Annual Report - SEI

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U.S. Large Cap Synthetic Fund SCHEDULE OF LONG FUTURES CONTRACTS* Unrealized Number Average Cost Contracted Current Appreciation of per Contract Value Value (Depreciation) Contracts $ $ $ $ Unrealized Appreciation United States S&P 500 E-Mini Index expiration date March 2010 38 USD 1,106.22 2,203,448 2,212,464 9,016 United States S&P 500 Index expiration date March 2010 364 USD 1,110.37 105,928,756 105,960,613 31,857 Unrealized Appreciation (Depreciation) on Long Futures Contracts 40,873 *$10,540,000 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 97.1 Unrealized Appreciation (Depreciation) on Futures Contracts 0.7 Other Assets and Liabilities, Net 2.2 100.0 (See accompanying notes) SLCS 116
U.S. Large Cap Synthetic Fund Notes to Statement of Investment Portfolio AS AT DECEMBER 31, 2009 AND 2008 Currency Risk The table below indicates the currencies to which the Fund had exposure as at December 31, 2009 and 2008, on both its trading monetary and non-monetary assets and liabilities. Currency risk exposed holdings* Forward foreign exchange contracts Total Exposure As a % of Net Assets 2009 2008 2009 2008 2009 2008 2009 2008 U.S. Dollar 1,628,424 2,645,856 — — 1,628,424 2,645,856 1.50% 2.29% *Amounts include monetary and non-monetary items. As at December 31, 2009, had the Canadian dollar strengthened or weakened by 5% (2008 – 5%) in relation to all currencies, with all other variables held constant, net assets would have decreased or increased, respectively, by approximately $81,421 (2008 – $132,293). In practice, the actual trading results may differ from this sensitivity analysis and the difference could be material. Interest Rate Risk The table below summarizes the Fund’s exposure to interest rate risks as at December 31, 2009 and 2008. It includes the Fund’s assets at fair values, categorized by the maturity dates. The Fund’s exposure to interest rate risks is through its holdings in short term debt securities. Short-term debt securities 2009 2008 Less than 1 year 108,619,524 112,315,293 1-3 years — — 3-5 years — — > 5 years — — Total 108,619,524 112,315,293 Other Price Risk As at December 31, 2009, a 10% (2008 – 10%) increase or decrease in equity prices on the U.S. stock exchanges would have increased or decreased the Fund’s Net Assets by $10,817,308 (2008 – $11,466,692). In practice, the actual results may differ from this sensitivity analysis and the difference could be material. Credit Risk As at December 31, 2009 and 2008, the Fund invested in debt securities with the following credit ratings: Short-term debt securities by credit rating 2009 2008 R-1(H) 83.34% 83.06% R-1(M) 14.14% 10.44% R-1(L) 0.00% 0.00% Unrated 2.29% 3.67% Total 99.77% 97.17% Credit ratings are obtained from Bloomberg general rates which are a blend of Standard & Poor’s, Moody’s and/or Dominion Bond Rating Services. Fair Value Measurements The following table summarizes the inputs used as of December 31, 2009 in valuing the Fund’s investments and derivatives carried at fair values: Quoted prices in active markets Significant other observable inputs Significant unobservable inputs for identical assets (Level 1) (Level 2) (Level 3) Total Common shares $ — $ — $ — $ — Preferred shares — — — — Short-term notes 108,619,524 — — 108,619,524 Bonds — — — — Investments in funds — — — — Total Investments $ 108,619,524 $ — $ — $ 108,619,524 Derivative assets 40,873 — — 40,873 Derivative liabilities — — — — During the year ended December 31, 2009, no investments were transferred between Level 1 and Level 2. During the year ended December 31, 2009, the Fund did not hold any investments classified within Level 3. SLCS (See accompanying notes) 117
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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 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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Page 66 and 67: Emerging Markets Equity Fund Summar
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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 114 and 115: International Synthetic Fund Statem
Page 118 and 119: U.S. Large Cap Synthetic Fund State
Page 120 and 121: U.S. MidCap Synthetic Fund Statemen
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Page 126 and 127: Enhanced Global Bond Fund Statement
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Page 130 and 131: Income 100 Fund Statement of Invest
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Page 134 and 135: Income 20/80 Fund Statement of Inve
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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
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Page 156 and 157: Balanced 60/40 Fund Statement of In
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Page 162 and 163: Balanced Monthly Income Fund Notes
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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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