Annual Report - SEI

International Synthetic Fund
SCHEDULE OF LONG FUTURES CONTRACTS*
Unrealized
Number Average Cost Contracted Current Appreciation
of per Contract Value Value (Depreciation)
Contracts $ $ $ $
Unrealized Appreciation
Amsterdam Exchanges Index
expiration date January 2010 4 EUR 325.53 391,703 403,706 12,003
Australian SPI 200 Index
expiration date March 2010 9 AUD 4,663.00 989,197 1,034,806 45,609
British FTSE 100 Index
expiration date March 2010 31 GBP 5,269.00 2,765,212 2,813,756 48,543
French Matif CAC 40 Index
expiration date January 2010 24 EUR 3,817.42 1,378,045 1,421,574 43,529
German Eurex Deutschland DAX Index
expiration date March 2010 5 EUR 5,803.50 1,091,145 1,122,638 31,493
Hong Kong Hang Seng Index
expiration date January 2010 2 HKD 21,488.00 290,518 296,427 5,909
Japanese TOPIX Index
expiration date March 2010 23 JPY 897.30 2,324,050 2,342,698 18,647
Mini Italian S&P/MIB Index
expiration date March 2010 3 EUR 22,660.00 511,250 526,028 14,778
Singapore MSCI Index
expiration date January 2010 3 SGD 341.50 153,002 156,541 3,539
Spanish IBEX 35 Index
expiration date January 2010 3 EUR 11,611.00 523,930 537,828 13,898
Swiss SMI Soffex Index
expiration date March 2010 16 CHF 6,366.31 1,032,996 1,053,066 20,070
258,018
Unrealized Depreciation
Swedish OMX Index
expiration date January 2010 25 SEK 955.04 350,560.00 349,262 (1,298)
(1,298)
Unrealized Appreciation (Depreciation) on Long Futures Contracts 256,720
*$760,000 of Canada Treasury Bills are held as collateral by counterparties with respect to the futures contracts.
Summary of Investment Portfolio
AS AT DECEMBER 31, 2008
All portfolio categories are included in the following table.
Portfolio by Category Percentage of Net Assets (%)
Short-Term Notes 98.5
Unrealized Appreciation (Depreciation) on Futures Contracts 2.0
Other Assets and Liabilities, Net (0.5)
100.0
(See accompanying notes)
SISF
111