Annual Report - SEI

U.S. Large Cap Synthetic Fund
Statements of Net Assets
AS AT DECEMBER 31
(in thousands of dollars except per unit data)
2009 2008
ASSETS
Investments at fair value $ 108,620 $ 112,315
Cash including foreign currency holdings,
at fair value 130 192
Margin receivable on futures 50 2,332
Receivable for unit subscriptions 36 —
Unrealized appreciation on futures contracts 41 840
108,877 115,679
LIABILITIES
Accrued liabilities 13 76
Payable for unit redemptions — 28
13 104
NET ASSETS REPRESENTING
UNITHOLDERS’ EQUITY $ 108,864 $ 115,575
NET ASSETS PER CLASS
(Class O) $ 108,684 $ 115,308
(Class P) $ — $ 9
(Class F) $ 180 $ 258
NET ASSETS PER UNIT (note 7)
(Class O) $ 7.57 $ 6.08
(Class P) $ — $ 6.85
(Class F) $ 7.54 $ 6.08
INVESTMENTS AT AVERAGE COST $ 108,621 $ 112,188
Statements of Operations
FOR THE YEARS ENDED DECEMBER 31
(in thousands of dollars except per unit data)
2009 2008
INVESTMENT INCOME
Interest $ 543 $ 3,136
EXPENSES
Custodian and administration fees 49 108
Legal fees 13 22
Audit fees 2 6
Management fees 2 —
Trustee fees 1 1
Independent Review Committee fees 1 2
Security holder reporting costs 9 15
77 154
NET INVESTMENT INCOME (LOSS)
FOR THE PERIOD $ 466 $ 2,982
NET REALIZED GAIN (LOSS) ON FUTURES
AND FORWARDS $ 11,928 $ (46,023)
NET GAIN (LOSS) ON FOREIGN EXCHANGE $ 5,972 $ (1,126)
TRANSACTION COSTS $ (17) $ (16)
UNREALIZED APPRECIATION (DEPRECIATION)
OF INVESTMENTS $ (129) $ (302)
UNREALIZED APPRECIATION (DEPRECIATION)
ON FUTURES AND FORWARD CONTRACTS $ (799) $ 858
NET GAIN (LOSS) ON INVESTMENTS $ 16,955 $ (46,609)
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 17,421 $ (43,627)
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
(Class O) $ 17,350 $ (43,615)
(Class P) $ 2 $ (7)
(Class F) $ 69 $ (5)
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS PER UNIT*
(Class O) $ 1.31 $ (3.79)
(Class P) $ 1.38 $ (5.25)
(Class F) $ 1.54 $ (0.49)
* Based on the weighted average number of units outstanding during the period.
(See accompanying notes)
SLCS
118