Annual Report - SEI

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International Synthetic Fund Statements of Changes in Net Assets FOR THE YEARS ENDED DECEMBER 31 (in thousands of dollars except per unit data) Fund Total Class O 2009 2008 2009 2008 NET ASSETS – BEGINNING OF PERIOD $ 54,547 $ 51,982 $ 54,173 $ 51,844 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (6) (10,944) (49) (10,934) CHANGES DUE TO UNITHOLDER TRANSACTIONS Proceeds from issue of units 3,707 57,007 3,707 56,645 Payments on redemption of units (44,848) (43,498) (44,549) (43,382) (41,141) 13,509 (40,842) 13,263 CHANGES IN NET ASSETS (41,147) 2,565 (40,891) 2,329 NET ASSETS, END OF PERIOD $ 13,400 $ 54,547 $ 13,282 $ 54,173 Class P Class F 2009 2008 2009 2008 NET ASSETS – BEGINNING OF PERIOD $ 18 $ 30 $ 356 $ 108 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 3 (12) 40 2 CHANGES DUE TO UNITHOLDER TRANSACTIONS Proceeds from issue of units — 12 — 350 Payments on redemption of units (14) (12) (285) (104) (14) — (285) 246 CHANGES IN NET ASSETS (11) (12) (245) 248 NET ASSETS, END OF PERIOD $ 7 $ 18 $ 111 $ 356 SISF (See accompanying notes) 114
U.S. Large Cap Synthetic Fund Statement of Investment Portfolio AS AT DECEMBER 31, 2009 Par Interest Maturity Average Fair Value Rate Date Cost Value $ % $ $ SHORT-TERM NOTES – 99.8% Bank of Montreal Bankers’ Acceptance 1,000,000 0.376 2010/03/16 999,290 999,230 Bank of Montreal Bearer Deposit Note 1,600,000 0.373 2010/03/08 1,598,848 1,598,906 Bank of Montreal Bearer Deposit Note 2,000,000 0.377 2010/03/18 1,998,520 1,998,416 Bank of Nova Scotia Bearer Deposit Note 1,700,000 0.376 2010/03/15 1,698,640 1,698,709 Bank of Nova Scotia Bearer Deposit Note 1,300,000 0.376 2010/03/17 1,298,947 1,298,984 Bank of Nova Scotia Bearer Deposit Note 3,700,000 0.380 2010/03/29 3,697,079 3,696,619 Bay Street Funding Trust Discount Note 1,400,000 0.749 2010/03/12 1,398,600 1,397,967 Bay Street Funding Trust Discount Note 500,000 0.751 2010/03/16 499,590 499,230 Bay Street Funding Trust Discount Note 600,000 0.757 2010/03/25 599,388 598,958 Borealis Financial Trust Discount Note 1,000,000 0.471 2010/01/14 999,300 999,820 Canadian Imperial Bank of Commerce Bankers’ Acceptance 4,000,000 0.377 2010/03/18 3,997,040 3,996,831 Canadian Imperial Bank of Commerce Bankers’ Acceptance 2,700,000 0.378 2010/03/22 2,698,171 2,697,742 Canadian Master Trust Series ‘A’ Discount Note 2,100,000 0.722 2010/01/11 2,099,314 2,099,544 Care Trust Series ‘A’ Discount Note 1,050,000 0.722 2010/01/13 1,048,782 1,049,731 Care Trust Series ‘A’ Discount Note 1,000,000 0.751 2010/03/16 999,010 998,461 Care Trust Series ‘A’ Discount Note 200,000 0.747 2010/03/10 199,806 199,718 Diversified Trust Discount Note 400,000 0.494 2010/03/05 399,624 399,654 Diversified Trust Discount Note 400,000 0.497 2010/03/10 399,592 399,625 Diversified Trust Discount Note 300,000 0.502 2010/03/17 299,703 299,687 Diversified Trust Discount Note 700,000 0.507 2010/03/25 699,279 699,186 Firstbank Bankers’ Acceptance 2,500,000 0.380 2010/03/29 2,498,250 2,497,716 GE Capital Canada Funding Co. Discount Note 1,100,000 0.361 2010/01/04 1,098,405 1,099,957 Government of Canada Treasury Bill 700,000 0.150 2010/01/07 699,643 699,980 Government of Canada Treasury Bill 45,640,000 0.182 2010/03/18 45,619,198 45,622,521 HSBC Bank Canada Bankers’ Acceptance 1,900,000 0.403 2010/03/04 1,898,556 1,898,681 HSBC Bank Canada Bankers’ Acceptance 700,000 0.406 2010/03/08 699,489 699,480 HSBC Bank Canada Bearer Deposit Note 2,000,000 0.415 2010/03/22 1,998,420 1,998,163 National Bank of Canada Bankers’ Acceptance 2,200,000 0.375 2010/03/12 2,198,526 2,198,401 National Bank of Canada Bankers’ Acceptance 1,800,000 0.377 2010/03/18 1,798,768 1,798,574 Omers Realty Corp. Discount Note 500,000 0.471 2010/01/08 499,835 499,949 Plaza Trust Discount Note 400,000 0.722 2010/01/26 399,468 399,795 Plaza Trust Discount Note 300,000 0.757 2010/03/25 299,718 299,479 Province of Manitoba Treasury Bill 3,000,000 0.217 2010/03/31 2,998,380 2,998,398 Province of Ontario Treasury Bill 1,300,000 0.197 2010/03/10 1,299,285 1,299,517 Province of Ontario Treasury Bill 2,700,000 0.210 2010/03/31 2,698,461 2,698,603 Province of Quebec Treasury Bill 3,300,000 0.213 2010/03/19 3,298,218 3,298,504 Pure Trust Discount Note 200,000 0.757 2010/03/25 199,800 199,653 Pure Trust Discount Note 2,500,000 0.758 2010/03/26 2,497,450 2,495,602 Ridge Trust Series ‘A’ Discount Note 300,000 0.722 2010/01/05 299,835 299,970 Ridge Trust Series ‘A’ Discount Note 2,300,000 0.757 2010/03/25 2,297,764 2,296,005 Royal Bank of Canada Bankers’ Acceptance 600,000 0.376 2010/03/16 599,646 599,538 Stars Trust Series ‘A’ Discount Note 900,000 0.728 2010/02/09 899,415 899,284 Stars Trust Series ‘A’ Discount Note 1,000,000 0.746 2010/03/08 998,960 998,634 Stars Trust Series ‘A’ Discount Note 600,000 0.756 2010/03/23 599,406 598,984 Storm King Funding Discount Note 500,000 0.755 2010/03/22 499,500 499,165 Summit Trust Discount Note 1,600,000 0.497 2010/03/10 1,598,400 1,598,500 Summit Trust Discount Note 300,000 0.502 2010/03/17 299,703 299,687 Summit Trust Discount Note 200,000 0.507 2010/03/25 199,798 199,767 Total Short-Term Notes 108,620,820 108,619,524 Total Investments – 99.8% 108,620,820 108,619,524 Unrealized Appreciation (Depreciation) on Futures Contracts* – 0.0% 40,873 Other Assets and Liabilities, Net – 0.2% 203,418 Net Assets – 100.0% 108,863,815 SLCS (See accompanying notes) 115
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Annual Report for the period ended
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March 9, 2010 Auditors’ Report Pr
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Canadian Equity Fund Statement of I
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Canadian Equity Fund Summary of Inv
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Canadian Equity Fund Statements of
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Canadian Small Company Equity Fund
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U.S. Large Company Equity Fund Stat
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U.S. Small Company Equity Fund Stat
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U.S. Small Company Equity Fund Summ
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EAFE Equity Fund Statement of Inves
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EAFE Equity Fund Notes to Statement
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EAFE Equity Fund Statements of Net
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Emerging Markets Equity Fund Statem
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Emerging Markets Equity Fund Statem
Page 64 and 65: Emerging Markets Equity Fund Statem
Page 66 and 67: Emerging Markets Equity Fund Summar
Page 68 and 69: Emerging Markets Equity Fund Statem
Page 70 and 71: Canadian Fixed Income Fund Statemen
Page 78 and 79: Canadian Fixed Income Fund Interest
Page 82 and 83: Long Duration Bond Fund Statement o
Page 84 and 85: Long Duration Bond Fund Statements
Page 86 and 87: Real Return Bond Fund Statement of
Page 88 and 89: Real Return Bond Fund Statements of
Page 90 and 91: Short Term Bond Fund Statement of I
Page 92 and 93: Short Term Bond Fund Notes to State
Page 94 and 95: Short Term Bond Fund Statements of
Page 96 and 97: U.S. High Yield Bond Fund Statement
Page 106 and 107: Money Market Fund Statement of Inve
Page 108 and 109: Money Market Fund Statements of Net
Page 110 and 111: International Synthetic Fund Statem
Page 112 and 113: International Synthetic Fund Notes
Page 116 and 117: U.S. Large Cap Synthetic Fund SCHED
Page 118 and 119: U.S. Large Cap Synthetic Fund State
Page 120 and 121: U.S. MidCap Synthetic Fund Statemen
Page 122 and 123: U.S. MidCap Synthetic Fund Notes to
Page 124 and 125: U.S. MidCap Synthetic Fund Statemen
Page 126 and 127: Enhanced Global Bond Fund Statement
Page 128 and 129: Enhanced Global Bond Fund Statement
Page 130 and 131: Income 100 Fund Statement of Invest
Page 132 and 133: Income 100 Fund Statements of Net A
Page 134 and 135: Income 20/80 Fund Statement of Inve
Page 136 and 137: Income 20/80 Fund Statements of Net
Page 138 and 139: Income 20/80 Fund Statements of Cha
Page 140 and 141: Income 30/70 Fund Notes to Statemen
Page 144 and 145: Conservative Monthly Income Fund No
Page 146 and 147: Conservative Monthly Income Fund St
Page 148 and 149: Income 40/60 Fund Notes to Statemen
Page 152 and 153: Balanced 50/50 Fund Statement of In
Page 154 and 155: Balanced 50/50 Fund Statements of N
Page 156 and 157: Balanced 60/40 Fund Statement of In
Page 158 and 159: Balanced 60/40 Fund Statements of N
Page 160 and 161: Balanced 60/40 Fund Statements of C
Page 162 and 163: Balanced Monthly Income Fund Notes
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Balanced Monthly Income Fund Statem
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Growth 70/30 Fund Notes to Statemen
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Growth 70/30 Fund Statements of Cha
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Growth 80/20 Fund Notes to Statemen
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Growth 80/20 Fund Statements of Cha
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Growth 100 Fund Statement of Invest
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Growth 100 Fund Statements of Net A
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Growth 100 Fund Statements of Chang
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Global Growth 100 Fund Notes to Sta
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Global Growth 100 Fund Statements o
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Notes to Financial Statements FOR T
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Annual Report - SEI

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