Money Market Fund 0.4%
+ Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
AFFILIATED INVESTMENT FUNDS -- 100.5%
EQUITY FUNDS -- 80.7%
SEI Institutional International Trust
Emerging Markets Equity Fund, Class A 652,070 $ 7,453
SEI Institutional International Trust
International Equity Fund, Class A 7,295,969 64,569
SEI Institutional Managed Trust
Large Cap Diversified Alpha Fund,
Class A 21,390,406 176,043
SEI Institutional Managed Trust
Small Cap Growth Fund, Class A 1,040,053 14,540
SEI Institutional Managed Trust
Small Cap Value Fund, Class A 952,095 14,643
SEI Institutional Managed Trust
Small/Mid Cap Diversified Alpha Fund,
Class A 2,010,425 14,536
---------------
Total Equity Funds
(Cost $370,776) ($ Thousands) 291,784
---------------
FIXED INCOME FUNDS --19.4%
SEI Institutional International Trust
Emerging Markets Debt Fund, Class A 3,716,010 35,042
SEI Institutional Managed Trust
High Yield Bond Fund, Class A 5,317,420 35,201
---------------
Total Fixed Income Funds
(Cost $84,321) ($ Thousands) 70,243
---------------
MONEY MARKET FUND -- 0.4%
SEI Liquid Asset Trust
Prime Obligation Fund, Class A,
1.87%(A) 1,467,655 1,468
---------------
Total Money Market Fund
(Cost $1,468) ($ Thousands) 1,468
---------------
Total Investments -- 100.5%
(Cost $456,565) ($ Thousands) $ 363,495
===============
Percentages are based on Net Assets of $361,786 ($ Thousands).
(A) Rate shown is the 7-day effective yield as of September 30, 2008.
The accompanying notes are an integral part of the financial statements.
14 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Tax-Managed Aggressive Strategy Fund
September 30, 2008
SECTOR WEIGHTINGS+:
(PERFORMANCE GRAPH)
Equity Funds 88.6%
Fixed Income Funds 11.2%
Money Market Fund 0.2%
+ Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
AFFILIATED INVESTMENT FUNDS -- 100.0%
EQUITY FUNDS -- 88.5%
SEI Institutional International Trust
Emerging Markets Equity Fund, Class A 121,170 $ 1,385
SEI Institutional International Trust
International Equity Fund, Class A 1,204,544 10,660
SEI Institutional Managed Trust
Tax-Managed Large Cap Fund, Class A* 3,497,447 38,752
SEI Institutional Managed Trust
Tax-Managed Small Cap Fund, Class A 937,909 9,529
---------------
Total Equity Funds
(Cost $66,109) ($ Thousands) 60,326
---------------
FIXED INCOME FUNDS -- 11.3%
SEI Institutional International Trust
Emerging Markets Debt Fund, Class A 413,985 3,904
SEI Institutional Managed Trust
High Yield Bond Fund, Class A 567,862 3,760
---------------
Total Fixed Income Funds
(Cost $9,206) ($ Thousands) 7,664
---------------
MONEY MARKET FUND -- 0.2%
SEI Liquid Asset Trust
Prime Obligation Fund, Class A,
1.87% (A) 132,422 132
---------------
Total Money Market Fund
(Cost $132) ($ Thousands) 132
---------------
Total Investments -- 100.0%
(Cost $75,447) ($ Thousands) $ 68,122
===============
Percentages are based on Net Assets of $68,143 ($ Thousands).
(A) Rate shown is the 7-day effective yield as of September 30, 2008.
* The Fund's investment in the SEI Institutional Managed Trust Tax-Managed
Large Cap Fund, Class A represents greater than 50% of the Fund's total
investments. The SEI Institutional Managed Trust Tax-Managed Large Cap Fund
seeks to provide high long-term after-tax returns. For further financial
information, available upon request at no charge, on the SEI Institutional
Managed Trust Tax-Managed Large Cap Fund please go to the Securities
Exchange Commission's website at http://www.sec.gov or call 1-800-DIAL-SEI.
The accompanying notes are an integral part of the financial statements.
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 15
SCHEDULE OF INVESTMENTS (Unaudited)
Core Market Strategy Fund
September 30, 2008
SECTOR WEIGHTINGS+:
(PERFORMANCE GRAPH)
Fixed Income Funds 58.8%
Equity Funds 41.2%
+ Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
AFFILIATED INVESTMENT FUNDS -- 100.8%
FIXED INCOME FUNDS -- 59.3%
SEI Institutional Managed Trust
Core Fixed Income Fund, Class A 4,330,077 $ 40,573
SEI Institutional International Trust
Emerging Markets Debt Fund, Class A 434,297 4,095
SEI Institutional Managed Trust
High Yield Bond Fund, Class A 621,417 4,114
---------------
Total Fixed Income Funds
(Cost $53,550) ($ Thousands) 48,782
---------------
EQUITY FUNDS -- 41.5%
SEI Institutional International Trust
Emerging Markets Equity Fund, Class A 76,052 869
SEI Institutional International Trust
International Equity Fund, Class A 852,017 7,541
SEI Institutional Managed Trust
Large Cap Diversified Alpha Fund,
Class A 2,508,729 20,647
SEI Institutional Managed Trust
Small Cap Growth Fund, Class A 121,407 1,697
SEI Institutional Managed Trust
Small Cap Value Fund, Class A 110,865 1,705
SEI Institutional Managed Trust
Small/Mid Cap Diversified Alpha Fund,
Class A 234,690 1,697
---------------
Total Equity Funds
(Cost $41,560) ($ Thousands) 34,156
---------------
Total Investments -- 100.8%
(Cost $95,110) ($ Thousands) $ 82,938
===============
Percentages are based on Net Assets of $82,285 ($ Thousands).
The accompanying notes are an integral part of the financial statements.
16 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Core Market Strategy Allocation Fund
September 30, 2008
SECTOR WEIGHTINGS+:
(PERFORMANCE GRAPH)
Equity Funds 87.8%
Fixed Income Funds 11.2%
Money Market Fund 1.0%
+ Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- ------------------------------------------ ---------- -------------
AFFILIATED INVESTMENT FUNDS -- 102.1%
EQUITY FUNDS -- 89.7%
SEI Institutional International Trust
Emerging Markets Equity Fund,
Class A 31,853 $ 364
SEI Institutional International Trust
International Equity Fund,
Class A 316,748 2,803
SEI Institutional Managed Trust
Tax-Managed Large Cap Fund,
Class A* 919,407 10,187
SEI Institutional Managed Trust
Tax-Managed Small Cap Fund,
Class A 246,584 2,506
-------
Total Equity Funds
(Cost $17,117) ($ Thousands) 15,860
-------
FIXED INCOME FUNDS -- 11.4%
SEI Institutional International Trust
Emerging Markets Debt Fund,
Class A 108,884 1,027
SEI Institutional Managed Trust
High Yield Bond Fund, Class A 149,307 988
-------
Total Fixed Income Funds
(Cost $2,441) ($ Thousands) 2,015
-------
MONEY MARKET FUND -- 1.0%
SEI Liquid Asset Trust
Prime Obligation Fund,
Class A, 1.87% (A) 182,743 183
-------
Total Money Market Fund
(Cost $183) ($ Thousands) 183
-------
Total Investments -- 102.1%
(Cost $19,741) ($ Thousands) $18,058
=======
Percentages are based on Net Assets of $17,689 ($ Thousands).
(A) Rate shown is the 7-day effective yield as of September 30, 2008.
* The Fund's investment in the SEI Institutional Managed Trust Tax-Managed
Large Cap Fund, Class A represents greater than 50% of the Fund's total
investments. The SEI Institutional Managed Trust Tax-Managed Large Cap Fund
seeks to provide high long-term after-tax returns. For further financial
information, available upon request at no charge, on the SEI Institutional
Managed Trust Tax-Managed Large Cap Fund please go to the Securities
Exchange Commission's website at http://www.sec.gov or call 1-800-DIAL-SEI.
The accompanying notes are an integral part of the financial statements.
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 17
SCHEDULE OF INVESTMENTS (Unaudited)
Market Growth Strategy Fund
September 30, 2008
SECTOR WEIGHTINGS+:
(PERFORMANCE GRAPH)
Equity Funds 60.9%
Fixed Income Funds 39.0%
Money Market Fund 0.1%
+ Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- ------------------------------------------ ---------- -------------
AFFILIATED INVESTMENT FUNDS -- 100.1%
EQUITY FUNDS -- 60.9%
SEI Institutional International Trust
Emerging Markets Equity Fund,
Class A 547,921 $ 6,263
SEI Institutional International Trust
International Equity Fund, Class A 9,542,580 84,452
SEI Institutional Managed Trust
Large Cap Diversified Alpha Fund,
Class A 26,165,576 215,343
SEI Institutional Managed Trust
Small Cap Growth Fund, Class A 1,311,520 18,335
SEI Institutional Managed Trust
Small Cap Value Fund, Class A 1,197,708 18,421
SEI Institutional Managed Trust
Small/Mid Cap Diversified Alpha
Fund, Class A 3,380,039 24,437
--------
Total Equity Funds
(Cost $454,535) ($ Thousands) 367,251
--------
FIXED INCOME FUNDS --39.1%
SEI Institutional Managed Trust
Core Fixed Income Fund,
Class A 15,658,603 146,721
SEI Institutional International Trust
Emerging Markets Debt Fund,
Class A 4,375,966 41,266
SEI Institutional Managed Trust
High Yield Bond Fund, Class A 7,156,627 47,377
--------
Total Fixed Income Funds
(Cost $267,720) ($ Thousands) 235,364
--------
MONEY MARKET FUND -- 0.1%
SEI Liquid Asset Trust
Prime Obligation Fund,
Class A, 1.87% (A) 653,487 653
--------
Total Money Market Fund
(Cost $653) ($ Thousands) 653
--------
Total Investments -- 100.1%
(Cost $722,908) ($ Thousands) $603,268
========
Percentages are based on Net Assets of $602,421 ($ Thousands).
(A) Rate shown is the 7-day effective yield as of September 30, 2008.
The accompanying notes are an integral part of the financial statements.
18 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Market Growth Strategy Allocation Fund
September 30, 2008
SECTOR WEIGHTINGS+:
(PERFORMANCE GRAPH)
Equity Funds 88.7%
Fixed Income Funds 11.3%
+ Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- ------------------------------------------ ---------- -------------
AFFILIATED INVESTMENT FUNDS -- 99.9%
EQUITY FUNDS -- 88.6%
SEI Institutional International Trust
Emerging Markets Equity Fund,
Class A 235,662 $ 2,694
SEI Institutional International Trust
International Equity Fund, Class A 2,341,873 20,725
SEI Institutional Managed Trust
Tax-Managed Large Cap Fund,
Class A* 6,802,099 75,367
SEI Institutional Managed Trust
Tax-Managed Small Cap Fund,
Class A 1,823,824 18,530
--------
Total Equity Funds
(Cost $129,134) ($ Thousands) 117,316
--------
FIXED INCOME FUNDS --11.3%
SEI Institutional International Trust
Emerging Markets Debt Fund,
Class A 804,690 7,588
SEI Institutional Managed Trust
High Yield Bond Fund, Class A 1,103,711 7,307
--------
Total Fixed Income Funds
(Cost $17,969) ($ Thousands) 14,895
--------
Total Investments -- 99.9%
(Cost $147,103) ($ Thousands) $132,211
========
Percentages are based on Net Assets of $132,386 ($ Thousands).
* The Fund's investment in the SEI Institutional Managed Trust Tax-Managed
Large Cap Fund, Class A represents greater than 50% of the Fund's total
investments. The SEI Institutional Managed Trust Tax-Managed Large Cap Fund
seeks to provide high long-term after-tax returns. For further financial
information, available upon request at no charge, on the SEI Institutional
Managed Trust Tax-Managed Large Cap Fund please go to the Securities
Exchange Commission's website at http://www.sec.gov or call 1-800-DIAL-SEI.
The accompanying notes are an integral part of the financial statements.
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 19
Statements of Assets and Liabilities ($ Thousands)
September 30, 2008 (Unaudited)
DIVERSIFIED DIVERSIFIED
CONSERVATIVE DIVERSIFIED GLOBAL
INCOME CONSERVATIVE MODERATE GROWTH
FUND FUND FUND
------------ ------------ ---------------
ASSETS:
Investments in Affiliated Funds, at Market Value (Cost
$52,224, $65,366, $178,958, $138,069 $204,333, $102,299,
and $61,676, respectively.) $ 47,231 $ 57,990 $ 153,797
Cash 2 -- --
Receivable for Investment Securities Sold 685 1,253 3,690
Receivable for Fund Shares Sold 182 124 23
Income Distribution Receivable from Affiliated Funds 126 152 267
Prepaid Expenses 3 4 9
Receivable from Administrator 1 2 4
-------- --------- ---------
Total Assets 48,230 59,525 157,790
-------- --------- ---------
LIABILITIES:
Payable for Investment Securities Purchased 856 1,437 3,109
Payable for Fund Shares Redeemed 88 412 423
Distribution Fees Payable 6 5 4
Investment Advisory Fees Payable 4 5 14
Administrative Servicing Fees Payable 1 1 6
Trustees' Fees Payable 1 1 3
Chief Compliance Officer Fees Payable -- 1 1
Accrued Expenses 4 5 11
-------- --------- ---------
Total Liabilities 960 1,867 3,571
-------- --------- ---------
Net Assets $ 47,270 $ 57,658 $ 154,219
-------- --------- ---------
NET ASSETS:
Paid-in Capital
(unlimited authorization -- no par value) $ 52,349 $ 65,439 $ 178,337
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) 373 441 759
Accumulated Net Realized Gain (Loss) on Investments (459) (846) 284
Net Unrealized Depreciation on Investments (4,993) (7,376) (25,161)
-------- --------- ---------
Net Assets $ 47,270 $ 57,658 $ 154,219
-------- --------- ---------
Net Asset Value, Offering and Redemption Price Per Share --
Class A ($37,091,900 / 3,688,453 shares), ($47,572,024 /
5,255,678 shares), ($122,709,114 / 12,765,475 shares),
($89,237,890 / 8,590,561 shares), ($127,289,123 /
11,909,727 shares), ($62,735,866 / 6,000,454 shares),
and ($42,075,262 / 3,333,565 shares), respectively. $ 10.06 $ 9.05 $ 9.61
Net Asset Value, Offering and Redemption Price Per Share --
Class D ($6,204,915 / 622,612 shares), ($4,432,072 /
491,752 shares), ($3,500,660 / 368,840 shares),
($10,120,673 / 980,738 shares), ($6,716,070 / 634,484
shares), ($4,113,369 / 421,990 shares), and ($4,777,501
/ 404,789 shares), respectively. $ 9.97 $ 9.01 $ 9.49
Net Asset Value, Offering and Redemption Price Per Share --
Class I ($3,972,888 / 396,009 shares), ($5,653,515 /
625,951 shares), ($28,009,094 / 2,925,933 shares),
($13,756,269 / 1,326,006 shares), ($38,656,668 /
3,623,482 shares), ($16,521,688 / 1,585,160 shares),
and ($4,090,904 / 325,171 shares), respectively. $ 10.03 $ 9.03 $ 9.57
-------- --------- ---------
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
20 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
DIVERSIFIED DIVERSIFIED DIVERSIFIED
MODERATE GLOBAL GLOBAL DIVERSIFIED
GROWTH GROWTH STOCK U.S. STOCK
FUND FUND FUND FUND
- ----------- ----------- ----------- -----------
$ 120,337 $ 173,645 $ 83,775 $ 50,940
-- 1 -- --
2,740 2,430 111 89
215 47 27 14
213 148 1 1
9 12 6 9
4 5 2 1
--------- --------- --------- --------
123,518 176,288 83,922 51,054
--------- --------- --------- --------
2,768 2,693 148 35
7,595 882 379 58
12 8 5 7
11 15 7 4
3 8 3 1
3 4 2 1
-- 1 -- --
11 15 7 4
--------- --------- --------- --------
10,403 3,626 551 110
--------- --------- --------- --------
$ 113,115 $ 172,662 $ 83,371 $ 50,944
--------- --------- --------- --------
$ 131,414 $ 200,775 $ 104,627 $ 73,807
619 376 (44) (29)
(1,186) 2,199 (2,688) (12,098)
(17,732) (30,688) (18,524) (10,736)
--------- --------- --------- --------
$ 113,115 $ 172,662 $ 83,371 $ 50,944
--------- --------- --------- --------
$ 10.39 $ 10.69 $ 10.46 $ 12.62
$ 10.32 $ 10.59 $ 9.75 $ 11.80
$ 10.37 $ 10.67 $ 10.42 $ 12.58
--------- --------- --------- --------
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 21
Statements of Assets and Liabilities ($ Thousands)
September 30, 2008 (Unaudited)
DEFENSIVE
DEFENSIVE STRATEGY CONSERVATIVE
STRATEGY ALLOCATION STRATEGY
FUND FUND FUND
--------- ---------- ------------
ASSETS:
Investments in Affiliated Funds, at Market Value (Cost
$49,647, $18,106, $146,452, $37,257, $450,720, and
$102,845, respectively.) $ 47,683 $ 16,579 $ 135,750
Cash 27 -- --
Income Distributions Receivable from Affiliated Funds 100 51 323
Receivable for Fund Shares Sold 42 -- 600
Prepaid Expenses 3 1 7
Receivable from Administrator 2 1 5
Receivable for Investment Securities Sold -- 237 1,453
-------- -------- ---------
Total Assets 47,857 16,869 138,138
-------- -------- ---------
LIABILITIES:
Payable for Fund Shares Redeemed 211 75 1,381
Payable for Investment Securities Purchased 81 246 2,115
Investment Advisory Fees Payable 4 1 11
Trustees' Fees Payable 1 -- 2
Bank Overdraft -- 3 --
Chief Compliance Officer Fees Payable -- -- --
Accrued Expenses 3 2 8
-------- -------- ---------
Total Liabilities 300 327 3,517
-------- -------- ---------
Net Assets $ 47,557 $ 16,542 $ 134,621
-------- -------- ---------
NET ASSETS:
Paid-in Capital
(unlimited authorization -- no par value) $ 52,245 $ 17,808 $ 150,057
Undistributed Net Investment Income 342 165 923
Accumulated Net Realized Gain (Loss) on Investments (3,066) 96 (5,657)
Net Unrealized Depreciation on Investments (1,964) (1,527) (10,702)
-------- -------- ---------
Net Assets $ 47,557 $ 16,542 $ 134,621
-------- -------- ---------
Net Asset Value, Offering and Redemption Price Per Share --
Class A ($47,556,721 / 5,004,059 shares), ($16,542,314 /
1,530,915 shares), ($133,320,499 / 13,604,068 shares),
($35,519,128 / 3,591,319 shares), ($404,134,500 /
39,005,087 shares), and ($97,248,440 / 7,760,927
shares), respectively. $ 9.50 $ 10.81 $ 9.80
Net Asset Value, Offering and Redemption Price Per Share --
Class I ($113.79 / 11.950 shares), ($1,300,593 / 130,949
shares), and ($1,061,632 / 100,406 shares),
respectively. $ 9.52 n/a $ 9.93
-------- -------- ---------
Amounts designated as "--" are $0 or have been rounded to $0.
n/a -- Not applicable. Class I shares currently not offered.
The accompanying notes are an integral part of the financial statements.
22 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
CONSERVATIVE MODERATE
STRATEGY MODERATE STRATEGY
ALLOCATION STRATEGY ALLOCATION
FUND FUND FUND
- ------------ --------- ----------
$ 35,479 $ 406,015 $ 97,718
2 -- 3
91 831 138
154 292 100
2 25 6
1 18 4
430 6,932 955
-------- --------- ---------
36,159 414,113 98,924
-------- --------- ---------
108 2,072 370
525 6,627 1,287
3 35 9
1 8 2
-- 141 --
-- 1 --
3 33 8
-------- --------- ---------
640 8,917 1,676
-------- --------- ---------
$ 35,519 $ 405,196 $ 97,248
-------- --------- ---------
$ 37,167 $ 454,447 $ 102,818
295 2,586 451
(165) (7,132) (894)
(1,778) (44,705) (5,127)
-------- --------- ---------
$ 35,519 $ 405,196 $ 97,248
-------- --------- ---------
$ 9.89 $ 10.36 $ 12.53
n/a $ 10.57 n/a
-------- --------- ---------
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 23
Statements of Assets and Liabilities ($ Thousands)
September 30, 2008 (Unaudited)
TAX-MANAGED
AGGRESSIVE AGGRESSIVE CORE MARKET
STRATEGY STRATEGY STRATEGY
FUND FUND FUND
---------- ----------- -----------
ASSETS:
Investments in Affiliated Funds, at Market Value
(Cost $456,565, $75,447, $95,110, $19,741,
$722,908, and $147,103, respectively.) $363,495 $68,122 $ 82,938
Cash 2 2 --
Receivable for Investment Securities Sold 4,505 663 1,941
Receivable for Fund Shares Sold 301 -- 4
Income Distributions Receivable from
Affiliated Funds 291 32 221
Prepaid Expenses 21 5 5
Receivable from Administrator 16 3 4
-------- ------- --------
Total Assets 368,631 68,827 85,113
-------- ------- --------
LIABILITIES:
Payable for Investment Securities Purchased 5,425 666 1,928
Payable for Fund Shares Redeemed 1,351 5 858
Investment Advisory Fees Payable 32 6 7
Trustees' Fees Payable 7 1 2
Chief Compliance Officer Fees Payable 1 -- --
Distribution Fees Payable 1 -- --
Bank Overdraft -- -- 26
Accrued Expenses 28 6 7
-------- ------- --------
Total Liabilities 6,845 684 2,828
-------- ------- --------
Net Assets $361,786 $68,143 $ 82,285
-------- --------- --------
NET ASSETS:
Paid-in Capital
(unlimited authorization -- no par value) $450,762 $77,063 $ 95,046
Undistributed Net Investment Income 911 94 675
Accumulated Net Realized Gain (Loss) on Investments 3,183 (1,689) (1,264)
Net Unrealized Depreciation on Investments (93,070) (7,325) (12,172)
-------- ------- --------
Net Assets $361,786 $68,143 $ 82,285
-------- --------- --------
Net Asset Value, Offering and Redemption Price Per
Share -- Class A ($358,098,744 / 34,730,724
shares), ($68,143,034 / 6,161,611 shares),
($82,285,357 / 8,552,062 shares), ($17,689,014 /
1,696,145 shares), ($597,859,719 / 60,446,873
shares), and ($132,386,112 / 10,739,364 shares),
respectively. $ 10.31 $ 11.06 $ 9.62
Net Asset Value, Offering and Redemption Price Per
Share -- Class I ($3,687,451 / 364,545 shares),
($119.81 / 12.140 shares), and ($4,561,634 /
466,308 shares), respectively. $ 10.12 n/a $ 9.87
-------- --------- --------
Amounts designated as "--" are $0 or have been rounded to $0.
n/a -- Not applicable. Class I shares currently not offered.
The accompanying notes are an integral part of the financial statements.
24 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
CORE MARKET MARKET GROWTH
STRATEGY MARKET GROWTH STRATEGY
ALLOCATION STRATEGY ALLOCATION
FUND FUND FUND
- ----------- ------------- -------------
$18,058 $ 603,268 $132,211
-- 47 --
140 13,078 1,609
-- 759 309
8 1,078 63
1 37 9
1 27 6
------- --------- --------
18,208 618,294 134,207
------- --------- --------
288 13,330 409
227 2,426 449
2 53 12
-- 12 3
-- 2 --
-- 1 --
-- -- 937
2 49 11
------- --------- --------
519 15,873 1,821
------- --------- --------
$17,689 $ 602,421 $132,386
------- --------- --------
$19,249 $ 718,879 $147,803
24 3,346 182
99 (164) (707)
(1,683) (119,640) (14,892)
------- --------- --------
$17,689 $ 602,421 $132,386
------- --------- --------
$ 10.43 $ 9.89 $ 12.33
n/a $ 9.78 n/a
------- --------- --------
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 25
Statements of Operations ($ Thousands)
For the six months ended September 30, 2008 (Unaudited)
DIVERSIFIED DIVERSIFIED
CONSERVATIVE DIVERSIFIED GLOBAL
INCOME CONSERVATIVE MODERATE GROWTH
FUND FUND FUND
------------ ------------ ---------------
INVESTMENT INCOME:
Income Distributions from Affiliated Funds $ 898 $ 1,092 $ 2,062
------- ------- --------
EXPENSES:
Administration Fees 53 68 177
Investment Advisory Fees 26 34 88
Distribution Fees -- Class D 23 19 16
Shareholder Servicing Fees -- Class D 8 6 5
Administrative Servicing Fees -- Class I 5 7 39
Trustees' Fees 2 3 7
Registration Fees 3 5 12
Printing Fees 3 3 9
Professional Fees 3 3 9
Custodian Fees/Wire Agent Fees -- 1 1
Other Expenses 1 1 3
------- ------- --------
Total Expenses 127 150 366
------- ------- --------
Less: Administration Fees Waived (53) (68) (177)
Reimbursement from Administrator (7) (9) (22)
------- ------- --------
Net Expenses 67 73 167
------- ------- --------
NET INVESTMENT INCOME 831 1,019 1,895
------- ------- --------
NET REALIZED AND UNREALIZED LOSS FROM AFFILIATED FUNDS:
Net Realized Loss from Sales of Affiliated Funds (631) (1,489) (3,090)
Net Change in Unrealized Depreciation from Affiliated Funds (3,082) (5,463) (20,147)
------- ------- --------
Net Realized and Unrealized Loss from Affiliated Funds (3,713) (6,952) (23,237)
------- ------- --------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(2,882) $(5,933) $(21,342)
------- ------- --------
Amounts Designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
26 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
DIVERSIFIED DIVERSIFIED DIVERSIFIED
MODERATE GLOBAL GLOBAL DIVERSIFIED
GROWTH GROWTH STOCK U.S. STOCK
FUND FUND FUND FUND
- ----------- ----------- ----------- -----------
$ 1,744 $ 1,428 $ 212 $ 171
-------- -------- -------- -------
155 212 100 62
77 106 50 31
46 31 18 22
15 10 6 7
19 56 23 6
6 8 4 2
13 15 7 4
8 11 5 3
8 10 5 3
1 2 1 1
2 4 1 1
-------- -------- -------- -------
350 465 220 142
-------- -------- -------- -------
(155) (212) (100) (62)
(22) (28) (13) (8)
-------- -------- -------- -------
173 225 107 72
-------- -------- -------- -------
1,571 1,203 105 99
-------- -------- -------- -------
(4,089) (4,484) (1,346) (798)
(13,409) (25,535) (15,019) (6,910)
-------- -------- -------- -------
(17,498) (30,019) (16,365) (7,708)
-------- -------- -------- -------
$(15,927) $(28,816) $(16,260) $(7,609)
-------- -------- -------- -------
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 27
Statements of Operations ($ Thousands)
For the six months ended September 30, 2008 (Unaudited)
DEFENSIVE
DEFENSIVE STRATEGY CONSERVATIVE
STRATEGY ALLOCATION STRATEGY
FUND FUND FUND
--------- ---------- ------------
INVESTMENT INCOME:
Income Distributions from Affiliated
Funds $ 769 $ 358 $ 2,134
------- ------- --------
EXPENSES:
Administration Fees 48 18 133
Investment Advisory Fees 24 9 67
Trustees' Fees 2 1 5
Chief Compliance Officer Fees -- -- --
Administrative Servicing Fees -
Class I -- n/a 2
Registration Fees 5 1 8
Printing Fees 2 1 6
Professional Fees 2 1 6
Custodian Fees/Wire Agent Fees 1 -- 1
Other Expenses 1 -- 2
------- ------- --------
Total Expenses 85 31 230
------- ------- --------
Less: Administration Fees Waived (48) (18) (133)
Reimbursement from Administrator (13) (4) (29)
------- ------- --------
Net Expenses 24 9 68
------- ------- --------
NET INVESTMENT INCOME 745 349 2,066
------- ------- --------
NET REALIZED AND UNREALIZED LOSS
FROM AFFILIATED FUNDS:
Net Realized Loss from Affiliated
Funds (90) (68) (557)
Net Change in Unrealized Depreciation
from Affiliated Funds (1,069) (1,086) (6,964)
------- ------- --------
Net Realized and Unrealized Loss
from Affiliated Funds (1,159) (1,154) (7,521)
------- ------- --------
NET DECREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ (414) $ (805) $ (5,455)
------- ------- --------
Amounts designated as "--" are $0 or have been rounded to $0.
n/a -- Not applicable. Class I shares currently not offered.
The accompanying notes are an integral part of the financial statements.
28 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
CONSERVATIVE MODERATE
STRATEGY MODERATE STRATEGY
ALLOCATION STRATEGY ALLOCATION
FUND FUND FUND
- ------------ -------- ----------
$ 690 $ 6,908 $ 1,215
------- -------- -------
40 460 117
20 230 58
2 17 4
-- 1 --
n/a 2 n/a
2 31 8
2 22 6
2 22 5
-- 4 1
1 6 2
------- -------- -------
69 795 201
------- -------- -------
(40) (460) (117)
(9) (103) (26)
------- -------- -------
20 232 58
------- -------- -------
670 6,676 1,157
------- -------- -------
(427) (7,779) (2,050)
(1,932) (21,958) (7,062)
------- -------- -------
(2,359) (29,737) (9,112)
------- -------- -------
$(1,689) $(23,061) $(7,955)
------- -------- -------
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 29
Statements of Operations ($ Thousands)
For the six months ended September 30, 2008 (Unaudited)
TAX-MANAGED
AGGRESSIVE AGGRESSIVE CORE MARKET
STRATEGY STRATEGY STRATEGY
FUND FUND FUND
---------- ----------- -----------
INVESTMENT INCOME:
Income Distributions from Affiliated Funds $ 3,406 $ 479 $ 1,655
-------- -------- --------
EXPENSES:
Administration Fees 430 84 99
Investment Advisory Fees 215 42 49
Trustees' Fees 16 3 4
Administrative Servicing Fees - Class I 5 n/a --
Chief Compliance Officer Fees 1 -- --
Registration Fees 24 6 6
Printing Fees 21 4 5
Professional Fees 20 4 5
Custodian Fees/Wire Agent Fees 4 1 1
Other Expenses 6 2 1
-------- -------- --------
Total Expenses 742 146 170
-------- -------- --------
Less: Administration Fees Waived (430) (84) (99)
Reimbursement from Administrator (92) (20) (22)
-------- -------- --------
Net Expenses 220 42 49
-------- -------- --------
NET INVESTMENT INCOME 3,186 437 1,606
-------- -------- --------
NET REALIZED AND UNREALIZED LOSS
FROM AFFILIATED FUNDS:
Net Realized Loss from Affiliated Funds (9,235) (1,581) (2,553)
Net Change in Unrealized Depreciation from Affiliated Funds (55,617) (9,738) (7,780)
-------- -------- --------
Net Realized and Unrealized Loss
from Affiliated Funds (64,852) (11,319) (10,333)
-------- -------- --------
NET DECREASE IN NET ASSETS RESULTING
FROM OPERATIONS $(61,666) $(10,882) $ (8,727)
-------- -------- --------
Amounts designated as "--" are $0 or have been rounded to $0.
n/a -- Not applicable. Class I shares currently not offered.
The accompanying notes are an integral part of the financial statements.
30 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
CORE MARKET MARKET GROWTH
STRATEGY MARKET GROWTH STRATEGY
ALLOCATION STRATEGY ALLOCATION
FUND FUND FUND
- ----------- ------------- -------------
$ 119 $ 8,896 $ 906
------- -------- --------
21 712 160
10 356 80
1 27 6
n/a 7 n/a
-- 1 --
2 43 11
1 35 8
1 34 8
-- 6 1
1 10 2
------- -------- --------
37 1,231 276
------- -------- --------
(21) (712) (160)
(5) (156) (36)
------- -------- --------
11 363 80
------- -------- --------
108 8,533 826
------- -------- --------
(227) (15,774) (2,942)
(2,651) (74,967) (19,098)
------- -------- --------
(2,878) (90,741) (22,040)
------- -------- --------
$(2,770) $(82,208) $(21,214)
------- -------- --------
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 31
Statements of Changes in Net Assets ($ Thousands)
For the six months ended September 30, 2008 (Unaudited) and the year ended March
31, 2008
DIVERSIFIED DIVERSIFIED DIVERSIFIED GLOBAL
CONSERVATIVE INCOME CONSERVATIVE MODERATE GROWTH
FUND FUND FUND
--------------------- --------------------- ---------------------
4/01/08- 4/01/07- 4/01/08- 4/01/07- 4/01/08- 4/01/07-
9/30/08 3/31/08 9/30/08 3/31/08 9/30/08 3/31/08
--------- --------- --------- --------- --------- ---------
OPERATIONS:
Net Investment Income $ 831 $ 2,241 $ 1,019 $ 2,971 $ 1,895 $ 5,954
Net Realized Gain (Loss) from Affiliated Funds (631) (36) (1,489) 273 (3,090) (120)
Capital Gain Distributions Received
from Affiliated Funds -- 664 -- 1,983 -- 8,106
Net Change in Unrealized Depreciation
from Affiliated Funds (3,082) (3,086) (5,463) (6,969) (20,147) (23,306)
--------- --------- --------- --------- --------- ---------
Net Decrease in Net Assets
from Operations (2,882) (217) (5,933) (1,742) (21,342) (9,366)
--------- --------- --------- --------- --------- ---------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (402) (2,105) (519) (3,273) (963) (7,586)
Class D (39) (242) (31) (204) (14) (205)
Class I (34) (179) (50) (312) (191) (1,494)
Net Realized Gains:
Class A -- (320) -- (1,678) -- (3,705)
Class D -- (47) -- (128) -- (121)
Class I -- (27) -- (158) -- (746)
--------- --------- --------- --------- --------- ---------
Total Dividends and Distributions (475) (2,920) (600) (5,753) (1,168) (13,857)
--------- --------- --------- --------- --------- ---------
CAPITAL SHARE TRANSACTIONS(1):
CLASS A:
Proceeds from Shares Issued 4,559 10,818 5,531 22,340 16,975 43,251
Reinvestment of Dividends and Distributions 395 2,379 495 4,822 962 11,060
Cost of Shares Redeemed (9,988) (12,997) (17,593) (36,755) (17,824) (63,931)
--------- --------- --------- --------- --------- ---------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (5,034) 200 (11,567) (9,593) 113 (9,620)
--------- --------- --------- --------- --------- ---------
CLASS D:
Proceeds from Shares Issued 869 791 403 1,174 277 1,993
Reinvestment of Dividends and Distributions 38 272 30 322 13 311
Cost of Shares Redeemed (578) (1,661) (597) (2,468) (1,653) (1,049)
--------- --------- --------- --------- --------- ---------
Increase (Decrease) in Net Assets Derived
from Class D Transactions 329 (598) (164) (972) (1,363) 1,255
--------- --------- --------- --------- --------- ---------
CLASS I:
Proceeds from Shares Issued 1,029 1,705 1,162 6,339 3,563 17,152
Reinvestment of Dividends and Distributions 34 206 50 469 191 2,239
Cost of Shares Redeemed (1,030) (2,229) (949) (8,195) (2,687) (16,330)
--------- --------- --------- --------- --------- ---------
Increase (Decrease) in Net Assets Derived
From Class I Transactions 33 (318) 263 (1,387) 1,067 3,061
--------- --------- --------- --------- --------- ---------
Decrease in Net Assets Derived
from Capital Share Transactions (4,672) (716) (11,468) (11,952) (183) (5,304)
--------- --------- --------- --------- --------- ---------
Net Decrease in Net Assets (8,029) (3,853) (18,001) (19,447) (22,693) (28,527)
--------- --------- --------- --------- --------- ---------
NET ASSETS:
BEGINNING OF PERIOD 55,299 59,152 75,659 95,106 176,912 205,439
--------- --------- --------- --------- --------- ---------
END OF PERIOD $ 47,270 $ 55,299 $ 57,658 $ 75,659 $ 154,219 $ 176,912
--------- --------- --------- --------- --------- ---------
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment
Income) Included in Net Assets at End of
Period $ 373 $ 17 $ 441 $ 22 $ 759 $ 32
--------- --------- --------- --------- --------- ---------
(1) For Capital Share Transactions see footnote 4 in the notes to financial
statements.
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
32 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
DIVERSIFIED DIVERSIFIED DIVERSIFIED DIVERSIFIED
MODERATE GROWTH GLOBAL GROWTH GLOBAL STOCK U.S. STOCK
FUND FUND FUND FUND
- --------------------- --------------------- --------------------- ---------------------
4/01/08- 4/01/07- 4/01/08- 4/01/07- 4/01/08- 4/01/07- 4/01/08- 4/01/07-
9/30/08 3/31/08 9/30/08 3/31/08 9/30/08 3/31/08 9/30/08 3/31/08
- --------- --------- --------- --------- --------- --------- --------- ---------
$ 1,571 $ 5,926 $ 1,203 $ 5,540 $ 105 $ 1,788 $ 99 $ 791
(4,089) 643 (4,484) 184 (1,346) 798 (798) 1,702
-- 7,589 -- 13,722 -- 8,539 -- 3,406
(13,409) (23,877) (25,535) (36,784) (15,019) (22,238) (6,910) (13,380)
- --------- --------- --------- --------- --------- --------- --------- ---------
(15,927) (9,719) (28,816) (17,338) (16,260) (11,113) (7,609) (7,481)
- --------- --------- --------- --------- --------- --------- --------- ---------
(846) (7,680) (673) (8,666) (129) (4,287) (120) (1,900)
(46) (527) (13) (335) -- (212) -- (214)
(94) (884) (157) (2,088) (20) (742) (8) (164)
-- (9,140) -- (5,764) -- -- -- --
-- (815) -- (296) -- -- -- --
-- (1,140) -- (1,465) -- -- -- --
- --------- --------- --------- --------- --------- --------- --------- ---------
(986) (20,186) (843) (18,614) (149) (5,241) (128) (2,278)
- --------- --------- --------- --------- --------- --------- --------- ---------
8,775 34,073 17,449 42,300 8,805 24,779 3,490 10,226
844 16,755 672 14,203 129 4,191 117 1,841
(54,333) (73,422) (39,713) (72,504) (16,389) (54,426) (8,725) (24,583)
- --------- --------- --------- --------- --------- --------- --------- ---------
(44,714) (22,594) (21,592) (16,001) (7,455) (25,456) (5,118) (12,516)
- --------- --------- --------- --------- --------- --------- --------- ---------
762 2,534 703 1,575 635 1,646 399 1,195
43 1,251 12 602 -- 189 -- 151
(2,583) (6,161) (1,459) (3,372) (920) (1,745) (1,228) (5,268)
- --------- --------- --------- --------- --------- --------- --------- ---------
(1,778) (2,376) (744) (1,195) (285) 90 (829) (3,922)
- --------- --------- --------- --------- --------- --------- --------- ---------
2,890 6,798 6,179 20,513 4,676 8,902 672 1,279
90 1,959 155 3,474 19 728 8 159
(2,565) (13,747) (7,503) (15,544) (2,200) (7,447) (649) (1,729)
- --------- --------- --------- --------- --------- --------- --------- ---------
415 (4,990) (1,169) 8,443 2,495 2,183 31 (291)
- --------- --------- --------- --------- --------- --------- --------- ---------
(46,077) (29,960) (23,505) (8,753) (5,245) (23,183) (5,916) (16,729)
- --------- --------- --------- --------- --------- --------- --------- ---------
(62,990) (59,865) (53,164) (44,705) (21,654) (39,537) (13,653) (26,488)
- --------- --------- --------- --------- --------- --------- --------- ---------
176,105 235,970 225,826 270,531 105,025 144,562 64,597 91,085
- --------- --------- --------- --------- --------- --------- --------- ---------
$ 113,115 $ 176,105 $ 172,662 $ 225,826 $ 83,371 $ 105,025 $ 50,944 $ 64,597
- --------- --------- --------- --------- --------- --------- --------- ---------
$ 619 $ 34 $ 376 $ 16 $ (44) $ -- $ (29) $ --
- --------- --------- --------- --------- --------- --------- --------- ---------
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 33
Statements of Changes in Net Assets ($ Thousands)
For the six months ended September 30, 2008 (Unaudited) and the year ended March
31, 2008
DEFENSIVE
DEFENSIVE STRATEGY STRATEGY ALLOCATION
FUND FUND
------------------- -------------------
4/01/08- 4/01/07- 4/01/08- 4/01/07-
9/30/08 3/31/08 9/30/08 3/31/08
-------- -------- -------- --------
OPERATIONS:
Net Investment Income $ 745 $ 3,868 $ 349 $ 761
Net Realized Gain (Loss) from Affiliated Funds (90) (3,055) (68) 48
Capital Gain Distributions Received from
Affiliated Funds -- 481 -- 644
Net Change in Unrealized Depreciation from
Affiliated Funds (1,069) (5,013) (1,086) (2,857)
-------- -------- ------- -------
Net Decrease in Net Assets from Operations (414) (3,719) (805) (1,404)
-------- -------- ------- -------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (419) (4,128) (189) (1,087)
Class I -- -- n/a n/a
Net Realized Gains:
Class A -- (714) -- (571)
Class I -- -- n/a n/a
-------- -------- ------- -------
Total Dividends and Distributions (419) (4,842) (189) (1,658)
-------- -------- ------- -------
CAPITAL SHARE TRANSACTIONS(1):
CLASS A:
Proceeds from Shares Issued 10,262 40,278 2,874 6,857
Reinvestment of Dividends and Distributions 397 4,722 180 1,575
Cost of Shares Redeemed (13,552) (94,489) (2,645) (9,099)
-------- -------- ------- -------
Increase (Decrease) in Net Assets Derived from
Class A Transactions (2,893) (49,489) 409 (667)
-------- -------- ------- -------
CLASS I:
Proceeds from Shares Issued -- -- n/a n/a
Reinvestment of Dividends and Distributions -- -- n/a n/a
Cost of Shares Redeemed -- -- n/a n/a
-------- -------- ------- -------
Increase (Decrease) in Net Assets Derived from
Class I Transactions -- -- n/a n/a
-------- -------- ------- -------
Increase (Decrease) in Net Assets Derived from
Capital Share Transactions (2,893) (49,489) 409 (667)
-------- -------- ------- -------
Net Increase (Decrease) in Net Assets (3,726) (58,050) (585) (3,729)
-------- -------- ------- -------
NET ASSETS:
BEGINNING OF PERIOD 51,283 109,333 17,127 20,856
-------- -------- ------- -------
END OF PERIOD $ 47,557 $ 51,283 $16,542 $17,127
-------- -------- ------- -------
Undistributed Net Investment Income Included
in Net Assets at End of Period $ 342 $ 16 $ 165 $ 5
-------- -------- ------- -------
(1) For Capital Share Transactions see footnote 4 in the notes to financial
statements.
Amounts designated as "--" are $0 or have been rounded to $0.
n/a -- Not applicable. Class I shares currently not offered.
The accompanying notes are an integral part of the financial statements.
34 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
CONSERVATIVE CONSERVATIVE MODERATE
STRATEGY STRATEGY ALLOCATION MODERATE STRATEGY STRATEGY ALLOCATION
FUND FUND FUND FUND
- ------------------- ------------------- -------------------- -------------------
4/01/08- 4/01/07- 4/01/08- 4/01/07- 4/01/08- 4/01/07- 4/01/08- 4/01/07-
9/30/08 3/31/08 9/30/08 3/31/08 9/30/08 3/31/08 9/30/08 3/31/08
- -------- -------- -------- -------- -------- --------- -------- --------
$ 2,066 $ 5,981 $ 670 $ 1,643 $ 6,676 $ 19,729 $ 1,157 $ 3,276
(557) (5,982) (427) (493) (7,779) (4,706) (2,050) (1,269)
-- 2,262 -- 1,624 -- 10,386 -- 4,898
(6,964) (13,190) (1,932) (6,698) (21,958) (59,534) (7,062) (16,191)
- -------- -------- ------- -------- -------- --------- -------- --------
(5,455) (10,929) (1,689) (3,924) (23,061) (34,125) (7,955) (9,286)
- -------- -------- ------- -------- -------- --------- -------- --------
(1,166) (7,147) (386) (2,436) (4,181) (24,315) (720) (5,599)
(11) (56) n/a n/a (9) (54) n/a n/a
-- (1,273) -- (620) -- (4,866) -- (1,531)
-- (14) n/a n/a -- (14) n/a n/a
- -------- -------- ------- -------- -------- --------- -------- --------
(1,177) (8,490) (386) (3,056) (4,190) (29,249) (720) (7,130)
- -------- -------- ------- -------- -------- --------- -------- --------
35,256 73,234 4,679 20,335 33,206 176,785 11,549 37,635
1,112 8,066 356 2,851 4,088 28,600 679 6,758
(26,203) (79,224) (9,343) (21,857) (83,588) (193,821) (26,670) (35,747)
- -------- -------- ------- -------- -------- --------- -------- --------
10,165 2,076 (4,308) 1,329 (46,294) 11,564 (14,442) 8,646
- -------- -------- ------- -------- -------- --------- -------- --------
206 2,123 n/a n/a 214 1,876 n/a n/a
11 68 n/a n/a 9 65 n/a n/a
(337) (1,030) n/a n/a (505) (1,050) n/a n/a
- -------- -------- ------- -------- -------- --------- -------- --------
(120) 1,161 n/a n/a (282) 891 n/a n/a
- -------- -------- ------- -------- -------- --------- -------- --------
10,045 3,237 (4,308) 1,329 (46,576) 12,455 (14,442) 8,646
- -------- -------- ------- -------- -------- --------- -------- --------
3,413 (16,182) (6,383) (5,651) (73,827) (50,919) (23,117) (7,770)
- -------- -------- ------- -------- -------- --------- -------- --------
131,208 147,390 41,902 47,553 479,023 529,942 120,365 128,135
- -------- -------- ------- -------- -------- --------- -------- --------
$134,621 $131,208 $35,519 $ 41,902 $405,196 $ 479,023 $ 97,248 $120,365
- -------- -------- ------- -------- -------- --------- -------- --------
$ 923 $ 34 $ 295 $ 11 $ 2,586 $ 100 $ 451 $ 14
- -------- -------- ------- -------- -------- --------- -------- --------
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 35
Statements of Changes in Net Assets ($ Thousands)
For the six months ended September 30, 2008 (Unaudited) and the year ended March
31, 2008
TAX-MANAGED
AGGRESSIVE STRATEGY AGGRESSIVE STRATEGY
FUND FUND
--------------------- --------------------
4/01/08- 4/01/07- 4/01/08- 4/01/07-
9/30/08 3/31/08 9/30/08 3/31/08
-------- --------- -------- --------
OPERATIONS:
Net Investment Income $ 3,186 $ 10,762 $ 437 $ 2,010
Net Realized Loss from Affiliated Funds (9,235) (1,541) (1,581) (2,346)
Capital Gain Distributions Received from Affiliated Funds -- 24,531 -- 3,796
Net Change in Unrealized Depreciation
from Affiliated Funds (55,617) (71,435) (9,738) (11,010)
-------- --------- -------- --------
Net Decrease in Net Assets from Operations (61,666) (37,683) (10,882) (7,550)
-------- --------- -------- --------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (2,282) (20,439) (346) (3,225)
Class I (19) (244) n/a n/a
Net Realized Gains:
Class A -- (7,104) -- (1,779)
Class I -- (91) n/a n/a
-------- --------- -------- --------
Total Dividends and Distributions (2,301) (27,878) (346) (5,004)
-------- --------- -------- --------
CAPITAL SHARE TRANSACTIONS(1):
CLASS A:
Proceeds from Shares Issued 83,606 192,809 5,461 37,368
Reinvestment of Dividends and Distributions 2,245 27,378 338 4,959
Cost of Shares Redeemed (74,609) (150,084) (15,435) (41,927)
-------- --------- -------- --------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 11,242 70,103 (9,636) 400
-------- --------- -------- --------
CLASS I:
Proceeds from Shares Issued 985 6,071 n/a n/a
Reinvestment of Dividends and Distributions 19 335 n/a n/a
Cost of Shares Redeemed (1,858) (4,240) n/a n/a
-------- --------- -------- --------
Increase (Decrease) in Net Assets Derived
from Class I Transactions (854) 2,166 n/a n/a
-------- --------- -------- --------
Increase (Decrease) in Net Assets Derived from
Capital Share Transactions 10,388 72,269 (9,636) 400
-------- --------- -------- --------
Net Increase (Decrease) in Net Assets (53,579) 6,708 (20,864) (12,154)
-------- --------- -------- --------
NET ASSETS:
BEGINNING OF PERIOD 415,365 408,657 89,007 101,161
-------- --------- -------- --------
END OF PERIOD $361,786 $ 415,365 $ 68,143 $ 89,007
-------- --------- -------- --------
Undistributed Net Investment Income
Included in Net Assets at End of Period $ 911 $ 26 $ 94 $ 3
-------- --------- -------- --------
(1) For Capital Share Transactions see footnote 4 in the notes to financial
statements.
Amounts designated as "--" are $0 or have been rounded to $0.
n/a -- Not applicable. Class I shares currently not offered.
The accompanying notes are an integral part of the financial statements.
36 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
CORE MARKET MARKET GROWTH
CORE MARKET STRATEGY STRATEGY ALLOCATION MARKET GROWTH STRATEGY STRATEGY ALLOCATION
FUND FUND FUND FUND
- ---------------------- ---------------------- ---------------------- ----------------------
4/01/08- 4/01/07- 4/01/08- 4/01/07- 4/01/08- 4/01/07- 4/01/08- 4/01/07-
9/30/08 3/31/08 9/30/08 3/31/08 9/30/08 3/31/08 9/30/08 3/31/08
- --------- --------- --------- --------- --------- --------- --------- ---------
$ 1,606 $ 3,985 $ 108 $ 474 $ 8,533 $ 23,866 $ 826 $ 3,609
(2,553) (63) (227) (72) (15,774) (1,802) (2,942) (1,784)
-- 3,014 -- 872 -- 31,831 -- 6,642
(7,780) (10,178) (2,651) (2,854) (74,967) (99,501) (19,098) (20,561)
- --------- --------- --------- --------- --------- --------- --------- ---------
(8,727) (3,242) (2,770) (1,580) (82,208) (45,606) (21,214) (12,094)
- --------- --------- --------- --------- --------- --------- --------- ---------
(963) (5,189) (85) (752) (5,286) (36,444) (649) (5,732)
-- -- n/a n/a (33) (334) n/a n/a
-- (1,541) -- (675) -- (11,181) -- (3,257)
-- -- n/a n/a -- (114) n/a n/a
- --------- --------- --------- --------- --------- --------- --------- ---------
(963) (6,730) (85) (1,427) (5,319) (48,073) (649) (8,989)
- --------- --------- --------- --------- --------- --------- --------- ---------
11,300 38,656 4,207 5,919 85,672 296,048 13,774 54,579
952 6,607 80 1,335 5,214 47,220 626 8,776
(26,524) (28,509) (5,139) (8,766) (123,816) (259,087) (26,695) (61,405)
- --------- --------- --------- --------- --------- --------- --------- ---------
(14,272) 16,754 (852) (1,512) (32,930) 84,181 (12,295) 1,950
- --------- --------- --------- --------- --------- --------- --------- ---------
-- -- n/a n/a 1,181 8,703 n/a n/a
-- -- n/a n/a 33 448 n/a n/a
-- -- n/a n/a (3,108) (5,837) n/a n/a
- --------- --------- --------- --------- --------- --------- --------- ---------
-- -- n/a n/a (1,894) 3,314 n/a n/a
- --------- --------- --------- --------- --------- --------- --------- ---------
(14,272) 16,754 (852) (1,512) (34,824) 87,495 (12,295) 1,950
- --------- --------- --------- --------- --------- --------- --------- ---------
(23,962) 6,782 (3,707) (4,519) (122,351) (6,184) (34,158) (19,133)
- --------- --------- --------- --------- --------- --------- --------- ---------
106,247 99,465 21,396 25,915 724,772 730,956 166,544 185,677
- --------- --------- --------- --------- --------- --------- --------- ---------
$ 82,285 $ 106,247 $ 17,689 $ 21,396 $ 602,421 $ 724,772 $ 132,386 $ 166,544
- --------- --------- --------- --------- --------- --------- --------- ---------
$ 675 $ 32 $ 24 $ 1 $ 3,346 $ 132 $ 182 $ 5
- --------- --------- --------- --------- --------- --------- --------- ---------
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 37
Financial Highlights
For the six months ended September 30, 2008 (Unaudited) and the periods ended
March 31,
For a Share Outstanding Throughout each Period
Net
Realized
and
Unrealized
Gains Distributions
Net Asset (Losses) Dividends from Total
Value, Net from from Net Realized Dividends
Beginning Investment Affiliated Total from Investment Capital and
of Period Income* Funds Operations Income Gains Distributions
--------- ---------- ---------- ---------- ---------- ------------- -------------
DIVERSIFIED CONSERVATIVE INCOME FUND
CLASS A
2008@ $10.75 $0.18 $(0.77) $(0.59) $(0.10) $ -- $(0.10)
2008 11.35 0.44 (0.48) (0.04) (0.49) (0.07) (0.56)
2007 11.28 0.43 0.36 0.79 (0.46) (0.26) (0.72)
2006 11.07 0.34 0.29 0.63 (0.35) (0.07) (0.42)
2005 11.22 0.27 0.02 0.29 (0.32) (0.12) (0.44)
2004 10.28 0.24 1.01 1.25 (0.24) (0.07) (0.31)
CLASS D
2008@ $10.68 $0.12 $(0.76) $(0.64) $(0.07) $ -- $(0.07)
2008 11.28 0.32 (0.47) (0.15) (0.38) (0.07) (0.45)
2007 11.21 0.31 0.36 0.67 (0.34) (0.26) (0.60)
2006 11.01 0.22 0.28 0.50 (0.23) (0.07) (0.30)
2005 11.13 0.15 0.03 0.18 (0.18) (0.12) (0.30)
2004 10.20 0.14 1.00 1.14 (0.14) (0.07) (0.21)
CLASS I
2008@ $10.73 $0.16 $(0.77) $(0.61) $(0.09) $ -- $(0.09)
2008 11.33 0.41 (0.48) (0.07) (0.46) (0.07) (0.53)
2007 11.26 0.40 0.36 0.76 (0.43) (0.26) (0.69)
2006 11.06 0.32 0.27 0.59 (0.32) (0.07) (0.39)
2005 11.20 0.24 0.03 0.27 (0.29) (0.12) (0.41)
2004 10.27 0.22 1.00 1.22 (0.22) (0.07) (0.29)
DIVERSIFIED CONSERVATIVE FUND
CLASS A
2008@ $10.06 $0.15 $(1.07) $(0.92) $(0.09) $ -- $(0.09)
2008 11.03 0.38 (0.60) (0.22) (0.50) (0.25) (0.75)
2007 10.97 0.37 0.57 0.94 (0.41) (0.47) (0.88)
2006 10.48 0.30 0.55 0.85 (0.30) (0.06) (0.36)
2005 10.50 0.27 0.14 0.41 (0.31) (0.12) (0.43)
2004 9.10 0.24 1.46 1.70 (0.23) (0.07) (0.30)
CLASS D
2008@ $10.03 $0.10 $(1.06) $(0.96) $(0.06) $ -- $(0.06)
2008 11.01 0.27 (0.61) (0.34) (0.39) (0.25) (0.64)
2007 10.96 0.26 0.56 0.82 (0.30) (0.47) (0.77)
2006 10.47 0.19 0.56 0.75 (0.20) (0.06) (0.26)
2005 10.46 0.16 0.15 0.31 (0.18) (0.12) (0.30)
2004 9.06 0.14 1.46 1.60 (0.13) (0.07) (0.20)
CLASS I
2008@ $10.04 $0.14 $(1.07) $(0.93) $(0.08) $ -- $(0.08)
2008 11.02 0.35 (0.61) (0.26) (0.47) (0.25) (0.72)
2007 10.96 0.34 0.57 0.91 (0.38) (0.47) (0.85)
2006 10.47 0.27 0.56 0.83 (0.28) (0.06) (0.34)
2005 10.49 0.24 0.14 0.38 (0.28) (0.12) (0.40)
2004 9.09 0.21 1.47 1.68 (0.21) (0.07) (0.28)
Ratio of
Expenses
to Average
Ratio of Net Net Assets
Ratio of Net Investment (Excluding
Net Asset Net Assets Expenses Income Waivers Portfolio
Value, End Total End of Period to Average to Average and Reim- Turnover
of Period Return+ ($ Thousands) Net Assets** Net Assets bursement)** Rate
---------- ------- ------------- ------------ ------------ ------------ ---------
DIVERSIFIED CONSERVATIVE INCOME FUND
CLASS A
2008@ $10.06 (5.53)% $37,092 0.12% 3.28% 0.34% 19%
2008 10.75 (0.41) 44,804 0.12 3.89 0.34 20
2007 11.35 7.21 47,155 0.12 3.76 0.35 17
2006 11.28 5.70 56,119 0.12 3.04 0.36 41
2005 11.07 2.62 57,892 0.12 2.40 0.41 27
2004 11.22 12.34 56,376 0.12 2.26 0.36 23
CLASS D
2008@ $ 9.97 (6.02)% $ 6,205 1.12% 2.28% 1.34% 19%
2008 10.68 (1.40) 6,298 1.12 2.89 1.34 20
2007 11.28 6.17 7,258 1.12 2.77 1.35 17
2006 11.21 4.53 8,453 1.12 2.02 1.36 41
2005 11.01 1.63 12,177 1.12 1.39 1.41 27
2004 11.13 11.25 13,747 1.12 1.26 1.36 23
CLASS I
2008@ $10.03 (5.70)% $ 3,973 0.37% 3.03% 0.59% 19%
2008 10.73 (0.67) 4,197 0.37 3.63 0.59 20
2007 11.33 6.96 4,739 0.37 3.51 0.60 17
2006 11.26 5.36 4,165 0.37 2.79 0.61 41
2005 11.06 2.41 3,660 0.37 2.16 0.66 27
2004 11.20 12.00 3,434 0.37 1.99 0.61 23
DIVERSIFIED CONSERVATIVE FUND
CLASS A
2008@ $ 9.05 (9.20)% $47,572 0.12% 3.07% 0.34% 19%
2008 10.06 (2.28) 64,565 0.12 3.49 0.34 24
2007 11.03 8.79 80,537 0.12 3.34 0.35 32
2006 10.97 8.21 94,597 0.12 2.80 0.36 43
2005 10.48 3.93 92,261 0.12 2.55 0.41 18
2004 10.50 18.98 73,941 0.12 2.41 0.36 15
CLASS D
2008@ $ 9.01 (9.58)% $ 4,432 1.12% 2.07% 1.34% 19%
2008 10.03 (3.37) 5,099 1.12 2.50 1.34 24
2007 11.01 7.62 6,559 1.12 2.34 1.35 32
2006 10.96 7.15 8,942 1.12 1.80 1.36 43
2005 10.47 2.96 9,062 1.12 1.53 1.41 18
2004 10.46 17.85 9,124 1.12 1.41 1.36 15
CLASS I
2008@ $ 9.03 (9.28)% $ 5,654 0.37% 2.82% 0.59% 19%
2008 10.04 (2.63) 5,995 0.37 3.23 0.59 24
2007 11.02 8.54 8,010 0.37 3.12 0.60 32
2006 10.96 7.95 7,250 0.37 2.54 0.61 43
2005 10.47 3.62 7,571 0.37 2.31 0.66 18
2004 10.49 18.72 6,045 0.37 2.15 0.61 15
38 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Net
Realized
and
Unrealized
Gains Distributions
Net Asset (Losses) Dividends from Total
Value, Net from from Net Realized Dividends, Net Asset
Beginning Investment Affiliated Total from Investment Capital and Value, End Total
of Period Income* Funds Operations Income Gains Distributions of Period Return+
--------- ---------- ----------- ---------- ---------- ------------- ------------- ---------- -------
DIVERSIFIED GLOBAL MODERATE GROWTH FUND
CLASS A
2008@ $10.99 $0.12 $(1.43) $(1.31) $(0.07) $ -- $(0.07) $ 9.61 (11.95)%
2008 12.38 0.37 (0.93) (0.56) (0.56) (0.27) (0.83) 10.99 (4.94)
2007 11.96 0.35 0.87 1.22 (0.42) (0.38) (0.80) 12.38 10.44
2006 10.92 0.27 1.09 1.36 (0.27) (0.05) (0.32) 11.96 12.64
2005 11.12 0.25 0.41 0.66 (0.30) (0.56) (0.86) 10.92 5.99
2004 8.94 0.22 2.23 2.45 (0.21) (0.06) (0.27) 11.12 27.72
CLASS D
2008@ $10.87 $0.06 $(1.40) $(1.34) $(0.04) $ -- $(0.04) $ 9.49 (12.38)%
2008 12.26 0.25 (0.92) (0.67) (0.45) (0.27) (0.72) 10.87 (5.90)
2007 11.85 0.23 0.85 1.08 (0.29) (0.38) (0.67) 12.26 9.32
2006 10.82 0.16 1.07 1.23 (0.15) (0.05) (0.20) 11.85 11.51
2005 11.00 0.14 0.40 0.54 (0.16) (0.56) (0.72) 10.82 4.96
2004 8.85 0.12 2.20 2.32 (0.11) (0.06) (0.17) 11.00 26.46
CLASS I
2008@ $10.95 $0.11 $(1.42) $(1.31) $(0.07) $ -- $(0.07) $ 9.57 (12.06)%
2008 12.34 0.34 (0.93) (0.59) (0.53) (0.27) (0.80) 10.95 (5.19)
2007 11.93 0.33 0.85 1.18 (0.39) (0.38) (0.77) 12.34 10.13
2006 10.89 0.24 1.09 1.33 (0.24) (0.05) (0.29) 11.93 12.41
2005 11.08 0.23 0.41 0.64 (0.27) (0.56) (0.83) 10.89 5.80
2004 8.92 0.20 2.21 2.41 (0.19) (0.06) (0.25) 11.08 27.28
DIVERSIFIED MODERATE GROWTH FUND
CLASS A
2008@ $11.81 $0.12 $(1.46) $(1.34) $(0.08) $ -- $(0.08) $10.39 (11.42)%
2008 13.64 0.37 (0.96) (0.59) (0.56) (0.68) (1.24) 11.81 (4.95)
2007 13.29 0.34 0.94 1.28 (0.45) (0.48) (0.93) 13.64 9.85
2006 12.20 0.27 1.11 1.38 (0.28) (0.01) (0.29) 13.29 11.41
2005 11.91 0.25 0.35 0.60 (0.27) (0.04) (0.31) 12.20 5.09
2004 9.68 0.20 2.28 2.48 (0.19) (0.06) (0.25) 11.91 25.88
CLASS D
2008@ $11.75 $0.07 $(1.46) $(1.39) $(0.04) $ -- $(0.04) $10.32 (11.83)%
2008 13.58 0.24 (0.96) (0.72) (0.43) (0.68) (1.11) 11.75 (5.94)
2007 13.24 0.22 0.92 1.14 (0.32) (0.48) (0.80) 13.58 8.70
2006 12.16 0.15 1.09 1.24 (0.15) (0.01) (0.16) 13.24 10.27
2005 11.84 0.12 0.36 0.48 (0.12) (0.04) (0.16) 12.16 4.08
2004 9.63 0.10 2.26 2.36 (0.09) (0.06) (0.15) 11.84 24.57
CLASS I
2008@ $11.80 $0.11 $(1.47) $(1.36) $(0.07) $ -- $(0.07) $10.37 (11.58)%
2008 13.63 0.34 (0.96) (0.62) (0.53) (0.68) (1.21) 11.80 (5.20)
2007 13.29 0.32 0.92 1.24 (0.42) (0.48) (0.90) 13.63 9.49
2006 12.20 0.24 1.11 1.35 (0.25) (0.01) (0.26) 13.29 11.14
2005 11.90 0.22 0.35 0.57 (0.23) (0.04) (0.27) 12.20 4.87
2004 9.67 0.18 2.28 2.46 (0.17) (0.06) (0.23) 11.90 25.61
Ratio of
Expenses
Ratio of to Average
Net Net Assets
Ratio of Investment (Excluding
Net Assets Net Expenses Income Waivers Portfolio
End of Period to Average to Average and Reim- Turnover
($ Thousands) Net Assets** Net Assets bursement)** Rate
------------- ------------ ---------- ------------ ---------
DIVERSIFIED GLOBAL MODERATE GROWTH FUND
CLASS A
2008@ $122,709 0.12% 2.21% 0.34% 21%
2008 140,606 0.12 2.99 0.34 25
2007 168,886 0.12 2.86 0.34 28
2006 178,977 0.12 2.40 0.36 58
2005 158,229 0.12 2.24 0.41 24
2004 176,704 0.12 2.12 0.36 36
CLASS D
2008@ $ 3,501 1.12% 1.17% 1.34% 21%
2008 5,325 1.12 2.09 1.34 25
2007 4,739 1.12 1.89 1.34 28
2006 7,674 1.12 1.38 1.36 58
2005 8,347 1.12 1.29 1.41 24
2004 8,829 1.12 1.18 1.36 36
CLASS I
2008@ $ 28,009 0.37% 1.95% 0.59% 21%
2008 30,981 0.37 2.78 0.59 25
2007 31,814 0.37 2.70 0.59 28
2006 18,748 0.37 2.15 0.61 58
2005 13,973 0.37 2.10 0.67 24
2004 8,408 0.37 1.96 0.62 36
DIVERSIFIED MODERATE GROWTH FUND
CLASS A
2008@ $ 89,238 0.12% 2.13% 0.35% 16%
2008 147,548 0.12 2.77 0.34 13
2007 194,744 0.12 2.55 0.35 15
2006 338,254 0.12 2.15 0.36 52
2005 337,643 0.12 2.08 0.40 18
2004 200,772 0.12 1.85 0.36 17
CLASS D
2008@ $ 10,121 1.12% 1.13% 1.35% 16%
2008 13,301 1.12 1.78 1.34 13
2007 17,844 1.12 1.67 1.35 15
2006 19,586 1.12 1.15 1.36 52
2005 18,569 1.12 1.03 1.40 18
2004 20,780 1.12 0.87 1.36 17
CLASS I
2008@ $ 13,756 0.37% 1.89% 0.60% 16%
2008 15,256 0.37 2.53 0.59 13
2007 23,382 0.37 2.42 0.60 15
2006 23,262 0.37 1.91 0.61 52
2005 19,137 0.37 1.81 0.65 18
2004 10,887 0.37 1.59 0.62 17
+ Returns 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.
@ For the six months ended September 30, 2008 (unaudited). All ratios have
been annualized.
* Per share calculations were performed using average shares.
** The expense ratios do not include expenses of the underlying affiliated
investment companies.
The accompanying notes are an integral part of the financial statements.
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 39
Financial Highlights
For the six months ended September 30, 2008 (Unaudited) and the periods ended
March 31,
For a Share Outstanding Throughout each Period
Net
Realized
and
Unrealized
Gains Distributions
Net Asset Net (Losses) Dividends from Total
Value, Investment from from Net Realized Dividends, Net Asset
Beginning Income Affiliated Total from Investment Capital and Value, End Total
of Period (Loss)* Funds Operations Income Gains Distributions of Period Return+
--------- ---------- ----------- ---------- ---------- ------------- ------------- ---------- -------
DIVERSIFIED GLOBAL GROWTH FUND
CLASS A
2008@ $12.51 $ 0.08 $(1.85) $(1.77) $(0.05) $ -- $(0.05) $10.69 (14.17)%
2008 14.45 0.31 (1.23) (0.92) (0.61) (0.41) (1.02) 12.51 (7.04)
2007 13.61 0.29 1.22 1.51 (0.39) (0.28) (0.67) 14.45 11.29
2006 12.01 0.21 1.67 1.88 (0.21) (0.07) (0.28) 13.61 15.81
2005 11.63 0.20 0.60 0.80 (0.22) (0.20) (0.42) 12.01 6.89
2004 8.79 0.15 2.87 3.02 (0.14) (0.04) (0.18) 11.63 34.53
CLASS D
2008@ $12.42 $ 0.01 $(1.82) $(1.81) $(0.02) $ -- $(0.02) $10.59 (14.60)%
2008 14.36 0.17 (1.23) (1.06) (0.47) (0.41) (0.88) 12.42 (8.02)
2007 13.52 0.16 1.21 1.37 (0.25) (0.28) (0.53) 14.36 10.25
2006 11.93 0.08 1.66 1.74 (0.08) (0.07) (0.15) 13.52 14.69
2005 11.54 0.07 0.60 0.67 (0.08) (0.20) (0.28) 11.93 5.76
2004 8.73 0.05 2.84 2.89 (0.04) (0.04) (0.08) 11.54 33.18
CLASS I
2008@ $12.49 $ 0.06 $(1.84) $(1.78) $(0.04) $ -- $(0.04) $10.67 (14.26)%
2008 14.44 0.28 (1.24) (0.96) (0.58) (0.41) (0.99) 12.49 (7.34)
2007 13.61 0.27 1.20 1.47 (0.36) (0.28) (0.64) 14.44 10.95
2006 12.00 0.18 1.68 1.86 (0.18) (0.07) (0.25) 13.61 15.63
2005 11.62 0.17 0.60 0.77 (0.19) (0.20) (0.39) 12.00 6.59
2004 8.79 0.13 2.86 2.99 (0.12) (0.04) (0.16) 11.62 34.13
DIVERSIFIED GLOBAL STOCK FUND
CLASS A
2008@ $12.52 $ 0.02 $(2.06) $(2.04) $(0.02) $ -- $(0.02) $10.46 (16.31)%
2008 14.40 0.20 (1.50) (1.30) (0.58) -- (0.58) 12.52 (9.49)
2007 13.11 0.18 1.41 1.59 (0.30) -- (0.30) 14.40 12.18
2006 11.16 0.11 1.97 2.08 (0.11) (0.02) (0.13) 13.11 18.75
2005 10.52 0.11 0.69 0.80 (0.12) (0.04) (0.16) 11.16 7.62
2004 7.50 0.07 3.02 3.09 (0.06) (0.01) (0.07) 10.52 41.32
CLASS D
2008@ $11.71 $(0.04) $(1.92) $(1.96) $ -- $ -- $ -- $ 9.75 (16.74)%
2008 13.52 0.06 (1.42) (1.36) (0.45) -- (0.45) 11.71 (10.43)
2007 12.36 0.05 1.31 1.36 (0.20) -- (0.20) 13.52 11.03
2006 10.57 (0.01) 1.86 1.85 (0.04) (0.02) (0.06) 12.36 17.53
2005 10.01 -- 0.66 0.66 (0.06) (0.04) (0.10) 10.57 6.57
2004 7.17 (0.02) 2.88 2.86 (0.01) (0.01) (0.02) 10.01 39.94
CLASS I
2008@ $12.49 $ -- $(2.06) $(2.06) $(0.01) $ -- $(0.01) $10.42 (16.48)%
2008 14.36 0.18 (1.51) (1.33) (0.54) -- (0.54) 12.49 (9.67)
2007 13.08 0.18 1.36 1.54 (0.26) -- (0.26) 14.36 11.88
2006 11.14 0.10 1.94 2.04 (0.08) (0.02) (0.10) 13.08 18.40
2005 10.50 0.10 0.67 0.77 (0.09) (0.04) (0.13) 11.14 7.35
2004 7.50 0.06 2.99 3.05 (0.04) (0.01) (0.05) 10.50 40.77
Ratio of
Ratio of Expenses
Net to Average
Investment Net Assets
Ratio of Income (Excluding
Net Assets Net Expenses (Loss) Waivers Portfolio
End of Period to Average to Average and Reim- Turnover
($ Thousands) Net Assets** Net Assets bursement)** Rate
------------- ------------ ---------- ------------ ---------
DIVERSIFIED GLOBAL GROWTH FUND
CLASS A
2008@ $127,289 0.12% 1.22% 0.34% 17%
2008 170,825 0.12 2.14 0.34 17
2007 213,992 0.12 2.07 0.34 23
2006 236,477 0.12 1.64 0.36 69
2005 206,579 0.12 1.69 0.40 16
2004 171,034 0.12 1.45 0.36 32
CLASS D
2008@ $ 6,716 1.12% 0.23% 1.34% 17%
2008 8,649 1.12 1.16 1.34 17
2007 11,161 1.12 1.13 1.34 23
2006 14,026 1.12 0.62 1.36 69
2005 13,309 1.12 0.63 1.40 16
2004 17,583 1.12 0.46 1.36 32
CLASS I
2008@ $ 38,657 0.37% 0.96% 0.59% 17%
2008 46,352 0.37 1.96 0.59 17
2007 45,378 0.37 1.96 0.59 23
2006 32,240 0.37 1.44 0.61 69
2005 22,177 0.37 1.47 0.66 16
2004 14,686 0.37 1.25 0.62 32
DIVERSIFIED GLOBAL STOCK FUND
CLASS A
2008@ $ 62,736 0.12% 0.30% 0.35% 15%
2008 82,495 0.12 1.36 0.34 20
2007 120,818 0.12 1.36 0.34 23
2006 142,449 0.12 0.95 0.36 86
2005 123,048 0.12 1.07 0.41 19
2004 123,657 0.12 0.78 0.36 58
CLASS D
2008@ $ 4,113 1.12% (0.70)% 1.35% 15%
2008 5,204 1.12 0.45 1.34 20
2007 5,908 1.12 0.43 1.34 23
2006 6,046 1.12 (0.10) 1.36 86
2005 6,920 1.12 0.05 1.41 19
2004 7,969 1.12 (0.21) 1.36 58
CLASS I
2008@ $ 16,522 0.37% 0.06% 0.60% 15%
2008 17,326 0.37 1.26 0.59 20
2007 17,836 0.37 1.37 0.59 23
2006 9,110 0.37 0.82 0.61 86
2005 8,445 0.37 0.96 0.66 19
2004 3,177 0.37 0.58 0.61 58
40 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Net Realized
and
Unrealized
Net Asset Net Gains Dividends
Value, Investment (Losses) from from Net Distributions Total Net Asset
Beginning Income Affiliated Total from Investment from Realized Dividends and Value, End Total
of Period (Loss)* Funds Operations Income Capital Gains Distributions of Period Return+
--------- ---------- ------------- ---------- ----------- ------------- ------------- ----------- -------
DIVERSIFIED U.S. STOCK FUND
CLASS A
2008@ $14.52 $ 0.03 $(1.90) $(1.87) $(0.03) $ -- $(0.03) $12.62 (12.87)%
2008 16.76 0.18 (1.92) (1.74) (0.50) -- (0.50) 14.52 (10.71)
2007 15.52 0.15 1.36 1.51 (0.27) -- (0.27) 16.76 9.80
2006 13.46 0.08 2.08 2.16 (0.07) (0.03) (0.10) 15.52 16.10
2005 12.91 0.10 0.62 0.72 (0.11) (0.06) (0.17) 13.46 5.62
2004 9.48 0.09 3.42 3.51 (0.07) (0.01) (0.08) 12.91 37.24
CLASS D
2008@ $13.61 $(0.04) $(1.77) $(1.81) $ -- $ -- $ -- $11.80 (13.30)%
2008 15.75 0.01 (1.81) (1.80) (0.34) -- (0.34) 13.61 (11.66)
2007 14.60 (0.01) 1.29 1.28 (0.13) -- (0.13) 15.75 8.78
2006 12.73 (0.06) 1.96 1.90 -- (0.03) (0.03) 14.60 14.91
2005 12.25 (0.03) 0.59 0.56 (0.02) (0.06) (0.08) 12.73 4.57
2004 9.04 (0.01) 3.23 3.22 -- (0.01) (0.01) 12.25 35.68
CLASS I
2008@ $14.48 $ 0.01 $(1.89) $(1.88) $(0.02) $ -- $(0.02) $12.58 (12.97)%
2008 16.72 0.14 (1.92) (1.78) (0.46) -- (0.46) 14.48 (10.96)
2007 15.48 0.11 1.36 1.47 (0.23) -- (0.23) 16.72 9.56
2006 13.44 0.05 2.07 2.12 (0.05) (0.03) (0.08) 15.48 15.78
2005 12.89 0.08 0.61 0.69 (0.08) (0.06) (0.14) 13.44 5.35
2004 9.48 0.06 3.41 3.47 (0.05) (0.01) (0.06) 12.89 36.76
DEFENSIVE STRATEGY FUND
CLASS A
2008@ $ 9.68 $ 0.15 $(0.24) $(0.09) $(0.09) $ -- $(0.09) $ 9.50 (0.98)%
2008 10.90 0.45 (1.04) (0.59) (0.51) (0.12) (0.63) 9.68 (5.63)
2007 10.58 0.48 0.36 0.84 (0.50) (0.02) (0.52) 10.90 8.08
2006 10.34 0.39 0.20 0.59 (0.33) (0.02) (0.35) 10.58 5.81
2005 10.29 0.29 0.06 0.35 (0.25) (0.05) (0.30) 10.34 3.44
2004(1) 10.00 0.14 0.15 0.29 -- -- -- 10.29 2.90
CLASS I
2008@ $ 9.68 $ 0.16 $(0.23) $(0.07) $(0.09) $ -- $(0.09) $ 9.52 (0.77)%(2)
2008 10.96 0.39 (1.04) (0.65) (0.51) (0.12) (0.63) 9.68 (6.22)
2007 10.70 0.43 0.35 0.78 (0.50) (0.02) (0.52) 10.96 7.42
2006 10.46 0.37## 0.22 0.59 (0.33) (0.02) (0.35) 10.70 5.74
2005 10.30 0.38 0.08 0.46 (0.25) (0.05) (0.30) 10.46 4.51(2)
2004(1) 10.00 0.16 0.14 0.30 -- -- -- 10.30 3.00(2)
Ratio of
Expenses
Ratio of Net to Average
Investment Net Assets
Net Assets Ratio of Net Income (Excluding
End of Expenses (Loss) Waivers Portfolio
Period to Average to Average and Reim- Turnover
($ Thousands) Net Assets** Net Assets bursement)** Rate
------------- ------------ ------------ ------------ ---------
DIVERSIFIED U.S. STOCK FUND
CLASS A
2008@ $ 42,075 0.12% 0.43% 0.34% 7%
2008 53,598 0.12 1.09 0.34 11
2007 74,105 0.12 0.92 0.34 15
2006 89,770 0.12 0.57 0.37 101
2005 89,902 0.12 0.79 0.41 11
2004 100,571 0.12 0.79 0.36 27
CLASS D
2008@ $ 4,778 1.12% (0.58)% 1.34% 7%
2008 6,311 1.12 0.08 1.34 11
2007 11,205 1.12 (0.10) 1.34 15
2006 13,190 1.12 (0.43) 1.37 101
2005 12,676 1.12 (0.21) 1.41 11
2004 15,562 1.12 (0.11) 1.36 27
CLASS I
2008@ $ 4,091 0.37% 0.19% 0.59% 7%
2008 4,688 0.37 0.85 0.59 11
2007 5,775 0.37 0.69 0.59 15
2006 5,936 0.37 0.35 0.62 101
2005 4,323 0.37 0.58 0.66 11
2004 2,251 0.37 0.51 0.61 27
DEFENSIVE STRATEGY FUND
CLASS A
2008@ $ 47,557 0.10% 3.09% 0.35% 17%
2008 51,283 0.10 4.25 0.34 40
2007 109,333 0.10 4.48 0.34 94
2006 99,511 0.10 3.69 0.35 46
2005 26,587 0.10 2.78 0.49 52
2004(1) 2,500 0.10 3.78 4.04 1
CLASS I
2008@ $ -- 0.10%++ 3.27% 0.35% 17%
2008 -- 0.10++ 3.68 0.34 40
2007 -- 0.10++ 3.96 0.34 94
2006 -- 0.10++ 3.69 0.35 46
2005 -- 0.10++ 2.78 0.49 52
2004(1) -- 0.10++ 3.78 4.04 1
(1) Commenced operations November 14, 2003. All ratios have been annualized.
Total return has not been annualized.
(2) Class I shares have not been marketed and have a limited number of shares
outstanding. The total return in Class I exceeds Class A due to rounding.
+ Returns 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.
++ Excludes a 0.25% Administrative Servicing Fee which currently is not being
charged to the Class due to the immaterial amount.
@ For the six months ended September 30, 2008 (unaudited). All ratios have
been annualized.
* Per share calculations were performed using average shares.
** The expense ratios do not include expenses of the underlying affiliated
investment companies.
## The per share amounts for net investment income (loss) between classes does
not accord with the ratios of net investment income (loss) between classes
due to the size of Class I relative to the other classes.
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 41
Financial Highlights
For the six months ended September 30, 2008 (Unaudited) and the periods ended
March 31,
For a Share Outstanding Throughout each Period
Net
Realized
and
Unrealized
Gains Distributions
Net Asset (Losses) Dividends from
Value, Net from from Net Realized Return
Beginning Investment Affiliated Total from Investment Capital of
of Period Income* Funds Operations Income Gains Capital
--------- ---------- ---------- ---------- ---------- ------------ -------
DEFENSIVE STRATEGY ALLOCATION FUND
CLASS A
2008@ $11.48 $ 0.23 $(0.78) $(0.55) $(0.12) $ -- $ --
2008 13.55 0.51 (1.48) (0.97) (0.72) (0.38) --
2007 12.68 0.51 1.19 1.70 (0.63) (0.20) --
2006(6) 11.48 0.40 1.31 1.71 (0.36) (0.15) --
2005(4) 40.84 0.88 0.16 1.04 (0.80) (0.16) (29.44)(2)
2004(1)(4) 40.00 0.80 0.04 0.84 -- -- --
CONSERVATIVE STRATEGY FUND
CLASS A
2008@ $10.30 $ 0.16 $(0.57) $(0.41) $(0.09) $ -- $ --
2008 11.68 0.44 (1.19) (0.75) (0.54) (0.09) --
2007 11.13 0.45 0.63 1.08 (0.51) (0.02) --
2006 10.61 0.38 0.53 0.91 (0.34) (0.05) --
2005 10.43 0.31 0.22 0.53 (0.28) (0.07) --
2004(1) 10.00 0.13 0.30 0.43 -- -- --
CLASS I
2008@ $10.44 $ 0.15 $(0.57) $(0.42) $(0.09) $ -- $ --
2008 11.83 0.43 (1.22) (0.79) (0.51) (0.09) --
2007 11.29 0.53 0.52 1.05 (0.49) (0.02) --
2006 10.75 0.39## 0.54 0.93 (0.34) (0.05) --
2005 10.46 0.37 0.27 0.64 (0.28) (0.07) --
2004(1) 10.00 0.16 0.30 0.46 -- -- --
CONSERVATIVE STRATEGY ALLOCATION FUND
CLASS A
2008@ $10.50 $ 0.18 $(0.68) $(0.50) $(0.11) $ -- $ --
2008 12.20 0.41 (1.34) (0.93) (0.61) (0.16) --
2007 11.30 0.40 1.18 1.58 (0.52) (0.16) --
2006(7) 10.18 0.32 1.30 1.62 (0.32) (0.18) --
2005(5) 20.90 0.52 0.48 1.00 (0.50) (0.14) (11.08)(2)
2004(1)(5) 20.00 0.24 0.66 0.90 -- -- --
MODERATE STRATEGY FUND
CLASS A
2008@ $11.05 $ 0.16 $(0.75) $(0.59) $(0.10) $ -- $ --
2008 12.43 0.44 (1.16) (0.72) (0.55) (0.11) --
2007 11.82 0.43 0.78 1.21 (0.47) (0.13) --
2006 11.03 0.37 0.82 1.19 (0.34) (0.06) --
2005 10.69 0.34 0.33 0.67 (0.28) (0.05) --
2004(1) 10.00 0.14 0.55 0.69 -- -- --
CLASS I
2008@ $11.28 $ 0.15 $(0.77) $(0.62) $(0.09) $ -- $ --
2008 12.67 0.45 (1.21) (0.76) (0.52) (0.11) --
2007 12.05 0.48 0.72 1.20 (0.45) (0.13) --
2006 11.18 0.42## 0.85 1.27 (0.34) (0.06) --
2005 10.73 0.42 0.36 0.78 (0.28) (0.05) --
2004(1) 10.00 0.15 0.58 0.73 -- -- --
MODERATE STRATEGY ALLOCATION FUND
CLASS A
2008@ $13.65 $ 0.14 $(1.18) $(1.04) $(0.08) $ -- $ --
2008 15.41 0.37 (1.33) (0.96) (0.63) (0.17) --
2007 14.03 0.35 1.53 1.88 (0.47) (0.03) --
2006(7) 12.54 0.28 1.58 1.86 (0.27) (0.10) --
2005(5) 21.16 0.52 0.58 1.10 (0.46) (0.14) (9.12)(2)
2004(1)(5) 20.00 0.30 0.86 1.16 -- -- --
Ratio of
Expenses
Ratio to
Ratio of Net Average
Net of Net Investment Net
Net Asset Assets Expenses Income Assets
Total Value, End to to (Excluding
Dividends End of Average Average Waivers Portfolio
and of Total Period Net Net and Reim- Turnover
Distributions Period Return+ ($ Thousands) Assets** Assets bursement)** Rate
------------- --------- ------- ------------- -------- ---------- ------------ ---------
DEFENSIVE STRATEGY ALLOCATION FUND
CLASS A
2008@ $ (0.12) $10.81 (4.80)% $ 16,542 0.10% 3.96% 0.34% 23%
2008 (1.10) 11.48 (7.61) 17,127 0.10 3.95 0.34 37
2007 (0.83) 13.55 13.85 20,856 0.10 3.90 0.33 34
2006(6) (0.51) 12.68 15.10 20,027 0.10 3.74 0.36 49
2005(4) (30.40) 11.48 3.09 4,608 0.10 2.14 0.59 212
2004(1)(4) -- 40.84 2.10 1,249 0.10 5.38 8.27 5
CONSERVATIVE STRATEGY FUND
CLASS A
2008@ $ (0.09) $ 9.80 (3.97)% $133,320 0.10% 3.09% 0.34% 17%
2008 (0.63) 10.30 (6.73) 129,724 0.10 3.90 0.34 66
2007 (0.53) 11.68 9.88 146,872 0.10 3.98 0.35 103
2006 (0.39) 11.13 8.72 110,248 0.10 3.48 0.35 15
2005 (0.35) 10.61 5.12 47,268 0.10 2.97 0.46 49
2004(1) -- 10.43 4.30 3,092 0.10 3.44 2.69 4
CLASS I
2008@ $ (0.09) $ 9.93 (4.09)% $ 1,301 0.35% 2.83% 0.59% 17%
2008 (0.60) 10.44 (6.95) 1,484 0.35 3.83 0.59 66
2007 (0.51) 11.83 9.49 518 0.35 4.47 0.59 103
2006 (0.39) 11.29 8.79(3) -- 0.10++ 3.48 0.35 15
2005 (0.35) 10.75 6.17(3) -- 0.10++ 2.97 0.46 49
2004(1) -- 10.46 4.60(3) -- 0.10++ 3.44 2.69 4
CONSERVATIVE STRATEGY ALLOCATION FUND
CLASS A
2008@ $ (0.11) $ 9.89 (4.83)% $ 35,519 0.10% 3.36% 0.34% 19%
2008 (0.77) 10.50 (7.98) 41,902 0.10 3.53 0.34 37
2007 (0.68) 12.20 14.27 47,553 0.10 3.42 0.34 25
2006(7) (0.50) 11.30 16.29 37,197 0.10 3.22 0.37 28
2005(5) (11.72) 10.18 5.18 25,443 0.10 2.48 0.45 167
2004(1)(5) -- 20.90 4.50 3,090 0.10 3.03 2.27 --
MODERATE STRATEGY FUND
CLASS A
2008@ $ (0.10) $10.36 (5.37)% $404,134 0.10% 2.89% 0.34% 12%
2008 (0.66) 11.05 (6.15) 477,612 0.10 3.64 0.34 31
2007 (0.60) 12.43 10.49 529,251 0.10 3.54 0.34 49
2006 (0.40) 11.82 10.89 342,663 0.10 3.22 0.35 6
2005 (0.33) 11.03 6.32 163,817 0.10 3.06 0.41 27
2004(1) -- 10.69 6.90 9,400 0.10 3.54 1.64 4
CLASS I
2008@ $ (0.09) $10.57 (5.51)% $ 1,062 0.35% 2.61% 0.59% 12%
2008 (0.63) 11.28 (6.32) 1,411 0.35 3.69 0.59 31
2007 (0.58) 12.67 10.22 691 0.35 3.82 0.59 49
2006 (0.40) 12.05 11.46(3) -- 0.10++ 3.22 0.35 6
2005 (0.33) 11.18 7.34(3) -- 0.10++ 3.06 0.41 27
2004(1) -- 10.73 7.30(3) -- 0.10++ 3.54 1.64 4
MODERATE STRATEGY ALLOCATION FUND
CLASS A
2008@ $ (0.08) $12.53 (7.62)% $ 97,248 0.10% 1.97% 0.34% 15%
2008 (0.80) 13.65 (6.65) 120,365 0.10 2.45 0.34 16
2007 (0.50) 15.41 13.56 128,135 0.10 2.44 0.34 12
2006(7) (0.37) 14.03 14.98 91,539 0.10 2.26 0.36 12
2005(5) (9.72) 12.54 5.61 40,281 0.10 2.39 0.43 137
2004(1)(5) -- 21.16 5.80 2,118 0.10 3.94 4.71 1
42 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Net
Realized
and
Unrealized
Gains Distributions
Net Asset (Losses) Dividends from Total
Value, Net from from Net Realized Dividends
Beginning Investment Affiliated Total from Investment Capital and
of Period Income* Funds Operations Income Gains Distributions
--------- ---------- ---------- ---------- ---------- ------------ -------------
AGGRESSIVE STRATEGY FUND
CLASS A
2008@ $12.09 $ 0.09 $(1.81) $(1.72) $(0.06) $ -- $(0.06)
2008 13.96 0.34 (1.35) (1.01) (0.64) (0.22) (0.86)
2007 13.18 0.36 1.16 1.52 (0.41) (0.33) (0.74)
2006 11.45 0.28 1.75 2.03 (0.24) (0.06) (0.30)
2005 10.89 0.30 0.56 0.86 (0.24) (0.06) (0.30)
2004(1) 10.00 0.09 0.80 0.89 -- -- --
CLASS I
2008@ $11.87 $ 0.07 $(1.76) $(1.69) $(0.06) $ -- $(0.06)
2008 13.73 0.33 (1.36) (1.03) (0.61) (0.22) (0.83)
2007 12.99 0.37 1.09 1.46 (0.39) (0.33) (0.72)
2006 11.36 0.18## 1.75 1.93 (0.24) (0.06) (0.30)
2005 10.87 0.17 0.62 0.79 (0.24) (0.06) (0.30)
2004(1) 10.00 0.18 0.69 0.87 -- -- --
TAX-MANAGED AGGRESSIVE STRATEGY FUND
CLASS A
2008@ $12.85 $ 0.07 $(1.81) $(1.74) $(0.05) $ -- $(0.05)
2008 14.29 0.27 (1.06) (0.79) (0.42) (0.23) (0.65)
2007 13.26 0.26 1.15 1.41 (0.30) (0.08) (0.38)
2006 11.54 0.21 1.78 1.99 (0.19) (0.08) (0.27)
2005 10.89 0.24 0.62 0.86 (0.19) (0.02) (0.21)
2004(1) 10.00 0.06 0.83 0.89 -- -- --
CORE MARKET STRATEGY FUND
CLASS A
2008@ $10.73 $ 0.17 $(1.18) $(1.01) $(0.10) $ -- $(0.10)
2008 11.72 0.43 (0.70) (0.27) (0.55) (0.17) (0.72)
2007 11.37 0.42 0.62 1.04 (0.45) (0.24) (0.69)
2006 10.73 0.35 0.67 1.02 (0.32) (0.06) (0.38)
2005 10.60 0.33 0.16 0.49 (0.28) (0.08) (0.36)
2004(1) 10.00 0.11 0.49 0.60 -- -- --
CLASS I
2008@ $11.00 $ 0.17 $(1.20) $(1.03) $(0.10) $ -- $(0.10)
2008 12.01 0.43 (0.73) (0.30) (0.54) (0.17) (0.71)
2007 11.63 0.46 0.61 1.07 (0.45) (0.24) (0.69)
2006 10.88 0.43## 0.70 1.13 (0.32) (0.06) (0.38)
2005 10.62 0.43 0.19 0.62 (0.28) (0.08) (0.36)
2004(1) 10.00 0.16 0.46 0.62 -- -- --
Ratio of
Expenses
Ratio to
Ratio of Net Average
Net of Net Investment Net
Net Asset Assets Expenses Income Assets
Value, End to to (Excluding
End of Average Average Waivers Portfolio
of Total Period Net Net and Reim- Turnover
Period Return+ ($ Thousands) Assets** Assets bursement)** Rate
--------- ------- ------------- -------- ---------- ------------ ---------
AGGRESSIVE STRATEGY FUND
CLASS A
2008@ $10.31 (14.26)% $358,099 0.10% 1.48% 0.34% 19%
2008 12.09 (7.83) 410,235 0.10 2.46 0.34 18
2007 13.96 11.74 404,880 0.10 2.68 0.34 14
2006 13.18 17.90 192,654 0.10 2.27 0.35 60
2005 11.45 7.87 73,500 0.10 2.66 0.43 13
2004(1) 10.89 8.90 6,721 0.10 2.18 2.24 2
CLASS I
2008@ $10.12 (14.33)% $ 3,687 0.35% 1.19% 0.59% 19%
2008 11.87 (8.10) 5,130 0.35 2.42 0.59 18
2007 13.73 11.47 3,777 0.35 2.74 0.59 14
2006 12.99 17.16 -- 0.10++ 2.27 0.35 60
2005 11.36 7.24 -- 0.10++ 2.66 0.43 13
2004(1) 10.87 8.70 -- 0.10++ 2.18 2.24 2
TAX-MANAGED AGGRESSIVE STRATEGY FUND
CLASS A
2008@ $11.06 (13.57)% $ 68,143 0.10% 1.04% 0.35% 11%
2008 12.85 (6.05) 89,007 0.10 1.85 0.34 28
2007 14.29 10.76 101,161 0.10 1.95 0.34 12
2006 13.26 17.35 66,660 0.10 1.69 0.35 12
2005 11.54 7.90 34,131 0.10 2.11 0.50 18
2004(1) 10.89 8.90 2,664 0.10 1.39 2.16 44
CORE MARKET STRATEGY FUND
CLASS A
2008@ $ 9.62 (9.45)% $ 82,285 0.10% 3.24% 0.34% 21%
2008 10.73 (2.61) 106,247 0.10 3.72 0.34 22
2007 11.72 9.35 99,465 0.10 3.62 0.34 37
2006 11.37 9.68 84,048 0.10 3.18 0.35 42
2005 10.73 4.66 40,602 0.10 3.09 0.46 55
2004(1) 10.60 6.00 5,867 0.10 2.87 2.54 6
CLASS I
2008@ $ 9.87 (9.40)%(3) $ -- 0.10%++ 3.15% 0.34% 21%
2008 11.00 (2.78) -- 0.10++ 3.60 0.34 22
2007 12.01 9.40(3) -- 0.10++ 3.94 0.34 37
2006 11.63 10.57(3) -- 0.10++ 3.18 0.35 42
2005 10.88 5.89(3) -- 0.10++ 3.09 0.46 55
2004(1) 10.62 6.20(3) -- 0.10++ 2.87 2.54 6
(1) Commenced operations November 14, 2003. All ratios have been annualized.
Total return has not been annualized.
(2) For more information see footnote 7 in the notes to financial statements.
(3) Class I shares have not been marketed and have a limited number of shares
outstanding. The total return in Class I exceeds Class A due to rounding.
(4) Per share amounts have been restated for a 1 for 4 reverse stock split paid
to shareholders of record on May 6, 2005. For more information see Notes 8
and 11 in the Notes to the Financial Statements.
(5) Per share amounts have been restated for a 1 for 2 reverse stock split paid
to shareholders of record on May 6, 2005. For more information see Notes 8
and 11 in the Notes to the Financial Statements.
(6) Per share amounts have been adjusted for a 1 for 4 reverse stock split paid
to shareholders of record on May 6, 2005. For more information see Note 8
in the Notes to the Financial Statements.
(7) Per share amounts have been adjusted for a 1 for 2 reverse stock split paid
to shareholders of record on May 6, 2005. For more information see Note 8
in the Notes to the Financial Statements.
+ Returns 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.
++ Excludes a 0.25% Administrative Servicing Fee which currently is not
being charged to the Class due to the immaterial amount.
@ For the six months ended September 30, 2008 (unaudited). All ratios have
been annualized.
* Per share calculations were performed using average shares.
** The expense ratios do not include expenses of the underlying affiliated
investment companies.
## The per share amounts for net investment income (loss) between classes does
not accord with the ratios of net investment income (loss) between classes
due to the size of Class I relative to the other classes.
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 43
Financial Highlights
For the six months ended September 30, 2008 (Unaudited) and the periods ended
March 31,
For a Share Outstanding Throughout each Period
Net
Realized
and
Unrealized
Gains Distributions
Net Asset (Losses) Dividends from
Value, Net from from Net Realized Return
Beginning Investment Affiliated Total from Investment Capital of
of Period Income* Funds Operations Income Gains Capital
--------- ---------- ---------- ---------- ---------- ------------- -------
CORE MARKET STRATEGY ALLOCATION FUND
CLASS A
2008@ $12.12 $0.06 $(1.70) $(1.64) $(0.05) $ -- $ --
2008 13.61 0.25 (0.99) (0.74) (0.39) (0.36) --
2007 12.92 0.25 1.12 1.37 (0.30) (0.38) --
2006(6) 11.32 0.19 1.74 1.93 (0.17) (0.16) --
2005(4) 21.08 0.56 0.46 1.02 (0.42) (0.10) (10.26)(2)
2004(1)(4) 20.00 1.80 (0.72) 1.08 -- -- --
MARKET GROWTH STRATEGY FUND
CLASS A
2008@ $11.30 $0.13 $(1.46) $(1.33) $(0.08) $ -- $ --
2008 12.71 0.39 (1.03) (0.64) (0.59) (0.18) --
2007 12.18 0.39 0.86 1.25 (0.43) (0.29) --
2006 11.02 0.32 1.17 1.49 (0.28) (0.05) --
2005 10.63 0.33 0.36 0.69 (0.25) (0.05) --
2004(1) 10.00 0.08 0.55 0.63 -- -- --
CLASS I
2008@ $11.18 $0.12 $(1.45) $(1.33) $(0.07) $ -- $ --
2008 12.59 0.38 (1.05) (0.67) (0.56) (0.18) --
2007 12.04 0.41 0.84 1.25 (0.41) (0.29) --
2006 10.84 0.36## 1.17 1.53 (0.28) (0.05) --
2005 10.58 0.15 0.41 0.56 (0.25) (0.05) --
2004(1) 10.00 0.17 0.41 0.58 -- -- --
MARKET GROWTH STRATEGY ALLOCATION FUND
CLASS A
2008@ $14.33 $0.07 $(2.01) $(1.94) $(0.06) $ -- $ --
2008 15.95 0.30 (1.20) (0.90) (0.46) (0.26) --
2007 14.82 0.29 1.28 1.57 (0.34) (0.10) --
2006(7) 12.89 0.24 1.94 2.18 (0.22) (0.03) --
2005(5) 15.99 0.36 0.62 0.98 (0.35) (0.16) (3.57)(2)
2004(1)(5) 15.00 0.09 0.90 0.99 -- -- --
Ratio of
Expenses
Ratio to
Ratio of Net Average
Net of Net Investment Net
Net Asset Assets Expenses Income Assets
Total Value, End to to (Excluding
Dividends End of Average Average Waivers Portfolio
and of Total Period Net Net and Reim- Turnover
Distributions Period Return+ ($ Thousands) Assets** Assets bursement)** Rate
------------- --------- ------- ------------- -------- ---------- ------------ ---------
CORE MARKET STRATEGY ALLOCATION FUND
CLASS A
2008@ $ (0.05) $10.43 (13.58)% $ 17,689 0.10% 1.04% 0.34% 24%
2008 (0.75) 12.12 (6.01) 21,396 0.10 1.83 0.34 24
2007 (0.68) 13.61 10.74 25,915 0.10 1.92 0.34 21
2006(6) (0.33) 12.92 17.29 20,456 0.10 1.67 0.36 34
2005(4) (10.78) 11.32 5.53 13,474 0.10 2.61 0.57 159
2004(1)(4) -- 21.08 5.40 382 0.10 23.19 64.00 --
MARKET GROWTH STRATEGY FUND
CLASS A
2008@ $ (0.08) $ 9.89 (11.81)% $597,860 0.10% 2.39% 0.34% 18%
2008 (0.77) 11.30 (5.43) 717,739 0.10 3.11 0.34 18
2007 (0.72) 12.71 10.50 726,306 0.10 3.15 0.34 14
2006 (0.33) 12.18 13.72 466,959 0.10 2.74 0.35 44
2005 (0.30) 11.02 6.50 208,538 0.10 2.98 0.40 8
2004(1) -- 10.63 6.30 11,707 0.10 2.02 1.55 13
CLASS I
2008@ $ (0.07) $ 9.78 (11.92)% $ 4,562 0.35% 2.10% 0.59% 18%
2008 (0.74) 11.18 (5.70) 7,033 0.35 3.09 0.59 18
2007 (0.70) 12.59 10.66(3) 4,650 0.35 3.23 0.59 14
2006 (0.33) 12.04 14.32(3) -- 0.10++ 2.74 0.35 44
2005 (0.30) 10.84 5.29 -- 0.10++ 2.98 0.40 8
2004(1) -- 10.58 5.80 -- 0.10++ 2.02 1.55 13
MARKET GROWTH STRATEGY ALLOCATION FUND
CLASS A
2008@ $ (0.06) $12.33 (13.59)% $132,386 0.10% 1.03% 0.34% 11%
2008 (0.72) 14.33 (6.10) 166,544 0.10 1.85 0.34 21
2007 (0.44) 15.95 10.69 185,677 0.10 1.91 0.34 10
2006(7) (0.25) 14.82 17.02 127,791 0.10 1.77 0.36 8
2005(5) (4.08) 12.89 6.42 55,765 0.10 2.25 0.43 71
2004(1)(5) -- 15.99 6.60 11,608 0.10 1.48 0.87 1
(1) Commenced operations November 14, 2003. All ratios have been annualized.
Total return has not been annualized.
(2) For more information see footnote 7 in the notes to financial statements.
(3) Class I have not been marketed and have a limited number of shares
outstanding. The total return in Class I exceeds Class A due to rounding.
(4) Per share amounts have been restated for a 1 for 2 reverse stock split paid
to shareholders of record on May 6, 2005. For more information see Notes 8
and 11 in the Notes to the Financial Statements.
(5) Per share amounts have been restated for a 2 for 3 reverse stock split paid
to shareholders of record on May 6, 2005. For more information see Notes 8
and 11 in the Notes to the Financial Statements.
(6) Per share amounts have been adjusted for a 1 for 2 reverse stock split paid
to shareholders of record on May 6, 2005. For more information see Note 8
in the Notes to the Financial Statements.
(7) Per share amounts have been adjusted for a 2 for 3 reverse stock split paid
to shareholders of record on May 6, 2005. For more information see Note 8
in the Notes to the Financial Statements.
+ Returns 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.
++ Excludes a 0.25% Administrative Servicing Fee which currently is not being
charged due to the immaterial amount.
@ For the six months ended September 30, 2008 (unaudited). All ratios have
been annualized.
* Per share calculations were performed using average shares.
** The expense ratios do not include expenses of the underlying affiliated
investment companies.
## The per share amounts for net investment income (loss) between classes does
not accord with the ratios of net investment income (loss) between classes
due to the size of Class I relative to the other classes.
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
44 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Notes to Financial Statements (Unaudited)
September 30, 2008
1. ORGANIZATION
SEI Asset Allocation Trust (the "Trust") is organized as a Massachusetts
Business Trust under a Declaration of Trust dated November 20, 1995. The Trust
is registered under the Investment Company Act of 1940, as amended ("1940 Act"),
as an open-end investment company with nineteen diversified Funds: Diversified
Conservative Income Fund, Diversified Conservative Fund, Diversified Global
Moderate Growth Fund, Diversified Moderate Growth Fund, Diversified Global
Growth Fund, Diversified Global Stock Fund, Diversified U.S. Stock Fund,
Defensive Strategy Fund, Defensive Strategy Allocation Fund, Conservative
Strategy Fund, Conservative Strategy Allocation Fund, Moderate Strategy Fund,
Moderate Strategy Allocation Fund, Aggressive Strategy Fund, Tax-Managed
Aggressive Strategy Fund, Core Market Strategy Fund, Core Market Strategy
Allocation Fund, Market Growth Strategy Fund and Market Growth Strategy
Allocation Fund (each a "Fund," collectively the "Funds"). Each Fund is a "fund
of funds" and offers shareholders the opportunity to invest in certain
underlying affiliated investment companies, which are separately-managed series
of the following investment companies: SEI Daily Income Trust, SEI Institutional
Managed Trust, SEI Institutional International Trust, and SEI Liquid Asset
Trust. The Declaration of Trust permits the Trust to offer separate classes of
shares in each Fund, as follows: Diversified Conservative Income Fund,
Diversified Conservative Fund, Diversified Global Moderate Growth Fund,
Diversified Moderate Growth Fund, Diversified Global Growth Fund, Diversified
Global Stock Fund and Diversified U.S. Stock Fund offer Class A Shares, Class D
Shares, and Class I Shares; Defensive Strategy Fund, Conservative Strategy Fund,
Moderate Strategy Fund, Aggressive Strategy Fund, Core Market Strategy Fund and
Market Growth Strategy Fund offer Class A and Class I Shares (formerly Class D
Shares); Defensive Strategy Allocation Fund, Conservative Strategy Allocation
Fund, Moderate Strategy Allocation Fund, Tax-Managed Aggressive Strategy Fund,
Core Market Strategy Allocation Fund, and Market Growth Strategy Allocation Fund
offer Class A Shares. The assets of each Fund are segregated, and a
shareholder's interest is limited to the Fund in which shares are held. The
Trust's prospectus provides a description of each Fund's investment objective,
policies and strategies.
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
accounting principles generally accepted in the United States of America,
requires management to make estimates and assumptions that affect the reported
amount of assets and liabilities and disclosure of contingent assets at the date
of the financial statements, and the reported results of operations during the
reporting period. Actual results could differ from those estimates.
SECURITY VALUATION -- The assets of each Fund consist primarily of the
investments in underlying affiliated investment companies, which are valued at
their respective daily net asset values in accordance with Board-approved
pricing procedures.
The Funds adopted Financial Accounting Standards Board Statement of Financial
Accounting Standards No. 157, Fair Value Measurements ("FAS 157"), effective
December 1, 2007. In accordance with FAS 157, fair value is defined as the price
that the Fund would receive upon selling an investment in a timely transaction
to an independent buyer in the principal or most advantageous market of the
investment. FAS 157 established a three-tier hierarchy to maximize the use of
the observable market data and minimize the use of unobservable inputs and to
establish classification of the fair value measurements for disclosure purposes.
Inputs refer broadly to the assumptions that market participants would use in
pricing the asset technique used to measure fair value including such a pricing
model and/or the risk inherent in the inputs to the valuation technique. Inputs
may be observable or unobservable. Observable inputs are inputs that reflect the
assumptions market participants would use in pricing the asset or liability
developed based on market data obtained from sources independent of the
reporting entity. Unobservable inputs are inputs that reflect the reporting
entity's own assumptions about the assumptions market participants would use in
pricing the asset or liability developed based on the best information available
in the circumstances.
The three-tier hierarchy of inputs is summarized in the three broad Levels
listed below:
- Level 1 - quoted prices in active markets for identical investments
- Level 2 - other significant observable inputs (including quoted prices
for similar investments, interest rates, prepayment speeds, credit
risks, etc.)
- Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
The valuation techniques used by the Funds to measure fair value during the six
months ended September 30, 2008 maximized the use of observable inputs and
minimized the use of unobservable inputs.
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 45
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
September 30, 2008
The following is a summary of the inputs used as of September 30, 2008 in
valuing the Funds' investments carried at value:
Investments in Securities Level 1 Level 2 Level 3 Total
- ------------------------- -------- ------- ------- --------
Diversified Conservative
Income Fund $ 47,231 $-- $-- $ 47,231
Diversified Conservative
Fund 57,990 -- -- 57,990
Diversified Global Moderate
Growth Fund 153,797 -- -- 153,797
Diversified Moderate
Growth Fund 120,337 -- -- 120,337
Diversified Global
Growth Fund 173,645 -- -- 173,645
Diversified Global
Stock Fund 83,775 -- -- 83,775
Diversified US Stock Fund 50,940 -- -- 50,940
Defensive Strategy Fund 47,683 -- -- 47,683
Defensive Strategy
Allocation Fund 16,579 -- -- 16,579
Conservative Strategy Fund 135,750 -- -- 135,750
Conservative Strategy
Allocation Fund 35,479 -- -- 35,479
Moderate Strategy Fund 406,015 -- -- 406,015
Moderate Strategy
Allocation Fund 97,718 -- -- 97,718
Aggressive Strategy Fund 363,495 -- -- 363,495
Tax-Managed Aggressive
Strategy Fund 68,122 -- -- 68,122
Core Market Strategy Fund 82,938 -- -- 82,938
Core Market Strategy
Allocation Fund 18,058 -- -- 18,058
Market Growth
Strategy Fund 603,268 -- -- 603,268
Market Growth Strategy
Allocation Fund 132,211 -- -- 132,211
SECURITY TRANSACTIONS AND RELATED INCOME -- Security transactions are accounted
for on trade date. Dividend income received from the affiliated funds is
recognized on the ex-dividend date and is recorded as income distributions in
the Statement of Operations. Capital gain distributions received from the
affiliated funds are recognized on ex-dividend date and are recorded on the
Statement of Operations as such. Costs used in determining realized gains and
losses on the sales of investment securities are on the basis of specific
identification.
CLASSES -- Class-specific expenses are borne by that class of shares. Income,
realized and unrealized gains/losses and non-class-specific expenses are
allocated to the respective 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 allocated to
the Funds on the basis of relative daily net assets. Expenses included in the
accompanying financial statements reflect the expenses of each Fund and do not
include any expenses associated with the underlying funds.
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. Distributions from net investment income are
declared and paid to shareholders periodically for each Fund. Any net realized
capital gain for each Fund is distributed to shareholders at least annually.
3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
ADMINISTRATION AND TRANSFER AGENCY AGREEMENT -- SEI Investments Global Funds
Services (the "Administrator") provides the Trust with administrative and
transfer agency services. For its services, the Administrator is entitled to a
fee, which is calculated daily and paid monthly, at an annual rate of 0.20% of
the average daily net assets of each Fund. The Administrator has voluntarily
agreed to waive all or a portion of its fees and to reimburse the Funds so that
the total annual expenses of each Fund will not exceed the expense limitations
adopted by the Administrator. These waivers and reimbursements may be terminated
by the Administrator at any time at its sole discretion. The following are the
voluntary expense limitations:
Class A Class D Class I
------- ------- -------
Diversified Conservative
Income Fund 0.12% 1.12% 0.37%
Diversified Conservative Fund 0.12% 1.12% 0.37%
Diversified Global Moderate
Growth Fund 0.12% 1.12% 0.37%
Diversified Moderate Growth Fund 0.12% 1.12% 0.37%
Diversified Global Growth Fund 0.12% 1.12% 0.37%
Diversified Global Stock Fund 0.12% 1.12% 0.37%
Diversified U.S. Stock Fund 0.12% 1.12% 0.37%
Defensive Strategy Fund 0.10% -- 0.35%*
Defensive Strategy
Allocation Fund 0.10% -- --
Conservative Strategy Fund 0.10% -- 0.35%
Conservative Strategy
Allocation Fund 0.10% -- --
Moderate Strategy Fund 0.10% -- 0.35%
Moderate Strategy
Allocation Fund 0.10% -- --
Aggressive Strategy Fund 0.10% -- 0.35%
Tax-Managed Aggressive
Strategy Fund 0.10% -- --
Core Market Strategy Fund 0.10% -- 0.35%*
Core Market Strategy
Allocation Fund 0.10% -- --
Market Growth Strategy Fund 0.10% -- 0.35%
Market Growth Strategy
Allocation Fund 0.10% -- --
* Includes a 0.25% Administrative Servicing Fee which currently is not being
charged to the Class due to the immaterial amount.
46 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
DISTRIBUTION, ADMINISTRATIVE SERVICING AND SHAREHOLDER SERVICING AGREEMENTS --
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 a Distribution Agreement. The Trust
has adopted plans under which firms, including the Distributor, that provide
shareholder and administrative services may receive compensation thereof.
Specific classes of certain funds have also adopted distribution plans, pursuant
to Rule 12b-1 under the Investment Company Act of 1940. Such plans provide fees
payable to the Distributor equal to the following amounts, calculated as a
percentage of the average daily net assets attributable to each particular class
of each respective fund.
Shareholder Administrative
Servicing Servicing Distribution
Fees Fees Fees*
----------- -------------- ------------
Diversified Conservative Income Fund
Class D 0.25% -- 0.75%
Class I -- 0.25% --
Diversified Conservative Fund
Class D 0.25% -- 0.75%
Class I -- 0.25% --
Diversified Global Moderate Growth Fund
Class D 0.25% -- 0.75%
Class I -- 0.25% --
Diversified Moderate Growth Fund
Class D 0.25% -- 0.75%
Class I -- 0.25% --
Diversified Global Growth Fund
Class D 0.25% -- 0.75%
Class I -- 0.25% --
Diversified Global Stock Fund
Class D 0.25% -- 0.75%
Class I -- 0.25% --
Diversified U.S. Stock Fund
Class D 0.25% -- 0.75%
Class I -- 0.25% --
Defensive Strategy Fund
Class I -- 0.25%** --
Conservative Strategy Fund
Class I -- 0.25% --
Moderate Strategy Fund
Class I -- 0.25% --
Aggressive Strategy Fund
Class I -- 0.25% --
Core Market Strategy Fund
Class I -- 0.25%** --
Market Growth Strategy Fund
Class I -- 0.25% --
* These payments are characterized as "compensation" and are not directly
tied to expenses incurred by the Distributor. The payments the Distributor
receives during any year may therefore be higher or lower than its actual
expenses.
** This fee is not currently being charged to the Class due to the immaterial
amount.
The Distributor may voluntarily waive all or a portion of the shareholder
servicing fees for Class D of each fund. Such waivers are voluntary and may be
discontinued at any time. There were no waivers by the Distributor during the
six months ended September 30, 2008.
Certain officers and Trustees of the Trust are also officers and/or Directors 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 and affiliated
Trustees.
A portion of the services provided by the Chief Compliance Officer ("CCO") and
his staff, whom are employees of the Administrator, are paid for by the Trust as
incurred. The services include regulatory oversight of the Trust's Adviser and
service providers as required by SEC regulations. The CCO's services have been
approved by and are reviewed by the Board.
INVESTMENT ADVISORY AGREEMENT -- SEI Investments Management Corporation ("SIMC")
serves as investment adviser (the "Adviser") to each Fund. In connection with
serving as investment adviser, SIMC is entitled to a fee, which is calculated
daily and paid monthly, at an annual rate of 0.10% of each Fund's average daily
net assets.
The Administrator, Distributor, and Adviser for the Trust serve in the same
capacity for the underlying affiliated investment companies.
SIMC is the sole shareholder of Class I Shares of Defensive Strategy Fund and
Core Market Strategy Fund.
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 47
NOTES TO FINANCIAL STATEMENTS (Unaudited)
4. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the funds were as follows (Thousands):
For the six months ended September 30, 2008 and the year ended March 31, 2008
DIVERSIFIED
CONSERVATIVE DIVERSIFIED DIVERSIFIED GLOBAL DIVERSIFIED
INCOME CONSERVATIVE MODERATE GROWTH MODERATE GROWTH
FUND FUND FUND FUND
------------------ ------------------ ------------------ ------------------
4/01/08- 4/01/07- 4/01/08- 4/01/07- 4/01/08- 4/01/07- 4/01/08- 4/01/07-
9/30/08 3/31/08 9/30/08 3/31/08 9/30/08 3/31/08 9/30/08 3/31/08
-------- -------- -------- -------- -------- -------- -------- --------
SHARES ISSUED AND REDEEMED:
CLASS A:
Shares Issued 427 959 561 2,073 1,538 3,512 753 2,602
Shares Issued in Lieu
of Cash Distributions 38 212 51 447 90 911 74 1,277
Shares Redeemed (944) (1,160) (1,777) (3,398) (1,659) (5,270) (4,734) (5,659)
---- ------ ------ ------ ------ ------ ------ ------
Total Class A Transactions (479) 11 (1,165) (878) (31) (847) (3,907) (1,780)
---- ------ ------ ------ ------ ------ ------ ------
CLASS D:
Shares Issued 83 71 41 108 26 163 65 192
Shares Issued in Lieu
of Cash Distributions 4 24 3 30 1 26 4 96
Shares Redeemed (54) (149) (60) (226) (148) (86) (220) (470)
---- ------ ------ ------ ------ ------ ------ ------
Total Class D Transactions 33 (54) (16) (88) (121) 103 (151) (182)
---- ------ ------ ------ ------ ------ ------ ------
CLASS I:
Shares Issued 99 152 119 575 330 1,403 247 502
Shares Issued in Lieu
of Cash Distributions 3 19 5 43 17 186 8 149
Shares Redeemed (97) (198) (95) (748) (251) (1,337) (222) (1,073)
---- ------ ------ ------ ------ ------ ------ ------
Total Class I Transactions 5 (27) 29 (130) 96 252 33 (422)
---- ------ ------ ------ ------ ------ ------ ------
Decrease in Capital Shares (441) (70) (1,152) (1,096) (56) (492) (4,025) (2,384)
---- ------ ------ ------ ------ ------ ------ ------
DIVERSIFIED DIVERSIFIED DIVERSIFIED
GLOBAL GROWTH GLOBAL STOCK U.S. STOCK
FUND FUND FUND
------------------ ------------------ ------------------
4/01/08- 4/01/07- 4/01/08- 4/01/07- 4/01/08- 4/01/07-
9/30/08 3/31/08 9/30/08 3/31/08 9/30/08 3/31/08
-------- -------- -------- -------- -------- --------
SHARES ISSUED AND REDEEMED:
CLASS A:
Shares Issued 1,388 2,962 706 1,711 242 615
Shares Issued in Lieu
of Cash Distributions 56 1,001 11 294 8 111
Shares Redeemed (3,189) (5,112) (1,305) (3,810) (607) (1,456)
------ ------ ------ ------ ---- ------
Total Class A Transactions (1,745) (1,149) (588) (1,805) (357) (730)
------ ------ ------ ------ ---- ------
CLASS D:
Shares Issued 56 110 54 121 29 75
Shares Issued in Lieu
of Cash Distributions 1 43 -- 14 -- 10
Shares Redeemed (120) (233) (76) (128) (88) (333)
------ ------ ------ ------ ---- ------
Total Class D Transactions (63) (80) (22) 7 (59) (248)
------ ------ ------ ------ ---- ------
CLASS I:
Shares Issued 502 1,428 379 619 46 77
Shares Issued in Lieu
of Cash Distributions 13 246 2 51 1 10
Shares Redeemed (602) (1,106) (183) (525) (46) (108)
------ ------ ------ ------ ---- ------
Total Class I Transactions (87) 568 198 145 1 (21)
------ ------ ------ ------ ---- ------
Decrease in Capital Shares (1,895) (661) (412) (1,653) (415) (999)
------ ------ ------ ------ ---- ------
Amounts designated as "--" are $0 or have been rounded to $0.
48 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
4. CAPITAL SHARE TRANSACTIONS (Continued)
Capital Share Transactions for the funds were as follows (Thousands):
For the six months ended September 30, 2008 and the year ended March 31, 2008
DEFENSIVE STRATEGY CONSERVATIVE
DEFENSIVE STRATEGY ALLOCATION STRATEGY
FUND FUND FUND
------------------ ------------------ ------------------
4/01/08- 4/01/07- 4/01/08- 4/01/07- 4/01/08- 4/01/07-
9/30/08 3/31/08 9/30/08 3/31/08 9/30/08 3/31/08
-------- -------- -------- -------- -------- --------
SHARES ISSUED AND REDEEMED:
CLASS A:
Shares Issued 1,062 3,820 251 535 3,452 6,499
Shares Issued in Lieu
of Cash Distributions 41 449 16 125 109 721
Shares Redeemed (1,398) (9,000) (228) (707) (2,551) (7,196)
------ ------ ---- ---- ------ ------
Total Class A Transactions (295) (4,731) 39 (47) 1,010 24
------ ------ ---- ---- ------ ------
CLASS I:
Shares Issued -- -- n/a n/a 20 183
Shares Issued in Lieu
of Cash Distributions -- -- n/a n/a 1 6
Shares Redeemed -- -- n/a n/a (32) (91)
------ ------ ---- ---- ------ ------
Total Class I Transactions -- -- n/a n/a (11) 98
------ ------ ---- ---- ------ ------
Increase (Decrease) in
Capital Shares (295) (4,731) 39 (47) 999 122
------ ------ ---- ---- ------ ------
CONSERVATIVE MODERATE
STRATEGY STRATEGY
ALLOCATION MODERATE STRATEGY ALLOCATION
FUND FUND FUND
------------------ ------------------ ------------------
4/01/08- 4/01/07- 4/01/08- 4/01/07- 4/01/08- 4/01/07-
9/30/08 3/31/08 9/30/08 3/31/08 9/30/08 3/31/08
-------- -------- -------- -------- -------- --------
SHARES ISSUED AND REDEEMED:
CLASS A:
Shares Issued 445 1,747 3,003 14,430 840 2,423
Shares Issued in Lieu
of Cash Distributions 35 249 377 2,390 51 447
Shares Redeemed (881) (1,903) (7,583) (16,203) (1,945) (2,372)
---- ------ ------ ------- ------ ------
Total Class A Transactions (401) 93 (4,203) 617 (1,054) 498
---- ------ ------ ------- ------ ------
CLASS I:
Shares Issued n/a n/a 19 150 n/a n/a
Shares Issued in Lieu
of Cash Distributions n/a n/a 1 5 n/a n/a
Shares Redeemed n/a n/a (45) (85) n/a n/a
---- ------ ------ ------- ------ ------
Total Class I Transactions n/a n/a (25) 70 n/a n/a
---- ------ ------ ------- ------ ------
Increase in Capital Shares (401) 93 (4,228) 687 (1,054) 498
---- ------ ------ ------- ------ ------
Amounts designated as "--" are $0 or have been rounded to $0.
n/a -- Not applicable. Class I shares currently not offered.
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 49
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
September 30, 2008
4. CAPITAL SHARE TRANSACTIONS (Concluded)
Capital Share Transactions for the funds were as follows (Thousands):
For the six months ended September 30, 2008 and the year ended March 31, 2008
TAX-MANAGED
AGGRESSIVE AGGRESSIVE CORE
STRATEGY STRATEGY MARKET STRATEGY
FUND FUND FUND
------------------ ------------------ ------------------
4/01/08- 4/01/07- 4/01/08- 4/01/07- 4/01/08- 4/01/07-
9/30/08 3/31/08 9/30/08 3/31/08 9/30/08 3/31/08
-------- -------- -------- -------- -------- --------
SHARES ISSUED AND REDEEMED:
CLASS A:
Shares Issued 6,816 13,986 425 2,528 1,063 3,325
Shares Issued in Lieu
of Cash Distributions 192 2,003 27 341 91 575
Shares Redeemed (6,205) (11,056) (1,216) (3,023) (2,508) (2,480)
------ ------- ------ ------ ------ ------
Total Class A Transactions 803 4,933 (764) (154) (1,354) 1,420
------ ------- ------ ------ ------ ------
CLASS I:
Shares Issued 85 452 n/a n/a -- --
Shares Issued in Lieu
of Cash Distributions 2 25 n/a n/a -- --
Shares Redeemed (154) (320) n/a n/a -- --
------ ------- ------ ------ ------ ------
Total Class I Transactions (67) 157 n/a n/a -- --
------ ------- ------ ------ ------ ------
Increase (Decrease)
in Capital Shares 736 5,090 (764) (154) (1,354) 1,420
------ ------- ------ ------ ------ ------
CORE MARKET MARKET GROWTH
STRATEGY STRATEGY
ALLOCATION MARKET GROWTH ALLOCATION
FUND STRATEGY FUND FUND
------------------ ------------------ ------------------
4/01/08- 4/01/07- 4/01/08- 4/01/07- 4/01/08- 4/01/07-
9/30/08 3/31/08 9/30/08 3/31/08 9/30/08 3/31/08
-------- -------- -------- -------- -------- --------
SHARES ISSUED AND REDEEMED:
CLASS A:
Shares Issued 350 426 7,577 23,507 977 3,338
Shares Issued in Lieu
of Cash Distributions 7 97 476 3,797 45 542
Shares Redeemed (426) (662) (11,137) (20,906) (1,903) (3,902)
---- ---- ------- ------- ------ ------
Total Class A Transactions (69) (139) (3,084) 6,398 (881) (22)
---- ---- ------- ------- ------ ------
CLASS I:
Shares Issued n/a n/a 109 700 n/a n/a
Shares Issued in Lieu
of Cash Distributions n/a n/a 3 37 n/a n/a
Shares Redeemed n/a n/a (275) (477) n/a n/a
---- ---- ------- ------- ------ ------
Total Class I Transactions n/a n/a (163) 260 n/a n/a
---- ---- ------- ------- ------ ------
Increase (Decrease)
in Capital Shares (69) (139) (3,247) 6,658 (881) (22)
---- ---- ------- ------- ------ ------
Amounts designated as "--" are $0 or have been rounded to $0.
n/a -- Not applicable. Class I shares currently not offered.
50 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities
during the six months ended September 30, 2008, were as follows ($ Thousands):
Total
--------
Diversified Conservative Income Fund
PURCHASES $ 7,928
SALES 10,636
Diversified Conservative Fund
PURCHASES 12,998
SALES 22,883
Diversified Global Moderate Growth Fund
PURCHASES 37,097
SALES 39,243
Diversified Moderate Growth Fund
PURCHASES 24,419
SALES 62,330
Diversified Global Growth Fund
PURCHASES 35,229
SALES 58,124
Diversified Global Stock Fund
PURCHASES 14,875
SALES 20,644
Diversified U.S. Stock Fund
PURCHASES 4,506
SALES 10,507
Defensive Strategy Fund
PURCHASES 2,838
SALES 3,857
Defensive Strategy Allocation Fund
PURCHASES 4,587
SALES 3,955
Conservative Strategy Fund
PURCHASES 34,137
SALES 22,687
Conservative Strategy Allocation Fund
PURCHASES 7,625
SALES 11,735
Moderate Strategy Fund
PURCHASES 55,866
SALES 98,728
Moderate Strategy Allocation Fund
PURCHASES 17,669
SALES 31,405
Aggressive Strategy Fund
PURCHASES 89,779
SALES 78,745
Tax-Managed Aggressive Strategy Fund
PURCHASES 9,012
SALES 18,514
Core Market Strategy Fund
PURCHASES 20,523
SALES 33,169
Core Market Strategy Allocation Fund
PURCHASES 4,903
SALES 5,515
Market Growth Strategy Fund
PURCHASES 126,945
SALES 156,928
Market Growth Strategy Allocation Fund
PURCHASES 17,590
SALES 29,484
6. FEDERAL TAX INFORMATION
It is each Fund's intention to continue to qualify as a regulated investment
company under Subchapter M of the Internal Revenue Code for Federal income tax
purposes and distribute substantially all of its taxable income (including net
capital gains). Accordingly, no provision for Federal income taxes is required.
Management has analyzed the Funds' tax position taken on federal income tax
returns for all open tax years and has concluded that as of March 31, 2008, no
provision for income tax would be required in the Funds' financial statements.
The Funds' federal and state income and federal excise tax returns for tax years
for which the applicable statutes of limitations have not expired are subject to
examination by the Internal Revenue Service and state departments of revenue.
RECLASSIFICATION OF COMPONENTS OF NET ASSETS -- The timing and characterization
of certain income and capital gains distributions are determined annually in
accordance with Federal tax regulations which may differ from accounting
principles generally accepted in the United States of America. As a result, net
investment income (loss) and net realized gain (loss) on investment transactions
for a reporting period may differ significantly from distributions during such
period. These book/tax differences may be temporary or permanent in nature. To
the extent these differences are permanent, they are charged or credited to
paid-in capital, accumulated net realized gain (loss) or undistributed net
investment income (loss), as appropriate, in the period that the differences
arise.
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 51
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
September 30, 2008
6. FEDERAL TAX INFORMATION (Continued)
The tax character of dividends and distributions paid during the years ended
March 31, 2008 and March 31, 2007 were as follows ($ Thousands):
Ordinary Long-term Tax Return
Income Capital Gain of Capital Totals
----------------- ----------------- ----------- -----------------
2008 2007 2008 2007 2008 2007 2008 2007
------- ------- ------- ------- ---- ---- ------- -------
Diversified Conservative Income Fund $ 2,675 $ 2,458 $ 245 $ 1,313 $-- $-- $ 2,920 $ 3,771
Diversified Conservative Fund 4,239 3,925 1,514 3,645 -- -- 5,753 7,570
Diversified Global Moderate Growth Fund 10,031 7,838 3,826 5,013 -- -- 13,857 12,851
Diversified Moderate Growth Fund 13,446 9,129 6,740 7,846 -- -- 20,186 16,975
Diversified Global Growth Fund 12,749 8,388 5,865 3,737 -- -- 18,614 12,125
Diversified Global Stock Fund 5,241 2,955 -- -- -- 1 5,241 2,956
Diversified U.S. Stock Fund 2,278 1,507 -- -- -- 2 2,278 1,509
Defensive Strategy Fund 4,280 5,060 562 65 -- -- 4,842 5,125
Defensive Strategy Allocation Fund 1,103 1,060 555 251 -- -- 1,658 1,311
Conservative Strategy Fund 7,487 5,974 1,003 87 -- -- 8,490 6,061
Conservative Strategy Allocation Fund 2,439 2,032 617 494 -- -- 3,056 2,526
Moderate Strategy Fund 24,890 19,033 4,359 3,840 -- -- 29,249 22,873
Moderate Strategy Allocation Fund 5,709 3,830 1,421 41 -- -- 7,130 3,871
Aggressive Strategy Fund 21,199 11,976 6,679 5,901 -- -- 27,878 17,877
Tax-Managed Aggressive Strategy Fund 3,352 1,992 1,652 486 -- -- 5,004 2,478
Core Market Strategy Fund 5,407 4,458 1,323 1,522 -- -- 6,730 5,980
Core Market Strategy Allocation Fund 846 632 581 658 -- -- 1,427 1,290
Market Growth Strategy Fund 37,690 25,836 10,383 11,933 -- -- 48,073 37,769
Market Growth Strategy Allocation Fund 5,900 3,668 3,089 954 -- -- 8,989 4,622
As of March 31, 2008, the components of Distributable Earnings/(Accumulated
Losses) on a tax basis were as follows ($ Thousands):
Total
Distributable
Undistributed Undistributed Post- Unrealized Earnings/
Ordinary Long-Term Capital Loss October Appreciation (Accumulated
Income Capital Gain Carryforwards Losses Other (Depreciation) Losses)
------------- ------------- ------------- ------- ----- -------------- -------------
Diversified Conservative Income Fund $ 17 $ 289 $ -- $ -- $-- $ (2,028) $ (1,722)
Diversified Conservative Fund 58 842 -- -- -- (2,148) (1,248)
Diversified Global Moderate Growth Fund 32 4,248 -- -- -- (5,888) (1,608)
Diversified Moderate Growth Fund 33 3,042 -- -- -- (4,461) (1,386)
Diversified Global Growth Fund 15 7,529 -- -- -- (5,998) 1,546
Diversified Global Stock Fund -- -- (780) -- -- (4,067) (4,847)
Diversified U.S. Stock Fund -- -- (11,201) -- -- (3,925) (15,126)
Defensive Strategy Fund 19 -- -- (2,804) (3) (1,067) (3,855)
Defensive Strategy Allocation Fund 9 259 -- -- (4) (536) (272)
Conservative Strategy Fund 37 -- (127) (4,615) (3) (4,096) (8,804)
Conservative Strategy Allocation Fund 14 552 -- -- (4) (135) 427
Moderate Strategy Fund 102 1,810 -- -- (3) (23,909) (22,000)
Moderate Strategy Allocation Fund 18 1,431 -- -- (3) 1,659 3,105
Aggressive Strategy Fund 29 14,196 -- -- (4) (39,230) (25,009)
Tax-Managed Aggressive Strategy Fund 7 149 -- -- (4) 2,156 2,308
Core Market Strategy Fund 58 1,866 -- -- (3) (4,992) (3,071)
Core Market Strategy Allocation Fund 5 406 -- -- (4) 888 1,295
Market Growth Strategy Fund 134 17,398 -- -- (3) (46,460) (28,931)
Market Growth Strategy Allocation Fund 8 2,632 -- -- (4) 3,810 6,446
Amounts designated as "--" are $0 or have been rounded to $0.
Post-October losses represent losses realized on investment transactions from
November 1, 2007 through March 31, 2008 that, in accordance with Federal income
tax regulations, the Trust has elected to defer and treat as having arisen in
the following fiscal year.
52 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
6. FEDERAL TAX INFORMATION (Concluded)
The Funds had capital loss carryforwards at March 31, 2008 as follows ($
Thousands):
Years
Expiring Amounts
-------- -------
Diversified Global Stock Fund 2015 $ 780
-------
$ 780
=======
Diversified U.S. Stock Fund 2015 $11,201
-------
$11,201
=======
Conservative Strategy Fund 2016 $ 127
-------
$ 127
=======
For Federal income tax purposes, the capital loss carryforwards may be carried
forward for a maximum of eight years to offset any net realized capital gains.
The Federal tax cost and aggregate gross unrealized appreciation and
depreciation on investments held by the Funds at September 30, 2008, were as
follows ($ Thousands):
Net
Federal Appreciated Depreciated Unrealized
Tax Cost Securities Securities Depreciation
-------- ----------- ----------- ------------
Diversified Conservative Income Fund $ 52,506 $ 3 $ (5,278) $ (5,275)
Diversified Conservative Fund 65,811 99 (7,920) (7,821)
Diversified Global Moderate Growth Fund 180,401 95 (26,699) (26,604)
Diversified Moderate Growth Fund 139,184 5 (18,852) (18,847)
Diversified Global Growth Fund 205,972 89 (32,416) (32,327)
Diversified Global Stock Fund 103,152 52 (19,429) (19,377)
Diversified U.S. Stock Fund 61,815 1 (10,876) (10,875)
Defensive Strategy Fund 49,876 266 (2,459) (2,193)
Defensive Strategy Allocation Fund 18,186 184 (1,791) (1,607)
Conservative Strategy Fund 146,862 1,689 (12,801) (11,112)
Conservative Strategy Allocation Fund 37,452 1,516 (3,489) (1,973)
Moderate Strategy Fund 453,238 6,042 (53,265) (47,223)
Moderate Strategy Allocation Fund 103,451 2,783 (8,516) (5,733)
Aggressive Strategy Fund 462,262 104 (98,871) (98,767)
Tax-Managed Aggressive Strategy Fund 75,972 743 (8,593) (7,850)
Core Market Strategy Fund 96,067 11 (13,140) (13,129)
Core Market Strategy Allocation Fund 19,879 107 (1,928) (1,821)
Market Growth Strategy Fund 729,984 152 (126,868) (126,716)
Market Growth Strategy Allocation Fund 148,248 1,567 (17,604) (16,037)
7. IN-KIND DISTRIBUTION
During a review of March 31, 2005 year-end tax information, it was determined
that certain distributions of interest income derived from underlying municipal
bond funds were classified as taxable interest income when distributed to
shareholders of the Defensive Strategy Allocation, Conservative Strategy
Allocation, Moderate Strategy Allocation, Core Market Strategy Allocation and
Market Growth Strategy Allocation Funds (the "Strategy Allocation Funds"). It
was determined that under the current tax code, the fund-of-funds structure
caused distributions of interest income from underlying municipal bond funds to
lose their tax-exempt character when the Strategy Allocation Funds distributed
that income to their shareholders. The tax characteristics would be preserved,
however, if the shareholders held the municipal bond funds directly rather than
through a fund of funds. As a result, the Funds' Board of Trustees decided to
distribute shares of the underlying municipal bond funds held in the Strategy
Allocation Funds to shareholders in the form of an in-kind distribution. This
option had the benefit of enabling shareholders to hold interests in the
municipal bond funds directly, thereby being able to take advantage of the
tax-exempt character of the interest distributed by those funds, while also
preserving for such investors the original investment strategy they sought to
achieve within the Strategy Allocation Funds.
On March 29, 2005, each Strategy Allocation Fund recorded an in-kind dividend
equal to the fair market value of the municipal bond funds held by the Funds.
The tax character of this in-kind distribution is presented below ($ Thousands):
Realized Return of Total
Income Gains Capital Value
------ -------- --------- -------
Defensive Strategy Allocation Fund $104 $ 1 $11,847 $11,952
Conservative Strategy Allocation Fund 319 12 27,664 27,995
Moderate Strategy Allocation Fund 330 23 28,181 28,534
Core Market Strategy Allocation 146 78 12,227 12,451
Market Growth Strategy Allocation Fund 481 369 15,411 16,261
SEI has made certain payments to shareholders of the Funds related to this
matter. These payments were made from SEI's own assets and had no impact on the
assets of the Funds.
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 53
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Concluded)
September 30, 2008
8. REVERSE SHARE SPLIT
On May 6, 2005, the Defensive Strategy Allocation Fund, Conservative Strategy
Allocation Fund, Moderate Strategy Allocation Fund, Core Market Strategy
Allocation Fund and Market Growth Strategy Allocation Fund (the "Strategy
Allocation Funds") declared a reverse share split, as approved by the Board of
Trustees, in order to bring the NAV of each Fund above $10 per share. The
details of the reverse split are as follows:
Split
Ratio
-------
Defensive Strategy Allocation Fund 1 for 4
Conservative Strategy Allocation Fund 1 for 2
Moderate Strategy Allocation Fund 1 for 2
Core Market Strategy Allocation Fund 1 for 2
Market Growth Strategy Allocation Fund 2 for 3
9. INVESTMENT RISKS
In the normal course of business, the Funds enter into contracts that provide
general indemnifications by the Fund to the counterparty of 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 claims is considered
remote.
10. CONCENTRATION RISK
In the normal course of business, the Funds invest solely in underlying funds
that are comprised of fixed income and equity securities in specific industries,
and that may engage in short selling activities, writing option contracts, and
equity swaps, and therefore, the Funds may be affected by events in these
industries. The Funds' Statement of Additional Information provides a
description of concentration and risk associated with the different investments
in the underlying affiliated investment companies.
11. RESTATEMENT OF PREVIOUSLY ISSUED FINANCIAL STATEMENTS
On May 6, 2005, prior to the issuance of the 2005 financial statements, the
Strategy Allocation Funds declared reverse stock splits (see Note 8). The
effects of the reverse stock splits should have been reflected retroactively in
the March 31, 2005 financial statements for the periods ended March 31, 2005 and
March 31, 2004. The per share information included in the financial highlights
has been restated to properly reflect the effects of the reverse split on a
retroactive basis.
54 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
SEI ASSET ALLOCATION TRUST -- SEPTEMBER 30, 2008
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 a mutual fund's gross income
and directly reduce your final investment return. These expenses are expressed
as a percentage of a mutual fund's average net assets; this percentage is known
as a 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 the information, together with the actual amount you invested in the
Fund, to estimate the expenses that you paid over that period. Simply divide
your ending starting account value by $1,000 to arrive at the 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 of your Fund in the "Expenses Paid During Period" column
with the 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
4/1/08 9/30/08 RATIOS PERIOD*
--------- ------------- ---------- --------
DIVERSIFIED CONSERVATIVE INCOME FUND
ACTUAL FUND RETURN
Class A $1,000.00 $ 944.70 0.12% $0.59
Class D 1,000.00 939.80 1.12 5.45
Class I 1,000.00 943.00 0.37 1.80
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,024.47 0.12% $0.61
Class D 1,000.00 1,019.45 1.12 5.67
Class I 1,000.00 1,023.21 0.37 1.88
DIVERSIFIED CONSERVATIVE FUND
ACTUAL FUND RETURN
Class A $1,000.00 $ 908.00 0.12% $0.57
Class D 1,000.00 904.20 1.12 5.35
Class I 1,000.00 907.20 0.37 1.77
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,024.47 0.12% $0.61
Class D 1,000.00 1,019.45 1.12 5.67
Class I 1,000.00 1,023.21 0.37 1.88
DIVERSIFIED GLOBAL MODERATE GROWTH FUND
ACTUAL FUND RETURN
Class A $1,000.00 $ 880.50 0.12% $0.57
Class D 1,000.00 876.20 1.12 5.27
Class I 1,000.00 879.40 0.37 1.74
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,024.47 0.12% $0.61
Class D 1,000.00 1,019.45 1.12 5.67
Class I 1,000.00 1,023.21 0.37 1.88
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
4/1/08 9/30/08 RATIOS PERIOD*
--------- ------------- ---------- --------
DIVERSIFIED MODERATE GROWTH FUND
ACTUAL FUND RETURN
Class A $1,000.00 $ 885.80 0.12% $0.57
Class D 1,000.00 881.70 1.12 5.28
Class I 1,000.00 884.20 0.37 1.75
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,024.47 0.12% $0.61
Class D 1,000.00 1,019.45 1.12 5.67
Class I 1,000.00 1,023.21 0.37 1.88
DIVERSIFIED GLOBAL GROWTH FUND
ACTUAL FUND RETURN
Class A $1,000.00 $ 858.30 0.12% $0.56
Class D 1,000.00 854.00 1.12 5.21
Class I 1,000.00 857.40 0.37 1.72
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,024.47 0.12% $0.61
Class D 1,000.00 1,019.45 1.12 5.67
Class I 1,000.00 1,023.21 0.37 1.88
DIVERSIFIED GLOBAL STOCK FUND
ACTUAL FUND RETURN
Class A $1,000.00 $ 836.90 0.12% $0.55
Class D 1,000.00 832.60 1.12 5.15
Class I 1,000.00 835.20 0.37 1.70
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,024.47 0.12% $0.61
Class D 1,000.00 1,019.45 1.12 5.67
Class I 1,000.00 1,023.21 0.37 1.88
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 55
SEI ASSET ALLOCATION TRUST -- SEPTEMBER 30, 2008
Disclosure of Fund Expenses (Unaudited) (Concluded)
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
4/1/08 9/30/08 RATIOS PERIOD*
--------- ------------- ---------- --------
DIVERSIFIED U.S. STOCK FUND
ACTUAL FUND RETURN
Class A $1,000.00 $ 871.30 0.12% $0.56
Class D 1,000.00 867.00 1.12 5.24
Class I 1,000.00 870.30 0.37 1.73
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,024.47 0.12% $0.61
Class D 1,000.00 1,019.45 1.12 5.67
Class I 1,000.00 1,023.21 0.37 1.88
DEFENSIVE STRATEGY FUND
ACTUAL FUND RETURN
Class A $1,000.00 $ 990.20 0.10% $0.50
Class I 1,000.00 992.30 0.10 0.50
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,024.57 0.10% $0.51
Class I 1,000.00 1,024.57 0.10 0.51
DEFENSIVE STRATEGY ALLOCATION FUND
ACTUAL FUND RETURN
Class A $1,000.00 $ 952.00 0.10% $0.49
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,024.57 0.10% $0.51
CONSERVATIVE STRATEGY FUND
ACTUAL FUND RETURN
Class A $1,000.00 $ 960.30 0.10% $0.49
Class I 1,000.00 959.10 0.35 1.72
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,024.57 0.10% $0.51
Class I 1,000.00 1,023.31 0.35 1.78
CONSERVATIVE STRATEGY ALLOCATION FUND
ACTUAL FUND RETURN
Class A $1,000.00 $ 951.70 0.10% $0.49
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,024.57 0.10% $0.51
MODERATE STRATEGY FUND
ACTUAL FUND RETURN
Class A $1,000.00 $ 946.30 0.10% $0.49
Class I 1,000.00 944.90 0.35 1.71
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,024.57 0.10% $0.51
Class I 1,000.00 1,023.31 0.35 1.78
MODERATE STRATEGY ALLOCATION FUND
ACTUAL FUND RETURN
Class A $1,000.00 $ 923.80 0.10% $0.48
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,024.57 0.10% $0.51
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
4/1/08 9/30/08 RATIOS PERIOD*
--------- ------------- ---------- --------
AGGRESSIVE STRATEGY FUND
ACTUAL FUND RETURN
Class A $1,000.00 $ 857.40 0.10% $0.47
Class I 1,000.00 856.70 0.35 1.63
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,024.57 0.10% $0.51
Class I 1,000.00 1,023.31 0.35 1.78
TAX-MANAGED AGGRESSIVE STRATEGY FUND
ACTUAL FUND RETURN
Class A $1,000.00 $ 864.30 0.10% $0.47
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,024.57 0.10% $0.51
CORE MARKET STRATEGY FUND
ACTUAL FUND RETURN
Class A $1,000.00 $ 905.50 0.10% $0.48
Class I 1,000.00 906.00 0.10 0.48
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,024.57 0.10% $0.51
Class I 1,000.00 1,024.57 0.10 0.51
CORE MARKET STRATEGY ALLOCATION FUND
ACTUAL FUND RETURN
Class A $1,000.00 $ 864.20 0.10% $0.47
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,024.57 0.10% $0.51
MARKET GROWTH STRATEGY FUND
ACTUAL FUND RETURN
Class A $1,000.00 $ 881.90 0.10% $0.47
Class I 1,000.00 880.80 0.35 1.65
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,024.57 0.10% $0.51
Class I 1,000.00 1,023.31 0.35 1.78
MARKET GROWTH STRATEGY ALLOCATION FUND
ACTUAL FUND RETURN
Class A $1,000.00 $ 864.10 0.10% $0.47
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,024.57 0.10% $0.51
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO MULTIPLIED BY THE
AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 183/365 (TO REFLECT
THE ONE-HALF YEAR PERIOD SHOWN).
56 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Supplemental Financial
Information
SIMT Large Cap Diversified
Alpha Fund
Annual Report
September 30, 2008
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 57
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund
September 30, 2008
SECTOR WEIGHTINGS# (UNAUDITED):
(PERFORMANCE GRAPH)
Information Technology 16.0%
Financials 12.0%
Mortgage-Backed Securities 12.0%
Health Care 10.2%
Energy 9.0%
Consumer Discretionary 8.9%
Industrials 8.9%
Consumer Staples 6.4%
Short-Term Investment 4.8%
Materials 2.7%
Asset-Backed Securities 2.6%
Utilities 2.4%
Telecommunication Services 2.3%
U.S. Government Agency Obligations 0.9%
U.S. Treasury Obligations 0.9%
# Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
COMMON STOCK -- 94.0%
CONSUMER DISCRETIONARY -- 10.6%
Abercrombie & Fitch, Cl A 3,400 $ 134
Advance Auto Parts 3,600 143
Aeropostale* (A) 49,300 1,583
Amazon.com* 101,500 7,385
American Eagle Outfitters 17,500 267
American Greetings, Cl A 6,300 96
AnnTaylor Stores* 11,500 237
Apollo Group, Cl A* 16,000 949
Ascent Media, Cl A* 1,125 27
Autoliv 17,000 574
Autozone* 1,283 158
Bed Bath & Beyond* 3,800 119
Best Buy (A) 42,063 1,577
Big Lots* (A) 134,068 3,731
BorgWarner 13,600 446
Boyd Gaming 29,900 280
Brinker International 36,900 660
Burger King Holdings 2,000 49
Cablevision Systems, Cl A (A) 11,262 283
California Pizza Kitchen* 22,600 291
Career Education* 1,679 27
Carnival 4,000 141
CBS, Cl B 45,199 659
Centex 6,000 97
Central European Media Enterprises,
Cl A* 1,700 111
Christopher & Banks 25,300 194
Coach* (A) 130,795 3,275
Comcast, Cl A (A) 200,172 3,929
Darden Restaurants (A) 30,700 879
Deckers Outdoor* 2,900 302
DeVry 2,000 99
Dick's Sporting Goods* 3,400 67
DIRECTV Group* (A) 177,796 4,653
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
Discovery Communications, Cl A* 11,250 $ 160
Discovery Communications, Cl C* 11,250 159
Dollar Tree* 19,500 709
DR Horton 12,900 168
Eastman Kodak 161,560 2,485
Expedia* 29,231 442
Family Dollar Stores 6,800 161
Federal Mogul, Cl A* 5,360 67
Ford Motor* (A) 288,658 1,501
GameStop, Cl A* 15,900 544
Gannett 67,831 1,147
Gap (A) 117,400 2,087
Garmin 600 20
General Motors 11,900 112
Gentex 36,400 521
Genuine Parts 3,263 131
Goodyear Tire & Rubber* 11,100 170
Guess? 10,690 372
Gymboree* (A) 31,200 1,108
H&R Block (A) 226,078 5,143
Hanesbrands* 7,300 159
Harman International Industries 25,728 877
Hasbro (A) 61,100 2,121
Home Depot (A) 142,700 3,695
HSN* 5,780 64
International Game Technology 37,800 649
International Speedway, Cl A 4,200 163
Interpublic Group* (A) 306,647 2,377
ITT Educational Services* 10,300 833
J.C. Penney 34,300 1,144
John Wiley & Sons, Cl A 3,000 121
Johnson Controls 27,809 843
Jones Apparel Group (A) 60,000 1,111
KB Home 2,500 49
Kohl's* (A) 5,456 251
Las Vegas Sands* 800 29
Leggett & Platt 17,700 386
Liberty Global, Cl A* 36,704 1,112
Liberty Media - Entertainment, Cl A* 34,900 871
LKQ* 2,700 46
Lowe's 2,200 52
Macy's 3,500 63
Marriott International, Cl A 1,700 44
Mattel 2,400 43
McDonald's (A) 91,942 5,673
McGraw-Hill 8,098 256
MDC Holdings 900 33
MGM Mirage* 117,200 3,340
NetFlix* (A) 43,200 1,334
New York Times, Cl A 3,200 46
Newell Rubbermaid 3,002 52
News, Cl A 333,431 3,998
58 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
Nike, Cl B 11,324 $ 758
NVR* (A) 3,745 2,142
Office Depot* 25,047 146
Omnicom Group 3,448 133
Orient-Express Hotels, Cl A 1,900 46
Panera Bread, Cl A* 800 41
Penn National Gaming* 1,500 40
Polo Ralph Lauren (A) 35,721 2,380
priceline.com* 900 62
Pulte Homes 14,000 196
RadioShack 49,600 857
Ross Stores 8,300 306
Royal Caribbean Cruises 1,700 35
Scripps Networks Interactive, Cl A 10,200 370
Sears Holdings* 31,400 2,936
Service International 77,901 651
Shaw Communications, Cl B (A) 87,200 1,773
Sherwin-Williams 20,680 1,182
Sirius XM Radio* 86,840 49
Snap-On (A) 40,686 2,143
Stamps.com* 17,100 200
Stanley Works 8,100 338
Staples 184,900 4,160
Starwood Hotels & Resorts Worldwide 2,700 76
Strayer Education 200 40
Target 5,445 267
Tiffany 4,300 153
Tim Hortons 3,887 115
Time Warner (A) 614,694 8,059
Time Warner Cable, Cl A* 10,845 262
Titan International 14,800 316
TJX 77,100 2,353
Toll Brothers* 13,100 331
TravelCenters of America LLC* 1 --
TRW Automotive Holdings* (A) 98,554 1,568
Urban Outfitters* (A) 46,700 1,488
VF 6,118 473
Viacom, Cl B* (A) 38,600 959
Virgin Media 82,800 654
WABCO Holdings 26,700 949
Walt Disney (A) 110,809 3,401
Warnaco Group* 26,100 1,182
Warner Music Group 22,243 169
Weight Watchers International 78,700 2,880
Williams-Sonoma 1,900 31
Wyndham Worldwide (A) 114,341 1,796
Wynn Resorts 2,000 163
Yum! Brands 28,210 920
---------------
132,013
---------------
CONSUMER STAPLES -- 7.6%
Alberto-Culver 6,521 178
Altria Group (A) 96,474 1,914
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
Anheuser-Busch 16,021 $ 1,039
Archer-Daniels-Midland (A) 106,455 2,332
Avon Products 9,000 374
Bare Escentuals* 50,694 551
BJ's Wholesale Club* (A) 51,336 1,995
Brown-Forman, Cl B (A) 37,569 2,698
Bunge (A) 17,927 1,133
Central European Distribution* 700 32
Church & Dwight 3,000 186
Coca-Cola (A) 94,005 4,971
Coca-Cola Enterprises (A) 84,700 1,420
Colgate-Palmolive 26,012 1,960
ConAgra Foods 58,700 1,142
Constellation Brands, Cl A* 7,200 155
Corn Products International 4,346 140
Costco Wholesale (A) 32,575 2,115
CVS Caremark 22,388 754
Dean Foods* 10,305 241
Del Monte Foods 69,300 541
Dr Pepper Snapple Group* 16,400 434
Energizer Holdings* 2,000 161
Estee Lauder, Cl A 800 40
General Mills (A) 20,600 1,416
Hansen Natural* 1,400 42
Herbalife (A) 43,200 1,707
HJ Heinz 7,374 368
Hormel Foods 7,200 261
JM Smucker 1,200 61
Kellogg 11,875 666
Kimberly-Clark (A) 35,435 2,298
Kraft Foods, Cl A 9,939 326
Kroger (A) 149,421 4,106
Lorillard 6,350 452
McCormick 1,053 40
Molson Coors Brewing, Cl B (A) 24,292 1,136
Pepsi Bottling Group 8,600 251
PepsiAmericas (A) 46,400 961
PepsiCo (A) 85,747 6,111
Philip Morris International (A) 84,373 4,058
Procter & Gamble (A) 295,205 20,573
Reynolds American (A) 26,190 1,273
Safeway (A) 86,406 2,050
Smithfield Foods* 4,300 68
SUPERVALU 64,053 1,390
SYSCO (A) 212,791 6,560
Tyson Foods, Cl A (A) 173,897 2,076
UST 2,100 140
Walgreen 126,148 3,906
Wal-Mart Stores (A) 89,124 5,338
Whole Foods Market 12,400 248
WM Wrigley Jr. 9,376 744
---------------
95,132
---------------
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 59
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
ENERGY -- 10.7%
Anadarko Petroleum 23,600 $ 1,145
Apache (A) 18,722 1,952
Arch Coal 9,113 300
Atwood Oceanics* 1,100 40
Baker Hughes 12,750 772
Cabot Oil & Gas 6,200 224
Cameron International* (A) 29,576 1,140
Chesapeake Energy 35,600 1,277
Chevron (A) 221,900 18,302
Cimarex Energy (A) 55,500 2,715
ConocoPhillips (A) 145,116 10,630
Consol Energy 6,700 307
Continental Resources* 3,100 122
Denbury Resources* 10,400 198
Devon Energy (A) 12,500 1,140
Diamond Offshore Drilling 1,700 175
Dresser-Rand Group* 1,400 44
El Paso 49,772 635
Encore Acquisition* 1,300 54
ENSCO International (A) 20,500 1,181
EOG Resources 39,900 3,569
Exterran Holdings* 1,300 42
Exxon Mobil (A) 449,744 34,927
FMC Technologies* 5,000 233
Forest Oil* 5,200 258
Foundation Coal Holdings 10,779 384
Frontier Oil 2,400 44
Frontline 3,700 178
Halliburton (A) 131,272 4,252
Helix Energy Solutions Group* 1,400 34
Helmerich & Payne (A) 31,600 1,365
Hercules Offshore* 1,600 24
Hess (A) 18,845 1,547
Key Energy Services* 22,738 264
Marathon Oil (A) 47,610 1,898
Mariner Energy* (A) 75,400 1,546
Massey Energy 31,600 1,127
Murphy Oil (A) 50,233 3,222
Nabors Industries* 32,400 807
National Oilwell Varco* 13,533 680
Newfield Exploration* 4,100 131
Noble (A) 25,400 1,115
Noble Energy 9,100 506
Occidental Petroleum (A) 81,708 5,756
Oceaneering International* 200 11
Oil States International* 1,200 42
Overseas Shipholding Group 30,300 1,767
Patriot Coal* 6,300 183
Patterson-UTI Energy (A) 87,600 1,754
Peabody Energy 1,700 77
Petro-Canada (A) 40,000 1,334
PetroHawk Energy* 5,400 117
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
Pioneer Natural Resources (A) 39,936 $ 2,088
Plains Exploration & Production* 16,897 594
Pride International* (A) 30,700 909
Quicksilver Resources* 27,037 531
Range Resources 7,300 313
Rowan 400 12
Schlumberger (A) 60,252 4,705
SEACOR Holdings* (A) 13,200 1,042
Smith International 5,600 328
Southwestern Energy* (A) 46,145 1,409
Superior Energy Services* 49,900 1,554
Swift Energy* 5,500 213
Tesoro 1,600 26
Tidewater (A) 20,100 1,113
Transocean 6,619 727
Unit* 18,400 917
Valero Energy (A) 58,000 1,757
W&T Offshore (A) 35,700 974
Weatherford International* 15,500 390
Whiting Petroleum* 5,665 404
Williams (A) 50,900 1,204
XTO Energy 27,591 1,284
---------------
134,041
---------------
FINANCIALS -- 14.4%
Aflac 17,816 1,047
Alexandria Real Estate Equities+ 1,800 203
Alleghany* 139 51
Allied World Assurance Holdings 21,700 771
Allstate (A) 66,560 3,070
AMB Property+ 6,200 281
American Capital 1,600 41
American Express 74,139 2,627
American Financial Group (A) 83,014 2,449
American International Group 47,022 157
American National Insurance 342 30
American Physicians Capital 6,600 279
Ameriprise Financial (A) 50,288 1,921
Annaly Capital Management+ (A) 100,700 1,354
AON 11,786 530
Apartment Investment & Management,
Cl A+ 6,624 232
Arch Capital Group* 10,300 752
Aspen Insurance Holdings 11,800 325
Associated Banc-Corp 28,724 573
Assurant (A) 36,174 1,990
Astoria Financial 10,600 220
AvalonBay Communities+ 10,851 1,068
Axis Capital Holdings (A) 49,800 1,579
Bancorpsouth 7,800 219
Bank of America (A) 225,401 7,889
Bank of Hawaii 5,115 273
Bank of New York Mellon (A) 99,384 3,238
60 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
BB&T 33,611 $ 1,270
BlackRock (A) 7,012 1,364
BOK Financial 9,459 458
Boston Properties+ (A) 40,995 3,840
Brandywine Realty Trust+ (A) 82,100 1,316
Brown & Brown 3,963 86
Camden Property Trust+ 1,500 69
Capital One Financial (A) 73,500 3,748
Capitol Federal Financial 6,458 286
CapLease+ 5,700 45
CB Richard Ellis Group, Cl A* 3,800 51
CBL & Associates Properties+ (A) 53,800 1,080
Charles Schwab (A) 272,158 7,076
Chubb (A) 78,304 4,299
Cincinnati Financial 4,200 119
Citigroup 371,601 7,622
CME Group 17,299 6,427
Colonial Properties Trust+ 1,000 19
Commerce Bancshares 5,200 241
Credicorp (A) 21,700 1,351
Cullen/Frost Bankers 7,500 450
Digital Realty Trust+ 1,400 66
Discover Financial Services 55,769 771
Douglas Emmett+ 4,900 113
Eaton Vance 3,700 130
Endurance Specialty Holdings (A) 86,200 2,665
Equity Residential+ 5,800 258
Erie Indemnity, Cl A 1,000 42
Essex Property Trust+ 2,200 260
Everest Re Group 3,900 337
Fannie Mae 2,247 3
Federal Realty Investment Trust+ 606 52
Federated Investors, Cl B 32,100 926
Fidelity National Financial, Cl A 8,200 121
Fifth Third Bancorp 6,000 71
First Cash Financial Services* 2,600 39
First Citizens BancShares, Cl A 2,208 395
Forest City Enterprises, Cl A 12,218 375
Franklin Resources (A) 25,281 2,228
Fulton Financial 18,300 200
General Growth Properties+ 15,300 231
Goldman Sachs Group 34,324 4,393
Greenhill 12,400 915
Hanover Insurance Group (A) 26,500 1,206
Hartford Financial Services Group 14,503 594
HCC Insurance Holdings 2,100 57
HCP+ 12,800 514
Health Care+ 10,000 532
Hospitality Properties Trust+ 20,187 414
Host Hotels & Resorts+ 62,974 837
Hudson City Bancorp (A) 184,000 3,395
Huntington Bancshares 35,700 285
Interactive Brokers Group, Cl A* 4,900 109
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
IntercontinentalExchange* 68,300 $ 5,510
Invesco 4,000 84
Investment Technology Group* 23,200 706
Janus Capital Group (A) 133,029 3,230
Jefferies Group 900 20
Jones Lang LaSalle 15,920 692
JPMorgan Chase (A) 251,117 11,727
Kimco Realty+ 2,800 103
Lazard, Cl A 1,000 43
Leucadia National 21,000 954
Liberty Property Trust+ 1,300 49
Loews (A) 90,849 3,588
M&T Bank 2,200 196
Mack-Cali Realty+ 3,100 105
Markel* 94 33
Marsh & McLennan (A) 81,377 2,585
Merrill Lynch 159,835 4,044
MetLife (A) 22,242 1,246
Montpelier Re Holdings 14,900 246
Moody's 3,300 112
Morgan Stanley 26,862 618
NASDAQ Stock Market* 39,462 1,206
Nationwide Health Properties+ 9,600 345
New York Community Bancorp 27,400 460
Northern Trust 32,649 2,357
NorthStar Realty Finance+ 56,600 439
NYSE Euronext 104,929 4,111
PartnerRe (A) 17,300 1,178
People's United Financial 13,100 252
Philadelphia Consolidated Holding* 2,000 117
Platinum Underwriters Holdings 10,800 383
Plum Creek Timber+ 5,297 264
PNC Financial Services Group 4,046 302
Popular 21,100 175
Principal Financial Group 7,389 321
Progressive 6,100 106
Prologis+ 3,600 149
Protective Life 1,500 43
Prudential Financial 3,400 245
Public Storage+ 18,127 1,795
Raymond James Financial 32,061 1,057
Rayonier+ (A) 87,645 4,150
Regency Centers+ 800 53
Regions Financial (A) 286,955 2,755
RenaissanceRe Holdings 41,100 2,137
SeaBright Insurance Holdings* 2,800 36
Simon Property Group+ 2,600 252
St. Joe 5,500 215
StanCorp Financial Group 2,900 151
State Street 4,000 228
Sunstone Hotel Investors+ 28,800 389
SunTrust Banks 821 37
Synovus Financial 20,700 214
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 61
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
T. Rowe Price Group (A) 61,733 $ 3,316
Taubman Centers+ 3,000 150
TCF Financial 5,200 94
TD Ameritrade Holding* (A) 180,400 2,922
TFS Financial 4,661 58
Torchmark 3,171 190
Transatlantic Holdings (A) 1,127 61
Travelers (A) 91,076 4,117
Tree.com* 1,013 5
UDR+ 11,800 309
UnionBanCal 1,000 73
Unum Group 6,000 151
US Bancorp 16,002 576
Valley National Bancorp 955 20
Ventas+ 14,700 726
Wachovia (A) 100,481 352
Waddell & Reed Financial, Cl A 13,800 342
Washington Federal 41,000 756
Webster Financial 8,200 207
Weingarten Realty Investors+ 1,400 50
Wells Fargo (A) 100,679 3,778
Whitney Holding 400 10
Wilmington Trust 4,700 136
WR Berkley (A) 58,000 1,366
XL Capital, Cl A 19,900 357
Zions Bancorporation (A) 13,100 507
---------------
179,362
---------------
HEALTH CARE -- 12.2%
Abbott Laboratories 25,275 1,455
Aetna (A) 167,056 6,032
Alkermes* 28,200 375
Allergan 92,394 4,758
AmerisourceBergen (A) 151,405 5,700
Amgen* (A) 134,948 7,998
Applied Biosystems (A) 127,045 4,351
Barr Pharmaceuticals* 600 39
Baxter International 22,089 1,450
Becton Dickinson (A) 27,348 2,195
Biogen Idec* (A) 34,900 1,755
BioMarin Pharmaceuticals* 4,700 125
Boston Scientific* 13,700 168
Bristol-Myers Squibb (A) 136,341 2,843
C.R. Bard 3,200 304
Cardinal Health (A) 130,662 6,439
Celgene* 4,906 310
Cephalon* (A) 16,800 1,302
Cerner* 20,556 918
Charles River Laboratories
International* 4,400 244
Cigna (A) 108,225 3,677
Community Health Systems* 1,400 41
Covance* 10,000 884
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
Covidien 4,700 $ 253
Cubist Pharmaceuticals* (A) 39,400 876
Dentsply International 14,568 547
Dionex* 3,300 210
Edwards Lifesciences* 9,644 557
Eli Lilly (A) 50,089 2,205
Endo Pharmaceuticals Holdings* 34,900 698
Express Scripts* (A) 56,100 4,141
Forest Laboratories* (A) 73,300 2,073
Genentech* 79,500 7,050
Gen-Probe* 500 27
Genzyme* 20,877 1,689
Gilead Sciences* 10,700 488
Health Management Associates, Cl A* 102,625 427
Henry Schein* 5,200 280
Hill-Rom Holdings 4,630 140
HLTH* 76,296 872
Hologic* 1,800 35
Hospira* 1,200 46
Humana* (A) 58,400 2,406
Idexx Laboratories* (A) 30,200 1,655
Illumina* 3,800 154
ImClone Systems* 4,500 281
Intuitive Surgical* (A) 6,100 1,470
Inverness Medical Innovations* 12,600 378
Invitrogen* 12,392 468
Isis Pharmaceuticals* 7,600 128
Johnson & Johnson (A) 161,562 11,193
Kinetic Concepts* 1,000 29
King Pharmaceuticals* (A) 209,800 2,010
Laboratory Corp of America Holdings* 745 52
LifePoint Hospitals* 10,400 334
Lincare Holdings* 45,900 1,381
Martek Biosciences 17,500 550
McKesson (A) 105,458 5,675
Medco Health Solutions* (A) 89,995 4,050
Medicis Pharmaceutical, Cl A 16,700 249
Medtronic (A) 56,292 2,820
Merck (A) 103,936 3,280
Merit Medical Systems* 8,400 158
Mylan Laboratories* 3,600 41
Omnicare 26,900 774
OSI Pharmaceuticals* 10,000 493
Owens & Minor 17,300 839
Patterson* 2,200 67
Pediatrix Medical Group* 4,500 243
PerkinElmer 15,173 379
Perrigo 6,800 262
Pfizer (A) 518,017 9,552
Pharmaceutical Product Development 6,800 281
Quest Diagnostics 6,500 336
Resmed* 1,100 47
Schering-Plough 3,096 57
Sepracor* 20,246 371
62 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
Somanetics* 2,900 $ 63
St. Jude Medical* 2,300 100
STERIS 38,100 1,432
Stryker (A) 76,815 4,786
Techne* 15,221 1,098
Tenet Healthcare* 316,319 1,756
Thermo Fisher Scientific* 15,112 831
UnitedHealth Group (A) 356,265 9,046
Universal Health Services, Cl B 14,655 821
Varian Medical Systems* 5,800 331
VCA Antech* 1,900 56
Vertex Pharmaceuticals* 1,500 50
Warner Chilcott, Cl A* (A) 66,200 1,001
Waters* 7,063 411
Watson Pharmaceuticals* 1,400 40
WellCare Health Plans* 2,500 90
WellPoint* (A) 31,945 1,494
Wyeth 22,056 815
Zimmer Holdings* 2,000 129
---------------
152,790
---------------
INDUSTRIALS -- 10.6%
3M (A) 26,245 1,793
AAON 7,700 140
Acuity Brands 6,300 263
Aecom Technology* 27,799 679
AGCO* 14,900 635
Alliant Techsystems* 1,900 178
Allied Waste Industries* 69,914 777
Ametek 8,200 334
BE Aerospace* 1,400 22
Boeing (A) 103,677 5,946
Brink's 4,500 275
Bucyrus International, Cl A (A) 20,300 907
Burlington Northern Santa Fe 8,800 813
C.H. Robinson Worldwide (A) 40,487 2,063
Caterpillar (A) 54,700 3,260
Cenveo* 12,700 98
Columbus McKinnon* 2,200 52
Continental Airlines, Cl B* 4,900 82
Con-way 3,200 141
Copart* 16,400 623
Corporate Executive Board 1,500 47
Corrections Corp of America* 3,000 75
Covanta Holding* 1,800 43
Crane 18,700 556
CSX (A) 85,413 4,661
Cummins (A) 97,891 4,280
Danaher 2,345 163
Deere 11,600 574
Delta Air Lines* 2,500 19
Donaldson 5,900 247
Dover (A) 53,900 2,186
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
DRS Technologies 3,200 $ 246
Dun & Bradstreet 10,974 1,036
Eaton 100 6
Emerson Electric (A) 42,718 1,742
Equifax 2,600 90
Expeditors International of Washington 94,000 3,275
Fastenal 22,700 1,121
FedEx (A) 62,302 4,924
First Solar* (A) 7,400 1,398
Flowserve 5,100 453
Fluor (A) 40,801 2,273
Foster Wheeler* 32,600 1,177
FTI Consulting* 900 65
Gardner Denver* (A) 33,700 1,170
GATX 2,600 103
General Cable* 36,400 1,297
General Dynamics 18,985 1,398
General Electric (A) 573,188 14,616
Goodrich (A) 49,100 2,043
Harsco (A) 23,642 879
Hertz Global Holdings* 3,200 24
Honeywell International 34,674 1,441
Hubbell, Cl B 7,700 270
IHS, Cl A* 1,000 48
Illinois Tool Works 3,200 142
Ingersoll-Rand, Cl A 7,953 248
ITT 518 29
Jacobs Engineering Group* (A) 57,702 3,134
JB Hunt Transport Services 5,400 180
John Bean Technologies* 6,403 81
Joy Global 2,300 104
Kansas City Southern* 4,600 204
KBR (A) 101,792 1,554
Kennametal 4,659 126
Kirby* 5,800 220
L-3 Communications Holdings (A) 22,900 2,252
Landstar System 3,300 145
Lennox International (A) 44,600 1,484
Lincoln Electric Holdings 1,400 90
Lockheed Martin (A) 66,884 7,335
Manitowoc (A) 16,268 253
Manpower 1,600 69
McDermott International* 3,600 92
NCI Building Systems* 1,100 35
Norfolk Southern (A) 24,700 1,635
Northrop Grumman (A) 60,283 3,650
Northwest Airlines* 6,000 54
Owens Corning* 1,200 29
PACCAR 1,488 57
Pacer International 1,800 30
Pall 1,200 41
Parker Hannifin (A) 58,385 3,094
Pentair 1,900 66
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 63
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
Precision Castparts 17,164 $ 1,352
Quanta Services* 110,479 2,984
Raytheon (A) 63,905 3,420
Republic Services 11,500 345
Robert Half International (A) 37,000 916
Rockwell Automation 700 26
Roper Industries 1,838 105
Ryder System 10,000 620
Shaw Group* 33,100 1,017
Southwest Airlines 99,325 1,441
SPX 5,194 400
Steelcase, Cl A 76,711 825
Stericycle* (A) 31,270 1,842
Terex* 1,400 43
Textron 12,100 354
Thomas & Betts* 37,900 1,481
Timken 64,925 1,841
Trinity Industries 10,620 273
Tyco International (A) 50,379 1,764
Union Pacific (A) 47,378 3,371
United Parcel Service, Cl B 67,759 4,261
United Rentals* 15,000 229
United Technologies 14,804 889
URS* 9,018 331
USG* 1,700 44
UTI Worldwide 31,192 531
Valmont Industries 1,600 132
Walter Industries 22,900 1,087
Waste Management 8,113 255
WESCO International* (A) 26,600 856
WW Grainger 600 52
---------------
132,547
---------------
INFORMATION TECHNOLOGY -- 19.1%
Accenture, Cl A (A) 126,100 4,792
Activision Blizzard* 52,600 812
ADC Telecommunications* 900 8
Adobe Systems* (A) 102,200 4,034
Advanced Micro Devices* 5,600 29
Affiliated Computer Services, Cl A* 6,300 319
Agilent Technologies* 23,366 693
Akamai Technologies* 4,200 73
Altera 900 19
Amdocs* 39,812 1,090
Amkor Technology* 60,700 387
Amphenol, Cl A 11,940 479
Analog Devices (A) 43,800 1,154
Anixter International* (A) 24,400 1,452
Ansys* 1,500 57
Apple* (A) 50,848 5,779
Applied Materials 5,995 91
Applied Micro Circuits* 46,000 275
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
Arrow Electronics* 3,200 $ 84
Autodesk* 700 23
Automatic Data Processing (A) 6,301 269
Avnet* (A) 89,800 2,212
Avocent* 5,500 113
AVX 60,402 615
BMC Software* 8,600 246
Broadcom, Cl A* (A) 62,100 1,157
Broadridge Financial Solutions 13,200 203
Brocade Communications Systems* 77,400 450
CA (A) 152,778 3,049
Cabot Microelectronics* 3,100 99
Check Point Software Technologies* (A) 74,900 1,703
Ciena* 50,800 512
Cisco Systems* (A) 437,430 9,868
Citrix Systems* 300 8
Cognex 10,000 202
CommScope* 2,600 90
Computer Sciences* 45,451 1,827
Compuware* (A) 158,600 1,537
Convergys* (A) 91,564 1,353
Corning (A) 226,542 3,543
Cree* 5,100 116
Daktronics 22,800 380
Dell* 52,700 868
Dolby Laboratories, Cl A* 3,400 120
DST Systems* 221 12
Earthlink* 50,200 427
eBay* (A) 475,410 10,640
Electronic Arts* 67,300 2,489
EMC* 144,335 1,726
Factset Research Systems 7,300 381
Fairchild Semiconductor
International* (A) 28,603 254
Fidelity National Information Services 1,946 36
Fiserv* 3,200 151
Flir Systems* 2,453 94
Global Payments (A) 30,653 1,375
Google, Cl A* (A) 36,120 14,467
Harris 25,901 1,197
Hewitt Associates, Cl A* (A) 61,600 2,245
Hewlett-Packard (A) 390,103 18,038
IAC* 14,600 253
Ingram Micro, Cl A* 34,970 562
Integral Systems 6,800 141
Integrated Device Technology* 215,500 1,677
Intel (A) 231,588 4,338
International Business Machines (A) 60,962 7,130
Intersil, Cl A (A) 40,700 675
Intuit* 167,100 5,282
Iron Mountain* 12,400 303
Itron* 600 53
Jabil Circuit (A) 108,458 1,035
64 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
Juniper Networks* (A) 49,000 $ 1,032
Kla-Tencor 500 16
Lender Processing Services 21,826 666
Lexmark International, Cl A* 1,400 46
Linear Technology 2,600 80
LSI Logic* 15,600 84
Mastercard, Cl A (A) 43,471 7,709
McAfee* 11,900 404
MEMC Electronic Materials* 4,074 115
Mettler Toledo International* 4,962 486
Micrel 36,000 327
Microchip Technology 1,500 44
Microsoft (A) 746,624 19,927
Molex 99,773 2,240
Motorola 160,430 1,145
Multi-Fineline Electronix* 7,000 104
National Semiconductor (A) 62,700 1,079
NCR* 31,800 701
NetApp* (A) 49,400 901
NeuStar, Cl A* 2,100 42
Nokia ADR 85,800 1,600
Nuance Communications* 3,400 41
Nvidia* 800 9
ON Semiconductor* 6,200 42
Oracle* (A) 134,708 2,736
QLogic* (A) 116,400 1,788
Qualcomm (A) 322,300 13,849
Rambus* 6,100 78
Red Hat* 83,900 1,264
Research In Motion* 49,000 3,347
SAIC* 1,400 28
Salesforce.com* 5,200 252
Seagate Technology 316,200 3,832
Silicon Laboratories* (A) 40,100 1,231
Sohu.com* 8,136 454
Sun Microsystems* (A) 94,332 717
Sybase* 47,900 1,467
Symantec* (A) 219,256 4,293
Synaptics* 10,400 314
Synopsys* (A) 83,878 1,673
Tech Data* (A) 49,119 1,466
Teradata* 137,300 2,677
Teradyne* (A) 119,700 935
Texas Instruments (A) 374,781 8,058
Trimble Navigation* 29,800 771
Tyco Electronics 67,621 1,870
Unisys* (A) 302,265 831
Valueclick* 44,400 454
VeriSign* 158,400 4,131
Visa, Cl A (A) 105,000 6,446
VMware, Cl A* 500 13
Volterra Semiconductor* 47,000 598
WebMD Health, Cl A* 130 4
Shares/
Contracts/Face
Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------- --------------- ---------------
Western Digital* 28,700 $ 612
Western Union 51,611 1,273
Xerox (A) 101,840 1,174
Xilinx 2,700 63
Yahoo!* 236,500 4,091
Zebra Technologies, Cl A* 3,700 103
---------------
238,904
---------------
MATERIALS -- 3.2%
Air Products & Chemicals 8,800 603
Airgas 3,300 164
AK Steel Holding (A) 51,877 1,345
Alcoa (A) 65,600 1,481
Allegheny Technologies 400 12
Alpha Natural Resources* 3,600 185
Aptargroup 2,700 106
Ashland (A) 1,049 31
Cabot (A) 72,384 2,300
Celanese, Ser A (A) 29,831 833
Century Aluminum* 2,000 55
CF Industries Holdings 1,600 146
Cleveland-Cliffs 6,400 339
Commercial Metals 5,247 89
Crown Holdings* 10,100 224
Dow Chemical (A) 95,584 3,038
E.I. Du Pont de Nemours 49,734 2,004
Eastman Chemical 10,900 600
Ecolab 8,500 412
FMC 7,800 401
Freeport-McMoRan Copper & Gold,
Cl B (A) 14,850 844
Greif, Cl A 18,300 1,201
Huntsman 3,200 40
Intrepid Potash* 27,800 838
Lubrizol (A) 36,400 1,570
Monsanto (A) 20,412 2,020
Mosaic (A) 25,400 1,728
Nalco Holding (A) 146,946 2,724
Newmont Mining (A) 39,953 1,549
Nucor (A) 46,900 1,853
Owens-Illinois* 18,200 535
Packaging Corp of America 1,800 42
PPG Industries 1,000 58
Praxair 47,615 3,416
Reliance Steel & Aluminum 42,600 1,618
Schnitzer Steel Industries, Cl A 14,742 578
Sealed Air 10,300 226
Sigma-Aldrich 9,800 514
Sonoco Products 3,700 110
Southern Copper 11,500 219
Steel Dynamics 8,500 145
Temple-Inland 21,810 333
Terra Industries (A) 29,139 857
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 65
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------- --------------- ---------------
United States Steel (A) 30,200 $ 2,344
Vulcan Materials 600 45
Weyerhaeuser 1,000 61
---------------
39,836
---------------
TELECOMMUNICATION SERVICES -- 2.7%
American Tower, Cl A* (A) 28,500 1,025
AT&T (A) 534,566 14,925
CenturyTel (A) 23,700 869
Crown Castle International* 121,100 3,508
Frontier Communications 4,811 55
iPCS* 4,500 100
Leap Wireless International* (A) 22,900 872
MetroPCS Communications* 7,921 111
NII Holdings* 25,478 966
Qwest Communications International 28,000 90
Sprint Nextel (A) 152,700 931
Telephone & Data Systems 12,540 448
US Cellular* (A) 36,224 1,700
USA Mobility 8,100 89
Verizon Communications (A) 216,375 6,943
Windstream (A) 127,752 1,398
---------------
34,030
---------------
UTILITIES -- 2.9%
AES* 364,000 4,255
AGL Resources 12,700 399
Allegheny Energy 5,406 199
Alliant Energy 40,540 1,306
Ameren 10,800 422
American Electric Power 15,700 581
American Water Works 10,300 221
Atmos Energy 19,130 509
Calpine* 128,294 1,668
Centerpoint Energy (A) 58,100 847
Consolidated Edison 1,200 52
Constellation Energy Group 6,400 156
Dominion Resources 25,969 1,111
DPL 44,046 1,092
DTE Energy (A) 41,100 1,649
Duke Energy (A) 43,400 756
Edison International (A) 70,000 2,793
Energen 6,700 303
Entergy 5,700 507
Equitable Resources 16,300 598
Exelon 2,574 161
FirstEnergy (A) 21,965 1,471
FPL Group 17,200 865
Hawaiian Electric Industries 10,800 314
MDU Resources Group 35,937 1,042
National Fuel Gas 5,400 228
NiSource (A) 81,300 1,200
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------- --------------- ---------------
NRG Energy* 16,900 $ 418
NSTAR 1,900 64
OGE Energy 1,500 46
Oneok 15,400 530
Pepco Holdings (A) 37,900 868
PG&E 15,179 568
Pinnacle West Capital 3,600 124
PPL 22,462 832
Public Service Enterprise Group (A) 74,502 2,443
Puget Energy 11,500 307
Questar 5,700 233
Reliant Energy* (A) 234,293 1,722
SCANA 4,000 156
Sempra Energy 1,992 101
Sierra Pacific Resources 129,899 1,244
Southern 9,727 367
Southern Union 1,243 26
TECO Energy 32,314 508
UGI 23,800 614
Vectren 4,200 117
Wisconsin Energy 5,600 251
Xcel Energy 11,071 221
---------------
36,465
---------------
Total Common Stock
(Cost $1,304,685) ($ Thousands) 1,175,120
---------------
MORTGAGE-BACKED SECURITIES -- 14.2%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 8.2%
FHLMC
6.000%, 03/01/23 $ 1,900 1,935
FHLMC CMO STRIPS, Ser 232,
Cl IO, IO
5.000%, 08/01/35 (B)(E) 5,847 1,283
FHLMC CMO STRIPS, Ser 233,
Cl 12, IO
5.000%, 09/15/35 (B)(E) 963 187
FNMA TBA
6.500%, 10/01/37 6,000 6,152
6.000%, 10/20/21 37,000 37,682
5.500%, 10/15/22 to 10/01/38 44,000 44,331
FNMA ARM
5.496%, 11/25/08 820 834
FNMA CMO, Ser 2005-115, Cl OC
6.000%, 10/25/33 2,194 2,231
FNMA CMO, Ser 2005-108, Cl TA
5.500%, 03/25/22 1,027 1,030
FNMA CMO, Ser 2006-33, Cl QA
6.000%, 01/25/29 3,386 3,444
FNMA CMO, STRIPS,
Ser 359, Cl 6, IO
5.000%, 11/01/35 367 75
66 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------- --------------- ---------------
FNMA CMO STRIPS,
Ser 360, Cl 2, IO
5.000%, 08/01/35 $ 15,966 $ 3,502
GNMA ARM
5.625%, 11/20/08 337 340
---------------
103,026
---------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 6.0%
American Home Mortgage Assets,
Ser 2006-3, Cl M5
3.827%, 10/27/08 (C) 250 11
American Home Mortgage
Investment Trust, Ser 2005-1, Cl 6A
5.294%, 11/25/08 (C) 3,510 1,949
American Home Mortgage
Investment Trust, Ser 2005-4, Cl 5A
5.350%, 11/25/08 (C) 1,913 1,274
American Home Mortgage
Investment Trust, Ser 2006-1, Cl 2A3
5.100%, 11/25/08 (C) 1,141 855
Banc of America Commercial
Mortgage, Ser 2005-5, Cl AM
5.176%, 11/10/08 (C) 1,762 1,490
Banc of America Commercial
Mortgage, Ser 2005-6, Cl AM
5.352%, 11/10/08 (C) 1,619 1,367
Banc of America Commercial
Mortgage, Ser 2006-2, Cl A4
5.930%, 05/10/45 (C) 1,911 1,729
Banc of America Commercial
Mortgage, Ser 2006-3, Cl A4
5.889%, 11/10/08 (C) 1,854 1,678
Banc of America Commercial
Mortgage, Ser 2007-3, Cl A4
5.838%, 11/10/08 (C) 5,050 4,292
Citigroup Commercial Mortgage Trust,
Ser 2006-C4, Cl A3
5.915%, 11/15/08 (C) 3,249 2,939
Countrywide Alternative Loan Trust,
Ser 2004-33, Cl 1A1
6.721%, 11/25/08 (C) 227 172
Countrywide Alternative Loan Trust,
Ser 2005-69, Cl M3
4.357%, 10/27/08 (C) 235 16
Countrywide Alternative Loan Trust,
Ser 2005-IM1, Cl M3
5.207%, 10/27/08 (C) 375 12
Countrywide Alternative Loan Trust,
Ser 2006-OA11, Cl M3
3.637%, 10/27/08 (C) 500 60
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------- --------------- ---------------
Countrywide Alternative Loan Trust,
Ser 2006-OA16, Cl M5
3.757%, 10/27/08 (C) $ 225 $ 3
Countrywide Home Loans,
Ser 2004-22, Cl A1
5.089%, 11/25/08 (C) 355 286
Countrywide Home Loans,
Ser 2006-OA4, Cl M4
4.027%, 10/27/08 (C) 285 10
Countrywide Home Loans,
Ser 2006-OA4, Cl M5
4.077%, 10/27/08 (C) 195 6
Countrywide Home Loans,
Ser 2006-OA5, Cl 1M4
4.257%, 10/27/08 (C) 275 6
Countrywide Home Loans,
Ser 2007-HYB1, Cl 1A1
5.491%, 11/25/08 (C) 1,503 1,120
Credit Suisse Mortgage Capital
Certificates, Cl A3
5.311%, 12/15/39 5,600 4,854
Credit Suisse Mortgage Capital
Certificates, Ser 2006-C3, Cl A3
6.021%, 11/15/08 (C) 2,381 2,164
Downey Savings & Loan Association
Mortgage Loan Trust,
Ser 2004-AR4, Cl B1
3.630%, 10/20/08 (C) 267 71
First Horizon Alternative Mortgage
Trust, Ser 2006-AA6, Cl 2A1
5.628%, 11/25/08 (C) 2,905 1,999
First Horizon Mortgage Pass-Through,
Ser 2006-AR3, Cl 1A1
5.656%, 11/25/08 (C) 616 525
Greenwich Capital Commercial
Funding, Ser 2006-GG7, Cl AM
6.112%, 11/10/08 (C) 2,100 1,753
GS Mortgage Securities II,
Ser 2006-GG6, Cl AM
5.622%, 11/10/08 (C) 3,800 3,127
Impac CMB Trust, Ser 2004-10,
Cl 4M1
3.807%, 10/27/08 (C) 230 161
Impac Secured Assets CMO Owner Trust,
Ser 2007-1, Cl A1
3.267%, 10/27/08 (C) 4,475 3,923
Impac Secured Assets CMO Owners Trust,
Ser 2007-2, Cl 1A1A
3.317%, 10/27/08 (C) 2,782 2,379
Indymac Index Mortgage Loan Trust,
Ser 2006-AR12, Cl M2
3.757%, 10/27/08 (C) 235 36
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 67
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------- --------------- ---------------
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl M6
4.957%, 10/27/08 (C) $ 240 $ 6
Indymac Index Mortgage Loan Trust,
Ser 2006-AR4, Cl M4
3.907%, 10/27/08 (C) 165 4
JPMorgan Chase Commercial
Mortgage Securities,
Ser 2006-LDP9, Cl A3
5.336%, 05/15/47 1,155 994
JPMorgan Chase Commercial
Mortgage Securities,
Ser 2007-CB18, Cl A4
5.716%, 02/15/51 7,000 5,849
JPMorgan Chase Commercial
Mortgage Securities,
Ser 2007-CB18, Cl A4
5.440%, 06/12/47 5,050 4,213
Merrill Lynch Mortgage Investors,
Ser 2005-A4, Cl 1A
5.114%, 11/25/08 (C) 364 270
Merrill Lynch Mortgage Investors,
Ser 2006-1, Cl 1A
5.248%, 11/25/08 (C) 1,267 1,171
Merrill Lynch Mortgage Trust,
Ser 2005-CKI1, Cl A6
5.416%, 11/12/08 (C) 2,316 2,115
Merrill Lynch Mortgage Trust,
Ser 2008-C1, Cl AM
6.461%, 11/12/08 (C) 756 606
Merrill Lynch/Countrywide
Commercial Mortgage,
Ser 2006-4, Cl A3
5.172%, 11/12/08 (C) 5,667 4,865
Morgan Stanley Mortgage Loan Trust,
Ser 2007-14AR, Cl 6A1
6.471%, 11/25/08 (C) 1,692 1,112
Nomura Asset Acceptance,
Ser 2007-1, Cl 1A1A
5.995%, 03/25/47 1,684 1,417
Residential Accredit Loans,
Ser 2006-QO1, Cl 2A3
3.607%, 10/27/08 (C) 303 118
Residential Accredit Loans,
Ser 2006-QO3, Cl M5
3.987%, 10/27/08 (C) 251 5
Residential Accredit Loans,
Ser 2006-QO3, Cl M4
3.927%, 10/27/08 (C) 251 8
Residential Accredit Loans,
Ser 2006-QO6, Cl M5
3.707%, 10/27/08 (C) 350 11
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------- --------------- ---------------
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 3A1
5.249%, 11/25/08 (C) $ 1,096 $ 1,064
Structured Adjustable Rate Mortgage
Loan Trust, Ser 2005-16XS, Cl M2
4.107%, 10/27/08 (C) 505 25
Structured Adjustable Rate Mortgage
Loan Trust, Ser 2007-9, Cl 2A1
5.994%, 11/25/08 (C) 1,799 1,176
Structured Asset Mortgage
Investments, Ser 2006-AR1, Cl B4
4.157%, 10/27/08 (C) 191 9
Structured Asset Mortgage
Investments, Ser 2006-AR1, Cl B5
4.257%, 10/27/08 (C) 121 11
Structured Asset Securities,
Ser 2006-NC1, Cl A4
3.357%, 10/27/08 (C) 300 180
Wachovia Bank Commercial
Mortgage Trust, Cl A3
6.011%, 11/15/08 (C) 5,000 4,524
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY4, Cl 1A1
5.542%, 11/25/08 (C) 4,013 2,981
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY6, Cl 1A1
5.664%, 11/25/08 (C) 3,287 2,213
---------------
75,214
---------------
Total Mortgage-Backed Securities
(Cost $198,608) ($ Thousands) 178,240
---------------
ASSET-BACKED SECURITIES -- 3.0%
MORTGAGE RELATED SECURITIES -- 1.3%
ABSC NIM Trust, Ser 2005-HE6,
Cl A1
5.050%, 08/27/35 (D) 29 --
Ace Securities, Ser 2003-OP1,
Cl M1
3.907%, 10/27/08 (C) 500 370
Ace Securities, Ser 2005-HE7,
Cl A2D
3.537%, 10/27/08 (C) 800 676
Aegis Asset-Backed Securities Trust,
Ser 2003-3, Cl M1
4.257%, 10/27/08 (C) 38 29
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1
4.557%, 10/27/08 (C) 384 266
68 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------- --------------- ---------------
Argent Securities, Ser 2003-W5,
Cl M1
3.907%, 10/27/08 (C) $ 250 $ 196
Argent Securities, Ser 2003-W9,
Cl M1
3.897%, 10/27/08 (C) 343 250
Asset-Backed Funding Certificates,
Ser 2005-AQ1, Cl A2
4.300%, 06/25/35 (B) 231 228
Asset-Backed Securities Home Equity
Loan Trust, Ser 2003-HE5, Cl M1
3.613%, 10/15/08 (C) 547 432
Bear Stearns Asset-Backed Securities
Trust, Ser 2006-HE7, Cl 2A2
3.367%, 10/27/08 (C) 1,300 914
Bear Stearns Asset-Backed Securities
Trust, Ser 2007-HE4, Cl 1A1
3.327%, 10/27/08 (C) 1,916 1,836
Countrywide Asset-Backed Certificates,
Ser 2006-S1, Cl A2
5.549%, 08/25/21 1,101 1,000
Home Equity Asset Trust,
Ser 2003-4, Cl M2
5.607%, 10/27/08 (C) 252 169
Home Equity Asset Trust,
Ser 2006-5, Cl 2A3
3.357%, 10/27/08 (C) 250 170
Home Equity Mortgage Trust,
Ser 2006-5, Cl A1
5.500%, 01/25/37 2,021 483
Irwin Home Equity, Ser 2007-1,
Cl 2A1
3.357%, 10/27/08 (C) (D) 3,507 2,455
Morgan Stanley ABS Capital I,
Ser 2003-NC10, Cl M1
4.227%, 10/27/08 (C) 583 466
New Century Home Equity Loan Trust,
Ser 2005-A, Cl A2
4.461%, 08/25/35 (B) 58 57
Novastar Home Equity Loan,
Ser 2007-1, Cl A2A1
3.307%, 10/27/08 (C) 2,397 2,250
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1
3.857%, 10/27/08 (C) 111 77
Option One Mortgage Loan Trust,
Ser 2007-HL1, Cl 2A1
3.327%, 10/27/08 (C) 2,002 1,749
Residential Asset Securities,
Ser 2005-KS12, Cl A3
3.527%, 10/27/08 (C) 800 568
Terwin Mortgage Trust,
Ser 2006-2HGS, Cl A1
4.500%, 11/25/08 (C) (D) 1,430 390
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------- --------------- ---------------
Terwin Mortgage Trust,
Ser 2006-4SL, Cl A1
4.500%, 11/25/08 (C) (D) $ 1,483 $ 552
Terwin Mortgage Trust, Ser 2006-6,
Cl 1A1
4.500%, 11/25/08 (C) 734 235
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl M8A
6.207%, 10/27/08 (C) (D) 189 31
-------
15,849
-------
OTHER ASSET-BACKED SECURITIES -- 1.7%
Chase Funding Mortgage Loan
Asset-Backed Certificates,
Ser 2003-6, Cl 1A3
3.340%, 05/25/26 37 37
Countrywide Asset-Backed
Certificates, Ser 2003-5, Cl MV2
4.807%, 10/27/08 (C) 251 180
Countrywide Asset-Backed
Certificates, Ser 2005-7, Cl MV8
4.657%, 10/27/08 (C) 250 88
Credit-Based Asset Servicing and
Securitization, Ser 2005-CB2, Cl M1
3.647%, 10/27/08 (C) 96 81
Credit-Based Asset Servicing and
Securitization, Ser 2007-CB4, Cl A2A
5.844%, 04/25/37 (B) 1,810 1,724
Credit-Based Asset Servicing and
Securitization, Ser 2007-CB4, Cl A1A
3.297%, 10/27/08 (C) 1,715 1,515
FBR Securitization Trust, Ser 2005-2,
Cl M10
5.457%, 10/27/08 (C) 71 1
First Franklin Mortgage Loan
Asset-Backed Certificates,
Ser 2006-FF11, Cl M1
3.457%, 10/27/08 (C) 3,500 893
First Franklin Mortgage Loan
Asset-Backed Certificates,
Ser 2006-FF14, Cl A2
3.267%, 10/27/08 (C) 1,791 1,675
GSAMP Trust, Ser 2007-HE2,
Cl A2A
2.592%, 10/27/08 (C) 1,761 1,651
Lehman XS Trust, Ser 2005-5N,
Cl M4
4.957%, 10/27/08 (C) 725 13
Lehman XS Trust, Ser 2005-7N,
Cl M51
4.457%, 10/27/08 (C) 150 7
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 69
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------- --------------- ---------------
Lehman XS Trust, Ser 2005-7N,
Cl M7I
4.957%, 10/27/08 (C) $ 325 $ 6
Lehman XS Trust, Ser 2005-9N,
Cl M6
4.957%, 10/27/08 (C) 415 9
Lehman XS Trust, Ser 2006-12N,
Cl M4
3.757%, 10/27/08 (C) 270 33
Lehman XS Trust, Ser 2006-12N,
Cl M5
3.807%, 10/27/08 (C) 150 3
Lehman XS Trust, Ser 2006-2N,
Cl M5
4.357%, 10/27/08 (C) 240 5
Long Beach Mortgage Loan Trust, Ser
2005-WL2, Cl M1
3.677%, 10/27/08 (C) 700 524
Long Beach Mortgage Loan Trust, Ser
2006-WL1, Cl 1A3
3.537%, 10/27/08 (C) 560 425
Merrill Lynch Mortgage Investors, Ser
2007-HE2, Cl A2A
3.327%, 10/27/08 (C) 1,991 1,861
Merrill Lynch Mortgage Investors, Ser
2007-SL1, Cl A1
3.507%, 10/27/08 (C) 2,043 703
Morgan Stanley ABS Capital I, Ser
2005-HE6, Cl A2C
3.527%, 10/27/08 (C) 1,600 1,375
Ownit Mortgage Loan Asset-Backed
Certificates, Ser 2006-1, Cl AF1
5.424%, 12/25/36 (B) 223 221
RAAC Series, Ser 2007-SP1, Cl A1
3.357%, 10/27/08 (C) 1,941 1,732
Resmae Mortgage Loan Trust, Ser
2006-1, Cl A2B
3.357%, 10/27/08 (C) (D) 1,000 849
Saco I Trust, Ser 2005-10, Cl 2A1
3.467%, 10/27/08 (C) 2,415 1,986
Securitized Asset-Backed Receivables
Trust LLC, Ser 2005-HE1, Cl A3C
3.537%, 10/27/08 (C) 400 337
SLM Student Loan Trust, Ser 2006-C,
Cl C
3.209%, 12/15/08 (C) 1,000 654
Structured Asset Investment Loan Trust,
Ser 2003-BC4, Cl M2
6.207%, 10/27/08 (C) 154 111
Structured Asset Securities,
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------- --------------- ---------------
Ser 2007-BC1, Cl A4
3.337%, 10/27/08 (C) $ 1,400 $ 838
Wachovia Student Loan Trust, Ser 2006-1,
Cl B
3.040%, 10/27/08 (C) (D) 3,200 2,475
---------------
22,012
---------------
Total Asset-Backed Securities
(Cost $55,947) ($ Thousands) 37,861
---------------
CORPORATE OBLIGATIONS -- 0.0%
CONSUMER DISCRETIONARY -- 0.0%
Autozone
6.500%, 01/15/14 340 336
---------------
FINANCIALS -- 0.0%
Discover Financial Services
6.450%, 06/12/17 (C) 115 83
Shinsei Finance Cayman
6.418%, 07/20/09 (C) (D) 400 169
Washington Mutual Preferred Funding
6.534%, 03/29/49 (C) (D) 400 1
---------------
253
---------------
Total Corporate Obligations
(Cost $1,268) ($ Thousands) 589
---------------
CASH EQUIVALENT -- 5.7%
SEI Daily Income Trust, Prime Obligation
Fund, Cl A,
2.350%**++ 71,010,213 71,010
---------------
Total Cash Equivalent
(Cost $71,010) ($ Thousands) 71,010
---------------
U.S. TREASURY OBLIGATIONS -- 1.1%
U.S. Treasury Bills
1.933%, 12/04/08 (E) (F) 870 869
1.237%, 11/20/08 (E) (F) 3,609 3,608
U.S. Treasury Bond TIPS
3.000%, 07/15/12 4,558 4,744
2.375%, 04/15/11 (F) 1,469 1,486
2.375%, 01/15/25 (F) 3,110 3,013
---------------
Total U.S. Treasury Obligations
(Cost $14,012) ($ Thousands) 13,720
---------------
70 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Face Amount
($ Thousands)/
Shares/ Market Value
Description Contracts ($ Thousands)
- -------------------------------------------- --------------- ---------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.1%
FNMA
2.798%, 02/11/09 (F) $ 300 $ 297
2.611%, 02/02/09 (F) 2,800 2,772
2.621%, 12/10/08 (F) 1,650 1,642
FHLMC
2.717%, 02/09/09 (F) 1,021 1,010
2.102%, 11/03/08 (F) 8,379 8,364
---------------
Total U.S. Government Agency Obligations
(Cost $14,089) ($ Thousands) 14,085
---------------
Total Investments -- 119.2%
(Cost $1,659,619) ($ Thousands) $ 1,490,625
===============
COMMON STOCK SOLD SHORT -- (13.8)%
CONSUMER DISCRETIONARY -- (2.7)%
Amazon.com* (10,700) (779)
Apollo Group, Cl A* (24,545) (1,456)
Autozone* (648) (80)
Centex (97,100) (1,573)
Central European Media Enterprises, Cl A* (33,969) (2,222)
Choice Hotels International (32,900) (892)
Clear Channel Outdoor Holdings, Cl A* (26,300) (360)
CTC Media* (2,036) (31)
DR Horton (173,324) (2,257)
DreamWorks Animation SKG, Cl A* (47,866) (1,505)
Eastman Kodak (10,800) (166)
EW Scripps, Cl A (38,503) (272)
Gannett (18,643) (315)
Goodyear Tire & Rubber* (58,800) (900)
Hillenbrand (20,634) (416)
International Game Technology (2,000) (34)
KB Home (33,049) (650)
Lamar Advertising, Cl A* (6,664) (206)
Las Vegas Sands* (40,600) (1,466)
Lennar, Cl A (114,600) (1,741)
Liberty Media - Entertainment, Cl A* (8,480) (212)
Liz Claiborne (7,775) (128)
LKQ* (31,316) (531)
Marriott International, Cl A (2,800) (73)
MDC Holdings (5,790) (212)
MGM Mirage* (58,000) (1,653)
Newell Rubbermaid (86,500) (1,493)
News, Cl A (24,300) (291)
Nike, Cl B (12,900) (863)
OfficeMax (20,067) (178)
O'Reilly Automotive* (72,373) (1,937)
Orient-Express Hotels, Cl A (33,000) (796)
priceline.com* (16,500) (1,129)
Pulte Homes (124,000) (1,732)
Regal Entertainment Group, Cl A (78,009) (1,231)
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
Royal Caribbean Cruises (10,364) $ (215)
Saks* (57,800) (535)
Scientific Games, Cl A* (54,600) (1,257)
Scripps Networks Interactive, Cl A (1,800) (65)
Ticketmaster* (22,000) (236)
Toll Brothers* (26,267) (663)
Washington Post, Cl B (300) (167)
Weight Watchers International (31,176) (1,141)
---------------
(34,059)
---------------
CONSUMER STAPLES -- (0.4)%
Central European Distribution* (19,200) (872)
Dr Pepper Snapple Group* (34,199) (906)
Energizer Holdings* (23,424) (1,887)
Estee Lauder, Cl A (5,400) (270)
Hansen Natural* (8,744) (265)
JM Smucker (2,426) (123)
Smithfield Foods* (39,400) (626)
---------------
(4,949)
---------------
ENERGY -- (1.8)%
Atwood Oceanics* (947) (34)
BJ Services (27,600) (528)
Cabot Oil & Gas (32,900) (1,189)
Cameco (48,800) (1,089)
Chesapeake Energy (74,544) (2,673)
Delta Petroleum* (73,300) (995)
Denbury Resources* (4,700) (89)
Diamond Offshore Drilling (6,403) (660)
Dril-Quip* (15,400) (668)
Enbridge (46,200) (1,760)
Encore Acquisition* (3,718) (155)
Exterran Holdings* (19,800) (633)
Foundation Coal Holdings (10,800) (384)
Frontier Oil (5,400) (99)
Global Industries* (111,386) (773)
Goodrich Petroleum* (23,100) (1,007)
Hercules Offshore* (9,900) (150)
Holly (35,100) (1,015)
National Oilwell Varco* (13,100) (658)
Overseas Shipholding Group (3,703) (216)
PetroHawk Energy* (44,600) (965)
Range Resources (68,073) (2,918)
Rowan (3,400) (104)
SandRidge Energy* (10,500) (206)
Teekay Shipping (24,229) (639)
Tetra Technologies* (6,152) (85)
TransCanada (55,100) (1,992)
Transocean (3,700) (406)
Unit* (544) (27)
---------------
(22,117)
---------------
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 71
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
FINANCIALS -- (2.0)%
Affiliated Managers Group* (3,662) $ (303)
Alexandria Real Estate Equities+ (4,200) (473)
Arthur J. Gallagher (5,800) (149)
Assured Guaranty (54,700) (889)
AvalonBay Communities+ (5,800) (571)
Bancorpsouth (2,500) (70)
Brown & Brown (23,100) (499)
CapitalSource+ (87,771) (1,080)
Citigroup (105,000) (2,154)
Commerce Bancshares (6,200) (288)
Conseco* (83,069) (292)
Digital Realty Trust+ (1,500) (71)
Federal Realty Investment Trust+ (4,600) (394)
Fidelity National Financial, Cl A (76,712) (1,128)
First American (21,600) (637)
First Horizon National (214,511) (2,008)
Forest City Enterprises, Cl A (50,800) (1,558)
Goldman Sachs Group (4,039) (517)
HCC Insurance Holdings (14,400) (389)
Jefferies Group (50,219) (1,125)
Lazard, Cl A (12,700) (543)
Legg Mason (41,566) (1,582)
Markel* (600) (211)
Marshall & Ilsley (54,820) (1,105)
Mercury General (7,500) (411)
MF Global* (7,084) (31)
MGIC Investment (58,460) (411)
Morgan Stanley (8,116) (187)
MSCI, Cl A* (8,529) (205)
Nationwide Financial Services, Cl A (6,968) (344)
OneBeacon Insurance Group, Cl A (3,786) (80)
Sovereign Bancorp (69,095) (273)
Student Loan (872) (81)
TFS Financial (87,400) (1,094)
UDR+ (10,646) (278)
Ventas+ (60,088) (2,970)
Webster Financial (5,752) (145)
XL Capital, Cl A (54,802) (983)
---------------
(25,529)
---------------
HEALTH CARE -- (1.6)%
Advanced Medical Optics* (10,000) (178)
Amylin Pharmaceuticals* (3,467) (70)
BioMarin Pharmaceuticals* (85,708) (2,270)
Brookdale Senior Living (65,700) (1,445)
Celgene* (8,400) (532)
Henry Schein* (14,800) (797)
Hologic* (43,197) (835)
Lincare Holdings* (30,714) (924)
Millipore* (7,300) (502)
Mylan Laboratories* (152,099) (1,737)
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
NuVasive* (28,600) $ (1,411)
Omnicare (17,800) (512)
Onyx Pharmaceuticals* (24,900) (901)
Perrigo (42,729) (1,643)
Resmed* (18,800) (808)
Schering-Plough (28,800) (532)
Tenet Healthcare* (363,300) (2,016)
Varian Medical Systems* (2,700) (154)
VCA Antech* (57,400) (1,692)
Vertex Pharmaceuticals* (39,100) (1,300)
Waters* (371) (22)
---------------
(20,281)
---------------
INDUSTRIALS -- (1.4)%
Aecom Technology* (28,600) (699)
Alexander & Baldwin (11,600) (511)
Alliant Techsystems* (1,500) (141)
AMR* (111,517) (1,095)
Copa Holdings, Cl A (12,513) (407)
Corporate Executive Board (8,204) (256)
Corrections Corp of America* (922) (23)
Covanta Holding* (5,872) (141)
Delta Air Lines* (42,403) (316)
Dun & Bradstreet (9,552) (901)
Expeditors International of Washington (12,600) (439)
FTI Consulting* (51,972) (3,754)
General Cable* (18,400) (656)
IHS, Cl A* (13,900) (662)
John Bean Technologies* (7,722) (98)
Kennametal (33,500) (909)
McDermott International* (8,583) (219)
Oshkosh Truck (51,316) (675)
Pall (13,600) (468)
Pitney Bowes (76,584) (2,547)
Quanta Services* (50,300) (1,359)
Shaw Group* (13,900) (427)
Southwest Airlines (77,900) (1,130)
SPX (1,700) (131)
---------------
(17,964)
---------------
INFORMATION TECHNOLOGY -- (2.5)%
Alliance Data Systems* (9,676) (613)
Amphenol, Cl A (31,400) (1,260)
Ansys* (11,916) (451)
Applied Materials (43,700) (661)
Autodesk* (6,900) (231)
AVX (17,400) (177)
Cadence Design Systems* (200,700) (1,357)
Ciena* (25,045) (252)
Cognizant Technology Solutions, Cl A* (27,100) (619)
CommScope* (31,200) (1,081)
Concur Technologies* (31,300) (1,198)
72 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
EchoStar, Cl A* (12,900) $ (311)
Electronic Arts* (19,900) (736)
Equinix* (36,800) (2,556)
Fiserv* (21,052) (996)
Iron Mountain* (78,200) (1,909)
Itron* (9,423) (834)
Kla-Tencor (31,200) (987)
Lam Research* (48,962) (1,542)
Linear Technology (63,784) (1,956)
Micron Technology* (148,100) (600)
Molex (47,500) (1,066)
Motorola (21,800) (156)
NeuStar, Cl A* (14,000) (278)
Novell* (29,400) (151)
Novellus Systems* (57,800) (1,135)
Nuance Communications* (18,438) (225)
Nvidia* (79,000) (846)
ON Semiconductor* (101,700) (687)
Rambus* (129,942) (1,670)
Red Hat* (58,100) (876)
Salesforce.com* (28,700) (1,389)
SanDisk* (32,746) (640)
Tellabs* (24,500) (99)
Varian Semiconductor Equipment
Associates* (45,808) (1,151)
Vishay Intertechnology* (11,797) (78)
---------------
(30,774)
---------------
MATERIALS -- (0.9)%
Albemarle (6,600) (204)
Aptargroup (11,700) (458)
Bemis (1,840) (48)
Century Aluminum* (53,890) (1,492)
Eagle Materials (48,333) (1,081)
Greif, Cl A (7,138) (468)
Huntsman (46,800) (590)
Ivanhoe Mines* (155,100) (940)
Owens-Illinois* (15,808) (465)
Scotts Miracle-Gro, Cl A (19,321) (457)
Sealed Air (3,100) (68)
Silver Standard Resources* (31,800) (526)
Temple-Inland (8,000) (122)
Weyerhaeuser (63,704) (3,859)
---------------
(10,778)
---------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- --------------- ---------------
TELECOMMUNICATION SERVICES -- (0.3)%
Embarq (30,399) $ (1,233)
Frontier Communications (101,057) (1,162)
MetroPCS Communications* (43,600) (610)
NII Holdings* (23,400) (887)
---------------
(3,892)
---------------
UTILITIES -- (0.2)%
American Water Works (6,527) (140)
Constellation Energy Group (17,000) (413)
Mirant* (31,497) (576)
NSTAR (4,900) (164)
PPL (19,800) (733)
Vectren (3,800) (106)
---------------
(2,132)
---------------
Total Common Stock Sold Short
(Proceeds $(207,537)) ($ Thousands) (172,475)
---------------
A summary of the open futures contracts held by the Fund at September 30, 2008,
is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- --------------
10-Year Swap (283) Dec-2008 $ 576
30-Day FED Fund (12) Oct-2008 (19)
90-Day Euro$ 55 Mar-2009 (86)
90-Day Euro$ 153 Jun-2009 296
90-Day Euro$ 104 Sep-2009 163
90-Day Euro$ 4 Dec-2009 (8)
90-Day Euro$ (20) Mar-2010 (65)
90-Day Euro$ (119) Jun-2010 (346)
90-Day Euro$ (18) Mar-2011 (27)
90-Day Euro$ (5) Jun-2011 (1)
90-Day Euro$ (3) Sep-2011 0
90-Day Euro$ (9) Dec-2011 (7)
90-Day Euro$ (9) Mar-2012 (8)
90-Day Euro$ (4) Jun-2012 (1)
90-Day Euro$ (4) Sep-2012 (2)
S&P Composite Index 713 Dec-2008 (14,732)
U.S. 10-Year Note (207) Dec-2008 198
U.S. 2-Year Note 241 Dec-2008 290
U.S. 5-Year Note 68 Dec-2008 13
U.S. Long Treasury Bond (93) Dec-2008 57
--------
$(13,709)
========
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 73
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2008
A summary of outstanding swap agreements held by the Fund at September 30, 2008,
is as follows (see Note 2 in Notes to Financial Statements):
CREDIT DEFAULT SWAPS
NET UNREALIZED
(PAYS)/ NOTIONAL APPRECIATION
BUY/SELL RECEIVES TERMINATION AMOUNT (DEPRECIATION)
COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE DATE ($ THOUSANDS) ($ THOUSANDS)
- ------------------- ----------------------------------------- ---------- -------- ----------- ------------- --------------
Bank Of America Alcan Inc., 4.875%, 09/15/12 Buy (0.35)% 12/20/13 $ 750 $ 2
Bank Of America Alcan Inc., 4.875%, 09/15/12 Buy (0.32) 03/20/14 650 3
Goldman Sachs Anheuser-Busch Cos Inc., 5.625%, 10/01/10 Buy (1.08) 09/20/13 750 (1)
Barclays Anheuser-Busch Cos Inc., 5.625%, 10/01/10 Buy (1.08) 09/20/13 750 (2)
Bank Of America Autozone Inc., 5.875%, 10/15/20 Buy (0.44) 12/20/11 750 6
JPMorgan Chase Bank Autozone Inc., 5.875%, 10/15/20 Buy (0.46) 12/20/11 750 6
Bank Of America Black & Decker Corp., 7.125%, 06/01/11 Buy (0.55) 12/20/11 750 7
JPMorgan Chase Bank Black & Decker Corp., 7.125%, 06/01/11 Buy (0.55) 12/20/11 750 17
Goldman Sachs Borgwarner Inc., 6.50%, 02/15/09 Buy (0.66) 03/20/13 1,250 8
Goldman Sachs Borgwarner Inc., 6.50%, 02/15/09 Buy (0.80) 03/20/13 1,000 1
Bank Of America Campbell Soup Co., 4.875, 10/01/13 Buy (0.20) 06/20/14 1,150 5
JPMorgan Chase Bank Carnival Corp., 6.65%, 01/15/28 Buy (0.22) 06/20/12 650 19
Goldman Sachs CDX.NA.LG.9 Index Buy (0.60) 12/20/12 1,250 10
Goldman Sachs Centurytel Inc., 6.00%, 04/01/17 Buy (1.10) 03/20/13 1,250 18
JPMorgan Chase Bank CMBX.NA.A 2 Index Buy (0.25) 03/15/49 1,000 235
Goldman Sachs CMBX.NA.A 3 Index Buy (0.62) 12/13/49 1,000 13
Bank Of America Computer Science Corp., 5.00%, 02/15/13 Buy (0.65) 06/20/13 1,500 (6)
Bank Of America Darden Restaurants Inc., 7.125%, 02/01/16 Buy (0.45) 12/20/11 750 27
Merrill Lynch Dow Chemical Inc., 6.00%, 10/01/12 Buy (0.25) 12/20/13 750 21
JPMorgan Chase Bank Dow Chemical Inc., 6.00%, 10/01/12 Buy (0.26) 12/20/13 750 9
JPMorgan Chase Bank Gap Inc., 8.80%, 12/15/08 Buy (1.18) 12/20/11 750 13
Bank Of America Gap Inc., 8.80%, 12/15/08 Buy (1.18) 12/20/11 750 12
JPMorgan Chase Bank Hasbro Inc., 2.75%, 12/01/21 Buy (0.39) 12/20/11 750 15
Bank Of America Johnson Controls Inc., 7.125%, 07/15/17 Buy (0.37) 12/20/13 750 38
Bank Of America Johnson Controls Inc., 7.125%, 07/15/17 Buy (0.39) 12/20/13 750 17
JPMorgan Chase Bank Jones Apparel Group., 5.125%, 11/15/14 Buy (0.77) 12/20/11 750 36
Merrill Lynch Kroger Co. 5.50%, 02/01/13 Buy (0.64) 03/20/13 1,500 (5)
Bank Of America Lowes Companies Inc., 8.25%, 06/01/10 Buy (0.95) 03/20/13 1,000 (12)
Bank Of America Lowes Companies Inc., 8.25%, 06/01/10 Buy (0.60) 09/20/13 1,250 6
Merrill Lynch Lowes Companies Inc., 8.25%, 06/01/10 Buy (0.13) 12/20/11 750 8
Merrill Lynch Lubrizol Corp., 7.25%, 06/15/25 Buy (0.45) 12/20/11 750 4
JPMorgan Chase Bank Lubrizol Corp., 7.25%, 06/15/35 Buy (0.45) 12/20/11 750 4
Bank Of America Lubrizol Corp., 7.25%, 06/15/25 Buy (0.81) 09/20/13 500 --
Bank Of America Masco Corp., 5.875%, 07/15/12 Buy (0.73) 12/20/13 750 39
Merrill Lynch MDC Holdings Inc., 5.50%, 05/15/13 Buy (0.90) 12/20/11 750 10
Bank Of America Meadwestavaco Corp., 6.85%, 04/01/12 Buy (0.48) 12/20/11 750 19
Bank Of America MGIC Investment Corp., 6.00%, 11/01/15 Buy (0.35) 12/20/13 750 252
JPMorgan Chase Bank MGIC Investment Corp., 6.00%, 11/01/15 Buy (0.35) 12/20/13 750 213
JPMorgan Chase Bank Nordstrom Inc., 6.95%, 03/15/28 Buy (0.28) 12/20/13 750 19
Merrill Lynch Nordstrom Inc., 6.95%, 03/15/28 Buy (0.28) 12/20/13 750 19
Bank Of America Nucor Corp., 4.875%, 10/01/12 Buy (0.22) 12/20/11 750 23
JPMorgan Chase Bank Nucor Corp., 4.875%, 10/01/12 Buy (0.22) 12/20/11 750 10
Bank Of America Pitney Bowes Inc., 4.625%, 10/01/12 Buy (0.14) 12/20/11 1,500 18
JPMorgan Chase Bank PMI Group Inc., 6.00%, 09/15/16 Buy (0.35) 12/20/13 750 283
Bank Of America PMI Group Inc., 6.00%, 09/15/16 Buy (0.35) 12/20/13 750 282
JPMorgan Chase Bank PPG Industries Inc., 7.05%, 08/15/09 Buy (0.20) 12/20/11 750 12
JPMorgan Chase Bank Radian Group Inc., 7.75%, 06/01/11 Buy (0.39) 12/20/13 750 363
Bank Of America Radian Group Inc., 7.75%, 06/01/11 Buy (0.39) 12/20/13 750 395
Merrill Lynch RR Donnelley & Sons, 4.95%, 04/01/14 Buy (0.69) 12/20/11 750 17
Bank Of America Safeway Inc., 5.80%, 08/15/12 Buy (0.59) 03/20/13 1,250 1
JPMorgan Chase Bank Safeway Inc., 5.80%, 08/15/12 Buy (0.64) 03/20/13 1,250 (1)
Bank Of America Southwest Airlines Co., 6.50%, 03/01/12 Buy (1.40) 06/20/13 750 2
Merrill Lynch Southwest Airlines Co., 6.50%, 03/01/12 Buy (0.27) 12/20/11 750 43
JPMorgan Chase Bank Southwest Airlines Co., 6.50%, 03/01/12 Buy (0.27) 12/20/11 750 43
Bank Of America The Limited Inc., 6.125%, 12/01/12 Buy (0.48) 12/20/11 750 46
Bank Of America TJX Companies Inc., 7.45%, 12/15/09 Buy (0.19) 12/20/11 750 4
JPMorgan Chase Bank Washington Mutual Co., 5.25%, 09/15/17 Buy (0.32) 03/20/12 700 244
Bank Of America Weyerhaeuser Company, 6.75%, 03/15/12 Buy (0.45) 12/20/11 350 11
Merrill Lynch Weyerhaeuser Company, 6.75%, 03/15/12 Buy (0.45) 03/20/12 750 27
JPMorgan Chase Bank Whirlpool Corp., 7.75%, 07/15/16 Buy (0.34) 12/20/11 750 28
Goldman Sachs Whirlpool Corp., 7.75%, 07/15/16 Buy (1.02) 09/20/13 1,000 5
------
$2,961
======
74 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
TOTAL RETURN SWAPS
COUNTERPARTY REFERENCE ENTITY/OBLIGATION FUND PAYS FUND RECEIVES TERMINATION DATE
- ------------------- ----------------------------- -------------------------- ---------------------------------- ----------------
Bank Of America BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Plus 0 bps 10/01/08
Bank Of America BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Minus 10 bps 10/31/08
Bank Of America BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Minus 115 bps 12/31/08
Bank Of America BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Minus 95 bps 01/30/09
JPMorgan Chase Bank BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Minus 150 bps 03/31/09
JPMorgan Chase Bank BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread Minus 70 bps 10/31/08
Merrill Lynch S&P 500 Total Return Index 3-Month LIBOR Minus 12 bps Price Return 12/25/08
NET UNREALIZED
NOTIONAL AMOUNT DEPRECIATION
COUNTERPARTY ($ THOUSANDS) ($ THOUSANDS)
- ------------------- --------------- --------------
Bank Of America $ 5,000 $ (383)
Bank Of America 18,000 (1,376)
Bank Of America 12,000 (918)
Bank Of America 13,000 (994)
JPMorgan Chase Bank 5,000 --
JPMorgan Chase Bank 12,000 (918)
Merrill Lynch 23,344 (1,873)
-------
$(6,462)
=======
Percentages are based on Net Assets of $1,250,704 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2008.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
(A) All or a portion of this security is held as collateral for securities sold
short. The total value of collateral for securities sold short at September
30, 2008 was $543,973 ($ Thousands).
(B) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on September 30, 2008. The coupon on a step bond changes on
a specific date.
(C) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2008.
(D) Securities sold within terms of a private placement memorandum, exempt from
registration under Section 144A of the Securities Act of 1933, as amended,
and may not be sold to dealers in that program or other "accredited
investors." These securities have been determined to be liquid under
guidelines established by the Board of Trustees.
(E) Security, or portion thereof has been pledged as collateral on open futures
contracts.
(F) Zero Coupon Bond -- The rate reported on the Schedule of Investments is the
effective yield at time of purchase.
ABS -- Asset-Based Security
ADR -- American Depositary Receipt
ARM -- Adjustable Rate Mortgage
Cl -- Class
CMBS -- Commercial Mortgage-Backed Securities
CMO -- Collateralized Mortgage Obligation
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only -- face amount represents notional amount
LLC -- Limited Liability Company
NIM -- Net Interest Margin
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
TIPS -- Treasury Inflation Protected Security
Amounts designated as "--" are $0 or rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 75
Statement of Assets and Liabilities ($ Thousands)
September 30, 2008
LARGE CAP DIVERSIFIED
ALPHA FUND
---------------------
ASSETS:
Investments at value+ $ 1,419,615
Affiliated investment, at value++ 71,010
Receivable for investment securities sold 81,775
Receivable for fund shares sold 19,249
Receivable for variation margin 10,190
Dividends and interest receivable 2,171
Restricted cash held for securities sold short 1,862
Prepaid expenses 10
-------------------
Total Assets 1,605,882
-------------------
LIABILITIES:
Payable for investment securities purchased 173,874
Payable for securities sold short++++ 172,475
Swap contracts, at value+++++ 2,889
Margin call 2,050
Payable to custodian 1,503
Payable for variation margin 684
Payable for fund shares redeemed 606
Investment advisory fees payable 430
Administration fees payable 381
Shareholder servicing fees payable Class A 193
Overdraft of foreign currency, at value+++ 17
Chief Compliance Officer fees payable 4
Accrued expense payable 72
-------------------
Total Liabilities 355,178
-------------------
Net Assets $ 1,250,704
-------------------
+ Cost of investments and repurchase agreements 1,588,609
++ Cost of affiliated investments 71,010
+++ Cost of foreign currency 19
++++ Proceeds from securities sold short (207,537)
+++++ Premiums received/(paid) 612
NET ASSETS:
Paid-in Capital -- (unlimited authorization -- no par value) $ 1,588,027
Undistributed net investment income 2,555
Accumulated net realized loss on investments, securities sold short,
option contracts, futures, swap contracts and foreign currency (188,737)
Net unrealized depreciation on investments, affiliated
investments, securities sold short and option contracts (133,932)
Net unrealized depreciation on futures contracts (13,709)
Net unrealized depreciation on swap contracts (3,501)
Net unrealized appreciation on forward foreign currency
contracts, foreign currencies and translation of other assets and
liabilities denominated in foreign currencies 1
-------------------
Net Assets $1,250,704
-------------------
Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 8.23
($1,250,304,149 /
151,982,418 shares)
-------------------
Net Asset Value, Offering and Redemption Price Per Share -- Class I $ 8.22
($400,332 /
48,676 shares)
-------------------
The accompanying notes are an integral part of the financial statements.
76 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Statement of Operations ($ Thousands)
For the year ended September 30, 2008
LARGE CAP
DIVERSIFIED
ALPHA FUND
-----------
INVESTMENT INCOME:
Dividends $ 24,407
Dividends from Affiliated Investments* 4,264
Interest Income 9,568
Less: Foreign Taxes Withheld (38)
---------
Total Investment Income 38,201
---------
EXPENSES:
Investment Advisory Fees 5,947
Administration Fees 5,314
Shareholder Servicing Fees (A) 3,795
Trustee Fees 23
Chief Compliance Officer Fees 4
Shareholder Servicing Fees (I) 1
Administration Servicing Fees (I) 1
Dividend Expense on Short Sales 4,322
Interest Expense on Short Sales 1,697
Custodian/Wire Agent Fees 96
Printing Fees 93
Professional Fees 57
Registration Fees 11
Other Expenses 49
---------
Total Expenses 21,410
---------
Less:
Waiver of Investment Advisory Fees (50)
Waiver of Shareholder Servicing Fees (A) (916)
---------
Net Expenses 20,444
---------
NET INVESTMENT INCOME 17,757
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments (106,881)
Securities Sold Short 26,844
Futures Contracts (56,638)
Written Options 7
Swap Contracts (27,127)
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments (316,639)
Securities Sold Short 39,397
Futures Contracts (24,211)
Written Options 35
Swap Contracts (1,055)
Foreign Currency and Translation of Other Assets and
Liabilities Denominated in Foreign Currencies 2
---------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(448,509)
---------
* See Note 3 in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 77
Statement of Changes in Net Assets ($ Thousands)
For the years ended September 30,
LARGE CAP DIVERSIFIED
ALPHA FUND
-----------------------
2008 2007
---------- ----------
OPERATIONS:
Net Investment Income $ 17,757 $ 16,920
Net Realized Gain (Loss) from Investments,
Securities Sold Short, Futures Contracts,
Written Options and Swap Contracts (163,795) 59,820
Net Realized Loss on Foreign Currency
Transactions -- (1)
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Affiliated
Investments, Securities Sold Short,
Futures Contracts, Written Options and
Swap Contracts (302,473) 108,322
Net Change in Unrealized Appreciation on
Foreign Currency and Translation of Other
Assets and Liabilities Denominated in
Foreign Currency 2 1
---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations (448,509) 185,062
---------- ----------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (19,433) (15,519)
Class I (5) (2)
Net Realized Gains:
Class A (63,042) (7,983)
Class I (19) --
---------- ----------
Total Dividends and Distributions (82,499) (23,504)
---------- ----------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 510,287 731,868
Reinvestment of Dividends & Distributions 81,901 23,418
Cost of Shares Redeemed (465,367) (344,582)
---------- ----------
Increase in Net Assets Derived from Class A
Transactions 126,821 410,704
---------- ----------
Class I:
Proceeds from Shares Issued 61 758
Reinvestment of Dividends & Distributions 24 3
Cost of Shares Redeemed (35) (304)
---------- ----------
Increase in Net Assets Derived from Class I
Transactions 50 457
---------- ----------
Increase in Net Assets Derived from Capital
Share Transactions 126,871 411,161
---------- ----------
Net Increase (Decrease) in Net Assets (404,137) 572,719
---------- ----------
NET ASSETS:
BEGINNING OF YEAR 1,654,841 1,082,122
---------- ----------
END OF YEAR $1,250,704 $1,654,841
---------- ----------
UNDISTRIBUTED NET INVESTMENT INCOME INCLUDED
IN NET ASSETS AT YEAR END $ 2,555 $ 4,550
---------- ----------
(1) See Note 4 in Notes to Financial Statements for additional information.
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
78 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Financial Highlights
For the years or period ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
Net
Realized
and Distributions Total
Net Asset Unrealized Dividends from Dividends,
Value, Net Gains from Net Realized Distributions
Beginning Investment (Losses) on Total from Investment Capital Return and Return
of Period Income(1) Securities Operations Income Gains of Capital of Capital
--------- ---------- ----------- ---------- ---------- ------------- ---------- -------------
LARGE CAP DIVERSIFIED ALPHA FUND
Class A
2008 $11.78 $0.13 $(3.11) $(2.98) $(0.13) $(0.44) $-- $(0.57)
2007 10.38 0.14 1.47 1.61 (0.13) (0.08) -- (0.21)
2006(2) 10.00 0.10 0.34 0.44 (0.06) -- -- (0.06)
Class I
2008 $11.78 $0.09 $(3.11) $(3.02) $(0.10) $(0.44) $-- $(0.54)
2007 10.38 0.11 1.48 1.59 (0.11) (0.08) -- (0.19)
2006(3) 10.28 0.01 0.09 0.10 -- -- -- --
Ratio of
Ratio of Expenses
Expenses to Average
to Average Net Assets Ratio of Net
Ratio of Net Assets (Excluding Investment
Net Asset Net Assets Expenses (Excluding Fees Paid Income Portfolio
Value, End Total End of Period to Average Fees Paid Indirectly to Average Turnover
of Period Return+ ($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+
---------- ------- ------------- ---------- ----------- ------------ ------------ ---------
LARGE CAP DIVERSIFIED ALPHA FUND
Class A
2008 $ 8.23 (26.42)% $1,250,304 1.35%(5) 1.35%(5) 1.41% 1.17% 93%
2007 11.78 15.64 1,654,324 1.21(4) 1.21(4) 1.29 1.25 84
2006(2) 10.38 4.44 1,082,101 1.09++ 1.09++ 1.16 1.18 72
Class I
2008 $ 8.22 (26.70)% $ 400 1.60%(5) 1.60%(5) 1.66% 0.92% 93%
2007 11.78 15.42 517 1.46(4) 1.46(4) 1.54 0.99 84
2006(3) 10.38 0.97 21 1.08++ 1.08++ 1.15 1.12 72
+ Returns and turnover rates are for the period indicated and have not been
annualized.
++ The expense ratios include dividend expense and interest expense on
securities sold short. Had these expenses been excluded the ratios would
have been 0.95% and 0.75% for Class A and Class I Shares, respectively.
(1) Per share net investment income calculated using average shares.
(2) Commenced operations on December 14, 2005. All ratios for the period have
been annualized.
(3) Commenced operations on September 14, 2006. All ratios for the period have
been annualized.
(4) The expense ratios include dividend expense and interest expense on
securities sold short. Had these expenses been excluded the ratios would
have been 0.94% and 1.20% for Class A and Class I Shares, respectively.
(5) The expense ratios include dividend expense and interest expense on
securities sold short. Had these expenses been excluded the ratios would
have been 1.15% and 1.40% for Class A and Class I, respectively.
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 79
Notes to Financial Statements
September 30, 2008
1. ORGANIZATION
SEI Institutional Managed Trust (the "Trust") is organized as a Massachusetts
business trust under a Declaration of Trust dated October 20, 1986.
The Trust is registered under the Investment Company Act of 1940, as amended, as
an open-end investment company with 19 Funds: Large Cap Value, Large Cap Growth,
Tax-Managed Large Cap, Large Cap Diversified Alpha, S&P 500 Index, Small Cap
Value, Small Cap Growth, Tax-Managed Small Cap, Small/Mid Cap Diversified Alpha,
Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Tax-Managed Managed
Volatility, Real Estate, Enhanced Income, Core Fixed Income, High Yield Bond,
Real Return Plus and Prime Obligation Funds (each a "Fund," collectively the
"Funds"). The Trust is registered to offer: Class A shares of the Funds; Class E
shares of the S&P 500 Fund; Class I shares of the Large Cap Value, Large Cap
Growth, Large Cap Diversified Alpha, S&P 500 Index, Small Cap Value, Small Cap
Growth, Small/Mid Cap Diversified Alpha, Mid-Cap, U.S. Managed Volatility,
Global Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, High
Yield Bond and Real Return Plus Funds; and Class Y shares of the Tax-Managed
Large Cap Fund. The assets of each Fund are segregated, and a shareholder's
interest is limited to the Fund in which shares are held. The Funds'
prospectuses provide a description of each Fund's investment objective,
policies, and strategies.
As of September 30, 2008, the Real Return Plus and Prime Obligation Funds had
not yet commenced operations.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by
the Fund.
USE OF ESTIMATES -- The preparation of financial statements, in conformity with
U.S. generally accepted accounting principles 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 (foreign or domestic) 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 Fund are provided daily by recognized
independent pricing agents. If a security price cannot be obtained from an
independent, third-party pricing agent, the Fund seeks 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 Fund's Board of
Trustees. The Fund's Fair Value Procedures are implemented through a Fair Value
Committee (the "Committee") designated by the Fund's 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.
For securities that principally trade on a foreign market or exchange, a
significant gap in time can exist between the time of a particular security's
last trade and the time at which the Fund calculates its net asset value. The
closing prices of such securities may no longer reflect their market value at
the time the Fund calculates net asset value if an event that could materially
affect the value of those securities (a "Significant Event") has occurred
between the time of the security's last close and the time that the Fund
calculates net asset value. A Significant Event may relate to a single issuer or
to an entire market sector. If the adviser or sub-adviser of the Fund becomes
aware of a Significant Event that has occurred with respect to a security or
group of securities after the closing of the exchange or market on which the
security or securities principally trade, but before the time at which the Fund
calculates net asset value, it may request that a Fair Value Committee Meeting
be called. In addition, the Fund's administrator monitors price movements among
certain selected indices, securities and/or baskets of securities that may be an
indicator that the closing prices received earlier from foreign exchanges or
markets may not reflect market value at the time the Fund calculates net asset
value. If price movements in a monitored index or security exceed levels
established by the administrator, the administrator notifies the adviser or
sub-adviser for the Fund holding the relevant securities that such limits have
been exceeded. In such event, the adviser or sub-adviser makes the determination
whether the Fair Value Committee Meeting should be called based on the
information provided.
Options and warrants for which the primary market is a national securities
exchange are valued at the last sale price on the exchange on which they are
traded, or, in the absence of any sale, at the closing
80 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
bid price. Options and warrants not traded on a national securities exchange are
valued at the last quoted bid price.
SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
recorded on the trade date. Costs used in determining net realized capital gains
and losses on the sale of securities are on the basis of specific
identification. Dividend income is recognized on the ex-dividend date, and
interest income is recognized using the accrual basis of accounting. Income from
payment-in-kind securities is recorded daily based on the effective interest
method of accrual.
Distributions received on securities that represent a return of capital or
capital gain are recorded as a reduction of cost of investments and/or as a
realized gain. The Trust estimates the components of distributions received that
may be considered nontaxable distributions or capital gain distributions.
Amortization and accretion is calculated using the scientific interest method,
which approximates the effective interest method over the holding period of the
security. Amortization of premiums and discounts is included in interest income.
REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase
agreements are held by the Fund's custodian bank until the repurchase date of
the repurchase agreement. The Fund also invests 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 the
repurchase date of the repurchase agreement. Provisions of the repurchase
agreements and the Trust's policies require that the market value of the
collateral, including accrued interest thereon, is sufficient in the event of
default by the counterparty. If the counterparty defaults and the value of the
collateral declines, or if the counterparty enters into an insolvency
proceeding, realization of the collateral by the Fund may be delayed or limited.
COMPENSATING BALANCES -- Funds with cash overdrafts in excess of $100,000 are
required to leave 112% in compensating balance with US Bank, the custodian of
the Trust, on the following day. Funds with positive cash balances in excess of
$100,000 are allowed to overdraw 90% of the balance with US Bank on the
following day.
EXPENSES -- Expenses that are directly related to the Fund are charged directly
to the Fund. Other operating expenses of the Funds are prorated to the Funds on
the basis of relative daily net assets.
CLASSES -- Class-specific expenses are borne by that class of shares. Income,
realized and unrealized gains/losses and non class-specific expenses are
allocated to the respective class on the basis of relative daily net assets.
FOREIGN CURRENCY TRANSLATION -- The books and records of the Fund are maintained
in U.S. dollars on the following basis:
(I) market value of investment securities, assets and liabilities at the current
rate of exchange; and
(II) purchases and sales of investment securities, income and expenses at the
relevant rates of exchange prevailing on the respective dates of such
transactions.
The Fund does not isolate that portion of gains and losses on investments in
equity securities that is due to changes in the foreign exchange rates from that
which is due to changes in market prices of equity securities.
The Fund reports certain foreign-currency-related transactions as components of
realized gains for financial reporting purposes, whereas such components are
treated as ordinary income for Federal income tax purposes.
FUTURES CONTRACTS -- The Fund utilized futures contracts during the year or
period ended September 30, 2008. The Fund's investments in futures contracts are
designed to enable the Fund to more closely approximate the performance of its
benchmark indices. Initial margin deposits of cash or securities are made upon
entering into futures contracts. The contracts are marked to market daily and
the resulting changes in value are accounted for as unrealized gains and losses.
Variation margin payments are paid or received, depending upon whether
unrealized gains or losses 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 of entering into futures contracts include the possibility that there will
be an imperfect price correlation between the futures and the underlying
securities. Second, it is possible that a lack of liquidity for futures
contracts could exist in the secondary market, resulting in an inability to
close a position prior to its maturity date. Third, the futures contract
involves the risk that the Fund could lose more than the original margin deposit
required to initiate a futures transaction.
Finally, the risk exists that losses could exceed amounts disclosed on the
Statement of Assets and Liabilities.
OPTIONS/SWAPTIONS WRITING/PURCHASING -- The Fund may invest in financial
options/swaptions contracts for the purpose of hedging its existing fund
securities, or securities that the Fund intends to purchase, against
fluctuations in fair value caused by changes in prevailing market interest
rates. When the Fund writes or purchases an option/swaption, an amount equal to
the premium received or paid by the Fund is recorded as a liability or an asset
and is subsequently adjusted to the current market value of the option/swaption
written or purchased. Premiums received or paid from writing or purchasing
options/swaptions which expire unexercised are treated by the Fund on the
expiration date as realized gains or losses. The difference between the premium
and the amount paid or received on effecting a closing purchase or sale
transaction, including brokerage commissions, is also treated as a realized gain
or loss. If an option/swaption is exercised, the premium paid or received is
added to the cost of the purchase or proceeds from the sale in determining
whether the Fund has realized a gain
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 81
Notes to Financial Statements (Continued)
September 30, 2008
or a loss on investment transactions. The Large Cap Diversified Alpha Fund had
option/swaption contracts as of September 30, 2008 as disclosed in the Fund's
Schedule of Investments.
The risk in writing a call option/swaption is that the Fund gives up the
opportunity for profit if the market price of the security increases. The risk
in writing a put option/swaption is that the Fund may incur a loss if the market
price of the security decreases and the option/swaption is exercised. The risk
in purchasing an option/swaption is that the Fund pays a premium whether or not
the option/swaption is exercised. The Fund also has the additional risk of being
unable to enter into a closing transaction at an acceptable price if a liquid
secondary market does not exist. Option/swaption contracts also involve the risk
that they may not work as intended due to unanticipated developments in market
conditions or other causes.
Finally, the risk exists that losses on written options could exceed amounts
disclosed on the Statement of Assets and Liabilities.
Written option transactions entered into during the year ended September 30,
2008 are summarized as follows:
Number of Premium
Contracts ($ Thousands)
--------- -------------
Balance at the beginning of period 43 $ 7
Written -- --
Expired -- --
Closing Buys (43) (7)
--- ---
Balance at the end of period -- --
=== ===
SECURITIES SOLD SHORT -- As consistent with the Fund's investment objectives,
the Fund may engage in short sales. Short sales are transactions under which the
Fund sells a security it does not own. To complete such a transaction, the Fund
must borrow the security to make delivery to the buyer. The Fund then is
obligated to replace the security borrowed by purchasing the security at the
market price at the time of the replacement. The price at such time may be more
or less than the price at which the security was sold by the Fund. Until the
security is replaced, the Fund is required to pay the lender amounts equal to
any dividends or interest that accrue during the period of the loan. Dividends
and interest are shown as an expense for financial reporting purposes. To borrow
the security, the Fund also may be required to pay a premium, which would
decrease proceeds of the security sold. The proceeds of the short sale are
retained by the broker, to the extent necessary to meet margin requirements,
until the short position is closed out. A gain, limited to the price at which
the Fund sold the security short, or a loss, unlimited in size, will be
recognized upon the close of a short sale.
Until a Fund closes its short position or replaces the borrowed security, the
Fund will: (a) maintain a segregated account containing cash or liquid
securities at such a level that (i) the amount deposited in the account plus the
amount deposited with the broker as collateral will equal the current value of
the security sold short; and (ii) the amount deposited in the segregated account
plus the amount deposited with the broker as collateral will not be less than
the market value of the security at the time the security was sold short, or (b)
otherwise cover the Fund's short positions.
SWAP AGREEMENTS -- A swap agreement is a two-party contract under which an
agreement is made to exchange returns from pre-determined investments or
instruments, including a particular interest rate, foreign currency, or "basket"
of securities representing a particular index. Interest rate swaps involve the
exchange by the Fund with another party of their respective commitments to pay
or receive interest (e.g., an exchange of floating rate payments for fixed rate
payments) with respect to a notional amount of principal. Credit-default swaps
involve periodic payments by the Fund or counterparty based on a specified rate
multiplied by a notional amount assigned to an underlying debt instrument or
group of debt instruments in exchange for the assumption of credit risk on the
same instruments. In the event of a credit event, usually in the form of a
credit rating downgrade, the party receiving periodic payments (i.e. floating
rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to
the recovery rate used to settle the contracts. The recovery rate is a function
of how many credit default swap investors wish to deliver the security or
receive the security. The recovery rate is determined through an auction
process. Total return swaps allow an investor to benefit from the cash flow
without ever actually owning the underlying security. The receiver must pay any
decline in value to the payer at the end of the total return swap. However, the
investor does not need to make a payment if there is no decline in price.
Payments can be made on various indices, bonds (i.e. mortgage backed securities,
bank debt and corporate), loans or commodities. The value of a total return swap
is equal to the change in value of the underlying asset versus the accrued
income payment based on LIBOR or some other form of indices on the notional
amount. Interest rate swaps involve the exchange by the Fund with another party
of their respective commitments to pay or receive interest (e.g., an exchange of
floating rate payments for fixed rate payments) with respect to a notional
amount of principal to manage the Fund's exposure to interest rates. Payments
received or made are recorded as realized gains or loss. The Fund could be
exposed to credit or market risk due to unfavorable changes in the fluctuation
of interest rates or if the counterparty defaults on its obligation to perform.
Risk of loss may exceed amounts recognized on the statement of assets and
liabilities. Interest rate swap contracts outstanding at period end, if any, are
listed after the Fund's portfolio. In connection with swap agreements securities
may be set aside as collateral by the Fund's custodian. The Fund may enter into
swap agreements in order to, among other things, change the maturity or duration
of the investment portfolio, to protect the Fund's value from changes in
interest rates, or to expose the Fund to a different security or market.
Swaps are marked-to-market daily based upon quotations from market makers and
the resulting changes in market values, if any, are recorded as an unrealized
gain or loss in the Statement of Operations. Net payments of interest are
recorded as realized gains or losses.
82 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
Entering into swap agreements involves, to varying degrees, elements of credit
and market risk in excess of the amounts recognized on the Statement of Assets
and Liabilities. Such risks involve the possibility that there will be no liquid
market for these agreements, that the counterparty to the agreement may default
on its obligation to perform and that there may be unfavorable changes in the
fluctuation of interest rates. Risks also arise from potential losses from
adverse market movements.
COLLATERALIZED DEBT OBLIGATIONS -- The Fund may invest in collateralized debt
obligations ("CDOs"), which include collateralized loan obligations ("CLOs") and
other similarly structured securities. CLOs are a type of asset-backed
securities. A CLO is a trust typically collateralized by a pool of loans, which
may include, among others, domestic and foreign senior secured loans, senior
unsecured loans, and subordinate corporate loans, including loans that may be
rated below investment grade or equivalent unrated loans. CDOs may charge
management fees and administrative expenses.
For CDOs, the cashflows from the trust are split into two or more portions,
called tranches, varying in risk and yield. The riskiest portion is the "equity"
tranche which bears the bulk of defaults from the bonds or loans in the trust
and serves to protect the other, more senior tranches from default in all but
the most severe circumstances. Since it is partially protected from defaults, a
senior tranche from a CDO trust typically has a higher rating and lower yield
than its underlying securities, and can be rated investment grade. Despite the
protection from the equity tranche, CDO tranches can experience substantial
losses due to actual defaults, increased sensitivity to defaults due to
collateral default and disappearance of protecting tranches, market anticipation
of defaults, as well as aversion to CDO securities as a class.
The risks of an investment in a CDO depend largely on its class and its
collateral securities. Normally, CLOs and other CDOs are privately offered and
sold, and thus, are not registered under the securities laws. As a result,
investments in CDOs may be characterized by the Fund as illiquid securities;
however, an active dealer market may exist for CDOs, allowing a CDO to qualify
for Rule 144A transactions. In addition to the normal risks associated with
fixed income securities (e.g., interest rate risk and default risk), CDOs carry
additional risks including, but are not limited to: (i) the possibility that
distributions from collateral securities will not be adequate to make interest
or other payments; (ii) the quality of the collateral may decline in value or
default; (iii) the Fund may invest in CDOs that are subordinate to other
classes; and (iv) the complex structure of the security may not be fully
understood at the time of investment and may produce disputes with the issuer or
unexpected investment results.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment
income are declared and paid to shareholders quarterly for the Large Cap
Diversified Alpha Fund. Any net realized capital gains on sales of securities
are distributed to shareholders at least annually. Dividends and distributions
are recorded on the ex-dividend date.
The Large Cap Diversified Alpha Fund utilized earnings and profits distributed
to shareholders on redemption of shares as a part of the dividends paid
deduction for income tax purposes.
3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
ADMINISTRATION AND TRANSFER AGENCY AGREEMENT -- The Trust and SEI Investments
Global Funds Services (the "Administrator") are parties to an amended and
restated Administration and Transfer Agency Agreement dated December 10, 2003
under which the Administrator provides administrative and transfer agency
services to the Fund for an annual fee of 0.35% of the average daily net assets
of the Large Cap Diversified Alpha Fund. The Administrator has agreed
voluntarily to waive all or a portion of its fee in order to limit the operating
expenses of the Fund. Any such waiver is voluntary and may be terminated at any
time at the Administrator's sole discretion.
INVESTMENT ADVISORY AGREEMENT -- SEI Investments Management Corporation ("SIMC")
serves as investment adviser (the "Adviser") to the Fund. In connection with
serving as Adviser, SIMC is entitled to a fee, which is calculated daily and
paid monthly, based on the average daily net assets of the Fund. SIMC has
voluntarily agreed to waive a portion of its fee so that the total annual
expenses of the Fund, exclusive of short sale expenses, will not exceed certain
voluntary expense limitations adopted by SIMC. These waivers may be terminated
at any time. Accordingly, the advisory fee and voluntary expense limitations for
the Fund are as follows:
Voluntary
Expense
Voluntary Limitations
Advisory Expense Prior to
Fees Limitations 03/01/08
-------- ----------- -----------
Large Cap Diversified Alpha Fund,
Class A 0.4000 0.9500 0.9500
Large Cap Diversified Alpha Fund,
Class I 0.4000 1.2000 1.2000
As of September 30, 2008, SIMC has entered into investment sub-advisory
agreements with the following parties:
Investment Sub-Adviser
LARGE CAP DIVERSIFIED ALPHA FUND
Analytic Investors, LLC
Aronson + Johnson + Ortiz, LP
Delaware Management Company
INTECH Investment Management, LLC
Legg Mason Capital Management Inc.
Quantitative Management Associates LLC
Smith Breeden Associates, Inc.
DISTRIBUTION AGREEMENT -- SEI Investments Distribution Co. (the "Distributor"),
a wholly owned subsidiary of SEI Investments Company ("SEI"), serves as the
Fund's Distributor pursuant to a distribution agreement with the Trust. The
Trust has adopted a shareholder
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 83
Notes to Financial Statements (Continued)
September 30, 2008
servicing plan for Class A and Class I shares (the "Shareholder Servicing
Plans") under which a shareholder servicing fee of up to 0.25% of average daily
net assets attributable to Class A and Class I shares will be paid to the
Distributor. In addition to the Shareholder Servicing Plans, the Class I shares
have adopted administrative service plans that provide for administrative
service fees payable to the Distributor of up to 0.25% of the average daily net
assets attributed to that class.
OTHER -- The Distribution Agreement between the Distributor and the Trust
provides that the Distributor may receive compensation on fund transactions
effected for the Trust in accordance with the rules of the Securities and
Exchange Commission ("SEC"). Accordingly, it is expected that fund transactions
may result in brokerage commissions being paid to the Distributor. SEC rules
require that such commissions not exceed usual and customary commissions.
Such commissions for the year ended September 30, 2008 were as follows ($
Thousands):
Large Cap Diversified Alpha Fund $96
---
Under both the Shareholder Servicing Plans and administrative service plan, the
Distributor may retain as profit any difference between the fee it receives and
the amount it pays to third parties. For the year ended September 30, 2008, the
Distributor retained 100% of the shareholder servicing fees, less the waiver,
and 100% of the administration servicing fees.
Certain officers and/or 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. Compensation of
officers and affiliated Trustees of the Trust is paid by the Adviser or
Administrator.
A portion of the services provided by the Chief Compliance Officer ("CCO") and
his staff, whom are employees of the Administrator, are paid for by the Trust as
incurred. The services include regulatory oversight of the Trust's Adviser,
sub-advisers and service providers as required by SEC regulations. The CCO's
services have been approved by and are reviewed by the Board.
FEES PAID INDIRECTLY -- The Fund may direct certain fund trades to the
Distributor who pays a portion of the Fund's expenses. Accordingly, the expenses
reduced, which were used to pay third party expenses, and the effect on the
Fund's expense ratio, as a percentage of the Fund's average daily net assets for
the year ended September 30, 2008, can be found on the Statement of Operations.
INVESTMENT IN AFFILIATED SECURITY -- The Fund may invest the cash collateral
from the securities lending program in the SEI Liquidity Fund, L.P.
4. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Fund were as follows (Thousands):
For the years ended September 30,
LARGE CAP
DIVERSIFIED
ALPHA FUND
-----------------------
10/1/07 10/1/06
to 9/30/08 to 9/30/07
---------- ----------
Class A:
Shares Issued 51,288 65,075
Shares Issued in Lieu of
Dividends & Distributions 7,606 2,114
Shares Redeemed (47,337) (30,979)
------- -------
Total Class A Transactions 11,557 36,210
------- -------
Class I:
Shares Issued 6 68
Shares Issued in Lieu of
Dividends & Distributions 2 --
Shares Redeemed (3) (27)
------- -------
Total Class I Transactions 5 41
------- -------
Net Increase in Capital
Share Transactions 11,562 36,251
------- -------
Amounts designated as "--" are $0 or have been rounded to $0.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities, other
than temporary cash investments and futures, during the year or period ended
September 30, 2008, were as follows:
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- -------------
LARGE CAP DIVERSIFIED
ALPHA FUND
Purchases ............. $990,956 $622,953 $1,613,909
Sales ................. 949,510 622,602 1,572,112
6. FEDERAL TAX INFORMATION
It is the Fund's intention to continue to qualify as a regulated investment
company under Subchapter M of The Internal Revenue Code and distribute all of
its taxable income (including net capital gains). Accordingly, no provision for
Federal income taxes is required.
Dividends from net investment income and distributions from net realized capital
gains are determined in accordance with U.S. Federal income tax regulations,
which may differ from those amounts determined under accounting principles
generally accepted in the United
84 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
States. These book/tax differences are either temporary or permanent in nature.
To the extent these differences are permanent, they are charged or credited to
paid-in capital, undistributed net investment income or accumulated net realized
gain, as appropriate, in the period that the differences arise. Accordingly, the
following permanent differences, primarily attributable to different treatment
for gains and losses on paydowns of mortgage- and asset-backed securities for
tax purposes, return of capital, swap income reclassification, nontaxable
redemption in-kind gain/loss, distribution reclassification, REIT income
reclassification and utilization of earnings and profits on shareholder
redemptions and net operating losses have been reclassified to/from the
following accounts as of September 30, 2008:
Undistributed Accumulated
Paid-in Net Investment Realized
Capital Income/(Loss) Gain/(Loss)
($ Thousands) ($ Thousands) ($ Thousands)
------------- -------------- -------------
Large Cap Diversified
Alpha Fund $-- $(314) $314
The tax character of dividends and distributions paid during the years or period
ended September 30, 2008 and September 30, 2007 (unless otherwise indicated) was
as follows:
Long-term
Ordinary Income Capital Gain Total
($ Thousands) ($ Thousands) ($ Thousands)
--------------- ------------- -------------
Large Cap Diversified Alpha Fund 2008 $51,516 $30,983 $82,499
2007 15,521 7,983 23,504
As of September 30, 2008, the components of Distributable Earnings/(Accumulated
Losses) were as follows:
Total
Distributable
Undistributed Capital Post Unrealized Other Earnings
Ordinary Loss October Appreciation Temporary (Accumulated
Income Carryforwards Losses (Depreciation) Differences Losses)
($ Thousands ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- ------------- -------------- ------------- -------------
Large Cap Diversified Alpha Fund $2,506 $(3,489) $(153,227) $(183,163) $50 $(337,323)
Post October losses represent losses realized on investment transactions from
November 1, 2007 through September 30, 2008 that, in accordance with Federal
income tax regulations, the Funds may defer and treat as having arisen in the
following fiscal year. For Federal income tax purposes, capital loss
carryforwards may be carried forward and applied against future capital gains as
follows:
Expires Expires Expires Expires Expires Expires
2016 2015 2014 2013 2012 2011
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- ------------- ------------- ------------- -------------
Large Cap Diversified Alpha Fund $3,489 $-- $-- $-- $-- $--
Total Capital
Expires Loss
2010 Carryforwards
($ Thousands) ($ Thousands)
------------- -------------
Large Cap Diversified Alpha Fund $-- $3,489
For Federal income tax purposes, the cost of securities owned at September 30,
2008, and the net realized gains or losses on securities sold for the period,
were different from amounts reported for financial reporting purposes, primarily
due to wash sales which cannot be used for Federal income tax purposes in the
current year and have been deferred for use in future years. The Federal tax
cost and aggregate gross unrealized appreciation and depreciation on investments
held by the Funds at September 30, 2008, were as follows:
Federal Appreciated Depreciated Net Unrealized
Tax Cost Securities Securities Depreciation
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- ------------- --------------
Large Cap Diversified
Alpha Fund $1,705,351 $110,405 $(325,131) $(214,726)
Management has analyzed the Funds' tax position taken on federal income tax
returns for all open tax years and has concluded that as of September 30, 2008,
no provision for income tax would be required in the Funds' financial
statements. The Funds' federal and state income and federal excise tax returns
for tax years for which the applicable statutes of limitations have not expired
are subject to examination by the Internal Revenue Service and state departments
of revenue.
7. SECURITIES LENDING
The Fund 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 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. 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 between 102% and
105% of the market value of borrowed securities for domestic and foreign
securities, respectively. However, due to market fluctuations during the day,
the value of securities loaned on a particular day may, during the course of the
day, exceed the value of collateral. On each business day, the amount of
collateral is adjusted based on the prior day's market fluctuations and the
current day's lending activity. Income from lending activity is determined by
the amount of interest earned on collateral, less any amounts payable to the
borrowers of the securities and the lending agent. Lending securities involves
certain risks,
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 85
Notes to Financial Statements (Concluded)
September 30, 2008
including the risk that the Fund may be delayed or prevented from recovering the
collateral if the borrower fails to return the securities.
Cash collateral received in connection with securities lending is invested in
short-term investments by the lending agent. These investments may include the
SEI Liquidity Fund L.P., repurchase agreements, which are collateralized by
United States Treasury and Government Agency securities, and high-quality,
short-term instruments, such as floating rate corporate obligations, commercial
paper, and private placements with an average weighted maturity not to exceed 60
days and a maturity not to exceed 397 days. There is no guarantee that these
investments will not lose value.
8. CONCENTRATIONS/RISKS
In the normal course of business, the Fund enters into contracts that provide
general indemnifications by the Fund to the counterparty to the contract. The
Fund's maximum exposure under these arrangements is dependent on future claims
that may be made against the Fund and, therefore, cannot be estimated; however,
based on experience, the risk of loss from such claims is considered remote.
9. RECENT ACCOUNTING PRONOUNCEMENTS
In September 2006, the FASB issued Statement on Financial Accounting Standards
("SFAS") No. 157, "Fair Value Measurements." This standard establishes a single
authoritative definition of fair value, sets out a framework for measuring fair
value and requires additional disclosures about fair value measurements. SFAS
No. 157 applies to fair value measurements already required or permitted by
existing standards. SFAS No. 157 is effective for financial statements issued
for fiscal years beginning after November 15, 2007 and interim periods within
those fiscal years. The changes to current generally accepted accounting
principles from the application of this Statement relate to the definition of
fair value, the methods used to measure fair value, and the expanded disclosures
about fair value measurements. As of September 30, 2008, the Fund does not
believe the adoption of SFAS No. 157 will impact the amounts reported in the
financial statements, however, additional disclosures may be required about the
inputs used to develop the measurements and the effect of certain of the
measurements reported in the financial statements for a fiscal period.
In March 2008, the Financial Accounting Standards Board (FASB) issued Statement
of Financial Accounting Standards (SFAS) No. 161, DISCLOSURES ABOUT DERIVATIVE
INSTRUMENTS AND HEDGING ACTIVITIES. SFAS No. 161 is effective for fiscal years
and interim periods beginning after November 15, 2008. SFAS No.161 requires
enhanced disclosures about the Fund's derivative and hedging activities,
including how such activities are accounted for and their effect on the Fund's
financial position, performance, and cash flows. Management is currently
evaluating the impact the adoption of SFAS No. 161 will have on the Fund's
financial statements and related disclosures.
On September 12, 2008, the FASB issued FASB Staff Position ("FSP") No. FAS 133-1
and FASB Interpretation Number ("FIN") 45-4 ("FSP 133-1"), DISCLOSURES ABOUT
CREDIT DERIVATIVES AND CERTAIN GUARANTEES: AN AMENDMENT OF FASB STATEMENT NO.
133 AND FASB INTERPRETATION NO. 45; AND CLARIFICATION OF THE EFFECTIVE DATE OF
FASB STATEMENT NO. 161. The FSP is intended to improve disclosures about credit
derivatives by requiring more information about the potential adverse effects of
changes in credit risk on the financial position, financial performance, and
cash flows of the sellers of credit derivatives. It amends FASB Statement No.
133, ACCOUNTING FOR DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES, to require
disclosures by sellers of credit derivatives, including credit derivatives
embedded in hybrid instruments. The FSP also amends FIN 45, GUARANTOR'S
ACCOUNTING AND DISCLOSURE REQUIREMENTS FOR GUARANTEES, INCLUDING INDIRECT
GUARANTEES OF INDEBTEDNESS TO OTHERS, to require an additional disclosure about
the current status of the payment/ performance risk of a guarantee. FSP 133-1
and FIN 45-4 is effective for reporting periods (annual or interim) ending after
November 15, 2008. Management of the Fund is currently assessing the impact of
adopting FSP No. FAS 133-1 and FIN 45-4.
10. OTHER MATTERS (Unaudited)
Due to volatility in the fixed income and equity markets, the market value of
some of the Fund's holdings may currently be lower than shown in the Schedules
of Investments ("SOI"). The values shown in the SOI's were the market values as
of September 30, 2008 and do not reflect any market events after September 30,
2008.
86 SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008
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 on the next page 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
your Fund, to estimate the expenses you paid over that period. Simply divide
your actual starting 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 your Fund had an annual 5%
return before expenses during the year, but that the expense ratio (Column 3) 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 "Expense 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 do not apply to your specific
investment.
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
4/1/08 9/30/08 RATIOS PERIOD*
---------- --------- ---------- -------
LARGE CAP DIVERSIFIED ALPHA FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 864.30 1.07% $4.99
Class I Shares 1,000.00 862.70 1.32 6.15
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.65 1.07% $5.40
Class I Shares 1,000.00 1,018.40 1.32 6.66
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO MULTIPLIED BY THE
AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 183/366 (TO REFLECT
THE ONE-HALF YEAR PERIOD SHOWN).
SEI Asset Allocation Trust / Semi-Annual Report / September 30, 2008 87
Notes
Notes
Notes
Notes
Notes
SEI ASSET ALLOCATION TRUST SEMI-ANNUAL REPORT SEPTEMBER 30, 2008
Robert A. Nesher, CHAIRMAN
TRUSTEES
William M. Doran
James M. Storey
George J. Sullivan, Jr.
Rosemarie B. Greco
Nina Lesavoy
James M. Williams
Mitchell A. Johnson
Hubert L. Harris, Jr.
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
James Ndiaye
VICE PRESIDENT, ASSISTANT SECRETARY
Michael T. Pang
VICE PRESIDENT, ASSISTANT SECRETARY
Aaron Buser
VICE PRESIDENT, ASSISTANT SECRETARY
John J. McCue
VICE PRESIDENT
Andrew S. Decker
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 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)
(SEI LOGO) New ways.
New answers.(R)
SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-118 (9/08)
ITEM 2. CODE OF ETHICS.
Not applicable for semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Located under Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Registrant 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 registrant's Board of
Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June
18th 2004 and as amended, 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
Registrant'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, the certifying
officers have concluded that 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 Registrant's internal control over financial reporting.
ITEMS 12. EXHIBITS.
(a)(1) Not applicable for semi-annual report.
(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.
- --------------------------------------------------------------------------------
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 Asset Allocation Trust
By (Signature and Title) /s/ Robert A. Nesher
--------------------------
Robert A. Nesher
President & CEO
Date December 5, 2008
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
President & CEO
Date December 5, 2008
By (Signature and Title) /s/ Stephen F. Panner
--------------------------
Stephen F. Panner
Controller & CFO
Date December 5, 2008