Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-04878
SEI Institutional Managed Trust
(Exact name of registrant as specified in charter)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Address of principal executive offices) (including 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: September 30, 2009
Date of reporting period: September 30, 2009
Table of Contents
| Item 1. | Reports to Stockholders. |
Table of Contents
SEI Institutional Managed Trust
Annual Report as of September 30, 2009
Large Cap Value Fund
Large Cap Growth Fund
Tax-Managed Large Cap Fund
Large Cap Diversified Alpha Fund
S&P 500 Index Fund
Small Cap Value Fund
Small Cap Growth Fund
Tax-Managed Small Cap Fund
Small/Mid Cap Diversified Alpha Fund
Mid-Cap Fund
U.S. Managed Volatility Fund
Global Managed Volatility Fund
Tax-Managed Managed Volatility Fund
Real Estate Fund
Enhanced Income Fund
Core Fixed Income Fund
U.S. Fixed Income Fund
High Yield Bond Fund
Real Return Fund
Table of Contents
| 1 | ||
| 35 | ||
| 132 | ||
| 136 | ||
| 140 | ||
| 146 | ||
| 150 | ||
| 167 | ||
| 168 | ||
| 171 | ||
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements | 173 | |
| 176 | ||
The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“Commission”) for the first and third quarters 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.
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Large Cap Value Fund
I. Objective
The Large Cap Value Fund (“the Fund”) seeks to provide capital appreciation by investing primarily in the equity securities of large companies in the U.S., using a value-focused style.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilizes the following sub-advisers as of September 30, 2009: Aronson + Johnson + Ortiz, LP, INTECH Investment Management, LLC, Legg Mason Capital Management Inc., and LSV Asset Management. During the year ended September 30, 2009, the Fund terminated AllianceBernstein LP and added LSV Asset Management.
III. Market Commentary
For the first six months of the fiscal year leading up to the March lows, equity markets were under sharp pressure. In March, there was a sharp inflection point in the markets, as trends reversed and valuations reverted back to the mean. Following the collapse of Lehman Brothers, companies’ earnings and forward outlooks deteriorated, and economic output came to a screeching halt. Job losses accelerated throughout the first half of the fiscal period, exacerbating the loss of consumer confidence. As credit markets seized up and liquidity became scarce, the Federal Reserve (the “Fed”) and Treasury responded by instituting programs of historic proportion in order to stave off a complete collapse of the U.S. financial system.
The Fed and Treasury provided ample liquidity by boosting the money supply and driving interest rates lower. With the creation of the Troubled Asset Relief Programs I and II, as well as the Term Asset-Backed Securities Loan Facility and Public Private Investment Program, credit markets began to thaw and credit spreads narrowed. Government policies combined with the Fed’s decision to use quantitative easing were the main catalysts to the March reversal. Also, several of the major banks indicated that their operating revenues for the first nine months of 2009 were positive, setting a bullish tone in the Financials sector, which had sold off nearly 50%
heading into early March amidst concerns of potential nationalization. Heading into the second half of this fiscal period, markets rebounded strongly as leading economic indicators pointed to “green shoots.” Economic deterioration began to decelerate; most notably, consumer sentiment rebounded, manufacturing activity strengthened and orders for durable and capital goods increased. Investors were hopeful that recovery would follow, driven by businesses re-stocking inventory in anticipation of future growth. The jobs picture also improved although it remains weak; the U.S. economy shed jobs at a much slower pace for the second half of the fiscal year than it did for the first half. Monetary policy remains aggressively positioned, and the Fed has indicated that it intends to keep rates low to fight the possibility of further asset deflation.
In the period, small-cap stocks outperformed their large-cap brethren, and growth-oriented stocks outperformed their value-oriented counterparts across all market caps. The reversal in U.S. markets off of the March lows continued throughout the third quarter of 2009, as cyclical and higher beta stocks led the charge. The U.S. dollar weakened considerably in the second half of the year as investors increased their risk tolerance and commodity prices moved higher. The Technology sector, which was the only sector that had positive absolute performance for the fiscal year, continued to fare well as investors rewarded companies with high levels of free cash flow and solid balance sheets that have gained market share and are well-positioned to capitalize on the potential economic rebound. From a factor perspective, momentum and historical-growth factors underperformed dramatically, while small-size and traditional-value factors outperformed on a relative basis.
IV. Return vs. Benchmark
For the year ended September 30, 2009, the Large Cap Value Fund, Class A, outperformed the Russell 1000 Value Index (the “Index”), returning (9.88)% versus the Index return of (10.62)%.
V. Fund Attribution
The Fund’s outperformance was driven by strong security selection during a volatile market environment. Sector positioning also added to performance during the period. The Fund’s exposure to traditional deep-value factors benefited performance over the entire period, as
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 1 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Large Cap Value Fund (Concluded)
this strategy is typically overweight the bottom quartile, or the cheapest stocks as measured by price-to-earnings ratios with exposure to near-term price momentum. The Fund’s quality bias benefited performance, especially within the first six months of the fiscal year, as it helped avoid stocks that sold off sharply due to nationalization fears. However, the Fund’s exposure to a volatility-capture strategy detracted from performance, as there was not enough intra-stock volatility, which was a stiff headwind for the mean-reversion strategy. Finally, the Fund has experienced a headwind since the March 2009 inflection point and subsequent low-quality rally.
Large Cap Value Fund:
AVERAGE ANNUAL TOTAL RETURN1
| One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Since Inception | ||||||
| Large Cap Value Fund, Class A | (9.88)% | (8.73)% | (0.02)% | 1.76% | 7.56% | |||||
| Large Cap Value Fund, Class I | (10.05)% | (8.94)% | (0.25)% | 1.49% | 7.24% |
Comparison of Change in the Value of a $100,000 Investment in the Large Cap Value Fund, Class A and Class I, versus the Russell 1000 Value Index
| 1 | For the period ended 9/30/09. Past performance is no indication of future performance. The performance indicated above for Class A Shares begins on 10/3/94 at which time Mellon Equity Associates acted as investment adviser to the Fund. Previous periods during which the Fund was advised by another investment adviser are not shown. Class I Shares performance for the period prior to 8/6/01 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 10/3/94 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
| 2 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Large Cap Growth Fund
I. Objective
The Large Cap Growth Fund (the “Fund”) seeks to provide capital appreciation by investing primarily in the equity securities of large companies in the U.S., using a growth-focused style.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilizes the following sub-advisers as of September 30, 2009: Delaware Management Company, Goldman Sachs Asset Management, L.P, INTECH Investment Management, LLC, Legg Mason Capital Management Inc., Quantitative Management Associates LLC and Neuberger Berman Management LLC. During the year ended September 30, 2009, the Fund terminated Montag & Caldwell, Inc. and added Neuberger Berman Management LLC.
III. Market Commentary
For the first six months of the fiscal year leading up to the March lows, equity markets were under sharp pressure. In March, there was a sharp inflection point in the markets, as trends reversed and valuations reverted back to the mean. Following the collapse of Lehman Brothers, companies’ earnings and forward outlooks deteriorated, and economic output came to a screeching halt. Job losses accelerated throughout the first half of the fiscal period, exacerbating the loss of consumer confidence. As credit markets seized up and liquidity became scarce, and the Federal Reserve (the “Fed”) and Treasury responded by instituting programs of historic proportion in order to stave off a complete collapse of the U.S. financial system.
The Fed and Treasury provided ample liquidity by boosting the money supply and driving interest rates lower. With the creation of the Troubled Asset Relief Programs I and II, as well as the Term Asset-Backed Securities Loan Facility and Public Private Investment Program, credit markets began to thaw and credit spreads narrowed. Government policies combined with the Fed’s decision quantitative easing were the main catalysts to the March reversal. Also, several of the major banks indicated that their operating revenues for the first nine months of 2009 were positive, setting a bullish tone in the
Financials sector, which had sold off nearly 50% heading into early March amidst concerns of potential nationalization. Heading into the second half of this fiscal period, markets rebounded strongly as leading economic indicators pointed to “green shoots.” Economic deterioration began to decelerate; most notably, consumer sentiment rebounded, manufacturing activity strengthened and orders for durable and capital goods increased. Investors were hopeful that recovery would follow, driven by businesses re-stocking inventory in anticipation of future growth. The jobs picture also improved although it remains weak; the U.S. economy shed jobs at a much slower pace for the second half of the fiscal year than it did for the first half. Monetary policy remains aggressively positioned, and the Fed has indicated that it intends to keep rates low to fight the possibility of further asset deflation.
In the period, small-cap stocks outperformed their large-cap brethren, and growth-oriented stocks outperformed their value-oriented counterparts across all market caps. The reversal in U.S. markets off of the March lows continued throughout the third quarter of 2009, as cyclical and higher beta stocks led the charge. The U.S. dollar weakened considerably in the second half of the year as investors increased their risk tolerance and commodity prices moved higher. The Technology sector, which was the only sector that had positive absolute performance for the fiscal year, continued to fare well as investors rewarded companies with high levels of free cash flow and solid balance sheets that have gained market share and are well-positioned to capitalize on the potential economic rebound. From a factor perspective, momentum and historical-growth factors underperformed dramatically, while small-size and traditional-value factors outperformed on a relative basis.
IV. Return vs. Benchmark
For the year ended September 30, 2009, the Large Cap Growth Fund, Class A, underperformed the Russell 1000 Growth Index (the “Index”), returning (3.47)% versus the Index return of (1.85)%.
V. Fund Attribution
The Fund’s underperformance was driven by poor security selection during a volatile market environment. In the first half of the fiscal year, the Fund’s managers were positioned in high-quality growth stocks
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 3 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Large Cap Growth Fund (Concluded)
held by hedge funds, specifically in the Technology sector. The de-leveraging process that occurred in late 2008 and early 2009 led to heavy redemptions by hedge funds, which led to a technical mis-pricing of high-quality growth stocks. As a result, these stocks dramatically underperformed the broader market due to liquidity and other non-fundamental factors. The Fund also struggled due to its Financials positioning and overweighting to the Consumer Discretionary sector. In addition, poor stock selection in the Industrials sector detracted from overall performance, as the manufacturing industry collapsed due to a decline in consumer and business spending during the first half of the fiscal year. Overall, the Fund’s managers continued to position themselves in higher-quality growth stocks by the end of the first quarter of 2009, focusing on strong balance sheets and future earnings growth, which have lagged in the low-quality rally since March of 2009. The market’s sharp inflection point was met with a strong low-quality rally typically seen in the recovery phase of a market as credit spreads narrow.
Large Cap Growth Fund:
AVERAGE ANNUAL TOTAL RETURN1
| One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||
| Large Cap Growth Fund, Class A | (3.47)% | (3.63)% | 0.96% | (3.69)% | 5.77% | |||||
| Large Cap Growth Fund, Class I | (3.69)% | (3.87)% | 0.71% | (3.96)% | 5.43% |
Comparison of Change in the Value of a $100,000 Investment in the Large Cap Growth Fund, Class A and Class I, versus the Russell 1000 Growth Index
| 1 | For the period ended 9/30/09. Past performance is no indication of future performance. Class I Shares performance for the period prior to 8/6/01 is the performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 12/20/94 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
| 4 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Tax-Managed Large Cap Fund
I. Objective
The Tax-Managed Large Cap Fund (the “Fund”) aims to provide high long-term after-tax returns by buying and holding large-cap U.S. companies over a long period of time.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilized the following sub-advisers as of September 30, 2009: Aronson+Johnson+Ortiz, LP, Delaware Management Company, Goldman Sachs Asset Management, LP, Legg Mason Capital Management Inc., LSV Asset Management, Neuberger Berman Management LLC, Parametric Portfolio Associates and Quantitative Management Associates LLC. During the year ended September 30, 2009, the Fund terminated AllianceBernstein, LP and Montag & Caldwell, Inc., and added Neuberger Berman Management LLC.
III. Market Commentary
For the first six months of this time period leading up to the March lows, equity markets were under sharp pressure. In March, there was a sharp inflection point in the markets, as trends reversed and valuations reverted back to the mean. Following the collapse of Lehman Brothers, companies’ earnings and forward outlooks deteriorated, and economic output came to a screeching halt. Job losses accelerated throughout the first half of the fiscal period, exacerbating the loss of consumer confidence. As credit markets seized up and liquidity became scarce, and the Federal Reserve (the “Fed”) and Treasury responded by instituting programs of historic proportion in order to stave off a complete collapse of the U.S. financial system.
The Fed and Treasury provided ample liquidity by boosting the money supply and driving interest rates lower. With the creation of the Troubled Asset Relief Programs I and II, as well as the Term Asset-Backed Securities Loan Facility and Public Private Investment Program, credit markets began to thaw and credit spreads narrowed. Government policies combined with the Fed’s decision quantitative
easing were the main catalysts to the March reversal. Also, several of the major banks indicated that their operating revenues for the first nine months of 2009 were positive, setting a bullish tone in the Financials sector, which had sold off nearly 50% heading into early March amidst concerns of potential nationalization. Heading into the second half of the fiscal year, markets rebounded strongly as leading economic indicators pointed to “green shoots.” Economic deterioration began to decelerate; most notably, consumer sentiment rebounded, manufacturing activity strengthened and orders for durable and capital goods increased. Investors were hopeful that recovery would follow, driven by businesses re-stocking inventory in anticipation of future growth. The jobs picture also improved although it remains weak; the U.S. economy shed jobs at a much slower pace for the second half of the fiscal year than it did for the first half. Monetary policy remains aggressively positioned, and the Fed has indicated that it intends to keep rates low to fight the possibility of further asset deflation.
During the fiscal year, small-cap stocks outperformed their large-cap brethren, and growth-oriented stocks outperformed their value-oriented counterparts across all market caps. The reversal in U.S. markets off of the March lows continued throughout the third quarter of 2009, as cyclical and higher beta stocks led the charge. The U.S. dollar weakened considerably in the second half of the year as investors increased their risk tolerance and commodity prices moved higher. The Technology sector, which was the only sector that had positive absolute performance for the fiscal year, continued to fare well as investors rewarded companies with high levels of free cash flow and solid balance sheets that have gained market share and are well-positioned to capitalize on the potential economic rebound. From a factor perspective, momentum and historical-growth factors underperformed dramatically, while small-size and traditional-value factors outperformed on a relative basis.
IV. Return vs. Benchmark
For the year ended September 30, 2009, the Tax-Managed Large Cap Fund, Class A, underperformed the Russell 1000 Index (the “Index”), returning (6.44)% versus the Index return of (6.14)%.
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 5 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Tax-Managed Large Cap Fund (Concluded)
V. Fund Attribution
The Fund modestly underperformed its Index due to poor stock selection. The second half of 2008, particularly the fourth quarter, was marked by significant forced selling and deleveraging in equity markets. These technical factors tended to decouple stock performance from underlying fundamentals. The Fund’s value mandate contributed positively to the portfolio, despite the fact that the second half of 2008 was a very difficult environment for its contrarian approach. This approach has dramatically outperformed since the March lows through positions in the Financials sector as well high-conviction holdings in the Utilities sector. The Fund’s growth managers added to performance due to their positive stock selection in Healthcare. Mega cap exposure also benefited during the flight to quality, as did a large overweight to Consumer Staples and an underweight to Industrials. The excess return generated by the Fund’s growth managers was mitigated by exposure to value, despite the fact that the majority of the Fund’s value managers had mixed results, although they outperformed their respective Index. While some were negatively impacted their stock selection across the majority of sectors, others, particularly deep-value managers, boosted returns in the final six months of the fiscal year or benefited from quality exposures before the market nadir. The Fund’s quantitative managers struggled during the period due to their value and momentum exposures.
Tax-Managed Large Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
| One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||
| Tax-Managed Large Cap Fund, Class A | (6.44)% | (5.84)% | 0.73% | (1.19)% | 1.07% | |||||
| Tax-Managed Large Cap Fund, Class Y | (6.12)% | (5.53)% | 1.04% | (0.96)% | 1.28% |
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Large Cap Fund, Class A and Class Y, versus the Russell 1000 Index
| 1 | For the period ended 9/30/09. Past performance is no indication of future performance. Class Y Shares performance for the period prior to 4/8/02 is performance derived from the performance of the Class A Shares.The performance of Class Y Shares may be different from the performance of Class A Shares because of different distribution fees paid by Class Y shareholders. Class A Shares were offered beginning 3/5/98 and Class Y Shares were offered beginning 4/8/02. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
| 6 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Large Cap Diversified Alpha Fund
I. Objective
The Large Cap Diversified Alpha Fund (“the Fund”) seeks to provide capital appreciation by investing in the equity securities of large companies in the U.S. as well as other equity securities, derivatives and fixed-income securities, with the aim of diversifying the relative risk of the Fund and adding to the Fund’s excess returns.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilizes the following sub-advisers as of September 30, 2009: Analytic Investors, LLC, Aronson+Johnson+Ortiz, LP, Declaration Management and Research LLC, Delaware Management Company, INTECH Investment Management, LLC, Legg Mason Capital Management Inc., and Quantitative Management Associates LLC. During the year ended September 30, 2009, the Fund terminated Smith Breeden Associates, Inc. and added Declaration Management and Research LLC.
III. Market Commentary
For the first six months of the fiscal year leading up to the March lows, equity markets were under sharp pressure. In March, there was a sharp inflection point in the markets, as trends reversed and valuations reverted back to the mean. Following the collapse of Lehman Brothers, companies’ earnings and forward outlooks deteriorated, and economic output came to a screeching halt. Job losses accelerated throughout the first half of the fiscal period, exacerbating the loss of consumer confidence. As credit markets seized up and liquidity became scarce, and the Federal Reserve (the “Fed”) and Treasury responded by instituting programs of historic proportion in order to stave off a complete collapse of the U.S. financial system.
The Fed and Treasury provided ample liquidity by boosting the money supply and driving interest rates lower. With the creation of the Troubled Asset Relief Programs I and II, as well as the Term Asset-Backed Securities Loan Facility and Public Private Investment Program, credit markets began to thaw and credit spreads narrowed. Government policies combined with the Fed’s decision to use
quantitative easing were the main catalysts to the March reversal. Also, several of the major banks indicated that their operating revenues for the first nine months of 2009 were positive, setting a bullish tone in the Financials sector, which had sold off nearly 50% heading into early March amidst concerns of potential nationalization. Heading into the second half of the fiscal year, markets rebounded strongly as leading economic indicators pointed to “green shoots.” Economic deterioration began to decelerate; most notably, consumer sentiment rebounded, manufacturing activity strengthened and orders for durable and capital goods increased. Investors were hopeful that recovery would follow, driven by businesses re-stocking inventory in anticipation of future growth. The jobs picture also improved although it remains weak; the U.S. economy shed jobs at a much slower pace for the second half of the fiscal year than it did for the first half. Monetary policy remains aggressively positioned, and the Fed has indicated that it intends to keep rates low to fight the possibility of further asset deflation.
In the period, small-cap stocks outperformed their large-cap brethren, and growth-oriented stocks outperformed their value-oriented counterparts across all market caps. The reversal in U.S. markets off of the March lows continued throughout the third quarter of 2009, as cyclical and higher beta stocks led the charge. The U.S. dollar weakened considerably in the second half of the year as investors increased their risk tolerance and commodity prices moved higher. The Technology sector, which was the only sector that had positive absolute performance for the fiscal year, continued to fare well as investors rewarded companies with high levels of free cash flow and solid balance sheets that have gained market share and are well-positioned to capitalize on the potential economic rebound. From a factor perspective, momentum and historical-growth factors underperformed dramatically, while small-size and traditional-value factors outperformed on a relative basis.
IV. Return vs. Benchmark
For the year ended September 30, 2009, the Large Cap Diversified Alpha Fund, Class A, underperformed the Russell 1000 Index (the “Index”), returning (11.51)% versus the Index return of (6.14)%.
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 7 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Large Cap Diversified Alpha Fund (Concluded)
V. Fund Attribution
The Fund dramatically unperformed for the fiscal year, primarily because of its allocation to the portable-alpha strategy, which underperformed as credit spreads widened to historic levels. The portable-alpha component of the Fund detracted from performance, particularly in the first half of the fiscal period, due to dramatic underperformance in the spread sectors of the fixed-income markets. The portable-alpha component had large overweight’s to mortgage-backed securities and asset-backed securities, which lost value as securitized markets all but evaporated and formalized pricing mechanisms disappeared. Also, the Fund’s quantitative managers struggled in an environment marked by volatile factor performance. Value and momentum exposures drove poor security selection, as those factors were severely punished in the market rally from the March lows. In particular, the Fund’s dynamic factor model detracted from performance due to its underweight to low-quality assets as measured by higher leverage. Also, the Fund’s exposure to a volatility-capture strategy struggled, as there was not enough intra-stock volatility to make this a successful endeavor. On the positive side, the Fund’s growth exposure positively contributed to performance with broad-based, strong stock selection driven by a focus on high earnings growth. On the value side, the Fund ultimately benefited from strong stock selection in the Financial sector driven by contrarian stock positions and from quality exposures before the market nadir.
Large Cap Diversified Alpha Fund:
AVERAGE ANNUAL TOTAL RETURN1
| One Year Return | Annualized 3 Year Return | Annualized Inception to Date | ||||
| Large Cap Diversified Alpha Fund, Class A | (11.51)% | (9.03)% | (6.14)% | |||
| Large Cap Diversified Alpha Fund, Class I | (11.69)% | (9.26)% | (6.33)% |
Comparison of Change in the Value of a $100,000 Investment in the Large Cap Diversified Alpha Fund, Class A and Class I, versus the Russell 1000 Index
| 1 | For the period ended 9/30/09. Past performance is no indication of future performance. Class I Shares performance for the period prior to 9/14/06 is performance derived from the performance of the Class A Shares. The performance of the Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 12/14/05 and Class I Shares were offered beginning 9/14/06. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
| 8 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
S&P 500 Index Fund
I. Objective
The S&P 500 Index Fund (the “Fund”) invests all of its assets in securities listed in the S&P 500 Index (the “Index”), seeking to achieve investment results that correspond to the aggregate price and dividend performance of the securities in the Index.
II. Multi-Manager Approach Statement
The Fund uses a sub-adviser to manage the Fund under the supervision of SEI Investments Management Corporation. Currently, the sub-adviser is SSgA Funds Management, Inc. There have been no manager changes over the fiscal year.
III. Market Commentary
For the first six months of the fiscal year leading up to the March lows, equity markets were under sharp pressure. In March, there was a sharp inflection point in the markets, as trends reversed and valuations reverted back to the mean. Following the collapse of Lehman Brothers, companies’ earnings and forward outlooks deteriorated, and economic output came to a screeching halt. Job losses accelerated throughout the first half of the fiscal period, exacerbating the loss of consumer confidence. As credit markets seized up and liquidity became scarce, the Federal Reserve (the “Fed”) and Treasury responded by instituting programs of historic proportion in order to stave off a complete collapse of the U.S. financial system.
The Fed and Treasury provided ample liquidity by boosting the money supply and driving interest rates lower. With the creation of the Troubled Asset Relief Programs I and II, as well as the Term Asset-Backed Securities Loan Facility and Public Private Investment Program, credit markets began to thaw and credit spreads narrowed. Government policies combined with the Fed’s decision to use quantitative easing were the main catalysts to the March reversal. Also, several of the major banks indicated that their operating revenues for the first nine months of 2009 were positive, setting a bullish tone in the Financials sector, which had sold off nearly 50% heading into early March amidst concerns of potential nationalization. Heading into the second half of the fiscal period, markets rebounded strongly as leading economic indicators pointed to “green shoots.” Economic deterioration began to decelerate; most notably, consumer
sentiment rebounded, manufacturing activity strengthened and orders for durable and capital goods increased. Investors were hopeful that recovery would follow, driven by businesses re-stocking inventory in anticipation of future growth. The jobs picture also improved although it remains weak; the U.S. economy shed jobs at a much slower pace for the second half of the fiscal year than it did for the first half. Monetary policy remains aggressively positioned, and the Fed has indicated that it intends to keep rates low to fight the possibility of further asset deflation.
IV. Return vs. Benchmark
For the year ended September 30, 2009, the S&P 500 Index Fund, Class A, underperformed the Index, returning (7.33)% versus the Index return of (6.91)%. Please note that one cannot invest directly in the Index. Unlike a mutual fund, an index does not have an investment adviser and does not pay any commissions or expenses; therefore, its performance is higher than that of a mutual fund that passively invests in the same index.
V. Fund Attribution
The Fund’s performance followed a pattern similar to the performance of the Index, since it invested in the same securities with generally the same weights. In the period, small-cap stocks outperformed their large-cap brethren, and growth-oriented stocks outperformed their value-oriented counterparts across all market caps. The reversal in U.S. markets off of the March lows continued throughout the third quarter of 2009, as cyclical and higher beta stocks led the charge. The U.S. dollar weakened considerably in the second half of the year as investors increased their risk tolerance and commodity prices moved higher. The Technology sector, which was the only sector that had positive absolute performance for the fiscal year, continued to fare well as investors rewarded companies with high levels of free cash flow and solid balance sheets that have gained market share and are well-positioned to capitalize on the potential economic rebound. From a factor perspective, momentum and historical-growth factors underperformed dramatically, while small-size and traditional-value factors outperformed on a relative basis.
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 9 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
S&P 500 Index Fund (Concluded)
S&P 500 Index Fund:
AVERAGE ANNUAL TOTAL RETURN1
| One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||
| S&P 500 Index Fund, Class A | (7.33)% | (5.82)% | 0.61% | (0.56)% | 5.12% | |||||
| S&P 500 Index Fund, Class E | (7.16)% | (5.66)% | 0.77% | (0.40)% | 9.56% | |||||
| S&P 500 Index Fund, Class I | (7.53)% | (6.04)% | 0.37% | (0.82)% | 4.81% |
Comparison of Change in the Value of a $10,000 Investment in the S&P 500 Index Fund, Class E, Class A, and Class I, versus the S&P 500 Index
| 1 | For the period ended 9/30/09. Past performance is no indication of future performance. Class A shares were offered beginning 2/28/96. Class E shares were offered beginning 7/31/85. Class I shares were offered beginning 6/28/02. Class I shares performance for the period prior to 6/28/02 is performance derived from performance of the Class A shares. The performance of the Class A and Class I shares may be lower than the performance of Class E shares because of different distribution fees paid by Class A and Class I shareholders. Effective 7/31/97, the Board of Trustees approved the renaming of Class A and Class E shares to Class E and Class A shares, respectively. In addition, returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. |
| 10 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Small Cap Value Fund
I. Objective
The Small Cap Value Fund (the “Fund”) seeks to provide capital appreciation by investing primarily in the equity securities of small companies in the U.S., using a value-focused style.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilizes the following sub-advisers as of September 30, 2009: Artisan Partners Limited Partnership, Lee Munder Investments, Ltd., LSV Asset Management, Martingale Asset Management, L.P., PanAgora Asset Management, Inc., Robeco Investment Management Inc. and Wellington Management Company, LLP. During the fiscal year ended September 30, 2009, Neuberger Berman Management LLC was terminated from the Fund.
III. Market Commentary
For the first six months of this time period leading up to the March lows, equity markets were under sharp pressure. In March, there was a sharp inflection point in the markets, as trends reversed and valuations reverted back to the mean. Following the collapse of Lehman Brothers, companies’ earnings and forward outlooks deteriorated, and economic output came to a screeching halt. Job losses accelerated throughout the first half of the fiscal period, exacerbating the loss of consumer confidence. As credit markets seized up and liquidity became scarce, and the Federal Reserve (the “Fed”) and Treasury responded by instituting programs of historic proportion in order to stave off a complete collapse of the U.S. financial system.
The Fed and Treasury provided ample liquidity by boosting the money supply and driving interest rates lower. With the creation of the Troubled Asset Relief Programs I and II, as well as the Term Asset-Backed Securities Loan Facility and Public Private Investment Program, credit markets began to thaw and credit spreads narrowed. Government policies combined with the Fed’s decision to use quantitative easing were the main catalysts to the March reversal. Also, several of the major banks indicated that their operating
revenues for the first nine months of 2009 were positive, setting a bullish tone in the Financials sector, which had sold off nearly 50% heading into early March amidst concerns of potential nationalization. Heading into the second half of the fiscal year, markets rebounded strongly as leading economic indicators pointed to “green shoots.” Economic deterioration began to decelerate; most notably, consumer sentiment rebounded, manufacturing activity strengthened and orders for durable and capital goods increased. Investors were hopeful that recovery would follow, driven by businesses re-stocking inventory in anticipation of future growth. The jobs picture also improved although it remains weak; the U.S. economy shed jobs at a much slower pace for the second half of the fiscal year than it did for the first half. Monetary policy remains aggressively positioned, and the Fed has indicated that it intends to keep rates low to fight the possibility of further asset deflation.
During the fiscal year, small-cap stocks outperformed their large-cap brethren, and growth-oriented stocks outperformed their value-oriented counterparts across all market caps, but particularly within the small-cap space. Small banks, which make up a large portion of the Index, lagged the rest of the market. In addition, resurgence in oil prices sent growth-oriented oil service stocks higher. The reversal in U.S. markets off of the March lows continued throughout the third quarter of 2009, as cyclical and higher beta stocks led the charge. The U.S. dollar weakened considerably in the second half of the year as investors increased their risk tolerance and commodity prices moved higher. The Technology sector, which was the only sector that had positive absolute performance for the fiscal year, continued to fare well as investors rewarded companies with high levels of free cash flow and solid balance sheets that have gained market share and are well-positioned to capitalize on the potential economic rebound. From a factor perspective, momentum and historical-growth factors underperformed dramatically, while small-size and traditional-value factors outperformed on a relative basis.
IV. Return vs. Benchmark
For the year ended September 30, 2009, the Small Cap Value Fund, Class A, outperformed the Russell 2000 Value Index (the “Index”), returning (9.31)% versus the Index return of (12.61)%.
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 11 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Small Cap Value Fund (Concluded)
V. Fund Attribution
The Fund’s outperformance was driven by strong security selection during a volatile market environment. In particular, strong stock selection in the Financials sector as well as the Industrials sector drove the majority of the Fund’s relative outperformance. Sector positioning also added to performance. The Fund’s diversified sources of return, particularly its structural weight to a micro-cap manager, benefited as micro-caps have rebounded sharply since the March lows. The Fund’s exposure to traditional “deep” value factors also benefited performance over the entire period. Exposure to near-term price momentum drove strong security selection in early cyclicals, especially within Financials and Materials. Other positive contributors were an overweight to Information Technology and an underweight to regional banks, which remain exposed to commercial real estate issues and have lagged the overall market.
Small Cap Value Fund:
AVERAGE ANNUAL TOTAL RETURN1
| One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||
| Small Cap Value Fund, Class A | (9.31)% | (5.53)% | 2.43% | 7.90% | 9.54% | |||||
| Small Cap Value Fund, Class I | (9.59)% | (5.78)% | 2.17% | 7.57% | 9.18% |
Comparison of Change in the Value of a $100,000 Investment in the Small Cap Value Fund, Class A and Class I, versus the Russell 2000 Value Index
| 1 | For the period ended 9/30/09. Past performance is no indication of future performance. Class I Shares performance for the period prior to 2/11/02 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 12/20/94 and Class I Shares were offered beginning 2/11/02. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
| 12 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Small Cap Growth Fund
I. Objective
The Small Cap Growth Fund (the “Fund”) seeks to provide capital appreciation by investing primarily in the equity securities of small companies in the U.S., using a growth-focused style.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilizes the following sub-advisers as of September 30, 2009: AQR Capital Management, LLC, Janus Capital Management, Inc., Lee Munder Investments, Ltd., Los Angeles Capital Management and Equity Research, Inc. and Oppenheimer Capital LLC. Mazama Capital Management was terminated and AQR Capital Management LLC was added to the Fund during the fiscal year.
III. Market Commentary
The Fund’s fiscal year was marked by a “tale of two tapes.” For the first six months of the fiscal year leading up to the March lows, equity markets were under sharp pressure. In March, there was a sharp inflection point in the markets, as trends reversed and valuations reverted back to the mean. Following the collapse of Lehman Brothers, companies’ earnings and forward outlooks deteriorated, and economic output came to a screeching halt. Job losses accelerated throughout the first half of the fiscal period, exacerbating the loss of consumer confidence. As credit markets seized up and liquidity became scarce, and the Federal Reserve (the “Fed”) and Treasury responded by instituting programs of historic proportion in order to stave off a complete collapse of the U.S. financial system.
The Fed and Treasury provided ample liquidity by boosting the money supply and driving interest rates lower. With the creation of the Troubled Asset Relief Programs I and II, as well as the Term Asset-Backed Securities Loan Facility and Public Private Investment Program, credit markets began to thaw and credit spreads narrowed. Government policies combined with the Fed’s decision to use quantitative easing were the main catalysts to the March reversal. Also, several of the major banks indicated that their operating revenues for the first nine months of 2009 were positive, setting a
bullish tone in the Financials sector, which had sold off nearly 50% heading into early March amidst concerns of potential nationalization. Heading into the second half of the fiscal year, markets rebounded strongly as leading economic indicators pointed to “green shoots.” Economic deterioration began to decelerate; most notably, consumer sentiment rebounded, manufacturing activity strengthened and orders for durable and capital goods increased. Investors were hopeful that recovery would follow, driven by businesses re-stocking inventory in anticipation of future growth. The jobs picture also improved although it remains weak; the U.S. economy shed jobs at a much slower pace for the second half of the fiscal year than it did for the first half. Monetary policy remains aggressively positioned, and the Fed has indicated that it intends to keep rates low to fight the possibility of further asset deflation.
During the fiscal year, small-cap stocks outperformed their large-cap brethren, and growth-oriented stocks outperformed their value-oriented counterparts across all market caps, but particularly within the small-cap space. Small banks, which make up a large portion of the small-cap value index, lagged the rest of the market. In addition, resurgence in oil prices sent growth-oriented oil service stocks higher. The reversal in U.S. markets off of the March lows continued throughout the third quarter of 2009, as cyclical and higher beta stocks led the charge. The U.S. dollar weakened considerably in the second half of the year as investors increased their risk tolerance and commodity prices moved higher. The Technology sector, which was the only sector that had positive absolute performance for the fiscal year, continued to fare well as investors rewarded companies with high levels of free cash flow and solid balance sheets that have gained market share and are well-positioned to capitalize on the potential economic rebound. From a factor perspective, momentum and historical-growth factors underperformed dramatically, while small-size and traditional-value factors outperformed on a relative basis.
IV. Return vs. Benchmark
For the year ended September 30, 2009, the Small Cap Growth Fund, Class A, underperformed the Russell 2000 Growth Index (the “Index”), returning (7.27)% versus the Index return of (6.32)%.
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 13 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Small Cap Growth Fund (Concluded)
V. Fund Attribution
The Fund’s underperformance was driven by poor security selection during a volatile market environment. The de-leveraging process that occurred in late 2008 and early 2009 led to heavy redemptions by hedge funds. This led to a technical mispricing of higher quality, institutional growth stocks, which dramatically underperformed due to liquidity and other non-fundamental factors. The Fund’s poor stock selection, particularly in the Consumer Discretionary sector, weighed heavily on performance in the first half of the fiscal year. Also, the Fund was overweight momentum, which detracted from performance. An overweight and emphasis on earnings momentum drove negative stock selection, but broad based, strong stock selection within the Financials, Energy, and Consumer Discretionary sectors contributed positively. Finally, the Fund’s poor stock selection in the Healthcare sector, the Pharmaceutical & Biotech industries in particular, weighed on performance in the second half of the fiscal year.
Small Cap Growth Fund:
AVERAGE ANNUAL TOTAL RETURN1
| One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||
| Small Cap Growth Fund, Class A | (7.27)% | (8.65)% | (1.34)% | 0.17% | 7.60% | |||||
| Small Cap Growth Fund, Class I | (7.51)% | (8.90)% | (1.61)% | (0.12)% | 7.26% |
Comparison of Change in the Value of a $100,000 Investment in the Small Cap Growth Fund, Class A and Class I, versus the Russell 2000 Growth Index
| 1 | For the period ended 9/30/09. Past performance is no indication of future performance. Class I Shares performance for the period prior to 8/6/01 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 4/20/92 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
| 14 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Tax-Managed Small Cap Fund
I. Objective
The Tax-Managed Small Cap Fund (the “Fund”) aims to provide high long-term after-tax returns by buying and holding small-cap U.S. companies over a long period of time.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilizes the following sub-advisers as of September 30, 2009: Lee Munder Investments, Ltd., Los Angeles Capital Management and Equity Research, Inc., LSV Asset Management, Wellington Management Company, LLP, Wells Capital Management, Inc. and Parametric Portfolio Associates. Wellington Management Company, LLC was added to the Fund, and Blackrock Capital Management, Inc., Neuberger Berman Management LLC and McKinley Capital Management Inc. (“McKinley”) were terminated from the Fund during the fiscal year.
III. Market Commentary
The Fund’s fiscal year was marked by a “tale of two tapes.” For the first six months of the fiscal year leading up to the March lows, equity markets were under sharp pressure. In March, there was a sharp inflection point in the markets, as trends reversed and valuations reverted back to the mean. Following the collapse of Lehman Brothers, companies’ earnings and forward outlooks deteriorated, and economic output came to a screeching halt. Job losses accelerated throughout the first half of the fiscal period, exacerbating the loss of consumer confidence. As credit markets seized up and liquidity became scarce, and the Federal Reserve (the “Fed”) and Treasury responded by instituting programs of historic proportion in order to stave off a complete collapse of the U.S. financial system.
The Fed and Treasury provided ample liquidity by boosting the money supply and driving interest rates lower. With the creation of the Troubled Asset Relief Programs I and II, as well as the Term Asset-Backed Securities Loan Facility and Public Private Investment Program, credit markets began to thaw and credit spreads narrowed. Government policies combined with the Fed’s decision to use quantitative easing were the main catalysts to the March reversal.
Also, several of the major banks indicated that their operating revenues for the first nine months of 2009 were positive, setting a bullish tone in the Financials sector, which had sold off nearly 50% heading into early March amidst concerns of potential nationalization. Heading into the second half of this fiscal year, markets rebounded strongly as leading economic indicators pointed to “green shoots.” Economic deterioration began to decelerate; most notably, consumer sentiment rebounded, manufacturing activity strengthened and orders for durable and capital goods increased. Investors were hopeful that recovery would follow, driven by businesses re-stocking inventory in anticipation of future growth. The jobs picture also improved although it remains weak; the U.S. economy shed jobs at a much slower pace for the second half of the fiscal year than it did for the first half. Monetary policy remains aggressively positioned, and the Fed has indicated that it intends to keep rates low to fight the possibility of further asset deflation.
In the period, small-cap stocks outperformed their large-cap brethren, and growth-oriented stocks outperformed their value-oriented counterparts across all market caps, but particularly within the small-cap space. Small banks, which make up a large portion of the Index, lagged the rest of the market. In addition, resurgence in oil prices sent growth-oriented oil service stocks higher. The reversal in U.S. markets off of the March lows continued throughout the third quarter of 2009, as cyclical and higher beta stocks led the charge. The U.S. dollar weakened considerably in the second half of the year as investors increased their risk tolerance and commodity prices moved higher. The Technology sector, which was the only sector that had positive absolute performance for the fiscal year, continued to fare well as investors rewarded companies with high levels of free cash flow and solid balance sheets that have gained market share and are well-positioned to capitalize on the potential economic rebound. From a factor perspective, momentum and historical-growth factors underperformed dramatically, while small-size and traditional-value factors outperformed on a relative basis.
IV. Return vs. Benchmark
For the year ended September 30, 2009, the Tax-Managed Small Cap Fund, Class A, underperformed the Russell 2500 Index (the “Index”), returning (6.62)% versus the Index return of (5.68)%.
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 15 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Tax-Managed Small Cap Fund (Concluded)
V. Fund Attribution
The Fund underperformed in this difficult market environment. The majority of underperformance occurred in the fourth quarter of 2008, a period marked by significant technical factors in the market. In particular there was significant short covering of the Russell 2000 ETF (“Exchange Traded Fund”) and Regional Bank ETF, which we believe drove a temporary decoupling of stock prices from underlying fundamentals. During this period, there was a significant imbalance between general active fund management performance and the index. Over the entire fiscal year, the Fund posted poor performance on a relative basis, principally due to negative stock selection in the Consumer Discretionary and Industrials sectors. The core quantitative managers underperformed, as it was a very challenging environment for quantitative management. The combination of very high factor volatility, a significant inflection point in March and the negative impact of deleveraging on higher-quality stocks weighed heavily on these managers. The value managers helped mitigate some of the relative underperformance, with a majority outperforming their respective index, the Russell 2500 Value Index, by a fairly wide margin. Finally, the Fund was overweight momentum during the year, which detracted from performance. In particular, the allocation to McKinley, a manager that was terminated in the third quarter of 2009, detracted from performance due to the model’s overweight and emphasis on earnings momentum, which resulted in negative stock selection.
Tax-Managed Small Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
| One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||
| Tax-Managed Small Cap Fund, Class A | (6.62)% | (6.01)% | 1.14% | 2.36% |
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Small Cap Fund, versus the Russell 2500 Index
| 1 | For the period ended 9/30/09. Past performance is no indication of future performance. Fund shares were offered beginning 10/31/00. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower |
| 16 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Small/Mid Cap Diversified Alpha Fund
I. Objective
The Small/Mid Cap Diversified Alpha Fund (the “Fund”) seeks to provide capital appreciation by investing in the equity securities of small companies in the U.S. as well as other equity securities, derivatives and fixed-income securities, with the aim of diversifying the relative risk of the Fund and adding to the Fund’s excess returns.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilizes the following sub-advisers as of September 30, 2009: Declaration Management and Research LLC, Integrity Asset Management LLC, Los Angeles Capital Management and Equity Research, Inc., Martingale Asset Management, L.P., PanAgora Asset Management, Inc. and Wellington Management Company LLP. For the fiscal year, Smith Breeden Associates, Inc. was terminated and Declaration Management and Research LLC was added.
III. Market Commentary
The Fund’s fiscal year was marked by a “tale of two tapes.” For the first six months of the fiscal year leading up to the March lows, equity markets were under sharp pressure. In March, there was a sharp inflection point in the markets, as trends reversed and valuations reverted back to the mean. Following the collapse of Lehman Brothers, companies’ earnings and forward outlooks deteriorated, and economic output came to a screeching halt. Job losses accelerated throughout the first half of the fiscal period, exacerbating the loss of consumer confidence. As credit markets seized up and liquidity became scarce, and the Federal Reserve (the “Fed”) and Treasury responded by instituting programs of historic proportion in order to stave off a complete collapse of the U.S. financial system.
The Fed and Treasury provided ample liquidity by boosting the money supply and driving interest rates lower. With the creation of the Troubled Asset Relief Programs I and II, as well as the Term Asset-Backed Securities Loan Facility and Public Private Investment Program, credit markets began to thaw and credit spreads narrowed. Government policies combined with the Fed’s decision to use
quantitative easing were the main catalysts to the March reversal. Also, several of the major banks indicated that their operating revenues for the first nine months of 2009 were positive, setting a bullish tone in the Financials sector, which had sold off nearly 50% heading into early March amidst concerns of potential nationalization. Heading into the second half of the fiscal year, markets rebounded strongly as leading economic indicators pointed to “green shoots.” Economic deterioration began to decelerate; most notably, consumer sentiment rebounded, manufacturing activity strengthened and orders for durable and capital goods increased. Investors were hopeful that recovery would follow, driven by businesses re-stocking inventory in anticipation of future growth. The jobs picture also improved although it remains weak; the U.S. economy shed jobs at a much slower pace for the second half of the fiscal year than it did for the first half. Monetary policy remains aggressively positioned, and the Fed has indicated that it intends to keep rates low to fight the possibility of further asset deflation.
During the fiscal year, small-cap stocks outperformed their large-cap brethren, and growth-oriented stocks outperformed their value-oriented counterparts across all market caps, but particularly within the small-cap space. Small banks, which make up a large portion of the Index, lagged the rest of the market. In addition, resurgence in oil prices sent growth-oriented oil service stocks higher. The reversal in U.S. markets off of the March lows continued throughout the third quarter of 2009, as cyclical and higher beta stocks led the charge. The U.S. dollar weakened considerably in the second half of the year as investors increased their risk tolerance and commodity prices moved higher. The Technology sector, which was the only sector that had positive absolute performance for the fiscal year, continued to fare well as investors rewarded companies with high levels of free cash flow and solid balance sheets that have gained market share and are well-positioned to capitalize on the potential economic rebound. From a factor perspective, momentum and historical-growth factors underperformed dramatically, while small-size and traditional-value factors outperformed on a relative basis.
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 17 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Small/Mid Cap Diversified Alpha Fund (Concluded)
IV. Return vs. Benchmark
For the year ended September 30, 2009, the Small/Mid Cap Diversified Alpha Fund, Class A, underperformed the Russell 2500 Index (the “Index”), returning (15.05)% versus the Index return of (5.68)%.
V. Fund Attribution
The Fund underperformed in this fiscal year, primarily due to its allocation to the portable-alpha strategy, which significantly underperformed as credit spreads widened to historic levels. The portable-alpha component of the Fund detracted from performance, particularly in the first half of the fiscal year, due to significant underperformance in the spread (securitized) sectors of the fixed-income market. The portable alpha component had large overweights to mortgage-backed and asset-backed securities, which lost value as bids for securitized markets all but evaporated and formalized pricing mechanisms disappeared. Also, the Fund’s quantitative managers struggled in an environment marked by volatile factor performance. Their quality and momentum exposures drove poor security selection. An underweight to Consumer Discretionary weighed on the Fund’s performance, as many of these names benefited from a low-quality rally in the second half of the fiscal year. Also, the Fund’s poor stock selection in the Energy sector negatively impacted performance as this sector continued to rebound sharply. Oil prices rallied close to 41% on hopes of an economic recovery by year end, and the U.S. dollar has weakened since April 2009. Quantitative models with quality and momentum exposure drove negative stock selection throughout the period. Finally, on the positive side, the Fund’s exposure to growth helped mitigate some of the downside, benefiting from strong stock selection in the Financials, Energy and Consumer Discretionary sectors.
Small/Mid Cap Diversified Alpha Fund:
AVERAGE ANNUAL TOTAL RETURN1
| One Year Return | Annualized Inception to Date | |||
| Small/Mid Cap Diversified Alpha Fund, Class A | (15.05)% | (15.54)% | ||
| Small/Mid Cap Diversified Alpha Fund, Class I | (15.40)% | (15.76)% |
Comparison of Change in the Value of a $100,000 Investment in the Small/Mid Cap Diversified Alpha Fund, Class A and Class I, versus the Russell 2500 Index
| 1 | For the period ended 9/30/09. Past performance is no indication of future performance. Class I Shares performance for the period prior to 10/01/07 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I Shares. Class A Shares were offered beginning 12/20/06 and Class I Shares were offered beginning 10/01/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
| 18 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Mid-Cap Fund
I. Objective:
The Mid-Cap Fund (the “Fund”) seeks to provide long-term capital appreciation by investing primarily in the equity securities of medium-sized companies in the U.S.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilizes the following sub-advisers as of September 30, 2009: Martingale Asset Management, L.P. and Quantitative Management Associates, LLC. No manager changes were made during the period.
III. Market Commentary
The Fund’s fiscal year was marked by a “tale of two tapes.” For the first six months of the fiscal year leading up to the March lows, equity markets were under sharp pressure. In March, there was a sharp inflection point in the markets, as trends reversed and valuations reverted back to the mean. Following the collapse of Lehman Brothers, companies’ earnings and forward outlooks deteriorated, and economic output came to a screeching halt. Job losses accelerated throughout the first half of the fiscal period, exacerbating the loss of consumer confidence. As credit markets seized up and liquidity became scarce, and the Federal Reserve (the “Fed”) and Treasury responded by instituting programs of historic proportion in order to stave off a complete collapse of the U.S. financial system.
The Fed and Treasury provided ample liquidity by boosting the money supply and driving interest rates lower. With the creation of the Troubled Asset Relief Programs I and II, as well as the Term Asset-Backed Securities Loan Facility and Public Private Investment Program, credit markets began to thaw and credit spreads narrowed. Government policies combined with the Fed’s decision to use quantitative easing were the main catalysts to the March reversal. Also, several of the major banks indicated that their operating revenues for the first nine months of 2009 were positive, setting a bullish tone in the Financials sector, which had sold off nearly 50% heading into early March amidst concerns of potential nationalization. Heading into the second half of this fiscal year, markets rebounded
strongly as leading economic indicators pointed to “green shoots.” Economic deterioration began to decelerate; most notably, consumer sentiment rebounded, manufacturing activity strengthened and orders for durable and capital goods increased. Investors were hopeful that recovery would follow, driven by businesses re-stocking inventory in anticipation of future growth. The jobs picture also improved although it remains weak; the U.S. economy shed jobs at a much slower pace for the second half of the fiscal year than it did for the first half. Monetary policy remains aggressively positioned, and the Fed has indicated that it intends to keep rates low to fight the possibility of further asset deflation.
In the period, small-cap stocks outperformed their large-cap brethren, and growth-oriented stocks outperformed their value-oriented counterparts across all market caps, but particularly within the small-cap space. Small banks, which make up a large portion of the Index, lagged the rest of the market. In addition, resurgence in oil prices sent growth-oriented oil service stocks higher. The reversal in U.S. markets off of the March lows continued throughout the third quarter of 2009, as cyclical and higher beta stocks led the charge. The U.S. dollar weakened considerably in the second half of the year as investors increased their risk tolerance and commodity prices moved higher. The Technology sector, which was the only sector that had positive absolute performance for the fiscal year, continued to fare well as investors rewarded companies with high levels of free cash flow and solid balance sheets that have gained market share and are well-positioned to capitalize on the potential economic rebound. From a factor perspective, momentum and historical-growth factors underperformed dramatically, while small-size and traditional-value factors outperformed on a relative basis.
IV. Return vs. Benchmark
For the year ended September 30, 2009, the Mid-Cap Fund, Class A, underperformed the Russell Mid-Cap Index (the “Index”), returning (5.34)% versus the Index return of (3.55)%.
V. Fund Attribution
The Fund’s underperformance was driven by poor security selection during a volatile market environment. In particular, volatile factor performance weighed on both quantitative managers. Their exposure
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 19 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Mid-Cap Fund (Concluded)
to quality and momentum resulted in poor stock selection in the Consumer Discretionary, Information Technology and Industrials sectors. Particularly within the Consumer Discretionary sector, the Fund’s underweight detracted from performance, as several retail stocks rallied sharply in the second half of the period. Also, the Fund’s positioning in transports detracted from performance, as this industry also rallied sharply on the back of improving economic indicators.
Mid-Cap Fund:
AVERAGE ANNUAL TOTAL RETURN1
| One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||
| Mid-Cap Fund, Class A | (5.34)% | (6.05)% | 2.89% | 6.03% | 8.56% | |||||
| Mid-Cap Fund, Class I | (5.47)% | (6.27)% | 2.63% | 5.74% | 8.25% |
Comparison of Change in the Value of a $100,000 Investment in the Mid-Cap Fund, Class A and Class I, versus the Russell Mid-Cap Index
| 1 | For the period ended 9/30/09. Past performance is no indication of future performance. Class I Shares performance for the period prior to 10/01/07 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I Shares. Class A Shares were offered beginning 2/16/93 and Class I Shares were offered beginning 10/01/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
| 20 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
U.S. Managed Volatility Fund
I. Objective
The U.S. Managed Volatility Fund (the “Fund”) aims to provide capital appreciation with less volatility (measured by standard deviation) than the broad U.S. equity markets, as measured by the S&P 500 Index (the “Index”).
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilizes the following sub-advisers as of September 30, 2009: Analytic Investors, LLC and Aronson+Johnson+Ortiz, LP. During the year ended September 30, 2009, no manager changes were made.
III. Market Commentary
For the first six months of the fiscal year leading up to the March lows, equity markets were under sharp pressure. In March, there was a sharp inflection point in the markets, as trends reversed and valuations reverted back to the mean. Following the collapse of Lehman Brothers, companies’ earnings and forward outlooks deteriorated, and economic output came to a screeching halt. Job losses accelerated throughout the first half of the fiscal period, exacerbating the loss of consumer confidence. As credit markets seized up and liquidity became scarce, and the Federal Reserve (the “Fed”) and Treasury responded by instituting programs of historic proportion in order to stave off a complete collapse of the U.S. financial system.
The Fed and Treasury provided ample liquidity by boosting the money supply and driving interest rates lower. With the creation of the Troubled Asset Relief Programs I and II, as well as the Term Asset-Backed Securities Loan Facility and Public Private Investment Program, credit markets began to thaw and credit spreads narrowed. Government policies combined with the Fed’s decision to use quantitative easing were the main catalysts to the March reversal. Also, several of the major banks indicated that their operating revenues for the first nine months of 2009 were positive, setting a bullish tone in the Financials sector, which had sold off nearly 50% heading into early March amidst concerns of potential nationalization.
Heading into the second half of the fiscal year, markets rebounded strongly as leading economic indicators pointed to “green shoots.” Economic deterioration began to decelerate; most notably, consumer sentiment rebounded, manufacturing activity strengthened and orders for durable and capital goods increased. Investors were hopeful that recovery would follow, driven by businesses re-stocking inventory in anticipation of future growth. The jobs picture also improved although it remains weak; the U.S. economy shed jobs at a much slower pace for the second half of the fiscal year than it did for the first half. Monetary policy remains aggressively positioned, and the Fed has indicated that it intends to keep rates low to fight the possibility of further asset deflation.
During the fiscal year, small-cap stocks outperformed their large-cap brethren, and growth-oriented stocks outperformed their value-oriented counterparts across all market caps. The reversal in U.S. markets off of the March lows continued throughout the third quarter of 2009, as cyclical and higher beta stocks led the charge. The U.S. dollar weakened considerably in the second half of the year as investors increased their risk tolerance and commodity prices moved higher. The Technology sector, which was the only sector that had positive absolute performance for the fiscal year, continued to fare well as investors rewarded companies with high levels of free cash flow and solid balance sheets that have gained market share and are well-positioned to capitalize on the potential economic rebound. From a factor perspective, momentum and historical-growth factors underperformed dramatically, while small-size and traditional-value factors outperformed on a relative basis.
IV. Return vs. Benchmark
For the year ended September 30, 2009, the U.S. Managed Volatility Fund, Class A, underperformed the Index, returning (12.88)% versus the Index return of (6.91)%.
V. Fund Attribution
Given the Fund is not managed against a specific index; we would expect it to vary significantly from the broad market performance on a shorter-term basis. In particular, the Fund generally favors defensive stocks such as Utilities and Consumer Staples, and largely avoids stocks with high beta, such as Information Technology. We would
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 21 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
U.S. Managed Volatility Fund (Concluded)
expect the Fund to have a difficult time keeping up when markets are rallying sharply, but we also expect it to provide some downside protection in bear markets. The Fund underperformed over the fiscal year due to the sharp low-quality rally since the lows in March, which has led to the highest-beta sectors dramatically outperforming. The resulting flight-from-quality has negatively impacted performance, as markets have rallied more than 50% off the lows. For the fiscal year, an underweight to the low-quality stocks in the Financials sector (which disproportionately outperformed in the rally since March), underweights to Information Technology and Consumer Discretionary stocks, as well as an overweight to Consumer Staples weighed on the Fund’s relative performance.
U.S. Managed Volatility Fund:
AVERAGE ANNUAL TOTAL RETURN1
| One Year Return | Annualized 3 Year Return | Annualized Inception to Date | ||||
| U.S. Managed Volatility Fund, Class A | (12.88)% | (3.95)% | 1.89% | |||
| U.S. Managed Volatility Fund, Class I | (13.17)% | (4.28)% | 1.51% |
Comparison of Change in the Value of a $150,000 Investment in the U.S. Managed Volatility Fund, Class A and Class I, versus the S&P 500 Index
| 1 | For the period ended 9/30/09. Past performance is no indication of future performance. Class I Shares performance for the period prior to 6/29/07 is performance derived from the performance of the Class A Shares. The performance of the Class I Shares may be lower then the performance of the Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 10/28/04 and Class I Shares were offered beginning 6/29/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
| 22 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Global Managed Volatility Fund
I. Objective
The Global Managed Volatility Fund (the “Fund”) aims to provide capital appreciation while having lower volatility than the broad global equity markets.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilizes the following sub-advisers as of September 30, 2009: Acadian Asset Management, LLC and Analytic Investors, LLC. No manager changes were made during the fiscal year.
III. Market Commentary
The global economic crisis continued to work its way through major economies such as the U.S., U.K., Europe and Japan in the latter half of 2008 and the beginning of 2009. Equity markets were characterized by steep declines, sharp reversals and increased volatility. This was especially apparent in the Financials, Energy and Materials sectors. In early March 2009, global markets began a powerful rally. Strong fiscal and monetary stimulus plans from governments around the world seemed to positively impact the fight against recession. In general, equity markets delivered sizable gains by the end of September; however, continued high unemployment, further potential bank losses and mixed economic results have remained risks to a rapid recovery.
Asia Pacific ex-Japan was the strongest performing region during the year, as it benefited from global credit markets, increasing commodity prices and stronger economic conditions relative to its peers. Japan and Europe lagged with mixed economic data for the fiscal year. The fourth quarter of 2008 and early 2009 were characterized by extreme risk aversion and a preference for more defensive sectors. In contrast, cyclical sectors such as Financials and Materials led the market rally in the second and third quarters of 2009.
IV. Return vs. Benchmark
For the year ended September 30, 2009, the Global Managed Volatility Fund, Class A, underperformed the MSCI World Index (the “Index”), returning (13.78)% versus the Index return of (2.29)%.
V. Fund Attribution
The Fund’s annualized standard deviation (the higher the standard deviation, the more volatile the returns) over the year was 21%, which compared favorably to MSCI World Index’s 35% annualized standard deviation for the same period, in accordance with the Fund’s design. The Fund’s lower volatility helped to limit its losses compared to the broader global equity markets throughout the credit crisis. Nevertheless, it means that the Fund will lag the Index in strongly rising global equity markets, as was the case during the latter part of the year.
The Fund’s built-in preference for stocks with a low beta hampered returns as the strongly rallying markets favored higher-beta stocks. A defensive sector positioning, including overweight’s to Consumer Staples, Health Care, Utilities and Telecommunications helped during the credit crisis, declining by less than the overall market and providing downside protection. However, this positioning hurt the Fund during the latter part of the year, as these areas lagged amid solidifying recovery hopes. Underweight stances in Financials, Information Technology and Materials similarly weighed on relative performance.
By design, the Fund has a large allocation to defensive sectors with low volatility, as mentioned above, while largely avoiding volatile Information Technology, Energy, Financials and Materials stocks. More importantly, within sectors, the managers emphasize stocks with lower beta and lower stock-specific volatility.
Although value factors are exploited by the managers’ models, the current high volatility of cheap Financials stocks makes them unattractive. As a result of this tendency to shy away from Financials, the Fund remains underweight to value stocks overall. Nonetheless, over the quarter, Fund managers have somewhat increased their exposure to cyclical and value stocks. This suggests that some of the stocks that were previously considered too volatile, or risky, are now becoming attractive for the Global Managed Volatility mandate. Nevertheless, both managers remain strongly defensively positioned.
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 23 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Global Managed Volatility Fund (Concluded)
Global Managed Volatility Fund:
AVERAGE ANNUAL TOTAL RETURN1
| One Year Return | Annualized 3 Year Return | Annualized Inception to Date | ||||
Global Managed Volatility Fund, Class A | (13.78)% | (7.52)% | (6.05)% | |||
Global Managed Volatility Fund, Class I | (13.97)% | (7.86)% | (6.40)% |
Comparison of Change in the Value of a $100,000 Investment in the Global Managed Volatility Fund, Class A and Class I, versus the Morgan Stanley MSCI World Index
| 1 | For the period ended 9/30/09. Past performance is no indication of future performance. Class I Shares performance for the period prior to 6/29/07 is performance derived from the performance of the Class A Shares. The performance of the Class I Shares may be lower then the performance of the Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 7/27/06 and Class I Shares were offered beginning 6/29/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
| 24 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Tax-Managed Managed Volatility Fund
I. Objective
The Tax-Managed Managed Volatility Fund (the “Fund”) aims to maximize after-tax returns, but with less volatility (measured by standard deviation) than the broad U.S. equity markets, as measured by the Russell 3000 Index.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilizes the following sub-advisers as of September 30, 2009: Analytic Investors, LLC, Aronson+Johnson+Ortiz, LP and Parametric Portfolio Associates. During the one-year period ending September 30, 2009, no manager changes were made.
III. Market Commentary
For the first six months of the fiscal year leading up to the March lows, equity markets were under sharp pressure. In March, there was a sharp inflection point in the markets, as trends reversed and valuations reverted back to the mean. Following the collapse of Lehman Brothers, companies’ earnings and forward outlooks deteriorated, and economic output came to a screeching halt. Job losses accelerated throughout the first half of the fiscal period, exacerbating the loss of consumer confidence. As credit markets seized up and liquidity became scarce, and the Federal Reserve (the “Fed”) and Treasury responded by instituting programs of historic proportion in order to stave off a complete collapse of the U.S. financial system.
The Fed and Treasury provided ample liquidity by boosting the money supply and driving interest rates lower. With the creation of the Troubled Asset Relief Programs I and II, as well as the Term Asset-Backed Securities Loan Facility and Public Private Investment Program, credit markets began to thaw and credit spreads narrowed. Government policies combined with the Fed’s decision to use quantitative easing were the main catalysts to the March reversal. Also, several of the major banks indicated that their operating revenues for the first nine months of 2009 were positive, setting a bullish tone in the Financials sector, which had sold off nearly 50% heading into early March amidst concerns of potential nationalization.
Heading into the second half of the fiscal year, markets rebounded strongly as leading economic indicators pointed to “green shoots.” Economic deterioration began to decelerate; most notably, consumer sentiment rebounded, manufacturing activity strengthened and orders for durable and capital goods increased. Investors were hopeful that recovery would follow, driven by businesses re-stocking inventory in anticipation of future growth. The jobs picture also improved although it remains weak; the U.S. economy shed jobs at a much slower pace for the second half of the fiscal year than it did for the first half. Monetary policy remains aggressively positioned, and the Fed has indicated that it intends to keep rates low to fight the possibility of further asset deflation.
During the fiscal year, small-cap stocks outperformed their large-cap brethren, and growth-oriented stocks outperformed their value-oriented counterparts across all market caps. The reversal in U.S. markets off of the March lows continued throughout the third quarter of 2009, as cyclical and higher beta stocks led the charge. The U.S. dollar weakened considerably in the second half of the year as investors increased their risk tolerance and commodity prices moved higher. The Technology sector, which was the only sector that had positive absolute performance for the fiscal year, continued to fare well as investors rewarded companies with high levels of free cash flow and solid balance sheets that have gained market share and are well-positioned to capitalize on the potential economic rebound. From a factor perspective, momentum and historical-growth factors underperformed dramatically, while small-size and traditional-value factors outperformed on a relative basis.
IV. Return vs. Benchmark
For the year ended September 30, 2009, the Tax-Managed Managed Volatility Fund, Class A, underperformed the Russell 3000 Index, returning (8.28)% versus the index return of (6.42)%.
V. Fund Attribution
Given the Fund is not managed against a specific index; we would expect it to vary significantly from the broad market performance on a shorter-term basis. In particular, the Fund generally favors defensive stocks such as Utilities and Consumer Staples, and largely avoids stocks with high beta, such as Information Technology. We would
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 25 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Tax-Managed Managed Volatility Fund (Concluded)
expect the Fund to have a difficult time keeping up when markets are rallying sharply, but we also expect it to provide some downside protection in bear markets. The Fund underperformed over the fiscal year due to the sharp low-quality rally since the March lows, where the highest-beta sectors dramatically outperformed. The resulting flight-from-quality has negatively impacted performance, as markets have rallied more than 50% off their lows. For the fiscal year, an underweight to low-quality stocks in the Financials sector (which disproportionately outperformed in the rally since March), underweights to Information Technology and Consumer Discretionary stocks, as well as an overweight to Consumer Staples weighed on the Fund’s relative performance. The Fund’s lower turnover rates due to its tax-management overlay process helped mitigate some of the downside in a period marked by high inter-stock volatility and wide sector dispersion.
Tax-Managed Managed Volatility Fund:
AVERAGE ANNUAL TOTAL RETURN1
| One Year Return | Annualized Inception to Date | |||
| Tax-Managed Managed Volatility Fund | (8.28)% | (9.79)% |
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Managed Volatility Fund, versus the Russell 3000 Index
| 1 | For the period ended 9/30/09. Past performance is no indication of future performance. Fund shares were offered beginning 12/20/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
| 26 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Real Estate Fund
I. Objective
The SIMT Real Estate Fund (“the Fund”) seeks to provide current income and capital appreciation by investment in the equity securities of real estate companies.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilizes the following sub-advisers as of September 30, 2009: Security Capital Research & Management, Inc. and Wellington Management Company, LLP. No manager changes were made during the period.
III. Market Commentary
The Fund’s fiscal year was marked by a “tale of two tapes.” For the first six months of the fiscal year leading up to the March lows, real estate markets were under pressure. In March, there was a sharp inflection point in the markets, as trends reversed and valuations reverted back to the mean. Following the collapse of Lehman Brothers, investors worried about evaporating credit. Job losses accelerated throughout the first half of the fiscal period, exacerbating the loss of consumer and business confidence and resulting in massive cost-cutting efforts. As credit markets seized up and liquidity became scarce, and the Federal Reserve (the “Fed”) and Treasury responded by instituting programs of historic proportion in order to stave off a collapse of the U.S. financial system.
The Fed and Treasury provided ample liquidity by boosting the money supply and driving interest rates lower. With the creation of the Troubled Asset Relief Programs I and II, as well as the Term Asset-Backed Securities Loan Facility and Public Private Investment Program, credit markets began to thaw and credit spreads narrowed. Government policies such as the adoption of the American Recovery & Reinvestment Act combined with the Fed’s decision quantitative easing were the main catalysts to the March reversal. Also, several of the major banks indicated that their operating revenues for the first nine months of 2009 were positive, setting a bullish tone in the Financials sector, which had sold off nearly 50% heading into early March amidst concerns of potential nationalization. Real Estate
Investment Trust (“REIT”) markets moved higher as credit conditions eased and banks worked out loans to avoid REIT bankruptcies, which was a positive occurrence for both industries. The labor market also improved but remained weak; the U.S. economy shed jobs at a much slower pace for the second half of the fiscal year than it did for the first half. Monetary policy remains aggressively positioned, and the Fed has indicated that it intends to keep rates low to fight the possibility of further asset deflation.
All nine REIT industries finished with negative absolute performance for the period. There was wide sector bifurcation, with industrial, strip center and regional mall industries lagging most. Since the market’s inflection point, low-quality assets have rallied the most making it a difficult market environment for active management to outperform. The breadth of investment expanded as the rally gained momentum. Many institutional and retail investors appear to be underinvested in REITs, which we believe is an advantage for the sector over the long term.
IV. Return vs. Benchmark
For the year ended September 30, 2009, the Real Estate Fund, Class A, outperformed the Wilshire U.S. Real Estate Securities Index (the “Index”), returning (28.69)% versus the Index return of (29.46)%.
V. Fund Attribution
The Fund outperformed its Index due to strong security selection in residential REITs, particularly apartments. Also, the Fund’s overweight and superior stock selection within the hotels industry benefited performance. However, by the end of the period, Fund managers trimmed this position to be flat relative to the Index due to valuation concerns. This industry posted the strongest performance in the period, driven by an increase in consumer sentiment and diminishing economic fears. The Fund benefited from strong security selection in the hotels and strip center industries. Superior security selection in the regional malls and apartments industries also contributed to Fund returns. However, exposure to off-benchmark names detracted from relative performance. In addition, poor security selection occurred during the crescendo of the REIT sell-off, which led to an increase in the quality bias. A focus on high-quality securities with strong balance sheets has struggled since the market inflection point, as low-quality assets have significantly outperformed.
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 27 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Real Estate Fund (Concluded)
Real Estate Fund:
AVERAGE ANNUAL TOTAL RETURN1
| One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized Inception to Date | |||||
| Real Estate Fund, Class A | (28.69)% | (14.58)% | 1.11% | 4.24% | ||||
| Real Estate Fund, Class I | (28.83)% | (14.78)% | 0.87% | 3.99% |
Comparison of Change in the Value of a $100,000 Investment in the Real Estate Fund, Class A and Class I, versus the Wilshire U.S. Real Estate Securities Index
| 1 | For the period ended 9/30/09. Past performance is no indication of future performance. Class I Shares performance for the period prior to 10/01/07 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I Shares. Class A Shares were offered beginning 11/13/03 and Class I Shares were offered beginning 10/01/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
| 28 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Enhanced Income Fund
I. Objective
Using multiple sub-advisers, the Enhanced Income Fund (the “Fund”) seeks to provide an enhanced return above 3-month LIBOR (London InterBank Offering Rate).
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with different investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilizes the following sub-advisers as of September 30, 2009: Ares Management LLC, Declaration Management & Research LLC, UBS Global Asset Management (Americas) Inc. and Wellington Management Company, LLP. For the year ended September 30, 2009, Ares Management was added to the Fund; Highland Capital Management, L.P. and Record Currency Management Limited were terminated.
III. Market Commentary
For the twelve months ending September 30, 2009, the U.S. fixed-income market continued to experience high volatility. The flight-to-quality that began in the second half of 2007 intensified in the fourth quarter of 2008 following the bankruptcy of Lehman Brothers. In early 2009, the market began to show signs of stability, as a series of government programs served to restore market liquidity and inspire investor confidence. Specifically, the Federal Reserve’s acquisition of agency mortgage-backed securities (a $1.25 trillion program) and Treasury securities (a $300 billion program), the Term Asset-Backed Securities Loan Facility and the Public-Private Investment Program all served to provide liquidity to the financial system and capital to the most stressed sectors of the market. Coming into 2009, thanks to the accommodative government efforts, the pace of economic contraction slowed, and credit market started to recover. Liquidity conditions and market sentiment dramatically improved, which was evidenced by strong corporate bond issuance, a significant tightening of yield spreads in residential mortgage-backed securities, consumer asset-backed securities and commercial mortgage-backed securities, a retreat of inter-bank lending rates, and a rising equity market. Encouraged by these developments, investors increased risk appetite and moved away from Treasury securities, driving a sharp credit rally
across all fixed-income spread sectors. The improved sentiment in the capital markets was accompanied by a notable increase in longer-term Treasury yields in 2009, as the ten-year Treasury exceeded 3.3% and thirty-year Treasury moved above 4.0%. The rise in yields was also driven by unprecedented increases in Treasury issuance.
IV. Return vs. Benchmark
For the year ended September 30, 2009, the Enhanced Income Fund, Class A, underperformed the 3-month LIBOR Index (the “Index”), returning (9.56)% versus the index return of 1.14%.
V. Fund Attribution
During the period, the enhanced-cash, bank-loan and currency strategies all detracted from performance. Due to the strong flight-to-safety in the fourth quarter of 2008, the portfolio’s large allocation to the non-Treasury sectors underperformed, which included the Fund’s allocations to non-agency mortgage-backed securities, commercial mortgage-backed securities and senior bank loans. Heavy exposure to non-agency mortgage-backed securities was the largest detractor. Although these securities experienced significant price volatility in 2008, most of the securities in the Fund were well-seasoned, short average-life securities at the top of the capital structure, which provided excellent default and loss protection. The Fund’s roughly 30% allocation to senior bank loans was the other major detractor from performance in 2008. Valuations in these below–investment-grade instruments fell dramatically during the period, despite their seniority in the capital structure, reflecting increased concerns about economic strength and corporate profitability. In 2009, the bank-loan sector rallied considerably as stronger demand overwhelmed the dearth of supply. The bank-loan market still appears attractive versus historical valuations as the average par value-weighted loan price remains below the prior cycle’s low price.
Finally, the Fund’s currency strategy hurt performance during the period due to the increase in volatility and underperformance of higher-yielding currencies. The recovery of the non-Treasury sectors in 2009 has not yet been sufficient to recover lost performance from the extreme market conditions that followed the Lehman bankruptcy, but we believe the portfolio remains positioned to benefit from further improvements.
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 29 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Enhanced Income Fund (Concluded)
Enhanced Income Fund:
AVERAGE ANNUAL TOTAL RETURN1
| One Year Return | Annualized 3 Year Return | Annualized Inception to Date | ||||
| Enhanced Income Fund, Class A | (9.56)% | (6.57)% | (5.90)% | |||
| Enhanced Income Fund, Class I | (9.79)% | (6.93)% | (6.27)% |
Comparison of Change in the Value of a $100,000 Investment in the Enhanced Income Fund, Class A and Class I, versus the 3-Month LIBOR Index
| 1 | For the period ended 9/30/09. Past performance is no indication of future performance. Class I Shares performance for the period prior to 6/29/07 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 7/27/06 and Class I Shares were offered beginning 6/29/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
| 30 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Core Fixed Income Fund
I. Objective
The Core Fixed Income Fund (the “Fund”) seeks to provide current income consistent with the preservation of capital.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with different investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilizes the following sub-advisers as of September 30, 2009: Metropolitan West Asset Management LLC, Wells Capital Management, Inc., Western Asset Management Company and Western Asset Management Company Limited. For the year ended September 30, 2009, J.P. Morgan Investment Management, Inc. and Smith Breeden Associates, Inc. were terminated.
III. Market Commentary
For the twelve months ending September 30, 2009, the U.S. fixed-income market continued to experience high volatility. The flight-to-quality that began in the second half of 2007 intensified in the fourth quarter of 2008 following the bankruptcy of Lehman Brothers. In early 2009, the market began to show signs of stability, as a series of government programs served to restore market liquidity and inspire investor confidence. Specifically, the Federal Reserve’s (the “Fed”) acquisition of agency mortgage-backed securities (a $1.25 trillion program) and Treasury securities (a $300 billion program), the Term Asset-Backed Securities Loan Facility (“TALF”) and the Public-Private Investment Program (“PPIP”) all served to provide liquidity to the financial system and capital to the most stressed sectors of the market. Coming into 2009, thanks to the accommodative government efforts, the pace of economic contraction slowed, and credit market started to recover. Liquidity conditions and market sentiment dramatically improved, which was evidenced by strong corporate bond issuance, a significant tightening of yield spreads in residential mortgage-backed securities, consumer asset-backed securities and commercial mortgage-backed securities, a retreat of inter-bank lending rates, and a rising equity market. Encouraged by these developments, investors increased risk appetite and moved away from Treasury securities, driving a sharp credit rally across all fixed-income
spread sectors. The improved sentiment in the capital markets was accompanied by a notable increase in longer-term Treasury yields in 2009, as the ten-year Treasury exceeded 3.3% and thirty-year Treasury moved above 4.0%. The rise in yields was also driven by unprecedented increases in Treasury issuance.
IV. Return vs. Benchmark
For the year ended September 30, 2009, the Core Fixed Income Fund, Class A, outperformed the Barclays Capital U.S. Aggregate Bond Index (the “Index”), returning 12.55% versus the Index return of 10.56%.
V. Fund Attribution
Due to the strong flight-to-safety in the fourth quarter of 2008, the Fund’s large allocation to the non-Treasury sectors underperformed, which included the Fund’s allocations to non-agency mortgage-backed securities (“MBS”), commercial mortgage-backed securities (“CMBS”) and corporate bonds, as well allocations to high yield and bank loans. As market conditions began to improve in 2009, the Fund’s relative and absolute return improved significantly and recovered what was lost in the fourth quarter of 2008. The Fund’s overweight to credit-card and auto asset backed securities (“ABS”) contributed to performance, as did the overweight to agency MBS. The consumer ABS performance was supported by the launch of the TALF program, and the agency MBS sector was supported by the Fed’s purchase program, which was launched in January. The overweight to CMBS helped, as these securities performed well in 2009. Better-than-expected economic data and an improved tone in the equity and credit markets lent support to the sector. Upcoming government support in the form of TALF and PPIP helped dwarf news surrounding deteriorating loan fundamentals and a weak commercial real estate market. The Fund’s overweight allocations to credit, primarily in Financials and BBB-rated corporate bonds added to return. Banks and brokers benefited as confidence and transparency increased in the financial system, with the overall credit sector benefiting from robust demand and better-than-expected earnings. Non-agency MBS improved throughout in the latter half of the fiscal year with the anticipation surrounding the eventual deployment of PPIP funds; however, these securities have not recovered what was
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 31 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
Core Fixed Income Fund (Concluded)
lost earlier in the year. Allocations to high yield and bank loans helped the Fund in 2009, as these sectors rallied considerably due to attractive valuations and strong demand. The Fund’s curve-steepening posture throughout the fiscal year was also a positive.
Core Fixed Income Fund:
AVERAGE ANNUAL TOTAL RETURN1
| One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||
| Core Fixed Income Fund, Class A | 12.55% | 4.24% | 3.83% | 5.57% | 6.64% | |||||
| Core Fixed Income Fund, Class I | 12.32% | 3.96% | 3.56% | 5.26% | 6.20% |
Comparison of Change in the Value of a $100,000 Investment in the Core Fixed Income Fund, Class A and Class I, versus the Barclays Capital U.S. Aggregate Bond Index
| 1 | For the period ended 9/30/09. Past performance is no indication of future performance. Class I Shares performance for the period prior to 8/6/01 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 5/1/87 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
| 32 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
High Yield Bond Fund
I. Objective
The High Yield Bond Fund (the “Fund”) seeks to maximize total return by investing primarily in a diversified portfolio of non-investment grade rated debt instruments issued by corporations primarily located in the United States. The strategy seeks to achieve a high level of total return through sector rotation and security selection.
II. Multi-Manager Approach Statement
The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilizes the following sub-advisers as of September 30, 2009: Ares Management LLC, Brigade Capital Management, LLC, Delaware Management Company, Guggenheim Partners LLC, and J.P. Morgan Investment Management, Inc. During the year ended September 30, 2009, the Fund terminated Nomura Corporate Research & Asset Management, Inc. and added Brigade Capital Management, LLC and Guggenheim Partners, LLC.
III. Market Commentary
Barring a setback in the final quarter of 2009, the high-yield market will set a new record calendar-year performance, as the index has gained 49.11% year to date through September 30, 2009. For the fiscal period, credit-quality spreads tightened 280 basis points to finish the period at 795 basis points, down significantly from the peak of 2,168 basis points reached in December 2008. The Moody’s global issuer default rate increased substantially from 2.75% to 12.04% over the year, its highest level since August 1991 (12.15%). While the near-term outlook for defaults is grim, Moody’s anticipates that the rate will plunge to 4.50% a year from now as improvements in the economic situation, stabilization in financial markets and the increasing ability of borrowers to access capital markets for liquidity should create a healthier market environment. Issuance in the primary market was healthy over the period, with $121.8 billion coming to market, but this was largely due to a surge in activity over the last two quarters, which totaled $107.6 billion. Technical conditions were positive, as high-yield mutual funds saw $28.1 billion of inflows during the period. Strong demand for the asset class and a resurgent new-issue market helped propel a 64.17% rally beginning from the index
low on December 12, 2008 and continuing through September 30, 2009. For the fiscal year, an increase in investor risk appetites and improved market liquidity has led to strong returns across all quality segments, with CCC-rated securities leading the way with a return of 31.04%, followed by BB-rated securities returning 20.87% and B-rated securities returning 13.15%.
The best-performing sector on a contribution to return basis was the Auto Loan sector, including Ford Motor Credit (“FMC”) and General Motors Acceptance Corporation (“GMAC”) prior to becoming a bank holding company. In December 2008, the government provided a multitude of positive actions in order to support these companies. The second-best-performing sector on a contribution-to-return basis was the Banking sector, which has sharply grown in size in 2009. GMAC was included after the Federal Reserve (the “Fed”) approved its bank holding company application, and other fallen angels were recently added as part of the index’s month-end rebalance. Other notable additions have been debt and/or hybrid securities from Bank of America, Citigroup, CIT Group, the Royal Bank of Scotland and Lloyds Bank. This sector has outperformed over the last six months, as the global Financials sector has stabilized and the economic situation has improved.
The Printing & Publishing and Forestry/Paper sectors were the worst-performing sectors in high yield on a contribution-to-return basis, as both experienced a large share of defaults, including R.H. Donnelley, Idearc, Tribune, Smurfit-Stone and Bowater. These sectors have been hurt by deteriorating demand for paper, a sluggish housing market, lower advertising revenues and high costs. Another poor performer was the Automotive sector due to General Motors’ (“GM”) struggles, which included years of losses and market share declines that ultimately resulted in the company filing for bankruptcy protection.
IV. Return vs. Benchmark
For the year ended September 30, 2009, the High Yield Bond Fund, Class A, underperformed the Merrill Lynch U.S. High Yield Master II Constrained Index (the “Index”), returning 11.88% versus the Index return of 22.73%.
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 33 |
Table of Contents
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2009
High Yield Bond Fund (Concluded)
V. Fund Attribution
The major detractors during the period were the Fund’s allocation to Structured Credit instruments (collateralized loan obligations (“CLO”)) and underweights to both the Auto Loan and Banking sectors. CLO’s experienced severe price deterioration during the fiscal period but have recovered during the last six months. Higher default rates and rapidly increasing exposure to CCC/Caa-rated assets within the collateral pools were the two main drivers of underperformance. Credit-rating agencies’ decisions to place the ratings of a large subset of CLO debt tranches on negative outlook/watch was a significant hurdle, and continued investor aversion to what are perceived to be complex financial instruments exacerbated the situation. Within the Auto Loan sector, positive developments for GMAC and FMC began in the second half of December 2008 and carried over into 2009. In December 2008, the government decided to lend money to GM, and the Fed approved GMAC’s application to become a bank holding company. The Treasury followed up with a $5 billion preferred investment in GMAC. Furthermore, the government announced that as part of the Chrysler reorganization, GMAC assumed the functions of Chrysler’s auto loan arm. GMAC received a fresh $7.5 billion in cash to facilitate its continued lending to car buyers and dealers of bankrupt Chrysler LLC as well as to those of GM. The combination of all of these government actions taken to support the industry led to outperformance for both Auto Loan companies. Additionally, Ford completed a large debt restructuring that reduced its debt by 38%, or $9.9 billion. In July 2009, the Cash for Clunkers program helped Ford report its first year-on-year sales gain since the Fall of 2007. The Banking sector continues to benefit from many of the factors that have lifted the high-yield market as a whole: improved liquidity, a more favorable economic outlook and declining default risk.
The major contributors to Fund performance during the period were positive security selection in GM and cable company Charter Communications, and an underweight to the Forestry/Paper sector. Both GM and Charter struggled throughout the year and ultimately filed for bankruptcy. The restructuring plans of both companies had adverse effects on security prices within each firm’s capital structure, but the Fund benefited from the positive security selection decisions that were made. Lastly, the Fund’s underweight and positive security selection within the Forestry/Paper sector lifted relative performance
since this space suffered from weak fundamental conditions, as evidenced by the number of companies that defaulted.
High Yield Bond Fund:
AVERAGE ANNUAL TOTAL RETURN1
| One Year Return | Annualized 3 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Inception to Date | ||||||
| High Yield Bond Fund, Class A | 11.88% | 1.63% | 3.59% | 4.75% | 6.48% | |||||
| High Yield Bond Fund, Class I | 11.65% | 1.49% | 3.49% | 4.63% | 6.36% |
Comparison of Change in the Value of a $100,000 Investment in the High Yield Bond Fund, Class A and Class I, versus the Merrill Lynch U.S. High Yield Master II Constrained Index
| 1 | For the period ended 9/30/09. Past performance is no indication of future performance. Class I Shares performance for the period prior to 10/01/07 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I Shares. Class A Shares were offered beginning 1/11/95 and Class I Shares were offered beginning 10/01/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. |
| 34 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Large Cap Value Fund
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
COMMON STOCK — 95.4% | ||||||||
Consumer Discretionary — 8.7% | ||||||||
Comcast, Cl A | 1.2 | % | 1,342,900 | $ | 22,682 | |||
Gap (A) | 0.4 | 308,900 | 6,610 | |||||
Home Depot (A) | 0.7 | 470,600 | 12,537 | |||||
Time Warner | 0.6 | 367,533 | 10,578 | |||||
Time Warner Cable, | 0.4 | 170,937 | 7,366 | |||||
Walt Disney (A) | 0.5 | 335,000 | 9,199 | |||||
Other Securities | 4.9 | 92,130 | ||||||
| 161,102 | ||||||||
Consumer Staples — 5.8% | ||||||||
ConAgra Foods (A) | 0.4 | 382,400 | 8,290 | |||||
Kraft Foods, Cl A (A) | 0.4 | 287,259 | 7,546 | |||||
Procter & Gamble | 1.2 | 364,200 | 21,095 | |||||
Other Securities | 3.8 | 71,409 | ||||||
| 108,340 | ||||||||
Energy — 17.1% | ||||||||
Chevron | 3.0 | 788,600 | 55,541 | |||||
ConocoPhillips | 1.7 | 687,086 | 31,029 | |||||
Exxon Mobil | 5.6 | 1,516,700 | 104,061 | |||||
Marathon Oil | 0.8 | 446,200 | 14,234 | |||||
Occidental Petroleum | 0.8 | 192,400 | 15,084 | |||||
Other Securities | 5.2 | 98,162 | ||||||
| 318,111 | ||||||||
Financials — 23.1% | ||||||||
Allstate | 0.6 | 355,700 | 10,892 | |||||
Ameriprise Financial | 0.6 | 287,700 | 10,452 | |||||
Bank of America | 2.1 | 2,353,469 | 39,821 | |||||
Bank of New York Mellon | 0.5 | 311,522 | 9,031 | |||||
BB&T (A) | 0.4 | 284,000 | 7,736 | |||||
Chubb | 0.6 | 230,900 | 11,640 | |||||
Endurance Specialty Holdings (A) | 0.4 | 187,200 | 6,827 | |||||
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
Goldman Sachs Group | 1.4 | % | 140,600 | $ | 25,920 | |||
JPMorgan Chase | 2.6 | 1,087,400 | 47,650 | |||||
Morgan Stanley | 0.6 | 346,500 | 10,700 | |||||
PNC Financial Services Group | 0.4 | 137,255 | 6,669 | |||||
Prudential Financial | 0.5 | 179,500 | 8,959 | |||||
Travelers | 0.9 | 336,500 | 16,566 | |||||
US Bancorp (A) | 0.4 | 363,500 | 7,946 | |||||
Wells Fargo (A) | 1.6 | 1,023,895 | 28,853 | |||||
Other Securities | 9.5 | 178,156 | ||||||
| 427,818 | ||||||||
Health Care — 10.0% | ||||||||
Eli Lilly (A) | 0.5 | 282,300 | 9,324 | |||||
Johnson & Johnson (A) | 1.1 | 348,500 | 21,220 | |||||
Merck (A) | 0.9 | 527,700 | 16,691 | |||||
Pfizer (A) | 2.2 | 2,497,800 | 41,339 | |||||
UnitedHealth Group | 0.5 | 373,400 | 9,350 | |||||
WellPoint* | 0.6 | 233,000 | 11,035 | |||||
Wyeth | 1.0 | 368,000 | 17,878 | |||||
Other Securities | 3.2 | 58,465 | ||||||
| 185,302 | ||||||||
Industrials — 9.0% | ||||||||
Boeing (A) | 0.7 | 230,900 | 12,503 | |||||
General Dynamics | 0.4 | 129,900 | 8,392 | |||||
General Electric (A) | 2.8 | 3,148,200 | 51,694 | |||||
Northrop Grumman (A) | 0.5 | 179,300 | 9,279 | |||||
RR Donnelley & Sons (A) | 0.4 | 358,100 | 7,613 | |||||
Other Securities | 4.2 | 76,674 | ||||||
| 166,155 | ||||||||
Information Technology — 5.0% | ||||||||
Hewlett-Packard | 0.6 | 252,900 | 11,939 | |||||
Intel | 0.5 | 440,600 | 8,622 | |||||
Seagate Technology (A) | 0.4 | 439,500 | 6,685 | |||||
Other Securities | 3.5 | 65,722 | ||||||
| 92,968 | ||||||||
Materials — 3.3% | ||||||||
Other Securities | 3.3 | 61,970 | ||||||
Telecommunication Services — 6.2% | ||||||||
AT&T | 3.6 | 2,443,895 | 66,009 | |||||
Verizon Communications (A) | 1.9 | 1,135,700 | 34,378 | |||||
Other Securities | 0.7 | 13,879 | ||||||
| 114,266 | ||||||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 35 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Large Cap Value Fund (Concluded)
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
Utilities — 7.2% | ||||||||
DTE Energy | 0.4 | % | 235,000 | $ | 8,258 | |||
Exelon (A) | 0.4 | 137,100 | 6,803 | |||||
PG&E (A) | 0.4 | 186,400 | 7,547 | |||||
Sempra Energy | 0.6 | 233,200 | 11,616 | |||||
Other Securities | 5.4 | 98,450 | ||||||
| 132,674 | ||||||||
Total Common Stock | 1,768,706 | |||||||
AFFILIATED PARTNERSHIP — 18.0% | ||||||||
SEI Liquidity Fund, L.P., 0.400% (B)**† | 18.0 | 340,459,225 | 334,196 | |||||
Total Affiliated Partnership | 334,196 | |||||||
CASH EQUIVALENT — 2.2% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110%**† | 2.2 | 40,883,579 | 40,884 | |||||
Total Cash Equivalent | 40,884 | |||||||
U.S. TREASURY OBLIGATIONS (C) — 0.4% | ||||||||
Other Securities | 0.4 | 8,215 | ||||||
Total U.S. Treasury Obligations | 8,215 | |||||||
Total Investments — 116.0% | $ | 2,152,001 | ||||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
| Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | ||||
S&P Composite Index | 327 | Dec-2009 | $ | 256 | |||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $1,854,963 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Investment in Affiliated Security (see Note 5). |
| (A) | This security or a partial position of this security is on loan at September 30, 2009 (see Note 9). The total market value of securities on loan at September 30, 2009 was $329,529 ($ Thousands). |
| (B) | This security was purchased with cash collateral received from securities on loan (see Note 9). The total market value of such securities as of September 30, 2009 was $334,196 ($ Thousands). |
| (C) | Security, or portion thereof, has been pledged as collateral on open futures. |
Cl — Class
L.P. — Limited Partnership
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). Footnotes above may apply to securities that are included in “Other Securities”. For further detail, the complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):
| Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||
Common Stock | $ | 1,768,706 | $ | — | $ | — | $ | 1,768,706 | ||||
Affiliated Partnership | — | 334,196 | — | 334,196 | ||||||||
U.S. Treasury Obligations | — | 8,215 | — | 8,215 | ||||||||
Cash Equivalent | 40,884 | — | — | 40,884 | ||||||||
Total Investments in Securities | $ | 1,809,590 | $ | 342,411 | $ | — | $ | 2,152,001 | ||||
| Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||
Futures* | $ | 256 | $ | — | $ | — | $ | 256 | ||||
| * | Futures contracts are valued at the unrealized appreciation on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
| 36 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Large Cap Growth Fund
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
COMMON STOCK — 95.1%‡ | ||||||||
Consumer Discretionary — 10.9% | ||||||||
Amazon.com* (A) | 0.8 | % | 177,465 | $ | 16,568 | |||
Lowe’s | 0.7 | 654,476 | 13,705 | |||||
McDonald’s | 0.8 | 273,780 | 15,625 | |||||
Nike, Cl B (A) | 0.7 | 223,800 | 14,480 | |||||
Staples (A) | 0.9 | 817,895 | 18,991 | |||||
Target | 0.7 | 322,024 | 15,032 | |||||
Other Securities | 6.3 | 129,125 | ||||||
| 223,526 | ||||||||
Consumer Staples — 11.5% | ||||||||
Coca-Cola (A) | 1.0 | 363,976 | 19,545 | |||||
CVS Caremark | 0.6 | 369,426 | 13,203 | |||||
PepsiCo (A) | 1.8 | 634,224 | 37,204 | |||||
Philip Morris International | 0.9 | 382,750 | 18,655 | |||||
Procter & Gamble | 2.2 | 758,795 | 43,949 | |||||
Walgreen (A) | 0.9 | 480,325 | 17,998 | |||||
Wal-Mart Stores | 1.1 | 455,946 | 22,382 | |||||
Other Securities | 3.0 | 61,189 | ||||||
| 234,125 | ||||||||
Energy — 5.7% | ||||||||
EOG Resources (A) | 0.6 | 137,560 | 11,488 | |||||
Exxon Mobil | 0.6 | 185,600 | 12,734 | |||||
Halliburton (A) | 0.6 | 435,660 | 11,815 | |||||
Schlumberger | 0.8 | 265,136 | 15,802 | |||||
Transocean* | 0.6 | 136,565 | 11,681 | |||||
Other Securities | 2.5 | 52,115 | ||||||
| 115,635 | ||||||||
Financials — 5.9% | ||||||||
American Express | 0.8 | 455,951 | 15,457 | |||||
CME Group | 0.8 | 55,375 | 17,066 | |||||
Other Securities | 4.3 | 88,386 | ||||||
| 120,909 | ||||||||
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
Health Care — 14.7% | ||||||||
Abbott Laboratories | 0.9 | % | 373,516 | $ | 18,478 | |||
Allergan | 1.1 | 406,400 | 23,067 | |||||
Amgen* | 0.7 | 242,875 | 14,628 | |||||
Baxter International | 0.9 | 323,751 | 18,457 | |||||
Gilead Sciences* | 1.3 | 561,980 | 26,177 | |||||
Johnson & Johnson (A) | 1.7 | 560,711 | 34,142 | |||||
Medco Health Solutions* | 0.8 | 288,082 | 15,934 | |||||
St. Jude Medical* | 0.6 | 300,727 | 11,731 | |||||
Other Securities | 6.7 | 138,413 | ||||||
| 301,027 | ||||||||
Industrials — 8.0% | ||||||||
Expeditors International of Washington (A) | 0.6 | 360,900 | 12,686 | |||||
United Parcel Service, Cl B | 0.9 | 324,870 | 18,345 | |||||
United Technologies | 1.1 | 354,815 | 21,619 | |||||
Other Securities | 5.4 | 111,126 | ||||||
| 163,776 | ||||||||
Information Technology — 32.5% | ||||||||
Adobe Systems* (A) | 0.9 | 545,395 | 18,020 | |||||
Apple* | 3.6 | 390,757 | 72,435 | |||||
Broadcom, Cl A* (A) | 0.7 | 483,730 | 14,846 | |||||
Cisco Systems* | 2.5 | 2,146,681 | 50,533 | |||||
EMC* (A) | 1.1 | 1,242,150 | 21,166 | |||||
Google, Cl A* (A) | 2.5 | 101,083 | 50,122 | |||||
Hewlett-Packard | 1.1 | 480,490 | 22,684 | |||||
Intel | 1.1 | 1,097,462 | 21,477 | |||||
International Business Machines | 2.0 | 342,464 | 40,962 | |||||
Intuit* | 0.6 | 396,900 | 11,312 | |||||
Mastercard, Cl A (A) | 0.7 | 74,380 | 15,036 | |||||
Microsoft | 3.5 | 2,722,714 | 70,491 | |||||
Oracle | 1.2 | 1,175,490 | 24,497 | |||||
Qualcomm | 2.2 | 1,009,688 | 45,416 | |||||
Visa, Cl A (A) | 1.2 | 360,506 | 24,915 | |||||
VMware, Cl A* | 0.0 | 7,900 | 317 | |||||
Yahoo!* (A) | 0.8 | 940,105 | 16,743 | |||||
Other Securities | 6.8 | 143,086 | ||||||
| 664,058 | ||||||||
Materials — 3.9% | ||||||||
Monsanto | 0.7 | 193,909 | 15,009 | |||||
Praxair | 1.0 | 251,416 | 20,538 | |||||
Other Securities | 2.2 | 45,188 | ||||||
| 80,735 | ||||||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 37 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Large Cap Growth Fund (Concluded)
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
Telecommunication Services — 1.3% | ||||||||
Crown Castle International * | 0.9 | % | 535,497 | $ | 16,793 | |||
Other Securities | 0.4 | 9,350 | ||||||
| 26,143 | ||||||||
Utilities — 0.7% | ||||||||
Other Securities | 0.7 | 13,330 | ||||||
Total Common Stock | 1,943,264 | |||||||
AFFILIATED PARTNERSHIP — 12.9% | ||||||||
SEI Liquidity Fund, L.P., | 12.9 | 268,615,224 | 264,144 | |||||
Total Affiliated Partnership | 264,144 | |||||||
CASH EQUIVALENT — 2.4% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110%**† | 2.4 | 49,323,234 | 49,323 | |||||
Total Cash Equivalent | 49,323 | |||||||
U.S. TREASURY OBLIGATIONS (C) — 0.5% | ||||||||
Other Securities | 0.5 | 10,398 | ||||||
Total U.S. Treasury Obligations | 10,398 | |||||||
Total Investments — 110.9% | $ | 2,267,129 | ||||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
| Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | ||||
S&P Composite Index | 226 | Dec-2009 | $ | 293 | |||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $2,043,249 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Investment in Affiliated Security (see Note 5). |
| ‡ | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
| (A) | This security or a partial position of this security is on loan at September 30, 2009 (see Note 9). The total market value of securities on loan at September 30, 2009 was $263,484 ($ Thousands). |
| (B) | This security was purchased with cash collateral received from securities on loan (see Note 9). The total market value of such securities as of September 30, 2009 was $264,144 ($ Thousands). |
| (C) | Security, or portion thereof, has been pledged on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). Footnotes above may apply to securities that are included in “Other Securities”. For further detail, the complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):
| Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||
Common Stock | $ | 1,943,264 | $ | — | $ | — | $ | 1,943,264 | ||||
Affiliated Partnership | — | 264,144 | — | 264,144 | ||||||||
U.S. Treasury Obligations | — | 10,398 | — | 10,398 | ||||||||
Cash Equivalent | 49,323 | — | — | 49,323 | ||||||||
Total Investments in Securities | $ | 1,992,587 | $ | 274,542 | $ | — | $ | 2,267,129 | ||||
| Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||
Futures* | $ | 293 | $ | — | $ | — | $ | 293 | ||||
| * | Futures contracts are valued at the unrealized appreciation on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
| 38 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
COMMON STOCK — 97.8% | ||||||||
Consumer Discretionary — 10.5% | ||||||||
Amazon.com* (A) | 0.5 | % | 90,135 | $ | 8,415 | |||
Comcast, Cl A | 0.7 | 615,240 | 10,391 | |||||
Staples (A) | 0.7 | 447,717 | 10,396 | |||||
Time Warner | 0.7 | 369,522 | 10,635 | |||||
Other Securities | 7.9 | 127,503 | ||||||
| 167,340 | ||||||||
Consumer Staples — 8.1% | ||||||||
PepsiCo | 0.9 | 238,605 | 13,997 | |||||
Procter & Gamble | 1.5 | 418,388 | 24,233 | |||||
Walgreen (A) | 0.6 | 247,210 | 9,263 | |||||
Other Securities | 5.1 | 82,253 | ||||||
| 129,746 | ||||||||
Energy — 10.5% | ||||||||
Chevron | 1.5 | 333,209 | 23,468 | |||||
ConocoPhillips | 0.9 | 302,107 | 13,643 | |||||
Exxon Mobil | 2.4 | 565,276 | 38,784 | |||||
Occidental Petroleum | 0.6 | 115,850 | 9,083 | |||||
Other Securities | 5.1 | 82,881 | ||||||
| 167,859 | ||||||||
Financials — 15.9% | ||||||||
Aflac | 0.5 | 193,560 | 8,273 | |||||
Bank of America | 1.3 | 1,260,224 | 21,323 | |||||
Bank of New York Mellon | 0.5 | 300,404 | 8,709 | |||||
CME Group | 0.7 | 36,350 | 11,203 | |||||
Goldman Sachs Group | 1.1 | 97,875 | 18,043 | |||||
JPMorgan Chase | 1.7 | 628,321 | 27,533 | |||||
Wells Fargo (A) | 1.2 | 661,514 | 18,642 | |||||
Other Securities | 8.9 | 141,167 | ||||||
| 254,893 | ||||||||
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
Health Care — 13.1% | ||||||||
Aetna | 0.5 | % | 290,200 | $ | 8,076 | |||
Allergan | 0.7 | 205,608 | 11,670 | |||||
Amgen* | 0.6 | 167,963 | 10,116 | |||||
Gilead Sciences* | 0.8 | 255,540 | 11,903 | |||||
Johnson & Johnson (A) | 1.3 | 327,252 | 19,926 | |||||
Medco Health Solutions* | 0.5 | 151,886 | 8,401 | |||||
Merck (A) | 0.7 | 327,933 | 10,373 | |||||
Pfizer (A) | 0.8 | 772,268 | 12,781 | |||||
UnitedHealth Group | 0.8 | 523,676 | 13,113 | |||||
Wyeth | 0.5 | 175,100 | 8,506 | |||||
Other Securities | 5.9 | 94,563 | ||||||
| 209,428 | ||||||||
Industrials — 8.4% | ||||||||
General Electric | 1.4 | 1,345,798 | 22,098 | |||||
United Parcel Service, Cl B | 0.5 | 151,385 | 8,549 | |||||
United Technologies | 0.6 | 167,361 | 10,197 | |||||
Other Securities | 5.9 | 93,245 | ||||||
| 134,089 | ||||||||
Information Technology — 20.6% | ||||||||
Adobe Systems* (A) | 0.5 | 258,357 | 8,536 | |||||
Apple* | 2.0 | 173,213 | 32,109 | |||||
Cisco Systems* | 1.5 | 978,837 | 23,042 | |||||
EMC* | 0.6 | 560,931 | 9,558 | |||||
Google, Cl A* | 1.4 | 45,999 | 22,809 | |||||
Hewlett-Packard | 0.9 | 313,418 | 14,796 | |||||
Intel | 0.7 | 555,731 | 10,876 | |||||
International Business Machines | 1.0 | 130,453 | 15,604 | |||||
Mastercard, Cl A (A) | 0.6 | 43,990 | 8,893 | |||||
Microsoft | 1.6 | 987,800 | 25,574 | |||||
Oracle | 0.6 | 452,737 | 9,435 | |||||
Qualcomm | 1.3 | 475,949 | 21,408 | |||||
Visa, Cl A (A) | 0.8 | 186,117 | 12,863 | |||||
Yahoo!* | 0.5 | 483,515 | 8,611 | |||||
Other Securities | 6.6 | 105,174 | ||||||
| 329,288 | ||||||||
Materials — 3.4% | ||||||||
Praxair (A) | 0.7 | 131,725 | 10,761 | |||||
Other Securities | 2.7 | 44,148 | ||||||
| 54,909 | ||||||||
Telecommunication Services — 3.6% | ||||||||
AT&T | 1.5 | 902,446 | 24,375 | |||||
Crown Castle International* (A) | 0.6 | 330,752 | 10,372 | |||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 39 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund (Concluded)
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
Verizon Communications | 0.9 | % | 440,259 | $ | 13,327 | |||
Other Securities | 0.6 | 9,686 | ||||||
| 57,760 | ||||||||
Utilities — 3.7% | ||||||||
AES* | 0.7 | 724,750 | 10,741 | |||||
Other Securities | 3.0 | 48,067 | ||||||
| 58,808 | ||||||||
Total Common Stock | 1,564,120 | |||||||
AFFILIATED PARTNERSHIP — 12.2% | ||||||||
SEI Liquidity Fund, L.P., 0.400% (B)**† | 12.2 | 199,190,995 | 194,572 | |||||
Total Affiliated Partnership | 194,572 | |||||||
CASH EQUIVALENT — 2.2% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110%** † | 2.2 | 35,023,835 | 35,024 | |||||
Total Cash Equivalent | 35,024 | |||||||
U.S. TREASURY OBLIGATIONS (C) — 0.3% | ||||||||
Other Securities | 0.3 | 4,600 | ||||||
Total U.S. Treasury Obligations | 4,600 | |||||||
Total Investments — 112.5% | $ | 1,798,316 | ||||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
| Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | ||||
S&P 500 Index E-MINI | 3 | Dec-2009 | $ | 7 | |||
S&P Composite Index | 86 | Dec-2009 | 536 | ||||
S&P Mid 400 Index E-MINI | 38 | Dec-2009 | 81 | ||||
| $ | 624 | ||||||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $1,599,114 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Investment in Affiliated Security (see Note 5). |
| (A) | This security or a partial position of this security is on loan at September 30, 2009 (see Note 9). The total market value of securities on loan at September 30, 2009 was $194,483 ($ Thousands). |
| (B) | This security was purchased with cash collateral received from securities on loan (see Note 9). The total market value of such securities as of September 30, 2009 was $194,572 ($ Thousands). |
| (C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). Footnotes above may apply to securities that are included in “Other Securities”. For further detail, the complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):
| Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||
Common Stock | $ | 1,564,120 | $ | — | $ | — | $ | 1,564,120 | ||||
Affiliated Partnership | — | 194,572 | — | 194,572 | ||||||||
U.S. Treasury Obligations | — | 4,600 | — | 4,600 | ||||||||
Cash Equivalent | 35,024 | — | — | 35,024 | ||||||||
Total Investments in Securities | $ | 1,599,144 | $ | 199,172 | $ | — | $ | 1,798,316 | ||||
| Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||
Futures* | $ | 624 | $ | — | $ | — | $ | 624 | ||||
| * | Futures contracts are valued at the unrealized appreciation on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
| 40 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
COMMON STOCK — 77.8% | ||||||||
Consumer Discretionary — 7.5% | ||||||||
Amazon.com* | 0.5 | % | 58,200 | $ | 5,434 | |||
Comcast, Cl A | 0.8 | 486,448 | 8,216 | |||||
Time Warner | 0.5 | 196,656 | 5,660 | |||||
Other Securities | 5.7 | 63,323 | ||||||
| 82,633 | ||||||||
Consumer Staples — 6.8% | ||||||||
PepsiCo | 0.6 | 108,847 | 6,385 | |||||
Philip Morris International | 0.4 | 88,009 | 4,290 | |||||
Procter & Gamble | 1.0 | 199,249 | 11,540 | |||||
SYSCO | 0.4 | 174,266 | 4,331 | |||||
Walgreen | 0.6 | 188,964 | 7,080 | |||||
Other Securities | 3.8 | 41,219 | ||||||
| 74,845 | ||||||||
Energy — 8.6% | ||||||||
Chevron | 1.5 | 233,021 | 16,412 | |||||
ConocoPhillips | 0.7 | 166,279 | 7,509 | |||||
Exxon Mobil | 2.5 | 394,987 | 27,100 | |||||
Occidental Petroleum | 0.7 | 95,407 | 7,480 | |||||
Other Securities | 3.2 | 36,574 | ||||||
| 95,075 | ||||||||
Financials — 12.8% | ||||||||
Aflac | 0.4 | 113,316 | 4,843 | |||||
American Express | 0.4 | 134,823 | 4,571 | |||||
American International Group* | 0.0 | 1,600 | 71 | |||||
Bank of America | 1.1 | 694,778 | 11,756 | |||||
Bank of New York Mellon | 0.5 | 195,744 | 5,675 | |||||
Goldman Sachs Group | 0.9 | 56,349 | 10,388 | |||||
JPMorgan Chase | 1.3 | 317,311 | 13,904 | |||||
T. Rowe Price Group | 0.4 | 93,381 | 4,268 | |||||
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
Wells Fargo | 0.9 | % | 343,555 | $ | 9,681 | |||
Other Securities | 6.9 | 75,689 | ||||||
| 140,846 | ||||||||
Health Care — 9.7% | ||||||||
Aetna | 0.4 | 159,600 | 4,442 | |||||
Allergan | 0.4 | 80,300 | 4,558 | |||||
AmerisourceBergen | 0.4 | 202,422 | 4,530 | |||||
Amgen* | 0.8 | 134,188 | 8,082 | |||||
Gilead Sciences* | 0.5 | 111,100 | 5,175 | |||||
Johnson & Johnson | 1.0 | 175,343 | 10,677 | |||||
Pfizer | 0.9 | 588,646 | 9,742 | |||||
UnitedHealth Group | 0.7 | 285,200 | 7,141 | |||||
Other Securities | 4.6 | 52,353 | ||||||
| 106,700 | ||||||||
Industrials — 7.5% | ||||||||
General Electric | 1.0 | 664,444 | 10,910 | |||||
Lockheed Martin | 0.4 | 56,693 | 4,427 | |||||
United Parcel Service, Cl B | 0.4 | 75,359 | 4,256 | |||||
Other Securities | 5.7 | 63,393 | ||||||
| 82,986 | ||||||||
Information Technology — 16.1% | ||||||||
Adobe Systems* | 0.4 | 142,600 | 4,712 | |||||
Apple* | 1.1 | 66,898 | 12,401 | |||||
Cisco Systems* | 0.9 | 433,098 | 10,195 | |||||
eBay* | 0.5 | 237,669 | 5,611 | |||||
EMC* | 0.5 | 312,200 | 5,320 | |||||
Google, Cl A* | 1.1 | 22,775 | 11,293 | |||||
Hewlett-Packard | 0.9 | 214,623 | 10,132 | |||||
Intel | 0.9 | 476,032 | 9,316 | |||||
International Business Machines | 1.0 | 89,977 | 10,762 | |||||
Microsoft | 1.2 | 514,026 | 13,308 | |||||
Qualcomm | 0.7 | 167,100 | 7,516 | |||||
Texas Instruments | 0.5 | 240,077 | 5,687 | |||||
Visa, Cl A | 0.6 | 101,992 | 7,049 | |||||
Yahoo!* | 0.5 | 309,600 | 5,514 | |||||
Other Securities | 5.3 | 58,696 | ||||||
| 177,512 | ||||||||
Materials — 2.5% | ||||||||
Other Securities | 2.5 | 27,904 | ||||||
Telecommunication Services — 2.8% | ||||||||
AT&T | 1.4 | 574,037 | 15,505 | |||||
Verizon Communications | 0.7 | 247,745 | 7,499 | |||||
Other Securities | 0.7 | 7,859 | ||||||
| 30,863 | ||||||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 41 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Concluded)
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||
Utilities — 3.5% | ||||||||
AES* | 0.7 | % | 503,701 | $ | 7,465 | |||
Other Securities | 2.8 | 31,178 | ||||||
| 38,643 | ||||||||
Total Common Stock | 858,007 | |||||||
CASH EQUIVALENT — 20.3% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110%**† | 20.3 | 223,317,662 | 223,318 | |||||
Total Cash Equivalent | 223,318 | |||||||
U.S. TREASURY OBLIGATIONS (A) (B) — 1.9% | ||||||||
U.S. Treasury Bills, | ||||||||
0.164%, | 0.6 | $ 6,307 | 6,306 | |||||
0.055%, 01/07/10 | 1.3 | 14,500 | 14,496 | |||||
Total U.S. Treasury Obligations | 20,802 | |||||||
Total Investments — 100.0% | $ | 1,102,127 | ||||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | ||||
S&P Composite Index | 902 | Dec-2009 | $ | 1,359 | |||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $1,102,521 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Investment in Affiliated Security (see Note 5). |
| (A) | Security, or portion thereof, has been pledged on open futures contracts. |
| (B) | The rate reported is the effective yield at the time of purchase. |
Cl — Class
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). Footnotes above may apply to securities that are included in “Other Securities”. For further detail, the complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):
| Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||
Common Stock | $ | 858,007 | $ | — | $ | — | $ | 858,007 | ||||
U.S. Treasury Obligations | — | 20,802 | — | 20,802 | ||||||||
Cash Equivalent | 223,318 | — | — | 223,318 | ||||||||
Total Investments in Securities | $ | 1,081,325 | $ | 20,802 | $ | — | $ | 1,102,127 | ||||
| Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||
Futures* | $ | 1,359 | $ | — | $ | — | $ | 1,359 | ||||
| * | Futures contracts are valued at the unrealized appreciation on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
For the year ended September 30, 2009, the total notional amount of $0 is not representative of the volume of activity for the swap derivatives during the period. During the fiscal year, due to a sub-advisor change, the volume of swap derivatives has been reduced from the notional amounts at the beginning of the fiscal year.
The accompanying notes are an integral part of the financial statements.
| 42 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
S&P 500 Index Fund
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
COMMON STOCK — 97.9% | ||||||||
Consumer Discretionary — 9.0% | ||||||||
Comcast, Cl A | 0.5 | % | 395,244 | $ | 6,676 | |||
Home Depot (A) | 0.5 | 234,764 | 6,254 | |||||
McDonald’s | 0.6 | 150,460 | 8,587 | |||||
Walt Disney | 0.5 | 256,027 | 7,030 | |||||
Other Securities | 6.9 | 89,444 | ||||||
| 117,991 | ||||||||
Consumer Staples — 11.3% | ||||||||
Coca-Cola (A) | 1.3 | 319,896 | 17,178 | |||||
CVS Caremark | 0.5 | 198,795 | 7,105 | |||||
PepsiCo | 1.0 | 214,967 | 12,610 | |||||
Philip Morris International | 1.0 | 266,956 | 13,011 | |||||
Procter & Gamble | 1.8 | 403,101 | 23,348 | |||||
Wal-Mart Stores | 1.1 | 298,111 | 14,634 | |||||
Other Securities | 4.6 | 60,641 | ||||||
| 148,527 | ||||||||
Energy — 11.4% | ||||||||
Chevron | 1.5 | 276,897 | 19,502 | |||||
ConocoPhillips | 0.7 | 204,425 | 9,232 | |||||
Exxon Mobil (A) | 3.5 | 662,536 | 45,457 | |||||
Occidental Petroleum (A) | 0.7 | 111,804 | 8,765 | |||||
Schlumberger | 0.7 | 165,162 | 9,844 | |||||
Other Securities | 4.3 | 57,904 | ||||||
| 150,704 | ||||||||
Financials — 14.9% | ||||||||
American Express | 0.4 | 163,715 | 5,550 | |||||
Bank of America | 1.5 | 1,194,648 | 20,213 | |||||
Citigroup | 0.7 | 1,797,446 | 8,700 | |||||
Goldman Sachs Group | 1.0 | 70,556 | 13,007 | |||||
JPMorgan Chase | 1.8 | 543,108 | 23,799 | |||||
Morgan Stanley | 0.4 | 187,061 | 5,776 | |||||
US Bancorp (A) | 0.4 | 263,206 | 5,754 | |||||
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
Wells Fargo (A) | 1.4 | % | 644,997 | $ | 18,176 | |||
Other Securities | 7.3 | 95,031 | ||||||
| 196,006 | ||||||||
Health Care — 12.9% | ||||||||
Abbott Laboratories | 0.8 | 213,168 | 10,546 | |||||
Amgen* | 0.6 | 139,993 | 8,432 | |||||
Bristol-Myers Squibb | 0.5 | 272,701 | 6,141 | |||||
Gilead Sciences* (A) | 0.4 | 124,476 | 5,798 | |||||
Johnson & Johnson | 1.8 | 380,656 | 23,178 | |||||
Medtronic | 0.4 | 152,317 | 5,605 | |||||
Merck (A) | 0.7 | 290,717 | 9,195 | |||||
Pfizer | 1.2 | 931,604 | 15,418 | |||||
Schering-Plough | 0.5 | 224,972 | 6,356 | |||||
Wyeth | 0.7 | 184,066 | 8,942 | |||||
Other Securities | 5.3 | 69,531 | ||||||
| 169,142 | ||||||||
Industrials — 9.9% | ||||||||
3M | 0.5 | 96,182 | 7,098 | |||||
Boeing (A) | 0.4 | 99,932 | 5,411 | |||||
General Electric | 1.8 | 1,467,807 | 24,102 | |||||
United Parcel Service, Cl B | 0.6 | 137,090 | 7,742 | |||||
United Technologies | 0.6 | 129,683 | 7,902 | |||||
Other Securities | 6.0 | 78,394 | ||||||
| 130,649 | ||||||||
Information Technology — 18.3% | ||||||||
Apple* | 1.7 | 123,692 | 22,929 | |||||
Cisco Systems* | 1.4 | 796,363 | 18,746 | |||||
Google, Cl A* | 1.3 | 33,216 | 16,470 | |||||
Hewlett-Packard | 1.2 | 327,252 | 15,450 | |||||
Intel | 1.1 | 772,694 | 15,122 | |||||
International Business Machines | 1.6 | 180,990 | 21,648 | |||||
Microsoft | 2.1 | 1,070,862 | 27,725 | |||||
Oracle | 0.8 | 538,756 | 11,228 | |||||
Qualcomm | 0.8 | 229,232 | 10,311 | |||||
Other Securities | 6.3 | 81,035 | ||||||
| 240,664 | ||||||||
Materials — 3.4% | ||||||||
Monsanto | 0.4 | 75,148 | 5,816 | |||||
Other Securities | 3.0 | 39,297 | ||||||
| 45,113 | ||||||||
Telecommunication Services — 3.1% | ||||||||
AT&T | 1.7 | 814,858 | 22,009 | |||||
Verizon Communications (A) | 0.9 | 391,922 | 11,864 | |||||
Other Securities | 0.5 | 6,963 | ||||||
| 40,836 | ||||||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 43 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
S&P 500 Index Fund (Concluded)
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
Utilities — 3.7% | ||||||||
Other Securities | 3.7 | % | $ | 48,127 | ||||
Total Common Stock | 1,287,759 | |||||||
AFFILIATED PARTNERSHIP — 15.6% | ||||||||
SEI Liquidity Fund, L.P., 0.400% | 15.6 | 208,324,305 | 204,881 | |||||
Total Affiliated Partnership | 204,881 | |||||||
CASH EQUIVALENT — 0.7% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, | 0.7 | 9,802,445 | 9,803 | |||||
Total Cash Equivalent | 9,803 | |||||||
U.S. TREASURY OBLIGATION (C) — 0.2% | ||||||||
Other Securities | 0.2 | 2,345 | ||||||
Total U.S. Treasury Obligation | 2,345 | |||||||
Total Investments — 114.4% | $ | 1,504,788 | ||||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
| Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | ||||
S&P 500 Index EMINI | 607 | Dec-2009 | $ | 300 | |||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $1,315,511 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Investment in Affiliated Security (see Note 5). |
| (A) | This security or a partial position of this security is on loan at September 30, 2009 (see Note 9). The total market value of securities on loan at September 30, 2009 was $202,412 ($ Thousands). |
| (B) | This security was purchased with cash collateral received from securities on loan (see Note 9). The total market value of such securities as of September 30, 2009 was $204,881 ($ Thousands). |
| (C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). Footnotes above may apply to securities that are included in “Other Securities”. For further detail, the complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):
| Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||
Common Stock | $ | 1,287,759 | $ | — | $ | — | $ | 1,287,759 | ||||
Affiliated Partnership | — | 204,881 | — | 204,881 | ||||||||
U.S. Treasury Obligation | — | 2,345 | — | 2,345 | ||||||||
Cash Equivalent | 9,803 | — | — | 9,803 | ||||||||
Total Investments in Securities | $ | 1,297,562 | $ | 207,226 | $ | — | $ | 1,504,788 | ||||
| Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||
Futures* | $ | 300 | $ | — | $ | — | $ | 300 | ||||
| * | Futures contracts are valued at unrealized appreciation on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
| 44 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Small Cap Value Fund
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
COMMON STOCK — 91.2%‡ | ||||||||
Consumer Discretionary — 9.2% | ||||||||
MDC Partners, Cl A* | 0.5 | % | 413,600 | $ | 3,077 | |||
Regis (A) | 0.4 | 153,848 | 2,384 | |||||
Rent-A-Center* | 0.3 | 113,000 | 2,133 | |||||
Other Securities | 8.0 | 51,635 | ||||||
| 59,229 | ||||||||
Consumer Staples — 4.3% | ||||||||
Fresh Del Monte Produce* | 0.3 | 85,700 | 1,938 | |||||
Pantry* | 0.4 | 154,523 | 2,423 | |||||
Sanderson Farms (A) | 0.3 | 56,041 | 2,109 | |||||
Universal | 0.5 | 81,600 | 3,413 | |||||
Other Securities | 2.8 | 17,995 | ||||||
| 27,878 | ||||||||
Energy — 4.9% | ||||||||
Berry Petroleum, Cl A (A) | 0.5 | 108,632 | 2,909 | |||||
Cal Dive International* | 0.3 | 194,987 | 1,929 | |||||
Holly | 0.4 | 101,700 | 2,606 | |||||
Swift Energy* (A) | 0.3 | 92,798 | 2,197 | |||||
Other Securities | 3.4 | 22,107 | ||||||
| 31,748 | ||||||||
Financials — 30.5% | ||||||||
Allied World Assurance Holdings | 0.3 | 44,000 | 2,109 | |||||
AMB Property† (A) | 0.5 | 140,000 | 3,213 | |||||
Employers Holdings | 0.4 | 156,679 | 2,425 | |||||
Endurance Specialty Holdings (A) | 0.3 | 55,351 | 2,019 | |||||
Equity Residential† | 0.3 | 68,100 | 2,091 | |||||
First Financial Bancorp | 0.5 | 244,886 | 2,951 | |||||
FirstMerit (A) | 0.3 | 111,844 | 2,128 | |||||
Host Hotels & Resorts† (A) | 0.4 | 227,055 | 2,672 | |||||
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
Infinity Property & Casualty | 0.3 | % | 49,259 | $ | 2,093 | |||
Kimco Realty† | 0.3 | 147,200 | 1,920 | |||||
Meadowbrook Insurance Group | 0.3 | 289,600 | 2,143 | |||||
PacWest Bancorp (A) | 0.3 | 106,227 | 2,024 | |||||
Platinum Underwriters Holdings | 0.5 | 96,879 | 3,472 | |||||
Regency Centers† (A) | 0.5 | 79,000 | 2,927 | |||||
Reinsurance Group of America, Cl A (A) | 0.3 | 45,186 | 2,015 | |||||
Signature Bank NY* (A) | 0.3 | 67,669 | 1,962 | |||||
Simon Property Group† | 0.5 | 42,137 | 2,926 | |||||
Vornado Realty | 0.5 | 47,130 | 3,036 | |||||
Other Securities | 23.7 | 153,062 | ||||||
| 197,188 | ||||||||
Health Care — 4.7% | ||||||||
Other Securities | 4.7 | 30,319 | ||||||
Industrials — 14.3% | ||||||||
BE Aerospace* | 0.4 | 129,196 | 2,602 | |||||
EMCOR Group* | 0.5 | 123,700 | 3,132 | |||||
IDEX | 0.3 | 77,409 | 2,164 | |||||
Ryder Systems | 0.3 | 48,900 | 1,910 | |||||
School Specialty* (A) | 0.3 | 92,307 | 2,190 | |||||
Teledyne Technologies* | 0.4 | 62,430 | 2,247 | |||||
Watson Wyatt Worldwide, Cl A (A) | 0.5 | 80,359 | 3,500 | |||||
Other Securities | 11.6 | 74,825 | ||||||
| 92,570 | ||||||||
Information Technology — 13.1% | ||||||||
Benchmark Electronics* (A) | 0.5 | 180,800 | 3,254 | |||||
CACI International, Cl A* | 0.4 | 50,526 | 2,388 | |||||
Coherent* | 0.3 | 86,047 | 2,007 | |||||
Earthlink (A) | 0.3 | 255,600 | 2,149 | |||||
Lawson Software* (A) | 0.4 | 461,668 | 2,881 | |||||
MicroStrategy, Cl A* | 0.3 | 27,900 | 1,996 | |||||
Other Securities | 10.9 | 69,996 | ||||||
| 84,671 | ||||||||
Materials — 4.7% | ||||||||
Olin (A) | 0.3 | 119,362 | 2,082 | |||||
OM Group* (A) | 0.4 | 77,504 | 2,355 | |||||
Other Securities | 4.0 | 25,719 | ||||||
| 30,156 | ||||||||
Telecommunication Services — 0.5% | ||||||||
Other Securities | 0.5 | 3,374 | ||||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 45 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Small Cap Value Fund (Concluded)
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
Utilities — 5.0% | ||||||||
El Paso Electric* | 0.4 | % | 134,700 | $ | 2,380 | |||
Great Plains Energy | 0.5 | 198,798 | 3,568 | |||||
Idacorp | 0.3 | 68,065 | 1,960 | |||||
NorthWestern | 0.4 | 99,600 | 2,433 | |||||
Portland General Electric | 0.8 | 272,387 | 5,371 | |||||
Vectren | 0.3 | 95,400 | 2,198 | |||||
Other Securities | 2.3 | 14,259 | ||||||
| 32,169 | ||||||||
Total Common Stock | 589,302 | |||||||
EXCHANGE TRADED FUND — 0.1% | ||||||||
Other Securities | 0.1 | 434 | ||||||
Total Exchange Traded Fund (Cost $432) ($Thousands) |
| 434 | ||||||
WARRANTS — 0.0% | ||||||||
Other Securities | 0.0 | 1 | ||||||
Total Warrant |
| 1 | ||||||
CONVERTIBLE BOND — 0.1% | ||||||||
Financials — 0.1% | ||||||||
Other Securities | 0.1 | 589 | ||||||
Total Convertible Bond |
| 589 | ||||||
AFFILIATED PARTNERSHIP — 17.5% | ||||||||
SEI Liquidity Fund, L.P., 0.400% | 17.5 | 116,863,538 | 112,791 | |||||
| �� | ||||||||
Total Affiliated Partnership | 112,791 | |||||||
CASH EQUIVALENT — 5.4% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110%**†† | 5.4 | 35,083,722 | 35,084 | |||||
Total Cash Equivalent (Cost $35,084) ($ Thousands) |
| 35,084 | ||||||
U.S. TREASURY OBLIGATIONS (C) — 0.5% | ||||||||
Other Securities | 0.5 | % | 3,354 | |||||
Total U.S. Treasury Obligations | 3,354 | |||||||
Total Investments — 114.8% | $ | 741,555 | ||||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
| Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||
Russell 2000 Index E-MINI | 714 | Dec-2009 | $ | (149 | ) | |||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $645,730 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Real Estate Investment Trust. |
| †† | Investment in Affiliated Security (see Note 5). |
| ‡ | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
| (A) | This security or a partial position of this security is on loan at September 30, 2009 (see Note 9). The total market value of securities on loan at September 30, 2009 was $112,352 ($ Thousands). |
| (B) | This security was purchased with cash collateral received from securities on loan (see Note 9). The total market value of such securities as of September 30, 2009 was $112,791 ($ Thousands). |
| (C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). Footnotes above may apply to securities that are included in “Other Securities”. For further detail, the complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):
| Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||
Common Stock | $ | 588,857 | $ | — | $ | 445 | $ | 589,302 | ||||
Convertible Bond | — | 589 | — | 589 | ||||||||
Exchange Traded Fund | 434 | — | — | 434 | ||||||||
Warrants | 1 | — | — | 1 | ||||||||
Affiliated Partnership | — | 112,791 | — | 112,791 | ||||||||
U.S. Treasury Obligations | — | 3,354 | — | 3,354 | ||||||||
Cash Equivalent | 35,084 | — | — | 35,084 | ||||||||
Total Investments in Securities | $ | 624,376 | $ | 116,734 | $ | 445 | $ | 741,555 | ||||
| Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||
Futures* | $ | (149 | ) | $ | — | $ | — | $ | (149 | ) | ||||
| * | Future contracts are valued at unrealized depreciation on the instrument. |
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
| Common Stock | |||
Beginning balance as of October 1, 2008 | $ | — | |
Accrued discounts/premiums | — | ||
Realized gain/(loss) | — | ||
Change in unrealized appreciation/(depreciation) | — | ||
Net purchases/sales | — | ||
Net transfer in and/or out of Level 3 | 445 | ||
Ending balance as of September 30, 2009 | $ | 445 | |
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date. | $ | — | |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
| 46 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Small Cap Growth Fund
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
COMMON STOCK — 93.9%‡ | ||||||||
Consumer Discretionary — 16.9% | ||||||||
American Public Education* | 0.4 | % | 59,833 | $ | 2,079 | |||
Carter’s* | 0.4 | 64,700 | 1,728 | |||||
J Crew Group* | 0.5 | 64,130 | 2,297 | |||||
Jarden | 0.4 | 66,660 | 1,871 | |||||
Jones Apparel Group | 0.3 | 93,180 | 1,671 | |||||
Life Time Fitness* (A) | 0.7 | 115,060 | 3,227 | |||||
Tempur-Pedic International (A) | 0.5 | 132,106 | 2,502 | |||||
Tractor Supply* (A) | 0.4 | 36,196 | 1,753 | |||||
Other Securities | 13.3 | 64,230 | ||||||
| 81,358 | ||||||||
Consumer Staples — 2.2% | ||||||||
Smart Balance* | 0.3 | 260,416 | 1,599 | |||||
Other Securities | 1.9 | 8,801 | ||||||
| 10,400 | ||||||||
Energy — 5.0% | ||||||||
PetroHawk Energy* | 0.5 | 98,258 | 2,379 | |||||
Quicksilver Resources* | 0.5 | 173,499 | 2,462 | |||||
Willbros Group* (A) | 0.4 | 128,108 | 1,951 | |||||
World Fuel Services (A) | 0.7 | 67,611 | 3,250 | |||||
Other Securities | 2.9 | 14,229 | ||||||
| 24,271 | ||||||||
Financials — 4.5% | ||||||||
Affiliated Managers | 0.4 | 24,973 | 1,624 | |||||
MarketAxess Holdings* | 0.3 | 133,553 | 1,609 | |||||
Other Securities | 3.8 | 18,355 | ||||||
| 21,588 | ||||||||
Health Care — 19.1% | ||||||||
AMAG Pharmaceuticals* | 0.6 | 64,725 | 2,827 | |||||
athenahealth* | 0.3 | 42,419 | 1,628 | |||||
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
BioMarin Pharmaceuticals* | 0.5 | % | 125,008 | $ | 2,260 | |||
Isis Pharmaceuticals* (A) | 0.4 | 121,171 | 1,765 | |||||
LHC Group* (A) | 0.5 | 79,422 | 2,377 | |||||
NuVasive* (A) | 0.4 | 47,007 | 1,963 | |||||
Phase Forward* | 0.4 | 143,626 | 2,016 | |||||
STERIS | 0.4 | 66,568 | 2,027 | |||||
Other Securities | 15.6 | 75,267 | ||||||
| 92,130 | ||||||||
Industrials — 15.6% | ||||||||
Aegean Marine Petroleum Network | 0.6 | 133,715 | 3,008 | |||||
AerCap Holdings* | 0.3 | 180,571 | 1,638 | |||||
Avis Budget Group* (A) | 0.5 | 176,453 | 2,358 | |||||
CoStar Group* (A) | 0.6 | 68,271 | 2,814 | |||||
FTI Consulting* | 0.4 | 41,363 | 1,762 | |||||
TransDigm Group* | 0.4 | 38,034 | 1,894 | |||||
WESCO International* | 0.4 | 67,155 | 1,934 | |||||
Other Securities | 12.4 | 60,078 | ||||||
| 75,486 | ||||||||
Information Technology — 25.7% | ||||||||
3Com* | 0.6 | 531,583 | 2,780 | |||||
Arris Group* (A) | 0.5 | 180,419 | 2,347 | |||||
Art Technology Group* | 0.5 | 597,461 | 2,306 | |||||
DealerTrack Holdings* (A) | 0.4 | 104,037 | 1,967 | |||||
DTS* | 0.6 | 99,487 | 2,724 | |||||
Equinix* | 0.3 | 17,675 | 1,626 | |||||
GSI Commerce* (A) | 0.4 | 103,374 | 1,996 | |||||
Net 1 UEPS Technologies* | 0.4 | 87,569 | 1,835 | |||||
Netlogic Microsystems* (A) | 0.5 | 57,639 | 2,594 | |||||
Quality Systems (A) | 0.6 | 43,307 | 2,666 | |||||
Sapient* | 0.3 | 205,846 | 1,655 | |||||
Teradyne* | 0.5 | 239,143 | 2,212 | |||||
Tessera Technologies* (A) | 0.5 | 89,071 | 2,484 | |||||
TIBCO Software* | 0.3 | 171,300 | 1,626 | |||||
VistaPrint* | 0.9 | 88,126 | 4,472 | |||||
Vocus* | 0.4 | 87,130 | 1,820 | |||||
Volterra Semiconductor* | 0.3 | 86,961 | 1,597 | |||||
Wright Express* | 0.4 | 61,975 | 1,829 | |||||
Other Securities | 17.3 | 83,439 | ||||||
| 123,975 | ||||||||
Materials — 2.3% | ||||||||
NewMarket | 0.4 | 18,700 | 1,740 | |||||
Other Securities | 1.9 | 9,335 | ||||||
| 11,075 | ||||||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 47 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Concluded)
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
Telecommunication Services — 2.0% | ||||||||
SBA Communications, Cl A* (A) | 0.4 | % | 79,165 | $ | 2,140 | |||
Other Securities | 1.6 | 7,520 | ||||||
| 9,660 | ||||||||
Utilities — 0.6% | ||||||||
Other Securities | 0.6 | 3,052 | ||||||
Total Common Stock | 452,995 | |||||||
WARRANTS — 0.0% | ||||||||
Other Securities | 0.0 | 8 | ||||||
Total Warrants | 8 | |||||||
AFFILIATED PARTNERSHIP — 9.6% | ||||||||
SEI Liquidity Fund, L.P., 0.400% (B)**† | 9.6 | 48,929,353 | 46,020 | |||||
Total Affiliated Partnership | 46,020 | |||||||
CASH EQUIVALENT — 6.6% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110%**† | 6.6 | 31,908,692 | 31,909 | |||||
Total Cash Equivalent | 31,909 | |||||||
U.S. TREASURY OBLIGATIONS (C) — 0.5% | ||||||||
Other Securities | 0.5 | 2,499 | ||||||
Total U.S. Treasury Obligations | 2,499 | |||||||
Total Investments — 110.6% | $ | 533,431 | ||||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
| Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | ||||
Russell 2000 Index E-MINI | 510 | Dec-2009 | $ | 114 | |||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $482,380 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Investment in Affiliated Security (see Note 5). |
| ‡ | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
| (A) | This security or a partial position of this security is on loan at September 30, 2009 (see Note 9). The total market value of securities on loan at September 30, 2009 was $47,231 ($ Thousands). |
| (B) | This security was purchased with cash collateral received from securities on loan (see Note 9). The total market value of such securities as of September 30, 2009 was $46,020 ($ Thousands). |
| (C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
| L.P. | — Limited Partnership |
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). Footnotes above may apply to securities that are included in “Other Securities”. For further detail, the complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):
| Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||
Common Stock | $ | 452,424 | $ | — | $ | 571 | $ | 452,995 | ||||
Warrants | — | 8 | — | 8 | ||||||||
Affiliated Partnership | — | 46,020 | — | 46,020 | ||||||||
U.S. Treasury Obligations | — | 2,499 | — | 2,499 | ||||||||
Cash Equivalent | 31,909 | — | — | 31,909 | ||||||||
Total Investments in Securities | $ | 484,333 | $ | 48,527 | $ | 571 | $ | 533,431 | ||||
| Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||
Futures* | $ | 114 | $ | — | $ | — | $ | 114 | ||||
| * | Futures contracts are valued at unrealized appreciation on the instrument. |
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
| Common Stock | Convertible Bonds | Corporate | |||||||||
Beginning balance as of October 1, 2008 | $ | — | $ | 573 | $ | 387 | |||||
Accrued discounts/premiums | — | — | — | ||||||||
Realized gain/(loss) | — | 1,353 | (105 | ) | |||||||
Change in unrealized appreciation/(depreciation) | — | (1,717 | ) | 66 | |||||||
Net purchases/sales | — | (209 | ) | (348 | ) | ||||||
Net transfer in and/or out of Level 3 | 571 | — | — | ||||||||
Ending balance as of September 30, 2009 | $ | 571 | $ | — | $ | — | |||||
Changes in unrealized gains/ (losses) included in earnings related to securities still held at reporting date. | $ | — | $ | — | $ | — | |||||
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
| 48 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
COMMON STOCK — 96.1% | ||||||||
Consumer Discretionary — 17.2% | ||||||||
American Eagle Outfitters | 0.4 | % | 58,416 | $ | 985 | |||
Big Lots* | 0.3 | 31,200 | 781 | |||||
DreamWorks Animation SKG, Cl A* | 0.3 | 21,790 | 775 | |||||
Hanesbrands* | 0.5 | 58,500 | 1,252 | |||||
National CineMedia | 0.3 | 45,968 | 780 | |||||
PetSmart | 0.4 | 42,846 | 932 | |||||
Polaris Industries | 0.3 | 20,035 | 817 | |||||
Warnaco Group* | 0.3 | 19,150 | 840 | |||||
WMS Industries* | 0.4 | 22,406 | 998 | |||||
Other Securities | 14.0 | 36,854 | ||||||
| 45,014 | ||||||||
Consumer Staples — 4.1% | ||||||||
Dean Foods* | 0.3 | 42,777 | 761 | |||||
Herbalife | 0.4 | 31,900 | 1,044 | |||||
Other Securities | 3.4 | 8,818 | ||||||
| 10,623 | ||||||||
Energy — 4.9% | ||||||||
Other Securities | 4.9 | 12,901 | ||||||
Financials — 15.0% | ||||||||
Allied World Assurance Holdings | 0.4 | 18,900 | 906 | |||||
Comerica | 0.3 | 27,779 | 824 | |||||
HRPT Properties Trust† | 0.3 | 110,400 | 830 | |||||
Signature Bank NY* | 0.4 | 34,925 | 1,013 | |||||
Unum Group | 0.3 | 38,246 | 820 | |||||
Other Securities | 13.3 | 35,034 | ||||||
| 39,427 | ||||||||
Health Care — 12.0% | ||||||||
Forest Laboratories* | 0.3 | 29,675 | 874 | |||||
Inverness Medical Innovations* | 0.3 | 22,684 | 879 | |||||
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
OSI Pharmaceuticals* | 0.3 | % | 24,918 | $ | 880 | |||
Other Securities | 11.1 | 28,804 | ||||||
| 31,437 | ||||||||
Industrials — 14.3% | ||||||||
BE Aerospace* | 0.4 | 54,236 | 1,092 | |||||
Corrections Corp of America* | 0.3 | 39,630 | 898 | |||||
Gardner Denver* | 0.3 | 23,705 | 827 | |||||
Regal-Beloit | 0.3 | 17,200 | 786 | |||||
SYKES Enterprises* | 0.6 | 73,545 | 1,531 | |||||
Teledyne Technologies* | 0.4 | 24,084 | 867 | |||||
Other Securities | 12.0 | 31,514 | ||||||
| 37,515 | ||||||||
Information Technology — 17.2% | ||||||||
Alliance Data Systems* (A) | 0.3 | 13,200 | 806 | |||||
Equinix* | 0.5 | 14,300 | 1,316 | |||||
Gartner* | 0.3 | 47,044 | 860 | |||||
GSI Commerce* | 0.6 | 76,924 | 1,485 | |||||
Jabil Circuit | 0.5 | 87,067 | 1,168 | |||||
Lawson Software* | 0.3 | 127,610 | 796 | |||||
Microsemi* | 0.3 | 49,272 | 778 | |||||
PMC - Sierra* | 0.3 | 87,000 | 832 | |||||
Polycom* | 0.3 | 30,790 | 824 | |||||
Red Hat* | 0.3 | 29,700 | 821 | |||||
Seagate Technology | 0.4 | 74,100 | 1,127 | |||||
SkillSoft ADR* | 0.5 | 131,096 | 1,259 | |||||
Sybase* | 0.3 | 20,286 | 789 | |||||
TiVo* | 0.3 | 83,200 | 862 | |||||
VistaPrint* | 0.5 | 25,679 | 1,303 | |||||
Other Securities | 11.5 | 30,231 | ||||||
| 45,257 | ||||||||
Materials — 5.9% | ||||||||
Cytec Industries | 0.3 | 24,041 | 781 | |||||
Lubrizol | 0.3 | 12,000 | 858 | |||||
Scotts Miracle-Gro, Cl A | 0.3 | 18,000 | 773 | |||||
Other Securities | 5.0 | 13,077 | ||||||
| 15,489 | ||||||||
Telecommunication Services — 1.4% | ||||||||
NII Holdings* | 0.3 | 27,400 | 821 | |||||
SBA Communications, Cl A* | 0.3 | 28,300 | 765 | |||||
Other Securities | 0.8 | 2,062 | ||||||
| 3,648 | ||||||||
Utilities — 4.1% | ||||||||
AGL Resources | 0.3 | 24,204 | 854 | |||||
Great Plains Energy | 0.4 | 59,636 | 1,071 | |||||
NorthWestern | 0.3 | 32,525 | 795 | |||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 49 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund (Concluded)
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | |||||
Portland General Electric | 0.4 | % | 47,982 | $ | 946 | |||
Other Securities | 2.7 | 7,155 | ||||||
| 10,821 | ||||||||
Total Common Stock | 252,132 | |||||||
EXCHANGE TRADED FUND — 0.0% | ||||||||
Other Securities | 0.0 | 78 | ||||||
Total Exchange Traded Fund | 78 | |||||||
CLOSED-END FUND — 0.0% | ||||||||
Other Securities | 0.0 | 11 | ||||||
Total Closed-End Fund | 11 | |||||||
CASH EQUIVALENT — 3.5% | ||||||||
SEI Daily Income Trust, Prime Obligation | 3.5 | 9,285,269 | 9,285 | |||||
Total Cash Equivalent | 9,285 | |||||||
AFFILIATED PARTNERSHIP — 0.9% | ||||||||
SEI Liquidity Fund, L.P., 0.400% (B)**†† | 0.9 | 2,498,946 | 2,320 | |||||
Total Affiliated Partnership | 2,320 | |||||||
U.S. TREASURY OBLIGATION (C) (D) — 0.4% | ||||||||
U.S. Treasury Bills, 0.211%, 12/03/2009 | 0.4 | $910 | 910 | |||||
Total U.S. Treasury Obligation | 910 | |||||||
Total Investments — 100.9% | $ | 264,736 | ||||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
| Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | ||||
Russell 2000 Index E-MINI | 68 | Dec-2009 | $ | 101 | |||
S&P Mid 400 Index E-MINI | 51 | Dec-2009 | 94 | ||||
| $ | 195 | ||||||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $262,464 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Real Estate Investment Trust. |
| †† | Investment in Affiliated Security (see Note 5). |
| (A) | This security or a partial position of this security is on loan at September 30, 2009 (see Note 9). The total market value of securities on loan at September 30, 2009 was $2,423 ($ Thousands). |
| (B) | This security was purchased with cash collateral received from securities on loan (see Note 9). The total market value of such securities as of September 30, 2009 was $2,320 ($ Thousands). |
| (C) | The rate reported is the effective yield at the time of purchase. |
| (D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). Footnotes above may apply to securities that are included in “Other Securities”. For further detail, the complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
| Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||
Common Stock | $ | 252,132 | $ | — | $ | — | $ | 252,132 | ||||
Exchange Traded Fund | 78 | — | — | 78 | ||||||||
Closed-End Fund | 11 | — | — | 11 | ||||||||
Affiliated Partnership | — | 2,320 | — | 2,320 | ||||||||
U.S. Treasury Obligation | — | 910 | — | 910 | ||||||||
Cash Equivalent | 9,285 | — | — | 9,285 | ||||||||
Total Investments in Securities | $ | 261,506 | $ | 3,230 | $ | — | $ | 264,736 | ||||
| Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||
Futures* | $ | 195 | $ | — | $ | — | $ | 195 | ||||
| * | Futures contracts are valued at unrealized appreciation on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
| 50 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Small/Mid Cap Diversified Alpha Fund
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
COMMON STOCK — 82.9% | ||||||||
Consumer Discretionary — 12.5% | ||||||||
Barnes & Noble | 0.6 | % | 25,900 | $ | 576 | |||
Cato, Cl A | 0.6 | 25,300 | 513 | |||||
DineEquity | 0.4 | 15,800 | 391 | |||||
DSW, Cl A* | 0.4 | 24,200 | 386 | |||||
OfficeMax | 0.4 | 27,900 | 351 | |||||
Pulte Homes | 0.4 | 37,500 | 412 | |||||
Other Securities | 9.7 | 8,627 | ||||||
| 11,256 | ||||||||
Consumer Staples — 3.6% | ||||||||
Flowers Foods | 0.5 | 18,800 | 494 | |||||
Herbalife | 0.6 | 16,700 | 547 | |||||
Lance | 0.4 | 13,800 | 356 | |||||
Other Securities | 2.1 | 1,869 | ||||||
| 3,266 | ||||||||
Energy — 4.0% | ||||||||
Rosetta Resources* | 0.4 | 23,900 | 351 | |||||
W&T Offshore | 0.4 | 32,900 | 385 | |||||
World Fuel Services | 0.4 | 8,000 | 384 | |||||
Other Securities | 2.8 | 2,508 | ||||||
| 3,628 | ||||||||
Financials — 12.3% | ||||||||
Anworth Mortgage Asset† | 0.7 | 84,700 | 667 | |||||
LTC Properties† | 0.4 | 16,200 | 389 | |||||
MFA Financial† | 0.6 | 71,900 | 572 | |||||
Platinum Underwriters Holdings | 0.4 | 10,400 | 373 | |||||
Prospect Capital | 0.4 | 32,900 | 352 | |||||
Other Securities | 9.8 | 8,688 | ||||||
| 11,041 | ||||||||
Health Care — 11.3% | ||||||||
Amsurg* | 0.6 | 27,600 | 586 | |||||
Centene | 0.4 | 18,500 | 350 | |||||
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
LHC Group* | 0.6 | % | 17,400 | $ | 521 | |||
Medicines* | 0.4 | 35,900 | 395 | |||||
Medicis Pharmaceutical, Cl A | 0.4 | 18,900 | 404 | |||||
Mednax* | 0.4 | 7,300 | 401 | |||||
Quidel* | 0.5 | 29,400 | 477 | |||||
Res-Care* | 0.4 | 25,000 | 355 | |||||
Rigel Pharmaceuticals* | 0.5 | 55,100 | 452 | |||||
Other Securities | 7.1 | 6,197 | ||||||
| 10,138 | ||||||||
Industrials — 11.2% | ||||||||
Applied Industrial Technologies | 0.4 | 17,000 | 360 | |||||
CRA International* | 0.5 | 15,100 | 412 | |||||
EMCOR Group* | 0.6 | 20,200 | 511 | |||||
Force Protection* | 0.4 | 71,400 | 390 | |||||
Great Lakes Dredge & Dock | 0.4 | 52,000 | 363 | |||||
Terex* | 0.4 | 18,200 | 377 | |||||
UAL* | 0.6 | 59,500 | 549 | |||||
US Airways Group* | 0.5 | 95,300 | 448 | |||||
Other Securities | 7.4 | 6,712 | ||||||
| 10,122 | ||||||||
Information Technology — 17.7% | ||||||||
Emulex* | 0.4 | 39,600 | 408 | |||||
Heartland Payment Systems | 0.7 | 45,800 | 665 | |||||
Imation | 0.7 | 64,000 | 593 | |||||
Knot* | 0.4 | 35,100 | 383 | |||||
Mantech International, Cl A* | 0.6 | 12,400 | 585 | |||||
Netgear* | 0.5 | 23,300 | 428 | |||||
Novell* | 0.5 | 95,300 | 430 | |||||
SRA International, Cl A* | 0.5 | 19,500 | 421 | |||||
Other Securities | 13.4 | 12,025 | ||||||
| 15,938 | ||||||||
Materials — 6.1% | ||||||||
New Gold* | 0.4 | 96,400 | 365 | |||||
Other Securities | 5.7 | 5,104 | ||||||
| 5,469 | ||||||||
Telecommunication Services — 1.6% | ||||||||
Leap Wireless International* | 0.4 | 18,400 | 360 | |||||
Other Securities | 1.2 | 1,089 | ||||||
| 1,449 | ||||||||
Utilities — 2.6% | ||||||||
NorthWestern | 0.5 | 18,100 | 442 | |||||
Portland General Electric | 0.4 | 18,700 | 369 | |||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 51 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Small/Mid Cap Diversified Alpha Fund (Concluded)
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Unisource Energy | 0.7 | % | 20,800 | $ | 640 | ||||
Westar Energy | 0.4 | 18,000 | 351 | ||||||
Other Securities | 0.6 | 584 | |||||||
| 2,386 | |||||||||
Total Common Stock | 74,693 | ||||||||
PREFERRED STOCK — 0.2% | |||||||||
Consumer Discretionary — 0.2% | |||||||||
Other Securities | 0.2 | 188 | |||||||
Total Preferred Stock | 188 | ||||||||
WARRANTS — 0.0% | |||||||||
Other Securities | 0.0 | 1 | |||||||
Total Warrants | 1 | ||||||||
CONVERTIBLE BONDS — 0.5% | |||||||||
Energy — 0.5% | |||||||||
Other Securities | 0.5 | 455 | |||||||
Total Convertible Bonds | 455 | ||||||||
CORPORATE OBLIGATION — 0.0% | |||||||||
Financials — 0.0% | |||||||||
Other Securities | 0.0 | 44 | |||||||
Total Corporate Obligation | 44 | ||||||||
CASH EQUIVALENT — 15.9% | |||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110%** †† | 15.9 | 14,324,653 | 14,325 | ||||||
Total Cash Equivalent | 14,325 | ||||||||
U.S. TREASURY OBLIGATIONS (A) (B) —1.4% | |||||||||
U.S. Treasury Bills, 0.143%, 12/03/09 | 0.4 | $ | 390 | 390 | |||||
0.064%, 01/07/10 | 1.0 | 850 | 850 | ||||||
Total U.S. Treasury Obligations | 1,240 | ||||||||
Total Investments — 100.9% | $ | 90,946 | |||||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
| Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | ||||
Russell 2000 Index E-MINI | 132 | Dec-2009 | $ | 8 | |||
S&P 400 Index E-MINI | 98 | Dec-2009 | 81 | ||||
| $ | 89 | ||||||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $90,096 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Real Estate Investment Trust. |
| †† | Investment in Affiliated Security (see Note 5). |
| (A) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
| (B) | The rate reported is the effective yield at the time of purchase. |
Cl — Class
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). Footnotes above may apply to securities that are included in “Other Securities”. For further detail, the complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):
| Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||
Common Stock | $ | 74,548 | $ | 83 | $ | 62 | $ | 74,693 | ||||
Convertible Bonds | — | 455 | — | 455 | ||||||||
Preferred Stock | — | 188 | — | 188 | ||||||||
Corporate Obligation | — | — | 44 | 44 | ||||||||
Warrants | — | 1 | — | 1 | ||||||||
U.S. Treasury Obligations | — | 1,240 | — | 1,240 | ||||||||
Cash Equivalent | 14,325 | — | — | 14,325 | ||||||||
Total Investments in Securities | $ | 88,873 | $ | 1,967 | $ | 106 | $ | 90,946 | ||||
| Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||
Futures* | $ | 89 | $ | — | $ | — | $ | 89 | ||||
| * | Futures contracts are valued at unrealized appreciation on the instrument. |
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Corporate Obligation | Common | |||||
Beginning balance as of October 1, 2008 | $ | 43 | $ | — | ||
Accrued discounts/premiums | — | — | ||||
Realized gain/(loss) | — | — | ||||
Change in unrealized appreciation/(depreciation) | 1 | — | ||||
Net purchases/sales | — | — | ||||
Net transfer in and/or out of Level 3 | — | 62 | ||||
Ending balance as of September 30, 2009 | $ | 44 | $ | 62 | ||
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date. | $ | 1 | $ | — | ||
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
For the year ended September 30, 2009, the total notional amount of $0 is not representative of the volume of activity for the swap derivatives during the period. During the fiscal year, due to a sub-advisor change, the volume of swap derivatives has been reduced from the notional amounts at the beginning of the fiscal year.
The accompanying notes are an integral part of the financial statements.
| 52 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Mid-Cap Fund
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
COMMON STOCK — 97.4% | ||||||||
Consumer Discretionary — 14.0% | ||||||||
Advance Auto Parts (A) | 0.6 | % | 19,900 | $ | 782 | |||
H&R Block | 0.5 | 34,700 | 638 | |||||
Hanesbrands* | 0.7 | 41,100 | 879 | |||||
Ross Stores | 0.8 | 21,100 | 1,008 | |||||
TJX | 1.3 | 41,000 | 1,523 | |||||
Wyndham Worldwide | 0.6 | 40,300 | 658 | |||||
Other Securities | 9.5 | 11,361 | ||||||
| 16,849 | ||||||||
Consumer Staples — 7.1% | ||||||||
Coca-Cola Enterprises | 1.0 | 56,700 | 1,214 | |||||
Constellation Brands, Cl A* | 0.5 | 44,800 | 679 | |||||
Dean Foods* | 0.6 | 37,700 | 671 | |||||
Del Monte Foods | 0.7 | 71,300 | 826 | |||||
Other Securities | 4.3 | 5,131 | ||||||
| 8,521 | ||||||||
Energy — 4.8% | ||||||||
Dresser-Rand Group* | 0.6 | 24,400 | 758 | |||||
El Paso | 0.9 | 106,700 | 1,101 | |||||
Murphy Oil | 0.9 | 18,000 | 1,036 | |||||
Other Securities | 2.4 | 2,915 | ||||||
| 5,810 | ||||||||
Financials — 16.4% | ||||||||
Allied World Assurance Holdings | 0.6 | 15,000 | 719 | |||||
American Financial Group | 0.5 | 25,100 | 640 | |||||
Annaly Capital Management† | 1.0 | 64,000 | 1,161 | |||||
TD Ameritrade Holding* | 0.6 | 36,500 | 716 | |||||
Transatlantic Holdings | 0.6 | 13,900 | 697 | |||||
Other Securities | 13.1 | 15,701 | ||||||
| 19,634 | ||||||||
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
Health Care — 8.1% | ||||||||
Community Health Systems* | 0.6 | % | 20,700 | $ | 661 | |||
Kinetic Concepts* | 0.7 | 21,800 | 806 | |||||
Other Securities | 6.8 | 8,301 | ||||||
| 9,768 | ||||||||
Industrials — 11.3% | ||||||||
Con-way | 0.6 | 17,000 | 652 | |||||
Flowserve | 0.5 | 6,500 | 641 | |||||
Fluor (A) | 0.7 | 15,800 | 803 | |||||
ITT | 0.6 | 14,500 | 756 | |||||
KBR | 0.6 | 30,600 | 713 | |||||
L-3 Communications Holdings | 0.9 | 12,800 | 1,028 | |||||
Oshkosh Truck (A) | 0.8 | 29,600 | 916 | |||||
Other Securities | 6.6 | 8,063 | ||||||
| 13,572 | ||||||||
Information Technology — 17.9% | ||||||||
Arrow Electronics* | 0.6 | 25,000 | 704 | |||||
Avnet* | 0.7 | 31,800 | 826 | |||||
CA | 0.7 | 40,900 | 899 | |||||
Computer Sciences* | 0.8 | 17,400 | 917 | |||||
Fiserv* | 1.0 | 24,600 | 1,186 | |||||
Harris | 0.6 | 20,000 | 752 | |||||
Ingram Micro, Cl A* | 0.5 | 38,200 | 644 | |||||
Marvell Technology Group* | 0.7 | 47,900 | 775 | |||||
Seagate Technology | 0.6 | 44,800 | 682 | |||||
Silicon Laboratories* (A) | 0.6 | 14,500 | 672 | |||||
Western Digital* | 1.1 | 38,100 | 1,392 | |||||
Other Securities | 10.0 | 11,988 | ||||||
| 21,437 | ||||||||
Materials — 7.3% | ||||||||
Ashland | 0.6 | 15,900 | 687 | |||||
Celanese, Ser A | 0.7 | 32,400 | 810 | |||||
Crown Holdings* | 0.7 | 29,400 | 800 | |||||
Lubrizol | 0.7 | 11,200 | 800 | |||||
Nalco Holding | 0.6 | 38,100 | 781 | |||||
Owens-Illinois* | 0.7 | 21,800 | 804 | |||||
Pactiv* | 0.7 | 33,800 | 881 | |||||
Other Securities | 2.6 | 3,239 | ||||||
| 8,802 | ||||||||
Telecommunication Services — 2.1% | ||||||||
NII Holdings* | 0.8 | 31,400 | 941 | |||||
Other Securities | 1.3 | 1,579 | ||||||
| 2,520 | ||||||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 53 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Mid-Cap Fund (Concluded)
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
Utilities — 8.4% | ||||||||
AES* | 0.8 | % | 66,100 | $ | 980 | |||
DTE Energy | 0.6 | 20,100 | 706 | |||||
Mirant* | 0.6 | 46,200 | 759 | |||||
UGI | 0.7 | 34,500 | 865 | |||||
Other Securities | 5.7 | 6,788 | ||||||
| 10,098 | ||||||||
Total Common Stock | 117,011 | |||||||
AFFILIATED PARTNERSHIP — 13.6% | ||||||||
SEI Liquidity Fund, L.P., 0.400% (B)**†† | 13.6 | 16,737,610 | 16,372 | |||||
Total Affiliated Partnership | 16,372 | |||||||
CASH EQUIVALENT — 2.9% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110%**†† | 2.9 | 3,526,668 | 3,527 | |||||
Total Cash Equivalent | 3,527 | |||||||
U.S. TREASURY OBLIGATION (C) — 0.4% | ||||||||
Other Securities | 0.4 | 430 | ||||||
Total U.S. Treasury Obligation | 430 | |||||||
Total Investments — 114.3% | $ | 137,340 | ||||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
| Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | ||||
S&P Mid 400 Index E-MINI | 52 | Dec-2009 | $ | 111 | |||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $120,146 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Real Estate Investment Trust. |
| †† | Investment in Affiliated Security (see Note 5). |
| (A) | This security or a partial position of this security is on loan at September 30, 2009 (see Note 9). The total market value of securities on loan at September 30, 2009 was $16,303 ($ Thousands). |
| (B) | This security was purchased with cash collateral received from securities on loan (see Note 9). The total market value of such securities as of September 30, 2009 was $16,372 ($ Thousands). |
| (C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
| L.P. | — Limited Partnership |
Ser — Series
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). Footnotes above may apply to securities that are included in “Other Securities”. For further detail, the complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):
| Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||
Common Stock | $ | 117,011 | $ | — | $ | — | $ | 117,011 | ||||
Affiliated Partnership | — | 16,372 | — | 16,372 | ||||||||
U.S. Treasury Obligation | — | 430 | — | 430 | ||||||||
Cash Equivalent | 3,527 | — | — | 3,527 | ||||||||
Total Investments in Securities | $ | 120,538 | $ | 16,802 | $ | — | $ | 137,340 | ||||
| Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||
Futures* | $ | 111 | $ | — | $ | — | $ | 111 | ||||
| * | Futures contracts are valued at unrealized appreciation on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
| 54 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
U.S. Managed Volatility Fund
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
COMMON STOCK — 94.8% | ||||||||
Consumer Discretionary — 6.2% | ||||||||
Strayer Education | 0.5 | % | 9,478 | $ | 2,063 | |||
Other Securities | 5.7 | 21,650 | ||||||
| 23,713 | ||||||||
Consumer Staples — 14.4% | ||||||||
Altria Group | 1.1 | 240,091 | 4,276 | |||||
Brown-Forman, Cl B | 0.8 | 66,913 | 3,226 | |||||
Campbell Soup | 0.6 | 73,907 | 2,411 | |||||
Hormel Foods | 1.4 | 155,435 | 5,521 | |||||
Lorillard | 1.2 | 60,492 | 4,495 | |||||
Philip Morris International | 1.2 | 91,763 | 4,473 | |||||
Reynolds American | 1.1 | 97,361 | 4,334 | |||||
SYSCO | 1.1 | 172,817 | 4,295 | |||||
Tyson Foods, Cl A | 0.8 | 255,150 | 3,222 | |||||
Other Securities | 5.1 | 18,583 | ||||||
| 54,836 | ||||||||
Energy — 4.5% | ||||||||
Exxon Mobil | 0.6 | 32,925 | 2,259 | |||||
Other Securities | 3.9 | 15,001 | ||||||
| 17,260 | ||||||||
Financials — 14.0% | ||||||||
Bank of Hawaii | 1.0 | 86,546 | 3,595 | |||||
Capitol Federal Financial | 0.6 | 66,258 | 2,181 | |||||
Commerce Bancshares | 1.3 | 137,160 | 5,108 | |||||
Cullen/Frost Bankers | 0.8 | 58,457 | 3,019 | |||||
People’s United Financial | 1.0 | 252,536 | 3,930 | |||||
TFS Financial | 1.0 | 322,772 | 3,841 | |||||
Other Securities | 8.3 | 31,665 | ||||||
| 53,339 | ||||||||
Health Care — 22.3% | ||||||||
Abbott Laboratories | 1.5 | 112,146 | 5,548 | |||||
AmerisourceBergen | 1.7 | 284,696 | 6,371 | |||||
Amgen* | 1.2 | 75,283 | 4,534 | |||||
Baxter International | 0.8 | 55,195 | 3,147 | |||||
Becton Dickinson | 1.1 | 57,460 | 4,008 | |||||
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
Biogen Idec* | 1.2 | % | 87,289 | $ | 4,410 | |||
C.R. Bard | 0.9 | 43,014 | 3,381 | |||||
Edwards Lifesciences* | 0.7 | 36,766 | 2,570 | |||||
Forest Laboratories* | 1.0 | 123,040 | 3,622 | |||||
Genzyme* | 1.4 | 95,329 | 5,408 | |||||
Gilead Sciences* | 1.1 | 94,370 | 4,396 | |||||
Johnson & Johnson | 1.1 | 69,099 | 4,207 | |||||
McKesson | 1.7 | 107,620 | 6,409 | |||||
Techne | 1.2 | 73,109 | 4,573 | |||||
Watson Pharmaceuticals* | 0.5 | 56,443 | 2,068 | |||||
Other Securities | 5.2 | 20,174 | ||||||
| 84,826 | ||||||||
Industrials — 4.0% | ||||||||
C.H. Robinson Worldwide | 0.5 | 35,193 | 2,032 | |||||
Other Securities | 3.5 | 13,038 | ||||||
| 15,070 | ||||||||
Information Technology — 11.2% | ||||||||
Analog Devices | 0.7 | 102,524 | 2,828 | |||||
Intel | 1.1 | 223,543 | 4,375 | |||||
Tech Data* | 1.1 | 94,708 | 3,941 | |||||
Texas Instruments | 1.1 | 177,216 | 4,198 | |||||
Visa, Cl A | 0.8 | 44,823 | 3,098 | |||||
Other Securities | 6.4 | 24,420 | ||||||
| 42,860 | ||||||||
Materials — 3.7% | ||||||||
Newmont Mining | 1.0 | 89,374 | 3,934 | |||||
Other Securities | 2.7 | 10,079 | ||||||
| 14,013 | ||||||||
Telecommunication Services — 2.4% | ||||||||
AT&T | 0.6 | 79,900 | 2,158 | |||||
Other Securities | 1.8 | 6,921 | ||||||
| 9,079 | ||||||||
Utilities — 12.1% | ||||||||
AGL Resources | 0.8 | 82,355 | 2,905 | |||||
Alliant Energy | 0.6 | 75,713 | 2,109 | |||||
Atmos Energy | 0.9 | 125,435 | 3,535 | |||||
Nicor | 0.7 | 75,296 | 2,755 | |||||
NSTAR | 0.8 | 89,964 | 2,863 | |||||
OGE Energy | 0.5 | 60,203 | 1,991 | |||||
Sempra Energy | 0.5 | 41,419 | 2,063 | |||||
UGI | 0.6 | 86,870 | 2,177 | |||||
Vectren | 0.6 | 105,405 | 2,428 | |||||
Wisconsin Energy | 1.1 | 94,324 | 4,261 | |||||
Other Securities | 5.0 | 19,041 | ||||||
| 46,128 | ||||||||
Total Common Stock | 361,124 | |||||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 55 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
U.S. Managed Volatility Fund (Concluded)
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
CASH EQUIVALENT — 4.4% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110%**† | 4.4 | % | 16,834,444 | $ | 16,834 | |||
Total Cash Equivalent | 16,834 | |||||||
U.S. TREASURY OBLIGATION (A) — 0.2% | ||||||||
Other Securities | 0.2 | 900 | ||||||
Total U.S. Treasury Obligation | 900 | |||||||
Total Investments — 99.4% | $ | 378,858 | ||||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
| Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | ||||
S&P 500 Index E-MINI | 147 | Dec-2009 | $ | 181 | |||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $381,004 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Investment in Affiliated Security (see Note 5). |
| (A) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). Footnotes above may apply to securities that are included in “Other Securities”. For further detail, the complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):
| Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||
Common Stock | $ | 361,124 | $ | — | $ | — | $ | 361,124 | ||||
U.S. Treasury Obligation | — | 900 | — | 900 | ||||||||
Cash Equivalent | 16,834 | — | — | 16,834 | ||||||||
Total Investments in Securities | $ | 377,958 | $ | 900 | $ | — | $ | 378,858 | ||||
| Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||
Futures* | $ | 181 | $ | — | $ | — | $ | 181 | ||||
| * | Futures contracts are valued at unrealized appreciation on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
| 56 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
COMMON STOCK — 96.0% | ||||||||
Australia — 5.7% | ||||||||
Amcor | 0.6 | % | 285,802 | $ | 1,382 | |||
Iluka Resources | 0.9 | 539,788 | 1,896 | |||||
Origin Energy | 0.6 | 86,754 | 1,250 | |||||
Telstra | 1.2 | 902,359 | 2,604 | |||||
Other Securities | 2.4 | 5,131 | ||||||
| 12,263 | ||||||||
Belgium — 3.1% | ||||||||
Belgacom | 0.6 | 35,455 | 1,380 | |||||
Colruyt | 1.1 | 9,836 | 2,309 | |||||
Mobistar | 1.2 | 36,229 | 2,504 | |||||
Other Securities | 0.2 | 488 | ||||||
| 6,681 | ||||||||
Bermuda — 0.1% | ||||||||
Other Securities | 0.1 | 99 | ||||||
Canada — 14.5% | ||||||||
Alimentation Couche | 1.3 | 156,800 | 2,739 | |||||
Empire, Cl A | 0.6 | 33,000 | 1,344 | |||||
Enbridge | 0.9 | 50,300 | 1,948 | |||||
Fortis | 0.8 | 73,300 | 1,706 | |||||
Royal Bank of Canada | 0.6 | 23,300 | 1,249 | |||||
Saputo | 0.6 | 56,400 | 1,321 | |||||
TELUS | 1.3 | 92,500 | 2,933 | |||||
Toronto-Dominion Bank | 0.6 | 19,900 | 1,284 | |||||
Other Securities | 7.8 | 16,456 | ||||||
| 30,980 | ||||||||
Cayman Islands — 0.1% | ||||||||
Other Securities | 0.1 | 161 | ||||||
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
Denmark — 2.1% | ||||||||
Novo Nordisk, Cl B | 1.5 | % | 51,407 | $ | 3,215 | |||
Other Securities | 0.6 | 1,154 | ||||||
| 4,369 | ||||||||
Finland — 0.4% | ||||||||
Other Securities | 0.4 | 938 | ||||||
France — 1.7% | ||||||||
France Telecom | 0.8 | 63,582 | 1,692 | |||||
Other Securities | 0.9 | 2,034 | ||||||
| 3,726 | ||||||||
Germany — 2.5% | ||||||||
Beiersdorf | 0.8 | 29,909 | 1,755 | |||||
Other Securities | 1.7 | 3,620 | ||||||
| 5,375 | ||||||||
Greece — 0.1% | ||||||||
Other Securities | 0.1 | 281 | ||||||
Hong Kong — 2.4% | ||||||||
CLP Holdings | 1.3 | 402,000 | 2,728 | |||||
HongKong Electric Holdings | 0.9 | 341,500 | 1,873 | |||||
Other Securities | 0.2 | 603 | ||||||
| 5,204 | ||||||||
Ireland — 0.5% | ||||||||
Other Securities | 0.5 | 1,056 | ||||||
Italy — 0.0% | ||||||||
Other Securities | 0.0 | 70 | ||||||
Japan — 22.7% | ||||||||
Asahi Breweries | 0.8 | 90,300 | 1,656 | |||||
Astellas Pharma | 0.7 | 35,100 | 1,447 | |||||
Benesse | 1.0 | 43,000 | 2,113 | |||||
Chubu Electric Power | 1.0 | 88,100 | 2,145 | |||||
FamilyMart | 0.6 | 41,300 | 1,333 | |||||
Hokuriku Electric Power | 0.6 | 50,100 | 1,279 | |||||
Kansai Electric Power | 0.8 | 74,800 | 1,813 | |||||
Keihin Electric Express Railway | 0.7 | 167,000 | 1,419 | |||||
Kyushu Electric Power | 0.7 | 64,200 | 1,459 | |||||
Lawson | 0.8 | 34,300 | 1,597 | |||||
Nitori | 0.6 | 15,550 | 1,329 | |||||
Takeda Pharmaceutical | 0.6 | 31,000 | 1,295 | |||||
Tobu Railway | 0.7 | 241,000 | 1,475 | |||||
Other Securities | 13.1 | 28,193 | ||||||
| 48,553 | ||||||||
Luxembourg — 0.2% | ||||||||
Other Securities | 0.2 | 361 | ||||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 57 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund (Concluded)
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
Netherlands — 0.9% | ||||||||
Other Securities | 0.9 | % | $ | 1,902 | ||||
New Zealand — 0.1% | ||||||||
Other Securities | 0.1 | 154 | ||||||
Spain — 0.6% | ||||||||
Other Securities | 0.6 | 1,297 | ||||||
Sweden — 0.3% | ||||||||
Other Securities | 0.3 | 692 | ||||||
Switzerland — 2.9% | ||||||||
Novartis | 0.6 | 24,938 | 1,246 | |||||
Synthes | 0.9 | 16,615 | 2,000 | |||||
Other Securities | 1.4 | 2,930 | ||||||
| 6,176 | ||||||||
United Kingdom — 6.6% | ||||||||
BAE Systems | 0.8 | 313,302 | 1,750 | |||||
Reckitt Benckiser Group | 1.3 | 56,386 | 2,758 | |||||
Reed Elsevier | 0.9 | 247,443 | 1,853 | |||||
Smith & Nephew | 0.6 | 152,777 | 1,370 | |||||
Other Securities | 3.0 | 6,377 | ||||||
| 14,108 | ||||||||
United States — 28.5% | ||||||||
Abbott Laboratories | 1.1 | 46,900 | 2,320 | |||||
Affiliated Computer Services, Cl A* | 0.6 | 24,500 | 1,327 | |||||
Apollo Group, Cl A* | 1.1 | 32,200 | 2,372 | |||||
C.R. Bard | 1.6 | 42,800 | 3,365 | |||||
Campbell Soup | 1.1 | 74,600 | 2,434 | |||||
Family Dollar Stores | 0.9 | 73,100 | 1,930 | |||||
General Mills | 1.3 | 43,600 | 2,807 | |||||
Raytheon | 1.0 | 46,500 | 2,231 | |||||
SAIC* | 0.7 | 85,100 | 1,493 | |||||
TJX | 0.7 | 37,600 | 1,397 | |||||
Wal-Mart Stores | 1.5 | 67,100 | 3,294 | |||||
Other Securities | 16.9 | 35,915 | ||||||
| 60,885 | ||||||||
Total Common Stock | 205,331 | |||||||
CASH EQUIVALENT — 2.8% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110%**† | 2.8 | 5,984,299 | 5,984 | |||||
Total Cash Equivalent | 5,984 | |||||||
| Description | Percentage of Net Assets (%) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATION (A) — 0.3% | ||||||||
Other Securities | 0.3 | % | $ | 635 | ||||
Total U.S. Treasury Obligation | 635 | |||||||
Total Investments — 99.1% | $ | 211,950 | ||||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
| Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | ||||
DJ Euro Stoxx 50 | 23 | Dec-2009 | $ | 13 | |||
FTSE 100 Index | 8 | Dec-2009 | 17 | ||||
Hang Seng Index | 1 | Oct-2009 | — | ||||
S&P 500 Composite Index | 10 | Dec-2009 | 62 | ||||
SPI 200 Index | 3 | Dec-2009 | 7 | ||||
| $ | 99 | ||||||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2009, is as follows:
| Settle Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
10/29/09 | AUD | 11,782 | USD | 10,175 | $ | (197 | ) | |||||
10/29/09 | CAD | 37,831 | USD | 34,733 | (525 | ) | ||||||
10/29/09 | EUR | 21,928 | USD | 32,213 | 165 | |||||||
10/29/09 | GBP | 9,472 | USD | 15,098 | (46 | ) | ||||||
10/29/09 | JPY | 4,834,034 | USD | 53,746 | (264 | ) | ||||||
10/29/09 | USD | 177 | AUD | 201 | — | |||||||
10/29/09 | USD | 680 | CAD | 730 | 1 | |||||||
10/29/09 | USD | 310 | EUR | 212 | — | |||||||
10/29/09 | USD | 88 | GBP | 55 | — | |||||||
10/29/09 | USD | 1,716 | JPY | 153,829 | 3 | |||||||
| $ | (863 | ) | ||||||||||
Percentages are based on Net Assets of $213,790 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Investment in Affiliated Security (see Note 5). |
| (A) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
AUD — Australian Dollar
CAD — Canadian Dollar
Cl — Class
EUR — Euro
GBP — British Pound Sterling
JPY — Japanese Yen
USD — United States Dollar
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). Footnotes above may apply to securities that are included in “Other Securities”. For further detail, the complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
| 58 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
The following is a summary of the inputs used as of September 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):
| Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||
Common Stock | $ | 205,331 | $ | — | $ | — | $ | 205,331 | ||||
U.S. Treasury Obligation | — | 635 | — | 635 | ||||||||
Cash Equivalent | 5,984 | — | — | 5,984 | ||||||||
Total Investments in Securities | $ | 211,315 | $ | 635 | $ | — | $ | 211,950 | ||||
| Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||
Futures* | $ | 99 | $ | — | $ | — | $ | 99 | ||||||
Forwards | — | (863 | ) | — | (863 | ) | ||||||||
| $ | 99 | $ | (863 | ) | $ | — | $ | (764 | ) | |||||
| * | Futures contracts are valued at unrealized appreciation on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 59 |
Table of Contents
SUMMARY SCHEDULE OF INVESTMENTS
Tax-Managed Managed Volatility Fund
September 30, 2009
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
COMMON STOCK — 94.2% | ||||||||
Consumer Discretionary — 6.0% | ||||||||
Other Securities | 6.0 | % | $ | 10,413 | ||||
Consumer Staples — 21.9% | ||||||||
Altria Group | 1.2 | 113,009 | 2,013 | |||||
Brown-Forman, Cl B | 0.7 | 25,558 | 1,232 | |||||
Campbell Soup | 0.6 | 32,391 | 1,057 | |||||
Church & Dwight | 1.4 | 42,119 | 2,390 | |||||
Coca-Cola | 1.0 | 32,302 | 1,735 | |||||
Colgate-Palmolive | 1.1 | 23,823 | 1,817 | |||||
General Mills | 1.6 | 43,826 | 2,821 | |||||
Hershey | 0.7 | 28,694 | 1,115 | |||||
HJ Heinz | 0.6 | 25,538 | 1,015 | |||||
Hormel Foods | 1.1 | 51,728 | 1,837 | |||||
JM Smucker | 0.8 | 27,275 | 1,446 | |||||
Kellogg | 1.3 | 45,912 | 2,260 | |||||
Kimberly-Clark | 1.5 | 42,802 | 2,524 | |||||
Lorillard | 1.3 | 31,111 | 2,312 | |||||
McCormick | 0.7 | 36,417 | 1,236 | |||||
PepsiCo | 0.6 | 17,439 | 1,023 | |||||
Philip Morris International | 1.1 | 37,370 | 1,821 | |||||
Procter & Gamble | 0.9 | 28,324 | 1,641 | |||||
Reynolds American | 1.1 | 44,568 | 1,984 | |||||
Wal-Mart Stores | 1.0 | 33,220 | 1,631 | |||||
Other Securities | 1.6 | 2,809 | ||||||
| 37,719 | ||||||||
Energy — 3.9% | ||||||||
Other Securities | 3.9 | 6,647 | ||||||
Financials — 12.3% | ||||||||
Capitol Federal Financial | 1.3 | 68,861 | 2,267 | |||||
Commerce Bancshares | 1.1 | 49,642 | 1,849 | |||||
People’s United Financial | 1.0 | 114,013 | 1,774 | |||||
TFS Financial | 1.4 | 193,130 | 2,298 | |||||
Wesco Financial | 0.7 | 3,524 | 1,147 | |||||
Other Securities | 6.8 | 11,898 | ||||||
| 21,233 | ||||||||
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
Health Care — 17.0% | ||||||||
Abbott Laboratories | 0.8 | % | 28,631 | $ | 1,416 | |||
Allscripts Healthcare Solutions | 1.5 | 125,429 | 2,542 | |||||
AmerisourceBergen | 1.2 | 92,948 | 2,080 | |||||
Dentsply International | 0.9 | 44,942 | 1,552 | |||||
Edwards Lifesciences* | 0.7 | 18,044 | 1,261 | |||||
Henry Schein* | 1.0 | 30,968 | 1,701 | |||||
Idexx Laboratories* | 1.0 | 33,956 | 1,698 | |||||
Johnson & Johnson | 1.1 | 31,109 | 1,894 | |||||
Techne | 1.1 | 30,980 | 1,938 | |||||
Wyeth | 1.2 | 42,208 | 2,051 | |||||
Other Securities | 6.5 | 11,228 | ||||||
| 29,361 | ||||||||
Industrials — 5.1% | ||||||||
Dun & Bradstreet | 0.5 | 12,276 | 925 | |||||
Stericycle* | 0.7 | 23,418 | 1,134 | |||||
Other Securities | 3.9 | 6,760 | ||||||
| 8,819 | ||||||||
Information Technology — 10.6% | ||||||||
Diebold | 0.6 | 31,849 | 1,049 | |||||
Google, Cl A* | 1.3 | 4,572 | 2,267 | |||||
IAC* | 1.2 | 102,041 | 2,060 | |||||
Tech Data* | 0.8 | 34,512 | 1,436 | |||||
Zebra Technologies, Cl A* | 0.7 | 48,247 | 1,251 | |||||
Other Securities | 6.0 | 10,117 | ||||||
| 18,180 | ||||||||
Materials — 3.4% | ||||||||
Newmont Mining | 1.2 | 45,183 | 1,989 | |||||
Other Securities | 2.2 | 3,880 | ||||||
| 5,869 | ||||||||
Telecommunication Services — 2.8% | ||||||||
CenturyTel | 0.6 | 28,803 | 968 | |||||
Other Securities | 2.2 | 3,843 | ||||||
| 4,811 | ||||||||
Utilities — 11.2% | ||||||||
Consolidated Edison | 0.6 | 24,656 | 1,009 | |||||
NSTAR | 1.4 | 78,413 | 2,495 | |||||
OGE Energy | 0.9 | 48,498 | 1,604 | |||||
SCANA | 0.6 | 29,444 | 1,028 | |||||
Vectren | 0.8 | 60,645 | 1,397 | |||||
Wisconsin Energy | 0.9 | 32,605 | 1,473 | |||||
Other Securities | 6.0 | 10,216 | ||||||
| 19,222 | ||||||||
Total Common Stock | 162,274 | |||||||
| 60 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Percentage of Net Assets (%) | Shares | Market Value ($ Thousands) | |||||
CASH EQUIVALENT — 4.3% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110%**† | 4.3 | % | 7,455,426 | $ | 7,455 | |||
Total Cash Equivalent | 7,455 | |||||||
U.S. TREASURY OBLIGATION (A) — 0.3% | ||||||||
Other Securities | 0.3 | 440 | ||||||
Total U.S. Treasury Obligation | 440 | |||||||
Total Investments — 98.8% | $ | 170,169 | ||||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
| Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | ||||
S&P 500 Index EMINI | 72 | Dec-2009 | $ | 61 | |||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $172,265 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Investment in Affiliated Security (see Note 5). |
| (A) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). Footnotes above may apply to securities that are included in “Other Securities”. For further detail the complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.
The following is a summary of the inputs used as of September 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):
| Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||
Common Stock | $ | 162,274 | $ | — | $ | — | $ | 162,274 | ||||
U.S. Treasury Obligation | — | 440 | — | 440 | ||||||||
Cash Equivalent | 7,455 | — | — | 7,455 | ||||||||
Total Investments in Securities | $ | 169,729 | $ | 440 | $ | — | $ | 170,169 | ||||
| Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||
Futures* | $ | 61 | $ | — | $ | — | $ | 61 | ||||
| * | Futures contracts are valued at unrealized appreciation on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 61 |
Table of Contents
SCHEDULE OF INVESTMENTS
Real Estate Fund
September 30, 2009
| Description | Shares | Market Value ($ Thousands) | |||
COMMON STOCK — 90.9% | |||||
Consumer Discretionary — 0.4% | |||||
Accor | 10,529 | $ | 585 | ||
Thomas Cook Group | 85,239 | 317 | |||
| 902 | |||||
Financials — 90.5% | |||||
AMB Property† (A) | 597,050 | 13,702 | |||
Annaly Capital Management† | 233,594 | 4,237 | |||
Apartment Investment & Management, ClA† (A) | 364,534 | 5,377 | |||
AvalonBay Communities† (A) | 116,198 | 8,451 | |||
Boston Properties† (A) | 193,833 | 12,706 | |||
Brandywine Realty Trust† | 192,050 | 2,120 | |||
Brookfield Asset Management, Cl A | 194,100 | 4,408 | |||
Camden Property Trust† (A) | 80,200 | 3,232 | |||
Corporate Office Properties Trust† (A) | 73,950 | 2,727 | |||
CreXus Investment*† | 24,600 | 352 | |||
Douglas Emmett† (A) | 646,449 | 7,938 | |||
Equity Residential† (A) | 314,300 | 9,649 | |||
Essex Property Trust† (A) | 104,000 | 8,276 | |||
Extra Space Storage† (A) | 274,950 | 2,901 | |||
Federal Realty Investment Trust† (A) | 67,850 | 4,164 | |||
Forest City Enterprises, Cl A | 348,600 | 4,661 | |||
HCP† | 278,200 | 7,996 | |||
Health Care† | 15,000 | 624 | |||
Host Hotels & Resorts† (A) | 996,344 | 11,727 | |||
Kimco Realty† | 366,000 | 4,773 | |||
Liberty Property Trust† | 70,200 | 2,284 | |||
Macerich† (A) | 172,262 | 5,225 | |||
MFA Financial† | 120,900 | 962 | |||
Mitsubishi Estate | 55,000 | 867 | |||
Post Properties† (A) | 200,500 | 3,609 | |||
Public Storage† (A) | 171,004 | 12,866 | |||
Regency Centers† (A) | 182,800 | 6,773 | |||
Riocan Real Estate Investment Trust* | 2,500 | 42 | |||
RioCan Real Estate Investment Trust† | 86,300 | 1,447 | |||
Saul Centers† | 90,700 | 2,912 | |||
Senior Housing Properties Trust† | 145,300 | 2,777 | |||
Simon Property Group† (A) | 222,960 | 15,480 | |||
Sovran Self Storage† | 2,300 | 70 | |||
UDR† (A) | 239,500 | 3,770 | |||
Unibail (France)† | 10,403 | 2,159 | |||
Ventas† (A) | 185,850 | 7,155 | |||
| Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Verde Realty PIPE* (C) (D) | 21,400 | $ | 451 | |||
Vornado Realty Trust† (A) | 176,141 | 11,345 | ||||
| 200,215 | ||||||
Total Common Stock | 201,117 | |||||
CONVERTIBLE BOND — 0.4% | ||||||
Financials — 0.4% | ||||||
Forest City Enterprises CV to 15.0631 | ||||||
3.625%, 10/15/11 | $ | 1,092 | 991 | |||
Total Convertible Bond | 991 | |||||
AFFILIATED PARTNERSHIP — 32.5% | ||||||
SEI Liquidity Fund, L.P., | 73,574,556 | 71,933 | ||||
Total Affiliated Partnership | 71,933 | |||||
CASH EQUIVALENT — 6.5% | ||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110%**†† | 14,277,412 | 14,277 | ||||
Total Cash Equivalent | 14,277 | |||||
Total Investments — 130.3% | $ | 288,318 | ||||
Percentages are based on Net Assets of $221,360 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Real Estate Investment Trust. |
| †† | Investment in Affiliated Security (see Note 5). |
| (A) | This security or a partial position of this security is on loan at September 30, 2009 (see Note 9). The total market value of securities on loan at September 30, 2009 was $71,426 ($ Thousands). |
| (B) | This security was purchased with cash collateral received from securities on loan (see Note 9). The total market value of such securities as of September 30, 2009 was $71,933 ($ Thousands). |
| (C) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2009, was $451 ($ Thousands) and represented 0.20% of Net Assets. |
| (D) | Security considered illiquid and restricted. The total market value of such securities as of September 30, 2009, was $451 ($ Thousands) and represented 0.20% of Net Assets. |
Cl — Class
CV — Convertible Security
L.P. — Limited Partnership
PIPE — Private Investment in Public Entity
| 62 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
The following is a summary of the inputs used as of September 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):
| Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||
Common Stock | $ | 200,666 | $ | — | $ | 451 | $ | 201,117 | ||||
Convertible Bond | — | 991 | — | 991 | ||||||||
Affiliated Partnership | — | 71,933 | — | 71,933 | ||||||||
Cash Equivalent | 14,277 | — | — | 14,277 | ||||||||
Total Investments in Securities | $ | 214,943 | $ | 72,924 | $ | 451 | $ | 288,318 | ||||
The following is a reconciliation on the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Common Stock | |||
Beginning balance as of October 1, 2008 | $ | — | |
Accrued discounts/premiums | — | ||
Realized gain/(loss) | — | ||
Change in unrealized appreciation/(depreciation) | — | ||
Net purchases/sales | — | ||
Net transfer in and/or out of Level 3 | 451 | ||
Ending balance as of September 30, 2009 | $ | 451 | |
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date. | $ | — | |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 63 |
Table of Contents
SCHEDULE OF INVESTMENTS
Enhanced Income Fund
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
LOAN PARTICIPATIONS — 24.9% | ||||||
Aeroflex, Tranche B-1 | ||||||
3.738%, 08/15/14 | $ | 540 | $ | 497 | ||
3.500%, 08/15/14 | 160 | 147 | ||||
Affinion, Term B Loan | ||||||
2.761%, 10/17/12 | 560 | 536 | ||||
Allison Transmission, Term B Loan | ||||||
3.000%, 08/07/14 | 898 | 782 | ||||
Alpha Topco, 2nd Lien | ||||||
2.516%, 06/30/14 | 1,000 | 770 | ||||
Aramark | ||||||
3.750%, 01/26/14 | 32 | 30 | ||||
2.473%, 01/26/14 | 508 | 473 | ||||
Ashland, Term B Loan | ||||||
7.650%, 05/13/14 | 367 | 375 | ||||
Asurion 1st Lien Term Loan | ||||||
3.246%, 07/03/14 | 269 | 256 | ||||
3.244%, 07/03/14 | 269 | 256 | ||||
3.244%, 07/03/14 | 137 | 130 | ||||
BBN Acquisition | ||||||
7.250%, 07/25/15 | 540 | 547 | ||||
Biomet | ||||||
3.281%, 03/25/15 | 559 | 537 | ||||
Boise Paper Holdings, 2nd Lien | ||||||
9.250%, 02/22/15 | 1,000 | 985 | ||||
Boozal, Term B Loan | ||||||
7.500%, 07/02/15 | 137 | 138 | ||||
Burlington Coat Factory | ||||||
2.630%, 05/28/13 | 397 | 362 | ||||
2.560%, 05/28/13 | 397 | 362 | ||||
Calpine | ||||||
3.475%, 03/29/14 | 1,498 | 1,371 | ||||
CBRL Group, Term Loan B-1 | ||||||
1.770%, 04/27/13 | 354 | 341 | ||||
CBRL Group, Term B-2 Delayed Draw | ||||||
1.770%, 04/26/13 | 21 | 21 | ||||
Cebridge PIK | ||||||
6.285%, 05/05/14 | 850 | 818 | ||||
Cedar Fair | ||||||
2.261%, 08/30/12 | 118 | 113 | ||||
2.246%, 08/30/12 | 59 | 56 | ||||
Cedar Fair, Term B Loan | ||||||
4.261%, 08/30/14 | 643 | 624 | ||||
Celanese Holdings, Term B Loan | ||||||
2.345%, 04/02/14 | 540 | 509 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Charter | ||||||
0.000%, 03/05/14 (H) | $ | 140 | $ | 132 | ||
Charter, Term B Loan | ||||||
0.000%, 03/06/14 (H) | 559 | 526 | ||||
Cinemark | ||||||
2.081%, 10/05/13 | 540 | 519 | ||||
Clearchannel, Term B Loan | ||||||
0.000%, 01/29/16 (H) | 550 | 413 | ||||
Commscope, Term B Loan | ||||||
3.098%, 12/26/14 | 560 | 547 | ||||
Community Health Systems | ||||||
2.613%, 07/25/14 | 1,047 | 983 | ||||
2.511%, 07/25/14 | 39 | 36 | ||||
2.496%, 07/25/14 | 15 | 14 | ||||
Da Vita, Term Loan B-1 | ||||||
1.750%, 10/05/12 | 550 | 530 | ||||
Dana Corporation | ||||||
7.250%, 01/31/15 | 253 | 225 | ||||
Dana Corporation, Term B Loan | ||||||
0.000%, 01/31/15 (H) | 297 | 265 | ||||
Dealer Computer Services, 1st Lien | ||||||
2.246%, 10/26/12 | 823 | 721 | ||||
Dex Media West | ||||||
7.000%, 10/24/14 | 673 | 574 | ||||
DirecTV, Term C Loan | ||||||
5.250%, 04/13/13 | 557 | 557 | ||||
Discovery Communications, Term A Loan | ||||||
0.000%, 05/14/14 (H) | 672 | 678 | ||||
DJO Finance, Term B Loan | ||||||
3.400%, 05/20/14 | 559 | 538 | ||||
Dollar General, Tranche B-2 | ||||||
2.996%, 07/07/14 | 998 | 960 | ||||
Dynegy Holdings | ||||||
4.020%, 04/02/13 | 815 | 782 | ||||
Education Media & Publishing, Term B Loan | ||||||
5.246%, 06/10/14 | 754 | 622 | ||||
Enterprise GP Holdings | ||||||
2.499%, 11/10/14 | 400 | 389 | ||||
Federal Mogul, Term B Loan | ||||||
3.875%, 12/29/14 | 594 | 455 | ||||
Federal Mogul, Term C Loan | ||||||
2.177%, 12/28/15 | 303 | 232 | ||||
Flextronics International, Term Loan A-2 | ||||||
2.511%, 10/01/14 | 334 | 299 | ||||
Flextronics International, Term Loan A-3 | ||||||
2.511%, 10/01/14 | 389 | 348 | ||||
Fontainebleau Miami, Term B Loan | ||||||
10.000%, 06/06/12 (I) | 2,500 | 1,275 | ||||
Freescale Semiconductor | ||||||
12.500%, 12/15/14 | 623 | 623 | ||||
Georgia Pacific, Term Loan B-1 | ||||||
2.320%, 12/20/12 | 482 | 463 | ||||
| 64 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Graphic Packaging International, Incremental Term Loan | ||||||
3.265%, 05/16/14 | $ | 560 | $ | 544 | ||
Green Valley Ranch Gaming, 1st Lien | ||||||
0.000%, 02/16/14 (H) | 550 | 410 | ||||
Hanesbrand, Term B Loan | ||||||
5.254%, 09/05/13 | 526 | 527 | ||||
Harrah’s Operating | ||||||
3.504%, 01/28/15 | 807 | 655 | ||||
HCA, Tranche B | ||||||
2.847%, 11/18/13 | 1,015 | 958 | ||||
Hertz LOC. | ||||||
0.292%, 12/21/12 | 85 | 80 | ||||
Hertz, Term B Loan | ||||||
2.000%, 12/21/12 | 464 | 437 | ||||
Hexion Speciality Chemical, Term | ||||||
2.875%, 05/05/13 | 983 | 817 | ||||
Hexion Speciality Chemical, Term | ||||||
2.875%, 05/05/13 | 213 | 177 | ||||
Hub International Delayed Draw | ||||||
2.778%, 06/13/14 | 133 | 119 | ||||
Hub International Ltd., Initial Term Loan | ||||||
2.777%, 06/13/14 | 590 | 528 | ||||
Iasis Healthcare | ||||||
2.310%, 03/15/14 | 35 | 33 | ||||
2.261%, 03/15/14 | 130 | 122 | ||||
Iasis Healthcare, Term B Loan | ||||||
2.261%, 03/15/14 | 375 | 353 | ||||
INEOS Group, Term B Loan | ||||||
0.000%, 12/16/13 (H) | 750 | 628 | ||||
INEOS Group, Term C Loan | ||||||
0.000%, 12/16/14 (H) | 750 | 631 | ||||
Infor Global Solutions 1st Lien Delayed Draw Term Loan | ||||||
4.020%, 07/28/12 | 69 | 62 | ||||
0.000%, 07/28/12 (H) | 166 | 150 | ||||
Infor Global Solutions 1st Lien Initial U.S. Term Loan | ||||||
4.020%, 07/28/12 | 24 | 22 | ||||
4.020%, 07/28/12 | 108 | 97 | ||||
0.000%, 07/28/12 (H) | 447 | 404 | ||||
Infor Global Solutions 2nd Lien Delayed Draw Dollar Loan | ||||||
0.000%, 07/28/12 (H) | 126 | 84 | ||||
6.511%, 07/28/12 | 2 | 1 | ||||
6.511%, 07/28/12 | 11 | 7 | ||||
Infor Global Solutions 2nd Lien Initial Dollar Loan | ||||||
0.000%, 07/28/12 (H) | 479 | 315 | ||||
6.511%, 07/28/12 | 22 | 14 | ||||
Integra Telecom | ||||||
10.500%, 08/31/13 | 698 | 692 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Intelsat Bermuda | ||||||
3.253%, 02/01/14 | $ | 1,350 | $ | 1,207 | ||
Inverness Medical, 2nd Lien | ||||||
0.000%, 06/26/15 (H) | 560 | 540 | ||||
Jetro Holdings | ||||||
2.492%, 07/02/14 | 550 | 529 | ||||
JHT Holding, 2nd Lien | ||||||
12.500%, 12/21/12 | 36 | 29 | ||||
Lake at Las Vegas (I) | ||||||
15.460%, 06/20/12 | 2,431 | 102 | ||||
Lake at Las Vegas, DIP | ||||||
7.810%, 07/16/10 | 1,353 | 677 | ||||
7.810%, 06/20/12 | 1,000 | 500 | ||||
Lake at Las Vegas, Revolving Loan (I) | ||||||
16.100%, 06/20/12 | 241 | 10 | ||||
Lamar Media | ||||||
5.500%, 09/30/12 | 395 | 392 | ||||
Land Investment Consortium, | ||||||
6.428%, 05/09/11 | 894 | 268 | ||||
Language Line, Term Loan B-1 | ||||||
3.850%, 05/14/11 | 550 | 542 | ||||
Life Tech, Term B Loan | ||||||
5.250%, 11/21/15 | 498 | 500 | ||||
Meg Energy | ||||||
2.600%, 03/30/13 | 94 | 90 | ||||
Meg Energy, Term C Loan | ||||||
2.600%, 03/30/13 | 465 | 443 | ||||
Metro PCS Wireless, Tranche B | ||||||
2.661%, 11/04/13 | 967 | 924 | ||||
Mylan Laboratories, Term B Loan | ||||||
3.550%, 10/02/14 | 975 | 948 | ||||
Mylan Laboratories, Term B Loan | ||||||
3.550%, 10/02/14 | 275 | 267 | ||||
Nalco, Term B Loan | ||||||
6.500%, 05/06/16 | 559 | 568 | ||||
Navistar Financial | ||||||
3.496%, 01/19/12 | 625 | 607 | ||||
Nielson Finance | ||||||
2.249%, 12/31/17 | 800 | 753 | ||||
Niska Gas Storage U.S. Term B | ||||||
1.994%, 05/12/13 | 66 | 63 | ||||
Niska Gas Storage Delayed Draw | ||||||
1.996%, 05/12/13 | 41 | 39 | ||||
Niska Gas Storage Canada | ||||||
1.994%, 05/12/13 | 542 | 522 | ||||
NRG Holdings LOC | ||||||
0.398%, 02/01/13 | 195 | 184 | ||||
NRG Holdings, Term B Loan | ||||||
2.252%, 02/01/13 | 364 | 344 | ||||
Oshkosh, Term B Loan | ||||||
6.330%, 12/06/13 | 605 | 604 | ||||
Pinnacle Foods Group | ||||||
3.009%, 04/19/14 | 978 | 916 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 65 |
Table of Contents
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Regal Cinemas | ||||||
4.033%, 10/27/13 | $ | 414 | $ | 412 | ||
Remax International, Term Loan B-2 | ||||||
7.750%, 12/17/12 | 225 | 220 | ||||
Sensata Technologies, Term B Loan | ||||||
0.000%, 04/27/13 (H) | 360 | 307 | ||||
Serena Software | ||||||
2.322%, 03/11/13 | 596 | 550 | ||||
Sirva Revolving Credit Loan Exit Finance | ||||||
9.500%, 05/12/12 | 256 | 102 | ||||
Sirva Worldwide | ||||||
0.500%, 05/12/12 (A) | 531 | 319 | ||||
Sorenson Communications | ||||||
6.895%, 06/30/14 | 550 | 425 | ||||
Sorenson Communications, 2nd Lien | ||||||
7.246%, 02/16/14 | 275 | 255 | ||||
Sunguard Data Systems | ||||||
3.948%, 02/28/16 | 540 | 526 | ||||
Texas Competitive Electric Holdings, Tranche B-2 | ||||||
3.754%, 10/10/14 | 1,935 | 1,539 | ||||
Thomson Learning | ||||||
2.750%, 07/03/14 | 747 | 668 | ||||
Travelport LLC LOC | ||||||
2.783%, 08/23/13 | 57 | 53 | ||||
Travelport LLC, Term B Loan | ||||||
2.759%, 08/23/13 | 316 | 292 | ||||
2.746%, 08/23/13 | 186 | 173 | ||||
Travelport LLC, Term C Loan | ||||||
7.783%, 08/23/13 | 209 | 213 | ||||
United Surgical Partners | ||||||
2.250%, 04/19/14 | 102 | 94 | ||||
United Surgical Partners, Tranche B | ||||||
2.374%, 04/19/14 | 448 | 413 | ||||
Univision Communications | ||||||
2.532%, 09/29/14 | 176 | 148 | ||||
0.000%, 09/29/14 (H) | 220 | 185 | ||||
Verint Systems | ||||||
3.500%, 05/27/14 | 1,864 | 1,690 | ||||
VWR International, Term B Loan | ||||||
2.746%, 06/29/14 | 623 | 578 | ||||
Waiccs Las Vegas 3 LLC, 2nd Lien | ||||||
11.250%, 07/30/10 | 2,000 | 195 | ||||
WideOpenWest Finance, 1st Lien | ||||||
2.761%, 06/30/14 | 1,446 | 1,344 | ||||
WM. Bolthouse Farms, 1st Lien | ||||||
2.563%, 12/17/12 | 659 | 643 | ||||
Wrigley Jr., Tranche B | ||||||
6.500%, 10/06/14 | 609 | 620 | ||||
Total Loan Participations (Cost $64,190) ($ Thousands) | 58,141 | |||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
MORTGAGE-BACKED SECURITIES — 22.3% | ||||||
Agency Mortgage-Backed Obligations — 10.8% | ||||||
FHLMC TBA | ||||||
4.500%, 10/23/13 | $ | 2,500 | $ | 2,587 | ||
FHLMC | ||||||
6.000%, 09/01/26 | 719 | 767 | ||||
2.875%, 04/30/10 | 3,000 | 3,045 | ||||
FNMA TBA | ||||||
6.500%, 10/01/37 | 5,000 | 5,344 | ||||
4.500%, 10/20/21 | 2,500 | 2,588 | ||||
FNMA | ||||||
6.500%, 09/01/26 | 455 | 491 | ||||
6.000%, 01/01/27 | 1,761 | 1,877 | ||||
4.750%, 04/19/10 | 4,000 | 4,092 | ||||
FNMA TBA | ||||||
6.000%, 11/01/14 to 11/01/26 | 4,130 | 4,403 | ||||
| 25,194 | ||||||
Non-Agency Mortgage-Backed Obligations — 11.5% | ||||||
American Tower Trust, | ||||||
5.957%, 04/15/37 (B) | 1,250 | 1,200 | ||||
Banc of America Mortgage Securities, Ser 2004-J, Cl 2A1 | ||||||
4.766%, 11/25/34 (C) | 258 | 227 | ||||
Banc of America Mortgage Securities, Ser 2005-C, Cl 2A2 | ||||||
4.702%, 04/25/35 (C) | 756 | 608 | ||||
Banc of America Mortgage Securities, Ser 2005-I, Cl 2A1 | ||||||
4.865%, 10/25/35 (C) | 584 | 463 | ||||
Bayview Commercial Asset Trust, Ser 2006-4A, Cl A2 | ||||||
0.516%, 12/25/36 (B) (C) | 474 | 231 | ||||
Citigroup Commercial Mortgage Trust, Ser 2006-FL2, Cl D | ||||||
0.453%, 08/15/21 (B) (C) | 400 | 248 | ||||
Citigroup Commercial Mortgage Trust, Ser 2007-FL3A, Cl J | ||||||
1.193%, 04/15/22 (B) (C) | 775 | 76 | ||||
Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A | ||||||
3.484%, 09/25/34 (C) | 169 | 141 | ||||
Citigroup Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1 | ||||||
4.900%, 10/25/35 (C) | 628 | 496 | ||||
Commercial Mortgage Pass-Through Certificates, Ser 2006-FL12, Cl A2 | ||||||
0.343%, 12/15/20 (B) (C) | 948 | 698 | ||||
Crown Castle Towers LLC, | ||||||
6.065%, 11/15/36 (B) | 1,775 | 1,766 | ||||
| 66 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Crusade Global Trust, Ser 2007-1, Cl A1 | ||||||
0.570%, 04/19/38 (C) | $ | 914 | $ | 839 | ||
First Horizon Alternative Mortgage Securities, Ser 2005-AA3, Cl 3A1 | ||||||
5.367%, 05/25/35 (C) | 1,157 | 873 | ||||
First Horizon Asset Securities, | ||||||
5.338%, 10/25/35 (C) | 996 | 764 | ||||
Granite Master Issuer PLC, | ||||||
0.546%, 12/20/54 (C) | 410 | 84 | ||||
Granite Master Issuer PLC, | ||||||
0.673%, 12/17/54 (C) | 525 | 105 | ||||
Greenwich Capital Commercial Funding, Ser 2006-FL4A, Cl C | ||||||
0.483%, 11/15/21 (B) (C) | 810 | 294 | ||||
GS Mortgage Securities II, | ||||||
1.304%, 03/06/20 (B) (C) | 380 | 281 | ||||
Harborview Mortgage Loan Trust, Ser 2005-14, Cl 3A1A | ||||||
5.312%, 12/19/35 (C) | 1,136 | 875 | ||||
Impac CMB Trust, Ser 2005-1, Cl 1A1 | ||||||
0.506%, 04/25/35 (C) | 352 | 204 | ||||
Impac CMB Trust, Ser 2005-4, Cl 1M1 | ||||||
0.676%, 05/25/35 (C) | 535 | 130 | ||||
Interstar Millennium Trust, | ||||||
1.100%, 07/07/34 (C) | 51 | 47 | ||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-FL2A, Cl J | ||||||
0.893%, 11/15/18 (B) (C) | 1,962 | 624 | ||||
JPMorgan Mortgage Trust, | ||||||
5.251%, 10/25/36 (C) | 983 | 811 | ||||
JPMorgan Mortgage Trust, | ||||||
5.406%, 05/25/37 (C) | 1,812 | 1,262 | ||||
Leek Finance PLC, | ||||||
0.422%, 09/21/38 (B) (C) | 352 | 280 | ||||
Merrill Lynch Mortgage Investors, Ser 2005-A1, Cl 1A | ||||||
3.902%, 12/25/34 (C) | 352 | 279 | ||||
Merrill Lynch Mortgage Investors, Ser 2005-A2, Cl A2 | ||||||
4.482%, 02/25/35 (C) | 1,343 | 1,205 | ||||
Merrill Lynch Mortgage Investors, Ser 2005-A9, Cl 2A1E | ||||||
5.150%, 12/25/35 (C) | 1,732 | 1,389 | ||||
MLCC Mortgage Investors, | ||||||
5.184%, 02/25/36 (C) | 864 | 764 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Morgan Stanley Capital I, | ||||||
0.404%, 10/15/20 (B) (C) | $ | 1,025 | $ | 311 | ||
MortgageIT Trust, Ser 2005-5, Cl A1 | ||||||
0.506%, 12/25/35 (C) | 1,183 | 688 | ||||
Permanent Master Issuer PLC, Ser 2006-1, Cl 2C | ||||||
0.909%, 07/15/42 (C) | 700 | 697 | ||||
Prudential Commercial Mortgage Trust, Ser 2003-PWR1, Cl A1 | ||||||
3.669%, 02/11/36 | 624 | 629 | ||||
Residential Funding Mortgage Securities I, | ||||||
5.668%, 02/25/36 (C) | 522 | 396 | ||||
Residential Funding Mortgage Securities I, | ||||||
5.659%, 04/25/37 (C) | 839 | 535 | ||||
Sequoia Mortgage Trust, | ||||||
0.566%, 11/20/34 (C) | 254 | 180 | ||||
Sequoia Mortgage Trust, | ||||||
0.546%, 12/20/34 (C) | 198 | 137 | ||||
Sequoia Mortgage Trust, | ||||||
0.466%, 03/20/35 (C) | 107 | 67 | ||||
Sequoia Mortgage Trust, | ||||||
5.773%, 02/20/47 (C) | 1,625 | 1,263 | ||||
Washington Mutual Mortgage Pass- Through Certificates, | ||||||
4.638%, 03/25/35 (C) | 1,022 | 898 | ||||
Washington Mutual Mortgage Pass- Through Certificates, | ||||||
5.282%, 03/25/37 (C) | 604 | 451 | ||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, Cl A2 | ||||||
4.531%, 01/25/35 (C) | 559 | 519 | ||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR1, Cl 2A1 | ||||||
4.489%, 02/25/35 (C) | 687 | 620 | ||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR2, Cl 2A2 | ||||||
4.537%, 03/25/35 (C) | 622 | 565 | ||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR16, Cl A1 | ||||||
5.681%, 10/25/36 (C) | 1,328 | 938 | ||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR8, Cl 2A1 | ||||||
5.240%, 07/25/36 (C) | 962 | 740 | ||||
| 26,898 | ||||||
Total Mortgage-Backed Securities (Cost $62,072) ($ Thousands) | 52,092 | |||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 67 |
Table of Contents
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
CORPORATE OBLIGATIONS — 19.4% | ||||||
Consumer Discretionary — 0.6% | ||||||
MGM Mirage | ||||||
11.375%, 03/01/18 (B) | $ | 135 | $ | 127 | ||
President and Fellows of Harvard College | ||||||
3.700%, 04/01/13 | 1,060 | 1,098 | ||||
Sirius XM Radio | ||||||
9.750%, 09/01/15 (B) | 110 | 112 | ||||
| 1,337 | ||||||
Financials — 14.1% | ||||||
Banco Santander Chile | ||||||
0.659%, 12/09/09 (B) (C) | 1,750 | 1,746 | ||||
Bank of America | ||||||
0.489%, 06/22/12 (C) | 1,500 | 1,508 | ||||
BTM Curacao Holdings MTN | ||||||
4.760%, 07/21/15 (B) (C) | 1,000 | 985 | ||||
Citibank | ||||||
0.680%, 10/12/09 (C) | 2,250 | 2,253 | ||||
Citigroup | ||||||
0.943%, 08/25/36 (C) | 1,500 | 773 | ||||
Citigroup Funding | ||||||
0.821%, 04/30/12 (C) | 375 | 378 | ||||
0.284%, 06/03/11 (C) | 375 | 375 | ||||
Everest Reinsurance Holdings | ||||||
8.750%, 03/15/10 | 1,050 | 1,078 | ||||
General Electric Capital | ||||||
0.292%, 12/21/12 (C) | 5,150 | 5,148 | ||||
GMAC | ||||||
0.292%, 09/19/09 (C) | 1,250 | 1,250 | ||||
ILFC E-Capital Trust I | ||||||
5.900%, 12/21/65 (B) (C) | 1,000 | 505 | ||||
JPMorgan Chase | ||||||
0.529%, 06/15/12 (C) | 1,500 | 1,510 | ||||
JPMorgan Chase Capital XXI, Ser U | ||||||
1.433%, 02/02/37 (C) | 2,550 | 1,684 | ||||
Liberty Property L.P. | ||||||
7.250%, 03/15/11‡ | 1,000 | 1,039 | ||||
MBIA Insurance | ||||||
14.000%, 01/15/33 (B) (C) | 1,000 | 440 | ||||
Mellon Funding | ||||||
0.590%, 05/15/14 (C) | 2,100 | 1,956 | ||||
Merrill Lynch | ||||||
1.059%, 09/15/36 (C) | 700 | 454 | ||||
Monumental Global Funding III | ||||||
0.709%, 01/15/14 (B) (C) | 1,800 | 1,500 | ||||
Morgan Stanley | ||||||
0.744%, 02/10/12 (C) | 1,150 | 1,158 | ||||
Prudential Financial MTN | ||||||
5.100%, 12/14/11 | 310 | 322 | ||||
State Street | ||||||
0.591%, 04/30/12 (C) | 1,215 | 1,194 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
State Street Bank and Trust | ||||||
0.499%, 09/15/11 (C) | $ | 960 | $ | 964 | ||
State Street Capital Trust IV | ||||||
1.299%, 06/15/37 (C) | 850 | 548 | ||||
Unitrin | ||||||
6.000%, 05/15/17 | 1,270 | 1,033 | ||||
4.875%, 11/01/10 | 1,000 | 990 | ||||
VTB 24 Capital PLC, Ser E MTN | ||||||
1.449%, 12/07/09 (C) | 1,000 | 995 | ||||
Western Union | ||||||
5.400%, 11/17/11 | 1,175 | 1,252 | ||||
| 33,038 | ||||||
Health Care — 0.9% | ||||||
Quest Diagnostics | ||||||
5.125%, 11/01/10 | 1,000 | 1,026 | ||||
UnitedHealth Group | ||||||
1.768%, 02/07/11 (C) | 1,000 | 1,000 | ||||
| 2,026 | ||||||
Industrials — 0.8% | ||||||
Continental Airlines, Ser 061G | ||||||
0.698%, 06/02/13 (C) | 1,000 | 755 | ||||
Language Line | ||||||
11.125%, 06/15/12 | 700 | 719 | ||||
Seminole Indian Tribe of Florida | ||||||
6.535%, 10/01/20 (B) | 550 | 473 | ||||
| 1,947 | ||||||
Materials — 0.8% | ||||||
Berry Plastics | ||||||
5.259%, 02/15/15 (C) | 540 | 497 | ||||
NewPage | ||||||
11.375%, 12/31/14 (B) | 480 | 471 | ||||
Verso Paper Holdings | ||||||
11.500%, 07/01/14 (B) | 825 | 846 | ||||
| 1,814 | ||||||
Regional Agencies — 0.2% | ||||||
Republic of Trinidad & Tobago | ||||||
9.875%, 10/01/09 | 500 | 500 | ||||
Telecommunication Services — 1.4% | ||||||
Corning | ||||||
6.050%, 06/15/15 | 1,000 | 1,013 | ||||
Telecom Italia Capital | ||||||
1.120%, 07/18/11 (C) | 1,000 | 992 | ||||
Vodafone Group PLC | ||||||
0.660%, 02/27/12 (C) | 1,300 | 1,292 | ||||
| 3,297 | ||||||
| 68 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Utilities — 0.6% | ||||||
Ferrellgas Partners | ||||||
9.125%, 10/01/17 (B) | $ | 550 | $ | 566 | ||
Southern, Ser A | ||||||
5.300%, 01/15/12 | 665 | 714 | ||||
| 1,280 | ||||||
Total Corporate Obligations (Cost $49,019) ($ Thousands) | 45,239 | |||||
ASSET-BACKED SECURITIES — 15.3% | ||||||
Automotive — 3.8% | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2006-1, Cl A4 | ||||||
5.200%, 03/06/11 | 123 | 123 | ||||
Americredit Prime Automobile Receivable, Ser 2007-1, Cl D | ||||||
5.520%, 09/08/14 | 775 | 591 | ||||
Capital Auto Receivables Asset Trust, Ser 2007-1, Cl B | ||||||
5.150%, 09/17/12 | 955 | 936 | ||||
Carmax Auto Owner Trust, Ser 2007-1, Cl C | ||||||
5.530%, 07/15/13 | 190 | 164 | ||||
Daimler Chrysler Auto Trust, Cl A3A | ||||||
5.000%, 02/08/12 | 800 | 820 | ||||
Ford Credit Auto Owner Trust, | ||||||
5.800%, 02/15/13 | 515 | 527 | ||||
Harley-Davidson Motorcycle Trust, Ser 2006-1, Cl B | ||||||
5.240%, 11/15/13 (B) | 1,550 | 1,542 | ||||
Harley-Davidson Motorcycle Trust, Ser 2006-3, Cl B | ||||||
5.430%, 11/15/14 | 890 | 895 | ||||
Harley-Davidson Motorcycle Trust, Ser 2007-2, Cl B | ||||||
5.230%, 03/15/14 | 1,225 | 1,186 | ||||
Hyundai Auto Receivables Trust, Ser 2006-B, Cl D | ||||||
5.410%, 05/15/13 | 318 | 313 | ||||
Hyundai Auto Receivables Trust, Ser 2007-A, Cl A4 | ||||||
5.260%, 11/15/12 | 434 | 441 | ||||
Hyundai Auto Receivables Trust, Ser 2007-A, Cl A3A | ||||||
5.040%, 01/17/12 | 367 | 376 | ||||
Merrill Auto Trust Securitization, Ser 2007-1, Cl C | ||||||
5.960%, 12/15/13 | 992 | 1,009 | ||||
| 8,923 | ||||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Credit Cards — 4.7% | ||||||
Bank of America Credit Card Trust, Ser 2006-C7, Cl C7 | ||||||
0.473%, 03/15/12 (C) | $ | 1,000 | $ | 999 | ||
Citibank Credit Card Issuance Trust, Ser 2006-C4, Cl C4 | ||||||
0.474%, 01/09/12 (C) | 1,800 | 1,782 | ||||
Citibank Credit Card Issuance Trust, Ser 2007-B5, Cl B5 | ||||||
0.874%, 11/07/14 (C) | 2,000 | 1,886 | ||||
GE Capital Credit Card Master Note Trust, Ser 2007-4, Cl B | ||||||
0.443%, 06/15/15 (C) | 3,150 | 2,638 | ||||
MBNA Master Credit Card Trust, Ser 1997-B, Cl B | ||||||
0.593%, 08/15/14 (C) | 2,100 | 1,967 | ||||
Washington Mutual Master Note Trust, Ser 2006-C2A, Cl C2 | ||||||
0.743%, 08/15/15 (B) (C) | 800 | 754 | ||||
Washington Mutual Master Note Trust, Ser 2006-C3A, Cl C3A | ||||||
0.623%, 10/15/13 (B) (C) | 1,000 | 999 | ||||
| 11,025 | ||||||
Mortgage Related Securities — 1.3% | ||||||
ACE Securities, Ser 2006-HE1, Cl M2 | ||||||
0.646%, 02/25/36 (C) | 515 | 4 | ||||
ACE Securities, Ser 2006-OP2, Cl A2B | ||||||
0.356%, 08/25/36 (C) | 1,000 | 683 | ||||
Asset-Backed Funding Certificates, Ser 2006-OPT2, Cl A3B | ||||||
0.356%, 10/25/36 (C) | 1,003 | 900 | ||||
New Century Home Equity Loan Trust, Ser 2005-1, Cl A1MZ | ||||||
0.536%, 03/25/35 (C) | 35 | 27 | ||||
Option One Mortgage Loan Trust, Ser 2005-3, Cl M1 | ||||||
0.716%, 08/25/35 (C) | 428 | 164 | ||||
Option One Mortgage Loan Trust, Ser 2007-2, Cl M1 | ||||||
0.606%, 03/25/37 (C) | 2,635 | 20 | ||||
Option One Mortgage Loan Trust, Ser 2007-FXD1, Cl 3A3 | ||||||
5.611%, 01/25/37 (C) | 285 | 97 | ||||
Option One Mortgage Loan Trust, Ser 2007-FXD2, Cl 2A1 | ||||||
5.900%, 03/25/37 | 748 | 716 | ||||
Option One Mortgage Loan Trust, Ser 2007-HL1, Cl 2A1 | ||||||
0.386%, 02/25/38 (C) | 542 | 462 | ||||
| 3,073 | ||||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 69 |
Table of Contents
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Other Asset-Backed Securities — 5.5% | ||||||
ACAS Business Loan Trust , | ||||||
0.610%, 11/27/19 (B) (C) | $ | 1,575 | $ | 1,260 | ||
ACAS Business Loan Trust , | ||||||
1.290%, 08/16/19 (B) (C) | 1,837 | 386 | ||||
AIG Credit Premium Finance Master Trust, Ser 2007-AA, Cl C | ||||||
0.643%, 12/15/11 (B) (C) | 1,245 | 392 | ||||
Babson CLO , Ser 2007-1A, Cl A1 | ||||||
0.735%, 01/18/21 (B) (C) | 1,082 | 817 | ||||
Capital Trust Re CDO | ||||||
0.556%, 10/20/43 (B) (C) | 997 | 548 | ||||
CapitalSource Commercial Loan Trust, Ser 2006-2A, Cl A1A | ||||||
0.456%, 09/20/22 (B) (C) | 418 | 347 | ||||
CapitalSource Commercial Loan Trust, Ser 2007-1, Cl C | ||||||
0.896%, 03/20/17 (B) (C) | 458 | 202 | ||||
CIT Equipment Collateral, | ||||||
5.290%, 04/20/14 | 23 | 22 | ||||
Citigroup Mortgage Loan Trust, Ser 2006-WFH3, Cl M1 | ||||||
0.556%, 12/25/36 (C) | 805 | 32 | ||||
Countrywide Asset-Backed Certificates, Ser 2005-13, Cl 3AV3 | ||||||
0.496%, 04/25/36 (C) | 997 | 775 | ||||
Countrywide Asset-Backed Certificates, Ser 2006-18, Cl M1 | ||||||
0.546%, 03/25/37 (C) | 1,000 | 60 | ||||
Countrywide Asset-Backed Certificates, Ser 2006-22, Cl M1 | ||||||
0.476%, 05/25/37 (C) | 1,500 | 27 | ||||
Countrywide Asset-Backed Certificates, Ser 2006-22, Cl M3 | ||||||
0.556%, 05/25/37 (C) | 1,000 | 11 | ||||
Credit-Based Asset Servicing and Securitization CDO, | ||||||
0.572%, 09/06/41 (B) (C) | 520 | 26 | ||||
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2 | ||||||
5.261%, 04/25/37 (B) | 2,200 | 1,804 | ||||
First Franklin Mortgage Loan Asset Backed Certificates, | ||||||
0.506%, 01/25/38 (C) | 1,145 | 2 | ||||
GE Business Loan Trust, | ||||||
1.243%, 11/15/31 (B) (C) | 89 | 60 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
GE Business Loan Trust, | ||||||
0.723%, 12/15/32 (B) (C) | $ | 93 | $ | 63 | ||
GE Business Loan Trust, | ||||||
0.463%, 12/15/32 (B) (C) | 124 | 94 | ||||
GE Business Loan Trust, | ||||||
0.993%, 11/15/34 (B) (C) | 268 | 52 | ||||
GE Commercial Loan Trust, | ||||||
1.060%, 01/19/17 (B) (C) | 344 | 17 | ||||
GE Dealer Floorplan Master Note Trust, | ||||||
0.676%, 04/20/13 (C) | 460 | 252 | ||||
GMAC Mortgage Loan Trust, | ||||||
0.426%, 12/25/36 (C) | 844 | 327 | ||||
JPMorgan Mortgage Acquisition, Ser 2006-CH1, Cl M1 | ||||||
0.466%, 07/25/36 (C) | 335 | 30 | ||||
JPMorgan Mortgage Acquisition, Ser 2006-CH2, Cl MV1 | ||||||
0.456%, 10/25/36 (C) | 1,125 | 18 | ||||
JPMorgan Mortgage Acquisition, Ser 2006-WMC3, Cl A4 | ||||||
0.396%, 08/25/36 (C) | 1,250 | 466 | ||||
JPMorgan Mortgage Acquisition, Ser 2007-CH3, Cl M3 | ||||||
0.616%, 03/25/37 (C) | 385 | 8 | ||||
Katonah, Ser 2005-7A, Cl B | ||||||
1.303%, 11/15/17 (B) (C) | 700 | 399 | ||||
Lambda Finance , Ser 2005-1A, Cl A3 | ||||||
0.670%, 11/15/29 (B) (C) | 901 | 830 | ||||
Marriott Vacation Club Owner Trust, Ser 2006-2A, Cl A | ||||||
5.362%, 10/20/28 (B) | 105 | 92 | ||||
Marriott Vacation Club Owner Trust, Ser 2007-1A, Cl D | ||||||
6.135%, 05/20/29 (B) | 566 | 420 | ||||
Prima, Ser 2006-1, Cl A1 | ||||||
5.417%, 12/28/48 | 2,030 | 1,624 | ||||
Sierra Receivables Funding, Ser 2007-2A, Cl A2 | ||||||
1.246%, 09/20/19 (B) (C) | 727 | 617 | ||||
Superior Wholesale Inventory Financing Trust, Ser 2007-AE1, Cl C | ||||||
0.843%, 01/15/12 (C) | 215 | 206 | ||||
Superior Wholesale Inventory Financing Trust, Ser 2007-AE1, Cl B | ||||||
0.543%, 01/15/12 (C) | 115 | 112 | ||||
Triton Container Finance LLC, Ser 2006-1A, Cl N | ||||||
0.416%, 11/26/21 (B) (C) | 537 | 407 | ||||
| 12,805 | ||||||
Total Asset-Backed Securities (Cost $56,213) ($ Thousands) | 35,826 | |||||
| 70 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands)/ Shares | Market Value ($ Thousands) | ||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 6.6% | ||||||
FHLB | ||||||
3.000%, 06/11/10 | $ | 2,345 | $ | 2,387 | ||
1.375%, 05/16/11 | 7,000 | 7,066 | ||||
0.285%, 05/05/10 (D) | 4,500 | 4,495 | ||||
FNMA | ||||||
1.375%, 04/28/11 | 1,560 | 1,574 | ||||
Total U.S. Government Agency Obligations (Cost $15,416) ($ Thousands) | 15,522 | |||||
U.S. TREASURY OBLIGATION — 5.7% | ||||||
U.S. Treasury Bonds TIPS (E) | ||||||
0.875%, 04/15/10 | 11,725 | 13,333 | ||||
Total U.S. Treasury Obligation (Cost $13,340) ($ Thousands) | 13,333 | |||||
COMMON STOCK — 0.0% | ||||||
JHT Holding* (G) | 4,002 | — | ||||
Total Common Stock | — | |||||
Number of | ||||||
WARRANTS — 0.0% | ||||||
Monitor Oil | ||||||
0.000%, 01/25/15 | 47 | — | ||||
Total Warrants | — | |||||
CASH EQUIVALENT — 1.6% | ||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110%**† | 3,707,026 | 3,707 | ||||
Total Cash Equivalent (Cost $3,707) ($ Thousands) | 3,707 | |||||
REPURCHASE AGREEMENT — 8.5% | ||||||
Bank of America (F) | 19,900 | 19,900 | ||||
Total Repurchase Agreement (Cost $19,900) ($ Thousands) | 19,900 | |||||
Total Investments — 104.3% (Cost $283,857) ($ Thousands) | $ | 243,760 | ||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
| Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | ||||||
U.S. 10-Year Treasury Note | (18 | ) | Dec-2009 | $ | (33 | ) | |||
U.S. 2-Year Treasury Note | (85 | ) | Dec-2009 | (79 | ) | ||||
U.S. 5-Year Treasury Note | (112 | ) | Dec-2009 | (160 | ) | ||||
U.S. Long Treasury Bond | (9 | ) | Dec-2009 | (21 | ) | ||||
| $ | (293 | ) | |||||||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on a Net Assets of $233,792 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Investment in Affiliated Security (see Note 5). |
| ‡ | Real Estate Investment Trust. |
| (A) | Unfunded bank loan. |
| (B) | 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 be sold only 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. |
| (C) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2009. The date reported on the Schedule of Investments is the next reset date. |
| (D) | Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
| (E) | Security, or a portion thereof has been pledged as collateral on open future contracts. |
| (F) | Tri-Party Repurchase Agreement. |
| (G) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2009 was $0 ($ Thousands) and represented 0.00% of Net Assets. |
| (H) | Unsettled bank loan. |
| (I) | Security in default on interest payments. |
CDO — Collateralized Debt Obligation
Cl — Class
CLO — Collateralized Loan Obligation
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
LOC — Letter of Credit
L.P. — Limited Partnership
LLC — Limited Liability Company
MTN — Medium Term Note
PCS — Personal Communications Service
PIK — Payment-in-Kind
PLC — Public Limited Company
Ser — Series
TBA — To Be Announced
TIPS — Treasury Inflation Protected Security
Amounts designated as “—” are $O or have been rounded to $O
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 71 |
Table of Contents
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Concluded)
September 30, 2009
The following is a summary of the inputs used as of September 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):
| Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||
Mortgage-Backed Securities | $ | — | $ | 52,092 | $ | — | $ | 52,092 | ||||
Corporate Obligations | — | 45,239 | — | 45,239 | ||||||||
Asset-Backed Securities | — | 35,401 | 425 | 35,826 | ||||||||
U.S. Government Agency Obligations | — | 15,522 | — | 15,522 | ||||||||
U.S. Treasury Obligation | — | 13,333 | — | 13,333 | ||||||||
Loan Participations | — | 58,112 | 29 | 58,141 | ||||||||
Cash Equivalent | 3,707 | — | — | 3,707 | ||||||||
Repurchase Agreement | — | 19,900 | — | 19,900 | ||||||||
Total Investments in Securities | $ | 3,707 | $ | 239,599 | $ | 454 | $ | 243,760 | ||||
| Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||
Futures* | $ | (293 | ) | $ | — | $ | — | $ | (293 | ) | ||||
| * | Futures contracts are valued at unrealized depreciation on the instrument. |
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
| Asset- Backed Securities | Loan | ||||||
Beginning balance as of October 1, 2008 | $ | 617 | $ | — | |||
Accrued discounts/premiums | — | — | |||||
Realized gain/(loss) | — | — | |||||
Change in unrealized appreciation/(depreciation) | (189 | ) | — | ||||
Net purchases/sales | (3 | ) | 29 | ||||
Net transfer in and/or out of Level 3 | — | — | |||||
Ending balance as of September 30, 2009 | $ | 425 | $ | 29 | |||
Changes in unrealized gains/(losses) included in earnings related to securities held at reporting date. | $ | (189 | ) | $ | — | ||
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
For the year ended September 30, 2009, the total notional amount of $0 is not representative of the volume of activity for the swap derivatives during the period. During the fiscal year, the volume of swap derivatives has been reduced from the notional amounts at the beginning of the fiscal year.
The accompanying notes are an integral part of the financial statements.
| 72 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
MORTGAGE-BACKED SECURITIES — 51.6% | ||||||
Agency Mortgage-Backed Obligations — 35.0% | ||||||
FHLMC | ||||||
7.500%, 11/01/29 to 09/01/32 | $ | 1,792 | $ | 2,013 | ||
7.000%, 01/01/10 to 01/01/32 | 341 | 376 | ||||
6.500%, 12/01/13 to 09/01/38 | 17,035 | 18,208 | ||||
6.000%, 10/01/19 to 09/01/38 | 44,876 | 47,604 | ||||
5.500%, 12/01/13 to 03/01/38 | 32,850 | 34,645 | ||||
5.000%, 10/01/18 to 02/01/39 | 74,824 | 77,883 | ||||
4.500%, 11/01/33 to 11/01/35 | 3,742 | 3,805 | ||||
4.000%, 04/01/19 to 10/01/33 | 1,802 | 1,787 | ||||
FHLMC ARM (A) | ||||||
6.430%, 10/01/37 | 607 | 640 | ||||
6.429%, 11/01/37 | 6 | 7 | ||||
5.993%, 01/01/37 | 1,560 | 1,653 | ||||
5.965%, 01/01/37 | 1,104 | 1,159 | ||||
5.956%, 03/01/38 | 1,788 | 1,891 | ||||
5.910%, 03/01/37 | 173 | 183 | ||||
5.730%, 02/01/37 | 491 | 517 | ||||
5.126%, 01/01/36 | 5,136 | 5,372 | ||||
FHLMC CMO STRIPS, Ser 232, Cl IO, IO | ||||||
5.000%, 08/01/35 | 8,086 | 1,448 | ||||
FHLMC CMO STRIPS, Ser 233, Cl 12, IO | ||||||
5.000%, 09/15/35 | 2,736 | 341 | ||||
FHLMC CMO STRIPS, Ser 233, Cl 6, IO | ||||||
4.500%, 08/15/35 | 408 | 60 | ||||
FHLMC CMO STRIPS, Ser 245, Cl IO, IO | ||||||
5.000%, 05/15/37 | 2,257 | 394 | ||||
FHLMC CMO, Ser 1, Cl Z | ||||||
9.300%, 04/15/19 | 120 | 131 | ||||
FHLMC CMO, Ser 1611, Cl Z | ||||||
6.500%, 11/15/23 | 14,764 | 15,904 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
FHLMC CMO, Ser 1983, Cl Z | ||||||
6.500%, 12/15/23 | $ | 2,094 | $ | 2,231 | ||
FHLMC CMO, Ser 2043, Cl CJ | ||||||
6.500%, 04/15/28 | 1,468 | 1,562 | ||||
FHLMC CMO, Ser 2277, Cl B | ||||||
7.500%, 01/15/31 | 393 | 416 | ||||
FHLMC CMO, Ser 2389, Cl CD | ||||||
6.000%, 03/15/16 | 543 | 547 | ||||
FHLMC CMO, Ser 2399, Cl XG | ||||||
6.500%, 01/15/32 | 3,713 | 4,032 | ||||
FHLMC CMO, Ser 2558, Cl BD | ||||||
5.000%, 01/15/18 | 612 | 650 | ||||
FHLMC CMO, Ser 2590, Cl BY | ||||||
5.000%, 03/15/18 | 251 | 266 | ||||
FHLMC CMO, Ser 2676, Cl CY | ||||||
4.000%, 09/15/18 | 716 | 735 | ||||
FHLMC CMO, Ser 2690, Cl TV | ||||||
4.500%, 11/15/25 | 520 | 537 | ||||
FHLMC CMO, Ser 2727, Cl PW | ||||||
3.570%, 06/15/29 | 221 | 225 | ||||
FHLMC CMO, Ser 2733, Cl ME | ||||||
5.000%, 01/15/34 | 4,915 | 5,056 | ||||
FHLMC CMO, Ser 2765, Cl CT | ||||||
4.000%, 03/15/19 | 414 | 419 | ||||
FHLMC CMO, Ser 2790, Cl TN | ||||||
4.000%, 05/15/24 | 1,090 | 1,088 | ||||
FHLMC CMO, Ser 2843, Cl BC | ||||||
5.000%, 08/15/19 | 921 | 976 | ||||
FHLMC CMO, Ser 2875, Cl HB | ||||||
4.000%, 10/15/19 | 163 | 163 | ||||
FHLMC CMO, Ser 2945, Cl SA | ||||||
11.855%, 03/15/20 (A) | 3,558 | 4,051 | ||||
FHLMC CMO, Ser 2985, Cl JR | ||||||
4.500%, 06/15/25 | 1,354 | 1,378 | ||||
FHLMC CMO, Ser 3028, Cl PG | ||||||
5.500%, 09/15/35 | 618 | 662 | ||||
FHLMC CMO, Ser 3035, Cl PA | ||||||
5.500%, 09/15/35 | 303 | 325 | ||||
FHLMC CMO, Ser 3289, Cl PC | ||||||
5.000%, 12/15/32 | 1,107 | 1,148 | ||||
FHLMC CMO, Ser 3372, Cl BD | ||||||
4.500%, 10/15/22 | 926 | 948 | ||||
FHLMC CMO, Ser 3465, Cl HA | ||||||
4.000%, 07/15/17 | 942 | 978 | ||||
FHLMC CMO, Ser K003, Cl AAB | ||||||
4.768%, 05/25/18 | 857 | 903 | ||||
FNMA | ||||||
7.000%, 09/01/26 to 06/01/35 | 5,221 | 5,758 | ||||
6.500%, 05/01/17 to 12/01/37 | 4,165 | 4,458 | ||||
6.000%, 10/01/19 to 11/01/38 | 54,040 | 57,292 | ||||
5.500%, 06/01/14 to 08/01/37 | 132,228 | 139,843 | ||||
5.000%, 01/01/20 to 02/01/39 | 63,625 | 66,187 | ||||
4.500%, 09/01/34 to 04/01/38 | 13,145 | 13,380 | ||||
4.000%, 08/01/20 | 2,008 | 2,048 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 73 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
FNMA ARM (A) | ||||||
6.284%, 09/01/37 | $ | 157 | $ | 166 | ||
6.272%, 10/01/36 | 333 | 352 | ||||
6.131%, 09/01/37 | 903 | 957 | ||||
6.124%, 12/01/36 | 444 | 470 | ||||
6.106%, 11/01/37 | 696 | 738 | ||||
6.028%, 01/01/37 | 520 | 550 | ||||
6.017%, 10/01/37 | 1,171 | 1,240 | ||||
5.977%, 04/01/37 | 533 | 564 | ||||
5.957%, 01/01/37 | 651 | 689 | ||||
5.925%, 03/01/37 | 314 | 332 | ||||
5.878%, 02/01/37 | 457 | 484 | ||||
5.746%, 05/01/37 | 1,472 | 1,550 | ||||
5.690%, 02/01/39 | 1,064 | 1,120 | ||||
5.689%, 05/01/37 | 287 | 303 | ||||
5.635%, 02/01/36 | 577 | 603 | ||||
5.597%, 05/01/37 | 605 | 637 | ||||
3.189%, 11/01/35 | 1,825 | 1,842 | ||||
3.183%, 11/01/35 to 11/01/35 | 3,499 | 3,534 | ||||
3.167%, 11/01/35 | 1,723 | 1,740 | ||||
3.159%, 11/01/35 | 1,754 | 1,771 | ||||
3.020%, 10/01/35 | 11,410 | 11,520 | ||||
3.019%, 10/01/35 | 7,987 | 8,063 | ||||
3.017%, 10/01/35 to 11/01/35 | 6,765 | 6,830 | ||||
FNMA CMO STRIPS, Ser 359, Cl 6, IO | ||||||
5.000%, 11/01/35 | 1,206 | 161 | ||||
FNMA CMO STRIPS, Ser 360, Cl 2, IO | ||||||
5.000%, 08/01/35 | 18,447 | 3,365 | ||||
FNMA CMO, Ser 1999-11, Cl Z | ||||||
5.500%, 03/25/29 | 3,512 | 3,721 | ||||
FNMA CMO, Ser 2001-81, Cl HE | ||||||
6.500%, 01/25/32 | 6,917 | 7,461 | ||||
FNMA CMO, Ser 2002-94, Cl HQ | ||||||
4.500%, 01/25/18 | 775 | 816 | ||||
FNMA CMO, Ser 2003-108, Cl BE | ||||||
4.000%, 11/25/18 | 550 | 562 | ||||
FNMA CMO, Ser 2003-125, Cl AY | ||||||
4.000%, 12/25/18 | 176 | 179 | ||||
FNMA CMO, Ser 2004-60, Cl PA | ||||||
5.500%, 04/25/34 | 584 | 619 | ||||
FNMA CMO, Ser 2004-80, Cl LE | ||||||
4.000%, 11/25/19 | 3,301 | 3,337 | ||||
FNMA CMO, Ser 2004-81, Cl KE | ||||||
4.500%, 11/25/19 | 177 | 184 | ||||
FNMA CMO, Ser 2005-57, Cl EG | ||||||
0.546%, 03/25/35 (A) | 2,671 | 2,611 | ||||
FNMA CMO, Ser 2005-58, Cl MA | ||||||
5.500%, 07/25/35 | 494 | 532 | ||||
FNMA CMO, Ser 2005-69, Cl JM | ||||||
4.500%, 08/25/25 | 521 | 530 | ||||
FNMA CMO, Ser 2006-10, Cl FD | ||||||
0.596%, 03/25/36 (A) | 2,126 | 2,069 | ||||
FNMA CMO, Ser 2006-112, IO | ||||||
6.454%, 11/25/36 (A) | 16,824 | 1,937 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
FNMA CMO, Ser 2007-113, Cl DB | ||||||
4.500%, 12/25/22 | $ | 1,186 | $ | 1,214 | ||
FNMA CMO, Ser 2007-77, Cl MH | ||||||
6.000%, 12/25/36 | 2,276 | 2,441 | ||||
FNMA CMO, Ser 2007-T2, Cl B | ||||||
6.022%, 11/25/10 | 4,500 | 4,700 | ||||
FNMA CMO, Ser 2008-22 | ||||||
6.184%, 03/25/37 (A) | 15,000 | 1,796 | ||||
FNMA CMO, Ser 2008-35, Cl B | ||||||
5.000%, 08/25/23 | 178 | 187 | ||||
FNMA CMO, Ser 2008-35, IO | ||||||
1.282%, 02/25/11 (A) | 98,306 | 1,148 | ||||
FNMA CMO, Ser 365, Cl 2, IO | ||||||
5.000%, 02/01/36 | 1,134 | 153 | ||||
FNMA CMO, Ser 365, IO | ||||||
5.000%, 04/01/36 | 1,147 | 154 | ||||
FNMA TBA | ||||||
6.500%, 12/13/37 | 9,000 | 9,566 | ||||
5.500%, 10/25/39 | 2,045 | 2,139 | ||||
5.000%, 11/01/37 to 10/01/38 | 42,300 | 43,592 | ||||
4.500%, 11/15/34 to 10/01/39 | 5,700 | 5,768 | ||||
GNMA | ||||||
8.000%, 11/15/29 to 11/15/30 | 146 | 167 | ||||
7.500%, 03/15/29 to 01/15/32 | 300 | 337 | ||||
7.000%, 08/15/13 | 66 | 70 | ||||
6.500%, 04/15/24 to 09/15/35 | 13,160 | 14,135 | ||||
6.000%, 03/15/14 to 10/15/35 | 20,972 | 22,347 | ||||
5.000%, 05/15/33 to 10/15/35 | 4,649 | 4,841 | ||||
GNMA ARM (A) | ||||||
6.000%, 06/20/35 | 430 | 437 | ||||
5.500%, 01/10/36 to 05/20/36 | 3,918 | 3,964 | ||||
5.000%, 02/20/36 | 855 | 860 | ||||
4.625%, 08/20/34 | 548 | 560 | ||||
3.750%, 12/20/33 | 9,161 | 9,305 | ||||
3.125%, 03/20/36 | 735 | 745 | ||||
GNMA CMO, Ser 2001-18, Cl WH | ||||||
31.197%, 04/20/31 (A) | 240 | 330 | ||||
GNMA CMO, Ser 2002-51, Cl SG | ||||||
31.135%, 04/20/31 (A) | 222 | 322 | ||||
GNMA CMO, Ser 2003-86, Cl ZK | ||||||
5.000%, 10/20/33 | 5,307 | 5,415 | ||||
GNMA CMO, Ser 2004-80, Cl IP, IO | ||||||
5.500%, 07/20/34 | 1,788 | 25 | ||||
GNMA CMO, Ser 2006-37, Cl JG | ||||||
5.000%, 07/20/36 | 685 | 712 | ||||
GNMA TBA | ||||||
6.000%, 11/01/32 | 100 | 105 | ||||
4.500%, 11/22/33 to 10/15/39 | 115,685 | 117,383 | ||||
| 863,340 | ||||||
Non-Agency Mortgage-Backed Obligations — 16.6% | ||||||
American Home Mortgage Assets, Ser 2007-2, Cl A1 | ||||||
0.439%, 03/25/47 (A) | 9,832 | 4,482 | ||||
| 74 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A | ||||||
5.294%, 06/25/45 (A) | $ | 4,901 | $ | 3,009 | ||
American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A | ||||||
5.350%, 11/25/45 (A) | 4,743 | 2,786 | ||||
American Tower Trust, Ser 2007-1A, Cl AFX | ||||||
5.420%, 04/15/37 (B) | 1,363 | 1,349 | ||||
Asset Securitization, Cl A2 | ||||||
7.774%, 10/13/26 (A) | 745 | 794 | ||||
Banc of America Commercial Mortgage, Cl A2 | ||||||
5.309%, 10/10/45 | 518 | 518 | ||||
Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl B | ||||||
6.309%, 06/11/35 | 514 | 523 | ||||
Banc of America Commercial Mortgage Securities, Ser 2003-1, Cl A2 | ||||||
4.648%, 09/11/36 | 582 | 596 | ||||
Banc of America Commercial Mortgage Securities, Ser 2004-2, Cl A5 | ||||||
4.580%, 11/10/38 | 230 | 222 | ||||
Banc of America Commercial Mortgage Securities, Ser 2005-3, Cl A4 | ||||||
4.668%, 07/10/43 | 5,000 | 4,725 | ||||
Banc of America Commercial Mortgage Securities, Ser 2006-2, Cl A1 | ||||||
5.611%, 05/10/45 | 1,493 | 1,522 | ||||
Banc of America Commercial Mortgage, Ser 2004-2, Cl A3 | ||||||
4.050%, 11/10/38 | 377 | 377 | ||||
Banc of America Commercial Mortgage, Ser 2006-5, Cl A2 | ||||||
5.317%, 09/10/47 | 302 | 303 | ||||
Banc of America Commercial Mortgage, Ser 2007-2, Cl A2 | ||||||
5.634%, 04/10/49 (A) | 1,962 | 1,948 | ||||
Banc of America Commercial Mortgage, Ser 2007-3, Cl A3 | ||||||
5.837%, 06/10/49 (A) | 1,360 | 1,242 | ||||
Banc of America Funding, | ||||||
6.000%, 05/20/33 | 56 | 57 | ||||
Banc of America Funding, | ||||||
5.087%, 04/20/35 (A) | 4,856 | 3,299 | ||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A | ||||||
5.286%, 05/25/34 (A) | 4,004 | 3,812 | ||||
Bear Stearns Commercial Mortgage Securities, Cl A2 | ||||||
6.460%, 10/15/36 | 405 | 427 | ||||
5.286%, 06/11/41 (A) | 546 | 558 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Bear Stearns Commercial Mortgage Securities, Cl AAB | ||||||
4.804%, 09/11/42 | $ | 442 | $ | 451 | ||
Bear Stearns Commercial Mortgage Securities, Cl A6 | ||||||
4.750%, 02/13/46 (A) | 282 | 279 | ||||
Bear Stearns Commercial Mortgage Securities, Cl AM | ||||||
6.084%, 06/11/50 (A) | 870 | 593 | ||||
Bear Stearns Commercial Mortgage Securities, Ser 2000-WF1, Cl A2 | ||||||
7.780%, 02/15/32 (A) | 897 | 901 | ||||
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP4, Cl A3 | ||||||
5.610%, 11/15/33 | 340 | 356 | ||||
Bear Stearns Commercial Mortgage Securities, Ser 2002-PBW1, Cl A2 | ||||||
4.720%, 11/11/35 (A) | 628 | 651 | ||||
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2 | ||||||
4.830%, 08/15/38 | 894 | 912 | ||||
Bear Stearns Commercial Mortgage Securities, Ser 2003-T12, Cl A3 | ||||||
4.240%, 08/13/39 (A) | 257 | 259 | ||||
Bear Stearns Commercial Mortgage Securities, Ser 2004-PWR6, Cl A6 | ||||||
4.825%, 11/11/41 | 260 | 255 | ||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PW10, Cl A4 | ||||||
5.405%, 12/11/40 (A) | 2,831 | 2,783 | ||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A | ||||||
5.299%, 10/12/42 (A) | 3,250 | 3,210 | ||||
Chase Commercial Mortgage Securities, Ser 2000-3, Cl A2 | ||||||
7.319%, 10/15/32 | 2,247 | 2,323 | ||||
Chase Mortgage Finance, | ||||||
5.238%, 12/25/35 (A) | 12,400 | 8,667 | ||||
Citigroup Commercial Mortgage Trust, Ser 2006-C4, Cl A3 | ||||||
5.726%, 03/15/49 (A) | 10,000 | 9,385 | ||||
Citigroup Mortgage Loan Trust, | ||||||
4.900%, 12/25/35 (A) | 8,428 | 6,396 | ||||
Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A4 | ||||||
6.975%, 01/17/32 (A) | 2,440 | 2,598 | ||||
Commercial Mortgage Asset Trust, Ser 1999-C2, Cl A2 | ||||||
7.546%, 10/17/32 (A) | 1,239 | 1,244 | ||||
Commercial Mortgage Loan Trust, Cl AJ | ||||||
6.220%, 12/10/49 (A) | 1,190 | 573 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 75 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Commercial Mortgage Loan Trust, Ser 2008-LS1, Cl A4B | ||||||
6.220%, 12/10/49 (A) | $ | 13,025 | $ | 10,819 | ||
Commercial Mortgage Pass Through Certificates, Cl A5 | ||||||
5.446%, 07/10/37 (A) | 647 | 644 | ||||
Commercial Mortgage Pass Through Certificates, Cl A4 | ||||||
4.715%, 03/10/39 | 1,161 | 1,140 | ||||
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl A2 | ||||||
6.096%, 07/16/34 (B) | 600 | 632 | ||||
Countrywide Alternative Loan Trust, Ser 2003-20BC, Cl 1A1 | ||||||
5.500%, 10/25/33 | 1,423 | 1,346 | ||||
Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1 | ||||||
6.000%, 02/25/34 | 549 | 535 | ||||
Countrywide Alternative Loan Trust, Ser 2005-21, Cl 3A2 | ||||||
2.151%, 08/25/35 (A) | 550 | 263 | ||||
Countrywide Alternative Loan Trust, Ser 2005-56, Cl 4A1 | ||||||
0.624%, 11/25/35 (A) | 7,797 | 3,962 | ||||
Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1 | ||||||
0.644%, 11/20/35 (A) | 9,527 | 5,136 | ||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-HY10, Cl 1A1 | ||||||
5.255%, 02/20/36 (A) | 14 | 8 | ||||
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-R3, Cl AF | ||||||
0.714%, 09/25/35 (A) (B) | 5,220 | 3,460 | ||||
Credit Suisse Mortgage Capital Certificates, Cl A3 | ||||||
5.467%, 09/15/39 | 5,287 | 4,493 | ||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3 | ||||||
5.311%, 12/15/39 | 3,345 | 2,715 | ||||
CS First Boston Mortgage Securities, Cl A4 | ||||||
5.100%, 08/15/38 (A) | 462 | 450 | ||||
CS First Boston Mortgage Securities, Cl A3 | ||||||
4.813%, 02/15/38 | 129 | 130 | ||||
CS First Boston Mortgage Securities, Ser 2001-CK1, Cl A3 | ||||||
6.380%, 12/18/35 | 418 | 433 | ||||
CS First Boston Mortgage Securities, Ser 2002-CKN2, Cl A3 | ||||||
6.133%, 04/15/37 | 201 | 212 | ||||
CS First Boston Mortgage Securities, Ser 2002-CKS4, Cl A1 | ||||||
4.485%, 11/15/36 | 21 | 21 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
CS First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2 | ||||||
5.183%, 11/15/36 | $ | 1,892 | $ | 1,950 | ||
CS First Boston Mortgage Securities, Ser 2002-CP5, Cl A2 | ||||||
4.940%, 12/15/35 | 332 | 344 | ||||
CS First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 | ||||||
3.896%, 10/25/33 (A) | 3,617 | 3,006 | ||||
CS First Boston Mortgage Securities, Ser 2003-C5, Cl A4 | ||||||
4.900%, 12/15/36 (A) | 706 | 717 | ||||
CS First Boston Mortgage Securities, Ser 2003-CK2, Cl A4 | ||||||
4.801%, 03/15/36 | 419 | 428 | ||||
CS First Boston Mortgage Securities, Ser CPN1, Cl A2 | ||||||
4.597%, 03/15/35 | 282 | 283 | ||||
CW Capital Cobalt, Ser 2006-C1, Cl A4 | ||||||
5.223%, 08/15/48 | 5,505 | 4,548 | ||||
Deutsche Mortgage Securities, Ser 2004-4, Cl 7AR2 | ||||||
0.764%, 06/20/34 (A) | 1,170 | 846 | ||||
DLJ Commercial Mortgage, | ||||||
7.180%, 11/10/33 | 746 | 768 | ||||
Downey Savings & Loan Association Mortgage Loan Trust, | ||||||
0.646%, 11/19/44 (A) | 2,472 | 565 | ||||
FFCA Secured Lending, Ser 1999-1A, IO | ||||||
1.272%, 09/18/25 (A) (B) (H) | 4,255 | 92 | ||||
First Horizon Alternative Mortgage Securities, Ser 2006-FA6, Cl 2A10 | ||||||
6.000%, 11/25/36 | 393 | 306 | ||||
First Union National Bank Commercial Mortgage, Ser 2000-C2, Cl A2 | ||||||
7.202%, 10/15/32 | 547 | 564 | ||||
First Union National Bank Commercial Mortgage, Ser 2001-C4, Cl B | ||||||
6.417%, 12/12/33 | 631 | 642 | ||||
Fund America Investors II, Ser 1993-A, Cl A2 | ||||||
6.204%, 06/25/23 (A) | 227 | 214 | ||||
GE Capital Assurance, Ser 2003-1, Cl A4 | ||||||
5.254%, 05/12/35 (A) (B) | 6,149 | 6,276 | ||||
GE Capital Commercial Mortgage, Ser 2001-2, Cl A3 | ||||||
6.030%, 08/11/33 | 225 | 229 | ||||
GE Capital Commercial Mortgage, Ser 2002-1A, Cl A3 | ||||||
6.269%, 12/10/35 | 4,802 | 5,093 | ||||
| 76 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
GE Capital Commercial Mortgage, Ser 2002-3A, Cl A2 | ||||||
4.996%, 12/10/37 | $ | 10,500 | $ | 10,839 | ||
GE Capital Commercial Mortgage, Ser 2005-C4, Cl A4 | ||||||
5.513%, 11/10/45 (A) | 3,375 | 3,222 | ||||
GE Capital Commercial Mortgage, Ser 2006-C1, Cl A3 | ||||||
5.336%, 03/10/44 (A) | 2,845 | 2,683 | ||||
GE Capital Commercial Mortgage, Ser 2007-C1, Cl A4 | ||||||
5.543%, 02/10/17 | 1,510 | 1,179 | ||||
GMAC Commercial Mortgage Securities, Ser 2000-C3, Cl A2 | ||||||
6.957%, 09/15/35 | 1 | 1 | ||||
GMAC Commercial Mortgage Securities, Ser 2001-C1, Cl A2 | ||||||
7.724%, 03/15/33 (A) | 859 | 862 | ||||
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl A2 | ||||||
5.668%, 05/10/40 (A) | 417 | 435 | ||||
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4 | ||||||
5.023%, 04/10/40 | 2,432 | 2,485 | ||||
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl A4 | ||||||
5.238%, 11/10/45 (A) | 4,740 | 4,347 | ||||
Greenwich Capital Commercial Funding | ||||||
5.190%, 04/10/37 (A) | 230 | 235 | ||||
Greenwich Capital Commercial Funding, Cl A6 | ||||||
5.135%, 06/10/36 (A) | 395 | 399 | ||||
Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AAB | ||||||
4.619%, 08/10/42 | 5,500 | 5,552 | ||||
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5 | ||||||
5.224%, 04/10/37 (A) | 1,702 | 1,601 | ||||
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4 | ||||||
6.115%, 08/10/09 (A) | 7,600 | 6,953 | ||||
GS Mortgage Securities II, Ser 2001-GL3A, Cl A2 | ||||||
6.449%, 08/15/18 (A) (B) | 1,780 | 1,887 | ||||
GS Mortgage Securities II, Ser 2005-GG4, Cl A4A | ||||||
4.751%, 07/10/39 | 5,500 | 5,156 | ||||
GS Mortgage Securities II, Ser 2005-GG4, Cl AABA | ||||||
4.680%, 07/10/39 | 363 | 371 | ||||
GS Mortgage Securities II, Ser 2006-GG8, Cl A4 | ||||||
5.560%, 11/10/39 | 7,000 | 6,152 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A | ||||||
8.000%, 09/19/27 (A) (B) | $ | 69 | $ | 48 | ||
GSR Mortgage Loan Trust, Cl 3A5 | ||||||
4.754%, 07/25/35 (A) | 7,000 | 4,702 | ||||
GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1 | ||||||
4.478%, 10/25/33 (A) | 3,796 | 3,530 | ||||
Harborview Mortgage Loan Trust, Ser 2005-1, Cl X, IO | ||||||
3.060%, 03/19/35 (H) | 12,047 | 312 | ||||
Harborview Mortgage Loan Trust, Ser 2005-12, Cl X2B, IO | ||||||
3.005%, 10/19/35 (A) (H) | 20,747 | 674 | ||||
Heller Financial Commercial Mortgage Asset, Ser 1999-PH1, Cl C | ||||||
7.099%, 05/15/31 (A) | 155 | 155 | ||||
Impac Secured Assets CMO Owner Trust, Ser 2006-2, Cl 2A1 | ||||||
0.664%, 08/25/36 (A) | 833 | 657 | ||||
Indymac INDA Mortgage Loan Trust, Ser 2007-AR7, Cl 1A1 | ||||||
6.142%, 11/01/37 (A) | 1,673 | 1,181 | ||||
Indymac Index Mortgage Loan Trust, Ser 2007-AR15, Cl 2A1 | ||||||
5.996%, 08/25/37 (A) | 8,612 | 4,653 | ||||
JP Morgan Alternative Loan Trust, Ser 2006-A7, Cl 2A6 | ||||||
5.750%, 12/25/36 (A) | 12,253 | 4,978 | ||||
JP Morgan Chase Commercial Mortgage Securities, Cl A2S | ||||||
5.305%, 01/15/49 | 1,737 | 1,661 | ||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2006-LDP7 | ||||||
6.051%, 08/15/09 (A) | 628 | 637 | ||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2007-CB19, Cl A2 | ||||||
5.815%, 02/12/49 (A) | 231 | 233 | ||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl AM | ||||||
6.260%, 02/15/51 (A) | 1,855 | 1,316 | ||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl A4 | ||||||
5.882%, 02/15/51 (A) | 3,030 | 2,575 | ||||
JP Morgan Chase Commercial Mortgage Securities, Ser 2007-LDPX, Cl A3 | ||||||
5.420%, 01/15/49 | 10,000 | 8,429 | ||||
JP Morgan Chase Commercial Mortgage Securities, Ser CIB4, Cl A3 | ||||||
6.162%, 05/12/34 | 1,821 | 1,919 | ||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||
6.429%, 04/15/35 | 4,000 | 4,128 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 77 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||
5.161%, 10/12/37 | $ | 460 | $ | 478 | ||
JPMorgan Chase Commercial Mortgage Securities, | ||||||
5.326%, 11/12/08 (A) | 144 | 150 | ||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||
4.655%, 08/15/42 | 79 | 79 | ||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP4, Cl A4 | ||||||
4.918%, 10/15/42 (A) | 442 | 435 | ||||
JPMorgan Commercial Mortgage Finance, Ser 2000-C10, Cl A2 | ||||||
7.371%, 08/15/32 (A) | 367 | 370 | ||||
JPMorgan Mortgage Trust, | ||||||
6.260%, 03/15/33 | 440 | 455 | ||||
JPMorgan Mortgage Trust, | ||||||
4.499%, 11/25/08 (A) | 10,900 | 7,830 | ||||
JPMorgan Mortgage Trust, | ||||||
5.755%, 11/25/08 (A) | 12,600 | 7,638 | ||||
JPMorgan Mortgage Trust, | ||||||
5.731%, 05/25/36 (A) | 13,560 | 9,364 | ||||
LB-UBS Commercial Mortgage Trust, Cl A5 | ||||||
4.628%, 10/15/29 | 294 | 272 | ||||
LB-UBS Commercial Mortgage Trust, Cl A4 | ||||||
4.568%, 01/15/31 | 1,741 | 1,645 | ||||
4.563%, 09/15/26 | 379 | 389 | ||||
4.166%, 05/15/32 | 197 | 195 | ||||
LB-UBS Commercial Mortgage Trust, Cl A2 | ||||||
5.300%, 11/15/38 | 1,180 | 1,178 | ||||
LB-UBS Commercial Mortgage Trust, Ser 2002-C2, Cl A4 | ||||||
5.594%, 06/15/31 | 1,180 | 1,231 | ||||
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A5 | ||||||
4.853%, 09/15/31 | 631 | 647 | ||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl A2 | ||||||
5.084%, 02/15/31 | 1,129 | 1,133 | ||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A2 | ||||||
5.318%, 02/15/40 | 576 | 576 | ||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A3 | ||||||
5.398%, 02/15/40 | 554 | 537 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C2, Cl AM | ||||||
5.490%, 02/15/40 (A) | $ | 1,055 | $ | 716 | ||
Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1 | ||||||
6.000%, 08/25/34 (B) | 3,698 | 2,928 | ||||
Master Seasoned Securities Trust, Ser 2004-2, Cl A2 | ||||||
6.500%, 08/25/32 | 1,963 | 1,902 | ||||
Merrill Lynch, Cl AM | ||||||
5.856%, 09/12/49 (A) | 2,090 | 1,427 | ||||
Merrill Lynch | ||||||
5.439%, 02/12/39 (A) | 2,023 | 2,038 | ||||
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A | ||||||
5.273%, 02/25/34 (A) | 3,800 | 3,603 | ||||
Merrill Lynch Mortgage Trust, Cl A3A | ||||||
4.949%, 07/12/38 (A) | 433 | 430 | ||||
Merrill Lynch Mortgage Trust, | ||||||
4.747%, 06/12/43 (A) | 2,480 | 2,400 | ||||
Merrill Lynch Mortgage Trust, Ser KEY1, Cl A4 | ||||||
5.236%, 11/12/35 (A) | 1,045 | 1,060 | ||||
Merrill Lynch/Countrywide Commercial Mortgage, Ser 2006-4, Cl A3 | ||||||
5.172%, 12/12/49 (A) | 7,000 | 5,896 | ||||
MLCC Mortgage Investors, | ||||||
3.454%, 05/25/29 (A) | 846 | 801 | ||||
Morgan Stanley Capital I | ||||||
5.560%, 03/12/44 (A) | 533 | 510 | ||||
5.168%, 01/14/42 | 232 | 233 | ||||
Morgan Stanley Capital I, Cl A2 | ||||||
5.374%, 03/12/44 | 1,945 | 1,957 | ||||
Morgan Stanley Capital I, Cl AM | ||||||
5.360%, 11/12/41 | 2,090 | 1,586 | ||||
Morgan Stanley Capital I, Cl A31 | ||||||
5.439%, 02/12/44 | 288 | 271 | ||||
Morgan Stanley Capital I, Cl A7 | ||||||
4.970%, 04/14/40 | 1,661 | 1,585 | ||||
Morgan Stanley Capital I, Cl A4 | ||||||
5.538%, 06/15/38 (A) | 765 | 759 | ||||
Morgan Stanley Capital I, | ||||||
5.150%, 06/13/41 | 890 | 901 | ||||
Morgan Stanley Capital I, | ||||||
5.037%, 01/14/42 | 1,542 | 1,599 | ||||
Morgan Stanley Capital I, | ||||||
4.989%, 08/13/42 | 6,021 | 5,859 | ||||
Morgan Stanley Capital I, | ||||||
5.185%, 11/14/42 (A) | 802 | 836 | ||||
| 78 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Morgan Stanley Capital I, | ||||||
4.780%, 12/13/41 | $ | 241 | $ | 235 | ||
Morgan Stanley Capital I, | ||||||
5.162%, 10/15/52 (A) | 2,500 | 2,376 | ||||
Morgan Stanley Capital I, | ||||||
5.610%, 04/15/49 | 1,371 | 1,350 | ||||
Morgan Stanley Capital I, | ||||||
5.692%, 04/15/49 (A) | 7,100 | 5,807 | ||||
Morgan Stanley Dean Witter Capital I, Cl A4 | ||||||
5.740%, 12/15/35 | 192 | 201 | ||||
Morgan Stanley Dean Witter Capital I, Cl A2 | ||||||
4.740%, 11/13/36 | 460 | 467 | ||||
Morgan Stanley Dean Witter Capital I | ||||||
6.510%, 04/15/34 | 207 | 219 | ||||
Morgan Stanley Dean Witter Capital I, Ser 2000-LIFE, Cl A2 | ||||||
7.570%, 11/15/36 (A) | 1,166 | 1,171 | ||||
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP5, Cl A4 | ||||||
6.390%, 10/15/35 | 1,935 | 2,062 | ||||
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2 | ||||||
4.920%, 03/12/35 | 1,439 | 1,456 | ||||
Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S | ||||||
0.424%, 02/25/47 (A) | 364 | 274 | ||||
Nomura Asset Securities, | ||||||
6.690%, 03/15/30 | 1,202 | 1,283 | ||||
RBS Greenwhich Capital Mortgage Pass-Through Certificates, Ser 2007-B, Cl 1A4 | ||||||
0.764%, 01/25/37 (A) | 4,620 | 2,321 | ||||
Residential Accredit Loans, | ||||||
0.674%, 01/25/37 (A) | 4,879 | 2,375 | ||||
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 | ||||||
6.500%, 11/25/31 | 586 | 562 | ||||
Residential Asset Securitization Trust, Cl A1 | ||||||
5.000%, 08/25/19 | 892 | 846 | ||||
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | ||||||
4.774%, 12/25/34 (A) | 1,147 | 890 | ||||
Salomon Brothers Mortgage Securities VII, Ser 2000-C3, Cl A2 | ||||||
6.592%, 12/18/33 | 1,125 | 1,153 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Salomon Brothers Mortgage Securities VII, Ser 2001-C2, Cl A3 | ||||||
6.499%, 10/13/11 | $ | 5,223 | $ | 5,516 | ||
Salomon Brothers Mortgage Securities VII, Ser 2002-KEY2, Cl A2 | ||||||
4.467%, 03/18/36 | 664 | 680 | ||||
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19, Cl 1A1 | ||||||
0.634%, 10/25/35 (A) | 1,797 | 968 | ||||
Structured Adjustable Rate Mortgage Loan Trust, Ser 2007-7, Cl 2AS2 | ||||||
5.645%, 08/25/15 (A) | 10,606 | 5,729 | ||||
Structured Asset Mortgage Investments, Ser 2006-AR8, Cl A1A | ||||||
0.514%, 10/25/36 (A) | 4,818 | 2,294 | ||||
Structured Asset Securities, Cl 1A | ||||||
0.596%, 06/25/35 (A) (B) | 2,712 | 2,028 | ||||
Structured Asset Securities, Cl A | ||||||
0.596%, 03/25/35 to | 5,376 | 4,022 | ||||
Structured Asset Securities, Ser 2005-17, Cl 5A1 | ||||||
5.500%, 10/25/35 | 3,109 | 2,785 | ||||
Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 3A1 | ||||||
6.190%, 09/25/37 (A) | 5,195 | 4,231 | ||||
Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 2A1 | ||||||
6.208%, 08/30/37 (A) | 5,227 | 4,210 | ||||
US Bank, Ser 2007-1, Cl A | ||||||
5.920%, 05/25/12 | 2,657 | 2,822 | ||||
Wachovia Bank Commercial Mortgage Trust, Ser 2002-C1A, Cl A4 | ||||||
6.287%, 04/15/34 | 1,202 | 1,270 | ||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C5, Cl A2 | ||||||
3.989%, 06/15/35 | 350 | 348 | ||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C6, Cl A3 | ||||||
4.957%, 08/15/35 (A) | 463 | 460 | ||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1 | ||||||
4.241%, 10/15/35 (B) | 190 | 192 | ||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3 | ||||||
4.445%, 11/15/35 | 681 | 682 | ||||
Wachovia Bank Commercial Mortgage Trust, Ser 2004-C11, Cl A4 | ||||||
5.030%, 01/15/41 | 467 | 427 | ||||
WaMu Mortgage Pass Through Certificates, Cl 1A1 | ||||||
5.678%, 02/25/37 (A) | 3,653 | 2,331 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 79 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Washington Mutual Mortgage Pass-Through Certificates, | ||||||
4.677%, 05/25/35 (A) | $ | 9,220 | $ | 6,569 | ||
Washington Mutual Mortgage Pass-Through Certificates, | ||||||
5.000%, 02/25/18 | 1,082 | 1,092 | ||||
Washington Mutual Mortgage Pass-Through Certificates, | ||||||
0.604%, 10/25/47 (A) | 4,263 | 2,302 | ||||
Washington Mutual Mortgage Pass-Through Certificates, | ||||||
0.527%, 11/25/47 (A) | 6,460 | 3,768 | ||||
Washington Mutual Mortgage Pass-Through Certificates, | ||||||
5.092%, 12/25/35 (A) | 12,955 | 8,997 | ||||
Washington Mutual Mortgage Pass-Through Certificates, | ||||||
0.604%, 12/25/45 (A) | 6,117 | 3,508 | ||||
Washington Mutual Mortgage Pass-Through Certificates, | ||||||
2.150%, 07/25/47 (A) | 8,913 | 4,775 | ||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl 1A1 | ||||||
4.526%, 06/25/34 (A) | 4,150 | 3,987 | ||||
| 408,742 | ||||||
Total Mortgage-Backed Securities (Cost $1,300,519) ($ Thousands) | 1,272,082 | |||||
CORPORATE OBLIGATIONS — 33.7% | ||||||
Consumer Discretionary — 1.6% | ||||||
American Achievement | ||||||
8.250%, 04/01/12 (B) | 900 | 896 | ||||
Boyd Gaming | ||||||
7.125%, 02/01/16 (C) | 350 | 308 | ||||
6.750%, 04/15/14 (C) | 570 | 510 | ||||
British Sky Broadcasting Group | ||||||
9.500%, 11/15/18 (B) | 1,787 | 2,287 | ||||
CCH I Holdings LLC | ||||||
11.000%, 10/01/15 (D) (H) | 740 | 137 | ||||
Comcast | ||||||
6.500%, 01/15/17 | 720 | 790 | ||||
6.500%, 01/15/15 | 985 | 1,098 | ||||
5.700%, 05/15/18 (C) | 2,340 | 2,460 | ||||
5.450%, 11/15/10 | 525 | 546 | ||||
5.300%, 01/15/14 | 2,340 | 2,504 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Comcast Cable Communications | ||||||
6.750%, 01/30/11 | $ | 2,310 | $ | 2,456 | ||
Comcast Cable Communications | ||||||
8.375%, 03/15/13 | 1,179 | 1,369 | ||||
COX Communications | ||||||
6.250%, 06/01/18 (B) | 289 | 307 | ||||
4.625%, 06/01/13 | 805 | 836 | ||||
Daimler Finance LLC | ||||||
7.300%, 01/15/12 | 1,400 | 1,510 | ||||
6.500%, 11/15/13 | 1,320 | 1,422 | ||||
DirecTV Holdings | ||||||
5.875%, 10/01/19 (B) | 455 | 452 | ||||
4.750%, 10/01/14 (B) | 580 | 580 | ||||
DISH DBS | ||||||
7.875%, 09/01/19 (B) | 690 | 697 | ||||
Eastman Kodak | ||||||
7.250%, 11/15/13 | 1,420 | 1,164 | ||||
Echostar DBS | ||||||
7.750%, 05/31/15 | 220 | 224 | ||||
General Motors | ||||||
8.250%, 07/15/23 (C) (D) | 3,100 | 481 | ||||
Hertz | ||||||
8.875%, 01/01/14 (C) | 725 | 732 | ||||
Inn of the Mountain Gods Resort & Casino | ||||||
12.000%, 11/15/10 (D) (H) | 1,010 | 467 | ||||
Lamar Media, Ser B | ||||||
6.625%, 08/15/15 | 150 | 137 | ||||
MGM Mirage | ||||||
8.500%, 09/15/10 | 10 | 10 | ||||
7.625%, 01/15/17 (C) | 1,290 | 1,006 | ||||
News America | ||||||
6.900%, 08/15/39 (B) | 480 | 511 | ||||
6.650%, 11/15/37 (C) | 180 | 188 | ||||
6.200%, 12/15/34 | 65 | 64 | ||||
River Rock Entertainment Authority | ||||||
9.750%, 11/01/11 | 930 | 856 | ||||
Station Casinos | ||||||
7.750%, 08/15/16 (C) (D) (H) | 1,495 | 449 | ||||
Sun Media | ||||||
7.625%, 02/15/13 | 470 | 360 | ||||
Thomson Reuters | ||||||
5.950%, 07/15/13 | 552 | 606 | ||||
Time Warner | ||||||
7.700%, 05/01/32 | 835 | 944 | ||||
6.875%, 05/01/12 | 2,225 | 2,449 | ||||
Time Warner Cable | ||||||
8.750%, 02/14/19 | 1,010 | 1,246 | ||||
8.250%, 04/01/19 | 4,895 | 5,917 | ||||
7.300%, 07/01/38 | 480 | 554 | ||||
6.750%, 06/15/39 | 920 | 995 | ||||
Time Warner Entertainment | ||||||
8.375%, 07/15/33 (C) | 60 | 72 | ||||
| 40,597 | ||||||
| 80 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Consumer Staples — 0.9% | ||||||
Altria Group | ||||||
9.700%, 11/10/18 | $ | 1,240 | $ | 1,542 | ||
Anheuser-Busch | ||||||
5.050%, 10/15/16 | 940 | 970 | ||||
Anheuser-Busch InBev Worldwide | ||||||
7.750%, 01/15/19 (B) | 1,216 | 1,439 | ||||
CVS Caremark | ||||||
9.350%, 01/10/23 (B) (H) | 8,600 | 6,977 | ||||
6.600%, 03/15/19 | 535 | 603 | ||||
6.125%, 09/15/39 | 630 | 641 | ||||
Diageo Capital | ||||||
7.375%, 01/15/14 | 4,870 | 5,644 | ||||
Dr Pepper Snapple Group | ||||||
6.820%, 05/01/18 | 1,470 | 1,671 | ||||
General Mills | ||||||
6.000%, 02/15/12 | 750 | 815 | ||||
HJ Heinz | ||||||
5.350%, 07/15/13 | 510 | 548 | ||||
Reynolds American | ||||||
6.750%, 06/15/17 | 1,260 | 1,310 | ||||
| 22,160 | ||||||
Energy — 4.5% | ||||||
Anadarko Finance, Ser B | ||||||
7.500%, 05/01/31 | 1,300 | 1,438 | ||||
6.750%, 05/01/11 | 20 | 21 | ||||
Anadarko Petroleum | ||||||
8.700%, 03/15/19 (C) | 1,772 | 2,119 | ||||
6.450%, 09/15/36 | 4,160 | 4,295 | ||||
Apache | ||||||
6.000%, 09/15/13 | 2,570 | 2,859 | ||||
Baker Hughes | ||||||
7.500%, 11/15/18 (C) | 3,110 | 3,798 | ||||
Canadian Natural Resources | ||||||
5.850%, 02/01/35 | 800 | 805 | ||||
5.700%, 05/15/17 | 265 | 282 | ||||
Cenovus Energy | ||||||
6.750%, 11/15/39 (B) | 620 | 668 | ||||
5.700%, 10/15/19 (B) | 420 | 431 | ||||
Chesapeake Energy | ||||||
7.250%, 12/15/18 | 660 | 624 | ||||
Cie Generale de Geophysique-Veritas | ||||||
7.750%, 05/15/17 | 110 | 109 | ||||
7.500%, 05/15/15 | 1,205 | 1,199 | ||||
Conoco Funding | ||||||
7.250%, 10/15/31 | 50 | 60 | ||||
6.350%, 10/15/11 | 920 | 1,008 | ||||
ConocoPhillips | ||||||
5.900%, 10/15/32 | 1,090 | 1,163 | ||||
5.900%, 05/15/38 | 1,790 | 1,914 | ||||
ConocoPhillips Holding | ||||||
6.950%, 04/15/29 | 1,460 | 1,713 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
El Paso | ||||||
6.950%, 06/01/28 | $ | 6,750 | $ | 5,615 | ||
El Paso Performance-Linked Trust | ||||||
7.750%, 07/15/11 (B) | 3,830 | 3,912 | ||||
Energy Transfer Partners | ||||||
9.000%, 04/15/19 | 1,165 | 1,401 | ||||
8.500%, 04/15/14 | 1,524 | 1,761 | ||||
6.700%, 07/01/18 | 2,220 | 2,376 | ||||
Enterprise Products Operating | ||||||
9.750%, 01/31/14 | 4,150 | 5,011 | ||||
GAZ Capital | ||||||
6.212%, 11/22/16 (B) | 220 | 212 | ||||
Hess | ||||||
7.875%, 10/01/29 | 1,070 | 1,253 | ||||
7.300%, 08/15/31 | 4,130 | 4,643 | ||||
Husky Energy | ||||||
7.250%, 12/15/19 | 596 | 684 | ||||
6.800%, 09/15/37 | 219 | 239 | ||||
5.900%, 06/15/14 | 532 | 574 | ||||
Kerr-McGee | ||||||
7.875%, 09/15/31 | 820 | 928 | ||||
6.950%, 07/01/24 | 450 | 482 | ||||
Kinder Morgan Energy Partners | ||||||
7.125%, 03/15/12 | 90 | 98 | ||||
6.950%, 01/15/38 | 150 | 161 | ||||
6.750%, 03/15/11 | 450 | 477 | ||||
6.000%, 02/01/17 | 2,145 | 2,242 | ||||
5.850%, 09/15/12 | 1,145 | 1,234 | ||||
5.000%, 12/15/13 (C) | 2,735 | 2,859 | ||||
Knight | ||||||
6.500%, 09/01/12 | 2,450 | 2,517 | ||||
Occidental Petroleum | ||||||
7.000%, 11/01/13 | 4,000 | 4,621 | ||||
OPTI Canada | ||||||
8.250%, 12/15/14 | 700 | 543 | ||||
7.875%, 12/15/14 | 880 | 673 | ||||
Peabody Energy, Ser B | ||||||
6.875%, 03/15/13 | 300 | 303 | ||||
Pemex Project Funding Master Trust | ||||||
6.625%, 06/15/35 | 1,667 | 1,610 | ||||
Petrobras International Finance | ||||||
7.875%, 03/15/19 | 2,269 | 2,618 | ||||
6.125%, 10/06/16 (C) | 1,225 | 1,308 | ||||
Petro-Canada | ||||||
6.800%, 05/15/38 | 365 | 390 | ||||
Ras Laffan Liquified Natural Gas III | ||||||
6.332%, 09/30/27 (B) | 555 | 546 | ||||
5.500%, 09/30/14 (B) (C) | 1,715 | 1,821 | ||||
4.500%, 09/30/12 (B) | 730 | 756 | ||||
SandRidge Energy | ||||||
9.875%, 05/15/16 (B) | 870 | 907 | ||||
SemGroup L.P. | ||||||
8.750%, 11/15/15 (B) (D) (H) | 500 | 33 | ||||
Shell International Finance BV | ||||||
3.250%, 09/22/15 | 1,685 | 1,696 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 81 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Southern Natural Gas | ||||||
8.000%, 03/01/32 | $ | 170 | $ | 201 | ||
Southern Union | ||||||
8.250%, 11/15/29 | 1,315 | 1,491 | ||||
Suburban Propane Partners | ||||||
6.875%, 12/15/13 | 735 | 727 | ||||
Suncor Energy | ||||||
6.500%, 06/15/38 | 940 | 971 | ||||
Tennessee Gas Pipeline | ||||||
7.625%, 04/01/37 | 830 | 943 | ||||
Tosco | ||||||
8.125%, 02/15/30 | 400 | 509 | ||||
Total Capital | ||||||
3.125%, 10/02/15 | 2,110 | 2,101 | ||||
Transocean | ||||||
6.000%, 03/15/18 | 350 | 374 | ||||
Valero Energy | ||||||
10.500%, 03/15/39 | 1,750 | 2,235 | ||||
9.375%, 03/15/19 | 3,876 | 4,516 | ||||
Weatherford International | ||||||
6.800%, 06/15/37 | 370 | 389 | ||||
Williams | ||||||
8.750%, 03/15/32 | 2,340 | 2,683 | ||||
7.875%, 09/01/21 | 5,245 | 5,673 | ||||
7.750%, 06/15/31 | 1,880 | 1,971 | ||||
7.625%, 07/15/19 | 1,100 | 1,188 | ||||
Williams, Ser A | ||||||
7.500%, 01/15/31 | 90 | 92 | ||||
XTO Energy | ||||||
7.500%, 04/15/12 | 850 | 942 | ||||
6.750%, 08/01/37 | 310 | 345 | ||||
5.500%, 06/15/18 | 2,410 | 2,487 | ||||
| 110,848 | ||||||
Financials — 16.8% | ||||||
ABX Financing | ||||||
6.350%, 10/15/36 (B) | 4,250 | 4,755 | ||||
Aiful | ||||||
5.000%, 08/10/10 (B) | 1,420 | 760 | ||||
Allied World Assurance Holdings | ||||||
7.500%, 08/01/16 | 2,500 | 2,613 | ||||
Allstate Life Global Funding Trusts MTN | ||||||
5.375%, 04/30/13 | 1,410 | 1,501 | ||||
American Express | ||||||
8.150%, 03/19/38 (C) | 842 | 1,028 | ||||
7.250%, 05/20/14 (C) | 1,358 | 1,526 | ||||
6.800%, 09/01/66 (A) | 2,010 | 1,709 | ||||
6.150%, 08/28/17 | 1,200 | 1,260 | ||||
American Express Credit MTN | ||||||
5.125%, 08/25/14 | 2,100 | 2,172 | ||||
American General Finance MTN | ||||||
6.900%, 12/15/17 | 2,820 | 1,972 | ||||
American Honda Finance | ||||||
5.100%, 03/27/12 (B) | 1,685 | 1,752 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
American International Group MTN | ||||||
6.250%, 03/15/37 | $ | 2,560 | $ | 1,267 | ||
5.850%, 01/16/18 (C) | 4,340 | 3,142 | ||||
ASIF Global Financing XIX | ||||||
4.900%, 01/17/13 (B) | 390 | 354 | ||||
BAC Capital Trust XIV | ||||||
5.630%, 03/15/12 (A) | 130 | 85 | ||||
BAC Capital Trust XV | ||||||
1.468%, 06/01/56 (A) | 5,715 | 3,174 | ||||
Bank of America | ||||||
7.625%, 06/01/19 | 3,115 | 3,510 | ||||
7.400%, 01/15/11 | 1,325 | 1,391 | ||||
7.375%, 05/15/14 | 920 | 1,024 | ||||
6.500%, 08/01/16 | 2,250 | 2,365 | ||||
5.750%, 12/01/17 | 3,610 | 3,603 | ||||
5.420%, 03/15/17 | 4,300 | 4,108 | ||||
5.375%, 06/15/14 | 2,100 | 2,170 | ||||
Bank of New York Mellon MTN | ||||||
5.125%, 08/27/13 | 900 | 973 | ||||
Bank One | ||||||
7.875%, 08/01/10 | 995 | 1,047 | ||||
Barclays Bank | ||||||
5.200%, 07/10/14 | 1,860 | 1,965 | ||||
5.000%, 09/22/16 | 1,145 | 1,160 | ||||
Barnett Capital III | ||||||
1.653%, 02/01/27 (A) | 425 | 268 | ||||
Bear Stearns | ||||||
7.250%, 02/01/18 | 7,370 | 8,417 | ||||
6.400%, 10/02/17 | 500 | 544 | ||||
5.350%, 02/01/12 | 3,280 | 3,484 | ||||
4.650%, 07/02/18 | 995 | 949 | ||||
4.500%, 10/28/10 | 1,470 | 1,520 | ||||
Berkshire Hathaway Finance | ||||||
5.400%, 05/15/18 | 830 | 895 | ||||
BP Capital Markets | ||||||
5.250%, 11/07/13 | 890 | 975 | ||||
3.875%, 03/10/15 | 3,315 | 3,424 | ||||
Capital One Bank USA | ||||||
8.800%, 07/15/19 | 855 | 988 | ||||
Capital One Financial | ||||||
7.375%, 05/23/14 | 1,470 | 1,641 | ||||
Caterpillar Financial Services MTN | ||||||
6.200%, 09/30/13 | 3,650 | 4,042 | ||||
Chase Capital VI | ||||||
1.653%, 08/01/28 (A) | 2,500 | 1,596 | ||||
Chubb | ||||||
5.750%, 05/15/18 | 245 | 269 | ||||
Citigroup | ||||||
8.125%, 07/15/39 (C) | 3,062 | 3,428 | ||||
6.875%, 03/05/38 (C) | 6,555 | 6,575 | ||||
6.500%, 08/19/13 | 1,310 | 1,376 | ||||
6.125%, 05/15/18 (C) | 4,975 | 4,899 | ||||
5.875%, 02/22/33 | 1,685 | 1,397 | ||||
5.500%, 02/15/17 | 2,350 | 2,186 | ||||
| 82 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
5.500%, 04/11/13 | $ | 2,683 | $ | 2,746 | ||
5.000%, 09/15/14 | 3,245 | 3,088 | ||||
0.579%, 06/09/16 (A) | 3,650 | 3,035 | ||||
Citigroup Capital III | ||||||
7.625%, 12/01/36 | 1,500 | 1,034 | ||||
Citigroup Capital XXI | ||||||
8.300%, 12/21/57 (A) (C) | 1,250 | 1,111 | ||||
Citigroup Funding | ||||||
1.875%, 10/22/12 | 2,165 | 2,169 | ||||
Countrywide Financial MTN | ||||||
6.250%, 05/15/16 | 1,080 | 1,081 | ||||
5.800%, 06/07/12 | 2,745 | 2,896 | ||||
Countrywide Financial , Cl A | ||||||
0.579%, 10/15/28 (A) | 123 | 66 | ||||
Countrywide Home Loans MTN | ||||||
4.000%, 03/22/11 | 3,200 | 3,252 | ||||
Credit Suisse New York | ||||||
6.000%, 02/15/18 | 4,375 | 4,580 | ||||
5.000%, 05/15/13 | 4,538 | 4,802 | ||||
Credit Suisse NY | ||||||
5.500%, 05/01/14 | 3,000 | 3,224 | ||||
5.300%, 08/13/19 | 585 | 600 | ||||
Credit Suisse USA | ||||||
4.875%, 08/15/10 | 2,210 | 2,274 | ||||
Depfa ACS Bank | ||||||
5.125%, 03/16/37 (B) (H) | 3,000 | 2,260 | ||||
Deutsche Bank | ||||||
4.875%, 05/20/13 | 1,830 | 1,949 | ||||
Deutsche Bank Capital Funding Trust VII | ||||||
5.628%, 01/19/49 (A) (B) | 2,760 | 2,015 | ||||
East Lane Re | ||||||
7.027%, 05/06/11 (A) (B) | 650 | 627 | ||||
Export-Import Bank of Korea | ||||||
5.875%, 01/14/15 | 1,155 | 1,218 | ||||
5.500%, 10/17/12 | 772 | 814 | ||||
Farmers Exchange Capital | ||||||
7.050%, 07/15/28 (B) | 1,434 | 1,284 | ||||
Farmers Insurance Exchange | ||||||
8.625%, 05/01/24 (B) | 3,017 | 3,112 | ||||
First Industrial L.P. MTN | ||||||
7.500%, 12/01/17 | 970 | 661 | ||||
Fleet Capital Trust II | ||||||
7.920%, 12/11/26 | 1,050 | 1,008 | ||||
Ford Motor Credit LLC | ||||||
8.000%, 12/15/16 | 2,680 | 2,486 | ||||
7.375%, 10/28/09 | 3,250 | 3,251 | ||||
5.700%, 01/15/10 | 220 | 220 | ||||
5.549%, 06/15/11 (A) | 3,863 | 3,689 | ||||
Forest City Enterprises | ||||||
7.625%, 06/01/15 | 500 | 405 | ||||
6.500%, 02/01/17 | 270 | 173 | ||||
General Electric Capital MTN | ||||||
6.875%, 01/10/39 | 660 | 691 | ||||
6.517%, 11/15/19 (A) | 5,870 | 4,857 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
6.000%, 08/07/19 | $ | 710 | $ | 720 | ||
5.900%, 05/13/14 | 2,800 | 3,002 | ||||
5.875%, 01/14/38 | 1,300 | 1,192 | ||||
5.625%, 05/01/18 (C) | 7,235 | 7,212 | ||||
5.450%, 01/15/13 | 20 | 21 | ||||
1.396%, 05/05/26 (A) | 3,500 | 2,754 | ||||
0.889%, 09/15/14 (A) | 4,000 | 3,536 | ||||
0.555%, 03/20/14 (A) | 1,900 | 1,675 | ||||
Glitnir Banki HF | ||||||
7.451%, 09/14/16 (B) (D) (H) | 400 | — | ||||
6.693%, 06/15/16 (B) (D) (H) | 3,960 | — | ||||
6.375%, 09/25/12 (B) (D) (H) | 2,330 | 571 | ||||
6.330%, 07/28/11 (B) (D) (H) | 1,980 | 485 | ||||
GMAC | ||||||
6.875%, 09/15/11 (B) | 2,735 | 2,585 | ||||
GMAC LLC | ||||||
8.000%, 12/31/18 (B) (C) | 225 | 170 | ||||
7.750%, 01/19/10 (B) | 2,633 | 2,630 | ||||
7.500%, 12/31/13 (B) | 103 | 90 | ||||
7.250%, 03/02/11 (B) (C) | 2,228 | 2,144 | ||||
2.561%, 12/01/14 (A) (B) | 2,234 | 1,731 | ||||
Goldman Sachs Capital I | ||||||
6.345%, 02/15/34 | 520 | 478 | ||||
Goldman Sachs Capital II | ||||||
5.793%, 12/29/49 (A) | 2,382 | 1,715 | ||||
Goldman Sachs Group | ||||||
7.500%, 02/15/19 | 3,996 | 4,570 | ||||
6.750%, 10/01/37 | 1,481 | 1,528 | ||||
6.150%, 04/01/18 | 3,780 | 3,976 | ||||
5.950%, 01/18/18 | 260 | 270 | ||||
5.450%, 11/01/12 | 5,181 | 5,549 | ||||
5.350%, 01/15/16 | 660 | 682 | ||||
5.250%, 10/15/13 | 3,565 | 3,785 | ||||
5.125%, 01/15/15 | 699 | 731 | ||||
4.500%, 06/15/10 | 1,000 | 1,026 | ||||
1.639%, 01/12/15 (A) | 1,750 | 1,675 | ||||
1.501%, 07/22/15 (A) | 500 | 465 | ||||
HBOS Capital Funding | ||||||
6.071%, 06/30/49 (A) (B) | 1,330 | 751 | ||||
HBOS PLC | ||||||
6.750%, 05/21/18 (B) | 2,100 | 1,872 | ||||
HCP | ||||||
6.700%, 01/30/18‡ | 376 | 362 | ||||
6.300%, 09/15/16‡ | 334 | 321 | ||||
6.000%, 01/30/17‡ | 4,206 | 3,928 | ||||
5.650%, 12/15/13‡ | 1,069 | 1,058 | ||||
Highwoods Properties | ||||||
7.500%, 04/15/18‡ | 1,142 | 1,093 | ||||
Host Marriott L.P., Ser Q | ||||||
6.750%, 06/01/16‡ (C) | 455 | 432 | ||||
HSBC Finance | ||||||
8.000%, 07/15/10 | 3,475 | 3,633 | ||||
4.625%, 09/15/10 | 650 | 667 | ||||
HSBC Holdings PLC | ||||||
6.800%, 06/01/38 (C) | 600 | 673 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 83 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
ICICI Bank | ||||||
6.375%, 04/30/22 (A) (B) | $ | 1,560 | $ | 1,276 | ||
ILFC E-Capital Trust II | ||||||
6.250%, 12/21/65 (A) (B) | 900 | 455 | ||||
Jackson National Life Global Funding MTN | ||||||
5.375%, 05/08/13 (B) | 700 | 710 | ||||
JP Morgan Chase Capital XIII | ||||||
1.547%, 09/30/34 (A) | 1,000 | 658 | ||||
JP Morgan Chase Capital XXV | ||||||
6.800%, 10/01/37 (C) | 1,064 | 1,074 | ||||
JPMorgan Chase | ||||||
7.900%, 10/30/08 (A) | 1,900 | 1,824 | ||||
6.400%, 05/15/38 | 2,250 | 2,519 | ||||
6.300%, 04/23/19 | 2,694 | 2,941 | ||||
6.000%, 01/15/18 | 225 | 242 | ||||
5.750%, 01/02/13 | 3,785 | 4,040 | ||||
5.375%, 10/01/12 | 1,986 | 2,137 | ||||
4.750%, 05/01/13 | 510 | 540 | ||||
JPMorgan Chase Bank | ||||||
6.000%, 10/01/17 | 1,313 | 1,381 | ||||
0.630%, 06/13/16 (A) | 1,300 | 1,209 | ||||
Kaupthing Bank MTN | ||||||
7.625%, 02/28/15 (B) (D) (H) | 8,810 | 1,872 | ||||
7.125%, 05/19/16 (B) (D) (H) | 1,350 | — | ||||
5.750%, 10/04/11 (B) (D) (H) | 960 | 204 | ||||
Landsbanki Islands | ||||||
6.100%, 08/25/11 (B) (D) (H) | 5,570 | 293 | ||||
Lazard Group | ||||||
7.125%, 05/15/15 | 1,532 | 1,547 | ||||
6.850%, 06/15/17 | 1,507 | 1,486 | ||||
Lehman Brothers Holdings MTN | ||||||
14.500%, 06/20/16 (A) (D) (G) | 3,977 | 661 | ||||
11.000%, 11/07/16 (A) (D) (G) | 4,283 | 712 | ||||
8.920%, 02/16/17 (D) (G) | 2,370 | 394 | ||||
6.750%, 12/28/17 (D) | 4,320 | — | ||||
6.200%, 09/26/14 (D) | 1,160 | 197 | ||||
5.250%, 02/06/12 (D) | 1,220 | 207 | ||||
Lehman Brothers Holdings Capital Trust V MTN | ||||||
5.857%, 11/29/49 (D) | 4,280 | — | ||||
Liberty Mutual Group | ||||||
7.500%, 08/15/36 (B) | 689 | 582 | ||||
6.500%, 03/15/35 (B) | 1,525 | 1,232 | ||||
Lloyds Banking Group | ||||||
5.920%, 09/29/49 (A) (B) | 5,850 | 3,335 | ||||
Mack-Cali Realty | ||||||
7.750%, 08/15/19‡ | 470 | 484 | ||||
MBNA Capital A | ||||||
8.278%, 12/01/26 | 1,450 | 1,414 | ||||
Merna Reinsurance, Ser B | ||||||
2.347%, 07/07/10 (A) (B) | 3,750 | 3,648 | ||||
Merrill Lynch MTN | ||||||
8.950%, 05/18/17 (A) | 1,790 | 1,718 | ||||
8.680%, 05/02/17 (A) | 3,160 | 3,034 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
7.430%, 09/01/22 | $ | 4 | $ | 4 | ||
6.875%, 04/25/18 | 250 | 263 | ||||
6.050%, 05/16/16 | 350 | 351 | ||||
5.700%, 05/02/17 | 1,300 | 1,273 | ||||
5.450%, 02/05/13 | 2,080 | 2,157 | ||||
MetLife | ||||||
7.717%, 02/15/19 | 2,850 | 3,355 | ||||
6.400%, 12/15/36 | 570 | 482 | ||||
MetLife Capital Trust IV | ||||||
7.875%, 12/15/37 (B) | 1,200 | 1,128 | ||||
MetLife Capital Trust X | ||||||
9.250%, 04/08/38 (A) (B) | 1,800 | 1,872 | ||||
Metropolitan Life Global Funding I | ||||||
5.125%, 04/10/13 (B) | 580 | 601 | ||||
5.125%, 06/10/14 (B) | 2,750 | 2,873 | ||||
Morgan Stanley MTN | ||||||
7.250%, 04/01/32 | 665 | 771 | ||||
6.750%, 04/15/11 | 30 | 32 | ||||
6.625%, 04/01/18 | 3,570 | 3,775 | ||||
6.000%, 05/13/14 | 7,814 | 8,319 | ||||
6.000%, 04/28/15 | 630 | 667 | ||||
5.950%, 12/28/17 | 1,326 | 1,350 | ||||
5.625%, 09/23/19 | 470 | 462 | ||||
1.557%, 10/18/16 (A) | 5,020 | 4,482 | ||||
1.411%, 07/15/09 (A) | 1,350 | 1,350 | ||||
0.838%, 01/09/14 (A) | 4,120 | 3,833 | ||||
MUFG Capital Finance 1 | ||||||
6.346%, 07/25/49 (A) | 1,670 | 1,543 | ||||
National Australia Bank | ||||||
5.350%, 06/12/13 (B) | 2,500 | 2,666 | ||||
National Capital Trust II | ||||||
5.486%, 12/29/49 (A) (B) | 2,231 | 1,612 | ||||
National City Bank MTN | ||||||
5.800%, 06/07/17 | 1,290 | 1,288 | ||||
0.684%, 06/07/17 (A) | 6,200 | 4,968 | ||||
Nationwide Mutual Insurance | ||||||
6.600%, 04/15/34 (B) | 2,440 | 1,924 | ||||
5.810%, 06/15/09 (A) (B) | 1,975 | 1,446 | ||||
NB Capital Trust IV | ||||||
8.250%, 04/15/27 | 1,455 | 1,419 | ||||
Pacific Life Global Funding | ||||||
5.150%, 04/15/13 (B) | 370 | 387 | ||||
Power Receivables Financial | ||||||
6.290%, 01/01/12 | 2,061 | 2,104 | ||||
Pricoa Global Funding I | ||||||
5.450%, 06/11/14 (B) | 3,400 | 3,582 | ||||
Prime Property Fund | ||||||
5.600%, 06/15/11‡ (B) | 1,384 | 1,250 | ||||
5.500%, 01/15/14‡ (B) | 1,850 | 1,424 | ||||
Private Export Funding | ||||||
3.050%, 10/15/14 | 425 | 424 | ||||
Prudential Holdings | ||||||
8.695%, 12/18/23 (B) | 1,300 | 1,357 | ||||
| 84 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Rabobank Nederland | ||||||
11.000%, 12/31/49 (A) (B) | $ | 1,585 | $ | 1,941 | ||
Residential Capital | ||||||
9.625%, 05/15/15 | 15 | 12 | ||||
Resona Preferred Global Securities | ||||||
7.191%, 07/30/49 (A) (B) | 580 | 481 | ||||
Royal Bank of Scotland Group | ||||||
7.640%, 09/29/17 (A) | 1,000 | 490 | ||||
5.050%, 01/08/15 | 660 | 592 | ||||
5.000%, 10/01/14 | 360 | 326 | ||||
5.000%, 11/12/13 | 520 | 477 | ||||
Shinsei Finance Cayman | ||||||
6.418%, 01/25/49 (A) (B) | 5,180 | 2,719 | ||||
Simon Property Group | ||||||
6.750%, 05/15/14‡ (C) | 715 | 767 | ||||
Simon Property Group L.P. | ||||||
5.750%, 12/01/15‡ | 910 | 931 | ||||
5.600%, 09/01/11‡ | 690 | 718 | ||||
SLM MTN | ||||||
5.625%, 08/01/33 | 695 | 436 | ||||
5.375%, 05/15/14 | 2,655 | 2,032 | ||||
5.050%, 11/14/14 | 690 | 507 | ||||
5.000%, 04/15/15 | 120 | 89 | ||||
5.000%, 10/01/13 | 2,500 | 1,990 | ||||
Stingray Pass-Through Trust MTN | ||||||
5.902%, 01/12/15 (B) (H) | 1,727 | 259 | ||||
Sumitomo Mitsui Banking | ||||||
5.625%, 04/15/09 (A) (B) | 2,620 | 2,491 | ||||
SunTrust Preferred Capital I | ||||||
5.853%, 12/15/11 (A) | 259 | 168 | ||||
Svensk Exportkredit | ||||||
3.250%, 09/16/14 | 2,320 | 2,328 | ||||
TNK-BP Finance | ||||||
7.500%, 07/18/16 (B) | 1,170 | 1,138 | ||||
6.625%, 03/20/17 (B) | 280 | 257 | ||||
Travelers | ||||||
6.250%, 03/15/37 (A) | 1,470 | 1,292 | ||||
5.375%, 06/15/12 | 370 | 391 | ||||
UDR MTN | ||||||
5.000%, 01/15/12‡ | 2,000 | 1,991 | ||||
Ventas Realty L.P. | ||||||
9.000%, 05/01/12‡ | 180 | 189 | ||||
6.500%, 06/01/16‡ | 495 | 480 | ||||
Wachovia | ||||||
5.750%, 02/01/18 (C) | 2,260 | 2,392 | ||||
5.500%, 08/01/35 | 1,405 | 1,268 | ||||
5.300%, 10/15/11 | 2,155 | 2,283 | ||||
5.250%, 08/01/14 (C) | 2,570 | 2,610 | ||||
4.875%, 02/15/14 | 875 | 891 | ||||
Wachovia Bank | ||||||
6.000%, 11/15/17 | 4,700 | 4,931 | ||||
Wachovia Capital Trust III | ||||||
5.800%, 03/15/11 (A) | 2,230 | 1,539 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
WEA Finance | ||||||
7.500%, 06/02/14 (B) | $ | 1,788 | $ | 1,927 | ||
7.125%, 04/15/18 (B) | 5,049 | 5,263 | ||||
6.750%, 09/02/19 (B) | 2,565 | 2,595 | ||||
Wells Fargo Capital X | ||||||
5.950%, 12/15/36 | 760 | 659 | ||||
Wells Fargo Capital XV | ||||||
9.750%, 12/31/49 (A) (C) | 3,790 | 3,942 | ||||
Westfield Capital | ||||||
4.375%, 11/15/10 (B) | 2,103 | 2,134 | ||||
Westfield Group | ||||||
5.400%, 10/01/12 (B) | 838 | 861 | ||||
Woodbourne Capital Trust I | ||||||
1.418%, 04/08/49 (A) (B) (H) | 625 | 131 | ||||
Woodbourne Capital Trust II | ||||||
1.418%, 04/08/49 (A) (B) (H) | 625 | 131 | ||||
Woodbourne Capital Trust III | ||||||
1.418%, 04/08/49 (A) (B) (H) | 625 | 131 | ||||
Woodbourne Capital Trust IV | ||||||
1.418%, 04/08/49 (A) (B) (H) | 625 | 131 | ||||
ZFS Finance USA Trust I | ||||||
6.150%, 12/15/65 (A) (B) | 4,272 | 3,845 | ||||
| 413,671 | ||||||
Health Care — 1.2% | ||||||
Amgen | ||||||
6.400%, 02/01/39 | 959 | 1,099 | ||||
CareFusion | ||||||
6.375%, 08/01/19 (B) | 735 | 797 | ||||
5.125%, 08/01/14 (B) | 1,020 | 1,064 | ||||
4.125%, 08/01/12 (B) (C) | 640 | 657 | ||||
Coventry Health Care | ||||||
5.950%, 03/15/17 | 924 | 828 | ||||
Express Scripts | ||||||
6.250%, 06/15/14 | 151 | 166 | ||||
5.250%, 06/15/12 | 658 | 698 | ||||
FMC Finance III | ||||||
6.875%, 07/15/17 | 600 | 582 | ||||
GlaxoSmithKline Capital | ||||||
5.650%, 05/15/18 | 1,870 | 2,049 | ||||
HCA | ||||||
9.625%, 11/15/16 | 15 | 15 | ||||
7.500%, 11/15/95 | 3,800 | 2,688 | ||||
6.250%, 02/15/13 | 119 | 114 | ||||
5.750%, 03/15/14 | 3,090 | 2,727 | ||||
Humana | ||||||
7.200%, 06/15/18 | 870 | 880 | ||||
Roche Holdings | ||||||
6.000%, 03/01/19 (B) | 3,612 | 4,021 | ||||
Schering-Plough | ||||||
6.550%, 09/15/37 (C) | 488 | 594 | ||||
6.000%, 09/15/17 | 365 | 408 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 85 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Tenet Healthcare | ||||||
8.875%, 07/01/19 (B) (C) | $ | 1,695 | $ | 1,788 | ||
7.375%, 02/01/13 | 336 | 333 | ||||
UnitedHealth Group | ||||||
6.875%, 02/15/38 | 1,226 | 1,353 | ||||
6.000%, 06/15/17 | 860 | 898 | ||||
WellPoint | ||||||
6.800%, 08/01/12 | 1,000 | 1,090 | ||||
5.875%, 06/15/17 | 2,190 | 2,312 | ||||
5.250%, 01/15/16 | 465 | 474 | ||||
Wyeth | ||||||
5.950%, 04/01/37 | 2,680 | 2,951 | ||||
| 30,586 | ||||||
Industrials — 2.0% | ||||||
American Airlines Pass Through Trust 2009-1A | ||||||
10.375%, 07/02/19 (C) | 2,000 | 2,185 | ||||
American Airlines, Ser 1999-1 | ||||||
7.024%, 10/15/09 | 3,630 | 3,621 | ||||
Boeing | ||||||
4.875%, 02/15/20 | 1,380 | 1,424 | ||||
Burlington Northern Santa Fe | ||||||
6.750%, 07/15/11 | 1,610 | 1,752 | ||||
Cedar Brakes I LLC | ||||||
8.500%, 02/15/14 (B) | 1,135 | 1,130 | ||||
Cedar Brakes II LLC | ||||||
9.875%, 09/01/13 (B) | 1,807 | 1,832 | ||||
Complete Production Services | ||||||
8.000%, 12/15/16 | 1,005 | 915 | ||||
Continental Airlines | ||||||
9.000%, 07/08/16 | 3,000 | 3,150 | ||||
Continental Airlines, Ser 1997, Cl 4A | ||||||
6.900%, 01/02/18 | 1,552 | 1,443 | ||||
Continental Airlines, Ser 1999-2 | ||||||
7.256%, 03/15/20 | 2,822 | 2,709 | ||||
Continental Airlines, Ser A | ||||||
5.983%, 04/19/22 (C) | 2,036 | 1,924 | ||||
Delta Air Lines | ||||||
6.821%, 08/10/22 | 1,663 | 1,539 | ||||
6.619%, 03/18/11 | 256 | 250 | ||||
Delta Air Lines, Ser 2001-1 | ||||||
7.111%, 09/18/11 | 6,850 | 6,679 | ||||
General Electric | ||||||
5.000%, 02/01/13 | 1,140 | 1,203 | ||||
Hutchison Whampoa International 09 | ||||||
5.750%, 09/11/19 (B) | 765 | 769 | ||||
4.625%, 09/11/15 (B) | 2,300 | 2,283 | ||||
JetBlue Airways 2004-2 G-1 Pass Through Trust | ||||||
1.258%, 08/15/16 (A) | 3,744 | 2,780 | ||||
Kansas City Southern de Mexico | ||||||
12.500%, 04/01/16 (B) | 800 | 884 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
L-3 Communications, Ser B | ||||||
6.375%, 10/15/15 | $ | 520 | $ | 525 | ||
RailAmerica | ||||||
9.250%, 07/01/17 (B) | 1,260 | 1,320 | ||||
Systems 2001 Asset Trust | ||||||
6.664%, 09/15/13 (B) | 1,049 | 1,041 | ||||
Teekay | ||||||
8.875%, 07/15/11 | 1,785 | 1,836 | ||||
Terex | ||||||
7.375%, 01/15/14 | 80 | 79 | ||||
Tyco International | ||||||
6.875%, 01/15/21 | 3,366 | 3,778 | ||||
United AirLines, Ser A-3 | ||||||
8.390%, 01/21/11 | 576 | — | ||||
United Parcel Service | ||||||
4.500%, 01/15/13 (C) | 2,190 | 2,348 | ||||
| 49,399 | ||||||
Information Technology — 0.2% | ||||||
Cisco Systems | ||||||
5.900%, 02/15/39 | 618 | 669 | ||||
Dell | ||||||
5.875%, 06/15/19 (C) | 408 | 437 | ||||
Freescale Semiconductor | ||||||
10.125%, 12/15/16 | 60 | 40 | ||||
8.875%, 12/15/14 | 85 | 65 | ||||
Hewlett-Packard | ||||||
4.750%, 06/02/14 | 1,472 | 1,580 | ||||
International Business Machines | ||||||
7.625%, 10/15/18 (C) | 280 | 345 | ||||
Sungard Data Systems | ||||||
10.250%, 08/15/15 (C) | 725 | 740 | ||||
| 3,876 | ||||||
Materials — 1.1% | ||||||
Alcoa | ||||||
6.000%, 07/15/13 (C) | 2,860 | 2,985 | ||||
Barrick | ||||||
6.950%, 04/01/19 (C) | 2,750 | 3,220 | ||||
CodelCo | ||||||
4.750%, 10/15/14 (B) | 470 | 495 | ||||
Dow Chemical | ||||||
8.550%, 05/15/19 | 1,712 | 1,925 | ||||
4.850%, 08/15/12 | 1,145 | 1,191 | ||||
Freeport-McMoRan Copper & Gold | ||||||
8.375%, 04/01/17 | 4,790 | 5,095 | ||||
International Paper | ||||||
7.500%, 08/15/21 | 540 | 572 | ||||
PPG Industries | ||||||
6.650%, 03/15/18 | 435 | 474 | ||||
5.750%, 03/15/13 | 435 | 460 | ||||
Rio Tinto Finance USA | ||||||
6.500%, 07/15/18 | 3,480 | 3,742 | ||||
5.875%, 07/15/13 (C) | 913 | 984 | ||||
| 86 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Rio Tinto Finance USA | ||||||
9.000%, 05/01/19 | $ | 783 | $ | 961 | ||
Steel Dynamics | ||||||
6.750%, 04/01/15 (C) | 810 | 776 | ||||
Teck Resources | ||||||
10.750%, 05/15/19 | 180 | 209 | ||||
10.250%, 05/15/16 | 90 | 102 | ||||
9.750%, 05/15/14 | 105 | 115 | ||||
Vale Overseas | ||||||
6.875%, 11/21/36 | 1,520 | 1,573 | ||||
5.625%, 09/15/19 | 430 | 437 | ||||
Westlake Chemicals | ||||||
6.625%, 01/15/16 (C) | 610 | 573 | ||||
Weyerhaeuser | ||||||
6.750%, 03/15/12 | 310 | 323 | ||||
| 26,212 | ||||||
Sovereign — 0.6% | ||||||
Brazilian Government International Bond | ||||||
7.125%, 01/20/37 | 1,155 | 1,377 | ||||
5.625%, 01/07/41 | 565 | 551 | ||||
Poland Government International Bond | ||||||
6.375%, 07/15/19 | 570 | 640 | ||||
Province of Ontario Canada | ||||||
4.100%, 06/16/14 | 3,146 | 3,326 | ||||
4.000%, 10/07/19 | 1,405 | 1,403 | ||||
Republic of Korea | ||||||
7.125%, 04/16/19 | 2,613 | 3,065 | ||||
RSHB Capital | ||||||
6.299%, 05/15/17 (B) | 700 | 668 | ||||
Russian Foreign Bond — Eurobond | ||||||
7.500%, 03/31/30 | 160 | 174 | ||||
Societe Financement de l’Economie Francaise | ||||||
2.875%, 09/22/14 (B) | 2,810 | 2,822 | ||||
South Africa Government International Bond | ||||||
6.875%, 05/27/19 | 453 | 505 | ||||
United Mexican States MTN, Ser A | ||||||
7.500%, 04/08/33 | 176 | 209 | ||||
6.750%, 09/27/34 | 968 | 1,065 | ||||
| 15,805 | ||||||
Telecommunication Services — 2.2% | ||||||
America Movil | �� | |||||
5.625%, 11/15/17 | 440 | 455 | ||||
AT&T | ||||||
6.500%, 09/01/37 (C) | 1,380 | 1,483 | ||||
6.450%, 06/15/34 | 625 | 659 | ||||
5.500%, 02/01/18 | 1,870 | 1,951 | ||||
5.100%, 09/15/14 (C) | 2,200 | 2,372 | ||||
AT&T Mobility LLC | ||||||
6.500%, 12/15/11 | 1,455 | 1,599 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
BellSouth | ||||||
4.750%, 11/15/12 (C) | $ | 170 | $ | 181 | ||
British Telecommunications | ||||||
8.875%, 12/15/30 | 807 | 1,034 | ||||
British Telecommunications PLC | ||||||
8.375%, 12/15/10 | 1,250 | 1,346 | ||||
Citizens Communications | ||||||
7.125%, 03/15/19 | 170 | 160 | ||||
Cricket Communications | ||||||
7.750%, 05/15/16 (B) | 840 | 853 | ||||
Deutsche Telekom International Finance | ||||||
5.750%, 03/23/16 | 1,920 | 2,036 | ||||
France Telecom | ||||||
7.750%, 03/01/11 | 634 | 686 | ||||
Intelsat | ||||||
9.250%, 08/15/14 | 280 | 287 | ||||
Intelsat Jackson Holdings | ||||||
9.500%, 06/15/16 (C) | 180 | 189 | ||||
Koninklijke | ||||||
8.000%, 10/01/10 | 650 | 690 | ||||
Level 3 Financing | ||||||
9.250%, 11/01/14 | 450 | 397 | ||||
New Cingular Wireless Services | ||||||
8.125%, 05/01/12 | 1,595 | 1,820 | ||||
Qwest | ||||||
7.500%, 10/01/14 | 1,321 | 1,334 | ||||
Rogers Communications | ||||||
7.875%, 05/01/12 | 550 | 617 | ||||
6.800%, 08/15/18 | 450 | 506 | ||||
6.750%, 03/15/15 | 1,015 | 1,141 | ||||
6.375%, 03/01/14 | 2,131 | 2,353 | ||||
5.500%, 03/15/14 | 371 | 397 | ||||
Sprint Capital | ||||||
8.750%, 03/15/32 | 660 | 624 | ||||
8.375%, 03/15/12 | 2,430 | 2,521 | ||||
6.900%, 05/01/19 | 100 | 90 | ||||
Telecom Italia Capital | ||||||
6.999%, 06/04/18 | 2,080 | 2,299 | ||||
6.200%, 07/18/11 | 1,730 | 1,842 | ||||
5.250%, 11/15/13 | 790 | 831 | ||||
5.250%, 10/01/15 | 90 | 93 | ||||
4.950%, 09/30/14 | 1,250 | 1,294 | ||||
Telefonica Emisiones | ||||||
5.984%, 06/20/11 | 765 | 815 | ||||
Telefonica Europe | ||||||
7.750%, 09/15/10 | 1,925 | 2,036 | ||||
Verizon Communications | ||||||
6.100%, 04/15/18 | 2,095 | 2,263 | ||||
5.500%, 02/15/18 | 1,920 | 2,013 | ||||
Verizon New Jersey, Ser A | ||||||
7.850%, 11/15/29 | 1,135 | 1,258 | ||||
5.875%, 01/17/12 | 2,175 | 2,338 | ||||
Verizon New York, Ser A | ||||||
6.875%, 04/01/12 | 660 | 718 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 87 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Verizon Wireless Capital | ||||||
8.500%, 11/15/18 (B) | $ | 815 | $ | 1,018 | ||
7.375%, 11/15/13 (B) (C) | 2,438 | 2,800 | ||||
5.550%, 02/01/14 (B) | 376 | 406 | ||||
3.750%, 05/20/11 (B) | 2,805 | 2,894 | ||||
Virgin Media Finance PLC | ||||||
9.125%, 08/15/16 | 70 | 72 | ||||
Vodafone Group PLC | ||||||
5.350%, 02/27/12 | 400 | 428 | ||||
| 53,199 | ||||||
Utilities — 2.6% | ||||||
AES | ||||||
8.000%, 10/15/17 (C) | 1,595 | 1,613 | ||||
Aquila | ||||||
11.875%, 07/01/12 | 2,535 | 2,928 | ||||
Baltimore Gas & Electric | ||||||
6.125%, 07/01/13 | 360 | 391 | ||||
Calpine Construction Finance | ||||||
8.000%, 06/01/16 (B) | 975 | 999 | ||||
Dominion Resources | ||||||
8.875%, 01/15/19 | 2,150 | 2,720 | ||||
4.750%, 12/15/10 | 935 | 967 | ||||
DPL | ||||||
6.875%, 09/01/11 | 1,033 | 1,112 | ||||
Duke Energy | ||||||
6.300%, 02/01/14 | 943 | 1,043 | ||||
Duke Energy Carolinas | ||||||
6.250%, 01/15/12 | 2,000 | 2,180 | ||||
5.625%, 11/30/12 | 1,470 | 1,623 | ||||
Edison Mission Energy | ||||||
7.750%, 06/15/16 | 500 | 438 | ||||
7.625%, 05/15/27 | 420 | 300 | ||||
Enel Finance International | ||||||
6.000%, 10/07/39 (B) | 1,080 | 1,074 | ||||
5.125%, 10/07/19 (B) | 650 | 647 | ||||
Energy Future Holdings | ||||||
11.250%, 11/01/17 (C) | 12,721 | 8,396 | ||||
10.875%, 11/01/17 | 40 | 30 | ||||
Exelon | ||||||
5.625%, 06/15/35 | 2,720 | 2,622 | ||||
Exelon Generation | ||||||
6.250%, 10/01/39 | 580 | 592 | ||||
5.200%, 10/01/19 | 290 | 293 | ||||
FirstEnergy Solutions | ||||||
6.800%, 08/15/39 (B) | 860 | 912 | ||||
6.050%, 08/15/21 (B) | 1,060 | 1,095 | ||||
4.800%, 02/15/15 (B) | 345 | 355 | ||||
FirstEnergy, Ser B | ||||||
6.450%, 11/15/11 | 23 | 25 | ||||
FirstEnergy, Ser C | ||||||
7.375%, 11/15/31 | 2,995 | 3,357 | ||||
Florida Power | ||||||
6.400%, 06/15/38 | 240 | 284 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
KCP&L Greater Missouri Operations | ||||||
8.270%, 11/15/21 | $ | 2,700 | $ | 2,692 | ||
Nevada Power, Ser A | ||||||
8.250%, 06/01/11 | 1,815 | 1,975 | ||||
Nisource Finance | ||||||
6.800%, 01/15/19 | 2,261 | 2,315 | ||||
NRG Energy | ||||||
7.250%, 02/01/14 | 1,610 | 1,582 | ||||
Oncor Electric Delivery | ||||||
6.800%, 09/01/18 | 2,000 | 2,301 | ||||
Pacific Gas & Electric | ||||||
8.250%, 10/15/18 (C) | 210 | 267 | ||||
6.050%, 03/01/34 | 2,110 | 2,347 | ||||
5.800%, 03/01/37 | 800 | 866 | ||||
Pacificorp | ||||||
6.250%, 10/15/37 | 788 | 910 | ||||
5.650%, 07/15/18 | 605 | 661 | ||||
Power Contract Financing | ||||||
6.256%, 02/01/10 (B) | 508 | 513 | ||||
Progress Energy | ||||||
6.850%, 04/15/12 | 511 | 556 | ||||
Public Service of New Mexico | ||||||
7.950%, 05/15/18 | 1,805 | 1,821 | ||||
PVNGS II Funding | ||||||
8.000%, 12/30/15 | 2,554 | 2,714 | ||||
Sempra Energy | ||||||
9.800%, 02/15/19 | 200 | 256 | ||||
South Carolina Electric & Gas | ||||||
6.500%, 11/01/18 | 215 | 248 | ||||
Southern California Edison | ||||||
6.000%, 01/15/34 | 1,505 | 1,704 | ||||
Texas-New Mexico Power | ||||||
9.500%, 04/01/19 (B) | 2,880 | 3,540 | ||||
Virginia Electric and Power | ||||||
8.875%, 11/15/38 | 205 | 292 | ||||
| 63,556 | ||||||
Total Corporate Obligations | 829,909 | |||||
ASSET-BACKED SECURITIES — 5.9% | ||||||
Automotive — 0.3% | ||||||
AmeriCredit Prime Automobile Receivable, Ser 2007-1, Cl A3 | ||||||
5.270%, 11/08/11 | 503 | 506 | ||||
Bank of America Auto Trust, Cl A4 | ||||||
3.030%, 10/15/16 (B) | 572 | 574 | ||||
Daimler Chrysler Auto Trust, Ser 2007-A, Cl A4 | ||||||
5.280%, 03/08/13 | 1,056 | 1,107 | ||||
Daimler Chrysler Auto Trust, Ser 2008-B | ||||||
1.248%, 07/08/11 (A) | 37 | 37 | ||||
Harley-Davidson Motorcycle Trust, Cl A4 | ||||||
3.320%, 02/15/17 | 379 | 386 | ||||
| 88 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Harley-Davidson Motorcycle Trust, Ser 2008-1, Cl A3A | ||||||
4.250%, 02/15/13 | $ | 747 | $ | 768 | ||
Harley-Davidson Motorcycle Trust, Ser 2009-1, Cl A4 | ||||||
5.000%, 01/15/17 | 951 | 998 | ||||
Honda Auto Receivables Owner Trust, Cl A4 | ||||||
3.300%, 09/15/15 | 1,354 | 1,382 | ||||
Hyundai Auto Receivables Trust, Cl A4 | ||||||
3.150%, 03/15/16 | 577 | 577 | ||||
Nissan Auto Receivables Owner Trust, Ser 2009-A, Cl A4 | ||||||
4.740%, 08/17/15 | 515 | 546 | ||||
Triad Auto Receivables Owner Trust, Ser 2006-B, Cl A3 | ||||||
5.410%, 08/12/11 | 367 | 369 | ||||
Triad Auto Receivables Owner Trust, Ser 2006-C, Cl A3 | ||||||
5.260%, 11/14/11 | 178 | 179 | ||||
World Omni Auto Receivables Trust, Ser 2009-A, Cl A4 | ||||||
5.120%, 05/15/14 | 530 | 562 | ||||
| 7,991 | ||||||
Credit Cards — 0.6% | ||||||
American Express Credit Account Master Trust, Cl A | ||||||
1.509%, 03/15/17 (A) | 1,642 | 1,672 | ||||
BA Credit Card Trust, Cl A12 | ||||||
0.263%, 03/15/14 (A) | 411 | 404 | ||||
Capital One Multi-Asset Execution Trust, Ser 2006-A11, Cl A11 | ||||||
0.409%, 06/17/19 (A) | 1,307 | 1,211 | ||||
Capital One Multi-Asset Execution Trust, Ser 2008-A3, Cl A3 | ||||||
5.050%, 02/15/16 | 2,288 | 2,468 | ||||
Discover Card Master Trust I, Ser 2005-4, Cl A2 | ||||||
0.333%, 06/16/15 (A) | 252 | 243 | ||||
Discover Card Master Trust I, Ser 2006-3, Cl A1 | ||||||
0.349%, 03/15/14 (A) | 300 | 295 | ||||
Discover Card Master Trust, Ser 2007-A2, Cl A2 | ||||||
3.159%, 06/15/15 (A) | 1,407 | 1,370 | ||||
MBNA Credit Card Master Note Trust, Cl A5 | ||||||
0.303%, 10/15/15 (A) | 448 | 433 | ||||
MBNA Master Credit Card Trust, Ser 1997-B , Cl A | ||||||
0.403%, 08/15/14 (A) | 2,753 | 2,693 | ||||
Target Credit Card Master Trust, Cl A | ||||||
0.306%, 10/27/14 (A) | 3,516 | 3,441 | ||||
| 14,230 | ||||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Mortgage Related Securities — 1.4% | ||||||
ABS Home Equity Loan Trust, | ||||||
0.783%, 11/25/31 (A) | $ | 403 | $ | 262 | ||
AFC Home Equity Loan Trust, Ser 1998-1, Cl 1A2 | ||||||
0.979%, 04/25/28 (A) | 94 | 60 | ||||
AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A | ||||||
0.554%, 03/25/30 (A) | 3,597 | 1,231 | ||||
Asset-Backed Securities Home Equity, Ser 2003-HE4, Cl M2 | ||||||
3.319%, 08/15/33 (A) | 165 | 55 | ||||
Bear Stearns Asset-Backed Securities Trust, Ser 2000-2, Cl M2 | ||||||
8.280%, 08/25/30 | 5,146 | 4,522 | ||||
Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE2, Cl 1A1 | ||||||
0.414%, 03/25/37 (A) | 3,897 | 3,398 | ||||
BNC Mortgage Loan Trust, Ser 2007-1, Cl A2 | ||||||
0.374%, 03/25/37 (A) | 1,650 | 1,367 | ||||
BNC Mortgage Loan Trust, Ser 2007-1, Cl M1 | ||||||
0.554%, 03/25/37 (A) | 6,300 | 64 | ||||
Centex Home Equity, Ser 2006-A, Cl AV4 | ||||||
0.496%, 06/25/36 (A) | 4,917 | 2,378 | ||||
Citigroup Mortgage Loan Trust, Ser 2007-AHL1, Cl A2A | ||||||
0.286%, 12/25/36 (A) | 346 | 289 | ||||
Conseco Finance, Ser 2001-D, Cl A5 | ||||||
6.190%, 11/15/32 (A) | 1,393 | 1,220 | ||||
Contimortgage Home Equity Trust, Ser 1997-1, Cl A9 | ||||||
7.050%, 03/15/28 | 10 | 10 | ||||
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9 | ||||||
7.090%, 04/15/28 | 16 | 15 | ||||
Countrywide Asset-Backed Certificates, Ser 2007-S2, Cl A2 | ||||||
5.649%, 05/25/37 (A) | 2,143 | 1,077 | ||||
EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1 | ||||||
0.716%, 05/25/39 (A) (B) | 1,615 | 1,214 | ||||
Equivantage Home Equity Loan Trust, Ser 1997-2, Cl A3 | ||||||
7.775%, 07/25/28 | 6 | 4 | ||||
LB-UBS Commercial Mortgage Trust, Ser 200-C4, Cl A2 | ||||||
7.370%, 08/15/26 | 228 | 233 | ||||
Morgan Stanley Capital I, Ser 2007-HE2, Cl A2A | ||||||
0.354%, 01/25/37 (A) | 180 | 166 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 89 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Morgan Stanley Dean Witter Capital I, Ser 2003-NC4, Cl M2 | ||||||
3.314%, 04/25/33 (A) | $ | 83 | $ | 34 | ||
Morgan Stanley Home Equity Loans, Ser 2007-1, Cl A1 | ||||||
0.364%, 12/25/36 (A) | 167 | 155 | ||||
Nationstar Home Equity Loan Trust, Ser 2007-C, Cl 2AV2 | ||||||
0.444%, 06/25/37 (A) | 5,500 | 2,892 | ||||
Option One Mortgage Loan Trust, Ser 2001-4, Cl A | ||||||
0.914%, 01/25/32 (A) | 374 | 283 | ||||
Option One Mortgage Loan Trust, Ser 2007-14, Cl 2A3 | ||||||
0.496%, 01/25/37 (A) | 9,500 | 3,314 | ||||
Option One Mortgage Loan Trust, Ser 2007-6, Cl 2A4 | ||||||
0.564%, 07/25/37 (A) | 4,574 | 1,590 | ||||
Residential Funding Mortgage Securities II, Ser 2000-HI1, Cl AI7 | ||||||
8.290%, 02/25/25 | 1,542 | 1,260 | ||||
Soundview Home Equity Loan Trust, Ser 2006-EQ2, Cl A3 | ||||||
0.474%, 01/25/37 (A) | 6,450 | 2,196 | ||||
Soundview Home Equity Loan Trust, Ser 2007-OPT1, Cl 2A1 | ||||||
0.394%, 06/25/37 (A) | 2,562 | 1,931 | ||||
Terwin Mortgage Trust, | ||||||
4.000%, 08/25/35 (A) (B) (H) | 651 | 600 | ||||
Terwin Mortgage Trust, | ||||||
4.500%, 03/25/37 (A) (B) (H) | 3,932 | 606 | ||||
Terwin Mortgage Trust, Ser 2006-4SL, Cl A1 | ||||||
4.500%, 05/25/37 (A) (B) (H) | 3,842 | 670 | ||||
Terwin Mortgage Trust, Ser 2006-6, Cl 1A2 | ||||||
4.750%, 07/25/37 (A) (H) | 7,600 | 514 | ||||
Terwin Mortgage Trust, Ser 2006-6, Cl 1A1 | ||||||
4.500%, 07/25/37 (A) (H) | 3,456 | 329 | ||||
Truman Capital Mortgage Loan Trust, Ser 2006-1, Cl A | ||||||
0.574%, 03/25/36 (A) (B) | 460 | 161 | ||||
Wells Fargo Home Equity Trust, Ser 2004-2, Cl M8B | ||||||
5.000%, 05/25/34 (A) (B) (H) | 330 | 50 | ||||
| 34,150 | ||||||
Other Asset-Backed Securities — 3.6% | ||||||
Bank America Manufactured Housing Contract Trust, Ser 1997-1, Cl M | ||||||
6.800%, 01/10/28 | 3,310 | 3,151 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Carrington Mortgage Loan Trust, Ser 2007-RFC1, Cl A1 | ||||||
0.296%, 07/27/09 (A) | $ | 2,911 | $ | 2,465 | ||
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2002-1, Cl 2A2 | ||||||
0.814%, 03/25/32 (A) | 1,469 | 836 | ||||
Citicorp Residential Mortgage Securities, Ser 2006-1, Cl A2 | ||||||
5.682%, 07/25/36 | 128 | 127 | ||||
Citicorp Residential Mortgage Securities, Ser 2007-1, Cl A5 | ||||||
6.046%, 03/25/37 | 1,970 | 1,301 | ||||
Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1 | ||||||
8.130%, 08/15/31 (A) | 1,099 | 993 | ||||
Conseco Finance Securitizations, Ser 2000-4, Cl A6 | ||||||
8.310%, 05/01/32 (A) | 1,245 | 941 | ||||
Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1 | ||||||
0.914%, 06/25/33 (A) | 38 | 18 | ||||
Countrywide Asset-Backed Certificates, Ser 2005-17, Cl 1AF3 | ||||||
5.711%, 05/25/36 (A) | 6,450 | 2,514 | ||||
Countrywide Asset-Backed Certificates, Ser 2005-4, Cl MV1 | ||||||
0.706%, 10/25/35 (A) | 5,150 | 4,260 | ||||
Countrywide Asset-Backed Certificates, Ser 2006-10, Cl MV1 | ||||||
0.574%, 09/25/46 (A) | 10,450 | 362 | ||||
Countrywide Home Equity Loan Trust, Ser 2004-K, Cl A2 | ||||||
0.619%, 02/15/34 (A) | 1,155 | 487 | ||||
Countrywide Home Equity Loan Trust, Ser 2005-F, Cl 2A | ||||||
0.559%, 12/15/35 (A) | 2,048 | 710 | ||||
Countrywide Home Equity Loan Trust, Ser 2007-GW, Cl A | ||||||
0.869%, 11/15/28 (A) | 11,533 | 5,039 | ||||
Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A | ||||||
5.600%, 09/25/31 | 748 | 682 | ||||
Credit-Based Asset Servicing and Securitization, Ser 2007-CB4, Cl A1A | ||||||
0.404%, 04/25/37 (A) | 2,025 | 1,620 | ||||
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2 | ||||||
5.261%, 04/25/37 (B) | 1,358 | 1,114 | ||||
Embarcadero Aircraft Securitization Trust, Ser 2000-A, Cl A1 | ||||||
0.753%, 08/15/25 (A) (B) | 3,897 | 1,325 | ||||
First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2005-FF10, Cl A4 | ||||||
0.634%, 11/25/35 (A) | 6,777 | 4,267 | ||||
| 90 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2006-FFA, Cl A3 | ||||||
0.434%, 09/25/26��(A) | $ | 4,567 | $ | 503 | ||
First Horizon ABS Trust, Ser 2004-HE2, Cl A | ||||||
0.534%, 02/25/34 (A) | 1,534 | 1,153 | ||||
Green Tree Financial, Ser 1993-4, Cl A5 | ||||||
7.050%, 01/15/19 | 263 | 262 | ||||
Green Tree Financial, Ser 1996-5, Cl A6 | ||||||
7.750%, 07/15/27 | 810 | 802 | ||||
GSAMP Trust, Ser 2003-SEA, Cl A1 | ||||||
0.714%, 02/25/33 (A) | 3,049 | 1,699 | ||||
HSI Asset Securitization Trust, Ser 2005-I1, Cl 2A3 | ||||||
0.604%, 11/25/35 (A) | 5,763 | 4,518 | ||||
Lehman XS Trust, Ser 2005-5N, Cl 1A1 | ||||||
0.614%, 11/25/35 (A) | 4,677 | 2,472 | ||||
Lehman XS Trust, Ser 2006-GP1, Cl A4A | ||||||
0.644%, 05/25/46 (A) | 5,569 | 493 | ||||
Lehman XS Trust, Ser 2007-1, Cl WF1 | ||||||
7.000%, 01/25/37 | 2,510 | 1,431 | ||||
Lehman XS Trust, Ser 2007-9, Cl 1A1 | ||||||
0.434%, 05/25/37 (A) | 8,745 | 6,199 | ||||
Master Specialized Loan Trust, Ser 2007-2, Cl A | ||||||
0.664%, 05/25/37 (A) (B) | 8,625 | 3,019 | ||||
Merrill Lynch Mortgage Investors, Ser 2005-SL3, Cl A1 | ||||||
0.544%, 07/25/36 (A) | 342 | 214 | ||||
Merrill Lynch Mortgage Investors, Ser 2006-WMC2, Cl A2D | ||||||
5.895%, 03/25/37 | 5,058 | 1,861 | ||||
Merrill Lynch Mortgage Investors, Ser 2007-MLN1, Cl M1 | ||||||
0.714%, 03/25/37 (A) | 3,010 | 25 | ||||
Merrill Lynch Mortgage Investors, Ser 2007-SL1, Cl A1 | ||||||
0.614%, 02/25/37 (A) | 6,173 | 136 | ||||
Mid-State Trust, Ser 11, Cl A1 | ||||||
4.864%, 07/15/38 | 3,451 | 2,943 | ||||
Morgan Stanley Dean Witter Capital Heloc Trust, Ser 2005-1, Cl A | ||||||
0.504%, 07/25/17 (A) | 566 | 260 | ||||
Nelnet Student Loan Trust, Ser 2008-4, Cl A4 | ||||||
2.572%, 04/25/24 (A) | 2,740 | 2,807 | ||||
Oncor Electric Delivery Transition Bond, Ser 2003-1, Cl A2 | ||||||
4.030%, 02/15/12 | 534 | 541 | ||||
Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1 | ||||||
1.409%, 12/25/33 (A) | 188 | 111 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Residential Asset Mortgage Products, Ser 2003-RS2, Cl AII | ||||||
0.994%, 03/25/33 (A) | $ | 63 | $ | 35 | ||
Saco I, Ser 2005-9, Cl A1 | ||||||
0.564%, 12/25/35 (A) | 870 | 208 | ||||
Saco I, Ser 2005-WM3, Cl A1 | ||||||
0.834%, 09/25/35 (A) | 894 | 257 | ||||
Saco I, Ser 2006-6, Cl A1 | ||||||
0.444%, 06/25/36 (A) | 2,865 | 274 | ||||
SLC Student Loan Trust, Cl A4A | ||||||
1.899%, 12/15/32 (A) | 1,698 | 1,713 | ||||
SLC Student Loan Trust, Ser 2006-2, Cl B | ||||||
0.859%, 12/15/39 (A) | 5,250 | 2,807 | ||||
SLM Student Loan Trust, Cl A4L | ||||||
0.449%, 09/17/18 (A) | 258 | 255 | ||||
SLM Student Loan Trust, Cl A2 | ||||||
0.754%, 01/25/19 (A) | 1,054 | 1,049 | ||||
SLM Student Loan Trust, Cl A4 | ||||||
2.204%, 07/25/23 (A) | 851 | 882 | ||||
0.594%, 10/25/22 (A) | 580 | 573 | ||||
0.519%, 12/15/17 (A) | 204 | 203 | ||||
0.499%, 12/17/18 (A) | 158 | 157 | ||||
SLM Student Loan Trust, Ser 2006-9, Cl B | ||||||
1.322%, 01/25/41 (A) | 4,000 | 3,401 | ||||
SLM Student Loan Trust, Ser 2006-C, Cl C | ||||||
1.019%, 12/15/39 (A) | 4,000 | 326 | ||||
SLM Student Loan Trust, Ser 2008-6, Cl A4 | ||||||
2.192%, 10/25/14 (A) | 405 | 399 | ||||
SLM Student Loan Trust, Ser 2008-8, Cl A4 | ||||||
2.154%, 07/25/22 (A) | 2,324 | 2,375 | ||||
Small Business Administration, Ser 2003-P10A, Cl 1 | ||||||
4.524%, 02/10/13 | 1,262 | 1,301 | ||||
Structured Asset Investment Loan Trust, Ser 2003-BC4, Cl M2 | ||||||
3.314%, 06/25/33 (A) | 109 | 66 | ||||
Structured Asset Securities, Ser 2007-BC2, Cl A2 | ||||||
0.404%, 03/25/37 (A) | 4,560 | 4,254 | ||||
Structured Asset Securities, Ser 2007-BC4, Cl A3 | ||||||
0.564%, 11/25/37 (A) | 4,436 | 3,997 | ||||
Structured Asset Securities, Ser 2007-TC1, Cl A | ||||||
0.614%, 04/25/31 (A) (B) | 432 | 284 | ||||
Swift Master Auto Receivables Trust, Ser 2007-1, Cl A | ||||||
0.419%, 06/15/12 (A) | 733 | 726 | ||||
| 89,203 | ||||||
Total Asset-Backed Securities | 145,574 | |||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 91 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
LOAN PARTICIPATIONS — 1.0% | ||||||
Allison Transmission | ||||||
3.000%, 08/07/14 | $ | 963 | $ | 838 | ||
Aramark | ||||||
3.750%, 01/26/14 (A) | 29 | 27 | ||||
2.156%, 01/31/14 | 430 | 401 | ||||
Charter Communications, Term B Loan | ||||||
6.250%, 03/15/14 (H) | 1,474 | 1,388 | ||||
DAE Aviation Holdings, Term B1 Loan | ||||||
4.240%, 07/31/14 | 287 | 256 | ||||
DAE Aviation Holdings, Term B2 Loan | ||||||
4.240%, 07/31/14 | 282 | 251 | ||||
DaimlerChrysler Financial Services North America, Term B Loan | ||||||
4.250%, 08/03/12 (A) | 980 | 939 | ||||
Enterprise GP Holdings, Term B Loan | ||||||
2.663%, 11/10/14 (A) | 990 | 964 | ||||
First Data, Term B2 Loan | ||||||
3.035%, 10/15/14 | 3,756 | 3,228 | ||||
Harrah’s Operating, Term B2 Loan | ||||||
3.504%, 01/28/15 (A) | 605 | 491 | ||||
IASIS | ||||||
2.246%, 05/01/14 | 683 | 642 | ||||
IASIS (Delayed Draw) | ||||||
2.246%, 05/01/14 | 236 | 222 | ||||
IASIS (Synthetic) | ||||||
2.100%, 05/01/14 | 64 | 60 | ||||
Iconix, Term B Loan | ||||||
2.500%, 05/01/14 | 800 | 768 | ||||
Idearc, Term B Loan | ||||||
3.418%, 11/01/14 | 959 | 405 | ||||
Insight Midwest Holdings LLC, Term B Loan | ||||||
2.260%, 04/06/14 | 675 | 642 | ||||
Las Vegas Sands LLC (Delayed Draw) | ||||||
2.040%, 05/23/14 (A) | 362 | 303 | ||||
Las Vegas Sands LLC, Term B Loan | ||||||
2.040%, 05/23/14 (A) | 1,600 | 1,336 | ||||
Lodgenet Entertainment, Term B Loan | ||||||
2.290%, 04/04/14 | 841 | 745 | ||||
Manor Care, Term B Loan | ||||||
2.746%, 11/15/14 | 972 | 907 | ||||
Petco Animal Supplies, Term B Loan | ||||||
2.520%, 11/15/13 | 980 | 944 | ||||
Regal Cinemas, Term B Loan | ||||||
4.348%, 10/19/10 | 383 | 380 | ||||
SunGuard Extended Term Loan | ||||||
3.933%, 02/28/16 | 1,186 | 1,155 | ||||
Sunguard, Term B Loan | ||||||
2.004%, 08/15/12 | 42 | 39 | ||||
Telesat Canada, Term B Loan | ||||||
3.250%, 10/15/14 | 1,049 | 1,007 | ||||
| Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||
Telesat Canada, Term B Loan | ||||||
3.250%, 10/15/14 | $ | 90 | $ | 86 | ||
Texas Competitive Electric Holdings, Term B2 Loan | ||||||
3.754%, 10/10/14 (A) | 1,960 | 1,559 | ||||
Tribune | ||||||
5.541%, 05/30/09 (A) (D) | 366 | 178 | ||||
United Airlines | ||||||
2.250%, 01/12/14 | 701 | 515 | ||||
Univision Communications, Term B Loan | ||||||
2.532%, 09/15/14 | 2,500 | 2,107 | ||||
UPC | ||||||
3.761%, 10/17/13 | 352 | 338 | ||||
UPC Financing Partnership | ||||||
2.011%, 12/31/14 | 648 | 604 | ||||
Visteon, Term B Loan | ||||||
5.250%, 06/20/13 | 1,000 | 804 | ||||
CMP Susquehanna | ||||||
2.248%, 06/07/13 | 933 | 653 | ||||
Total Loan Participations | 25,182 | |||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.8% | ||||||
FHLMC | ||||||
0.140%, 10/07/09 (E) | 5,435 | 5,435 | ||||
FICO STRIPS, PO | ||||||
0.00%, 02/08/18 to 09/26/19 (E) | 11,780 | 8,100 | ||||
FNMA | ||||||
5.250%, 08/01/12 | 1,860 | 1,988 | ||||
0.130%, 12/16/09 (E) | 1,440 | 1,440 | ||||
0.100%, 01/25/10 (E) | 1,925 | 1,924 | ||||
Total U.S. Government Agency Obligations | 18,887 | |||||
PREFERRED STOCK — 0.0% | ||||||
GMAC Preferred Blocker 7.000%, 12/31/49 (D) | 2 | 988 | ||||
Total Preferred Stock | 988 | |||||
MUNICIPAL BOND — 0.1% | ||||||
North Texas Tollway Authority, RB | ||||||
6.718%, 01/01/49 | 740 | 830 | ||||
Tennessee Valley Authority | ||||||
5.250%, 09/15/39 | 880 | 928 | ||||
Total Municipal Bonds | 1,758 | |||||
| 92 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||
CASH EQUIVALENTS — 3.6% | ||||||
Evergreen Institutional Money Market Fund, 0.13%** | 43,758,664 | $ | 43,758 | |||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.270%**† | 46,045,815 | 46,046 | ||||
Total Cash Equivalents | 89,804 | |||||
COMMERCIAL PAPER — 0.4% | ||||||
BNP Paribas Finance | ||||||
0.250%, 11/23/09 | $ | 1,595 | 1,594 | |||
0.210%, 11/25/09 | 7,035 | 7,033 | ||||
Rabobank USA Financial | ||||||
0.230%, 12/03/09 | 1,570 | 1,569 | ||||
Total Commercial Paper (Cost $10,196) ($ Thousands) | 10,196 | |||||
U.S. TREASURY OBLIGATIONS — 10.5% | ||||||
U.S. Treasury Bills (E) | ||||||
0.175%, 10/15/09 | 5,825 | 5,825 | ||||
0.144%, 11/19/09 | 13,215 | 13,214 | ||||
0.135%, 12/10/09 | 41,625 | 41,620 | ||||
0.125%, 12/03/09 | 1,615 | 1,615 | ||||
U.S. Treasury Bonds | ||||||
8.875%, 02/15/19 | 1,595 | 2,306 | ||||
7.125%, 02/15/23 (C) | 624 | 837 | ||||
5.375%, 02/15/31 (C) | 8,767 | 10,416 | ||||
4.500%, 08/15/39 (C) | 10,258 | 11,059 | ||||
4.250%, 05/15/39 | 5,261 | 5,443 | ||||
3.500%, 02/15/39 (C) | 28,574 | 25,886 | ||||
U.S. Treasury Bond TIPS | ||||||
3.875%, 04/15/29 | 6,980 | 11,772 | ||||
3.625%, 04/15/28 | 6,550 | 10,781 | ||||
2.375%, 01/15/25 to 01/15/27 (C) | 18,873 | 21,995 | ||||
2.000%, 01/15/16 to 01/15/26 (C) | 7,171 | 8,054 | ||||
1.750%, 01/15/28 | 12,937 | 12,742 | ||||
1.625%, 01/15/15 | 820 | 942 | ||||
U.S. Treasury Notes | ||||||
3.625%, 08/15/19 (C) | 5,968 | 6,126 | ||||
3.125%, 05/15/19 (C) | 4,725 | 4,649 | ||||
3.000%, 08/31/16 to 09/30/16 | 6,455 | 6,482 | ||||
2.750%, 02/15/19 (C) | 16,096 | 15,360 | ||||
2.625%, 07/31/14 | 2,313 | 2,352 | ||||
2.375%, 08/31/14 to 09/30/14 | 14,748 | 14,798 | ||||
1.875%, 06/15/12 to 04/30/14 | 2,200 | 2,183 | ||||
1.500%, 07/15/12 | 134 | 135 | ||||
1.375%, 09/15/12 | 508 | 507 | ||||
1.000%, 07/31/11 to 08/31/11 | 1,476 | 1,480 | ||||
0.875%, 05/31/11 (C) | 14,445 | 14,479 | ||||
U.S. Treasury STRIPS (E) | ||||||
3.785%, 11/15/27 | 5,155 | 2,396 | ||||
| Description | Face Amount ($ Thousands)/ Shares/Contracts | Market Value ($ Thousands) | ||
3.469%, 05/15/18 | $ | 2,310 | $ | 1,723 | ||||
Total U.S. Treasury Obligations (Cost $247,789) ($ Thousands) | 257,177 | |||||||
AFFILIATED PARTNERSHIP — 5.1% |
| |||||||
SEI Liquidity Fund, L.P., | 128,974,880 | 125,103 | ||||||
Total Affiliated Partnership | 125,103 | |||||||
Total Investments — 112.7% | $ | 2,776,660 | ||||||
WRITTEN OPTIONS* — 0.0% | ||||||||
December 2009 U.S. Long Bond Future Call, Expires 11/21/09, Strike Price $121.00 | (183 | ) | (469 | ) | ||||
March 2010 90 Day Euro$ Future Call, Expires 03/13/10, Strike Price $99.00 | (79 | ) | (23 | ) | ||||
March 2010 Euro$ Future Call, Expires 03/16/10, Strike Price $99.50 | (84 | ) | (105 | ) | ||||
March 2010 Euro$ Future Put, Expires 03/16/10, Strike Price $99.13 | (127 | ) | (46 | ) | ||||
Total Written Options |
| (643 | ) | |||||
Notional Amount | ||||||||
WRITTEN SWAPTIONS — (0.1)% |
| |||||||
U.S. Swaption Call, Deutsche Bank* | (32,010 | ) | (786 | ) | ||||
U.S. Swaption Put, Deutsche Bank* | (32,010 | ) | (1,573 | ) | ||||
Total Written Swaptions (Premiums Received $(2,471)) ($ Thousands) |
| (2,359 | ) | |||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
| Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | ||||||
90-Day Euro$ | 335 | Mar-2010 | $ | 589 | |||||
90-Day Euro$ | 84 | Jun-2010 | 113 | ||||||
90-Day Euro$ | (17 | ) | Sep-2010 | (1 | ) | ||||
90-Day Euro$ | (17 | ) | Dec-2010 | (124 | ) | ||||
90-Day Euro$ | (17 | ) | Mar-2011 | (112 | ) | ||||
90-Day Euro$ | (17 | ) | Jun-2011 | (101 | ) | ||||
U.S. 10-Year Treasury Note | (169 | ) | Dec-2009 | (266 | ) | ||||
U.S. 2-Year Treasury Note | 101 | Dec-2009 | 120 | ||||||
U.S. 5-Year Treasury Note | 1,067 | Dec-2009 | 1,363 | ||||||
U.S. Long Treasury Bond | 247 | Dec-2009 | 719 | ||||||
| $ | 2,300 | ||||||||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 93 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2009
A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2009, is as follows:
| Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
11/19/09 | EUR | 7,805 | USD | 11,240 | $ | (168 | ) | |||||
11/19/09 | GBP | 12,750 | USD | 21,241 | 856 | |||||||
11/19/09 | USD | 11,178 | EUR | 7,805 | 230 | |||||||
11/19/09 | USD | 21,220 | GBP | 12,750 | (835 | ) | ||||||
| $ | 83 | |||||||||||
A summary of outstanding swap agreements held by the Fund at September 30, 2009, is as follows (see Note 2 in Notes to Financial Statements):
| Credit Default Swaps | |||||||||||||||||
| Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($Thousands) | |||||||||||
| Bank of America | CMBX-NA-AJ 1 Index | BUY | (0.84 | )% | 10/12/52 | $ | 6,325 | $ | (2,349 | ) | |||||||
| Bank of America | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/52 | 2,750 | (1,046 | ) | |||||||||
| Bank of America | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/52 | 6,635 | (2,464 | ) | |||||||||
| Bank of America | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/52 | 2,900 | (1,104 | ) | |||||||||
| Barclays Bank PLC | ABX.HE.PENAAA 07-2 Index | SELL | 0.76 | 01/25/38 | (2,500 | ) | (41 | ) | |||||||||
| Barclays Bank PLC | ABX.HE.PENAAA 07-2 Index | SELL | 0.76 | 01/25/38 | (2,000 | ) | (14 | ) | |||||||||
| Barclays Bank PLC | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/52 | 2,590 | (999 | ) | |||||||||
| Citigroup | ABX.HE.AAA 06-2 Index | SELL | 0.11 | 05/25/46 | (1,350 | ) | (284 | ) | |||||||||
| Citigroup | ABX.HE.AAA 07-1 Index | SELL | 0.09 | 08/25/37 | (5,795 | ) | (3,027 | ) | |||||||||
| Citigroup | ABX.HE.PENAAA 07-2 Index | SELL | 0.76 | 01/25/38 | (2,900 | ) | 68 | ||||||||||
| Citigroup | ABX.HE.PENAAA 07-2 Index | SELL | 0.76 | 01/25/38 | (8,250 | ) | 357 | ||||||||||
| Citigroup | Arrow Electric, 6.875%, 06/01/18 | BUY | (0.82 | ) | 03/20/14 | 965 | (8 | ) | |||||||||
| Citigroup | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/52 | 5,220 | (1,965 | ) | |||||||||
| Citigroup | Darden��Restaurants Inc., 6.000%, 08/15/35 | BUY | (2.73 | ) | 03/20/14 | 440 | (28 | ) | |||||||||
| Citigroup | Darden Restaurants Inc., 7.125%, 02/01/16 | BUY | (2.40 | ) | 03/20/15 | 800 | (43 | ) | |||||||||
| Citigroup | DR Horton Inc., 5.375%, 6/15/12 | BUY | (1.00 | ) | 09/20/16 | 520 | — | ||||||||||
| Citigroup | DR Horton Inc., 5.375%, 6/15/12 | BUY | (1.00 | ) | 09/20/16 | 480 | — | ||||||||||
| Citigroup | Hewlett Packard, 5.400%, 03/01/17 | BUY | (0.72 | ) | 03/20/14 | 965 | (21 | ) | |||||||||
| Citigroup | Home Depot, 5.875%, 12/16/36 | BUY | (2.67 | ) | 03/20/14 | 2,900 | (257 | ) | |||||||||
| Citigroup | KB Home 5.750%, 02/01/14 | BUY | (1.00 | ) | 09/20/16 | 520 | 1 | ||||||||||
| Citigroup | KB Home 5.750%, 2/1/14 | BUY | (1.00 | ) | 09/20/16 | 480 | 1 | ||||||||||
| Citigroup | Lowes Cos. Inc., 8.250%, 06/01/10 | BUY | (1.20 | ) | 03/20/14 | 3,025 | (80 | ) | |||||||||
| Citigroup | Nordstrom Inc., 6.950%, 03/15/28 | BUY | (3.15 | ) | 03/20/14 | 240 | (17 | ) | |||||||||
| Credit Suisse | ABX.HE.AA 06-2 Index | SELL | 0.17 | 05/25/46 | (2,423 | ) | (257 | ) | |||||||||
| Credit Suisse | ABX.HE.AA 06-2 Index | SELL | 0.17 | 05/25/46 | (3,325 | ) | (376 | ) | |||||||||
| Credit Suisse | ABX.HE.AAA 07-1 Index | SELL | 0.09 | 08/25/37 | (2,000 | ) | (288 | ) | |||||||||
| Credit Suisse | CMBX-NA-AJ 1 Index | BUY | (0.84 | ) | 10/12/52 | 7,885 | (2,959 | ) | |||||||||
| Credit Suisse | General Electric Corp., 5.625%, 09/15/17 | SELL | 6.55 | 12/20/10 | (1,480 | ) | 94 | ||||||||||
| Credit Suisse | Pulte Homes, Inc., 5.250%, 1/15/14 | BUY | (1.00 | ) | 09/20/16 | 1,500 | (12 | ) | |||||||||
| Credit Suisse | Toll Brothers Inc., 5.150%, 05/15/15 | BUY | (1.00 | ) | 09/20/16 | 1,210 | 17 | ||||||||||
| Credit Suisse | Toll Brothers Inc., 5.150%, 05/15/15 | BUY | (1.00 | ) | 09/20/16 | 4,885 | 68 | ||||||||||
| Deutsche Bank | Centex Corporation, 5.250%, 06/15/15 | BUY | (4.40 | ) | 12/20/13 | 125 | (19 | ) | |||||||||
| Deutsche Bank | Darden Restaurants Inc., 6.000%, 08/15/35 | BUY | (2.25 | ) | 03/20/14 | 1,075 | (46 | ) | |||||||||
| Deutsche Bank | Darden Restaurants Inc., 7.125%, 02/01/16 | BUY | (2.25 | ) | 03/20/13 | 400 | (15 | ) | |||||||||
| Deutsche Bank | DR Horton Inc., 5.375%, 6/15/12 | BUY | (1.00 | ) | 09/20/16 | 410 | (7 | ) | |||||||||
| Deutsche Bank | DR Horton Inc., 5.375%, 6/15/12 | BUY | (1.00 | ) | 09/20/16 | 375 | (6 | ) | |||||||||
| Deutsche Bank | Kohl’s Corporation, 6.250%, 12/15/17 | BUY | (1.00 | ) | 12/20/14 | 655 | — | ||||||||||
| Deutsche Bank | Kohl’s Corporation, 6.250%, 12/15/17 | BUY | (1.00 | ) | 12/20/14 | 655 | 1 | ||||||||||
| Deutsche Bank | Kohl’s Corporation, 6.250%, 12/15/17 | BUY | (1.00 | ) | 12/20/14 | 600 | — | ||||||||||
| Deutsche Bank | Kohl’s Corporation, 6.250%, 12/15/17 | BUY | (1.00 | ) | 12/20/14 | 600 | — | ||||||||||
| Deutsche Bank | Nordstrom Inc., 6.950%, 03/15/28 | BUY | (2.10 | ) | 03/20/14 | 1,325 | (36 | ) | |||||||||
| Deutsche Bank | Pulte Homes, Inc., 5.250%, 1/15/14 | BUY | (1.00 | ) | 09/20/16 | 2,200 | (14 | ) | |||||||||
| Deutsche Bank | Pulte Homes, Inc., 5.250%, 1/15/14 | BUY | (1.00 | ) | 09/20/16 | 1,500 | 16 | ||||||||||
| Deutsche Bank | Target Corporation, 4.000%, 6/15/13 | BUY | (1.00 | ) | 12/20/14 | 655 | 2 | ||||||||||
| Deutsche Bank | Target Corporation, 4.000%, 6/15/13 | BUY | (1.00 | ) | 12/20/14 | 655 | 2 | ||||||||||
| Deutsche Bank | Target Corporation, 4.000%, 6/15/13 | BUY | (1.00 | ) | 12/20/14 | 600 | 2 | ||||||||||
| Deutsche Bank | Target Corporation, 4.000%, 6/15/13 | BUY | (1.00 | ) | 12/20/14 | 600 | 2 | ||||||||||
| Goldman Sachs | ABX.HE.AA 06-2 Index | SELL | 0.17 | 05/25/46 | (2,375 | ) | (257 | ) | |||||||||
| Goldman Sachs | DR Horton, Inc., 5.375%, 6/15/12 | BUY | (1.00 | ) | 09/20/16 | 405 | (7 | ) | |||||||||
| Goldman Sachs | DR Horton, Inc., 5.375%, 6/15/12 | BUY | (1.00 | ) | 09/20/16 | 370 | (6 | ) | |||||||||
| Goldman Sachs | Pulte Homes, Inc., 5.250%, 1/15/14 | BUY | (1.00 | ) | 09/20/16 | 1,150 | (4 | ) | |||||||||
| Greenwich Capital Markets | ABX.HE.AA 06-2 Index | SELL | 0.17 | 05/25/46 | (1,900 | ) | (201 | ) | |||||||||
| JPMorgan Chase Bank | CDX.IG HVOL.12 Index | SELL | 5.00 | 06/20/14 | (3,400 | ) | 289 | ||||||||||
| 94 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Credit Default Swaps | |||||||||||||||||
| Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount (Thousands) | Net Unrealized Appreciation (Depreciation) ($Thousands) | |||||||||||
| Merrill Lynch | Centex Corporation, 5.250%, 06/15/15 | BUY | (3.56 | )% | 12/20/12 | $ | 1,350 | $ | (130 | ) | |||||||
| Merrill Lynch | Centex Corporation, 5.250%, 06/15/15 | BUY | (3.65 | ) | 12/20/12 | 925 | (91 | ) | |||||||||
| Morgan Stanley | ABX.HE.AAA 07-1 Index | SELL | 0.09 | 08/25/37 | (1,700 | ) | (344 | ) | |||||||||
| Morgan Stanley | ABX.HE.AAA 07-1 Index | SELL | 0.09 | 08/25/37 | (3,800 | ) | (738 | ) | |||||||||
| Morgan Stanley | Darden Restaurants Inc., 7.125%, 02/01/16 | BUY | (2.25 | ) | 03/20/13 | 400 | (15 | ) | |||||||||
| Morgan Stanley | Berkshire Hathaway, 4.625%, 10/15/13 | SELL | 4.00 | 03/20/11 | (2,800 | ) | 122 | ||||||||||
| $ | (18,533 | ) | |||||||||||||||
| Interest Rate Swaps | |||||||||||||
| Counterparty | Fund Pays | Fund Receives | Termination Date | Notional Amount (Thousands) | Net Unrealized Depreciation ($Thousands) | ||||||||
| JPMorgan Chase Bank | 2.91% | 3-Month LIBOR | 02/28/14 | $ | 44,100,000 | $ | (518 | ) | |||||
Percentages are based on a Net Assets of $2,464,404 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Investment in Affiliated Security (see Note 5). |
| ‡ | Real Estate Investment Trust. |
| (A) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effects as of September 30, 2009. The date reported on the Schedule of Investments is the maturity date. The effective date may be shorter. |
| (B) | 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 be sold only 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. |
| (C) | This security or a partial position of this security is on loan at September 30, 2009 (see Note 9). The total value of securities on loan at September 30, 2009 was $124,183 ($ Thousands). |
| (D) | Security in default on interest payments. |
| (E) | Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
| (F) | This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2009 was $125,103 ($ Thousands). |
| (G) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2009 was $1,767 ($ Thousands) and represented 0.07% of Net Assets. |
| (H) | Security considered illiquid. The total market value of such securities as of September 30, 2009 was $19,766 ($ Thousands) and represented 0.80% of Net Assets. |
ABS — Asset-Backed Security
ARM — Adjustable Rate Mortgage
Cl — Class
CMO — Collateralized Mortgage Obligation
EUR — Euro
FHLMC — Federal Home Loan Mortgage Corporation
FICO — Financing Corporation
FNMA — Federal National Mortgage Association
GBP — British Pound Sterling
GNMA — Government National Mortgage Association
IO — Interest Only — face amount represents notional amount
LLC — Limited Liability Company
L.P. — Limited Partnership
MTN — Medium Term Note
PLC — Public Limited Company
PO — Principal Only
Ser — Series
STRIPS — Separately Traded Registered Interest and Principal Securities
TBA — To Be Announced
TIPS — Treasury Inflation Protected Security
USD — United States Dollar
Amounts designated as “—” are $O or have been rounded to $O.
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 95 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Concluded)
September 30, 2009
The following is a summary of the inputs used as of September 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):
| Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||
Mortgage-Backed Securities | $ | — | $ | 1,267,303 | $ | 4,779 | $ | 1,272,082 | ||||
Corporate Obligations | — | 826,759 | 3,150 | 829,909 | ||||||||
U.S. Treasury Obligations | — | 257,177 | — | 257,177 | ||||||||
Asset-Backed Securities | — | 145,574 | — | 145,574 | ||||||||
U.S. Government Agency Obligations | — | 18,887 | — | 18,887 | ||||||||
Preferred Stock | — | 988 | — | 988 | ||||||||
Municipal Bond | — | 1,758 | — | 1,758 | ||||||||
Loan Participations | — | 25,182 | — | 25,182 | ||||||||
Commercial Paper | — | 10,196 | — | 10,196 | ||||||||
Cash Equivalents | 89,804 | — | — | 89,804 | ||||||||
Affiliated Partnership | — | 125,103 | — | 125,103 | ||||||||
Total Investments in Securities | $ | 89,804 | $ | 2,678,927 | $ | 7,929 | $ | 2,776,660 | ||||
| Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options | $ | (643 | ) | $ | — | $ | — | $ | (643 | ) | ||||||
Swaptions | — | — | (2,359 | ) | (2,359 | ) | ||||||||||
Futures* | 2,300 | — | — | 2,300 | ||||||||||||
Forwards* | — | 83 | — | 83 | ||||||||||||
Credit Default Swaps* | — | $ | (18,533 | ) | — | (18,533 | ) | |||||||||
Interest Rate Swaps* | — | (518 | ) | — | (518 | ) | ||||||||||
Total Other Financial Instruments | $ | 1,657 | $ | (18,968 | ) | $ | (2,359 | ) | $ | (19,670 | ) | |||||
| * | Futures, Forwards and Swaps are valued at the unrealized appreciation (depreciation) on the instrument. |
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
| Corporate Obligations | Mortgage-Backed Securities | Swaption | |||||||||
Beginning balance as of October 1, 2008 | $ | — | $ | 5,384 | $ | — | |||||
Accrued discounts/premiums | — | 78 | — | ||||||||
Realized gain/(loss) | — | 142 | — | ||||||||
Change in unrealized appreciation/(depreciation) | — | (412 | ) | 112 | |||||||
Net purchases/sales | — | (416 | ) | (2,471 | ) | ||||||
Net transfer in and/or out of Level 3 | 3,150 | 3 | — | ||||||||
Ending balance as of September 30, 2009 | $ | 3,150 | $ | 4,779 | $ | (2,359 | ) | ||||
Changes in unrealized gains/(losses) included in earnings related to securities held at reporting date. | $ | — | $ | (412 | ) | $ | — | ||||
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
| 96 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
MORTGAGE-BACKED SECURITIES — 54.2% | ||||||
Agency Mortgage-Backed Obligations — 41.7% | ||||||
FHLMC | ||||||
11.000%, 02/17/21 | $ | 769 | $ | 847 | ||
10.000%, 03/17/26 to 10/01/30 | 2,000 | 2,286 | ||||
7.500%, 02/01/38 to 09/01/38 | 2,207 | 2,398 | ||||
6.500%, 10/01/31 to 09/01/38 | 4,344 | 4,648 | ||||
6.000%, 02/01/18 to 09/01/38 | 7,072 | 7,523 | ||||
5.500%, 01/01/18 to 03/01/38 | 11,358 | 11,996 | ||||
5.000%, 03/01/34 to 02/01/39 | 12,661 | 13,131 | ||||
4.500%, 11/01/33 to 09/01/35 | 806 | 820 | ||||
4.000%, 10/01/33 | 761 | 753 | ||||
FHLMC ARM | ||||||
6.505%, 02/01/37 (A) | 1,186 | 1,253 | ||||
6.379%, 10/01/37 (A) | 948 | 997 | ||||
6.376%, 10/01/37 (A) | 170 | 180 | ||||
6.360%, 12/01/36 (A) | 1,407 | 1,495 | ||||
6.300%, 10/01/36 (A) | 1,406 | 1,492 | ||||
6.175%, 12/01/36 (A) | 1,695 | 1,799 | ||||
6.059%, 10/01/37 (A) | 353 | 371 | ||||
6.054%, 11/01/36 (A) | 410 | 433 | ||||
6.029%, 04/01/37 (A) | 297 | 314 | ||||
6.012%, 03/01/37 (A) | 1,789 | 1,883 | ||||
6.007%, 05/01/37 (A) | 1,279 | 1,352 | ||||
5.997%, 04/01/37 (A) | 1,061 | 1,118 | ||||
5.995%, 01/01/37 (A) | 442 | 469 | ||||
5.967%, 11/01/36 (A) | 2,266 | 2,387 | ||||
5.965%, 01/01/37 (A) | 1,163 | 1,220 | ||||
5.956%, 03/01/38 (A) | 1,482 | 1,567 | ||||
5.910%, 03/01/37 (A) | 48 | 51 | ||||
5.869%, 05/01/37 (A) | 1,654 | 1,751 | ||||
5.841%, 04/01/37 (A) | 667 | 709 | ||||
5.815%, 05/01/37 (A) | 966 | 1,020 | ||||
5.812%, 06/01/37 (A) | 842 | 891 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
5.758%, 03/01/36 (A) | $ | 1,524 | $ | 1,593 | ||
5.730%, 02/01/37 (A) | 196 | 206 | ||||
5.427%, 05/01/38 (A) | 764 | 804 | ||||
FHLMC CMO, Cl D | ||||||
6.500%, 08/15/28 | 679 | 731 | ||||
FHLMC CMO, Cl ZM | ||||||
6.500%, 06/15/32 | 571 | 623 | ||||
FHLMC CMO, Cl 3A | ||||||
7.000%, 02/25/43 | 557 | 612 | ||||
FHLMC CMO, Cl ZA | ||||||
6.500%, 04/15/32 | 727 | 785 | ||||
FHLMC CMO, Cl LK | ||||||
0.613%, 10/15/34 (A) | 561 | 538 | ||||
FHLMC CMO, IO | ||||||
6.347%, 09/15/36 (A) | 1,413 | 154 | ||||
6.207%, 11/15/37 (A) | 1,432 | 147 | ||||
0.000%, 10/15/33 to 10/15/36 | 721 | 608 | ||||
FHLMC CMO, Cl 1A2 | ||||||
7.000%, 07/25/43 | 630 | 692 | ||||
FHLMC CMO, Cl HC | ||||||
6.500%, 02/15/28 | 324 | 345 | ||||
FHLMC CMO, Cl 4A | ||||||
7.500%, 09/25/43 | 829 | 930 | ||||
FHLMC CMO, Cl YT, PO | ||||||
0.000%, 09/15/34 (A) | 91 | 89 | ||||
FHLMC CMO, Cl GK | ||||||
23.655%, 06/15/35 (A) | 148 | 173 | ||||
FHLMC CMO, Cl FC | ||||||
1.246%, 12/15/34 (A) | 193 | 193 | ||||
FHLMC CMO, Cl HP | ||||||
21.027%, 05/15/35 (A) | 137 | 154 | ||||
FHLMC CMO, Cl 1A | ||||||
6.500%, 09/25/43 (A) | 250 | 270 | ||||
FHLMC CMO, Cl SJ | ||||||
8.785%, 10/15/33 (A) | 358 | 313 | ||||
FHLMC CMO, Cl SA | ||||||
14.404%, 06/15/33 (A) | 433 | 482 | ||||
FHLMC CMO, Cl SV | ||||||
8.635%, 11/15/33 (A) | 205 | 191 | ||||
FHLMC CMO, Cl PV | ||||||
6.250%, 10/15/23 | 1,903 | 2,050 | ||||
FHLMC CMO, Cl A5 | ||||||
7.500%, 02/25/42 | 1,023 | 1,140 | ||||
FHLMC CMO STRIPS, | ||||||
5.000%, 08/01/35 | 1,427 | 256 | ||||
FHLMC CMO, Ser 1611, Cl Z | ||||||
6.500%, 11/15/23 | 1,284 | 1,383 | ||||
FHLMC CMO, Ser 2043, Cl CJ | ||||||
6.500%, 04/15/28 | 978 | 1,041 | ||||
FHLMC CMO, Ser 2399, Cl XG | ||||||
6.500%, 01/15/32 | 930 | 1,009 | ||||
FHLMC CMO, Ser 2558, Cl BD | ||||||
5.000%, 01/15/18 | 173 | 184 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 97 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
FHLMC CMO, Ser 2590, Cl BY | ||||||
5.000%, 03/15/18 | $ | 71 | $ | 75 | ||
FHLMC CMO, Ser 2676, Cl CY | ||||||
4.000%, 09/15/18 | 202 | 207 | ||||
FHLMC CMO, Ser 2690, Cl TV | ||||||
4.500%, 11/15/25 | 147 | 152 | ||||
FHLMC CMO, Ser 2727, Cl PW | ||||||
3.570%, 06/15/29 | 62 | 64 | ||||
FHLMC CMO, Ser 2733, Cl ME | ||||||
5.000%, 01/15/34 | 1,080 | 1,111 | ||||
FHLMC CMO, Ser 2765, Cl CT | ||||||
4.000%, 03/15/19 | 117 | 118 | ||||
FHLMC CMO, Ser 2790, Cl TN | ||||||
4.000%, 05/15/24 | 308 | 307 | ||||
FHLMC CMO, Ser 2843, Cl BC | ||||||
5.000%, 08/15/19 | 261 | 277 | ||||
FHLMC CMO, Ser 2875, Cl HB | ||||||
4.000%, 10/15/19 | 45 | 45 | ||||
FHLMC CMO, Ser 2945, Cl SA | ||||||
11.856%, 03/15/20 (A) | 188 | 215 | ||||
FHLMC CMO, Ser 2985, Cl JR | ||||||
4.500%, 06/15/25 | 383 | 390 | ||||
FHLMC CMO, Ser 3028, Cl PG | ||||||
5.500%, 09/15/35 | 175 | 187 | ||||
FHLMC CMO, Ser 3035, Cl PA | ||||||
5.500%, 09/15/35 | 86 | 92 | ||||
FHLMC CMO, Ser 3289, Cl PC | ||||||
5.000%, 12/15/32 | 488 | 506 | ||||
FHLMC CMO, Ser 3372, Cl BD | ||||||
4.500%, 10/15/22 | 262 | 268 | ||||
FHLMC CMO, Ser 3465, Cl HA | ||||||
4.000%, 07/15/17 | 267 | 277 | ||||
FNMA | ||||||
7.500%, 10/01/37 to 11/01/38 | 2,513 | 2,752 | ||||
7.000%, 04/01/32 to 06/01/35 | 1,105 | 1,219 | ||||
6.500%, 05/01/27 to 12/01/37 | 3,205 | 3,453 | ||||
6.000%, 03/01/19 to 11/01/38 | 11,911 | 12,719 | ||||
5.500%, 11/01/17 to 08/01/37 | 42,294 | 44,762 | ||||
5.000%, 01/01/20 to 02/01/39 | 11,096 | 11,517 | ||||
4.500%, 09/01/34 to 11/01/35 | 2,401 | 2,446 | ||||
FNMA TBA | ||||||
6.500%, 12/13/37 | 3,000 | 3,183 | ||||
5.000%, 11/01/37 | 8,000 | 8,233 | ||||
4.500%, 11/15/34 | 500 | 505 | ||||
FNMA ARM | ||||||
6.594%, 09/01/36 (A) | 978 | 1,038 | ||||
6.347%, 09/01/36 (A) | 1,383 | 1,471 | ||||
6.330%, 07/01/37 (A) | 1,416 | 1,513 | ||||
6.297%, 09/01/37 (A) | 349 | 367 | ||||
6.272%, 10/01/36 (A) | 126 | 133 | ||||
6.248%, 02/01/37 (A) | 1,968 | 2,100 | ||||
6.226%, 11/01/37 (A) | 946 | 999 | ||||
6.210%, 06/01/36 (A) | 1,350 | 1,432 | ||||
6.204%, 09/01/37 (A) | 44 | 46 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
6.200%, 08/01/36 (A) | $ | 373 | $ | 394 | ||
6.123%, 09/01/37 (A) | 775 | 822 | ||||
6.118%, 11/01/37 (A) | 197 | 209 | ||||
6.110%, 12/01/36 (A) | 126 | 133 | ||||
6.040%, 05/01/36 (A) | 1,360 | 1,437 | ||||
6.019%, 04/01/36 (A) | 998 | 1,047 | ||||
6.017%, 01/01/37 to 10/01/37 (A) | 478 | 507 | ||||
6.012%, 07/01/37 (A) | 568 | 598 | ||||
5.981%, 04/01/37 (A) | 150 | 159 | ||||
5.961%, 01/01/37 (A) | 1,476 | 1,562 | ||||
5.939%, 01/01/37 (A) | 184 | 195 | ||||
5.925%, 03/01/37 (A) | 88 | 93 | ||||
5.903%, 11/01/36 (A) | 603 | 639 | ||||
5.901%, 04/01/37 (A) | 498 | 527 | ||||
5.890%, 12/01/36 (A) | 749 | 790 | ||||
5.884%, 02/01/37 (A) | 129 | 136 | ||||
5.745%, 05/01/37 (A) | 417 | 439 | ||||
5.726%, 09/01/36 (A) | 503 | 529 | ||||
5.690%, 02/01/39 (A) | 483 | 509 | ||||
5.689%, 05/01/37 (A) | 108 | 114 | ||||
5.680%, 03/01/36 (A) | 573 | 603 | ||||
5.661%, 11/01/36 (A) | 623 | 655 | ||||
5.613%, 11/01/37 (A) | 1,184 | 1,239 | ||||
5.597%, 05/01/37 (A) | 227 | 239 | ||||
5.576%, 12/01/36 (A) | 1,111 | 1,169 | ||||
5.509%, 07/01/37 (A) | 1,335 | 1,406 | ||||
FNMA CMO, Cl BP | ||||||
5.900%, 02/25/15 | 952 | 960 | ||||
FNMA CMO, Cl SM | ||||||
17.198%, 09/25/24 (A) | 568 | 732 | ||||
FNMA CMO, Cl VD | ||||||
6.500%, 05/25/17 | 773 | 827 | ||||
FNMA CMO, Cl A2 | ||||||
0.211%, 12/25/36 (A) | 592 | 558 | ||||
FNMA CMO, Cl US | ||||||
23.664%, 11/25/35 (A) | 1,193 | 1,631 | ||||
FNMA CMO, Cl DP | ||||||
5.000%, 06/25/19 | 1,000 | 1,057 | ||||
FNMA CMO, Cl XT | ||||||
4.500%, 12/25/17 | 1,057 | 1,084 | ||||
FNMA CMO, Cl FA | ||||||
0.646%, 06/25/37 (A) | 797 | 780 | ||||
FNMA CMO, Cl BA | ||||||
7.000%, 03/25/45 | 320 | 350 | ||||
5.250%, 11/25/33 | 331 | 325 | ||||
FNMA CMO | ||||||
6.000%, 10/25/33 | 1,000 | 1,077 | ||||
0.642%, 10/25/16 (A) | 2,528 | 44 | ||||
0.000%, 09/25/32 to 11/25/33 | 778 | 676 | ||||
FNMA CMO, Cl SB | ||||||
16.259%, 08/25/35 (A) | 436 | 509 | ||||
FNMA CMO, Cl PD | ||||||
6.000%, 10/25/36 | 1,000 | 1,082 | ||||
FNMA CMO STRIPS, Ser 360, Cl 2, IO | ||||||
5.000%, 08/01/35 | 2,076 | 379 | ||||
| 98 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
FNMA CMO, Ser 1999-11, Cl Z | ||||||
5.500%, 03/25/29 | $ | 878 | $ | 930 | ||
FNMA CMO, Ser 2001-81, Cl HE | ||||||
6.500%, 01/25/32 | 3,825 | 4,126 | ||||
FNMA CMO, Ser 2002-94, Cl HQ | ||||||
4.500%, 01/25/18 | 219 | 230 | ||||
FNMA CMO, Ser 2003-108, Cl BE | ||||||
4.000%, 11/25/18 | 156 | 159 | ||||
FNMA CMO, Ser 2003-125, Cl AY | ||||||
4.000%, 12/25/18 | 49 | 50 | ||||
FNMA CMO, Ser 2004-60, Cl PA | ||||||
5.500%, 04/25/34 | 165 | 175 | ||||
FNMA CMO, Ser 2004-80, Cl LE | ||||||
4.000%, 11/25/19 | 936 | 946 | ||||
FNMA CMO, Ser 2004-81, Cl KE | ||||||
4.500%, 11/25/19 | 49 | 51 | ||||
FNMA CMO, Ser 2005-58, Cl MA | ||||||
5.500%, 07/25/35 | 140 | 150 | ||||
FNMA CMO, Ser 2005-69, Cl JM | ||||||
4.500%, 08/25/25 | 147 | 149 | ||||
FNMA CMO, Ser 2007-113, Cl DB | ||||||
4.500%, 12/25/22 | 336 | 344 | ||||
FNMA CMO, Ser 2007-77, Cl MH | ||||||
6.000%, 12/25/36 | 645 | 692 | ||||
FNMA CMO, Ser 2008-35, Cl B | ||||||
5.000%, 08/25/23 | 50 | 53 | ||||
FNMA CMO, Ser 30, Cl MA | ||||||
4.250%, 02/25/37 | 1,791 | 1,860 | ||||
FNMA Grantor Trust CMO, Cl A2 | ||||||
7.500%, 12/25/41 | 556 | 611 | ||||
7.000%, 07/25/42 | 565 | 618 | ||||
FNMA Grantor Trust CMO, Cl A1 | ||||||
7.000%, 12/25/41 | 883 | 966 | ||||
6.500%, 11/25/31 | 674 | 720 | ||||
FNMA Grantor Trust CMO, Cl 1A3 | ||||||
7.000%, 02/25/44 | 525 | 575 | ||||
FNMA TBA | ||||||
4.500%, 10/25/39 to 10/25/39 | 4,635 | 4,694 | ||||
FNMA Whole Loan CMO, Cl 1AF1 | ||||||
0.506%, 11/25/46 (A) | 569 | 543 | ||||
0.466%, 02/25/36 (A) | 586 | 564 | ||||
FNMA Whole Loan CMO, Cl 1A3 | ||||||
7.500%, 12/25/45 | 497 | 554 | ||||
FNMA Whole Loan CMO, Cl 2A2 | ||||||
7.000%, 12/25/33 to 02/25/44 | 1,759 | 1,926 | ||||
FNMA Whole Loan CMO, Cl 1A8 | ||||||
4.550%, 06/25/43 | 429 | 432 | ||||
FNMA Whole Loan CMO, Cl 2A | ||||||
7.500%, 12/25/42 | 344 | 384 | ||||
FNMA Whole Loan CMO, Cl 2AF | ||||||
0.466%, 03/25/45 (A) | 480 | 456 | ||||
FNMA Whole Loan CMO, IO | ||||||
7.854%, 06/25/42 (A) | 696 | 82 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
GNMA | ||||||
7.500%, 10/15/37 | $ | 1,265 | $ | 1,368 | ||
6.500%, 12/15/32 to 12/15/35 | 2,584 | 2,759 | ||||
GNMA ARM | ||||||
4.500%, 02/20/34 (A) | 875 | 894 | ||||
3.750%, 12/20/33 (A) | 1,018 | 1,034 | ||||
3.500%, 05/20/36 (A) | 898 | 908 | ||||
GNMA CMO, Cl SV | ||||||
8.754%, 04/20/34 (A) | 547 | 563 | ||||
GNMA CMO, Cl Z | ||||||
7.500%, 12/20/29 | 789 | 820 | ||||
6.500%, 12/20/31 | 822 | 928 | ||||
GNMA CMO, Cl MV | ||||||
6.000%, 04/20/20 | 1,967 | 2,146 | ||||
GNMA CMO, Cl ST | ||||||
7.000%, 09/20/34 (A) | 299 | 298 | ||||
GNMA CMO | ||||||
7.459%, 04/16/38 (A) | 839 | 84 | ||||
7.354%, 09/20/38 (A) | 1,188 | 131 | ||||
6.504%, 03/20/39 (A) | 2,500 | 257 | ||||
6.500%, 03/20/39 | 921 | 111 | ||||
6.309%, 11/16/33 (A) | 898 | 109 | ||||
6.304%, 11/20/37 (A) | 739 | 63 | ||||
6.284%, 12/20/37 (A) | 1,008 | 84 | ||||
6.154%, 12/20/38 (A) | 1,985 | 192 | ||||
6.054%, 03/20/39 (A) | 1,954 | 220 | ||||
6.000%, 12/20/38 | 496 | 71 | ||||
5.954%, 03/20/37 to 06/20/38 (A) | 4,093 | 328 | ||||
5.794%, 02/20/39 (A) | 1,166 | 100 | ||||
0.441%, 04/16/37 (A) | 754 | 728 | ||||
GNMA CMO, Cl SB | ||||||
7.393%, 03/17/33 (A) | 478 | 474 | ||||
GNMA CMO, Ser 2003-86, Cl ZK | ||||||
5.000%, 10/20/33 | 1,008 | 1,028 | ||||
GNMA CMO, Ser 2006-37, Cl JG | ||||||
5.000%, 07/20/36 | 194 | 202 | ||||
GNMA TBA | ||||||
4.500%, 10/15/39 to 10/15/39 | 24,470 | 24,829 | ||||
Vendee Mortgage Trust CMO, Cl ZB | ||||||
7.250%, 02/15/23 | 1,188 | 1,304 | ||||
| 282,323 | ||||||
Mortgage Related Securities — 0.2% | ||||||
JPMorgan Chase Commercial Mortgage Securities, | ||||||
6.260%, 03/15/33 | 183 | 189 | ||||
JPMorgan Chase Commercial Mortgage Securities, Ser CIB4, Cl A3 | ||||||
6.162%, 05/12/34 | 732 | 772 | ||||
Merrill Lynch Mortgage Trust, Ser KEY1, Cl A4 | ||||||
5.236%, 11/12/35 (A) | 666 | 675 | ||||
| 1,636 | ||||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 99 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Non-Agency Mortgage-Backed Obligations — 12.3% | ||||||
American Home Mortgage Investment Trust, Ser 2004-4, Cl 4A | ||||||
4.390%, 02/25/45 (A) | $ | 1,607 | $ | 1,294 | ||
American Tower Trust, | ||||||
5.420%, 04/15/37 (B) | 386 | 382 | ||||
ASG Resecuritization Trust | ||||||
5.837%, 05/24/36 (A) (B) | 452 | 443 | ||||
5.595%, 03/26/37 (A) (B) | 1,405 | 1,342 | ||||
Asset Securitization, Cl A2 | ||||||
7.774%, 10/13/26 (A) | 293 | 312 | ||||
Banc of America Alternative Loan Trust, Cl 3A1 | ||||||
5.500%, 09/25/19 | 202 | 203 | ||||
Banc of America Alternative Loan Trust, Cl 2A1 | ||||||
6.000%, 01/25/34 | 523 | 500 | ||||
Banc of America Alternative Loan Trust, Cl 1A1 | ||||||
6.000%, 01/25/34 | 215 | 205 | ||||
Banc of America Alternative Loan Trust, Cl 1CB2 | ||||||
5.500%, 11/25/33 | 339 | 339 | ||||
Banc of America Alternative Loan Trust, Cl 5A1 | ||||||
5.500%, 02/25/19 | 152 | 145 | ||||
Banc of America Commercial Mortgage, Cl A2 | ||||||
5.309%, 10/10/45 | 225 | 225 | ||||
Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl B | ||||||
6.309%, 06/11/35 | 145 | 148 | ||||
Banc of America Commercial Mortgage Securities, Ser 2003-1, Cl A2 | ||||||
4.648%, 09/11/36 | 164 | 168 | ||||
Banc of America Commercial Mortgage Securities, Ser 2004-2, Cl A5 | ||||||
4.580%, 11/10/38 | 64 | 62 | ||||
Banc of America Commercial Mortgage, | ||||||
4.050%, 11/10/38 | 106 | 106 | ||||
Banc of America Commercial Mortgage, | ||||||
5.317%, 09/10/47 | 85 | 85 | ||||
Banc of America Commercial Mortgage, | ||||||
5.634%, 04/10/49 (A) | 854 | 848 | ||||
Banc of America Funding, Cl 1A7 | ||||||
5.500%, 10/25/34 | 299 | 294 | ||||
Banc of America Mortgage Securities, Cl 1A23 | ||||||
4.500%, 04/25/34 | 337 | 336 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Banc of America Mortgage Securities, Cl 4A1 | ||||||
4.750%, 06/25/19 | $ | 303 | $ | 302 | ||
Banc of America Mortgage Securities, Cl 2A1 | ||||||
0.796%, 05/25/18 (A) | 305 | 289 | ||||
BCAP Trust, Cl 17A1 | ||||||
5.750%, 06/26/37 (B) | 505 | 499 | ||||
BCAP Trust | ||||||
5.500%, 11/26/34 (B) | 1,017 | 956 | ||||
Bear Stearns Commercial Mortgage Securities, Cl A6 | ||||||
4.750%, 02/13/46 (A) | 122 | 121 | ||||
Bear Stearns Commercial Mortgage Securities, Cl AAB | ||||||
4.804%, 09/11/42 | 178 | 182 | ||||
Bear Stearns Commercial Mortgage Securities, Cl A2 | ||||||
6.460%, 10/15/36 | 324 | 342 | ||||
5.286%, 06/11/41 (A) | 229 | 234 | ||||
Bear Stearns Commercial Mortgage Securities, | ||||||
7.780%, 02/15/32 (A) | 254 | 255 | ||||
Bear Stearns Commercial Mortgage Securities, | ||||||
5.610%, 11/15/33 | 96 | 100 | ||||
Bear Stearns Commercial Mortgage Securities, | ||||||
4.720%, 11/11/35 (A) | 178 | 185 | ||||
Bear Stearns Commercial Mortgage Securities, | ||||||
4.830%, 08/15/38 | 253 | 258 | ||||
Bear Stearns Commercial Mortgage Securities, | ||||||
4.240%, 08/13/39 (A) | 72 | 72 | ||||
Bear Stearns Commercial Mortgage Securities, | ||||||
4.825%, 11/11/41 | 373 | 366 | ||||
Bear Stearns Commercial Mortgage Securities, | ||||||
5.405%, 12/11/40 (A) | 1,473 | 1,448 | ||||
Bear Stearns Commercial Mortgage Securities, | ||||||
5.298%, 10/12/42 (A) | 450 | 445 | ||||
Chase Mortgage Finance | ||||||
0.696%, 01/25/34 (A) | 713 | 707 | ||||
0.000%, 10/25/18 | 207 | 175 | ||||
| 100 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Chase Mortgage Finance, Cl 1A1 | ||||||
4.055%, 07/25/37 (A) | $ | 247 | $ | 226 | ||
Citigroup Commercial Mortgage Trust, | ||||||
5.916%, 03/15/49 (A) | 1,422 | 1,335 | ||||
Commercial Mortgage Asset Trust, | ||||||
6.975%, 01/17/32 (A) | 691 | 736 | ||||
Commercial Mortgage Loan Trust, | ||||||
6.220%, 12/10/49 (A) | 2,000 | 1,661 | ||||
Commercial Mortgage Pass Through Certificates, Cl A5 | ||||||
5.446%, 07/10/37 (A) | 249 | 248 | ||||
Commercial Mortgage Pass Through Certificates, Cl A4 | ||||||
4.715%, 03/10/39 | 467 | 458 | ||||
Commercial Mortgage Pass-Through Certificates, | ||||||
6.096%, 07/16/34 (B) | 170 | 179 | ||||
Countrywide Home Loan Mortgage Pass Through Trust, Cl A6 | ||||||
5.250%, 09/25/33 | 350 | 352 | ||||
Countrywide Home Loan Mortgage Pass Through Trust | ||||||
9.455%, 08/25/18 (A) | 133 | 134 | ||||
Countrywide Home Loan Mortgage Pass Through Trust, Cl 2A1 | ||||||
4.500%, 06/25/19 | 359 | 354 | ||||
Credit Suisse Mortgage Capital Certificates, Cl A3 | ||||||
5.467%, 09/15/39 | 1,380 | 1,173 | ||||
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3 | ||||||
5.311%, 12/15/39 | 1,200 | 974 | ||||
CS First Boston Mortgage Securities, Cl A4 | ||||||
5.100%, 08/15/38 (A) | 158 | 154 | ||||
CS First Boston Mortgage Securities, Cl A3 | ||||||
4.813%, 02/15/38 | 1,069 | 1,075 | ||||
CS First Boston Mortgage Securities, Cl 8A1 | ||||||
6.000%, 11/25/18 | 246 | 237 | ||||
CS First Boston Mortgage Securities, Ser 2001-CK1, Cl A3 | ||||||
6.380%, 12/18/35 | 118 | 123 | ||||
CS First Boston Mortgage Securities, Ser 2002-CKN2, Cl A3 | ||||||
6.133%, 04/15/37 | 56 | 59 | ||||
CS First Boston Mortgage Securities, Ser 2002-CKS4, Cl A1 | ||||||
4.485%, 11/15/36 | 6 | 6 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
CS First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2 | ||||||
5.183%, 11/15/36 | $ | 536 | $ | 552 | ||
CS First Boston Mortgage Securities, Ser 2002-CP5, Cl A2 | ||||||
4.940%, 12/15/35 | 94 | 97 | ||||
CS First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 | ||||||
3.535%, 10/25/33 (A) | 1,550 | 1,288 | ||||
CS First Boston Mortgage Securities, Ser 2003-C5, Cl A4 | ||||||
4.900%, 12/15/36 (A) | 200 | 203 | ||||
CS First Boston Mortgage Securities, Ser 2003-CK2, Cl A4 | ||||||
4.801%, 03/15/36 | 118 | 121 | ||||
CS First Boston Mortgage Securities, Ser CPN1, Cl A2 | ||||||
4.597%, 03/15/35 | 80 | 80 | ||||
DLJ Commercial Mortgage, | ||||||
7.180%, 11/10/33 | 211 | 217 | ||||
FHLMC, Ser K003, Cl AAB | ||||||
4.768%, 05/25/18 | 342 | 360 | ||||
First Horizon Alternative Mortgage Securities, Ser 2006-FA6, Cl 2A10 | ||||||
6.000%, 11/25/36 | 112 | 87 | ||||
First Horizon Asset Securities, Cl 2A1 | ||||||
4.500%, 09/25/18 | 362 | 361 | ||||
First Union National Bank Commercial Mortgage, Ser 2000-C2, Cl A2 | ||||||
7.202%, 10/15/32 | 155 | 160 | ||||
First Union National Bank Commercial Mortgage, Ser 2001-C4, Cl B | ||||||
6.417%, 12/12/33 | 178 | 181 | ||||
GE Capital Assurance, | ||||||
5.254%, 05/12/35 (A) (B) | 1,259 | 1,285 | ||||
GE Capital Commercial Mortgage, Cl A1 | ||||||
5.560%, 06/10/38 | 28 | 29 | ||||
GE Capital Commercial Mortgage, Ser 2001-2, Cl A3 | ||||||
6.030%, 08/11/33 | 64 | 65 | ||||
GE Capital Commercial Mortgage, Ser 2002-1A, Cl A3 | ||||||
6.269%, 12/10/35 | 1,516 | 1,608 | ||||
GE Capital Commercial Mortgage, Ser 2002-3A, Cl A2 | ||||||
4.996%, 12/10/37 | 2,000 | 2,065 | ||||
GE Capital Commercial Mortgage, Ser 2005-C4, Cl A4 | ||||||
5.513%, 11/10/45 (A) | 2,141 | 2,044 | ||||
GMAC Commercial Mortgage Securities, Ser 2001-C1, Cl A2 | ||||||
7.724%, 03/15/33 (A) | 243 | 244 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 101 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl A2 | ||||||
5.667%, 05/10/40 (A) | $ | 118 | $ | 123 | ||
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4 | ||||||
5.023%, 04/10/40 | 689 | 704 | ||||
GMAC Mortgage Loan Trust, Cl A4 | ||||||
4.277%, 10/19/33 (A) | 416 | 396 | ||||
Greenwich Capital Commercial Funding | ||||||
5.190%, 04/10/37 (A) | 247 | 252 | ||||
Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AAB | ||||||
4.619%, 08/10/42 | 4,805 | 813 | ||||
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5 | ||||||
5.224%, 04/10/37 (A) | 482 | 453 | ||||
Greenwich Capital Commercial Funding, Cl A6 | ||||||
5.135%, 06/10/36 (A) | 171 | 173 | ||||
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4 | ||||||
6.116%, 07/10/38 (A) | 1,050 | 961 | ||||
GS Mortgage Securities II, | ||||||
6.449%, 08/05/18 (A) (B) | 504 | 534 | ||||
GS Mortgage Securities II, | ||||||
4.751%, 07/10/39 | 1,000 | 938 | ||||
GS Mortgage Securities II, | ||||||
5.560%, 11/10/39 | 1,000 | 879 | ||||
GSR Mortgage Loan Trust, | ||||||
4.477%, 10/25/33 (A) | 1,265 | 1,177 | ||||
Impac Secured Assets CMN Owner Trust, Cl A1 | ||||||
5.500%, 08/25/33 | 203 | 194 | ||||
JPMorgan Chase Commercial Mortgage Securities, Cl A2S | ||||||
5.305%, 01/15/49 | 683 | 653 | ||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB2, Cl A3 | ||||||
6.429%, 04/15/35 | 1,170 | 1,207 | ||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-CIB5, Cl A2 | ||||||
5.161%, 10/12/37 | 130 | 135 | ||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-PM1A, Cl A4 | ||||||
5.326%, 08/12/40 (A) | 40 | 42 | ||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP3, Cl A1 | ||||||
4.655%, 08/15/42 | 22 | 22 | ||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP4, Cl A4 | ||||||
4.918%, 10/15/42 (A) | 177 | 174 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP7 | ||||||
6.051%, 04/15/45 (A) | $ | 228 | $ | 231 | ||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CB19, Cl A2 | ||||||
5.815%, 02/12/49 (A) | 93 | 94 | ||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl A4 | ||||||
5.882%, 02/15/51 (A) | 555 | 472 | ||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl AM | ||||||
6.260%, 02/15/51 (A) | 955 | 677 | ||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LDPX, Cl A3 | ||||||
5.420%, 01/15/49 | 1,915 | 1,614 | ||||
JPMorgan Commercial Mortgage Finance, Ser 2000-C10, Cl A2 | ||||||
7.371%, 08/15/32 (A) | 104 | 104 | ||||
JPMorgan Mortgage Trust, Cl 4A1 | ||||||
4.059%, 08/25/34 (A) | 993 | 956 | ||||
JPMorgan Mortgage Trust, Cl 6A1 | ||||||
4.034%, 08/25/34 (A) | 533 | 494 | ||||
JPMorgan Mortgage Trust, | ||||||
4.502%, 06/25/35 (A) | 1,485 | 1,067 | ||||
LB-UBS Commercial Mortgage Trust | ||||||
5.156%, 02/15/31 | 200 | 188 | ||||
LB-UBS Commercial Mortgage Trust, Cl A5 | ||||||
4.628%, 10/15/29 | 101 | 93 | ||||
LB-UBS Commercial Mortgage Trust, Cl A4 | ||||||
4.568%, 01/15/31 | 700 | 661 | ||||
4.563%, 09/15/26 | 159 | 163 | ||||
4.166%, 05/15/32 | 86 | 85 | ||||
LB-UBS Commercial Mortgage Trust, Cl A2 | ||||||
5.300%, 11/15/38 | 472 | 471 | ||||
LB-UBS Commercial Mortgage Trust, Ser 2002-C2, Cl A4 | ||||||
5.594%, 06/15/31 | 334 | 348 | ||||
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A5 | ||||||
4.853%, 09/15/31 | 179 | 184 | ||||
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl A2 | ||||||
5.084%, 02/15/31 | 445 | 447 | ||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A2 | ||||||
5.318%, 02/15/40 | 248 | 248 | ||||
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A3 | ||||||
5.398%, 02/15/40 | 156 | 151 | ||||
LB-UBS Commercial Mortgage Trust, Ser 200-C4, Cl A2 | ||||||
7.370%, 08/15/26 | 104 | 106 | ||||
| 102 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Master Adjustable Rate Mortgages Trust, Cl 3A6 | ||||||
3.111%, 11/21/34 (A) | $ | 600 | $ | 578 | ||
Master Seasoned Securities Trust, Ser 2004-2, Cl A2 | ||||||
6.500%, 08/25/32 | 1,057 | 1,024 | ||||
MASTR Alternative Loans Trust, Cl 2A1 | ||||||
6.000%, 12/25/33 | 297 | 287 | ||||
Merrill Lynch | ||||||
5.439%, 02/12/39 (A) | 1,810 | 1,824 | ||||
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A | ||||||
5.261%, 02/25/34 (A) | 1,266 | 1,200 | ||||
Merrill Lynch Mortgage Trust, Cl A3A | ||||||
4.949%, 07/12/38 (A) | 171 | 170 | ||||
Merrill Lynch/Countrywide Commercial Mortgage, Ser 2006-4, Cl A3 | ||||||
5.172%, 12/12/49 (A) | 1,400 | 1,179 | ||||
Morgan Stanley Capital I, Cl A4 | ||||||
5.809%, 12/12/49 | 846 | 724 | ||||
5.538%, 06/15/38 (A) | 316 | 313 | ||||
Morgan Stanley Capital I, Cl A31 | ||||||
5.439%, 02/12/44 | 95 | 89 | ||||
Morgan Stanley Capital I, Cl A2 | ||||||
5.374%, 03/12/44 | 1,377 | 1,386 | ||||
Morgan Stanley Capital I, Cl A7 | ||||||
4.970%, 04/14/40 | 639 | 610 | ||||
Morgan Stanley Capital I | ||||||
5.560%, 03/12/44 (A) | 232 | 222 | ||||
5.168%, 01/14/42 | 81 | 81 | ||||
Morgan Stanley Capital I, | ||||||
5.150%, 06/13/41 | 252 | 255 | ||||
Morgan Stanley Capital I, | ||||||
5.037%, 01/14/42 | 526 | 545 | ||||
Morgan Stanley Capital I, | ||||||
4.989%, 08/13/42 | 1,883 | 1,832 | ||||
Morgan Stanley Capital I, | ||||||
5.355%, 11/14/42 (A) | 227 | 237 | ||||
Morgan Stanley Capital I, | ||||||
4.780%, 12/13/41 | 68 | 66 | ||||
Morgan Stanley Capital I, | ||||||
5.162%, 10/12/52 (A) | 300 | 285 | ||||
Morgan Stanley Capital I, | ||||||
5.610%, 04/15/49 | 595 | 586 | ||||
Morgan Stanley Dean Witter Capital I, Cl A2 | ||||||
4.740%, 11/13/36 | 795 | 807 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Morgan Stanley Dean Witter Capital I, Cl A4 | ||||||
5.740%, 12/15/35 | $ | 74 | $ | 78 | ||
Morgan Stanley Dean Witter Capital I | ||||||
6.510%, 04/15/34 | 80 | 84 | ||||
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP5, Cl A4 | ||||||
6.390%, 10/15/35 | 548 | 584 | ||||
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2 | ||||||
4.920%, 03/12/35 | 407 | 412 | ||||
Nomura Asset Securities, Ser 1998-D6, Cl A1C | ||||||
6.690%, 03/15/30 | 473 | 505 | ||||
Prime Mortgage Trust, PO | ||||||
0.000%, 02/25/34 | 95 | 69 | ||||
Residential Accredit Loans, Cl A4 | ||||||
5.500%, 05/25/34 | 268 | 186 | ||||
Residential Accredit Loans, Cl A1 | ||||||
5.000%, 09/25/18 | 310 | 304 | ||||
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 | ||||||
6.500%, 11/25/31 | 1,088 | 1,043 | ||||
Residential Asset Securitization Trust, Cl A4 | ||||||
5.250%, 12/25/17 | 348 | 343 | ||||
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | ||||||
4.305%, 12/25/34 (A) | 1,147 | 890 | ||||
Salomon Brothers Mortgage | ||||||
6.592%, 12/18/33 | 467 | 479 | ||||
Salomon Brothers Mortgage | ||||||
4.467%, 03/18/36 | 186 | 190 | ||||
Structured Asset Securities, Cl A3 | ||||||
0.746%, 06/25/33 (A) | 294 | 267 | ||||
Structured Asset Securities, Cl 3A2 | ||||||
3.630%, 07/25/33 (A) | 414 | 327 | ||||
TIAA Seasoned Commercial Mortgage Trust, Cl A3 | ||||||
6.069%, 08/15/39 (A) | 1,000 | 1,039 | ||||
US Bank, Ser 2007-1, Cl A | ||||||
5.920%, 05/25/12 | 753 | 800 | ||||
Wachovia Bank Commercial Mortgage Trust, Ser 2002-C1A, Cl A4 | ||||||
6.287%, 04/15/34 | 341 | 360 | ||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C5, Cl A2 | ||||||
3.989%, 06/15/35 | 99 | 99 | ||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C6, Cl A3 | ||||||
4.957%, 08/15/35 (A) | 193 | 192 | ||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1 | ||||||
4.241%, 10/15/35 (B) | 53 | 54 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 103 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3 | ||||||
4.445%, 11/15/35 | $ | 192 | $ | 192 | ||
Wachovia Bank Commercial Mortgage Trust, Ser 2004-C11, Cl A4 | ||||||
5.030%, 01/15/41 | 132 | 121 | ||||
WaMu Mortgage Pass Through Certificates, Cl 2A10 | ||||||
16.785%, 06/25/33 (A) | 80 | 81 | ||||
WaMu Mortgage Pass Through Certificates, Cl A1 | ||||||
4.207%, 01/25/35 (A) | 527 | 504 | ||||
3.137%, 06/25/34 (A) | 157 | 149 | ||||
WaMu Mortgage Pass Through Certificates, Cl A2 | ||||||
3.137%, 06/25/34 (A) | 236 | 223 | ||||
WaMu Mortgage Pass Through Certificates, Ser 2004-CB2, Cl 7A | ||||||
5.500%, 08/25/19 | 326 | 322 | ||||
Wells Fargo Mortgage Backed Securities Trust, Cl 2A1 | ||||||
3.827%, 06/25/35 (A) | 341 | 312 | ||||
3.299%, 12/25/34 (A) | 405 | 391 | ||||
3.073%, 09/25/34 (A) | 191 | 179 | ||||
Wells Fargo Mortgage Backed Securities Trust, Cl 3A1 | ||||||
4.222%, 12/25/34 (A) | 226 | 219 | ||||
Wells Fargo Mortgage Backed Securities Trust, Cl 1A1 | ||||||
4.750%, 12/25/18 | 640 | 645 | ||||
Wells Fargo Mortgage Backed Securities Trust, Cl 1A2 | ||||||
3.412%, 10/25/34 (A) | 425 | 410 | ||||
Wells Fargo Mortgage Backed Securities Trust, Cl A6 | ||||||
5.127%, 02/25/33 (A) | 258 | 253 | ||||
Wells Fargo Mortgage Backed Securities Trust, Cl A8 | ||||||
4.854%, 05/25/34 (A) | 250 | 237 | ||||
Wells Fargo Mortgage Backed Securities Trust, Cl 2A2 | ||||||
3.299%, 12/25/34 (A) | 203 | 195 | ||||
Wells Fargo Mortgage Backed Securities Trust, Cl 2A5 | ||||||
4.438%, 10/25/33 (A) | 278 | 273 | ||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl 1A1 | ||||||
4.525%, 06/25/34 (A) | 912 | 876 | ||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-2, Cl 3A1 | ||||||
5.750%, 03/25/36 | 1,536 | 1,344 | ||||
| 83,119 | ||||||
Total Mortgage-Backed Securities (Cost $361,497) ($ Thousands) | 367,078 | |||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
CORPORATE OBLIGATIONS — 19.0% | ||||||
Consumer Discretionary — 0.6% | ||||||
British Sky Broadcasting Group | ||||||
9.500%, 11/15/18 (B) | $ | 778 | $ | 995 | ||
Comcast | ||||||
5.850%, 11/15/15 | 465 | 509 | ||||
Comcast Cable Communications | ||||||
8.375%, 03/15/13 | 512 | 595 | ||||
COX Communications | ||||||
5.450%, 12/15/14 | 70 | 75 | ||||
DirecTV Holdings | ||||||
5.875%, 10/01/19 (B) | 195 | 194 | ||||
Historic TW | ||||||
9.150%, 02/01/23 | 200 | 251 | ||||
News America | ||||||
7.300%, 04/30/28 | 100 | 102 | ||||
7.250%, 05/18/18 | 50 | 55 | ||||
6.900%, 08/15/39 (B) | 210 | 224 | ||||
TCI Communications | ||||||
7.125%, 02/15/28 | 200 | 216 | ||||
Thomson Reuters | ||||||
5.950%, 07/15/13 | 243 | 267 | ||||
4.700%, 10/15/19 | 75 | 75 | ||||
Time Warner Cable | ||||||
8.250%, 04/01/19 | 200 | 242 | ||||
6.750%, 07/01/18 | 360 | 398 | ||||
Viacom | ||||||
6.250%, 04/30/16 | 100 | 108 | ||||
| 4,306 | ||||||
Consumer Staples — 0.4% | ||||||
Altria Group | ||||||
9.700%, 11/10/18 | 535 | 665 | ||||
Anheuser-Busch InBev Worldwide | ||||||
7.750%, 01/15/19 (B) | 514 | 608 | ||||
7.200%, 01/15/14 (B) (C) | 120 | 135 | ||||
Cargill | ||||||
7.350%, 03/06/19 (B) | 250 | 290 | ||||
CVS Caremark | ||||||
6.600%, 03/15/19 | 230 | 259 | ||||
6.125%, 09/15/39 | 275 | 280 | ||||
Diageo Capital | ||||||
7.375%, 01/15/14 | 90 | 104 | ||||
General Mills | ||||||
5.250%, 08/15/13 | 90 | 98 | ||||
Kraft Foods | ||||||
6.125%, 08/23/18 | 225 | 239 | ||||
| 2,678 | ||||||
Energy — 1.9% | ||||||
Anadarko Petroleum | ||||||
8.700%, 03/15/19 | 768 | 918 | ||||
| 104 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Baker Hughes | ||||||
7.500%, 11/15/18 | $ | 205 | $ | 250 | ||
Cenovus Energy | ||||||
5.700%, 10/15/19 (B) | 240 | 246 | ||||
EnCana | ||||||
6.500%, 05/15/19 | 150 | 167 | ||||
Energy Transfer Partners | ||||||
9.000%, 04/15/19 (C) | 495 | 595 | ||||
8.500%, 04/15/14 | 661 | 764 | ||||
Husky Energy | ||||||
7.250%, 12/15/19 | 259 | 297 | ||||
6.800%, 09/15/37 | 96 | 105 | ||||
5.900%, 06/15/14 | 233 | 251 | ||||
Kinder Morgan Energy Partners | ||||||
5.950%, 02/15/18 | 165 | 173 | ||||
Marathon Oil | ||||||
7.500%, 02/15/19 | 100 | 115 | ||||
Nabors Industries | ||||||
6.150%, 02/15/18 (C) | 795 | 797 | ||||
Petrobras International Finance | ||||||
7.875%, 03/15/19 | 976 | 1,126 | ||||
Petro-Canada | ||||||
6.050%, 05/15/18 | 115 | 120 | ||||
Ras Laffan Liquefied Natural Gas III | ||||||
6.332%, 09/30/27 (B) | 250 | 246 | ||||
5.500%, 09/30/14 (B) | 750 | 796 | ||||
4.500%, 09/30/12 (B) | 270 | 280 | ||||
Shell International Finance BV | ||||||
4.300%, 09/22/19 | 300 | 302 | ||||
3.250%, 09/22/15 | 735 | 740 | ||||
Suncor Energy | ||||||
6.500%, 06/15/38 (C) | 405 | 418 | ||||
Total Capital | ||||||
3.125%, 10/02/15 | 920 | 916 | ||||
TransCanada Pipelines | ||||||
6.500%, 08/15/18 | 175 | 197 | ||||
Valero Energy | ||||||
9.375%, 03/15/19 | 209 | 244 | ||||
6.625%, 06/15/37 | 800 | 714 | ||||
Weatherford International | ||||||
6.350%, 06/15/17 | 360 | 383 | ||||
Williams | ||||||
7.875%, 09/01/21 | 1,380 | 1,493 | ||||
7.625%, 07/15/19 | 200 | 216 | ||||
XTO Energy | ||||||
6.250%, 08/01/17 | 100 | 108 | ||||
| 12,977 | ||||||
Financials — 10.4% | ||||||
Allstate Life Global Funding Trusts MTN | ||||||
5.375%, 04/30/13 | 610 | 649 | ||||
American Express | ||||||
8.150%, 03/19/38 (C) | 363 | 443 | ||||
7.250%, 05/20/14 (C) | 592 | 665 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
American Express Credit MTN | ||||||
7.300%, 08/20/13 | $ | 680 | $ | 754 | ||
Associates Corp of North America | ||||||
6.950%, 11/01/18 | 200 | 196 | ||||
AvalonBay Communities MTN | ||||||
5.700%, 03/15/17‡ | 1,300 | 1,328 | ||||
Bank of America | ||||||
7.625%, 06/01/19 | 695 | 783 | ||||
7.375%, 05/15/14 | 1,000 | 1,113 | ||||
6.500%, 08/01/16 | 500 | 526 | ||||
5.750%, 12/01/17 | 330 | 329 | ||||
5.650%, 05/01/18 | 1,370 | 1,353 | ||||
Barclays Bank | ||||||
5.200%, 07/10/14 | 150 | 158 | ||||
5.000%, 09/22/16 | 1,785 | 1,808 | ||||
BB&T MTN | ||||||
4.900%, 06/30/17 | 200 | 197 | ||||
3.850%, 07/27/12 | 150 | 155 | ||||
3.375%, 09/25/13 | 195 | 196 | ||||
Bear Stearns | ||||||
7.250%, 02/01/18 | 1,500 | 1,713 | ||||
BP Capital Markets | ||||||
3.875%, 03/10/15 | 1,440 | 1,488 | ||||
Capital One Bank USA | ||||||
8.800%, 07/15/19 | 325 | 376 | ||||
Capital One Financial | ||||||
7.375%, 05/23/14 | 225 | 251 | ||||
6.750%, 09/15/17 | 70 | 74 | ||||
Caterpillar Financial Services MTN | ||||||
7.150%, 02/15/19 | 110 | 128 | ||||
5.850%, 09/01/17 | 140 | 151 | ||||
Citigroup | ||||||
8.500%, 05/22/19 | 364 | 411 | ||||
8.125%, 07/15/39 | 2,676 | 2,995 | ||||
6.125%, 08/25/36 | 1,200 | 1,030 | ||||
6.125%, 05/15/18 (C) | 492 | 484 | ||||
5.500%, 10/15/14 | 325 | 325 | ||||
Citigroup Funding | ||||||
1.875%, 10/22/12 | 915 | 917 | ||||
Credit Suisse New York MTN | ||||||
6.000%, 02/15/18 | 400 | 419 | ||||
5.000%, 05/15/13 | 463 | 490 | ||||
Credit Suisse NY | ||||||
5.300%, 08/13/19 | 1,685 | 1,728 | ||||
Credit Suisse USA | ||||||
5.125%, 08/15/15 | 1,250 | 1,320 | ||||
Deutsche Bank MTN | ||||||
3.875%, 08/18/14 | 100 | 101 | ||||
Discover Financial Services | ||||||
6.450%, 06/12/17 | 250 | 224 | ||||
ERP Operating | ||||||
5.125%, 03/15/16‡ | 830 | 810 | ||||
Export-Import Bank of Korea | ||||||
5.500%, 10/17/12 | 333 | 351 | ||||
5.875%, 01/14/15 | 500 | 527 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 105 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Farmers Exchange Capital | ||||||
7.200%, 07/15/48 (B) | $ | 1,721 | $ | 1,443 | ||
General Electric Capital MTN | ||||||
6.750%, 03/15/32 | 1,665 | 1,700 | ||||
6.000%, 08/07/19 | 435 | 441 | ||||
5.900%, 05/13/14 | 850 | 911 | ||||
5.625%, 09/15/17 | 700 | 710 | ||||
5.400%, 02/15/17 | 200 | 201 | ||||
1.307%, 05/22/13 (A) | 760 | 712 | ||||
0.645%, 04/10/12 (A) | 500 | 482 | ||||
Goldman Sachs Capital II | ||||||
5.793%, 12/29/49 (A) | 939 | 676 | ||||
Goldman Sachs Group | ||||||
7.500%, 02/15/19 | 488 | 558 | ||||
6.750%, 10/01/37 | 639 | 660 | ||||
6.250%, 09/01/17 (C) | 450 | 477 | ||||
6.150%, 04/01/18 | 250 | 263 | ||||
6.000%, 05/01/14 (C) | 2,800 | 3,045 | ||||
5.450%, 11/01/12 | 654 | 700 | ||||
5.125%, 01/15/15 | 301 | 315 | ||||
3.625%, 08/01/12 | 140 | 144 | ||||
Hartford Financial Services Group MTN | ||||||
6.000%, 01/15/19 | 245 | 233 | ||||
HCP | ||||||
6.700%, 01/30/18‡ | 164 | 158 | ||||
6.300%, 09/15/16‡ | 146 | 141 | ||||
6.000%, 01/30/17‡ | 89 | 83 | ||||
5.650%, 12/15/13‡ | 436 | 431 | ||||
HSBC Finance | ||||||
5.500%, 01/19/16 | 140 | 143 | ||||
4.750%, 07/15/13 | 160 | 163 | ||||
HSBC Holdings PLC | ||||||
6.800%, 06/01/38 (C) | 235 | 263 | ||||
Jackson National Life Global Funding MTN | ||||||
5.375%, 05/08/13 (B) | 150 | 152 | ||||
Jefferies Group | ||||||
6.450%, 06/08/27 | 160 | 134 | ||||
John Deere Capital MTN | ||||||
5.750%, 09/10/18 | 100 | 109 | ||||
JPMorgan Chase | ||||||
5.375%, 10/01/12 | 829 | 892 | ||||
JPMorgan Chase Bank | ||||||
6.000%, 10/01/17 | 1,049 | 1,103 | ||||
JPMorgan Chase Capital XV | ||||||
5.875%, 03/15/35 | 1,645 | 1,462 | ||||
JPMorgan Chase Capital XXV | ||||||
6.800%, 10/01/37 | 451 | 455 | ||||
Lazard Group | ||||||
7.125%, 05/15/15 | 668 | 675 | ||||
6.850%, 06/15/17 | 639 | 630 | ||||
Liberty Mutual Group | ||||||
7.500%, 08/15/36 (B) | 254 | 214 | ||||
Mack-Cali Realty | ||||||
7.750%, 08/15/19‡ | 205 | 211 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Merrill Lynch | ||||||
6.400%, 08/28/17 | $ | 150 | $ | 152 | ||
6.110%, 01/29/37 | 1,405 | 1,336 | ||||
6.050%, 05/16/16 | 920 | 922 | ||||
MetLife | ||||||
6.400%, 12/15/36 | 695 | 587 | ||||
Metropolitan Life Global Funding I | ||||||
2.875%, 09/17/12 (B) | 200 | 199 | ||||
Morgan Stanley | ||||||
7.250%, 04/01/32 | 290 | 336 | ||||
6.625%, 04/01/18 | 1,120 | 1,184 | ||||
6.250%, 08/28/17 | 200 | 208 | ||||
6.000%, 05/13/14 | 922 | 982 | ||||
5.950%, 12/28/17 | 519 | 528 | ||||
5.750%, 08/31/12 | 180 | 193 | ||||
5.625%, 09/23/19 | 355 | 349 | ||||
5.550%, 04/27/17 | 100 | 100 | ||||
5.450%, 01/09/17 | 470 | 471 | ||||
4.750%, 04/01/14 | 620 | 615 | ||||
0.760%, 01/18/11 (A) | 325 | 322 | ||||
National City | ||||||
4.900%, 01/15/15 | 200 | 202 | ||||
National City Bank | ||||||
0.684%, 06/07/17 (A) | 1,300 | 1,042 | ||||
National Rural Utilities Cooperative Finance | ||||||
2.625%, 09/16/12 | 25 | 25 | ||||
New York Life Global Funding | ||||||
4.650%, 05/09/13 (B) | 150 | 158 | ||||
Northern Trust | ||||||
5.500%, 08/15/13 | 200 | 219 | ||||
Power Receivables Financial | ||||||
6.290%, 01/01/12 (B) | 153 | 156 | ||||
Principal Life Income Funding Trusts MTN | ||||||
5.300%, 12/14/12 | 250 | 266 | ||||
Private Export Funding | ||||||
3.050%, 10/15/14 | 185 | 185 | ||||
Prudential Holdings | ||||||
8.695%, 12/18/23 (B) | 1,200 | 1,253 | ||||
Simon Property Group | ||||||
6.750%, 05/15/14‡ (C) | 360 | 386 | ||||
Standard Chartered Bank | ||||||
6.400%, 09/26/17 (B) | 715 | 745 | ||||
Svensk Exportkredit | ||||||
3.250%, 09/16/14 | 1,010 | 1,014 | ||||
Wachovia | ||||||
5.750%, 06/15/17 | 370 | 391 | ||||
Wachovia Bank MTN | ||||||
0.629%, 03/15/16 (A) | 400 | 356 | ||||
WEA Finance | ||||||
7.500%, 06/02/14 (B) | 1,917 | 2,066 | ||||
7.125%, 04/15/18 (B) | 861 | 898 | ||||
6.750%, 09/02/19 (B) | 625 | 632 | ||||
| 106 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Wells Fargo MTN | ||||||
5.375%, 02/07/35 | $ | 2,085 | $ | 2,020 | ||
3.750%, 10/01/14 | 390 | 388 | ||||
Westfield Group | ||||||
5.400%, 10/01/12 (B) | 329 | 338 | ||||
ZFS Finance USA Trust I | ||||||
5.875%, 05/09/32 (A) (B) | 1,100 | 892 | ||||
| 70,172 | ||||||
Government — 0.5% | ||||||
Brazilian Government International Bond | ||||||
7.125%, 01/20/37 | 500 | 596 | ||||
5.625%, 01/07/41 | 245 | 239 | ||||
Mexico Government International Bond MTN | ||||||
6.375%, 01/16/13 | 200 | 219 | ||||
Poland Government International Bond | ||||||
6.375%, 07/15/19 | 250 | 281 | ||||
Province of Ontario Canada | ||||||
4.000%, 10/07/19 | 610 | 609 | ||||
Societe Financement de l’Economie Francaise | ||||||
2.875%, 09/22/14 (B) | 1,190 | 1,195 | ||||
| 3,139 | ||||||
Health Care — 1.0% | ||||||
Aetna | ||||||
6.000%, 06/15/16 | 1,570 | 1,656 | ||||
Amgen | ||||||
6.400%, 02/01/39 | 386 | 442 | ||||
Bristol-Myers Squibb | ||||||
5.450%, 05/01/18 | 245 | 268 | ||||
CareFusion | ||||||
6.375%, 08/01/19 (B) | 320 | 347 | ||||
5.125%, 08/01/14 (B) | 445 | 465 | ||||
4.125%, 08/01/12 (B) (C) | 275 | 282 | ||||
Coventry Health Care | ||||||
5.950%, 03/15/17 | 311 | 279 | ||||
Express Scripts | ||||||
6.250%, 06/15/14 | 64 | 70 | ||||
5.250%, 06/15/12 | 277 | 294 | ||||
Hospira | ||||||
5.550%, 03/30/12 | 100 | 106 | ||||
Roche Holdings | ||||||
6.000%, 03/01/19 (B) | 947 | 1,054 | ||||
Schering-Plough | ||||||
6.550%, 09/15/37 (C) | 202 | 246 | ||||
Teva Pharmaceutical Finance LLC | ||||||
6.150%, 02/01/36 (C) | 830 | 893 | ||||
UnitedHealth Group | ||||||
6.875%, 02/15/38 | 494 | 545 | ||||
| 6,947 | ||||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Industrials — 0.7% | ||||||
Burlington Northern Santa Fe | ||||||
7.290%, 06/01/36 | $ | 90 | $ | 109 | ||
5.750%, 03/15/18 | 440 | 478 | ||||
4.700%, 10/01/19 | 75 | 76 | ||||
Continental Airlines, Ser 1997, Cl 1A | ||||||
7.461%, 04/01/15 (C) | 1,703 | 1,588 | ||||
CSX | ||||||
6.250%, 03/15/18 | 155 | 168 | ||||
FedEx, Ser A3 | ||||||
8.400%, 03/23/10 | 85 | 86 | ||||
Hutchison Whampoa International 09 | ||||||
5.750%, 09/11/19 (B) | 300 | 302 | ||||
4.625%, 09/11/15 (B) | 995 | 988 | ||||
JetBlue Airways 2004-1 G-1 Pass Through Trust | ||||||
0.674%, 12/15/13 (A) | 749 | 614 | ||||
| 4,409 | ||||||
Information Technology — 0.3% | ||||||
Arrow Electronics | ||||||
6.875%, 06/01/18 | 65 | 69 | ||||
Cisco Systems | ||||||
5.900%, 02/15/39 | 417 | 451 | ||||
Dell | ||||||
5.875%, 06/15/19 | 177 | 190 | ||||
Hewlett-Packard | ||||||
4.750%, 06/02/14 | 636 | 683 | ||||
International Business Machines | ||||||
7.625%, 10/15/18 | 115 | 141 | ||||
Oracle | ||||||
5.000%, 07/08/19 | 200 | 211 | ||||
| 1,745 | ||||||
Materials — 0.4% | ||||||
Dow Chemical | ||||||
8.550%, 05/15/19 | 738 | 830 | ||||
4.850%, 08/15/12 | 690 | 717 | ||||
International Paper | ||||||
7.500%, 08/15/21 (C) | 225 | 238 | ||||
Rio Tinto Finance USA | ||||||
5.875%, 07/15/13 (C) | 397 | 428 | ||||
Rio Tinto Finance USA | ||||||
9.000%, 05/01/19 | 332 | 408 | ||||
Vale Overseas | ||||||
5.625%, 09/15/19 | 185 | 188 | ||||
| 2,809 | ||||||
Sovereign — 0.4% | ||||||
Province of Ontario Canada | ||||||
4.100%, 06/16/14 | 1,369 | 1,448 | ||||
Republic of Korea | ||||||
7.125%, 04/16/19 | 1,107 | 1,298 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 107 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
South Africa Government International Bond | ||||||
6.875%, 05/27/19 | $ | 197 | $ | 220 | ||
Tennessee Valley Authority | ||||||
5.250%, 09/15/39 | 40 | 42 | ||||
| 3,008 | ||||||
Telecommunication Services — 1.1% | ||||||
AT&T | ||||||
8.000%, 11/15/31 | 370 | 461 | ||||
BellSouth | ||||||
6.000%, 11/15/34 | 850 | 861 | ||||
BellSouth Telecommunications | ||||||
6.300%, 12/15/15 | 187 | 201 | ||||
British Telecommunications | ||||||
9.625%, 12/15/30 | 228 | 292 | ||||
Deutsche Telekom International Finance BV | ||||||
6.000%, 07/08/19 | 175 | 187 | ||||
France Telecom | ||||||
7.750%, 03/01/11 (C) | 276 | 299 | ||||
GTE | ||||||
8.750%, 11/01/21 | 300 | 376 | ||||
Qwest | ||||||
7.500%, 10/01/14 | 559 | 565 | ||||
Rogers Communications | ||||||
6.375%, 03/01/14 | 914 | 1,009 | ||||
5.500%, 03/15/14 | 149 | 160 | ||||
Telefonica Emisiones | ||||||
5.984%, 06/20/11 | 345 | 368 | ||||
Verizon Communications | ||||||
8.950%, 03/01/39 | 50 | 69 | ||||
8.750%, 11/01/18 | 50 | 62 | ||||
Verizon Global Funding | ||||||
7.750%, 12/01/30 | 100 | 121 | ||||
Verizon Wireless Capital | ||||||
8.500%, 11/15/18 (B) | 350 | 437 | ||||
7.375%, 11/15/13 (B) (C) | 1,062 | 1,219 | ||||
5.550%, 02/01/14 (B) | 164 | 177 | ||||
3.750%, 05/20/11 (B) | 655 | 676 | ||||
| 7,540 | ||||||
Utilities — 1.3% | ||||||
Appalachian Power | ||||||
5.950%, 05/15/33 | 100 | 101 | ||||
Aquila | ||||||
11.875%, 07/01/12 | 380 | 439 | ||||
Carolina Power & Light | ||||||
5.300%, 01/15/19 | 175 | 190 | ||||
Cleveland Electric Illuminating | ||||||
7.880%, 11/01/17 | 170 | 205 | ||||
Dominion Resources | ||||||
8.875%, 01/15/19 | 935 | 1,183 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
DPL | ||||||
6.875%, 09/01/11 | $ | 292 | $ | 314 | ||
Duke Energy | ||||||
6.300%, 02/01/14 | 412 | 456 | ||||
Duke Energy Carolinas | ||||||
7.000%, 11/15/18 | 175 | 209 | ||||
Enel Finance International | ||||||
5.125%, 10/07/19 (B) | 280 | 279 | ||||
Exelon Generation | ||||||
6.250%, 10/01/39 | 250 | 255 | ||||
5.200%, 10/01/19 | 125 | 126 | ||||
FirstEnergy Solutions | ||||||
6.800%, 08/15/39 (B) | 370 | 392 | ||||
6.050%, 08/15/21 (B) | 460 | 475 | ||||
4.800%, 02/15/15 (B) | 150 | 154 | ||||
FPL Group Capital | ||||||
5.350%, 06/15/13 | 280 | 302 | ||||
Georgia Power | ||||||
6.000%, 11/01/13 | 205 | 230 | ||||
Midamerican Energy Holdings | ||||||
5.750%, 04/01/18 | 615 | 665 | ||||
Nevada Power, Ser A | ||||||
8.250%, 06/01/11 | 730 | 794 | ||||
Niagara Mohawk Power | ||||||
4.881%, 08/15/19 (B) | 80 | 82 | ||||
Nisource Finance | ||||||
10.750%, 03/15/16 | 100 | 118 | ||||
Oncor Electric Delivery | ||||||
6.800%, 09/01/18 | 340 | 391 | ||||
Pacificorp | ||||||
6.250%, 10/15/37 | 332 | 383 | ||||
5.650%, 07/15/18 | 175 | 191 | ||||
Progress Energy | ||||||
6.850%, 04/15/12 | 144 | 157 | ||||
Sempra Energy | ||||||
8.900%, 11/15/13 | 180 | 210 | ||||
Virginia Electric and Power | ||||||
5.400%, 04/30/18 | 545 | 583 | ||||
| 8,884 | ||||||
Total Corporate Obligations (Cost $122,391) ($ Thousands) | 128,614 | |||||
ASSET-BACKED SECURITIES — 3.6% | ||||||
Automotive — 0.5% | ||||||
Ally Auto Receivables Trust, Cl A3 | ||||||
2.330%, 06/17/13 (B) | 100 | 100 | ||||
AmeriCredit Prime Automobile Receivable, Ser 2007-1, Cl A3 | ||||||
5.270%, 11/08/11 | 142 | 143 | ||||
Bank of America Auto Trust, Cl A4 | ||||||
3.030%, 10/15/16 (B) | 239 | 240 | ||||
Bank of America Auto Trust, Cl A3 | ||||||
2.130%, 09/15/13 (B) | 100 | 100 | ||||
| 108 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Daimler Chrysler Auto Trust, | ||||||
5.280%, 03/08/13 | $ | 441 | $ | 462 | ||
Daimler Chrysler Auto Trust, Ser 2008-B | ||||||
1.184%, 07/08/11 (A) | 10 | 10 | ||||
Harley-Davidson Motorcycle Trust, Cl A4 | ||||||
3.320%, 02/15/17 | 217 | 221 | ||||
Harley-Davidson Motorcycle Trust, Ser 2008-1, Cl A3A | ||||||
4.250%, 02/15/13 | 211 | 217 | ||||
Harley-Davidson Motorcycle Trust, Ser 2009-1, Cl A4 | ||||||
5.000%, 01/15/17 | 427 | 448 | ||||
Honda Auto Receivables Owner Trust, Cl A4 | ||||||
3.300%, 09/15/15 | 513 | 524 | ||||
Hyundai Auto Receivables Trust, Cl A4 | ||||||
3.150%, 03/15/16 | 240 | 240 | ||||
Nissan Auto Receivables Owner Trust, Ser 2009-A, Cl A4 | ||||||
4.740%, 08/17/15 | 146 | 155 | ||||
Triad Auto Receivables Owner Trust, Ser 2006-B, Cl A3 | ||||||
5.410%, 08/12/11 | 104 | 104 | ||||
Triad Auto Receivables Owner Trust, Ser 2006-C, Cl A3 | ||||||
5.260%, 11/14/11 | 50 | 51 | ||||
World Omni Auto Receivables Trust, Ser 2009-A, Cl A4 | ||||||
5.120%, 05/15/14 | 150 | 159 | ||||
| 3,174 | ||||||
Credit Cards — 0.9% | ||||||
American Express Credit Account Master Trust, Cl A | ||||||
1.509%, 03/15/17 (A) | 726 | 739 | ||||
BA Credit Card Trust, Cl A12 | ||||||
0.263%, 03/15/14 (A) | 171 | 168 | ||||
Capital One Multi-Asset Execution Trust, Ser 2006-A11, Cl A11 | ||||||
0.333%, 06/17/19 (A) | 578 | 536 | ||||
Capital One Multi-Asset Execution Trust, Ser 2008-A3, Cl A3 | ||||||
5.050%, 02/15/16 | 1,047 | 1,129 | ||||
Discover Card Master Trust I, Ser 2005-4, Cl A2 | ||||||
0.333%, 06/16/15 (A) | 71 | 69 | ||||
Discover Card Master Trust I, Ser 2006-3, Cl A1 | ||||||
0.273%, 03/15/14 (A) | 108 | 106 | ||||
Discover Card Master Trust, Ser 2007-A2, Cl A2 | ||||||
0.639%, 06/15/15 (A) | 684 | 666 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
MBNA Credit Card Master Note Trust, Cl A5 | ||||||
0.303%, 10/15/15 (A) | $ | 260 | $ | 251 | ||
MBNA Master Credit Card Trust, Ser 1997-B, Cl A | ||||||
0.403%, 08/15/14 (A) | 1,138 | 1,113 | ||||
Target Credit Card Master Trust, Cl A | ||||||
0.306%, 10/27/14 (A) | 1,528 | 1,496 | ||||
| 6,273 | ||||||
Mortgage Related Securities — 0.9% | ||||||
Aegis Asset-Backed Securities Trust, Ser 2003-3, Cl M1 | ||||||
1.296%, 01/25/34 (A) | 105 | 73 | ||||
Argent Securities, Ser 2003-W5, Cl M1 | ||||||
0.946%, 10/25/33 (A) | 585 | 409 | ||||
Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE2, Cl 1A1 | ||||||
0.346%, 03/25/37 (A) | 1,377 | 1,201 | ||||
Contimortgage Home Equity Trust, Ser 1997-1, Cl A9 | ||||||
7.050%, 03/15/28 | 3 | 3 | ||||
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9 | ||||||
7.090%, 04/15/28 | 5 | 4 | ||||
HFC Home Equity Loan Asset Backed Certificates, Cl A2F | ||||||
5.600%, 03/20/36 | 200 | 202 | ||||
HFC Home Equity Loan Asset Backed Certificates, Cl A1 | ||||||
0.516%, 01/20/35 (A) | 119 | 107 | ||||
0.406%, 01/20/36 (A) | 464 | 393 | ||||
HFC Home Equity Loan Asset Backed Certificates, Cl APT | ||||||
1.446%, 11/20/36 (A) | 178 | 148 | ||||
Morgan Stanley ABS Capital I, Cl M1 | ||||||
0.996%, 01/25/35 (A) | 112 | 93 | ||||
Morgan Stanley Capital I, | ||||||
1.296%, 09/25/33 (A) | 1,794 | 1,222 | ||||
Morgan Stanley Capital I, | ||||||
0.286%, 01/25/37 (A) | 51 | 47 | ||||
Morgan Stanley Home Equity Loans, Ser 2007-1, Cl A1 | ||||||
0.296%, 12/25/36 (A) | 47 | 44 | ||||
Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 | ||||||
0.896%, 08/25/33 (A) | 300 | 135 | ||||
Residential Asset Securities, Cl AI4 | ||||||
0.616%, 09/25/35 (A) | 1,300 | 1,091 | ||||
Salomon Brothers Mortgage | ||||||
3.450%, 04/25/32 (B) | 226 | 185 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 109 |
Table of Contents
SCHEDULE OF INVESTMENTS
U.S. Fixed Income Fund (Concluded)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Soundview Home Equity Loan Trust, Ser 2007-OPT1, Cl 2A1 | ||||||
0.326%, 06/25/37 (A) | $ | 1,285 | $ | 968 | ||
| 6,325 | ||||||
Other Asset-Backed Securities — 1.3% | ||||||
Citicorp Residential Mortgage Securities, Ser 2006-1, Cl A2 | ||||||
5.682%, 07/25/36 | 36 | 36 | ||||
Countrywide Asset-Backed Certificates, Ser 2005-4, Cl MV1 | ||||||
0.706%, 10/25/35 (A) | 1,100 | 910 | ||||
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2 | ||||||
5.261%, 04/25/37 (B) | 385 | 316 | ||||
Mid-State Trust, Ser 11, Cl A1 | ||||||
4.864%, 07/15/38 | 1,125 | 959 | ||||
SLC Student Loan Trust, Cl A4A | ||||||
1.899%, 12/15/32 (A) | 738 | 744 | ||||
SLM Student Loan Trust, Cl A4 | ||||||
2.204%, 07/25/23 (A) | 162 | 168 | ||||
0.594%, 10/25/22 (A) | 242 | 239 | ||||
0.519%, 12/15/17 (A) | 85 | 84 | ||||
0.499%, 12/17/18 (A) | 66 | 65 | ||||
SLM Student Loan Trust, Cl A4L | ||||||
0.449%, 09/17/18 (A) | 107 | 106 | ||||
SLM Student Loan Trust, Cl A2 | ||||||
0.754%, 01/25/19 (A) | 439 | 437 | ||||
SLM Student Loan Trust, | ||||||
1.604%, 07/25/23 (A) | 258 | 254 | ||||
SLM Student Loan Trust, | ||||||
2.154%, 07/25/22 (A) | 1,349 | 1,379 | ||||
Structured Asset Securities, | ||||||
0.366%, 10/25/36 (A) (B) | 1,626 | 1,413 | ||||
Structured Asset Securities, | ||||||
0.336%, 03/25/37 (A) | 1,502 | 1,402 | ||||
Swift Master Auto Receivables Trust, Ser 2007-1, Cl A | ||||||
0.343%, 06/15/12 (A) | 207 | 205 | ||||
| 8,717 | ||||||
Total Asset-Backed Securities | 24,489 | |||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.3% | ||||||
FNMA | ||||||
0.130%, 12/16/09 (D) | 1,460 | 1,460 | ||||
0.110%, 12/17/09 (D) | 910 | 910 | ||||
0.060%, 10/16/09 (D) | 6,765 | 6,765 | ||||
Total U.S. Government Agency Obligations | 9,135 | |||||
| Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||
MUNICIPAL BOND — 0.1% | ||||||
North Texas Tollway Authority, RB | ||||||
6.718%, 01/01/49 | $ | 285 | $ | 320 | ||
Total Municipal Bonds | 320 | |||||
CASH EQUIVALENT — 4.8% | ||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110%*† | 32,236,382 | 32,236 | ||||
Total Cash Equivalent (Cost $32,236) ($ Thousands) | 32,236 | |||||
COMMERCIAL PAPER — 1.0% | ||||||
BNP Paribas Finance | ||||||
0.219%, 11/23/09 | 3,985 | 3,984 | ||||
Rabobank USA Financial | ||||||
0.230%, 12/03/09 | 3,005 | 3,003 | ||||
Total Commercial Paper (Cost $6,987) ($ Thousands) | 6,987 | |||||
U.S. TREASURY OBLIGATIONS — 23.7% | ||||||
U.S. Treasury Bills | ||||||
0.172%, 11/19/09 (C) (D) | 41,335 | 41,331 | ||||
0.126%, 10/15/09 (D) | 3,050 | 3,050 | ||||
0.107%, 12/17/09 (D) | 2,635 | 2,634 | ||||
U.S. Treasury Bond | ||||||
8.875%, 08/15/17 to 02/15/19 | 15,177 | 21,278 | ||||
8.750%, 05/15/17 | 4,000 | 5,542 | ||||
7.500%, 11/15/16 | 1,300 | 1,676 | ||||
7.125%, 02/15/23 | 176 | 236 | ||||
6.375%, 08/15/27 | 50 | 65 | ||||
6.125%, 11/15/27 | 450 | 571 | ||||
5.375%, 02/15/31 (C) | 2,486 | 2,954 | ||||
4.500%, 02/15/36 to 08/15/39 | 2,021 | 2,177 | ||||
4.250%, 05/15/39 | 1,164 | 1,204 | ||||
3.847%, 05/15/20 (D) | 200 | 133 | ||||
3.500%, 02/15/39 (C) | 1,482 | 1,343 | ||||
U.S. Treasury Bond TIPS | ||||||
2.000%, 01/15/16 | 2,000 | 2,251 | ||||
1.750%, 01/15/28 | 4,000 | 3,940 | ||||
U.S. Treasury Note | ||||||
4.750%, 08/15/17 | 500 | 557 | ||||
4.625%, 02/15/17 | 3,750 | 4,152 | ||||
3.750%, 11/15/18 | 6,475 | 6,702 | ||||
3.625%, 08/15/19 | 2,389 | 2,452 | ||||
3.125%, 05/15/19 (C) | 8,497 | 8,361 | ||||
3.000%, 08/31/16 | 275 | 277 | ||||
2.750%, 02/15/19 | 3,622 | 3,456 | ||||
2.625%, 06/30/14 to 07/31/14 (C) | 10,003 | 10,180 | ||||
2.375%, 08/31/14 to 09/30/14 | 1,774 | 1,778 | ||||
1.875%, 06/15/12 to 04/30/14 | 7,539 | 7,472 | ||||
1.500%, 07/15/12 | 7 | 7 | ||||
| 110 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
1.375%, 09/15/12 | $ | 198 | $ | 198 | ||
1.125%, 06/30/11 | 2,653 | 2,668 | ||||
1.000%, 07/31/11 to 08/31/11 | 479 | 480 | ||||
0.875%, 05/31/11 | 6,999 | 7,016 | ||||
U.S. Treasury STRIPS | ||||||
4.463%, 11/15/27 (D) | 1,800 | 837 | ||||
4.448%, 05/15/36 (D) | 100 | 33 | ||||
4.350%, 08/15/20 (D) | 1,350 | 887 | ||||
4.283%, 02/15/17 (D) | 3,660 | 2,866 | ||||
4.254%, 02/15/32 (D) | 100 | 39 | ||||
4.217%, 11/15/20 (D) | 1,050 | 681 | ||||
3.690%, 08/15/17 (D) | 500 | 383 | ||||
3.587%, 11/15/17 (D) | 1,400 | 1,055 | ||||
2.709%, 05/15/14 (D) | 5,200 | 4,672 | ||||
2.650%, 02/15/15 (D) | 100 | 87 | ||||
| Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||
2.458%, 02/15/14 (D) | $ | 2,900 | $ | 2,629 | ||
0.000%, 02/15/18 to 02/15/22 (D) | 300 | 209 | ||||
Total U.S. Treasury Obligations (Cost $158,432) ($ Thousands) | 160,519 | |||||
AFFILIATED PARTNERSHIP — 7.0% | ||||||
SEI Liquidity Fund, L.P., | 47,705,864 | 47,706 | ||||
Total Affiliated Partnership (Cost $47,706) ($ Thousands) | 47,706 | |||||
Total Investments — 114.7% (Cost $762,061) ($ Thousands) | $ | 777,084 | ||||
| Credit Default Swap | |||||||||||||||
| Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pays)/ Receives Rate | Termination Date | Notional Amount (Thousands) | Net Unrealized Depreciation ($Thousands) | |||||||||
| Bank of America | CMBX-NA-AJ 1 Index | BUY | (0.84 | )% | 10/12/52 | 1,500 | $ | (298 | ) | ||||||
Percentages are based on a Net Assets of $677,723 ($ Thousands).
| † | Investment in Affiliated Security (see Note 5). |
| ‡ | Real Estate Investment Trust. |
| * | Rate shown is the 7-day effective yield as of September 30, 2009. |
| (A) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2009. The date reported on the Schedule of Investments is the maturity date. The effective date may be shorter. |
| (B) | 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 be sold only 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. |
| (C) | This security or a partial position of this security is on loan at September 30, 2009 (see Note 9). The total market value of securities on loan at September 30, 2009 was $46,714 ($ Thousands). |
| (D) | Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. |
| (E) | This security was purchased with cash collateral received from securities on loan (see Note 9). The total market value of such securities as of September 30, 2009 was $47,706 ($ Thousands). |
ABS — Asset-Based Security
ARM — Adjustable Rate Mortgage
Cl — Class
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
L.P. — Limited Partnership
MTN — Medium Term Note
PLC — Public Limited Company
PO — Principal Only
RB — Revenue Bond
Ser — Series
STRIPS — Separately Traded Registered Interest and Principal Securities
TBA — To Be Announced
TIPS — Treasury Inflation Protected Security
Amounts designated as “—” are $O or have been rounded to $O
The following is a summary of the inputs used as of September 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):
| Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||
Mortgage-Backed Securities | $ | — | $ | 367,078 | $ | — | $ | 367,078 | ||||
Corporate Obligations | — | 128,614 | — | 128,614 | ||||||||
Asset-Backed Securities | — | 24,489 | — | 24,489 | ||||||||
U.S. Government Agency Obligations | — | 9,135 | — | 9,135 | ||||||||
Municipal Bond | — | 320 | — | 320 | ||||||||
Cash Equivalent | 32,236 | — | — | 32,236 | ||||||||
Commercial Paper | — | 6,987 | — | 6,987 | ||||||||
U.S. Treasury Obligation | — | 160,519 | — | 160,519 | ||||||||
Affiliated Partnership | — | 47,706 | — | 47,706 | ||||||||
Total Investments in Securities | $ | 32,236 | $ | 744,848 | $— | $ | 777,084 | |||||
| Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||
Swap* | $— | $(298) | $— | $(298) | ||||
| * | Swap contracts are valued at unrealized appreciation on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 111 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
CORPORATE OBLIGATIONS — 81.6% | ||||||
Consumer Discretionary — 21.2% | ||||||
Adelphia Communications | ||||||
10.250%, 06/15/11 (B) | $ | 150 | $ | 3 | ||
0.000%, 01/15/09 (B) | 225 | 5 | ||||
Adelphia Communications | ||||||
0.000%, 02/15/04 (B) | 25 | 1 | ||||
Affinion Group | ||||||
11.500%, 10/15/15 | 550 | 565 | ||||
10.125%, 10/15/13 | 1,250 | 1,284 | ||||
10.125%, 10/15/13 (A) | 2,600 | 2,672 | ||||
American Greetings | ||||||
7.375%, 06/01/16 | 600 | 575 | ||||
Ameristar Casinos | ||||||
9.250%, 06/01/14 (A) | 1,600 | 1,660 | ||||
Amscan Holdings | ||||||
8.750%, 05/01/14 | 2,315 | 2,199 | ||||
Applebee’s Enterprises | ||||||
6.427%, 12/20/37 (A) | 2,433 | 2,141 | ||||
ArvinMeritor | ||||||
8.125%, 09/15/15 | 1,380 | 1,201 | ||||
Asbury Automotive Group | ||||||
7.625%, 03/15/17 | 150 | 133 | ||||
Ashtead Capital | ||||||
9.000%, 08/15/16 (A) | 2,985 | 2,866 | ||||
Avis Budget Car Rental | ||||||
7.750%, 05/15/16 | 680 | 592 | ||||
7.625%, 05/15/14 | 1,595 | 1,436 | ||||
Beazer Homes USA | ||||||
8.625%, 05/15/11 | 305 | 287 | ||||
8.125%, 06/15/16 | 635 | 483 | ||||
6.500%, 11/15/13 | 655 | 517 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Belo | ||||||
6.750%, 05/30/13 | $ | 670 | $ | 629 | ||
Blockbuster | ||||||
11.750%, 10/01/14 (A) | 2,695 | 2,520 | ||||
9.000%, 09/01/12 | 950 | 608 | ||||
Bon-Ton Department Stores | ||||||
10.250%, 03/15/14 | 655 | 478 | ||||
Boyd Gaming | ||||||
7.125%, 02/01/16 | 1,445 | 1,272 | ||||
Broder Brothers PIK | ||||||
15.000%, 10/15/13 (A) | 560 | 232 | ||||
Brunswick | ||||||
11.750%, 08/15/13 | 1,000 | 1,038 | ||||
11.250%, 11/01/16 (A) | 2,938 | 3,202 | ||||
Burlington Coat Factory Warehouse | ||||||
11.125%, 04/15/14 | 5,080 | 4,978 | ||||
Cablevision Systems | ||||||
8.625%, 09/15/17 (A) | 2,305 | 2,380 | ||||
Caesars Entertainment | ||||||
8.125%, 05/15/11 | 1,424 | 1,381 | ||||
7.875%, 03/15/10 | 600 | 600 | ||||
Carrols | ||||||
9.000%, 01/15/13 | 295 | 295 | ||||
CCH II | ||||||
0.000%, 10/01/13 (A) (B) | 2,362 | 2,486 | ||||
CCH II LLC | ||||||
10.250%, 09/15/10 (B) | 1,025 | 1,153 | ||||
0.000%, 09/15/10 (B) | 770 | 862 | ||||
CCO Holdings LLC | ||||||
0.000%, 11/15/13 (B) | 3,225 | 3,273 | ||||
Charter Communications Operating | ||||||
2.975%, 09/15/14 (A) (B) | 3,030 | 3,280 | ||||
0.000%, 04/30/14 (A) (B) | 915 | 933 | ||||
0.000%, 04/30/12 (A) (B) | 3,300 | 3,358 | ||||
Choctaw Resort Development Enterprise | ||||||
7.250%, 11/15/19 (A) | 998 | 659 | ||||
Cleveland Unlimited | ||||||
12.000%, 12/15/10 (A) (C) | 4,304 | 4,261 | ||||
Community Health Systems | ||||||
8.875%, 07/15/15 | 1,600 | 1,640 | ||||
Cooper-Standard Automotive | ||||||
8.375%, 12/15/14 (B) | 550 | 83 | ||||
CSC Holdings | ||||||
8.625%, 02/15/19 (A) | 2,480 | 2,623 | ||||
8.500%, 06/15/15 (A) | 75 | 79 | ||||
8.500%, 04/15/14 (A) | 225 | 236 | ||||
Dana (Escrow Security) | ||||||
0.000%, 03/01/29 | 850 | 21 | ||||
0.000%, 03/01/09 | 350 | 9 | ||||
0.000%, 03/15/08 | 100 | 3 | ||||
0.000%, 03/15/28 | 200 | 5 | ||||
Dave & Buster’s | ||||||
11.250%, 03/15/14 | 2,914 | 2,921 | ||||
| 112 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Denny’s | ||||||
10.000%, 10/01/12 | $ | 295 | $ | 298 | ||
Dex Media | ||||||
63.720%, 11/15/13 (B) | 600 | 102 | ||||
Dex Media West, Ser B | ||||||
8.500%, 08/15/10 (B) | 1,050 | 898 | ||||
0.000%, 08/15/13 (B) | 3,500 | 630 | ||||
DirecTV Holdings | ||||||
7.625%, 05/15/16 | 1,405 | 1,503 | ||||
6.375%, 06/15/15 | 2,530 | 2,562 | ||||
DISH DBS | ||||||
7.875%, 09/01/19 (A) | 585 | 591 | ||||
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2 | ||||||
5.261%, 04/25/37 (A) | 1,169 | 958 | ||||
DR Horton | ||||||
6.000%, 04/15/11 | 630 | 636 | ||||
Eastman Kodak | ||||||
7.250%, 11/15/13 | 865 | 709 | ||||
Echostar DBS | ||||||
7.750%, 05/31/15 | 5,080 | 5,182 | ||||
7.125%, 02/01/16 | 2,015 | 2,000 | ||||
El Dorado Casino Shreveport PIK | ||||||
10.000%, 08/01/12 | 1,191 | 1,009 | ||||
El Pollo Loco | ||||||
11.750%, 12/01/12 (A) | 2,000 | 2,108 | ||||
Eye Care Centers of America | ||||||
10.750%, 02/15/15 | 700 | 719 | ||||
Fontainebleau Las Vegas Holdings | ||||||
11.000%, 06/15/15 (A) (B) | 3,125 | 86 | ||||
Ford Motor | ||||||
7.450%, 07/16/31 | 1,495 | 1,211 | ||||
Gaylord Entertainment | ||||||
8.000%, 11/15/13 | 980 | 1,004 | ||||
6.750%, 11/15/14 | 270 | 250 | ||||
General Motors | ||||||
7.700%, 04/15/16 (B) | 1,212 | 185 | ||||
GMAC LLC | ||||||
6.875%, 09/15/11 (A) | 3,677 | 3,475 | ||||
Goodyear Tire & Rubber | ||||||
10.500%, 05/15/16 | 510 | 553 | ||||
8.625%, 12/01/11 | 837 | 864 | ||||
Group 1 Automotive | ||||||
8.250%, 08/15/13 | 200 | 198 | ||||
Hanesbrands, Ser B | ||||||
4.592%, 12/15/14 (C) | 1,710 | 1,500 | ||||
Harrah’s Operating | ||||||
11.250%, 06/01/17 (A) | 600 | 606 | ||||
10.000%, 12/15/18 (A) | 8,186 | 6,508 | ||||
Harrahs Operating Escrow | ||||||
11.250%, 06/01/17 (A) | 7,071 | 7,265 | ||||
Hertz | ||||||
10.500%, 01/01/16 | 625 | 650 | ||||
8.875%, 01/01/14 | 1,360 | 1,374 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
HSN | ||||||
11.250%, 08/01/16 | $ | 1,250 | $ | 1,353 | ||
Inergy L.P. | ||||||
8.750%, 03/01/15 (A) | 450 | 462 | ||||
Interpublic Group | ||||||
10.000%, 07/15/17 (A) | 540 | 583 | ||||
6.250%, 11/15/14 | 328 | 310 | ||||
2.440%, 11/15/10 (C) | 262 | 250 | ||||
Invista | ||||||
9.250%, 05/01/12 (A) | 810 | 810 | ||||
Jarden | ||||||
8.000%, 05/01/16 | 935 | 958 | ||||
7.500%, 05/01/17 | 1,195 | 1,162 | ||||
JC Penney | ||||||
7.950%, 04/01/17 | 410 | 424 | ||||
7.400%, 04/01/37 | 1,550 | 1,380 | ||||
K Hovnanian Enterprises | ||||||
11.500%, 05/01/13 | 585 | 617 | ||||
Lamar Media | ||||||
9.750%, 04/01/14 | 25 | 27 | ||||
7.250%, 01/01/13 | 1,525 | 1,500 | ||||
6.625%, 08/15/15 | 475 | 435 | ||||
6.625%, 08/15/15 | 945 | 879 | ||||
Lamar Media, Ser B | ||||||
6.625%, 08/15/15 | 330 | 302 | ||||
Landry’s Restaurants | ||||||
14.000%, 08/15/11 | 810 | 813 | ||||
Laureate Education | ||||||
11.750%, 08/15/17 (A) | 1,600 | 1,488 | ||||
10.000%, 08/15/15 (A) | 525 | 494 | ||||
LBI Media | ||||||
11.000%, 10/15/13(E) | 675 | 402 | ||||
Levi Strauss | ||||||
9.750%, 01/15/15 | 1,702 | 1,770 | ||||
Liberty Media LLC | ||||||
8.250%, 02/01/30 | 1,970 | 1,625 | ||||
LIN Television | ||||||
6.500%, 05/15/13 | 170 | 149 | ||||
M/I Homes | ||||||
6.875%, 04/01/12 | 290 | 268 | ||||
Macy’s Retail Holdings | ||||||
10.625%, 11/01/10 | 330 | 346 | ||||
8.875%, 07/15/15 | 2,640 | 2,754 | ||||
6.700%, 07/15/34 | 140 | 109 | ||||
6.375%, 03/15/37 | 470 | 370 | ||||
5.900%, 12/01/16 | 875 | 802 | ||||
Mediacom | ||||||
9.125%, 08/15/19 (A) | 765 | 786 | ||||
MGM Mirage | ||||||
13.000%, 11/15/13 (A) | 1,205 | 1,380 | ||||
11.375%, 03/01/18 (A) | 1,450 | 1,363 | ||||
11.125%, 11/15/17 (A) | 1,415 | 1,546 | ||||
10.375%, 05/15/14 (A) | 620 | 662 | ||||
8.375%, 02/01/11 | 25 | 23 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 113 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
7.625%, 01/15/17 | $ | 710 | $ | 554 | ||
7.500%, 06/01/16 | 4,725 | 3,662 | ||||
6.875%, 04/01/16 | 1,870 | 1,468 | ||||
6.750%, 04/01/13 | 1,650 | 1,380 | ||||
6.625%, 07/15/15 | 325 | 251 | ||||
5.875%, 02/27/14 | 1,485 | 1,166 | ||||
Mohawk Industries | ||||||
6.875%, 01/15/16 | 640 | 637 | ||||
MTR Gaming Group | ||||||
12.625%, 07/15/14 (A) | 1,580 | 1,540 | ||||
Neiman-Marcus Group | ||||||
10.375%, 10/15/15 | 1,250 | 1,069 | ||||
Neiman-Marcus Group PIK | ||||||
9.000%, 10/15/15 | 1,968 | 1,683 | ||||
Newell Rubbermaid | ||||||
10.600%, 04/15/19 | 1,365 | 1,685 | ||||
Nielsen Finance (E) | ||||||
11.625%, 02/01/14 | 260 | 274 | ||||
11.500%, 05/01/16 | 205 | 215 | ||||
Norcraft Holdings (E) | ||||||
9.750%, 09/01/12 | 1,255 | 1,192 | ||||
OSI Restaurant Partners | ||||||
10.000%, 06/15/15 | 2,965 | 2,617 | ||||
Penhall International | ||||||
12.000%, 08/01/14 (A) | 1,850 | 888 | ||||
Peninsula Gaming | ||||||
10.750%, 08/15/17 (A) | 1,740 | 1,749 | ||||
8.375%, 08/15/15 (A) | 1,100 | 1,100 | ||||
Penn National Gaming | ||||||
6.750%, 03/01/15 | 2,985 | 2,858 | ||||
Penske Auto Group | ||||||
7.750%, 12/15/16 | 2,000 | 1,845 | ||||
Pinnacle Entertainment | ||||||
7.500%, 06/15/15 | 1,795 | 1,589 | ||||
Pokagon Gaming Authority | ||||||
10.375%, 06/15/14 (A) | 1,050 | 1,092 | ||||
Quebecor Media | ||||||
7.750%, 03/15/16 | 4,285 | 4,242 | ||||
Quebecor Media (Escrow Security) | ||||||
0.000%, 11/15/13 (B) (D) | 1,725 | — | ||||
0.000%, 03/15/16 (B) | 1,915 | — | ||||
Quicksilver | ||||||
6.875%, 04/15/15 | 1,240 | 927 | ||||
QVC | ||||||
7.500%, 10/01/19 (A) | 2,335 | 2,338 | ||||
Rental Services | ||||||
9.500%, 12/01/14 | 5,100 | 4,922 | ||||
RH Donnelley | ||||||
11.750%, 05/15/15 (A) (B) | 1,126 | 636 | ||||
River Rock Entertainment Authority | ||||||
9.750%, 11/01/11 | 1,500 | 1,380 | ||||
RJ Tower | ||||||
12.000%, 06/01/13 (B) | 172 | 1 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Royal Caribbean Cruises | ||||||
11.875%, 07/15/15 | $ | 900 | $ | 1,012 | ||
7.250%, 06/15/16 | 1,690 | 1,563 | ||||
7.000%, 06/15/13 | 685 | 652 | ||||
6.875%, 12/01/13 | 2,000 | 1,865 | ||||
RSC Equipment Rental | ||||||
10.000%, 07/15/17 (A) | 1,750 | 1,881 | ||||
Sally Holdings LLC | ||||||
10.500%, 11/15/16 | 3,074 | 3,205 | ||||
9.250%, 11/15/14 | 1,320 | 1,366 | ||||
Sbarro | ||||||
10.375%, 02/01/15 | 674 | 532 | ||||
Scholastic | ||||||
5.000%, 04/15/13 | 2,000 | 1,710 | ||||
Sealy Mattress | ||||||
10.875%, 04/15/16 (A) | 30 | 33 | ||||
8.250%, 06/15/14 | 3,166 | 2,929 | ||||
Seminole Indian Tribe of Florida | ||||||
7.804%, 10/01/20 (A) | 720 | 615 | ||||
5.798%, 10/01/13 (A) | 1,975 | 1,867 | ||||
Service International | ||||||
7.375%, 10/01/14 | 1,420 | 1,430 | ||||
6.750%, 04/01/15 | 660 | 647 | ||||
Shingle Springs Tribal Gaming Authority | ||||||
9.375%, 06/15/15 (A) | 1,735 | 1,249 | ||||
Simmons | ||||||
13.814%, 12/15/09 (E) | 5,625 | 1,406 | ||||
7.875%, 01/15/14 | 3,725 | 3,390 | ||||
Sinclair Broadcast Group | ||||||
8.000%, 03/15/12 | 2,585 | 2,288 | ||||
3.000%, 05/15/27 | 140 | 128 | ||||
Sirius XM Radio | ||||||
9.750%, 09/01/15 (A) | 2,235 | 2,280 | ||||
Speedway Motorsports | ||||||
8.750%, 06/01/16 (A) | 1,470 | 1,529 | ||||
Stanadyne Holdings | ||||||
12.000%, 02/15/15 (E) | 1,575 | 945 | ||||
Stanadyne Holdings, Ser 1 | ||||||
10.000%, 08/15/14 | 450 | 378 | ||||
Standard Pacific Escrow | ||||||
10.750%, 09/15/16 (A) | 1,705 | 1,679 | ||||
Starwood Hotels & Resorts Worldwide | ||||||
7.875%, 05/01/12 | 660 | 685 | ||||
6.750%, 05/15/18 | 1,660 | 1,567 | ||||
Station Casinos | ||||||
6.875%, 03/01/16 (B) | 225 | 8 | ||||
6.625%, 03/15/18 (B) | 1,900 | 67 | ||||
Steinway Musical Instruments | ||||||
7.000%, 03/01/14 (A) | 5,170 | 4,395 | ||||
Sun Media | ||||||
7.625%, 02/15/13 | 630 | 482 | ||||
Tenneco | ||||||
8.625%, 11/15/14 | 1,255 | 1,177 | ||||
| 114 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
TL Acquisitions | ||||||
10.500%, 01/15/15 (A) | $ | 1,405 | $ | 1,328 | ||
Toll | ||||||
8.250%, 12/01/11 | 8 | 8 | ||||
Toys R US | ||||||
7.875%, 04/15/13 | 835 | 802 | ||||
Toys R Us Property I | ||||||
10.750%, 07/15/17 (A) | 550 | 591 | ||||
Travelport LLC | ||||||
11.875%, 09/01/16 | 4,705 | 4,305 | ||||
4.986%, 09/01/14 (C) | 2,171 | 1,824 | ||||
TRW Automotive | ||||||
7.250%, 03/15/17 (A) | 1,905 | 1,676 | ||||
7.000%, 03/15/14 (A) | 1,085 | 987 | ||||
Turning Stone Resort Casino Enterprise | ||||||
9.125%, 09/15/14 (A) | 2,035 | 1,943 | ||||
United Components | ||||||
9.375%, 06/15/13 | 1,290 | 1,035 | ||||
United Rentals North America | ||||||
10.875%, 06/15/16 (A) | 2,600 | 2,782 | ||||
Univision Communications | ||||||
12.000%, 07/01/14 (A) | 1,282 | 1,378 | ||||
9.750%, 03/15/15 (A) | 1,700 | 1,309 | ||||
UPC Holding | ||||||
9.875%, 04/15/18 (A) | 3,635 | 3,817 | ||||
Vail Resorts | ||||||
6.750%, 02/15/14 | 2,275 | 2,246 | ||||
Videotron | ||||||
9.125%, 04/15/18 | 800 | 866 | ||||
6.875%, 01/15/14 | 2,160 | 2,138 | ||||
6.375%, 12/15/15 | 395 | 377 | ||||
Virgin Media | ||||||
6.500%, 11/15/16 (A) | 526 | 551 | ||||
Visant Holding | ||||||
10.250%, 12/01/13 (E) | 4,120 | 4,264 | ||||
8.750%, 12/01/13 | 705 | 717 | ||||
Vitamin Shoppe Industries | ||||||
7.940%, 11/15/12 (C) | 2,150 | 2,150 | ||||
Wendy’s | ||||||
10.000%, 07/15/16 (A) | 2,000 | 2,125 | ||||
WMG Acquisition | ||||||
9.500%, 06/15/16 (A) | 1,985 | 2,094 | ||||
Wyndham Worldwide | ||||||
6.000%, 12/01/16 | 580 | 522 | ||||
XM Satellite Radio | ||||||
11.250%, 06/15/13 (A) | 770 | 805 | ||||
XM Satellite Radio Holdings | ||||||
10.000%, 06/01/11 | 925 | 869 | ||||
| 273,783 | ||||||
Consumer Staples — 2.6% | ||||||
Alliance One International | ||||||
10.000%, 07/15/16 (A) | 185 | 191 | ||||
10.000%, 07/15/16 (A) | 955 | 986 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Central Garden and Pet | ||||||
9.125%, 02/01/13 | $ | 1,220 | $ | 1,234 | ||
Chiquita Brands International | ||||||
8.875%, 12/01/15 | 1,435 | 1,478 | ||||
Constellation Brands | ||||||
8.375%, 12/15/14 | 485 | 506 | ||||
7.250%, 09/01/16 | 1,020 | 1,015 | ||||
7.250%, 05/15/17 | 1,000 | 995 | ||||
Del Monte | ||||||
7.500%, 10/15/19 (A) | 215 | 217 | ||||
Dole Food | ||||||
13.875%, 03/15/14 (A) | 1,580 | 1,853 | ||||
8.000%, 10/01/16 (A) | 610 | 612 | ||||
Duane Reade | ||||||
11.750%, 08/01/15 (A) | 1,420 | 1,491 | ||||
9.750%, 08/01/11 | 250 | 249 | ||||
Fleming | ||||||
0.000%, 04/01/08 (B) | 1,010 | — | ||||
Ingles Markets | ||||||
8.875%, 05/15/17 | 565 | 579 | ||||
JBS USA | ||||||
11.625%, 05/01/14 (A) | 850 | 914 | ||||
Johnsondiversey Holdings | ||||||
10.670%, 05/15/13 (E) | 800 | 768 | ||||
M-Foods Holdings | ||||||
9.750%, 10/01/13 (A) | 350 | 360 | ||||
New Albertsons | ||||||
7.250%, 05/01/13 | 310 | 311 | ||||
Pantry | ||||||
7.750%, 02/15/14 | 3,600 | 3,357 | ||||
Rite Aid | ||||||
9.750%, 06/12/16 (A) | 1,705 | 1,841 | ||||
9.500%, 06/15/17 | 3,005 | 2,434 | ||||
9.375%, 12/15/15 | 1,780 | 1,446 | ||||
7.700%, 02/15/27 | 150 | 87 | ||||
7.500%, 03/01/17 | 845 | 744 | ||||
6.875%, 12/15/28 (A) | 375 | 206 | ||||
Smithfield Foods | ||||||
10.000%, 07/15/14 (A) | 1,185 | 1,244 | ||||
7.750%, 05/15/13 | 1,350 | 1,202 | ||||
7.000%, 08/01/11 | 3,190 | 3,062 | ||||
Southern States Cooperative | ||||||
11.000%, 11/01/11 (A) | 1,500 | 1,502 | ||||
Spectrum Brands | ||||||
12.000%, 08/28/19 | 596 | 566 | ||||
SuperValu | ||||||
7.500%, 11/15/14 | 105 | 106 | ||||
8.000%, 05/01/16 | 2,255 | 2,334 | ||||
| 33,890 | ||||||
Energy — 9.0% | ||||||
Allis-Chalmers Energy | ||||||
9.000%, 01/15/14 | 1,599 | 1,303 | ||||
8.500%, 03/01/17 | 2,015 | 1,400 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 115 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Anadarko Petroleum | ||||||
6.450%, 09/15/36 | $ | 1,540 | $ | 1,590 | ||
Arch Coal | ||||||
8.750%, 08/01/16 (A) | 2,580 | 2,657 | ||||
Arch Western Finance | ||||||
6.750%, 07/01/13 | 2,745 | 2,700 | ||||
Atlas Energy Operating | ||||||
12.125%, 08/01/17 | 2,870 | 3,092 | ||||
Atlas Energy Resources | ||||||
10.750%, 02/01/18 (A) | 1,805 | 1,873 | ||||
Aventine Renewable Energy Holdings | ||||||
0.000%, 04/01/17 (B) | 2,750 | 1,485 | ||||
Basic Energy Services | ||||||
11.625%, 08/01/14 (A) | 1,375 | 1,458 | ||||
Berry Petroleum | ||||||
10.250%, 06/01/14 | 555 | 592 | ||||
Bill Barrett | ||||||
9.875%, 07/15/16 | 1,000 | 1,052 | ||||
Chesapeake Energy | ||||||
9.500%, 02/15/15 | 1,440 | 1,516 | ||||
7.625%, 07/15/13 | 325 | 323 | ||||
7.500%, 09/15/13 | 325 | 323 | ||||
7.500%, 06/15/14 | 456 | 451 | ||||
7.250%, 12/15/18 | 970 | 917 | ||||
7.000%, 08/15/14 | 670 | 648 | ||||
6.875%, 11/15/20 | 150 | 133 | ||||
6.875%, 01/15/16 | 50 | 47 | ||||
6.500%, 08/15/17 | 2,440 | 2,239 | ||||
Cie Generale de Geophysique-Veritas | ||||||
9.500%, 05/15/16 (A) | 1,040 | 1,100 | ||||
7.750%, 05/15/17 | 1,070 | 1,062 | ||||
7.500%, 05/15/15 | 513 | 510 | ||||
Compton Petroleum Finance | ||||||
7.625%, 12/01/13 | 375 | 283 | ||||
Concho Resources | ||||||
8.625%, 10/01/17 | 1,250 | 1,281 | ||||
Continental Resources | ||||||
8.250%, 10/01/19 (A) | 160 | 164 | ||||
Copano Energy | ||||||
7.750%, 06/01/18 | 2,600 | 2,470 | ||||
Denbury Resources | ||||||
9.750%, 03/01/16 | 605 | 643 | ||||
7.500%, 04/01/13 | 1,250 | 1,250 | ||||
7.500%, 12/15/15 | 1,225 | 1,216 | ||||
Dynegy Holdings | ||||||
8.375%, 05/01/16 | 850 | 795 | ||||
7.750%, 06/01/19 | 1,850 | 1,577 | ||||
7.500%, 06/01/15 | 3,050 | 2,821 | ||||
El Paso | ||||||
8.250%, 02/15/16 | 405 | 415 | ||||
8.050%, 10/15/30 | 375 | 347 | ||||
7.875%, 06/15/12 | 345 | 355 | ||||
7.800%, 08/01/31 | 150 | 138 | ||||
7.420%, 02/15/37 | 1,375 | 1,180 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
7.250%, 06/01/18 | $ | 2,730 | $ | 2,685 | ||
7.000%, 06/15/17 | 1,270 | 1,245 | ||||
6.875%, 06/15/14 | 640 | 627 | ||||
El Paso Performance-Linked Trust | ||||||
7.750%, 07/15/11 (A) | 200 | 204 | ||||
Enterprise Products Operating | ||||||
8.375%, 08/01/66 (C) | 245 | 229 | ||||
EXCO Resources | ||||||
7.250%, 01/15/11 | 460 | 456 | ||||
Forbes Energy Services | ||||||
11.000%, 02/15/15 | 1,882 | 1,506 | ||||
Forest Oil | ||||||
8.500%, 02/15/14 (A) | 75 | 76 | ||||
8.000%, 12/15/11 | 585 | 594 | ||||
7.750%, 05/01/14 | 970 | 951 | ||||
7.250%, 06/15/19 | 1,605 | 1,501 | ||||
Helix Energy Solutions Group | ||||||
9.500%, 01/15/16 (A) | 1,820 | 1,820 | ||||
Hilcorp Energy I | ||||||
9.000%, 06/01/16 (A) | 200 | 199 | ||||
7.750%, 11/01/15 (A) | 3,130 | 2,958 | ||||
Holly | ||||||
9.875%, 06/15/17 (A) | 1,665 | 1,702 | ||||
International Coal Group | ||||||
10.250%, 07/15/14 | 815 | 742 | ||||
Key Energy Services | ||||||
8.375%, 12/01/14 | 1,230 | 1,169 | ||||
Linn Energy | ||||||
11.750%, 05/15/17 (A) | 1,160 | 1,250 | ||||
Mariner Energy | ||||||
8.000%, 05/15/17 | 1,450 | 1,327 | ||||
MarkWest Energy Partners | ||||||
8.750%, 04/15/18 | 2,055 | 2,045 | ||||
MarkWest Energy Partners, Ser B | ||||||
6.875%, 11/01/14 | 925 | 870 | ||||
Massey Energy | ||||||
6.875%, 12/15/13 | 1,690 | 1,631 | ||||
McMoRan Exploration | ||||||
11.875%, 11/15/14 | 3,250 | 3,250 | ||||
Nabors Industries | ||||||
9.250%, 01/15/19 | 2,100 | 2,496 | ||||
Newfield Exploration | ||||||
7.125%, 05/15/18 | 325 | 324 | ||||
6.625%, 04/15/16 | 825 | 808 | ||||
OPTI Canada | ||||||
8.250%, 12/15/14 | 2,235 | 1,732 | ||||
7.875%, 12/15/14 | 1,345 | 1,029 | ||||
Parker Drilling | ||||||
9.625%, 10/01/13 | 236 | 234 | ||||
Penn Virginia | ||||||
10.375%, 06/15/16 | 400 | 432 | ||||
PetroHawk Energy | ||||||
10.500%, 08/01/14 (A) | 2,100 | 2,257 | ||||
9.125%, 07/15/13 | 1,571 | 1,614 | ||||
7.875%, 06/01/15 | 1,760 | 1,734 | ||||
| 116 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Petroleum Development | ||||||
12.000%, 02/15/18 | $ | 1,850 | $ | 1,822 | ||
Plains Exploration & Production | ||||||
10.000%, 03/01/16 | 225 | 242 | ||||
8.625%, 10/15/19 | 230 | 233 | ||||
7.750%, 06/15/15 | 75 | 74 | ||||
7.625%, 06/01/18 | 550 | 539 | ||||
7.000%, 03/15/17 | 625 | 595 | ||||
Pride International | ||||||
8.500%, 06/15/19 | 1,090 | 1,199 | ||||
Quicksilver Resources | ||||||
11.750%, 01/01/16 | 3,525 | 3,886 | ||||
8.250%, 08/01/15 | 615 | 600 | ||||
7.125%, 04/01/16 | 1,030 | 894 | ||||
Sabine Pass LNG | ||||||
7.250%, 11/30/13 | 1,400 | 1,249 | ||||
SandRidge Energy | ||||||
9.875%, 05/15/16 (A) | 1,030 | 1,074 | ||||
8.625%, 04/01/15 | 825 | 818 | ||||
8.000%, 06/01/18 (A) | 500 | 481 | ||||
Southwestern Energy | ||||||
7.500%, 02/01/18 | 900 | 909 | ||||
Stallion Oilfield Services | ||||||
9.750%, 02/01/15 (A) (B) | 1,920 | 883 | ||||
Stone Energy | ||||||
8.250%, 12/15/11 | 2,270 | 2,134 | ||||
Swift Energy | ||||||
7.125%, 06/01/17 | 975 | 848 | ||||
Targa Resources Partners | ||||||
11.250%, 07/15/17 (A) | 3,815 | 4,025 | ||||
Tesoro | ||||||
9.750%, 06/01/19 | 2,550 | 2,652 | ||||
6.625%, 11/01/15 | 1,150 | 1,064 | ||||
Valero Energy | ||||||
10.500%, 03/15/39 | 1,950 | 2,491 | ||||
Venoco | ||||||
8.750%, 12/15/11 | 835 | 843 | ||||
Williams | ||||||
8.750%, 01/15/20 | 75 | 86 | ||||
8.125%, 03/15/12 | 125 | 136 | ||||
7.875%, 09/01/21 | 125 | 135 | ||||
7.750%, 06/15/31 | 375 | 393 | ||||
Williams Partners L.P. | ||||||
7.250%, 02/01/17 | 225 | 221 | ||||
| 115,629 | ||||||
Financials — 11.6% | ||||||
ACE Cash Express | ||||||
10.250%, 10/01/14 (A) | 775 | 520 | ||||
ALH Finance LLC | ||||||
8.500%, 01/15/13 | 2,445 | 2,323 | ||||
Allied Capital | ||||||
6.625%, 07/15/11 | 1,800 | 1,480 | ||||
6.000%, 04/01/12 | 700 | 507 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
American Financial Group | ||||||
9.875%, 06/15/19 | $ | 500 | $ | 549 | ||
American General Finance MTN | ||||||
5.375%, 10/01/12 | 275 | 212 | ||||
4.875%, 07/15/12 | 1,725 | 1,338 | ||||
0.088%, 12/15/11 (C) | 1,860 | 1,436 | ||||
BAC Capital Trust XIV | ||||||
5.630%, 03/15/12 (C) | 1,815 | 1,189 | ||||
BB&T Capital Trust I | ||||||
5.850%, 08/18/35 | 150 | 129 | ||||
BB&T Capital Trust II | ||||||
6.750%, 06/07/36 | 160 | 149 | ||||
Buffalo Thunder Development Authority | ||||||
9.375%, 12/15/14 (A) (B) | 2,175 | 386 | ||||
C5 Capital SPV | ||||||
6.196%, 12/31/11 (A) (C) | 455 | 353 | ||||
Calfrac Holdings | ||||||
7.750%, 02/15/15 (A) | 2,850 | 2,761 | ||||
Capital One Capital V | ||||||
10.250%, 08/15/39 | 1,105 | 1,221 | ||||
Cardtronics | ||||||
9.250%, 08/15/13 | 875 | 882 | ||||
Cardtronics Ser B | ||||||
9.250%, 08/15/13 | 1,410 | 1,421 | ||||
CEVA Group | ||||||
11.625%, 10/01/16 (A) | 2,075 | 2,015 | ||||
Chukchansi Economic Development Authority | ||||||
4.913%, 11/15/12 (A) (C) | 500 | 385 | ||||
CIT Group MTN | ||||||
5.800%, 07/28/11 | 1,040 | 707 | ||||
5.650%, 02/13/17 | 2,740 | 1,714 | ||||
5.600%, 04/27/11 | 980 | 667 | ||||
5.000%, 02/13/14 | 3,300 | 2,108 | ||||
0.078%, 07/28/11 (C) | 1,000 | 701 | ||||
CIT Group Funding of Canada | ||||||
4.650%, 07/01/10 | 110 | 94 | ||||
Citigroup Capital XXI | ||||||
8.300%, 12/21/57 (C) | 545 | 484 | ||||
City National Bank | ||||||
9.000%, 08/12/19 | 3,384 | 3,384 | ||||
Comerica Bank | ||||||
5.200%, 08/22/17 | 1,000 | 854 | ||||
Corporate Office Properties | ||||||
3.500%, 09/15/26‡ (A) | 135 | 131 | ||||
Developers Diversified Realty | ||||||
9.625%, 03/15/16‡ | 280 | 281 | ||||
5.375%, 10/15/12‡ | 965 | 905 | ||||
3.500%, 08/15/11‡ | 153 | 141 | ||||
DI Finance | ||||||
9.500%, 02/15/13 | 1,275 | 1,301 | ||||
E*Trade Financial | ||||||
12.500%, 11/30/17 | 935 | 1,038 | ||||
Felcor Lodging | ||||||
10.000%, 10/01/14‡ (A) | 1,130 | 1,093 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 117 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Ferrellgas Partners | ||||||
6.750%, 05/01/14 (A) | $ | 1,250 | $ | 1,189 | ||
FireKeepers Development Authority | ||||||
13.875%, 05/01/15 (A) | 2,195 | 2,332 | ||||
Ford Motor Credit LLC | ||||||
12.000%, 05/15/15 | 1,905 | 2,099 | ||||
9.875%, 08/10/11 | 1,950 | 1,978 | ||||
8.700%, 10/01/14 | 360 | 353 | ||||
8.000%, 06/01/14 | 2,700 | 2,595 | ||||
8.000%, 12/15/16 | 1,800 | 1,670 | ||||
7.800%, 06/01/12 | 2,295 | 2,218 | ||||
7.500%, 08/01/12 | 1,260 | 1,210 | ||||
7.250%, 10/25/11 | 1,090 | 1,059 | ||||
7.000%, 10/01/13 | 5,368 | 5,038 | ||||
5.549%, 06/15/11 (C) | 900 | 859 | ||||
Fresenius US Finance II | ||||||
9.000%, 07/15/15 (A) | 300 | 327 | ||||
Galaxy Entertainment Finance | ||||||
9.875%, 12/15/12 (A) | 1,365 | 1,324 | ||||
Genworth Financial | ||||||
6.150%, 11/15/66 (C) | 1,320 | 845 | ||||
5.750%, 06/15/14 | 1,160 | 1,040 | ||||
5.650%, 06/15/12 | 1,070 | 1,027 | ||||
Genworth Global Funding Trusts | ||||||
0.580%, 05/15/12 (C) | 1,180 | 1,023 | ||||
0.459%, 12/15/10 (C) | 820 | 769 | ||||
Global Cash Access | ||||||
8.750%, 03/15/12 | 960 | 950 | ||||
GMAC LLC | ||||||
8.000%, 11/01/31 (A) | 3,438 | 2,768 | ||||
7.250%, 03/02/11 (A) | 237 | 228 | ||||
7.000%, 02/01/12 (A) | 63 | 59 | ||||
6.875%, 08/28/12 (A) | 4,148 | 3,816 | ||||
6.750%, 12/01/14 | 3,425 | 2,911 | ||||
6.625%, 05/15/12 (A) | 1,704 | 1,568 | ||||
6.000%, 12/15/11 (A) | 1,232 | 1,140 | ||||
HBOS MTN | ||||||
5.375%, 11/29/49 (A) (C) | 250 | 160 | ||||
HBOS Capital Funding | ||||||
6.071%, 06/30/49 (A) (C) | 810 | 458 | ||||
Hellas Telecommunications II | ||||||
6.881%, 01/15/15 (A) (C) | 2,250 | 349 | ||||
Hexion US Finance | ||||||
9.750%, 11/15/14 | 3,500 | 3,010 | ||||
4.940%, 11/15/14 (C) | 750 | 570 | ||||
Host Marriott LP, Ser O | ||||||
6.375%, 03/15/15‡ | 315 | 298 | ||||
Host Marriott LP, Ser Q | ||||||
6.750%, 06/01/16‡ | 2,595 | 2,465 | ||||
HUB International Holdings | ||||||
10.250%, 06/15/15 (A) | 360 | 335 | ||||
9.000%, 12/15/14 (A) | 2,860 | 2,760 | ||||
Hughes Network Systems | ||||||
9.500%, 04/15/14 | 1,225 | 1,231 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Icahn Enterprises | ||||||
7.125%, 02/15/13 | $ | 2,950 | $ | 2,839 | ||
Inergy L.P. | ||||||
8.250%, 03/01/16 | 285 | 286 | ||||
6.875%, 12/15/14 | 225 | 215 | ||||
ING Capital Funding Trust III | ||||||
8.439%, 12/29/49 (C) | 2,380 | 1,595 | ||||
International Lease Finance MTN | ||||||
6.625%, 11/15/13 | 545 | 432 | ||||
6.375%, 03/25/13 | 325 | 261 | ||||
5.625%, 09/20/13 | 900 | 686 | ||||
5.550%, 09/05/12 | 355 | 290 | ||||
5.350%, 03/01/12 | 105 | 89 | ||||
5.250%, 01/10/13 | 675 | 544 | ||||
Janus Capital Group | ||||||
6.950%, 06/15/17 | 1,260 | 1,199 | ||||
Jefferies Group | ||||||
8.500%, 07/15/19 | 2,065 | 2,185 | ||||
JP Morgan Chase Capital XXV | ||||||
6.800%, 10/01/37 | 70 | 71 | ||||
KAR Holdings | ||||||
8.750%, 05/01/14 | 1,220 | 1,208 | ||||
5.028%, 05/01/14 (C) | 800 | 720 | ||||
LaBranche | ||||||
11.000%, 05/15/12 | 2,055 | 1,983 | ||||
Lehman Brothers Holdings MTN | ||||||
6.875%, 05/02/18 (B) | 2,750 | 488 | ||||
5.625%, 01/24/13 (B) | 825 | 150 | ||||
Leucadia National | ||||||
7.125%, 03/15/17 | 3,097 | 2,973 | ||||
Lincoln National | ||||||
8.750%, 07/01/19 | 1,000 | 1,157 | ||||
7.000%, 05/17/66 (C) | 630 | 450 | ||||
6.050%, 04/20/67 (C) | 410 | 277 | ||||
Marlin Water Trust II | ||||||
6.310%, 07/15/03 (A) (B) | 4,200 | 3 | ||||
MetLife | ||||||
10.750%, 08/01/39 | 1,725 | 2,079 | ||||
MetLife Capital Trust X | ||||||
9.250%, 04/08/38 (A) (C) | 2,100 | 2,184 | ||||
National Life Insurance | ||||||
10.500%, 09/15/39 (A) | 990 | 1,008 | ||||
Nielsen Finance | ||||||
10.000%, 08/01/14 | 840 | 844 | ||||
4.409%, 08/01/16 (E) | 545 | 429 | ||||
Novelis | ||||||
7.250%, 02/15/15 | 950 | 822 | ||||
Nuveen Investments | ||||||
10.500%, 11/15/15 (A) | 250 | 216 | ||||
10.500%, 11/15/15 (A) | 7,625 | 6,596 | ||||
5.500%, 09/15/15 | 780 | 530 | ||||
Ohio Casualty | ||||||
7.300%, 06/15/14 | 905 | 883 | ||||
| 118 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Omega Healthcare Investors | ||||||
7.000%, 01/15/16‡ | $ | 325 | $ | 307 | ||
PHH | ||||||
7.125%, 03/01/13 | 1,175 | 1,063 | ||||
Pinnacle Foods Finance | ||||||
10.625%, 04/01/17 | 775 | 791 | ||||
9.250%, 04/01/15 | 500 | 507 | ||||
PNC Financial Services Group | ||||||
8.250%, 05/29/49 (C) | 565 | 538 | ||||
PNC Preferred Funding Trust II | ||||||
6.113%, 03/29/49 (A) (C) | 470 | 278 | ||||
Popular Capital Trust I | ||||||
6.564%, 09/15/34 | 520 | 387 | ||||
Rabobank Nederland | ||||||
11.000%, 12/31/49 (A) (C) | 1,060 | 1,298 | ||||
Radian Group | ||||||
7.750%, 06/01/11 | 1,815 | 1,524 | ||||
Realogy | ||||||
11.000%, 04/15/14 | 805 | 531 | ||||
10.500%, 04/15/14 | 1,820 | 1,319 | ||||
Regency Energy Partners | ||||||
8.375%, 12/15/13 | 420 | 424 | ||||
Senior Housing Properties Trust | ||||||
7.875%, 04/15/15‡ | 671 | 637 | ||||
Silicon Valley Bank | ||||||
5.700%, 06/01/12 | 325 | 327 | ||||
Smurfit Kappa Funding | ||||||
7.750%, 04/01/15 | 1,820 | 1,602 | ||||
Snoqualmie Entertainment Authority | ||||||
9.125%, 02/01/15 (A) | 975 | 517 | ||||
4.680%, 02/01/14 (A) (C) | 300 | 147 | ||||
Torchmark | ||||||
9.250%, 06/15/19 | 2,000 | 2,248 | ||||
USB Capital IX | ||||||
6.189%, 04/15/49 (C) | 820 | 629 | ||||
USI Holdings | ||||||
9.750%, 05/15/15 (A) | 1,725 | 1,529 | ||||
Ventas Realty L.P. | ||||||
9.000%, 05/01/12‡ | 675 | 709 | ||||
7.125%, 06/01/15‡ | 391 | 388 | ||||
6.750%, 04/01/17‡ | 850 | 833 | ||||
Willis North America | ||||||
6.200%, 03/28/17 | 1,055 | 1,033 | ||||
Yankee Acquisition, Ser B | ||||||
9.750%, 02/15/17 | 425 | 390 | ||||
8.500%, 02/15/15 | 3,020 | 2,839 | ||||
Zions Bancorporation | ||||||
7.750%, 09/23/14 | 495 | 443 | ||||
6.000%, 09/15/15 | 1,095 | 865 | ||||
5.650%, 05/15/14 | 200 | 153 | ||||
5.500%, 11/16/15 | 415 | 319 | ||||
| 149,157 | ||||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Health Care — 6.8% | ||||||
Alliance Imaging | ||||||
7.250%, 12/15/12 | $ | 1,570 | $ | 1,515 | ||
Alliance Imaging Ser B | ||||||
7.250%, 12/15/12 | 460 | 444 | ||||
Apria Healthcare Group | ||||||
12.375%, 11/01/14 (A) | 2,950 | 3,149 | ||||
Bausch & Lomb | ||||||
9.875%, 11/01/15 | 4,813 | 5,042 | ||||
Biomet | ||||||
11.625%, 10/15/17 | 3,670 | 4,000 | ||||
10.375%, 10/15/17 | 6,960 | 7,395 | ||||
10.000%, 10/15/17 | 1,980 | 2,109 | ||||
Bio-Rad Laboratories | ||||||
8.000%, 09/15/16 (A) | 740 | 768 | ||||
Catalent Pharma Solutions | ||||||
9.500%, 04/15/15 | 4,437 | 3,860 | ||||
Cooper | ||||||
7.125%, 02/15/15 | 1,290 | 1,258 | ||||
DJO Finance | ||||||
10.875%, 11/15/14 | 4,000 | 4,090 | ||||
HCA | ||||||
9.875%, 02/15/17 (A) | 260 | 276 | ||||
9.625%, 11/15/16 | 8,763 | 9,113 | ||||
9.250%, 11/15/16 | 6,120 | 6,342 | ||||
8.700%, 02/10/10 | 150 | 151 | ||||
8.500%, 04/15/19 (A) | 2,160 | 2,257 | ||||
7.875%, 02/15/20 (A) | 940 | 944 | ||||
6.375%, 01/15/15 | 840 | 747 | ||||
Health Management Associates | ||||||
6.125%, 04/15/16 | 1,760 | 1,637 | ||||
Healthsouth | ||||||
7.217%, 06/15/14 (C) | 2,420 | 2,372 | ||||
Inverness Medical Innovations | ||||||
9.000%, 05/15/16 | 3,190 | 3,170 | ||||
Phibro Animal Health | ||||||
10.000%, 08/01/13 (A) | 100 | 95 | ||||
Psychiatric Solutions | ||||||
7.750%, 07/15/15 | 2,915 | 2,813 | ||||
7.750%, 07/15/15 (A) | 525 | 493 | ||||
ReAble Therapeutics Finance | ||||||
11.750%, 11/15/14 | 1,617 | 1,536 | ||||
Select Medical | ||||||
7.625%, 02/01/15 | 5,101 | 4,776 | ||||
Spheris | ||||||
11.000%, 12/15/12 | 750 | 308 | ||||
Surgical Care Affiliates | ||||||
8.875%, 07/15/15 (A) | 1,483 | 1,179 | ||||
Tenet Healthcare | ||||||
10.000%, 05/01/18 (A) | 95 | 105 | ||||
9.250%, 02/01/15 | 2,350 | 2,453 | ||||
8.875%, 07/01/19 (A) | 370 | 390 | ||||
7.375%, 02/01/13 | 1,160 | 1,148 | ||||
United Surgical Partners International | ||||||
8.875%, 05/01/17 | 250 | 246 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 119 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
United Surgical Partners International PIK | ||||||
9.250%, 05/01/17 | $ | 3,100 | $ | 2,945 | ||
Universal Hospital Services | ||||||
8.500%, 06/01/15 | 640 | 627 | ||||
US Oncology | ||||||
9.125%, 08/15/17 (A) | 150 | 158 | ||||
US Oncology Holdings | ||||||
10.750%, 08/15/14 | 500 | 522 | ||||
6.428%, 03/15/12 (C) | 1,552 | 1,350 | ||||
Vanguard Health Holding I | ||||||
13.503%, 10/01/15 (E) | 600 | 624 | ||||
VWR Funding PIK | ||||||
10.250%, 07/15/15 | 5,259 | 4,799 | ||||
| 87,206 | ||||||
Industrials — 7.3% | ||||||
ACCO Brands | ||||||
10.625%, 03/15/15 (A) | 2,900 | 3,030 | ||||
7.625%, 08/15/15 | 2,550 | 2,117 | ||||
Actuant | ||||||
6.875%, 06/15/17 | 2,000 | 1,860 | ||||
AGY Holding | ||||||
11.000%, 11/15/14 | 675 | 540 | ||||
Aleris International | ||||||
0.000%, 12/15/16 (B) | 1,800 | 2 | ||||
Aleris International PIK | ||||||
4.414%, 12/15/14 (B) | 725 | 1 | ||||
Allison Transmission | ||||||
11.000%, 11/01/15 (A) | 1,850 | 1,813 | ||||
America West Airlines | ||||||
8.057%, 07/02/20 | 2,025 | 1,739 | ||||
America West Airlines, Ser 1999-1 | ||||||
7.930%, 01/02/19 | 337 | 291 | ||||
American Achievement Group Holding | ||||||
14.750%, 10/01/12 | 909 | 564 | ||||
American Airlines | ||||||
13.000%, 08/01/16 (A) | 2,110 | 2,279 | ||||
Ames True Temper | ||||||
10.000%, 07/15/12 (D) | 955 | 795 | ||||
4.509%, 01/15/12 (C) | 1,345 | 1,184 | ||||
Anixter | ||||||
10.000%, 03/15/14 | 1,590 | 1,677 | ||||
Aramark Services | ||||||
8.500%, 02/01/15 | 1,834 | 1,850 | ||||
Associated Materials | ||||||
9.750%, 04/15/12 | 715 | 703 | ||||
Atrium PIK | ||||||
15.000%, 12/15/12 (A) | 1,512 | 23 | ||||
Baker & Taylor | ||||||
11.500%, 07/01/13 (A) | 950 | 378 | ||||
Baldor Electric | ||||||
8.625%, 02/15/17 | 1,055 | 1,071 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
BE Aerospace | ||||||
8.500%, 07/01/18 | $ | 1,100 | $ | 1,128 | ||
Belden | ||||||
9.250%, 06/15/19 (A) | 245 | 255 | ||||
Bombardier | ||||||
8.000%, 11/15/14 (A) | 280 | 287 | ||||
Broder Brothers (Escrow Security) | ||||||
0.000%, 10/15/10 (B) (D) | 1,260 | — | ||||
Building Materials Corp of America | ||||||
7.750%, 08/01/14 | 950 | 914 | ||||
Case New Holland | ||||||
7.750%, 09/01/13 (A) | 1,495 | 1,488 | ||||
Casella Waste Systems | ||||||
11.000%, 07/15/14 (A) | 170 | 179 | ||||
9.750%, 02/01/13 | 1,030 | 953 | ||||
Chart Industries | ||||||
9.125%, 10/15/15 | 1,600 | 1,600 | ||||
Clean Harbors | ||||||
7.625%, 08/15/16 (A) | 1,905 | 1,950 | ||||
Coleman Cable | ||||||
9.875%, 10/01/12 | 750 | 694 | ||||
Complete Production Services | ||||||
8.000%, 12/15/16 | 650 | 592 | ||||
Continental Airlines | ||||||
9.000%, 07/08/16 | 780 | 819 | ||||
7.339%, 04/19/14 | 1,192 | 1,049 | ||||
Cornell | ||||||
10.750%, 07/01/12 | 220 | 224 | ||||
Corrections Corp of America | ||||||
7.750%, 06/01/17 | 75 | 77 | ||||
CPM Holdings | ||||||
10.625%, 09/01/14 (A) | 885 | 914 | ||||
Delta Air Lines | ||||||
12.250%, 03/15/15 (A) | 1,535 | 1,431 | ||||
9.500%, 09/15/14 (A) | 530 | 530 | ||||
7.920%, 11/18/10 | 495 | 480 | ||||
Delta Air Lines, Ser 2002-1, Cl C | ||||||
7.779%, 01/02/12 | 489 | 472 | ||||
DigitalGlobe | ||||||
10.500%, 05/01/14 (A) | 460 | 488 | ||||
Douglas Dynamics | ||||||
7.750%, 01/15/12 (A) | 2,192 | 1,885 | ||||
Dycom Investments | ||||||
8.125%, 10/15/15 | 2,180 | 1,984 | ||||
General Cable | ||||||
7.125%, 04/01/17 | 725 | 710 | ||||
GeoEye | ||||||
9.625%, 10/01/15 (A) | 2,465 | 2,495 | ||||
Global Aviation Holdings | ||||||
14.000%, 08/15/13 (A) | 1,260 | 1,249 | ||||
Harland Clarke Holdings | ||||||
9.500%, 05/15/15 | 715 | 640 | ||||
6.000%, 05/15/15 (C) | 315 | 237 | ||||
| 120 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Interface | ||||||
11.375%, 11/01/13 (A) | $ | 400 | $ | 434 | ||
9.500%, 02/01/14 | 160 | 159 | ||||
Interline Brands | ||||||
8.125%, 06/15/14 | 440 | 431 | ||||
Iron Mountain | ||||||
8.375%, 08/15/21 | 630 | 649 | ||||
K Hovnanian Enterprises | ||||||
7.500%, 05/15/16 | 580 | 441 | ||||
6.250%, 01/15/15 | 325 | 247 | ||||
Kansas City Southern de Mexico | ||||||
12.500%, 04/01/16 (A) | 220 | 243 | ||||
9.375%, 05/01/12 | 900 | 914 | ||||
L-3 Communications | ||||||
5.875%, 01/15/15 | 1,770 | 1,761 | ||||
L-3 Communications, Ser B | ||||||
6.375%, 10/15/15 | 240 | 242 | ||||
Language Line | ||||||
14.125%, 06/15/13 (E) | 425 | 432 | ||||
11.125%, 06/15/12 | 3,200 | 3,284 | ||||
Meritage Homes | ||||||
7.000%, 05/01/14 | 850 | 797 | ||||
6.250%, 03/15/15 | 170 | 158 | ||||
Mobile Mini | ||||||
9.750%, 08/01/14 | 335 | 341 | ||||
6.875%, 05/01/15 | 1,105 | 1,008 | ||||
Nebraska Book | ||||||
10.000%, 12/01/11 (A) | 1,730 | 1,721 | ||||
Neenah Foundary | ||||||
9.500%, 01/01/17 | 400 | 170 | ||||
Novelis | ||||||
11.500%, 02/15/15 (A) | 580 | 586 | ||||
Quality Distribution | ||||||
9.000%, 11/15/10 | 825 | 530 | ||||
RailAmerica | ||||||
9.250%, 07/01/17 (A) | 1,035 | 1,084 | ||||
RBS Global and Rexnord | ||||||
11.750%, 08/01/16 | 1,450 | 1,312 | ||||
9.500%, 08/01/14 (A) | 2,331 | 2,261 | ||||
9.500%, 08/01/14 | 635 | 616 | ||||
8.875%, 09/01/16 | 475 | 386 | ||||
Seminole Indian Tribe of Florida | ||||||
6.535%, 10/01/20 (A) | 850 | 731 | ||||
Sequa | ||||||
11.750%, 12/01/15 (A) | 975 | 770 | ||||
ServiceMaster | ||||||
10.750%, 07/15/15 (A) | 2,860 | 2,724 | ||||
7.450%, 08/15/27 | 765 | 514 | ||||
7.250%, 03/01/38 | 1,195 | 754 | ||||
7.100%, 03/01/18 | 645 | 469 | ||||
Spirit Aerosystems | ||||||
7.500%, 10/01/17 (A) | 105 | 105 | ||||
SPX | ||||||
7.625%, 12/15/14 | 1,190 | 1,199 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Susser Holdings | ||||||
10.625%, 12/15/13 | $ | 655 | $ | 676 | ||
Terex | ||||||
10.875%, 06/01/16 | 950 | 1,035 | ||||
8.000%, 11/15/17 | 6,755 | 6,198 | ||||
Thermadyne Holdings | ||||||
9.500%, 02/01/14 | 710 | 607 | ||||
Titan International | ||||||
8.000%, 01/15/12 | 1,660 | 1,606 | ||||
UAL Pass Through Trust | ||||||
7.032%, 10/01/10 (B) | 52 | 52 | ||||
UCI Holdings | ||||||
9.250%, 12/15/13 (C) | 1,099 | 445 | ||||
United Air Lines | ||||||
9.125%, 01/15/12 (B) | 1,075 | — | ||||
7.811%, 10/01/49 (B) | 2,385 | 3,125 | ||||
United Air Lines, Ser 95A1 | ||||||
9.560%, 10/19/18 (B) | 587 | 147 | ||||
9.020%, 04/19/12 (B) | 374 | 93 | ||||
United Air Lines, Ser A | ||||||
0.000%, 05/01/04 (B) | 525 | — | ||||
United AirLines | ||||||
7.186%, 04/01/11 (B) | 414 | 403 | ||||
USG | ||||||
9.750%, 08/01/14 (A) | 1,920 | 2,006 | ||||
6.300%, 11/15/16 | 1,155 | 982 | ||||
Vought Aircraft Industries | ||||||
8.000%, 07/15/11 | 1,225 | 1,213 | ||||
| 93,702 | ||||||
Information Technology — 4.4% | ||||||
Activant Solutions | ||||||
9.500%, 05/01/16 | 1,500 | 1,343 | ||||
Advanced Micro Devices | ||||||
7.750%, 11/01/12 | 1,897 | 1,707 | ||||
Aeroflex | ||||||
11.750%, 02/15/15 | 845 | 769 | ||||
Amkor Technology | ||||||
9.250%, 06/01/16 | 3,150 | 3,245 | ||||
7.750%, 05/15/13 | 1,500 | 1,500 | ||||
Avago Technologies Finance Pte | ||||||
10.125%, 12/01/13 | 570 | 599 | ||||
CC Holdings GS V | ||||||
7.750%, 05/01/17 (A) | 930 | 963 | ||||
Compucom Systems | ||||||
12.500%, 10/01/15 (A) | 2,085 | 1,944 | ||||
First Data | ||||||
9.875%, 09/24/15 | 8,480 | 7,833 | ||||
Flextronics International | ||||||
6.500%, 05/15/13 | 212 | 207 | ||||
6.250%, 11/15/14 | 1,229 | 1,183 | ||||
Freescale Semiconductor PIK | ||||||
9.125%, 12/15/14 | 1,863 | 1,285 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 121 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Freescale Semiconductor | ||||||
10.125%, 12/15/16 | $ | 425 | $ | 283 | ||
8.875%, 12/15/14 | 1,700 | 1,301 | ||||
Innophos | ||||||
8.875%, 08/15/14 | 1,245 | 1,257 | ||||
Iron Mountain | ||||||
8.750%, 07/15/18 | 1,020 | 1,061 | ||||
Jabil Circuit | ||||||
7.750%, 07/15/16 | 610 | 619 | ||||
NXP Funding LLC | ||||||
10.000%, 07/15/13 (A) | 489 | 479 | ||||
7.875%, 10/15/14 | 3,235 | 2,540 | ||||
Open Solutions | ||||||
9.750%, 02/01/15 (A) | 1,780 | 1,230 | ||||
Sanmina-SCI | ||||||
8.125%, 03/01/16 | 1,290 | 1,206 | ||||
3.379%, 06/15/14 (A) (C) | 1,250 | 1,125 | ||||
Sensata Technologies | ||||||
8.000%, 05/01/14 | 775 | 723 | ||||
Smart Modular Technologies | ||||||
6.097%, 04/01/12 (C) | 1,670 | 1,520 | ||||
Spansion | ||||||
3.792%, 06/01/13 (A) (B) (C) | 815 | 825 | ||||
Stream Global Services | ||||||
11.250%, 10/01/14 (A) | 2,630 | 2,510 | ||||
Sungard Data Systems | ||||||
10.625%, 05/15/15 (A) | 1,930 | 2,046 | ||||
10.250%, 08/15/15 | 5,559 | 5,670 | ||||
Terremark Worldwide | ||||||
12.000%, 06/15/17 (A) | 2,045 | 2,229 | ||||
Travelport | ||||||
9.875%, 09/01/14 | 740 | 716 | ||||
Unisys | ||||||
14.250%, 09/15/15 (A) | 1,320 | 1,360 | ||||
12.750%, 10/15/14 (A) | 5,525 | 5,856 | ||||
| 57,134 | ||||||
Materials — 7.7% | ||||||
AK Steel | ||||||
7.750%, 06/15/12 | 2,200 | 2,208 | ||||
Algoma Acquisition | ||||||
9.875%, 06/15/15 (A) | 715 | 601 | ||||
Appleton Papers | ||||||
9.750%, 06/15/14 | 700 | 316 | ||||
Ashland | ||||||
9.125%, 06/01/17 (A) | 1,905 | 2,038 | ||||
Ball | ||||||
7.375%, 09/01/19 | 520 | 528 | ||||
BWAY | ||||||
10.000%, 04/15/14 (A) | 3,620 | 3,828 | ||||
C8 Capital SPV | ||||||
6.640%, 12/31/14 (A) (C) | 1,100 | 848 | ||||
California Steel Industries | ||||||
6.125%, 03/15/14 | 185 | 169 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Catalyst Paper | ||||||
8.625%, 06/15/11 | $ | 1,373 | $ | 947 | ||
7.375%, 03/01/14 | 455 | 241 | ||||
Clearwater Paper | ||||||
10.625%, 06/15/16 (A) | 660 | 714 | ||||
Cognis GmbH | ||||||
2.299%, 09/15/13 (A) (C) | 530 | 445 | ||||
Crown Americas | ||||||
7.750%, 11/15/15 | 360 | 366 | ||||
7.625%, 05/15/17 (A) | 445 | 450 | ||||
Domtar | ||||||
10.750%, 06/01/17 | 3,980 | 4,458 | ||||
9.500%, 08/01/16 | 275 | 289 | ||||
7.875%, 10/15/11 | 3 | 3 | ||||
7.125%, 08/15/15 | 600 | 588 | ||||
Dow Chemical | ||||||
8.550%, 05/15/19 | 2,375 | 2,670 | ||||
Evraz Group | ||||||
9.500%, 04/24/18 (A) | 625 | 598 | ||||
8.875%, 04/24/13 (A) | 500 | 477 | ||||
FMG Finance Property | ||||||
10.625%, 09/01/16 (A) | 2,515 | 2,785 | ||||
Freeport-McMoRan Copper & Gold | ||||||
8.375%, 04/01/17 | 5,035 | 5,356 | ||||
8.250%, 04/01/15 | 210 | 223 | ||||
Georgia-Pacific LLC | ||||||
8.250%, 05/01/16 (A) | 3,090 | 3,206 | ||||
8.000%, 01/15/24 | 2,725 | 2,698 | ||||
7.125%, 01/15/17 (A) | 1,640 | 1,603 | ||||
7.000%, 01/15/15 (A) | 3,115 | 3,068 | ||||
Glatfelter | ||||||
7.125%, 05/01/16 | 855 | 831 | ||||
Graham Packaging | ||||||
9.875%, 10/15/14 | 3,533 | 3,630 | ||||
8.500%, 10/15/12 | 100 | 101 | ||||
Graphic Packaging International | ||||||
9.500%, 06/15/17 (A) | 420 | 446 | ||||
9.500%, 08/15/13 | 1,685 | 1,736 | ||||
9.500%, 06/15/17 (A) | 1,265 | 1,344 | ||||
Greif | ||||||
7.750%, 08/01/19 (A) | 155 | 159 | ||||
Huntsman International | ||||||
7.875%, 11/15/14 | 2,180 | 2,033 | ||||
7.375%, 01/01/15 | 1,675 | 1,520 | ||||
5.500%, 06/30/16 (A) | 215 | 183 | ||||
Innophos Holdings | ||||||
9.500%, 04/15/12 (A) | 725 | 711 | ||||
International Paper | ||||||
7.950%, 06/15/18 | 1,777 | 1,927 | ||||
Intertape Polymer | ||||||
8.500%, 08/01/14 | 865 | 670 | ||||
MacDermid | ||||||
9.500%, 04/15/17 (A) | 2,160 | 1,987 | ||||
| 122 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Millennium America | ||||||
7.625%, 11/15/26 (B) | $ | 175 | $ | 25 | ||
Nalco | ||||||
8.250%, 05/15/17 (A) | 930 | 977 | ||||
Newark Group | ||||||
9.750%, 03/15/14 (B) | 825 | 157 | ||||
NewPage | ||||||
11.375%, 12/31/14 (A) | 2,730 | 2,682 | ||||
10.000%, 05/01/12 | 1,275 | 842 | ||||
Noranda Aluminium Acquisition PIK | ||||||
5.412%, 05/15/15 (C) | 2,418 | 1,705 | ||||
Packaging Dynamics Finance | ||||||
10.000%, 05/01/16 (A) | 2,495 | 1,129 | ||||
PE Paper Escrow GmbH | ||||||
12.000%, 08/01/14 (A) | 175 | 189 | ||||
Plastipak Holdings | ||||||
10.625%, 08/15/19 (A) | 590 | 626 | ||||
8.500%, 12/15/15 (A) | 565 | 571 | ||||
PolyOne | ||||||
8.875%, 05/01/12 | 2,480 | 2,505 | ||||
Pregis | ||||||
12.375%, 10/15/13 | 1,330 | 1,257 | ||||
Reichhold Industries | ||||||
9.000%, 08/15/14 (A) | 1,969 | 1,634 | ||||
Rio Tinto Finance USA | ||||||
9.000%, 05/01/19 | 330 | 405 | ||||
8.950%, 05/01/14 | 660 | 779 | ||||
Ryerson | ||||||
12.000%, 11/01/15 | 990 | 946 | ||||
Sappi Papier Holding | ||||||
6.750%, 06/15/12 (A) | 1,290 | 1,193 | ||||
Sealed Air | ||||||
7.875%, 06/15/17 (A) | 1,120 | 1,181 | ||||
Smurfit-Stone Container | ||||||
8.375%, 07/01/12 (B) | 1,420 | 1,014 | ||||
Solo Cup | ||||||
10.500%, 11/01/13 (A) | 790 | 837 | ||||
8.500%, 02/15/14 | 1,150 | 1,098 | ||||
Solutia (Escrow Security) | ||||||
0.000%, 12/31/99 (B) | 230 | — | ||||
Steel Capital | ||||||
9.750%, 07/29/13 (A) | 245 | 245 | ||||
Steel Dynamics | ||||||
7.750%, 04/15/16 (A) | 2,355 | 2,367 | ||||
7.375%, 11/01/12 | 1,330 | 1,343 | ||||
6.750%, 04/01/15 | 475 | 455 | ||||
Teck Resources | ||||||
10.750%, 05/15/19 | 2,055 | 2,389 | ||||
10.250%, 05/15/16 | 2,205 | 2,492 | ||||
Terra Capital, Ser B | ||||||
7.000%, 02/01/17 | 965 | 1,006 | ||||
US Steel | ||||||
6.650%, 06/01/37 | 905 | 738 | ||||
6.050%, 06/01/17 | 780 | 729 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Vedanta Resources | ||||||
9.500%, 07/18/18 (A) | $ | 2,440 | $ | 2,403 | ||
Verso Paper Holdings | ||||||
11.500%, 07/01/14 (A) | 1,280 | 1,312 | ||||
9.125%, 08/01/14 | 2,970 | 2,198 | ||||
Vitro | ||||||
9.125%, 02/01/17 (B) | 2,360 | 1,127 | ||||
| 99,555 | ||||||
Telecommunication Services — 7.7% | ||||||
Cincinnati Bell | ||||||
8.250%, 10/15/17 | 370 | 365 | ||||
7.000%, 02/15/15 | 405 | 393 | ||||
Citizens Communications | ||||||
7.125%, 03/15/19 | 265 | 250 | ||||
6.625%, 03/15/15 | 980 | 936 | ||||
Cricket Communications | ||||||
10.000%, 07/15/15 | 575 | 591 | ||||
9.375%, 11/01/14 | 5,686 | 5,771 | ||||
Crown Castle International | ||||||
9.000%, 01/15/15 | 2,810 | 2,944 | ||||
Digicel | ||||||
12.000%, 04/01/14 (A) | 2,420 | 2,698 | ||||
Digicel Group | ||||||
9.250%, 09/01/12 (A) | 1,010 | 1,025 | ||||
9.125%, 01/15/15 (A) | 290 | 271 | ||||
8.875%, 01/15/15 (A) | 2,375 | 2,209 | ||||
Fairpoint Communications | ||||||
13.125%, 04/02/18 | 1,003 | 123 | ||||
Frontier Communications | ||||||
8.125%, 10/01/18 | 2,000 | 2,012 | ||||
GCI | ||||||
7.250%, 02/15/14 | 1,075 | 1,013 | ||||
Global Crossing | ||||||
12.000%, 09/15/15 (A) | 1,125 | 1,181 | ||||
Intelsat | ||||||
9.250%, 06/15/16 | 950 | 979 | ||||
Intelsat Bermuda | ||||||
11.250%, 02/04/17 (A) (E) | 2,415 | 2,397 | ||||
Intelsat Jackson Holding | ||||||
11.250%, 06/15/16 | 5,095 | 5,452 | ||||
9.500%, 06/15/16 | 1,370 | 1,439 | ||||
Intelsat Subsidiary Holding | ||||||
8.875%, 01/15/15 (A) | 1,950 | 1,974 | ||||
8.875%, 01/15/15 | 1,875 | 1,908 | ||||
iPCS PIK | ||||||
3.733%, 05/01/14 (C) | 2,424 | 1,854 | ||||
Level 3 Financing | ||||||
12.250%, 03/15/13 | 1,390 | 1,404 | ||||
9.250%, 11/01/14 | 580 | 511 | ||||
8.750%, 02/15/17 | 1,200 | 996 | ||||
4.601%, 02/15/15 (C) | 125 | 89 | ||||
Lucent Technologies | ||||||
6.450%, 03/15/29 | 910 | 693 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 123 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
MetroPCS Wireless | ||||||
9.250%, 11/01/14 | $ | 6,000 | $ | 6,135 | ||
9.250%, 11/01/14 | 1,290 | 1,319 | ||||
Nextel Communications | ||||||
6.875%, 10/31/13 | 1,750 | 1,623 | ||||
NII Capital | ||||||
10.000%, 08/15/16 (A) | 2,665 | 2,772 | ||||
Nordic Telephone Holdings | ||||||
8.875%, 05/01/16 (A) | 3,385 | 3,503 | ||||
Orascom Telecom Finance | ||||||
7.875%, 02/08/14 (A) | 2,000 | 1,910 | ||||
PAETEC Holding | ||||||
9.500%, 07/15/15 | 1,370 | 1,243 | ||||
8.875%, 06/30/17 (A) | 1,740 | 1,731 | ||||
Qwest | ||||||
7.500%, 10/01/14 | 555 | 561 | ||||
7.250%, 09/15/25 | 350 | 302 | ||||
7.250%, 10/15/35 | 1,200 | 966 | ||||
6.875%, 09/15/33 | 225 | 182 | ||||
Qwest Communications International | ||||||
7.250%, 02/15/11 | 1,505 | 1,526 | ||||
Qwest Communications International, Ser B | ||||||
7.500%, 02/15/14 | 1,120 | 1,106 | ||||
SBA Telecommunications | ||||||
8.250%, 08/15/19 (A) | 1,435 | 1,478 | ||||
8.000%, 08/15/16 (A) | 360 | 368 | ||||
Sprint Capital | ||||||
8.750%, 03/15/32 | 3,140 | 2,967 | ||||
6.900%, 05/01/19 | 4,605 | 4,121 | ||||
Sprint Nextel | ||||||
6.000%, 12/01/16 | 685 | 611 | ||||
Telcordia Technologies | ||||||
10.000%, 03/15/13 (A) | 1,105 | 851 | ||||
4.259%, 07/15/12 (A) (C) | 3,500 | 3,019 | ||||
Telesat Canada | ||||||
12.500%, 11/01/17 | 635 | 676 | ||||
11.000%, 11/01/15 | 765 | 815 | ||||
VIP Finance Ireland for Vimpel Communications | ||||||
9.125%, 04/30/18 (A) | 1,165 | 1,219 | ||||
Virgin Media Finance PLC | ||||||
9.500%, 08/15/16 | 3,195 | 3,363 | ||||
West | ||||||
11.000%, 10/15/16 | 875 | 868 | ||||
9.500%, 10/15/14 | 1,000 | 980 | ||||
Wind Acquisition Finance | ||||||
12.000%, 12/01/09 (A) | 2,335 | 2,568 | ||||
11.750%, 07/15/17 (A) | 4,103 | 4,626 | ||||
Windstream | ||||||
8.625%, 08/01/16 | 3,875 | 3,982 | ||||
8.125%, 08/01/13 | 1,140 | 1,171 | ||||
| 100,040 | ||||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Utilities — 3.2% | ||||||
AES | ||||||
9.750%, 04/15/16 (A) | $ | 1,620 | $ | 1,766 | ||
8.000%, 06/01/20 | 270 | 268 | ||||
8.000%, 10/15/17 | 1,435 | 1,451 | ||||
7.750%, 03/01/14 | 50 | 50 | ||||
Calpine Construction Finance | ||||||
8.000%, 06/01/16 (A) | 735 | 753 | ||||
Calpine Generating | �� | |||||
14.320%, 04/01/11 (B) (C) | 1,600 | 152 | ||||
Edison Mission Energy | ||||||
7.500%, 06/15/13 | 1,755 | 1,645 | ||||
7.200%, 05/15/19 | 1,650 | 1,336 | ||||
7.000%, 05/15/17 | 4,327 | 3,613 | ||||
Elwood Energy | ||||||
8.159%, 07/05/26 | 859 | 757 | ||||
Energy Future Holdings | ||||||
10.875%, 11/01/17 | 3,300 | 2,492 | ||||
6.500%, 11/15/24 | 475 | 220 | ||||
Ferrellgas Partners | ||||||
9.125%, 10/01/17 (A) | 2,100 | 2,163 | ||||
Mirant (Escrow Security) | ||||||
0.000%, 10/15/49 (B) | 50 | — | ||||
0.000%, 07/15/04 (B) | 450 | 5 | ||||
Mirant Americas Generation LLC | ||||||
8.500%, 10/01/21 | 2,867 | 2,494 | ||||
Mirant Mid Atlantic Trust | ||||||
8.625%, 06/30/12 | 403 | 410 | ||||
Mirant North America LLC | ||||||
7.375%, 12/31/13 | 1,970 | 1,960 | ||||
North American Energy Alliance | ||||||
10.875%, 06/01/16 (A) | 1,100 | 1,133 | ||||
NRG Energy | ||||||
8.500%, 06/15/19 | 1,480 | 1,482 | ||||
7.375%, 02/01/16 | 2,445 | 2,366 | ||||
7.375%, 01/15/17 | 3,795 | 3,672 | ||||
7.250%, 02/01/14 | 1,320 | 1,297 | ||||
Orion Power Holdings | ||||||
12.000%, 05/01/10 | 900 | 932 | ||||
Public Service of New Mexico | ||||||
7.950%, 05/15/18 | 2,600 | 2,622 | ||||
Puget Sound Energy | ||||||
6.974%, 06/01/67 (C) | 905 | 727 | ||||
Tenaska Alabama Partners | ||||||
7.000%, 06/30/21 (A) | 327 | 297 | ||||
Texas Competitive Electric Holdings | ||||||
10.250%, 11/01/15 | 506 | 364 | ||||
10.250%, 11/01/15 | 6,605 | 4,756 | ||||
Energy Future Holdings, Ser R | ||||||
6.550%, 11/15/34 | 690 | 310 | ||||
| 41,493 | ||||||
Total Corporate Obligations (Cost $1,011,721) ($ Thousands) | 1,051,589 | |||||
| 124 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
LOAN PARTICIPATIONS — 9.8% | ||||||
Affinion Group | ||||||
8.273%, 03/01/12 | $ | 4,505 | $ | 3,919 | ||
Alion Science and Technology, | ||||||
9.500%, 02/06/13 | 1,995 | 1,769 | ||||
Alliant Insurance Services, Term C Loan | ||||||
8.000%, 08/21/14 | 700 | 704 | ||||
Alliant Insurance Services, Term B Loan | ||||||
3.598%, 08/21/14 | 1,228 | 1,148 | ||||
Allison Transmission | ||||||
3.000%, 08/07/14 | 399 | 347 | ||||
American General Finance, Term B Loan | ||||||
0.000%, 07/14/10 (F) | 1,135 | 1,030 | ||||
Aspect Software, Term Loan A-1 | ||||||
3.313%, 07/11/11 | 1,975 | 1,810 | ||||
Asurion, 2nd Lien | ||||||
6.746%, 07/03/15 | 3,075 | 2,896 | ||||
ATP Oil and Gas | ||||||
9.000%, 12/26/13 | 184 | 169 | ||||
8.500%, 12/26/13 | 701 | 642 | ||||
BOC Edwards | ||||||
2.261%, 05/31/14 | 739 | 458 | ||||
Boise Paper | ||||||
9.250%, 02/22/15 | 800 | 788 | ||||
Boston Generating Mezzanine | ||||||
7.339%, 12/20/16 | 198 | 3 | ||||
Boston Generating, 2nd Lien | ||||||
4.589%, 06/20/14 | 700 | 159 | ||||
Central Parking (Synthetic) | ||||||
0.225%, 05/22/14 (C) | 608 | 475 | ||||
Central Parking, 1st Lien | ||||||
2.500%, 05/22/14 | 1,437 | 1,114 | ||||
Cequel Communications, 2nd Lien PIK | ||||||
6.288%, 05/05/14 | 1,067 | 1,028 | ||||
6.244%, 05/05/14 | 77 | 74 | ||||
Charter Communications Operating | ||||||
0.000%, 03/06/14 (F) | 2,070 | 1,949 | ||||
Chester Downs | ||||||
12.375%, 12/31/49 | 590 | 583 | ||||
Claire’s Stores | ||||||
3.114%, 05/27/14 | 1,512 | 1,137 | ||||
3.011%, 05/27/14 | 200 | 150 | ||||
Clearwire | ||||||
9.230%, 07/03/12 | 499 | 480 | ||||
0.000%, 07/03/12 (F) | 4,142 | 3,990 | ||||
DAE Aviation Holdings, Tranche B-1 | ||||||
4.240%, 07/31/14 | 360 | 320 | ||||
DAE Aviation Holdings, Tranche B-2 | ||||||
4.090%, 09/27/14 | 353 | 314 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Dana, Term B Loan | ||||||
0.000%, 01/31/15 (F) | $ | 2,020 | $ | 1,800 | ||
Dex Media West, Term B Loan | ||||||
7.000%, 10/24/14 (B) (C) | 1,794 | 1,528 | ||||
Dresser, 2nd Lien | ||||||
5.994%, 05/04/15 | 760 | 657 | ||||
Federal Mogul, Term B Loan | ||||||
2.195%, 12/28/15 | 2,048 | 1,568 | ||||
Federal Mogul, Term C Loan | ||||||
2.186%, 12/27/15 | 1,045 | 800 | ||||
First Data, Tranche B-1 | ||||||
3.036%, 09/24/14 | 2,266 | 1,947 | ||||
First Data, Tranche B-2 | ||||||
3.011%, 09/24/14 | 328 | 282 | ||||
Flextronics International, Term A Loan | ||||||
2.511%, 10/01/14 | 798 | 714 | ||||
Flextronics, Term Loan B12 | ||||||
2.847%, 10/01/12 | 995 | 922 | ||||
Ford Motor Revolving Credit | ||||||
2.640%, 12/15/13 | 1,469 | 1,309 | ||||
0.000%, 12/14/11 (I) | 91 | 10 | ||||
Freescale Semiconductor | ||||||
12.500%, 12/15/14 | 3,536 | 3,536 | ||||
Georgia Pacific | ||||||
2.382%, 02/14/13 | 327 | 314 | ||||
Greektown Casino | ||||||
7.750%, 12/03/12 (B) | 450 | 353 | ||||
7.000%, 12/03/12 (B) | 200 | 157 | ||||
Green Valley Ranch Gaming | ||||||
0.000%, 02/16/14 (F) | 900 | 671 | ||||
Green Valley Ranch Gaming, 2nd Lien | ||||||
3.549%, 08/06/14 | 2,000 | 510 | ||||
Guitar Center | ||||||
3.750%, 10/09/13 | 1,892 | 1,552 | ||||
Harrah’s | ||||||
3.500%, 01/28/15 | 1,266 | 1,023 | ||||
Harrah’s Operating | ||||||
0.000%, 01/28/15 (F) | 3,000 | 2,962 | ||||
Hexion Specialty Chemicals, Term Loan C1 | ||||||
2.875%, 05/05/13 (C) | 2,489 | 2,069 | ||||
Hexion Specialty Chemicals, Term Loan C2 | ||||||
2.563%, 05/05/13 | 465 | 386 | ||||
Iasis Healthcare | ||||||
5.738%, 06/13/14 | 3,989 | 3,430 | ||||
Ineos Group, Term B Loan | ||||||
4.789%, 12/16/13 (C) | 1,291 | 1,081 | ||||
0.000%, 12/16/13(F) | 210 | 176 | ||||
Ineos Group, Term C Loan | ||||||
5.289%, 12/16/14 (C) | 1,291 | 1,085 | ||||
0.000%, 12/16/14 (F) | 210 | 177 | ||||
INEOS U.S. Finance, Term Loan B-2 | ||||||
9.501%, 12/16/13 | 1,732 | 1,450 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 125 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
INEOS U.S. Finance, Term Loan C-2 | ||||||
10.001%, 12/16/14 | $ | 1,732 | $ | 1,456 | ||
Infor Enterprise Solutions | ||||||
6.511%, 03/02/14 | 57 | 38 | ||||
0.000%, 03/02/14 (F) | 859 | 566 | ||||
Infor Enterprise Solutions, 2nd Lien | ||||||
0.000%, 03/02/14 (F) | 2,266 | 1,491 | ||||
Infor Global Solutions, Term B Loan | ||||||
0.000%, 07/30/12 (F) | 746 | 674 | ||||
Infor Global Solutions | ||||||
6.511%, 03/02/14 | 99 | 65 | ||||
0.000%, 07/28/12 (F) | 859 | 776 | ||||
Infor Global Solutions, Term B Loan | ||||||
0.000%, 07/30/12 (F) | 1,363 | 1,230 | ||||
Intelsat Jackson Holding | ||||||
0.000%, 02/01/14 (F) | 2,100 | 1,796 | ||||
Jacuzzi, 1st Lien | ||||||
0.000%, 02/15/14 (F) | 660 | 314 | ||||
2.511%, 02/14/14 | 440 | 209 | ||||
La Paloma, 1st Lien | ||||||
2.010%, 08/16/12 | 2,189 | 1,919 | ||||
Landry’s Restuarants | ||||||
9.500%, 05/13/11 | 1,718 | 1,718 | ||||
Las Vegas Sands Delayed Draw | ||||||
2.090%, 05/17/14 | 268 | 224 | ||||
Las Vegas Sands, Term B Loan | ||||||
0.393%, 05/23/14 (F) | 200 | 167 | ||||
Las Vegas Sands, Tranche B | ||||||
2.090%, 05/17/14 | 1,327 | 1,108 | ||||
Lyondell Chemical Dutch Tranche A Dollar Term Loan | ||||||
3.746%, 12/20/13 | 177 | 116 | ||||
Lyondell Chemical Dutch Revolving Credit Loan | ||||||
3.746%, 12/20/13 | 60 | 39 | ||||
Lyondell Chemical, German Tranche B-1 Euro Term Loan | ||||||
3.996%, 12/22/14 | 219 | 143 | ||||
Lyondell Chemical, German Tranche B-2 Euro Term Loan | ||||||
3.996%, 12/22/14 | 219 | 143 | ||||
Lyondell Chemical, German Tranche B-3 Euro Term Loan | ||||||
3.996%, 12/22/14 | 219 | 143 | ||||
Lyondell Chemical, Initial New Money DIP Loan | ||||||
13.000%, 02/03/10 | 1,420 | 1,447 | ||||
Lyondell Chemical, Primary Revolving Credit | ||||||
3.746%, 4/30/14 | 286 | 187 | ||||
Lyondell Chemical, Roll-Up Dip | ||||||
5.746%, 2/3/10 | 1,554 | 1,510 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Lyondell Chemical, U.S. Tranche A Dollar Term Loan | ||||||
3.746%, 12/20/13 | $ | 561 | $ | 367 | ||
Lyondell Chemical, U.S. Tranche B-1 Dollar Term Loan | ||||||
7.000%, 12/22/14 | 950 | 621 | ||||
Lyondell Chemical, U.S. Tranche B-2 Dollar Term Loan | ||||||
7.000%, 12/22/14 | 950 | 621 | ||||
Lyondell Chemical, U.S. Tranche B-3 Dollar Term Loan | ||||||
7.000%, 12/22/14 | 950 | 621 | ||||
Marisco Capital Management, Term B Loan. | ||||||
0.000%, 12/14/13 (F) | 1,000 | 596 | ||||
Metroflag, 2nd Lien | ||||||
14.000%, 01/06/09 (B) | 300 | 15 | ||||
Murray Bank, 2nd Lien | ||||||
8.813%, 01/31/11 | 1,974 | 1,920 | ||||
Navistar Financial, Term B Loan | ||||||
0.000%, 01/19/12 (F) | 505 | 490 | ||||
Navistar Financial | ||||||
3.496%, 01/19/12 | 1,185 | 1,150 | ||||
Neiman Marcus Group | ||||||
2.253%, 04/26/13 | 835 | 722 | ||||
Nuveen Investments | ||||||
12.500%, 11/09/14 | 595 | 513 | ||||
3.496%, 11/09/14 | 979 | 843 | ||||
3.488%, 11/09/14 | 1,046 | 901 | ||||
Nuveen Investments, 2nd Lien | ||||||
12.500%, 11/09/14 | 520 | 519 | ||||
Nuveen Investments, Term B Loan | ||||||
0.000%, 11/13/14 (F) | 315 | 271 | ||||
OSI Restaurant Partners | ||||||
4.500%, 06/14/14 | 1,362 | 1,151 | ||||
2.563%, 06/14/13 | 115 | 97 | ||||
Outback, Term B Loan | ||||||
0.000%, 06/14/14 (F) | 885 | 747 | ||||
Penhall Unsecured Term Loan | ||||||
9.995%, 04/01/12 | 791 | 32 | ||||
ProQuest, 2nd Lien | ||||||
6.037%, 02/09/15 | 1,200 | 1,104 | ||||
Realogy | ||||||
3.254%, 10/13/13 | 1,030 | 868 | ||||
Rexnord | ||||||
7.361%, 03/01/13 | 2,141 | 1,177 | ||||
Reynolds & Reynolds, 1st Lien | ||||||
2.261%, 10/24/12 (C) | 499 | 437 | ||||
Reynolds & Reynolds, 3rd Lien | ||||||
7.761%, 04/24/14 (C) | 2,150 | 1,419 | ||||
7.761%, 04/26/14 | 1,300 | 858 | ||||
Reynolds & Reynolds. 1st Lien | ||||||
2.261%, 10/24/12 | 493 | 431 | ||||
| 126 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
RH Donnelley, Term D Loan | ||||||
6.750%, 06/30/11 (C) | $ | 1,288 | $ | 1,091 | ||
Rite Aid | ||||||
9.500%, 06/01/15 | 1,730 | 1,806 | ||||
Sabre Holdings | ||||||
2.499%, 09/30/14 | 1,230 | 1,081 | ||||
Sbarro, Term B Loan | ||||||
4.788%, 01/31/14 | 2,367 | 2,035 | ||||
Sensata Technologies | ||||||
2.246%, 04/27/13 | 1,857 | 1,584 | ||||
Servicemaster | ||||||
2.770%, 10/17/14 | 680 | 606 | ||||
2.750%, 10/17/14 | 68 | 60 | ||||
Simmons | ||||||
7.351%, 02/15/12 | 1,657 | 25 | ||||
7.313%, 02/15/12 | 1,227 | 18 | ||||
Simmons Bedding, Tranche B | ||||||
10.500%, 12/19/11 | 945 | 932 | ||||
Sorenson Communications | ||||||
15.000%, 06/30/14 | 800 | 618 | ||||
Sorenson Communications, 2nd Lien | ||||||
7.246%, 02/16/14 | 3,900 | 3,617 | ||||
Sorenson Holdings PIK | ||||||
15.000%, 07/18/14 (C) | 1,558 | 1,203 | ||||
15.000%, 06/30/14 | 843 | 651 | ||||
Stallion Oilfield Service | ||||||
2.720%, 06/12/13 | 2,467 | 1,851 | ||||
Texas Competitive Electric Holdings Initial Tranche B-2 Term Loan | ||||||
3.754%, 10/10/14 | 10,962 | 8,720 | ||||
3.783%, 10/10/14 | 57 | 44 | ||||
Texas Competitive Electric Holdings Initial Tranche B-3 Term Loan | ||||||
3.754%, 10/10/14 | 382 | 303 | ||||
3.783%, 10/10/14 | 2 | 2 | ||||
Verint Systems | ||||||
3.500%, 05/25/14 | 2,212 | 2,005 | ||||
Western Refining | ||||||
8.250%, 05/30/14 | 771 | 762 | ||||
World Color Press | ||||||
9.000%, 01/16/11 | 1,700 | 1,698 | ||||
Total Loan Participations | 126,607 | |||||
COLLATERALIZED DEBT OBLIGATION — 3.0% | ||||||
Financials — 3.0% | ||||||
ACAS Business Loan Trust , Ser 2007-2A , Cl A | ||||||
0.840%, 11/18/09 (A) (C) | 1,329 | 1,050 | ||||
ACAS CLO, Ser 2007-1A, Cl A1J | ||||||
0.820%, 04/20/21 (A) (C) | 3,150 | 2,111 | ||||
ARES CLO, Ser 2006-1A, Cl SUB | ||||||
0.000%, 02/24/18 (A) | 7,000 | 210 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
ARES CLO, Ser 2007-11A, Cl SUB | ||||||
0.000%, 10/11/21 (A) | $ | 2,400 | $ | 240 | ||
ARES CLO, Ser 2007-1A, Cl SUB | ||||||
0.000%, 04/16/21 (A) | 3,800 | 266 | ||||
Babson CLO, Ser 2004-II, Cl SUB | ||||||
0.000%, 11/15/16 (A) | 1,700 | 43 | ||||
Babson CLO, Ser 2007-2A, Cl D | ||||||
1.988%, 04/15/21 (A) (C) | 913 | 365 | ||||
Babson CLO, Ser 2007-2A, Cl INC | ||||||
0.000%, 04/15/21 (A) (C) | 2,500 | 100 | ||||
Battalion CLO, Ser 2007-1A, Cl E | ||||||
4.755%, 07/14/22 (A) (C) | 2,300 | 575 | ||||
Battalion CLO, Ser 2007-I, Cl SUB | ||||||
0.000%, 07/14/22 (A) | 1,750 | 193 | ||||
Capitalsource Advisors, | ||||||
0.000%, 08/27/20 (A) | 3,200 | 64 | ||||
CIFC Funding, Ser 2007-2A | ||||||
0.000%, 04/15/21 (A) | 2,700 | 27 | ||||
CIFC Funding, Ser 2007-IV | ||||||
0.000%, 09/20/19 | 1,000 | 220 | ||||
CIFC Funding, Ser 2006-I, Cl I | ||||||
0.000%, 10/20/20* (A) (C) | 2,300 | 46 | ||||
CIFC Funding, Ser 2006-II | ||||||
0.000%, 03/01/21* (A) (C) | 3,000 | 180 | ||||
CIFC, Ser 2006-1BA | ||||||
1.119%, 12/22/20 (A) (C) | 3,150 | 1,257 | ||||
CIFC, Ser 2006-1BA, Cl A2L | ||||||
0.709%, 12/22/20 (A) (C) | 5,000 | 2,852 | ||||
CIFC, Ser 2007-3A, Cl B | ||||||
1.754%, 07/26/21 (A) (C) | 2,500 | 1,077 | ||||
CIT CLO, Ser 2007-1A, Cl E | ||||||
5.606%, 06/20/21 (C) | 1,900 | 285 | ||||
CIT CLO, Ser 2007-1A, Cl D | ||||||
2.292%, 06/20/21 (A) (C) | 2,800 | 910 | ||||
Connecticut Valley Structured Credit CDO, | ||||||
0.000%, 03/23/23 (A) | 2,200 | 6 | ||||
Copper River CLO, Ser 2006-1A, Cl INC | ||||||
0.000%, 01/20/21 (A) (C) | 3,000 | 1,125 | ||||
De Meer Middle Market CLO, | ||||||
0.910%, 10/20/18 (A) (C) | 1,029 | 720 | ||||
De Meer Middle Market CLO, | ||||||
0.000%, 10/20/18 (A) | 3,366 | 1,262 | ||||
Denali Capital CLO VII, | ||||||
0.000%, 01/22/22 (A) | 2,200 | 220 | ||||
Duane Street CLO, Ser 2007-5A, Cl SN | ||||||
0.000%, 10/14/21 (A) | 3,300 | 231 | ||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 127 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2009
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Emporia Preferred Funding, Cl C | ||||||
1.403%, 04/23/21 (A) (C) | $ | 2,708 | $ | 1,462 | ||
Flagship CLO, Ser 2006-1A, Cl B | ||||||
0.642%, 09/20/19 (A) (C) | 2,680 | 1,514 | ||||
Gale Force CLO, Ser 2005-1A, Cl COM1 | ||||||
0.744%, 11/15/17 (A) | 5,355 | 1,720 | ||||
Gale Force CLO, Ser 2007-4A, Cl E | ||||||
6.825%, 12/15/17 (C) | 1,100 | 495 | ||||
Gale Force CLO, Ser 2008-4A, Cl INC | ||||||
2.810%, 12/15/17 (C) | 1,500 | 450 | ||||
Gleneagles CLO, Ser AI | ||||||
0.000%, 11/01/17 (C) | 6,500 | 65 | ||||
Greenbriar CLO, Ser 2007-1A , Cl D | ||||||
3.233%, 11/01/21 (A) (C) | 3,986 | 159 | ||||
Hamlet II, Ser 2006-2A, Cl A2B | ||||||
0.791%, 05/11/21 (A) (C) | 825 | 586 | ||||
Harch CLO, Ser 2007-1A, Cl C | ||||||
1.246%, 04/17/20 (A) (C) | 750 | 323 | ||||
Hudson Straits CLO, Ser 2004-1A, Cl B | ||||||
1.259%, 10/15/16 (A) (C) | 2,100 | 1,344 | ||||
ING Investment Management I CLO | ||||||
0.000%, 12/01/17 (A) (C) | 12,500 | 375 | ||||
ING Investment Management II CLO | ||||||
0.000%, 08/01/20 (A) (C) | 5,000 | 168 | ||||
Lightpoint CLO, Ser 2006-4A, Cl INC | ||||||
0.000%, 04/15/18 (A) | 2,500 | 25 | ||||
Marathon CLO, Ser 2005-2A, Cl INC | ||||||
0.000%, 12/20/19 (A) | 3,000 | 15 | ||||
Marathon CLO, Ser 2005-2A, Cl B | ||||||
1.092%, 12/20/19 (A) (C) | 1,200 | 626 | ||||
Marlborough Street CLO, | ||||||
0.000%, 04/18/19 (A) | 2,400 | 192 | ||||
Marlborough Street CLO, | ||||||
0.860%, 04/18/19 (A) (C) | 2,125 | 1,551 | ||||
Peritus I CDO, Ser 2005-1A, Cl C | ||||||
9.000%, 05/24/15 (A) | 12,951 | 1,554 | ||||
Peritus I CDO, Ser 2007-1A | ||||||
0.000%, 12/19/17 (B) | 3,750 | 75 | ||||
Rockwall Investors | ||||||
0.000%, 08/01/21 (A) (B) (C) | 4,000 | 40 | ||||
Sands Point Funding, Ser 2006-1A, Cl C | ||||||
1.310%, 07/18/20 (A) (C) | 2,240 | 896 | ||||
Stanfield Bristol CLO, Ser 2005-1A, Cl SUB | ||||||
0.000%, 10/15/19 (A) | 6,300 | 63 | ||||
Stanfield Daytona CLO | ||||||
0.000%, 04/27/21 | 3,200 | 224 | ||||
| Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Stanfield Veyron CLO, Ser 2006-1A, Cl SUB | ||||||
0.000%, 07/15/18 | $ | 2,300 | $ | 107 | ||
Telos CLO, Ser 2006-1A, Cl A2 | ||||||
0.910%, 10/11/21 (A) (C) | 2,834 | 1,559 | ||||
Tralee CDO, Ser 2007-1A, Cl SUB | ||||||
0.000%, 04/16/22 (A) | 2,700 | 27 | ||||
Venture CDO, Ser 2004-1A, Cl A2 | ||||||
1.040%, 08/15/16 (A) (C) | 2,684 | 1,476 | ||||
Venture CDO, Ser 2006-7A, Cl A1B | ||||||
0.840%, 01/20/22 (A) (C) | 2,054 | 1,335 | ||||
Waterfront CLO, Ser 2007-1A, Cl A2 | ||||||
0.909%, 08/02/20 (A) (C) | 4,050 | 2,592 | ||||
Whitehorse II | ||||||
0.000%, 03/15/13 (A) (B) (C) | 30 | 30 | ||||
Whitehorse, Ser 2006-4A, Cl A2 | ||||||
0.930%, 01/17/20 (A) (C) | 2,858 | 1,550 | ||||
Collateralized Debt Obligation (Cost $111,516) ($ Thousands) | 38,233 | |||||
CONVERTIBLE BONDS — 0.8% | ||||||
ADC Telecommunications CV to 37.0336 | ||||||
3.500%, 07/15/15 | 750 | 576 | ||||
Beazer Homes CV to 19.4400 | ||||||
4.625%, 06/15/24 | 443 | 386 | ||||
Bill Barrett | ||||||
5.000%, 03/15/28 | 450 | 425 | ||||
Century Aluminum | ||||||
1.750%, 08/01/24 | 165 | 149 | ||||
Developers Diversified Realty | ||||||
3.000%, 03/15/12‡ | 515 | 454 | ||||
Interpublic Group | ||||||
4.250%, 03/15/23 | 595 | 585 | ||||
L-1 Identity Solutions | ||||||
3.750%, 05/15/27 | 640 | 562 | ||||
Level 3 Communications | ||||||
5.250%, 12/15/11 | 340 | 303 | ||||
Liberty Media | ||||||
4.000%, 11/15/29 | 375 | 191 | ||||
3.750%, 02/15/30 | 540 | 270 | ||||
Lions Gate Entertainment CV to 86.9565 | ||||||
2.938%, 10/15/24 | 1,124 | 1,013 | ||||
Mirant | ||||||
0.000%, 07/15/49 (B) | 1,150 | — | ||||
Mirant CV to 14.7167 | ||||||
0.000%, 06/15/21 (B) | 2,200 | 4 | ||||
Morgans Hotel Group | ||||||
2.375%, 10/15/14 | 490 | 303 | ||||
NII Holdings CV to 8.4517 | ||||||
3.125%, 06/15/12 | 3,000 | 2,621 | ||||
| 128 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Description | Face Amount ($ Thousands)/Shares | Market Value ($ Thousands) | ||||
Omnicare | ||||||
3.250%, 12/15/35 | $ | 875 | $ | 671 | ||
Pantry | ||||||
3.000%, 11/15/12 | 1,000 | 824 | ||||
ProLogis CV to 13.1614 | ||||||
2.250%, 04/01/37‡ | 1,165 | 1,050 | ||||
SanDisk CV to 12.1426 | ||||||
1.000%, 05/15/13 | 620 | 482 | ||||
Total Convertible Bonds (Cost $10,039) ($ Thousands) | 10,869 | |||||
PREFERRED STOCK — 0.2% | ||||||
Axis Capital Holdings (C) | 13 | 899 | ||||
Crown Castle International CV to 1.3599 | 15 | 766 | ||||
Dana, Ser B* | 548 | 345 | ||||
GMAC | ||||||
7.000%, 12/31/49* | 1 | 854 | ||||
Total Preferred Stock (Cost $1,869) ($ Thousands) | 2,864 | |||||
COMMON STOCK — 0.1% | ||||||
Broder Bros.* (D) (H) | 56,668 | 35 | ||||
Dana Holding* | 64,570 | 440 | ||||
Delta Air Lines* | 264 | 2 | ||||
Federal Mogul, Cl A* | 31,827 | 384 | ||||
Shreveport Gaming Holdings | 13,948 | 244 | ||||
Spectrum Brands* | 28,614 | 658 | ||||
VSS AHC, CI A | 27,106 | 3 | ||||
Winn-Dixie Stores* | 8,445 | 110 | ||||
World Color Press* | 23,326 | 222 | ||||
Total Common Stock (Cost $5,191) ($ Thousands) | 2,098 | |||||
Number of | ||||||
WARRANTS — 0.0% | ||||||
Atrium, Expires 10/14/18* | 706 | — | ||||
Grande Communications, Expires 04/01/11* | 850 | — | ||||
World Color Press, Expires 2014* | 26,438 | 67 | ||||
Total Warrants (Cost $459) ($ Thousands) | 67 | |||||
| Description | Shares | Market Value ($ Thousands) | |||
AFFILIATED PARTNERSHIP — 0.0% | |||||
SEI Liquidity Fund, L.P., | |||||
0.400% (G)**† | 187,182 | $ | 184 | ||
Total Affiliated Partnership | 184 | ||||
CASH EQUIVALENT — 3.2% | |||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110%**† | 41,521,178 | 41,521 | |||
Total Cash Equivalent (Cost $41,521) ($ Thousands) | 41,521 | ||||
Total Investments — 98.7% | $ | 1,274,032 | |||
Percentages are based on a Net Assets of $1,290,164 ($ Thousands).
| * | Non-income producing security. |
| ** | The rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Investment in Affiliated Security (see Note 5). |
| ‡ | Real Estate Investment Trust. |
| (A) | 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 be sold only 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. |
| (B) | Security in default on interest payments. |
| (C) | Variable Rate Security –– The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2009. The date reported on the Schedule of Investments is the maturity date. The effective date may be shorter. |
| (D) | This security or a partial position of this security is on loan at September 30, 2009 (see Note 9). The total market value of securities on loan at September 30, 2009 was $173 ($ Thousands). |
| (E) | Step Bonds –– The rate reflected on the Schedule of Investments is the effective yield on September 30, 2009. The coupon on a step bond changes on a specified date. |
| (F) | Unsettled bank loan. Interest rate not available. |
| (G) | This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2009 was $184 ($ Thousands). |
| (H) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2009 was $35 ($ Thousands) and represented 0.00% of net Assets. |
| (I) | Unfunded Bank Loan. |
CDO — Collateralized Debt Obligation
Cl — Class
CLO — Collateralized Loan Obligation
CV — Convertible Security
LLC — Limited Liability Company
L.P. — Limited Partnership
MTN — Medium Term Note
PIK — Payment-in-Kind
PLC — Public Limited Company
Ser — Series
Amounts designated as “—” are $0 or have been rounded to $0.
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 129 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Concluded)
September 30, 2009
The following is a summary of the inputs used as of September 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):
| Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||
Corporate Obligations | $ | — | $ | 1,048,045 | $ | 3,544 | $ | 1,051,589 | ||||
Loan Participations | — | 105,691 | 20,916 | 126,607 | ||||||||
Collateralized Debt Obligations | — | 1,617 | 36,616 | 38,233 | ||||||||
Convertible Bonds | — | 10,865 | 4 | 10,869 | ||||||||
Preferred Stock | — | 2,864 | — | 2,864 | ||||||||
Common Stock | 1,819 | — | 279 | 2,098 | ||||||||
Warrants | — | 67 | — | 67 | ||||||||
Affiliated Partnership | — | 184 | — | 184 | ||||||||
Cash Equivalent | 41,521 | — | — | 41,521 | ||||||||
Total Investments in Securities | $ | 43,340 | $ | 1,169,333 | $ | 61,359 | $ | 1,274,032 | ||||
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
Corporate | Loan | Collateralized | Convertible | Common | |||||||||||||||
Beginning balance as of October 1, 2008 | $ | 568 | $ | 45,745 | $ | 38,627 | $ | 4 | $ | 251 | |||||||||
Accrued discounts/premiums | 10 | 103 | 227 | — | — | ||||||||||||||
Realized gain/(loss) | 23 | 1,997 | (2,660 | ) | — | — | |||||||||||||
Change in unrealized appreciation/(depreciation) | (19 | ) | 95 | (18,619 | ) | — | (7 | ) | |||||||||||
Net purchases/sales | 2,519 | 12,578 | 3,370 | — | — | ||||||||||||||
Net transfer in and/or out of Level 3 | 443 | (39,602 | ) | 15,671 | — | 35 | |||||||||||||
Ending balance as of September 30, 2009 | $ | 3,544 | $ | 20,916 | $ | 36,616 | $ | 4 | $ | 279 | |||||||||
Changes in unrealized gains/(losses included in earnings | $ | (33 | ) | $ | (620 | ) | $ | (26,899 | ) | $ | — | $ | (7 | ) | |||||
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
| 130 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
SCHEDULE OF INVESTMENTS
Real Return Fund
September 30, 2009
| Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 91.9% | ||||||||
U.S. Treasury Bond TIPS | ||||||||
4.250%, 01/15/10 | $ | 2,450 | $ | 3,165 | ||||
3.500%, 01/15/11 | 2,490 | 3,207 | ||||||
2.375%, 04/15/11 | 3,350 | 3,743 | ||||||
3.375%, 01/15/12 | 4,965 | 6,404 | ||||||
2.000%, 04/15/12 to 07/15/14 | 24,980 | 29,080 | ||||||
3.000%, 07/15/12 | 8,520 | 10,849 | ||||||
0.625%, 04/15/13 | 5,625 | 5,717 | ||||||
1.875%, 07/15/13 | 12,095 | 14,652 | ||||||
Total U.S. Treasury Obligations | 76,817 | |||||||
CASH EQUIVALENT — 7.1% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110%*† | 5,926,862 | 5,927 | ||||||
Total Cash Equivalent | 5,927 | |||||||
Total Investments — 99.0% | $ | 82,744 | ||||||
Percentages are based on Net Assets of $83,568 ($ Thousands).
| * | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Investment in Affiliated Security (see Note 5). |
Cl — Class
TIPS — Treasury Inflation Protected Security
The following is a summary of the inputs used as of September 30, 2009 in valuing the Fund’s investments carried at value ($ Thousands):
| Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||
U.S. Treasury Obligations | $ | — | $ | 76,817 | $ | — | $ | 76,817 | ||||
Cash Equivalent | 5,927 | — | — | 5,927 | ||||||||
Total Investments in Securities | $ | 5,927 | $ | 76,817 | $ | — | $ | 82,744 | ||||
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 131 |
Table of Contents
Statements of Assets and Liabilities ($ Thousands)
September 30, 2009
| Large Cap Value Fund | Large Cap Growth Fund | Tax-Managed Large Cap Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value† | $ | 1,776,921 | * | $ | 1,953,662 | * | $ | 1,568,720 | * | |||
Affiliated investment, at value†† | 375,080 | 313,467 | 229,596 | |||||||||
Cash | 65 | 11 | 20 | |||||||||
Receivable for investment securities sold | 64,534 | 54,851 | 4,725 | |||||||||
Receivable for fund shares sold | 1,972 | 2,028 | 2,506 | |||||||||
Dividends and interest receivable | 2,377 | 1,731 | 1,538 | |||||||||
Receivable for variation margin | 13 | 4 | 25,416 | |||||||||
Prepaid Expenses | 26 | 21 | 16 | |||||||||
Total Assets | 2,220,988 | 2,325,775 | 1,832,537 | |||||||||
LIABILITIES: | ||||||||||||
Payable upon return on securities loaned | 340,459 | 268,615 | 199,191 | |||||||||
Payable for investment securities purchased | 19,928 | 8,013 | 5,226 | |||||||||
Payable for fund shares redeemed | 4,064 | 4,220 | 2,327 | |||||||||
Payable for variation margin | 156 | 108 | 25,465 | |||||||||
Administration fees payable | 531 | 582 | 453 | |||||||||
Investment advisory fees payable | 445 | 582 | 432 | |||||||||
Shareholder servicing fees payable Class A | 313 | 267 | 222 | |||||||||
Shareholder servicing fees payable Class I | 2 | 2 | — | |||||||||
Chief Compliance Officer fees payable | 3 | 3 | 2 | |||||||||
Administration servicing fees payable Class I | 2 | 1 | — | |||||||||
Unrealized loss on foreign spot currency contracts | — | — | — | |||||||||
Accrued expense payable | 122 | 133 | 105 | |||||||||
Total Liabilities | 366,025 | 282,526 | 233,423 | |||||||||
Net Assets | $ | 1,854,963 | $ | 2,043,249 | $ | 1,599,114 | ||||||
† Cost of investments | 1,664,964 | 1,662,075 | 1,365,529 | |||||||||
†† Cost of affiliated investments | 381,343 | 317,938 | 234,215 | |||||||||
* Includes market value of securities on loan | 329,529 | 263,484 | 194,483 | |||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 2,400,411 | $ | 3,334,765 | $ | 2,138,285 | ||||||
Undistributed (distributions in excess of) net investment income | 7,925 | 2,568 | 4,233 | |||||||||
Accumulated net realized loss on investments, securities sold short, option contracts, futures, swap contracts, and foreign currency | (659,323 | ) | (1,581,493 | ) | (742,600 | ) | ||||||
Net unrealized appreciation on investments, affiliated investments, securities sold short and option contracts | 105,694 | 287,116 | 198,572 | |||||||||
Net unrealized appreciation (depreciation) on futures contracts | 256 | 293 | 624 | |||||||||
Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | — | — | — | |||||||||
Net Assets | $ | 1,854,963 | $ | 2,043,249 | $ | 1,599,114 | ||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $ | 13.83 | $ | 17.62 | $ | 10.19 | ||||||
| | ($1,843,529,787 ÷ 133,281,342 shares | ) | | ($2,034,096,331 ÷ 115,427,478 shares | ) | | ($1,596,020,073 ÷ 156,655,777 shares | ) | ||||
Net Asset Value, Offering and Redemption Price Per Share — Class E | N/A | N/A | N/A | |||||||||
Net Asset Value, Offering and Redemption Price Per Share — Class I | $ | 13.83 | $ | 17.44 | N/A | |||||||
| | ($11,433,142 ÷ 826,822 shares | ) | | ($9,152,411 ÷ 524,713 shares | ) | |||||||
Net Asset Value, Offering and Redemption Price Per Share — Class Y | N/A | N/A | $ | 10.37 | ||||||||
| | ($3,094,316 ÷ 298,529 shares | ) | ||||||||||
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
| 132 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Large Cap Diversified Alpha Fund | S&P 500 Index Fund | Small Cap Value Fund | Small Cap Growth Fund | Tax-Managed Small Cap Fund | |||||||||
| $878,809 | $1,290,104 | * | $593,680 | * | $455,502 | * | $253,131 | * | |||||
| 223,318 | 214,684 | 147,875 | 77,929 | 11,605 | |||||||||
| 24 | 5 | 101 | 57 | 22 | |||||||||
| 30 | 3,104 | 27,815 | 3,531 | 2,090 | |||||||||
| 2,010 | 19,608 | 371 | 351 | 660 | |||||||||
| 944 | 1,622 | 832 | 182 | 222 | |||||||||
| 6 | 17 | 1 | — | — | |||||||||
| 11 | 106 | 7 | 5 | 3 | |||||||||
| 1,105,152 | 1,529,250 | 770,682 | 537,557 | 267,733 | |||||||||
| — | 208,324 | 116,864 | 48,929 | 2,499 | |||||||||
| — | — | 5,266 | 4,480 | 2,148 | |||||||||
| 1,322 | 5,048 | 1,634 | 918 | 312 | |||||||||
| 428 | 34 | 550 | 393 | 65 | |||||||||
| 311 | 179 | 185 | 138 | 74 | |||||||||
| 292 | 32 | 326 | 234 | 107 | |||||||||
| 202 | 29 | 70 | 50 | 44 | |||||||||
| — | 1 | 1 | 1 | — | |||||||||
| 1 | 2 | 1 | 1 | — | |||||||||
| — | 2 | 1 | 1 | — | |||||||||
| — | — | 11 | — | — | |||||||||
| 75 | 88 | 43 | 32 | 20 | |||||||||
| 2,631 | 213,739 | 124,952 | 55,177 | 5,269 | |||||||||
| $1,102,521 | $1,315,511 | $645,730 | $482,380 | $262,464 | |||||||||
| 798,333 | 809,995 | 555,013 | 384,216 | 219,977 | |||||||||
| 223,318 | 218,127 | 151,948 | 80,838 | 11,784 | |||||||||
| — | 202,412 | 112,352 | 47,231 | 2,423 | |||||||||
| $1,607,242 | $892,470 | $837,136 | $779,197 | $331,730 | |||||||||
| — | 6,065 | 1,447 | (42 | ) | 88 | ||||||||
| �� (586,555) | | (59,990 | ) | (227,294 | ) | (365,266 | ) | (102,524 | ) | ||||
| 80,476 | | 476,666 | 34,594 | 68,377 | 32,975 | ||||||||
| 1,359 | 300 | (149 | ) | 114 | 195 | ||||||||
| (1) | | — | (4 | ) | — | — | |||||||
| $1,102,521 | $1,315,511 | $645,730 | $482,380 | $262,464 | |||||||||
| $7.18 | $29.01 | $13.66 | $12.96 | $9.42 | |||||||||
| ($1,101,993,406 ÷ 153,415,053 shares | ) | ($451,069,018 ÷ 15,549,591 shares | ) | ($638,341,274 ÷ 46,734,670 shares | ) | ($478,404,756 ÷ 36,912,008 shares | ) | ($262,464,132 ÷ 27,862,048 shares | ) | ||||
| N/A | $29.12 | N/A | N/A | N/A | |||||||||
| ($855,875,579 ÷ 29,392,485 shares | ) | ||||||||||||
| $7.17 | $29.07 | $13.56 | $12.68 | N/A | |||||||||
| ($527,293 ÷ 73,501 shares | ) | ($8,566,020 ÷ 294,690 shares | ) | ($7,388,612 ÷ 544,765 shares | ) | ($3,975,435 ÷ 313,448 shares | ) | ||||||
| N/A | N/A | N/A | N/A | N/A | |||||||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 133 |
Table of Contents
Statements of Assets and Liabilities ($ Thousands)
September 30, 2009
| Small/Mid Cap Diversified Alpha Fund | Mid-Cap Fund | U.S. Managed Volatility Fund | Global Managed Volatility Fund | |||||||||||||
ASSETS: | ||||||||||||||||
Investments, at value† | $ | 76,621 | $ | 117,441 | * | $ | 362,024 | $ | 205,966 | |||||||
Affiliated investment, at value†† | 14,325 | 19,899 | 16,834 | 5,984 | ||||||||||||
Repurchase agreement† | — | — | — | — | ||||||||||||
Cash | — | 3 | 20 | 1,044 | ||||||||||||
Foreign currency, at value††† | 1 | — | — | 1,004 | ||||||||||||
Cash collateral on futures | — | — | — | — | ||||||||||||
Cash collateral on swaps | — | — | — | — | ||||||||||||
Receivable for investment securities sold | 2,645 | 2,987 | 5,504 | 610 | ||||||||||||
Receivable for fund shares sold | 235 | 144 | 588 | — | ||||||||||||
Dividends and interest receivable | 93 | 176 | 665 | 909 | ||||||||||||
Receivable for variation margin | 1 | 1 | 1 | — | ||||||||||||
Swap contracts, at value†††† | — | — | — | — | ||||||||||||
Unrealized gain on forward foreign currency contracts | — | — | — | 169 | ||||||||||||
Prepaid Expenses | 1 | 1 | 4 | 2 | ||||||||||||
Total Assets | 93,922 | 140,652 | 385,640 | 215,688 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payable upon return on securities loaned | — | 16,738 | — | — | ||||||||||||
Payable for investment securities purchased | 2,653 | 3,057 | 3,585 | — | ||||||||||||
Payable for fund shares redeemed | 789 | �� | 594 | 715 | 637 | |||||||||||
Payable to custodian | 163 | — | — | — | ||||||||||||
Payable for variation margin | 125 | 13 | 14 | 19 | ||||||||||||
Payable to Affiliate | — | — | — | — | ||||||||||||
Administration fees payable | 26 | 34 | 108 | 60 | ||||||||||||
Investment advisory fees payable | 41 | 39 | 121 | 77 | ||||||||||||
Shareholder servicing fees payable Class A | 19 | 22 | 67 | 43 | ||||||||||||
Shareholder servicing fees payable Class I | — | — | — | — | ||||||||||||
Chief Compliance Officer fees payable | — | — | 1 | — | ||||||||||||
Trustees fees payable | — | — | — | — | ||||||||||||
Administration servicing fees payable Class I | — | — | — | — | ||||||||||||
Income distribution payable | — | — | — | — | ||||||||||||
Swap contracts, at value†††† | — | — | — | — | ||||||||||||
Options written, at value # | — | — | — | — | ||||||||||||
Swaptions, written, at value‡ | — | — | — | — | ||||||||||||
Unrealized loss on forward foreign currency contracts | — | — | — | 1,032 | ||||||||||||
Accrued expense payable | 10 | 9 | 25 | 30 | ||||||||||||
Total Liabilities | 3,826 | 20,506 | 4,636 | 1,898 | ||||||||||||
Net Assets | $ | 90,096 | $ | 120,146 | $ | 381,004 | $ | 213,790 | ||||||||
† Cost of investments and repurchase agreements | 71,250 | 99,390 | 327,604 | 187,092 | ||||||||||||
†† Cost of affiliated investments | 14,325 | 20,265 | 16,834 | 5,984 | ||||||||||||
††† Cost of foreign currency/(overdraft of foreign currency) | 1 | — | — | 1,006 | ||||||||||||
†††† Premiums received/(paid) | — | — | — | — | ||||||||||||
# Premiums received | — | — | — | — | ||||||||||||
‡ Premium received | — | — | — | — | ||||||||||||
* Includes market value of securities on loan | — | 16,303 | — | — | ||||||||||||
NET ASSETS: | ||||||||||||||||
Paid-in-Capital — (unlimited authorization — no par value) | $ | 144,034 | $ | 166,649 | $ | 469,129 | $ | 275,037 | ||||||||
Undistributed (distributions in excess of) net investment income | 140 | 187 | 1,155 | (12,964 | ) | |||||||||||
Accumulated net realized gain (loss) on investments, securities sold short, option contracts, futures, swap contracts, swaptions and foreign currency | (59,537 | ) | (64,486 | ) | (123,881 | ) | (66,414 | ) | ||||||||
Net unrealized appreciation (depreciation) on investments, affiliated investments, securities sold short and option contracts | 5,371 | 17,685 | 34,420 | 18,874 | ||||||||||||
Net unrealized appreciation (depreciation) on futures contracts | 89 | 111 | 181 | 99 | ||||||||||||
Net unrealized appreciation (depreciation) on swap contracts | — | — | — | — | ||||||||||||
Net unrealized appreciation on written swaptions | — | — | — | — | ||||||||||||
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies | (1 | ) | — | — | (842 | ) | ||||||||||
Net Assets | $ | 90,096 | $ | 120,146 | $ | 381,004 | $ | 213,790 | ||||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $ | 6.10 | $ | 13.92 | $ | 9.65 | $ | 7.82 | ||||||||
| | ($90,063,758 ÷ 14,757,432 shares | ) | | ($119,871,943 ÷ 8,612,588 shares | ) | | ($380,986,697 ÷ 39,490,256 shares | ) | | ($213,773,373 ÷ 27,340,154 shares | ) | |||||
Net Asset Value, Offering and Redemption Price Per Share — Class I | $ | 6.08 | $ | 13.92 | $ | 9.63 | $ | 7.76 | ||||||||
| | ($32,666 ÷ 5,373 shares | ) | | ($274,025 ÷ 19,688 shares | ) | | ($17,330 ÷ 1,799 shares | ) | | ($16,522 ÷ 2,128 shares | ) | |||||
Amounts designated as “—” are $0 or have been rounded to $0.
(1) Commenced operations on July 2, 2009.
The accompanying notes are an integral part of the financial statements.
| 134 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Tax-Managed Managed Volatility Fund | Real Estate Fund | Enhanced Income Fund | Core Fixed Income Fund | U.S. Fixed Income Fund(1) | High Yield Bond Fund | Real Return Fund(1) | ||||||||||||||||||||
| $ | 162,714 | $ | 202,108 | * | $ | 220,153 | $ | 2,605,511 | * | $ | 697,142 | * | $ | 1,232,327 | * | $ | 76,817 | |||||||||
| 7,455 | 86,210 | 3,707 | 171,149 | 79,942 | 41,705 | 5,927 | ||||||||||||||||||||
| — | — | 19,900 | — | — | — | — | ||||||||||||||||||||
| 9 | — | 366 | — | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | 850 | 23,623 | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 2,346 | 6,578 | 5,458 | 109,665 | 66,263 | 44,268 | — | ||||||||||||||||||||
| 666 | 957 | 635 | 3,787 | 1,923 | 4,730 | 521 | ||||||||||||||||||||
| 304 | 866 | 943 | 21,353 | 4,172 | 26,554 | 438 | ||||||||||||||||||||
| — | — | — | 222 | — | — | — | ||||||||||||||||||||
| — | — | — | 8,782 | 336 | — | — | ||||||||||||||||||||
| — | — | — | 1,086 | — | — | — | ||||||||||||||||||||
| 2 | 2 | 3 | 32 | 1 | 12 | — | ||||||||||||||||||||
| 173,496 | 296,721 | 252,015 | 2,945,210 | 849,779 | 1,349,596 | 83,703 | ||||||||||||||||||||
| — | 73,575 | — | 128,975 | 47,706 | 187 | — | ||||||||||||||||||||
| 715 | 1,161 | 17,356 | 308,800 | 122,573 | 49,316 | — | ||||||||||||||||||||
| 365 | 419 | 697 | 5,941 | 1,302 | 3,474 | 102 | ||||||||||||||||||||
| — | — | — | 29 | 7 | 2,332 | — | ||||||||||||||||||||
| 8 | — | 34 | 78 | — | — | — | ||||||||||||||||||||
| — | — | — | — | — | 1,665 | — | ||||||||||||||||||||
| 48 | 62 | 36 | 562 | 150 | 358 | 26 | ||||||||||||||||||||
| 53 | 109 | 69 | 507 | 36 | 459 | — | ||||||||||||||||||||
| 31 | 22 | — | 213 | 133 | 33 | — | ||||||||||||||||||||
| — | — | — | 3 | — | — | — | ||||||||||||||||||||
| — | — | — | 4 | 1 | 2 | — | ||||||||||||||||||||
| — | — | — | 1 | — | — | — | ||||||||||||||||||||
| — | — | — | 3 | — | — | — | ||||||||||||||||||||
| — | — | — | 583 | 77 | 1,472 | — | ||||||||||||||||||||
| — | — | — | 30,831 | — | — | — | ||||||||||||||||||||
| — | — | — | 643 | — | — | — | ||||||||||||||||||||
| — | — | — | 2,359 | — | — | — | ||||||||||||||||||||
| — | — | — | 1,003 | — | — | — | ||||||||||||||||||||
| 11 | 13 | 31 | 271 | 71 | 134 | 7 | ||||||||||||||||||||
| 1,231 | 75,361 | 18,223 | 480,806 | 172,056 | 59,432 | 135 | ||||||||||||||||||||
| $ | 172,265 | $ | 221,360 | $ | 233,792 | $ | 2,464,404 | $ | 677,723 | $ | 1,290,164 | $ | 83,568 | |||||||||||||
| 145,891 | 167,024 | 280,150 | 2,752,705 | 682,119 | 1,266,848 | 76,058 | ||||||||||||||||||||
| 7,455 | 87,852 | 3,707 | 175,021 | 79,942 | 41,708 | 5,927 | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| — | — | — | 2,998 | 634 | — | — | ||||||||||||||||||||
| — | — | — | (562 | ) | — | — | — | |||||||||||||||||||
| — | — | — | 2,471 | — | — | — | ||||||||||||||||||||
| — | 71,426 | — | 124,183 | 46,714 | 173 | — | ||||||||||||||||||||
| $ | 177,494 | $ | 312,385 | $ | 368,707 | $ | 2,768,938 | $ | 660,918 | $ | 1,721,002 | $ | 82,123 | |||||||||||||
| 591 | 2,615 | 2,316 | (3,504 | ) | 3 | 3,195 | 665 | |||||||||||||||||||
| (22,704 | ) | (127,083 | ) | (96,845 | ) | (133,567 | ) | 2,077 | (399,509 | ) | 21 | ||||||||||||||
| 16,823 |
| 33,442 | (40,097 | ) | (151,147 | ) | 15,023 | (34,524 | ) | 759 | |||||||||||||||
| 61 | — | (293 | ) | 2,300 | — | — | — | |||||||||||||||||||
| — | — | — | (19,051 | ) | (298 | ) | — | — | ||||||||||||||||||
| — | — | — | 112 | — | — | — | ||||||||||||||||||||
| — |
| 1 | 4 | 323 | — | — | — | ||||||||||||||||||
| $ | 172,265 | $ | 221,360 | $ | 233,792 | $ | 2,464,404 | $ | 677,723 | $ | 1,290,164 | $ | 83,568 | |||||||||||||
| $ | 8.14 | $ | 9.42 | $ | 7.21 | $ | 9.98 | $ | 10.28 | $ | 6.52 | $ | 10.19 | |||||||||||||
| | ($172,264,924 ÷ 21,165,555 shares | ) | | ($221,227,847 ÷ 23,472,539 shares | ) | | ($233,746,615 ÷ 32,423,256 shares | ) | | ($2,450,745,779 ÷ 245,605,906 shares | ) | | ($677,722,648 ÷ 65,941,136 shares | ) | | ($1,289,964,504 ÷ 197,819,345 shares | ) | | ($83,567,586 ÷ 8,199,899 shares | ) | ||||||
| N/A | $ | 9.41 | $ | 7.20 | $ | 9.97 | N/A | $ | 6.53 | N/A | ||||||||||||||||
| | ($132,184 ÷ 14,041 shares | ) | | ($44,955 ÷ 6,244 shares | ) | | ($13,657,957 ÷ 1,369,433 shares | ) | | ($199,592 ÷ 30,558 shares | ) | |||||||||||||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 135 |
Table of Contents
Statements of Operations ($ Thousands)
For the year ended September 30, 2009
| Large Cap Value Fund | Large Cap Growth Fund | Tax-Managed Large Cap Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 54,086 | $ | 28,035 | $ | 32,055 | ||||||
Dividends from Affiliated Investments* | 234 | 344 | 247 | |||||||||
Interest Income | 17 | 44 | 29 | |||||||||
Securities Lending Income — Net** | 1,992 | 1,096 | 1,701 | |||||||||
Less: Foreign Taxes Witheld | (9 | ) | (116 | ) | (50 | ) | ||||||
Total Investment Income | 56,320 | 29,403 | 33,982 | |||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 5,790 | 7,210 | 5,601 | |||||||||
Administration Fees | 5,790 | 6,309 | 4,901 | |||||||||
Shareholder Servicing Fees Class (A) | 4,113 | 4,489 | 3,494 | |||||||||
Shareholder Servicing Fees Class (I) | 23 | 18 | — | |||||||||
Shareholder Servicing Fees Class (Y) | — | — | 4 | |||||||||
Trustee Fees | 40 | 45 | 35 | |||||||||
Administration Servicing Fees Class (I) | 23 | 18 | — | |||||||||
Chief Compliance Officer Fees | 6 | 7 | 5 | |||||||||
Dividend Expense on Securities Sold Short | — | — | — | |||||||||
Interest Expense on Securities Sold Short | — | — | — | |||||||||
Printing Fees | 177 | 194 | 147 | |||||||||
Professional Fees | 139 | 153 | 118 | |||||||||
Custodian/Wire Agent Fees | 162 | 175 | 138 | |||||||||
Registration Fees | 63 | 66 | 59 | |||||||||
Licensing Fees | — | — | — | |||||||||
Other Expenses | 72 | 78 | 68 | |||||||||
Total Expenses | 16,398 | 18,762 | 14,570 | |||||||||
Less: | ||||||||||||
Waiver of Investment Advisory Fees | (909 | ) | (916 | ) | (946 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (A) | (626 | ) | (1,588 | ) | (1,033 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (E) | — | — | — | |||||||||
Waiver of Shareholder Servicing Fees Class (I) | (5 | ) | (8 | ) | — | |||||||
Waiver of Shareholder Servicing Fees Class (Y) | — | — | (3 | ) | ||||||||
Waiver of Administration Fees | — | — | (5 | ) | ||||||||
Fees Paid Indirectly | (116 | ) | (189 | ) | (135 | ) | ||||||
Net Expenses | 14,742 | 16,061 | 12,448 | |||||||||
Net Investment Income | 41,578 | 13,342 | 21,534 | |||||||||
Net Realized and Unrealized Loss on Investments: | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | (566,159 | ) | (461,000 | ) | (419,149 | ) | ||||||
Securities Sold Short | — | — | — | |||||||||
Futures Contracts | (7,331 | ) | (16,760 | ) | (10,765 | ) | ||||||
Swap Contracts | — | — | — | |||||||||
Foreign Currency Transactions | — | — | — | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 221,593 | 276,866 | 174,341 | |||||||||
Affiliated Investments | (496 | ) | (597 | ) | (32 | ) | ||||||
Securities Sold Short | — | — | — | |||||||||
Futures Contracts | 768 | 726 | 1,614 | |||||||||
Swap Contracts | — | — | — | |||||||||
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | — | — | — | |||||||||
Net Decrease in Net Assets from Operations | $ | (310,047 | ) | $ | (187,423 | ) | $ | (232,457 | ) | |||
Amounts designated as “—” are $0 or have been rounded to $0.
| * | See Note 5 in Notes to Financial Statements. |
| ** | Affiliated |
The accompanying notes are an integral part of the financial statements.
| 136 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Large Cap Diversified Alpha Fund | S&P 500 Index Fund | Small Cap Value Fund | Small Cap Growth Fund | Tax-Managed Small Cap Fund | Small/Mid Cap Diversified Fund | |||||||||||||||||
| $ | 17,206 | $ | 26,869 | $ | 10,602 | $ | 3,188 | $ | 2,991 | $ | 1,194 | |||||||||||
| 485 | 97 | 134 | 92 | 46 | 49 | |||||||||||||||||
| 3,272 | 8 | 147 | 446 | 4 | 236 | |||||||||||||||||
| — | 1,341 | 1,253 | 1,638 | 369 | — | |||||||||||||||||
| (29 | ) | — | (50 | ) | (14 | ) | (4 | ) | (1 | ) | ||||||||||||
| 20,934 | 28,315 | 12,086 | 5,350 | 3,406 | 1,478 | |||||||||||||||||
| 3,698 | 313 | 3,620 | 2,716 | 1,373 | 588 | |||||||||||||||||
| 3,236 | 2,297 | 1,949 | 1,462 | 740 | 274 | |||||||||||||||||
| 2,310 | 918 | 1,377 | 1,037 | 528 | 196 | |||||||||||||||||
| 1 | 19 | 16 | 7 | — | — | |||||||||||||||||
| — | — | — | — | — | — | |||||||||||||||||
| 23 | 25 | 14 | 11 | 5 | 2 | |||||||||||||||||
| 1 | 19 | 16 | 7 | — | — | |||||||||||||||||
| 4 | — | 2 | 1 | 1 | — | |||||||||||||||||
| 436 | — | — | — | — | 37 | |||||||||||||||||
| 182 | — | — | — | — | 9 | |||||||||||||||||
| 101 | 117 | 59 | 43 | 22 | 8 | |||||||||||||||||
| 80 | 92 | 46 | 35 | 18 | 6 | |||||||||||||||||
| 90 | 99 | 53 | 41 | 21 | 8 | |||||||||||||||||
| 36 | 35 | 14 | 19 | 9 | 3 | |||||||||||||||||
| — | 131 | — | — | — | — | |||||||||||||||||
| 46 | 42 | 28 | 38 | 22 | 13 | |||||||||||||||||
| 10,244 | 4,107 | 7,194 | 5,417 | 2,739 | 1,144 | |||||||||||||||||
| (321 | ) | — | (62 | ) | (138 | ) | (282 | ) | (136 | ) | ||||||||||||
| (522 | ) | (257 | ) | (639 | ) | (590 | ) | (29 | ) | (19 | ) | |||||||||||
| — | — | — | — | — | — | |||||||||||||||||
| — | (7 | ) | (9 | ) | (4 | ) | — | — | ||||||||||||||
| — | — | — | — | — | — | |||||||||||||||||
| — | (542 | ) | — | — | — | — | ||||||||||||||||
| — | — | (120 | ) | (41 | ) | (83 | ) | (3 | ) | |||||||||||||
| 9,401 | 3,301 | 6,364 | 4,644 | 2,345 | 986 | |||||||||||||||||
| 11,533 | 25,014 | 5,722 | 706 | 1,061 | 492 | |||||||||||||||||
| (415,476 | ) | (44,321 | ) | (177,390 | ) | (256,669 | ) | (84,827 | ) | (31,718 | ) | |||||||||||
| 84,795 | — | — | — | — | 3,018 | |||||||||||||||||
| (40,905 | ) | (3,755 | ) | (3,133 | ) | (1,743 | ) | (1,731 | ) | (5,233 | ) | |||||||||||
| (29,757 | ) | — | — | — | — | (4,691 | ) | |||||||||||||||
| 1 | — | 48 | (96 | ) | — | (76 | ) | |||||||||||||||
| 249,470 | (53,786 | ) | 67,555 | 181,171 | 54,816 | 21,967 | ||||||||||||||||
| — | (543 | ) | 305 | 438 | (2,272 | ) | — | |||||||||||||||
| (35,062 | ) | — | — | — | — | (1,248 | ) | |||||||||||||||
| 15,068 | 1,966 | 626 | 382 | 410 | 1,285 | |||||||||||||||||
| 3,501 | — | — | — | — | 881 | |||||||||||||||||
| (2 | ) | — | (4 | ) | 7 | — |
| (8 | ) | ||||||||||||
| $ | (156,834 | ) | $ | (75,425 | ) | $ | (106,271 | ) | $ | (75,804 | ) | $ | (32,543 | ) | $ | (15,331 | ) | |||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 137 |
Table of Contents
Statements of Operations ($ Thousands)
For the year or period ended September 30, 2009
| Mid-Cap Fund | U.S. Managed Volatility Fund | Global Managed Volatility Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 1,842 | $ | 9,053 | $ | 5,431 | ||||||
Dividends from Affiliated Investments* | 20 | 61 | 64 | |||||||||
Interest Income | 1 | 4 | 6 | |||||||||
Securities Lending Income — Net** | 88 | — | — | |||||||||
Less: Foreign Taxes Witheld | — | (71 | ) | (359 | ) | |||||||
Total Investment Income | 1,951 | 9,047 | 5,142 | |||||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 395 | 2,296 | 1,230 | |||||||||
Administration Fees | 346 | 1,236 | 662 | |||||||||
Shareholder Servicing Fees Class (A) | 247 | 883 | 473 | |||||||||
Shareholder Servicing Fees Class (I) | — | — | — | |||||||||
Trustee Fees | 3 | 9 | 4 | |||||||||
Administration Servicing Fees Class (I) | — | — | — | |||||||||
Chief Compliance Officer Fees | — | 1 | 1 | |||||||||
Printing Fees | 11 | 40 | 22 | |||||||||
Professional Fees | 8 | 29 | 16 | |||||||||
Custodian/Wire Agent Fees | 9 | 36 | 81 | |||||||||
Registration Fees | 2 | 13 | 6 | |||||||||
Overdraft fees | — | — | 34 | |||||||||
Other Expenses | 9 | 18 | 32 | |||||||||
Total Expenses | 1,030 | 4,561 | 2,561 | |||||||||
Less: | ||||||||||||
Waiver of Investment Advisory Fees | — | (902 | ) | (415 | ) | |||||||
Waiver of Shareholder Servicing Fees Class (A) | (21 | ) | (126 | ) | (12 | ) | ||||||
Waiver of Shareholder Servicing Fees Class (I) | — | — | — | |||||||||
Waiver of Administration Fees | — | — | — | |||||||||
Fees Paid Indirectly | — | — | — | |||||||||
Net Expenses | 1,009 | 3,533 | 2,134 | |||||||||
Net Investment Income | 942 | 5,514 | 3,008 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||
Investments | (46,116 | ) | (112,098 | ) | (47,929 | ) | ||||||
Affiliated Investments | — | — | — | |||||||||
Futures Contracts | (735 | ) | 163 | 569 | ||||||||
Written Options | — | — | — | |||||||||
Written Swaptions | — | — | — | |||||||||
Swap Contracts | — | — | — | |||||||||
Foreign Currency Transactions | — | — | (11,869 | ) | ||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investments | 39,544 | 52,973 | 29,975 | |||||||||
Affiliated Investments | (3 | ) | — | — | ||||||||
Futures Contracts | 211 | 232 | 187 | |||||||||
Written Options | — | — | — | |||||||||
Swaptions | — | — | — | |||||||||
Swap Contracts | — | — | — | |||||||||
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | — | — | (2,353 | ) | ||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | (6,157 | ) | $ | (53,216 | ) | $ | (28,412 | ) | |||
Amounts designated as “—” are $0 or have been rounded to $0.
| * | See Note 5 in Notes to Financial Statements. |
| ** | Affiliated |
| (1) | Commenced Operations on July 2, 2009. |
The accompanying notes are an integral part of the financial statements.
| 138 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Tax-Managed Managed Volatility Fund | Real Estate Fund | Enhanced Income Fund | Core Fixed Income Fund | U.S. Fixed Income Fund(1) | High Yield Bond Fund | Real Return Fund(1) | ||||||||||||||||||||
| $ | 3,586 | $ | 4,872 | $ | 9 | $ | 164 | $ | — | $ | 4,416 | $ | — | |||||||||||||
| 51 | 103 | 95 | 849 | 40 | 256 | — | ||||||||||||||||||||
| 2 | 215 | 11,134 | 165,679 | 5,473 | 110,702 | 736 | ||||||||||||||||||||
| — | 328 | — | 1,523 | 3 | 910 | — | ||||||||||||||||||||
| (25 | ) | (68 | ) | — | (32 | ) | (2 | ) | (174 | ) | — | |||||||||||||||
| 3,614 | 5,450 | 11,238 | 168,183 | 5,514 | 116,110 | 736 | ||||||||||||||||||||
| 873 | 1,099 | 917 | 7,588 | 390 | 4,745 | 36 | ||||||||||||||||||||
| 470 | 592 | 802 | 7,726 | 397 | 3,407 | 57 | ||||||||||||||||||||
| 336 | 422 | 573 | 6,873 | 354 | 2,434 | 40 | ||||||||||||||||||||
| — | — | — | 26 | — | — | — | ||||||||||||||||||||
| 3 | 4 | 6 | 71 | — | 24 | — | ||||||||||||||||||||
| — | — | — | 26 | — | — | — | ||||||||||||||||||||
| 1 | 1 | 1 | 12 | 1 | 4 | — | ||||||||||||||||||||
| 17 | 19 | 25 | 306 | 15 | 110 | 2 | ||||||||||||||||||||
| 12 | 14 | 19 | 223 | 27 | 89 | 3 | ||||||||||||||||||||
| 14 | 17 | 23 | 282 | 12 | 93 | 1 | ||||||||||||||||||||
| 2 | 6 | 10 | 101 | — | 26 | — | ||||||||||||||||||||
| — | — | — | — | — | — | — | ||||||||||||||||||||
| 7 | 9 | 67 | 490 | 31 | 233 | 3 | ||||||||||||||||||||
| 1,735 | 2,183 | 2,443 | 23,724 | 1,227 | 11,165 | 142 | ||||||||||||||||||||
| (358 | ) | (60 | ) | (89 | ) | (497 | ) | (111 | ) | (441 | ) | (10 | ) | |||||||||||||
| (33 | ) | (177 | ) | (520 | ) | (4,694 | ) | (181 | ) | (2,060 | ) | (60 | ) | |||||||||||||
| — | — | — | (22 | ) | — | — | — | |||||||||||||||||||
| — | — | (459 | ) | — | — | — | — | |||||||||||||||||||
| — | (17 | ) | — | — | — | — | — | |||||||||||||||||||
| 1,344 | 1,929 | 1,375 | 18,511 | 935 | 8,664 | 72 | ||||||||||||||||||||
| 2,270 | 3,521 | 9,863 | 149,672 | 4,579 | 107,446 | 664 | ||||||||||||||||||||
| (18,667 | ) | (110,434 | ) | (61,593 | ) | (87,499 | ) | 2,012 | (157,024 | ) | 22 | |||||||||||||||
| — | — | — | — | — | (1,665 | ) | — | |||||||||||||||||||
| (391 | ) | — | (3,469 | ) | 21,637 | — | — | — | ||||||||||||||||||
| — | — | — | 6,671 | — | — | — | ||||||||||||||||||||
| — | — | — | (1,564 | ) | — | — | — | |||||||||||||||||||
| — | — | 147 | (14,446 | ) | (3 | ) | — | — | ||||||||||||||||||
| — | 84 | (2,170 | ) | 10,277 | — | — | — | |||||||||||||||||||
| 20,086 | 44,844 | 26,310 | 215,679 | 15,023 | 199,462 | 759 | ||||||||||||||||||||
| — | (15 | ) | — | 37 | — | 2,098 | — | |||||||||||||||||||
| 179 | — | (324 | ) | (5,637 | ) | — | — | — | ||||||||||||||||||
| — | — | — | 1,218 | — | — | — | ||||||||||||||||||||
| — | — | — | 1,518 | — | — | — | ||||||||||||||||||||
| — | — | (110 | ) | (15,076 | ) | (298 | ) | — | — | |||||||||||||||||
| — |
| 2 |
| 1,024 | (4,211 | ) | — | — | — | |||||||||||||||||
| $ | 3,477 | $ | (61,998 | ) | $ | (30,322 | ) | $ | 278,276 | $ | 21,313 | $ | 150,317 | $ | 1,445 | |||||||||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 139 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands)
For the years ended September 30,
| Large Cap Value Fund | Large Cap Growth Fund | Tax-Managed Large Cap Fund | ||||||||||||||||||||||
| 2009 | 2008 | 2009 | 2008 | 2009 | 2008 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income | $ | 41,578 | $ | 62,993 | $ | 13,342 | $ | 11,848 | $ | 21,534 | $ | 29,492 | ||||||||||||
Net Realized Gain (Loss) from Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts | (573,490 | ) | (41,840 | ) | (477,760 | ) | 43,557 | (429,914 | ) | (1,856 | ) | |||||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | — | — | — | — | — | — | ||||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments, Affiliated Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts | 221,865 | (924,754 | ) | 276,995 | (807,115 | ) | 175,923 | (716,677 | ) | |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | — | — | — | — | — | — | ||||||||||||||||||
Net Decrease in Net Assets from Operations | (310,047 | ) | (903,601 | ) | (187,423 | ) | (751,710 | ) | (232,457 | ) | (689,041 | ) | ||||||||||||
Dividends and Distributions From: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Class A | (47,346 | ) | (64,076 | ) | (13,281 | ) | (11,649 | ) | (23,986 | ) | (30,228 | ) | ||||||||||||
Class E | — | — | — | — | — | — | ||||||||||||||||||
Class I | (239 | ) | (330 | ) | (37 | ) | (14 | ) | — | — | ||||||||||||||
Class Y | — | — | — | — | (45 | ) | (49 | ) | ||||||||||||||||
Net Capital Gains: | ||||||||||||||||||||||||
Class A | — | (308,944 | ) | — | — | — | — | |||||||||||||||||
Class E | — | — | — | — | — | — | ||||||||||||||||||
Class I | — | (2,094 | ) | — | — | — | — | |||||||||||||||||
Return of Capital: | ||||||||||||||||||||||||
Class A | — | — | — | — | — | — | ||||||||||||||||||
Class I | — | — | — | — | — | — | ||||||||||||||||||
Total Dividends and Distributions | (47,585 | ) | (375,444 | ) | (13,318 | ) | (11,663 | ) | (24,031 | ) | (30,277 | ) | ||||||||||||
Capital Share Transactions(1): | ||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Proceeds from Shares Issued | 645,382 | 602,496 | 680,308 | 598,288 | 924,843 | 523,966 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | 44,915 | 348,733 | 12,627 | 11,071 | 22,190 | 28,387 | ||||||||||||||||||
Cost of Shares Redeemed | (870,910 | ) | (915,076 | ) | (929,855 | ) | (1,000,068 | ) | (1,243,735 | ) | (578,042 | ) | ||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | (180,613 | ) | 36,153 | (236,920 | ) | (390,709 | ) | (296,702 | ) | (25,689 | ) | |||||||||||||
Class E: | ||||||||||||||||||||||||
Proceeds from Shares Issued | — | — | — | — | — | — | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | — | — | — | — | ||||||||||||||||||
Cost of Shares Redeemed | — | — | — | — | — | — | ||||||||||||||||||
Increase in Net Assets Derived from Class E Transactions | — | — | — | — | — | — | ||||||||||||||||||
Class I: | ||||||||||||||||||||||||
Proceeds from Shares Issued | 5,835 | 5,082 | 5,304 | 5,612 | — | — | ||||||||||||||||||
Reinvestment of Dividends and Distributions | 217 | 2,377 | 31 | 13 | — | — | ||||||||||||||||||
Cost of Shares Redeemed | (4,716 | ) | (17,887 | ) | (4,172 | ) | (19,955 | ) | — | — | ||||||||||||||
Increase (Decrease) in Net Assets Derived from Class I Transactions | 1,336 | (10,428 | ) | 1,163 | (14,330 | ) | — | — | ||||||||||||||||
Class Y: | ||||||||||||||||||||||||
Proceeds from Shares Issued | — | — | — | — | 411 | 177 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | — | — | 45 | 49 | ||||||||||||||||||
Cost of Shares Redeemed | — | — | — | — | (321 | ) | (627 | ) | ||||||||||||||||
Increase (Decrease) in Net Assets Derived from Class Y Transactions | — | — | — | — | 135 | (401 | ) | |||||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | (179,277 | ) | 25,725 | (235,757 | ) | (405,039 | ) | (296,567 | ) | (26,090 | ) | |||||||||||||
Net Increase (Decrease) in Net Assets | (536,909 | ) | (1,253,320 | ) | (436,498 | ) | (1,168,412 | ) | (553,055 | ) | (745,408 | ) | ||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of Year | 2,391,872 | 3,645,192 | 2,479,747 | 3,648,159 | 2,152,169 | 2,897,577 | ||||||||||||||||||
End of Year | $ | 1,854,963 | $ | 2,391,872 | $ | 2,043,249 | $ | 2,479,747 | $ | 1,599,114 | $ | 2,152,169 | ||||||||||||
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Year End | $ | 7,925 | $ | 13,493 | $ | 2,568 | $ | 2,427 | $ | 4,233 | $ | 6,493 | ||||||||||||
| (1) | See Note 6 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.
| 140 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Large Cap Diversified Alpha Fund | S&P 500 Index Fund | Small Cap Value Fund | Small Cap Growth Fund | |||||||||||||||||||||||||||
| 2009 | 2008 | 2009 | 2008 | 2009 | 2008 | 2009 | 2008 | |||||||||||||||||||||||
| $ | 11,533 | $ | 17,757 | $ | 25,014 | $ | 28,411 | $ | 5,722 | $ | 5,342 | $ | 706 | $ | 357 | |||||||||||||||
| (401,343 | ) | (163,795 | ) | | (48,076 | ) | 15,023 | (180,523 | ) | (22,505 | ) | (258,412 | ) | (76,835 | ) | |||||||||||||||
| 1 | — | | — | | — | 48 | (11 | ) | (96 | ) | (106 | ) | ||||||||||||||||||
| 232,977 | (302,473 | ) |
| (52,363 | ) | (417,431 | ) | 68,486 | (158,308 | ) | 181,991 | (237,318 | ) | |||||||||||||||||
| (2 | ) | 2 |
| — |
| — | (4 | ) | — | 7 | (63 | ) | ||||||||||||||||||
| (156,834 | ) | (448,509 | ) | (75,425 | ) | (373,997 | ) | (106,271 | ) | (175,482 | ) | (75,804 | ) | (313,965 | ) | |||||||||||||||
| (10,559 | ) | (19,433 | ) | (9,014 | ) | (11,020 | ) | (6,670 | ) | (3,805 | ) | (98 | ) | (728 | ) | |||||||||||||||
| — | — | (16,627 | ) | (18,292 | ) | — | — | — | — | |||||||||||||||||||||
| (5 | ) | (5 | ) | (134 | ) | (142 | ) | (67 | ) | (27 | ) | — | — | |||||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||
| — | (63,042 | ) | (3,784 | ) | (31,110 | ) | (4,119 | ) | (136,351 | ) | — | (85,670 | ) | |||||||||||||||||
| — | — | (6,354 | ) | (51,009 | ) | — | — | — | — | |||||||||||||||||||||
| — | (19 | ) | (160 | ) | (592 | ) | (43 | ) | (1,639 | ) | — | (580 | ) | |||||||||||||||||
| (2,122 | ) | — | — | — | — | — | — | — | ||||||||||||||||||||||
| (1 | ) | — | — | — | — | — | — | — | ||||||||||||||||||||||
| (12,687 | ) | (82,499 | ) | (36,073 | ) | (112,165 | ) | (10,899 | ) | (141,822 | ) | (98 | ) | (86,978 | ) | |||||||||||||||
| 701,137 | 510,287 | 430,336 | 364,642 | 268,370 | 261,960 | 206,264 | 180,243 | |||||||||||||||||||||||
| 12,425 | 81,901 | 11,884 | 40,033 | 10,175 | 133,874 | 94 | 82,911 | |||||||||||||||||||||||
| (692,368 | ) | (465,367 | ) | (395,893 | ) | (405,229 | ) | (370,346 | ) | (357,873 | ) | (290,286 | ) | (380,544 | ) | |||||||||||||||
| 21,194 | 126,821 |
| 46,327 |
| (554 | ) | (91,801 | ) | 37,961 | (83,928 | ) | (117,390 | ) | |||||||||||||||||
| — | — | 274,071 | 138,713 | — | — | — | — | |||||||||||||||||||||||
| — | — | 21,275 | 63,336 | — | — | — | — | |||||||||||||||||||||||
| — | — | (192,042 | ) | (172,607 | ) | — | — | — | — | |||||||||||||||||||||
| — | — |
| 103,304 |
| 29,442 | — | — | — | — | |||||||||||||||||||||
| 150 | 61 | 17,809 | 2,932 | 3,127 | 5,865 | 2,291 | 1,873 | |||||||||||||||||||||||
| 5 | 24 | 267 | 734 | 107 | 1,652 | — | 573 | |||||||||||||||||||||||
| (11 | ) | (35 | ) | (14,749 | ) | (8,507 | ) | (3,420 | ) | (9,403 | ) | (1,706 | ) | (5,811 | ) | |||||||||||||||
| 144 | 50 |
| 3,327 |
| (4,841 | ) | (186 | ) | (1,886 | ) | 585 | (3,365 | ) | |||||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||
| — | — |
| — |
| — | — | — | — | — | |||||||||||||||||||||
| 21,338 | 126,871 |
| 152,958 |
| 24,047 | (91,987 | ) | 36,075 | (83,343 | ) | (120,755 | ) | ||||||||||||||||||
| (148,183 | ) | (404,137 | ) | 41,460 | (462,115 | ) | (209,157 | ) | (281,229 | ) | (159,245 | ) | (521,698 | ) | ||||||||||||||||
| 1,250,704 | 1,654,841 | 1,274,051 | 1,736,166 | 854,887 | 1,136,116 | 641,625 | 1,163,323 | |||||||||||||||||||||||
| $ | 1,102,521 | $ | 1,250,704 | $ | 1,315,511 | $ | 1,274,051 | $ | 645,730 | $ | 854,887 | $ | 482,380 | $ | 641,625 | |||||||||||||||
| $ | — | $ | 2,555 | $ | 6,065 |
| $ | 6,651 | $ | 1,447 | $ | 1,491 | $ | (42 | ) | $ | (992 | ) | ||||||||||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 141 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands)
For the years ended September 30,
| Tax-Managed Small Cap Fund | Small/Mid Cap Diversified Fund | |||||||||||||||
| 2009 | 2008 | 2009 | 2008 | |||||||||||||
Operations: | ||||||||||||||||
Net Investment Income | $ | 1,061 | $ | 1,547 | $ | 492 | $ | 944 | ||||||||
Net Realized Loss from Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts | (86,558 | ) | (11,086 | ) | (38,624 | ) | (22,612 | ) | ||||||||
Net Realized Loss on Foreign Currency Transactions | — | — | (76 | ) | (5 | ) | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments, Affiliated Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts | 52,954 | (89,857 | ) | 22,885 | (17,963 | ) | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | — | — | (8 | ) | 7 | |||||||||||
Net Decrease in Net Assets from Operations | (32,543 | ) | (99,396 | ) | (15,331 | ) | (39,629 | ) | ||||||||
Dividends and Distributions From: | ||||||||||||||||
Net Investment Income: | ||||||||||||||||
Class A | (1,496 | ) | (1,291 | ) | (477 | ) | (1,355 | ) | ||||||||
Class I | — | — | — | — | ||||||||||||
Net Capital Gains: | ||||||||||||||||
Class A | — | (23,726 | ) | — | — | |||||||||||
Class I | — | — | — | — | ||||||||||||
Total Dividends and Distributions | (1,496 | ) | (25,017 | ) | (477 | ) | (1,355 | ) | ||||||||
Capital Share Transactions(1): | ||||||||||||||||
Class A: | ||||||||||||||||
Proceeds from Shares Issued | 184,323 | 115,260 | 86,460 | 58,072 | ||||||||||||
Reinvestment of Dividends and Distributions | 1,360 | 23,295 | 464 | 1,343 | ||||||||||||
Cost of Shares Redeemed | (207,700 | ) | (112,567 | ) | (87,036 | ) | (43,148 | ) | ||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | (22,017 | ) | 25,988 | (112 | ) | 16,267 | ||||||||||
Class I: | ||||||||||||||||
Proceeds from Shares Issued | — | — | 69 | 27 | ||||||||||||
Reinvestment of Dividends and Distributions | — | — | — | — | ||||||||||||
Cost of Shares Redeemed | — | — | (64 | ) | (6 | ) | ||||||||||
Increase in Net Assets Derived from Class I Transactions | — | — | 5 | 21 | ||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | (22,017 | ) | 25,988 | (107 | ) | 16,288 | ||||||||||
Net Decrease in Net Assets | (56,056 | ) | (98,425 | ) | (15,915 | ) | (24,696 | ) | ||||||||
Net Assets: | ||||||||||||||||
Beginning of Year | 318,520 | 416,945 | 106,011 | 130,707 | ||||||||||||
End of Year | $ | 262,464 | $ | 318,520 | $ | 90,096 | $ | 106,011 | ||||||||
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Year End | $ | 88 | $ | 401 | $ | 140 | $ | 19 | ||||||||
| (1) | See Note 6 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.
| 142 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Mid-Cap Fund | U.S. Managed Volatility Fund | |||||||||||||
| 2009 | 2008 | 2009 | 2008 | |||||||||||
| $ | 942 | $ | 979 | $ | 5,514 | $ | 4,474 | |||||||
| (46,851 | ) | (17,204 | ) | (111,935 | ) | (5,317 | ) | ||||||
| — | — | — | — | |||||||||||
| 39,752 |
| (29,247 | ) | 53,205 | (67,825 | ) | |||||||
| — |
| — | — | — | |||||||||
| (6,157 | ) | (45,472 | ) | (53,216 | ) | (68,668 | ) | |||||||
| (1,063 | ) | (847 | ) | (5,650 | ) | (4,113 | ) | |||||||
| (1 | ) | — | — | — | ||||||||||
| — | (16,926 | ) | — | (22,450 | ) | |||||||||
| — | (18 | ) | — | — | ||||||||||
| (1,064 | ) | (17,791 | ) | (5,650 | ) | (26,563 | ) | |||||||
| 74,360 | 88,803 | 356,268 | 231,699 | |||||||||||
| 896 | 16,367 | 5,326 | 25,758 | |||||||||||
| (74,607 | ) | (98,735 | ) | (380,409 | ) | (289,416 | ) | |||||||
| 649 | 6,435 | (18,815 | ) | (31,959 | ) | |||||||||
| 311 | 222 | 14 | 7 | |||||||||||
| 1 | 18 | — | — | |||||||||||
| (155 | ) | (138 | ) | (3 | ) | (2 | ) | |||||||
| 157 | 102 | 11 | 5 | |||||||||||
| 806 | 6,537 | (18,804 | ) | (31,954 | ) | |||||||||
| (6,415 | ) | (56,726 | ) | (77,670 | ) | (127,185 | ) | |||||||
| 126,561 | 183,287 | 458,674 | 585,859 | |||||||||||
| $ | 120,146 | $ | 126,561 | $ | 381,004 | $ | 458,674 | |||||||
$ | 187 |
| $ | 236 | $ | 1,155 | $ | 1,257 | ||||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 143 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands)
For the years or period ended September 30,
| Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund(2) | Real Estate Fund | ||||||||||||||||||||||
| 2009 | 2008 | 2009 | 2008 | 2009 | 2008 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net Investment Income | $ | 3,008 | $ | 2,888 | $ | 2,270 | $ | 744 | $ | 3,521 | $ | 2,132 | ||||||||||||
Net Realized Gain (Loss) from Investments, Affiliated Investments, Futures Contracts, Written Options, Written Swaptions and Swap Contracts | (47,360 | ) | (14,924 | ) | (19,058 | ) | (3,631 | ) | (110,434 | ) | (4,335 | ) | ||||||||||||
Net Realized Gain (loss) on Foreign Currency Transactions | (11,869 | ) | (6,086 | ) | — | — | 84 | (12 | ) | |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) of Investments, Affiliated Investments, Futures Contracts, Written Options, Written Swaptions and Swap Contracts | | 30,162 | | (25,814 | ) | 20,265 | (3,381 | ) | 44,829 | (43,076 | ) | |||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency | (2,353 | ) | 1,989 | — | — | 2 | (2 | ) | ||||||||||||||||
Net Increase (Decrease) in Net Assets from Operations | (28,412 | ) | (41,947 | ) | 3,477 | (6,268 | ) | (61,998 | ) | (45,293 | ) | |||||||||||||
Dividends and Distributions From: | ||||||||||||||||||||||||
Net Investment Income: | ||||||||||||||||||||||||
Class A | — | (4,301 | ) | (2,063 | ) | (375 | ) | (6,052 | ) | (5,783 | ) | |||||||||||||
Class I | — | — | — | — | (1 | ) | — | |||||||||||||||||
Class Y | — | — | — | — | — | — | ||||||||||||||||||
Net Capital Gains: | ||||||||||||||||||||||||
Class A | — | (3,779 | ) | — | — | — | (15,877 | ) | ||||||||||||||||
Class I | — | — | — | — | — | (1 | ) | |||||||||||||||||
Return of Capital | ||||||||||||||||||||||||
Class A | — | — | — | — | (37 | ) | — | |||||||||||||||||
Class I | — | — | — | — | — | — | ||||||||||||||||||
Total Dividends and Distributions | — | (8,080 | ) | (2,063 | ) | (375 | ) | (6,090 | ) | (21,661 | ) | |||||||||||||
Capital Share Transactions(1): | ||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Proceeds from Shares Issued | 238,774 | 116,518 | 191,230 | 122,400 | 264,480 | 194,132 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | 7,898 | 1,758 | 331 | 5,834 | 20,844 | ||||||||||||||||||
Cost of Shares Redeemed | (200,745 | ) | (145,982 | ) | (118,660 | ) | (19,565 | ) | (232,334 | ) | (141,657 | ) | ||||||||||||
Increase (Decrease) in Net Assets Derived from Class A Transactions | 38,029 | (21,566 | ) | 74,328 | 103,166 | 37,980 | 73,319 | |||||||||||||||||
Class I: | ||||||||||||||||||||||||
Proceeds from Shares Issued | 21 | 21 | — | — | 87 | 30 | ||||||||||||||||||
Reinvestment of Dividends and Distributions | — | — | — | — | 1 | 1 | ||||||||||||||||||
Cost of Shares Redeemed | (14 | ) | (11 | ) | — | — | (4 | ) | (3 | ) | ||||||||||||||
Increase (Decrease) in Net Assets Derived from Class I Transactions | 7 | 10 | — | — | 84 | 28 | ||||||||||||||||||
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | 38,036 | (21,556 | ) | 74,328 | 103,166 | 38,064 | 73,347 | |||||||||||||||||
Net Increase (Decrease) in Net Assets | 9,624 | (71,583 | ) | 75,742 | 96,523 | (30,024 | ) | 6,393 | ||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of Year/Period | 204,166 | 275,749 | 96,523 | — | 251,384 | 244,991 | ||||||||||||||||||
End of Year/Period | $ | 213,790 | $ | 204,166 | $ | 172,265 | $ | 96,523 | $ | 221,360 | $ | 251,384 | ||||||||||||
Undistributed (Distributions in Excess of) Net Investment Income/(Accumulated Net Investment Loss) Included in Net Assets at Period End | $ | (12,964 | ) | $ | (4,095 | ) | $ | 591 | $ | 369 | $ | 2,615 | $ | 3,186 | ||||||||||
| (1) | See Note 6 in Notes to Financial Statements for additional information. |
| (2) | Commenced operations on December 20, 2007. |
| (3) | Commenced operations on July 2, 2009. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
| 144 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Enhanced Income Fund | Core Fixed Income Fund | U.S. Fixed Income Fund(3) | High Yield Bond Fund | Real Return Fund(3) | ||||||||||||||||||||||||||
| 2009 | 2008 | 2009 | 2008 | 2009 | 2009 | 2008 | 2009 | |||||||||||||||||||||||
| $ | 9,863 | $ | 23,833 | $ | 149,672 | $ | 219,736 | $ | 4,579 | $ | 107,446 | $ | 108,507 | $ | 664 | |||||||||||||||
| (64,915 | ) | (28,773 | ) |
| (75,201 | ) | | | | 2,009 | (158,689 | ) | (55,543 | ) | 22 | |||||||||||||||
| (2,170 | ) | (4,725 | ) | 10,277 | (2,437 | ) | — | — | — | — | ||||||||||||||||||||
| 25,876 | (49,878 | ) |
| 197,739 |
|
| (353,817 | ) | 14,725 | 201,560 | (206,556 | ) | 759 | |||||||||||||||||
| 1,024 | 1,116 |
| (4,211 | ) | | 4,541 | | — | — | — | — | |||||||||||||||||||
| (30,322 | ) | (58,427 | ) | 278,276 | (123,228 | ) | 21,313 | 150,317 | (153,592 | ) | 1,445 | |||||||||||||||||||
| (7,069 | ) | (27,074 | ) | (153,233 | ) | (217,442 | ) | (4,508 | ) | (99,645 | ) | (108,737 | ) | — | ||||||||||||||||
| — | (1 | ) | (541 | ) | (432 | ) | — | (8 | ) | (3 | ) | — | ||||||||||||||||||
| — | — | — | — | — | — | |||||||||||||||||||||||||
| — | — | — | — | — | (11,445 | ) | (15,203 | ) | — | |||||||||||||||||||||
| — | — | — | (1 | ) | — | — | ||||||||||||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||
| — | — | — | — | — | — | — | — | |||||||||||||||||||||||
| (7,069 | ) | (27,075 | ) | (153,774 | ) | (217,874 | ) | (4,508 | ) | (111,099 | ) | (123,943 | ) | — | ||||||||||||||||
| 173,449 | 208,486 | 1,276,299 | 968,244 | 711,444 | 975,088 | 559,747 | 86,333 | |||||||||||||||||||||||
| 6,549 | 26,019 | 143,816 | 205,900 | 4,323 | 99,105 | 116,295 | — | |||||||||||||||||||||||
| (223,654 | ) | (455,141 | ) | (2,779,389 | ) | (1,747,665 | ) | (54,849 | ) | (899,807 | ) | (569,749 | ) | (4,210 | ) | |||||||||||||||
| (43,656 | ) | (220,636 | ) |
| (1,359,274 | ) |
| (573,521 | ) | 660,918 | 174,386 | 106,293 | 82,123 | |||||||||||||||||
| 28 | 11 | 8,717 | 6,623 | — | 158 | 77 | — | |||||||||||||||||||||||
| — | — | 420 | 419 | — | 8 | 3 | — | |||||||||||||||||||||||
| — | (4 | ) | (4,684 | ) | (11,215 | ) | — | (32 | ) | (25 | ) | — | ||||||||||||||||||
| 28 | 7 |
| 4,453 |
| (4,173 | ) | — | 134 | 55 | — | ||||||||||||||||||||
| (43,628 | ) | (220,629 | ) |
| (1,354,821 | ) | (577,694 | ) | 660,918 | 174,520 | 106,348 | 82,123 | ||||||||||||||||||
| (81,019 | ) | (306,131 | ) | (1,230,319 | ) | (918,796 | ) | 677,723 | 213,738 | (171,187 | ) | 83,568 | ||||||||||||||||||
| 314,811 | 620,942 | 3,694,723 | 4,613,519 | — | 1,076,426 | 1,247,613 | — | |||||||||||||||||||||||
| $ | 233,792 | $ | 314,811 | $ | 2,464,404 | $ | 3,694,723 | $ | 677,723 | $ | 1,290,164 | $ | 1,076,426 | $ | 83,568 | |||||||||||||||
| $ | 2,316 | $ | 1,684 | $ | (3,504 | ) | $ | (8,518 | ) | $ | 3 | $ | 3,195 | $ | (15,209 | ) | $ | 665 | ||||||||||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 145 |
Table of Contents
For the years or period ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends, Distributions and Return of Capital | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | |||||||||||||||||||||||||||||||||||||
Large Cap Value Fund |
| ||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 15.79 | $ | 0.30 | $ | (1.92 | ) | $ | (1.62 | ) | $ | (0.34 | ) | $ | — | $ | (0.34 | ) | $ | 13.83 | (9.88 | )% | $ | 1,843,530 | 0.89 | % | 0.90 | % | 0.99 | % | 2.51 | % | 69 | % | |||||||||||||||||
2008 | 23.97 | 0.40 | (6.10 | ) | (5.70 | ) | (0.41 | ) | (2.07 | ) | (2.48 | ) | 15.79 | (25.95 | ) | 2,381,011 | 0.88 | 0.88 | 0.97 | 2.09 | 53 | ||||||||||||||||||||||||||||||
2007 | 23.54 | 0.41 | 2.69 | 3.10 | (0.41 | ) | (2.26 | ) | (2.67 | ) | 23.97 | 13.91 | 3,616,120 | 0.86 | 0.86 | 0.97 | 1.74 | 36 | |||||||||||||||||||||||||||||||||
2006 | 22.45 | 0.37 | 2.41 | 2.78 | (0.37 | ) | (1.32 | ) | (1.69 | ) | 23.54 | 13.42 | 3,762,101 | 0.86 | 0.87 | 0.97 | 1.67 | 58 | |||||||||||||||||||||||||||||||||
2005 | 19.80 | 0.35 | 2.76 | 3.11 | (0.34 | ) | (0.12 | ) | (0.46 | ) | 22.45 | 15.87 | 4,230,717 | 0.86 | 0.86 | 0.97 | 1.63 | 44 | |||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 15.78 | $ | 0.26 | $ | (1.90 | ) | $ | (1.64 | ) | $ | (0.31 | ) | $ | — | $ | (0.31 | ) | $ | 13.83 | (10.05 | )% | $ | 11,433 | 1.11 | % | 1.12 | % | 1.24 | % | 2.19 | % | 69 | % | |||||||||||||||||
2008 | 23.95 | 0.36 | (6.11 | ) | (5.75 | ) | (0.35 | ) | (2.07 | ) | (2.42 | ) | 15.78 | (26.13 | ) | 10,861 | 1.11 | 1.11 | 1.22 | 1.85 | 53 | ||||||||||||||||||||||||||||||
2007 | 23.52 | 0.35 | 2.69 | 3.04 | (0.35 | ) | (2.26 | ) | (2.61 | ) | 23.95 | 13.64 | 29,072 | 1.11 | 1.11 | 1.22 | 1.49 | 36 | |||||||||||||||||||||||||||||||||
2006 | 22.43 | 0.31 | 2.42 | 2.73 | (0.32 | ) | (1.32 | ) | (1.64 | ) | 23.52 | 13.16 | 31,308 | 1.11 | 1.12 | 1.22 | 1.40 | 58 | |||||||||||||||||||||||||||||||||
2005 | 19.78 | 0.29 | 2.77 | 3.06 | (0.29 | ) | (0.12 | ) | (0.41 | ) | 22.43 | 15.61 | 24,735 | 1.11 | 1.11 | 1.22 | 1.37 | 44 | |||||||||||||||||||||||||||||||||
Large Cap Growth Fund |
| ||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 18.39 | $ | 0.11 | $ | (0.77 | ) | $ | (0.66 | ) | $ | (0.11 | ) | $ | — | $ | (0.11 | ) | $ | 17.62 | (3.47 | )% | $ | 2,034,096 | 0.89 | % | 0.90 | % | 1.04 | % | 0.74 | % | 96 | % | |||||||||||||||||
2008 | 23.74 | 0.08 | (5.35 | ) | (5.27 | ) | (0.08 | ) | — | (0.08 | ) | 18.39 | (22.26 | ) | 2,472,052 | 0.88 | 0.88 | 1.02 | 0.37 | 78 | |||||||||||||||||||||||||||||||
2007 | 19.95 | 0.06 | 3.78 | 3.84 | (0.05 | ) | — | (0.05 | ) | 23.74 | 19.26 | 3,622,963 | 0.86 | 0.86 | 1.02 | 0.26 | 55 | ||||||||||||||||||||||||||||||||||
2006 | 19.23 | 0.04 | 0.71 | 0.75 | (0.03 | ) | — | (0.03 | ) | 19.95 | 3.92 | 3,387,749 | 0.86 | 0.87 | 1.02 | 0.18 | 89 | ||||||||||||||||||||||||||||||||||
2005 | 17.13 | 0.09 | 2.09 | 2.18 | (0.08 | ) | — | (0.08 | ) | 19.23 | 12.75 | 4,004,347 | 0.86 | 0.86 | 1.02 | 0.47 | 52 | ||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 18.20 | $ | 0.07 | $ | (0.76 | ) | $ | (0.69 | ) | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | 17.44 | (3.69 | )% | $ | 9,153 | 1.11 | % | 1.12 | % | 1.29 | % | 0.51 | % | 96 | % | |||||||||||||||||
2008 | 23.48 | 0.03 | (5.29 | ) | (5.26 | ) | (0.02 | ) | — | (0.02 | ) | 18.20 | (22.43 | ) | 7,695 | 1.11 | 1.11 | 1.27 | 0.13 | 78 | |||||||||||||||||||||||||||||||
2007 | 19.75 | — | * | 3.73 | 3.73 | — | * | — | — | 23.48 | 18.91 | 25,196 | 1.11 | 1.11 | 1.27 | 0.01 | 55 | ||||||||||||||||||||||||||||||||||
2006 | 19.04 | (0.01 | ) | 0.72 | 0.71 | — | — | — | 19.75 | 3.73 | 27,780 | 1.11 | 1.12 | 1.27 | (0.07 | ) | 89 | ||||||||||||||||||||||||||||||||||
2005 | 17.00 | 0.04 | 2.07 | 2.11 | (0.07 | ) | — | (0.07 | ) | 19.04 | 12.42 | 29,689 | 1.11 | 1.11 | 1.27 | 0.22 | 52 | ||||||||||||||||||||||||||||||||||
Tax-Managed Large Cap Fund |
| ||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 11.08 | $ | 0.13 | $ | (0.87 | ) | $ | (0.74 | ) | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | $ | 10.19 | (6.44 | )% | $ | 1,596,020 | 0.89 | % | 0.90 | % | 1.04 | % | 1.54 | % | 67 | % | |||||||||||||||||
2008 | 14.70 | 0.15 | (3.62 | ) | (3.47 | ) | (0.15 | ) | — | (0.15 | ) | 11.08 | (23.76 | ) | 2,148,949 | 0.88 | 0.88 | 1.02 | 1.13 | 61 | |||||||||||||||||||||||||||||||
2007 | 12.68 | 0.14 | 2.01 | 2.15 | (0.13 | ) | — | (0.13 | ) | 14.70 | 17.05 | 2,892,866 | 0.86 | 0.86 | 1.02 | 1.02 | 44 | ||||||||||||||||||||||||||||||||||
2006 | 11.78 | 0.11 | 0.90 | 1.01 | (0.11 | ) | — | (0.11 | ) | 12.68 | 8.58 | 2,373,507 | 0.86 | 0.87 | 1.02 | 0.91 | 65 | ||||||||||||||||||||||||||||||||||
2005 | 10.41 | 0.12 | 1.37 | 1.49 | (0.12 | ) | — | (0.12 | ) | 11.78 | 14.40 | 2,172,885 | 0.86 | 0.86 | 1.02 | 1.08 | 31 | ||||||||||||||||||||||||||||||||||
Class Y | |||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 11.24 | $ | 0.16 | $ | (0.88 | ) | $ | (0.72 | ) | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | $ | 10.37 | (6.12 | )% | $ | 3,094 | 0.56 | % | 0.57 | % | 0.74 | % | 1.85 | % | 67 | % | |||||||||||||||||
2008 | 14.87 | 0.19 | (3.66 | ) | (3.47 | ) | (0.16 | ) | — | (0.16 | ) | 11.24 | (23.52 | ) | 3,220 | 0.56 | 0.56 | 0.72 | 1.44 | 61 | |||||||||||||||||||||||||||||||
2007 | 12.79 | 0.18 | 2.04 | 2.22 | (0.14 | ) | — | (0.14 | ) | 14.87 | 17.43 | 4,711 | 0.56 | 0.56 | 0.72 | 1.32 | 44 | ||||||||||||||||||||||||||||||||||
2006 | 11.86 | 0.15 | 0.89 | 1.04 | (0.11 | ) | — | (0.11 | ) | 12.79 | 8.83 | 4,558 | 0.56 | 0.57 | 0.72 | 1.21 | 65 | ||||||||||||||||||||||||||||||||||
2005 | 10.45 | 0.16 | 1.38 | 1.54 | (0.13 | ) | — | (0.13 | ) | 11.86 | 14.78 | 5,067 | 0.56 | 0.56 | 0.72 | 1.39 | 31 | ||||||||||||||||||||||||||||||||||
Large Cap Diversified Alpha Fund |
| ||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 8.23 | $ | 0.08 | $ | (1.04 | ) | $ | (0.96 | ) | $ | (0.09 | )(21) | $ | — | $ | (0.09 | ) | $ | 7.18 | (11.51 | )% | $ | 1,101,994 | 1.02 | %(18) | 1.02 | %(18) | 1.11 | % | 1.25 | % | 182 | % | |||||||||||||||||
2008 | 11.78 | 0.13 | (3.11 | ) | (2.98 | ) | (0.13 | ) | (0.44 | ) | (0.57 | ) | 8.23 | (26.42 | ) | 1,250,304 | 1.35 | (15) | 1.35 | (15) | 1.41 | 1.17 | 93 | ||||||||||||||||||||||||||||
2007 | 10.38 | 0.14 | 1.47 | 1.61 | (0.13 | ) | (0.08 | ) | (0.21 | ) | 11.78 | 15.64 | 1,654,324 | 1.21 | (10) | 1.21 | (10) | 1.29 | 1.25 | 84 | |||||||||||||||||||||||||||||||
2006(2) | 10.00 | 0.10 | 0.34 | 0.44 | (0.06 | ) | — | (0.06 | ) | 10.38 | 4.44 | 1,082,101 | 1.09 | ‡ | 1.09 | ‡ | 1.16 | 1.18 | 72 | ||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 8.22 | $ | 0.06 | $ | (1.04 | ) | $ | (0.98 | ) | $ | (0.07 | )(21) | $ | — | $ | (0.07 | ) | $ | 7.17 | (11.69 | )% | $ | 527 | 1.26 | %(18) | 1.26 | %(18) | 1.35 | % | 0.94 | % | 182 | % | |||||||||||||||||
2008 | 11.78 | 0.09 | (3.11 | ) | (3.02 | ) | (0.10 | ) | (0.44 | ) | (0.54 | ) | 8.22 | (26.70 | ) | 400 | 1.60 | (15) | 1.60 | (15) | 1.66 | 0.92 | 93 | ||||||||||||||||||||||||||||
2007 | 10.38 | 0.11 | 1.48 | 1.59 | (0.11 | ) | (0.08 | ) | (0.19 | ) | 11.78 | 15.42 | 517 | 1.46 | (10) | 1.46 | (10) | 1.54 | 0.99 | 84 | |||||||||||||||||||||||||||||||
2006(3) | 10.28 | 0.01 | 0.09 | 0.10 | — | — | — | 10.38 | 0.97 | 21 | 1.08 | ‡ | 1.08 | ‡ | 1.15 | 1.12 | 72 | ||||||||||||||||||||||||||||||||||
| 146 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate† | |||||||||||||||||||||||||||||||||||||
S&P 500 Index Fund |
| ||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 32.43 | $ | 0.57 | $ | (3.12 | ) | $ | (2.55 | ) | $ | (0.61 | ) | $ | (0.26 | ) | $ | (0.87 | ) | $ | 29.01 | (7.33 | )% | $ | 451,069 | 0.43 | % | 0.43 | % | 0.55 | % | 2.31 | % | 29 | % | ||||||||||||||||
2008 | 44.71 | 0.68 | (10.10 | ) | (9.42 | ) | (0.70 | ) | (2.16 | ) | (2.86 | ) | 32.43 | (22.30 | ) | 462,947 | 0.41 | 0.41 | 0.53 | 1.77 | 27 | ||||||||||||||||||||||||||||||
2007(4) | 41.45 | 0.34 | 3.09 | 3.43 | (0.17 | ) | — | (0.17 | ) | 44.71 | 8.28 | 650,792 | 0.40 | 0.40 | 0.43 | 1.55 | 2 | ||||||||||||||||||||||||||||||||||
2007(5) | 38.38 | 0.63 | 3.70 | 4.33 | (0.68 | ) | (0.58 | ) | (1.26 | ) | 41.45 | 11.38 | 621,898 | 0.40 | 0.40 | 0.43 | 1.59 | 6 | |||||||||||||||||||||||||||||||||
2006(5) | 36.21 | 0.56 | 3.47 | 4.03 | (0.54 | ) | (1.32 | ) | (1.86 | ) | 38.38 | 11.32 | 614,246 | 0.40 | 0.40 | 0.43 | 1.49 | 18 | |||||||||||||||||||||||||||||||||
2005(5) | 34.66 | 0.59 | 1.57 | 2.16 | (0.58 | ) | (0.03 | ) | (0.61 | ) | 36.21 | 6.25 | 655,378 | 0.40 | 0.40 | 0.43 | 1.67 | 11 | |||||||||||||||||||||||||||||||||
Class E | |||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 32.54 | $ | 0.61 | $ | (3.12 | ) | $ | (2.51 | ) | $ | (0.65 | ) | $ | (0.26 | ) | $ | (0.91 | ) | $ | 29.12 | (7.16 | )% | $ | 855,876 | 0.25 | % | 0.25 | % | 0.30 | % | 2.44 | % | 29 | % | ||||||||||||||||
2008 | 44.85 | 0.75 | (10.14 | ) | (9.39 | ) | (0.76 | ) | (2.16 | ) | (2.92 | ) | 32.54 | (22.19 | ) | 805,606 | 0.25 | 0.25 | 0.53 | 1.95 | 27 | ||||||||||||||||||||||||||||||
2007(4) | 41.57 | 0.30 | 3.17 | 3.47 | (0.19 | ) | — | (0.19 | ) | 44.85 | 8.34 | 1,072,141 | 0.25 | 0.25 | 0.53 | 1.70 | 2 | ||||||||||||||||||||||||||||||||||
2007(5) | 38.48 | 0.69 | 3.72 | 4.41 | (0.74 | ) | (0.58 | ) | (1.32 | ) | 41.57 | 11.57 | 1,127,189 | 0.25 | 0.25 | 0.53 | 1.74 | 6 | |||||||||||||||||||||||||||||||||
2006(5) | 36.31 | 0.62 | 3.48 | 4.10 | (0.61 | ) | (1.32 | ) | (1.93 | ) | 38.48 | 11.49 | 1,684,857 | 0.25 | 0.25 | 0.53 | 1.65 | 18 | |||||||||||||||||||||||||||||||||
2005(5) | 34.76 | 0.66 | 1.55 | 2.21 | (0.63 | ) | (0.03 | ) | (0.66 | ) | 36.31 | 6.39 | 1,307,631 | 0.25 | 0.25 | 0.53 | 1.86 | 11 | |||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 32.47 | $ | 0.51 | $ | (3.12 | ) | $ | (2.61 | ) | $ | (0.53 | ) | $ | (0.26 | ) | $ | (0.79 | ) | $ | 29.07 | (7.53 | )% | $ | 8,566 | 0.65 | % | 0.65 | % | 0.80 | % | 2.07 | % | 29 | % | ||||||||||||||||
2008 | 44.74 | 0.60 | (10.12 | ) | (9.52 | ) | (0.59 | ) | (2.16 | ) | (2.75 | ) | 32.47 | (22.49 | ) | 5,498 | 0.65 | 0.65 | 0.78 | 1.53 | 27 | ||||||||||||||||||||||||||||||
2007(4) | 41.51 | 0.28 | 3.09 | 3.37 | (0.14 | ) | — | (0.14 | ) | 44.74 | 8.12 | 13,233 | 0.65 | 0.65 | 0.78 | 1.29 | 2 | ||||||||||||||||||||||||||||||||||
2007(5) | 38.43 | 0.53 | 3.71 | 4.24 | (0.58 | ) | (0.58 | ) | (1.16 | ) | 41.51 | 11.12 | 14,346 | 0.65 | 0.65 | 0.78 | 1.34 | 6 | |||||||||||||||||||||||||||||||||
2006(5) | 36.26 | 0.47 | 3.46 | 3.93 | (0.44 | ) | (1.32 | ) | (1.76 | ) | 38.43 | 11.02 | 13,144 | 0.65 | 0.65 | 0.78 | 1.25 | 18 | |||||||||||||||||||||||||||||||||
2005(5) | 34.72 | 0.51 | 1.56 | 2.07 | (0.50 | ) | (0.03 | ) | (0.53 | ) | 36.26 | 5.97 | 11,452 | 0.65 | 0.65 | 0.78 | 1.44 | 11 | |||||||||||||||||||||||||||||||||
Small Cap Value Fund |
| ||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 15.38 | $ | 0.11 | $ | (1.62 | ) | $ | (1.51 | ) | $ | (0.13 | ) | $ | (0.08 | ) | $ | (0.21 | ) | $ | 13.66 | (9.31 | )% | $ | 638,341 | 1.14 | % | 1.16 | % | 1.29 | % | 1.03 | % | 110 | % | ||||||||||||||||
2008 | 21.26 | 0.09 | (3.22 | ) | (3.13 | ) | (0.07 | ) | (2.68 | ) | (2.75 | ) | 15.38 | (16.02 | ) | 846,492 | 1.13 | 1.15 | 1.28 | 0.55 | 91 | ||||||||||||||||||||||||||||||
2007 | 21.28 | 0.04 | 2.23 | 2.27 | (0.14 | ) | (2.15 | ) | (2.29 | ) | 21.26 | 10.70 | 1,122,027 | 1.11 | 1.13 | 1.27 | 0.19 | 86 | |||||||||||||||||||||||||||||||||
2006 | 21.58 | 0.05 | 1.97 | 2.02 | (0.06 | ) | (2.26 | ) | (2.32 | ) | 21.28 | 10.34 | 1,160,178 | 1.11 | 1.13 | 1.27 | 0.31 | 72 | |||||||||||||||||||||||||||||||||
2005 | 20.74 | 0.06 | 4.02 | 4.08 | (0.05 | ) | (3.19 | ) | (3.24 | ) | 21.58 | 21.21 | 1,066,189 | 1.11 | 1.11 | 1.27 | 0.27 | 71 | |||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 15.29 | $ | 0.08 | $ | (1.62 | ) | $ | (1.54 | ) | $ | (0.11 | ) | $ | (0.08 | ) | $ | (0.19 | ) | $ | 13.56 | (9.59 | )% | $ | 7,389 | 1.36 | % | 1.38 | % | 1.54 | % | 0.77 | % | 110 | % | ||||||||||||||||
2008 | 21.17 | 0.05 | (3.21 | ) | (3.16 | ) | (0.04 | ) | (2.68 | ) | (2.72 | ) | 15.29 | (16.21 | ) | 8,395 | 1.36 | 1.39 | 1.53 | 0.31 | 91 | ||||||||||||||||||||||||||||||
2007 | 21.21 | (0.01 | ) | 2.21 | 2.20 | (0.09 | ) | (2.15 | ) | (2.24 | ) | 21.17 | 10.41 | 14,089 | 1.36 | 1.38 | 1.52 | (0.04 | ) | 86 | |||||||||||||||||||||||||||||||
2006 | 21.52 | — | 1.98 | 1.98 | (0.03 | ) | (2.26 | ) | (2.29 | ) | 21.21 | 10.11 | 14,293 | 1.36 | 1.38 | 1.52 | 0.06 | 72 | |||||||||||||||||||||||||||||||||
2005 | 20.71 | (0.01 | ) | 4.03 | 4.02 | (0.02 | ) | (3.19 | ) | (3.21 | ) | 21.52 | 20.88 | 12,713 | 1.36 | 1.36 | 1.52 | (0.03 | ) | 71 | |||||||||||||||||||||||||||||||
Small Cap Growth Fund |
| ||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 13.98 | $ | 0.02 | $ | (1.04 | ) | $ | (1.02 | ) | $ | — | * | $ | — | $ | — | $ | 12.96 | (7.27 | )% | $ | 478,405 | 1.11 | % | 1.12 | % | 1.29 | % | 0.17 | % | 163 | % | ||||||||||||||||||
2008 | 21.91 | 0.01 | (6.22 | ) | (6.21 | ) | (0.01 | ) | (1.71 | ) | (1.72 | ) | 13.98 | (30.36 | ) | 638,257 | 1.11 | 1.12 | 1.28 | 0.04 | 124 | ||||||||||||||||||||||||||||||
2007 | 18.56 | (0.09 | ) | 3.44 | 3.35 | — | — | — | 21.91 | 18.05 | 1,154,000 | 1.11 | 1.13 | 1.27 | (0.43 | ) | 135 | ||||||||||||||||||||||||||||||||||
2006 | 17.86 | (0.07 | ) | 0.77 | 0.70 | — | — | — | 18.56 | 3.92 | 1,111,329 | 1.11 | 1.13 | 1.27 | (0.40 | ) | 99 | ||||||||||||||||||||||||||||||||||
2005 | 15.14 | (0.10 | ) | 2.82 | 2.72 | — | — | — | 17.86 | 17.97 | 1,058,413 | 1.11 | 1.11 | 1.27 | (0.60 | ) | 116 | ||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 13.71 | $ | (0.02 | ) | $ | (1.01 | ) | $ | (1.03 | ) | $ | — | $ | — | $ | — | $ | 12.68 | (7.51 | )% | $ | 3,975 | 1.36 | % | 1.37 | % | 1.55 | % | (0.17 | )% | 163 | % | ||||||||||||||||||
2008 | 21.57 | (0.03 | ) | (6.12 | ) | (6.15 | ) | — | (1.71 | ) | (1.71 | ) | 13.71 | (30.57 | ) | 3,368 | 1.36 | 1.37 | 1.53 | (0.19 | ) | 124 | |||||||||||||||||||||||||||||
2007 | 18.32 | (0.14 | ) | 3.39 | 3.25 | — | — | — | 21.57 | 17.74 | 9,323 | 1.36 | 1.38 | 1.52 | (0.67 | ) | 135 | ||||||||||||||||||||||||||||||||||
2006 | 17.67 | (0.12 | ) | 0.77 | 0.65 | — | — | — | 18.32 | 3.68 | 11,910 | 1.36 | 1.38 | 1.52 | (0.65 | ) | 99 | ||||||||||||||||||||||||||||||||||
2005 | 15.02 | (0.14 | ) | 2.79 | 2.65 | — | — | — | 17.67 | 17.64 | 11,077 | 1.36 | 1.36 | 1.52 | (0.85 | ) | 116 | ||||||||||||||||||||||||||||||||||
Tax-Managed Small Cap Fund |
| ||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 10.16 | $ | 0.04 | $ | (0.73 | ) | $ | (0.69 | )�� | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | 9.42 | (6.62 | )% | $ | 262,464 | 1.11 | % | 1.15 | % | 1.30 | % | 0.50 | % | 136 | % | |||||||||||||||||
2008 | 14.14 | 0.05 | (3.19 | ) | (3.14 | ) | (0.04 | ) | (0.80 | ) | (0.84 | ) | 10.16 | (23.34 | ) | 318,520 | 1.11 | 1.13 | 1.28 | 0.41 | 96 | ||||||||||||||||||||||||||||||
2007 | 13.10 | 0.04 | 2.00 | 2.04 | (0.06 | ) | (0.94 | ) | (1.00 | ) | 14.14 | 16.00 | 416,945 | 1.11 | 1.14 | 1.27 | 0.31 | 72 | |||||||||||||||||||||||||||||||||
2006 | 13.13 | 0.01 | 0.68 | 0.69 | — | (0.72 | ) | (0.72 | ) | 13.10 | 5.50 | 314,333 | 1.11 | 1.14 | 1.27 | 0.09 | 73 | ||||||||||||||||||||||||||||||||||
2005 | 11.63 | (0.02 | ) | 2.36 | 2.34 | — | (0.84 | ) | (0.84 | ) | 13.13 | 20.80 | 269,519 | 1.11 | 1.11 | 1.27 | (0.17 | ) | 99 | ||||||||||||||||||||||||||||||||
Small/Mid Cap Diversified Alpha Fund |
| ||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 7.23 | $ | 0.03 | $ | (1.13 | ) | $ | (1.10 | ) | $ | (0.03 | ) | $ | — | $ | (0.03 | ) | $ | 6.10 | (15.05 | )% | $ | 90,063 | 1.26 | %(19) | 1.26 | %(19) | 1.46 | % | 0.63 | % | 213 | % | |||||||||||||||||
2008 | 10.10 | 0.06 | (2.83 | ) | (2.77 | ) | (0.10 | ) | — | (0.10 | ) | 7.23 | (27.63 | ) | 105,993 | 1.42 | (6) | 1.42 | (6) | 1.62 | 0.75 | 170 | |||||||||||||||||||||||||||||
2007(9) | 10.00 | 0.10 | 0.07 | †† | 0.17 | (0.07 | ) | — | (0.07 | ) | 10.10 | 1.71 | 130,707 | 1.29 | (11) | 1.29 | (11) | 1.50 | 1.25 | 112 | |||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 7.23 | $ | 0.01 | $ | (1.13 | ) | $ | (1.12 | ) | $ | (0.03 | ) | $ | — | $ | (0.03 | ) | $ | 6.08 | (15.40 | )% | $ | 33 | 1.50 | %(19) | 1.51 | %(19) | 1.71 | % | 0.18 | % | 213 | % | |||||||||||||||||
2008(14) | 10.28 | 0.03 | (2.99 | ) | (2.96 | ) | (0.09 | ) | — | (0.09 | ) | 7.23 | (28.98 | ) | 18 | 1.67 | (6) | 1.67 | (6) | 1.71 | 0.37 | 170 | |||||||||||||||||||||||||||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 147 |
Table of Contents
Financial Highlights
For the years or period ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
| Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends, Distributions and Return of Capital | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||
Mid-Cap Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 14.87 | $ | 0.11 | $ | (0.94 | ) | $ | (0.83 | ) | $ | (0.12 | ) | $ | — | $ | (0.12 | ) | $ | 13.92 | (5.34 | )% | $ | 119,872 | 1.02 | % | 1.02 | % | 1.04 | % | 0.95 | % | 143 | % | ||||||||||||||||
2008 | 22.22 | 0.11 | (5.28 | ) | (5.17 | ) | (0.09 | ) | (2.09 | ) | (2.18 | ) | 14.87 | (25.45 | ) | 126,509 | 1.02 | 1.02 | 1.03 | 0.58 | 126 | |||||||||||||||||||||||||||||
2007 | 20.40 | 0.06 | 3.40 | 3.46 | (0.10 | ) | (1.54 | ) | (1.64 | ) | 22.22 | 17.51 | 183,287 | 1.01 | 1.01 | 1.02 | 0.26 | 176 | ||||||||||||||||||||||||||||||||
2006 | 20.29 | 0.14 | 1.49 | 1.63 | (0.12 | ) | (1.40 | ) | (1.52 | ) | 20.40 | 8.50 | 90,208 | 1.01 | 1.01 | 1.03 | 0.67 | 135 | ||||||||||||||||||||||||||||||||
2005 | 17.84 | 0.06 | 4.61 | 4.67 | (0.06 | ) | (2.16 | ) | (2.22 | ) | 20.29 | 28.15 | 71,162 | 1.01 | 1.01 | 1.03 | 0.30 | 137 | ||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 14.86 | $ | 0.05 | $ | (0.89 | ) | $ | (0.84 | ) | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | 13.92 | (5.47 | )% | $ | 274 | 1.26 | % | 1.26 | % | 1.30 | % | 0.48 | % | 143 | % | ||||||||||||||||
2008(14) | 22.56 | 0.06 | (5.63 | ) | (5.57 | ) | (0.04 | ) | (2.09 | ) | (2.13 | ) | 14.86 | (26.82 | ) | 52 | 1.26 | 1.26 | 1.27 | 0.33 | 126 | |||||||||||||||||||||||||||||
U.S. Managed Volatility Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 11.25 | $ | 0.13 | $ | (1.59 | ) | $ | (1.46 | ) | $ | (0.14 | ) | $ | — | $ | (0.14 | ) | $ | 9.65 | (12.88 | )% | $ | 380,987 | 1.00 | % | 1.00 | % | 1.29 | % | 1.56 | % | 126 | % | ||||||||||||||||
2008 | 13.45 | 0.10 | (1.69 | ) | (1.59 | ) | (0.10 | ) | (0.51 | ) | (0.61 | ) | 11.25 | (12.38 | ) | 458,668 | 1.00 | 1.00 | 1.27 | 0.85 | 85 | |||||||||||||||||||||||||||||
2007 | 12.02 | 0.15 | 1.74 | 1.89 | (0.14 | ) | (0.32 | ) | (0.46 | ) | 13.45 | 16.09 | 585,858 | 1.04 | 1.04 | 1.27 | 1.19 | 112 | ||||||||||||||||||||||||||||||||
2006 | 11.41 | 0.10 | 0.75 | 0.85 | (0.09 | ) | (0.15 | ) | (0.24 | ) | 12.02 | 7.64 | 303,523 | 1.11 | 1.11 | 1.27 | 0.91 | 133 | ||||||||||||||||||||||||||||||||
2005(7) | 10.00 | 0.10 | 1.39 | 1.49 | (0.08 | ) | — | * | (0.08 | ) | 11.41 | 14.94 | 160,047 | 1.11 | 1.11 | 1.27 | 1.03 | 102 | ||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 11.24 | $ | 0.12 | $ | (1.61 | ) | $ | (1.49 | ) | $ | (0.12 | ) | $ | — | $ | (0.12 | ) | $ | 9.63 | (13.17 | )% | $ | 17 | 1.25 | % | 1.25 | % | 1.55 | % | 1.38 | % | 126 | % | ||||||||||||||||
2008 | 13.43 | 0.09 | (1.71 | ) | (1.62 | ) | (0.06 | ) | (0.51 | ) | (0.57 | ) | 11.24 | (12.58 | ) | 6 | 1.25 | 1.25 | 1.57 | 0.71 | 85 | |||||||||||||||||||||||||||||
2007(12) | 13.54 | 0.01 | (0.05 | ) | (0.04 | ) | (0.07 | ) | — | (0.07 | ) | 13.43 | (0.32 | ) | 1 | 1.36 | 1.36 | 1.86 | 0.19 | 112 | ||||||||||||||||||||||||||||||
Global Managed Volatility Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 9.07 | $ | 0.12 | $ | (1.37 | ) | $ | (1.25 | ) | $ | — | $ | — | $ | — | $ | 7.82 | (13.78 | )% | $ | 213,773 | 1.13 | %(17) | 1.13 | %(17) | 1.35 | % | 1.59 | % | 155 | % | ||||||||||||||||||
2008 | 11.22 | 0.12 | (1.92 | ) | (1.80 | ) | (0.18 | ) | (0.17 | ) | (0.35 | ) | 9.07 | (16.60 | ) | 204,156 | 1.11 | 1.11 | 1.31 | 1.24 | 113 | |||||||||||||||||||||||||||||
2007 | 10.37 | 0.17 | 0.85 | 1.02 | (0.11 | ) | (0.06 | ) | (0.17 | ) | 11.22 | 9.88 | 275,748 | 1.11 | 1.11 | 1.32 | 1.56 | 119 | ||||||||||||||||||||||||||||||||
2006(8) | 10.00 | 0.02 | 0.35 | 0.37 | — | — | — | 10.37 | 3.70 | 94,951 | 1.10 | 1.10 | 1.30 | 1.22 | 13 | |||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 9.02 | $ | 0.11 | $ | (1.37 | ) | $ | (1.26 | ) | $ | — | $ | — | $ | — | $ | 7.76 | (13.97 | )% | $ | 17 | 1.38 | %(17) | 1.38 | %(17) | 1.62 | % | 1.56 | % | 155 | % | ||||||||||||||||||
2008 | 11.20 | 0.14 | (1.97 | ) | (1.83 | ) | (0.18 | ) | (0.17 | ) | (0.35 | ) | 9.02 | (16.86 | ) | 10 | 1.36 | 1.36 | 1.56 | 1.49 | 113 | |||||||||||||||||||||||||||||
2007(12) | 11.45 | 0.01 | (0.26 | ) | (0.25 | ) | — | — | — | 11.20 | (2.18 | ) | 1 | 1.36 | 1.36 | 2.26 | 0.23 | 119 | ||||||||||||||||||||||||||||||||
Tax-Managed Managed Volatility Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 9.02 | $ | 0.12 | $ | (0.88 | ) | $ | (0.76 | ) | $ | (0.12 | ) | $ | — | $ | (0.12 | ) | $ | 8.14 | (8.28 | )% | $ | 172,265 | 1.00 | % | 1.00 | % | 1.29 | % | 1.69 | % | 94 | % | ||||||||||||||||
2008(13) | 10.00 | 0.10 | (1.02 | ) | (0.92 | ) | (0.06 | ) | — | (0.06 | ) | 9.02 | (9.24 | ) | 96,523 | 1.00 | 1.00 | 1.29 | 1.43 | 65 | ||||||||||||||||||||||||||||||
Real Estate Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 13.73 | $ | 0.16 | $ | (4.18 | ) | $ | (4.02 | ) | $ | (0.29 | )(20) | $ | — | $ | (0.29 | ) | $ | 9.42 | (28.69 | )% | $ | 221,228 | 1.14 | % | 1.15 | % | 1.29 | % | 2.08 | % | 97 | % | ||||||||||||||||
2008 | 18.20 | 0.13 | (3.11 | ) | (2.98 | ) | (0.38 | ) | (1.11 | ) | (1.49 | ) | 13.73 | (17.15 | ) | 251,359 | 1.13 | 1.13 | 1.27 | 0.86 | 52 | |||||||||||||||||||||||||||||
2007 | 18.43 | 0.30 | 0.76 | 1.06 | (0.36 | ) | (0.93 | ) | (1.29 | ) | 18.20 | 5.49 | 244,991 | 1.11 | 1.12 | 1.27 | 1.55 | 84 | ||||||||||||||||||||||||||||||||
2006 | 14.86 | 0.23 | 4.15 | 4.38 | (0.36 | ) | (0.45 | ) | (0.81 | ) | 18.43 | 30.44 | 192,674 | 1.11 | 1.12 | 1.27 | 1.39 | 65 | ||||||||||||||||||||||||||||||||
2005 | 11.89 | 0.27 | 3.22 | 3.49 | (0.26 | ) | (0.26 | ) | (0.52 | ) | 14.86 | 29.97 | 96,405 | 1.11 | 1.11 | 1.27 | 1.95 | 58 | ||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 13.72 | $ | 0.09 | $ | (4.12 | ) | $ | (4.03 | ) | $ | (0.28 | )(20) | $ | — | $ | (0.28 | ) | $ | 9.41 | (28.83 | )% | $ | 132 | 1.36 | % | 1.37 | % | 1.55 | % | 1.26 | % | 97 | % | ||||||||||||||||
2008(14) | 18.55 | 0.13 | (3.49 | ) | (3.36 | ) | (0.36 | ) | (1.11 | ) | (1.47 | ) | 13.72 | (18.89 | ) | 25 | 1.36 | 1.36 | 1.52 | 0.86 | 52 | |||||||||||||||||||||||||||||
Enhanced Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 8.21 | $ | 0.29 | $ | (1.09 | ) | $ | (0.80 | ) | $ | (0.20 | ) | $ | — | $ | (0.20 | ) | $ | 7.21 | (9.56 | )% | $ | 233,747 | 0.60 | % | 0.60 | % | 1.06 | % | 4.30 | % | 132 | % | ||||||||||||||||
2008 | 9.92 | 0.49 | (1.68 | ) | (1.19 | ) | (0.52 | ) | — | (0.52 | ) | 8.21 | (12.42 | ) | 314,795 | 0.60 | 0.60 | 1.04 | 5.40 | 42 | ||||||||||||||||||||||||||||||
2007 | 10.11 | 0.57 | (0.27 | ) | 0.30 | (0.49 | ) | — | (0.49 | ) | 9.92 | 2.96 | 620,931 | 0.60 | 0.60 | 1.03 | 5.67 | 43 | ||||||||||||||||||||||||||||||||
2006(8) | 10.00 | 0.10 | 0.01 | 0.11 | — | — | — | 10.11 | 1.10 | 235,981 | 0.60 | 0.60 | 1.10 | 5.54 | 70 | |||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 8.20 | $ | 0.25 | $ | (1.06 | ) | $ | (0.81 | ) | $ | (0.19 | ) | $ | — | $ | (0.19 | ) | $ | 7.20 | (9.79 | )% | $ | 45 | 0.85 | % | 0.85 | % | 1.31 | % | 3.73 | % | 132 | % | ||||||||||||||||
2008 | 9.91 | 0.43 | (1.63 | ) | (1.20 | ) | (0.51 | ) | — | (0.51 | ) | 8.20 | (12.61 | ) | 16 | 0.85 | 0.85 | 1.29 | 4.82 | 42 | ||||||||||||||||||||||||||||||
2007(12) | 10.25 | 0.15 | (0.35 | ) | (0.20 | ) | (0.14 | ) | — | (0.14 | ) | 9.91 | (2.01 | ) | 11 | 1.09 | 1.09 | 1.56 | 5.78 | 43 | ||||||||||||||||||||||||||||||
| 148 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gains (Losses) on Securities(1) | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends, Distributions and Return of Capital | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) | Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers) | Ratio of Net Investment Income to Average Net Assets | Portfolio Turnover Rate† | ||||||||||||||||||||||||||||||||||||
Core Fixed Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 9.37 | $ | 0.50 | $ | 0.62 | $ | 1.12 | $ | (0.51 | ) | $ | — | $ | (0.51 | ) | $ | 9.98 | 12.55 | % | $ | 2,450,746 | 0.67 | % | 0.67 | % | 0.86 | % | 5.42 | % | 329 | % | ||||||||||||||||||
2008 | 10.19 | 0.51 | (0.82 | ) | (0.31 | ) | (0.51 | ) | — | (0.51 | ) | 9.37 | (3.25 | ) | 3,686,633 | 0.66 | 0.66 | 0.84 | 5.12 | 335 | ||||||||||||||||||||||||||||||
2007 | 10.29 | 0.50 | (0.10 | ) | 0.40 | (0.50 | ) | — | (0.50 | ) | 10.19 | 4.00 | 4,600,629 | 0.64 | 0.64 | 0.84 | 4.89 | 413 | ||||||||||||||||||||||||||||||||
2006 | 10.44 | 0.47 | (0.11 | ) | 0.36 | (0.48 | ) | (0.03 | ) | (0.51 | ) | 10.29 | 3.60 | 4,293,309 | 0.63 | 0.63 | 0.84 | 4.62 | 478 | |||||||||||||||||||||||||||||||
2005 | 10.65 | 0.40 | (0.11 | ) | 0.29 | (0.41 | ) | (0.09 | ) | (0.50 | ) | 10.44 | 2.83 | 4,094,011 | 0.61 | 0.61 | 0.84 | 3.83 | 557 | |||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 9.36 | $ | 0.48 | $ | 0.62 | $ | 1.10 | $ | (0.49 | ) | $ | — | $ | (0.49 | ) | $ | 9.97 | 12.32 | % | $ | 13,658 | 0.89 | % | 0.89 | % | 1.11 | % | 5.21 | % | 329 | % | ||||||||||||||||||
2008 | 10.19 | 0.49 | (0.84 | ) | (0.35 | ) | (0.48 | ) | — | (0.48 | ) | 9.36 | (3.58 | ) | 8,090 | 0.90 | 0.90 | 1.09 | 4.87 | 335 | ||||||||||||||||||||||||||||||
2007 | 10.29 | 0.41 | (0.03 | ) | 0.38 | (0.48 | ) | — | (0.48 | ) | 10.19 | 3.74 | 12,890 | 0.89 | 0.89 | 1.09 | 3.96 | 413 | ||||||||||||||||||||||||||||||||
2006 | 10.43 | 0.45 | (0.11 | ) | 0.34 | (0.45 | ) | (0.03 | ) | (0.48 | ) | 10.29 | 3.44 | 14,035 | 0.88 | 0.88 | 1.09 | 4.37 | 478 | |||||||||||||||||||||||||||||||
2005 | 10.65 | 0.38 | (0.12 | ) | 0.26 | (0.39 | ) | (0.09 | ) | (0.48 | ) | 10.43 | 2.48 | 12,979 | 0.86 | 0.86 | 1.09 | 3.60 | 557 | |||||||||||||||||||||||||||||||
U.S. Fixed Income Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||
2009(16) | $ | 10.00 | $ | 0.08 | $ | 0.27 | $ | 0.35 | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | 10.28 | 3.55 | % | $ | 677,723 | 0.66 | % | 0.66 | % | 0.87 | % | 3.23 | % | 51 | % | ||||||||||||||||||
High Yield Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 6.57 | $ | 0.60 | $ | (0.02 | ) | $ | 0.58 | $ | (0.56 | ) | $ | (0.07 | ) | $ | (0.63 | ) | $ | 6.52 | 11.88 | % | $ | 1,289,964 | 0.89 | % | 0.89 | % | 1.15 | % | 11.03 | % | 98 | % | ||||||||||||||||
2008 | 8.26 | 0.66 | (1.60 | ) | (0.94 | ) | (0.66 | ) | (0.09 | ) | (0.75 | ) | 6.57 | (12.09 | ) | 1,076,379 | 0.88 | 0.88 | 1.13 | 8.73 | 69 | |||||||||||||||||||||||||||||
2007 | 8.38 | 0.67 | (0.11 | ) | 0.56 | (0.68 | ) | — | (0.68 | ) | 8.26 | 6.72 | 1,247,613 | 0.86 | 0.86 | 1.12 | 7.89 | 91 | ||||||||||||||||||||||||||||||||
2006 | 8.50 | 0.65 | (0.12 | ) | 0.53 | (0.65 | ) | — | (0.65 | ) | 8.38 | 6.51 | 1,068,711 | 0.86 | 0.86 | 1.12 | 7.69 | 126 | ||||||||||||||||||||||||||||||||
2005 | 8.58 | 0.64 | (0.08 | ) | 0.56 | (0.64 | ) | — | (0.64 | ) | 8.50 | 6.71 | 1,599,921 | 0.86 | 0.86 | 1.12 | 7.46 | 132 | ||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||
2009 | $ | 6.58 | $ | 0.58 | $ | (0.01 | ) | $ | 0.57 | $ | (0.55 | ) | $ | (0.07 | ) | $ | 0.62 | ) | $ | 6.53 | 11.65 | % | $ | 200 | 1.11 | % | 1.11 | % | 1.40 | % | 10.45 | % | 98 | % | ||||||||||||||||
2008(14) | 8.26 | 0.66 | (1.61 | ) | (0.95 | ) | (0.64 | ) | (0.09 | ) | (0.73 | ) | 6.58 | (12.20 | ) | 47 | 1.11 | 1.11 | 1.38 | 8.96 | 69 | |||||||||||||||||||||||||||||
Real Return Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||
2009(16) | $ | 10.00 | $ | 0.10 | $ | 0.09 | $ | 0.19 | $ | — | $ | — | $ | — | $ | 10.19 | 1.90 | % | $ | 83,568 | 0.45 | % | 0.45 | % | 0.88 | % | 4.11 | % | 23 | % | ||||||||||||||||||||
| † | Returns and turnover rates are for the period indicated and have not been annualized. |
| †† | The amount shown for a share outstanding throughout the period does not accord with the aggregate net gains on investments for the period because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
| ‡ | 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. |
| * | Amount represents less than $0.01. |
| (1) | Per share net investment income and net realized and unrealized gains/(losses) 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) | For the six months ended September 30, 2007. The Fund’s fiscal year end changed from March 31 to September 30. All ratios for the period have been annualized. |
| (5) | For the year or period ended March 31. |
| (6) | The expense ratios include dividend expense and interest expense on securities sold short and reverse repurchase agreements. Had these expenses been excluded the ratios would have been 1.20% and 1.45% for Class A and Class I, respectively. |
| (7) | Commenced operations on October 28, 2004. All ratios for the period have been annualized. |
| (8) | Commenced operations on July 27, 2006. All ratios for the period have been annualized. |
| (9) | Commenced operations on December 20, 2006. All ratios for the period have been annualized. |
| (10) | 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. |
| (11) | The expense ratios include dividend expense and interest expense on securities sold short. Had these expenses been excluded the ratios would have been 1.17%. |
| (12) | Commenced operations on June 29, 2007. All ratios for the period have been annualized. |
| (13) | Commenced operations on December 20, 2007. All ratios for the period have been annualized. |
| (14) | Commenced operations on October 1, 2007. All ratios for the period have been annualized. |
| (15) | 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. |
| (16) | Commenced operations on July 2, 2009. All ratios for the period have been annualized. |
| (17) | The expense ratios include overdraft fees. Had these fees been excluded the ratios would have been 1.11% and 1.36% for Class A and Class I, respectively. |
| (18) | 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 1.20% for Class A and Class I, respectively. |
| (19) | The expense ratios include dividend expense and interest expense on securities sold short. Had these expenses been excluded the ratios would have been 1.20% and 1.45% for Class A and Class I, respectively. |
| (20) | Includes return of capital of less than $0.01. |
| (21) | Includes a return of capital of $0.01 and $0.00 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 Institutional Managed Trust / Annual Report / September 30, 2009 | 149 |
Table of Contents
September 30, 2009
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 22 Funds: Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, Large Cap Diversified Alpha, S&P 500 Index, Small Cap, 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, U.S. Fixed Income, High Yield Bond, Real Return 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 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.
The Large Cap and Small Cap Funds commenced operations on October 1, 2009. As of September 30, 2009, the Prime Obligation Fund had not yet commenced operations.
The Large Cap Diversified Alpha and Small/Mid Cap Diversified Alpha Funds have closed effective October 5, 2009. See Note 11 for further details.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by the Funds.
Financial Accounting Standards Board (“FASB”) Launches Accounting Standards Codification — The FASB previously issued FASB ASC 105 (formerly FASB Statement No. 168), The “FASB Accounting Standards Codification™” and the Hierarchy of Generally Accepted Accounting Principles (“ASC 105”). ASC 105 established the FASB Accounting Standards Codification™ (“Codification” or “ASC”) as the single source of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal securities laws were also sources of authoritative GAAP for SEC registrants. The Codification superseded all existing non-SEC accounting and reporting standards. All other non-grandfathered, non-SEC accounting literature not included in the Codification have become non-authoritative.
Following the Codification, the FASB will not issue new standards in the form of Statements, FASB Staff Positions or Emerging Issues Task Force Abstracts. Instead, it will issue Accounting Standards Updates, which will serve to update the Codification, provide background information about the guidance and provide the basis for conclusions on the changes to the Codification.
GAAP was not intended to be changed as a result of the FASB’s Codification project, but it has changed the way the guidance is organized and presented. As a result, these changes have had an impact on how companies reference GAAP in their financial statements and in their accounting policies for financial statements issued for interim and annual periods ending after September 15, 2009. The Trust implemented the Codification as of September 30, 2009.
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 Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek 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 Trust’s Board of Trustees. The Trust’s Fair Value Procedures are implemented through a Fair Value Committee (the “Committee”) designated by the Trust’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
| 150 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
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 a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time a 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 a 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 a 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 a Fund calculates net asset value, it may request that a Committee Meeting be called. In addition, the Trust’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 a 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 any Fund holding the relevant securities that such limits have been exceeded. In such event, the adviser or sub-adviser makes the determination whether a 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 bid price. Options and warrants not traded on a national securities exchange are valued at the last quoted bid price.
In accordance with U.S. generally accepted accounting principles, Fair Value is defined as the price that a 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. A three-tier hierarchy has been established to maximize the use of observable and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability 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 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 year ended September 30, 2009 maximized the use of observable inputs and minimized the use of unobservable inputs.
For the year ended September 30, 2009, there have been no significant changes to the Trust’s fair valuation methodologies.
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 each Fund’s custodian bank until the repurchase date of the repurchase agreement. The Funds also invest 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 Funds may be delayed or limited.
Reverse Repurchase Agreements — The Large Cap Diversified Alpha, Small/Mid Cap Diversified Alpha, Enhanced Income, Core Fixed Income, U.S. Fixed Income and Real Return Funds may issue reverse repurchase agreements. A reverse repurchase agreement involves the
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 151 |
Table of Contents
Notes to Financial Statements (Continued)
September 30, 2009
sale of portfolio assets together with an agreement to repurchase the same assets later at a fixed price. Additional assets are maintained in an account with the broker. The segregated assets may consist of cash, U.S. Government securities, or other liquid securities at least equal in value to the obligations under the reverse repurchase agreements. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, Large Cap Diversified Alpha, Small/Mid Cap Diversified Alpha, Enhanced Income, Core Fixed Income, U.S. Fixed Income and Real Return Funds’ use of the proceeds under the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the obligation to repurchase the securities. There were no reverse repurchase agreements outstanding as of September 30, 2009.
Expenses — Expenses that are directly related to a Fund are charged directly to that 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 Funds 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 Funds do 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 Funds report 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.
Forward Foreign Currency Contracts — The Small Cap Growth, Global Managed Volatility, Enhanced Income, Core Fixed Income and U.S. Fixed Income Funds may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. The Core Fixed Income Fund may also engage in currency transactions to enhance that Fund’s returns. All commitments are “marked-to-market” daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Small Cap Growth, Global Managed Volatility, Enhanced Income and Core Fixed Income Funds realize gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency
contracts held at the close of the period are recognized as ordinary income or loss for Federal income tax purposes. The Funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities. At the year ended September 30, 2009, the Small Cap Growth Fund and Enhanced Income Fund did not have any forward foreign currency contracts outstanding.
Futures Contracts — All Funds, with the exception of the Real Estate, U.S. Fixed Income, High Yield Bond and Real Return Funds, utilized futures contracts during the year or period ended September 30, 2009. These Funds’ investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. The Funds may use futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. 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 Funds record 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 Statements of Assets and Liabilities.
Options/Swaptions Writing/Purchasing — A Fund may invest in financial options/swaptions contracts for the purpose of hedging its existing fund securities, or securities that a Fund intends to purchase, against fluctuations in fair value caused by changes in prevailing market interest rates. The Core Fixed Income Fund may also invest in financial option/swaption contracts to enhance the Fund’s returns. When a 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
| 152 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss on investment transactions. The Core Fixed Income Fund had option/swaption contracts as of September 30, 2009 as disclosed in the Fund’s Schedules of Investments.
The risk in writing a call option/swaption is that the Funds give up the opportunity for profit if the market price of the security increases. The risk in writing a put option/swaption is that the Funds 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 Funds pay a premium whether or not the option/swaption is exercised. The Funds also have 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 Statements of Assets and Liabilities.
Securities Sold Short — As consistent with each Fund’s investment objectives, a Fund may engage in short sales. Short sales are transactions under which a 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. A 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 a Fund. Until the security is replaced, a 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, a 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 a 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, a 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. At September 30, 2009, none of the Funds held any short positions.
Swap Agreements — A Fund’s investments in swap contracts is mainly used as an efficient means to take and manage risk in the portfolio,
including interest rate risk, credit risk and overall yield sensitivity. A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined 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 a 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 a 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 a 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 a Fund’s exposure to interest rates. Payments received or made are recorded as realized gains or loss. A 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 a Fund’s portfolio. In connection with swap agreements securities may be set aside as collateral by a Fund’s custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio, to protect a Fund’s value from changes in interest rates, or to expose a 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.
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
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 153 |
Table of Contents
Notes to Financial Statements (Continued)
September 30, 2009
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.
This risk is mitigated by having a master netting arrangement between a Fund and the counterparty and by having the counterparty post collateral to cover a Fund’s exposure to the counterparty. See Note 3 for further details.
Delayed Delivery Transactions — The Core Fixed Income Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, the Fund will set aside liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, the Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security.
Collateralized Debt Obligations — A 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 Funds 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 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 Funds 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.
Illiquid Securities — A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.
Restricted Securities — At September 30, 2009, the following Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption therefrom. In addition, the Funds have generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of these investments. These investments are valued at fair value as determined in accordance with the procedures approved by the Board of Trustees. The acquisition dates of these investments, the enforceable right to acquire these securities, along with their cost and values at September 30, 2009, were as follows:
| Number of Shares | Acquisition Date | Right to Acquire Date | Cost ($ Thousands) | Market Value ($ Thousands) | % of Net Assets | ||||||||||
| Small Cap Value Fund | |||||||||||||||
Verde Realty PIPE | 21,100 | 02/16/07 | 02/16/07 | $ | 696 | $ | 445 | 0.07 | % | ||||||
| Small Cap Growth Fund | |||||||||||||||
Rentech Warrant | 19,400 | 04/20/07 | 04/20/07 | $ | — | $ | 8 | — | % | ||||||
Titanium Asset Management PIPE | 140,900 | 06/14/07 | 06/14/07 | 845 | 559 | 0.12 | |||||||||
Value Creation | 145,600 | 08/10/06 | 08/10/06 | 1,491 | 12 | — | |||||||||
| $ | 2,336 | $ | 579 | 0.12 | |||||||||||
| 154 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Number of Shares | Acquisition Date | Right to Acquire Date | Cost ($ Thousands) | Market Value ($ Thousands) | % of Net Assets | ||||||||||
| Small/Mid Cap Diversified Alpha Fund | |||||||||||||||
Rentech Warrant | 1,000 | 05/30/07 | 05/30/07 | $ | — | $ | — | — | % | ||||||
Scorpio Mining PIPE | 52,300 | 05/08/08 | 05/08/08 | 52 | 44 | 0.05 | |||||||||
Thunderbird Resorts PIPE | 64,000 | 11/15/07 | 11/15/07 | 206 | 81 | 0.09 | |||||||||
Thunderbird Resorts PIPE | 1,700 | 02/07/08 | 02/07/08 | 15 | 2 | — | |||||||||
Titanium Asset Management PIPE | 15,400 | 02/06/08 | 02/06/08 | 90 | 61 | 0.07 | |||||||||
Value Creation | 9,600 | 04/30/07 | 04/30/07 | 87 | 1 | — | |||||||||
| $ | 450 | $ | 189 | 0.21 | % | ||||||||||
| Real Estate Fund | |||||||||||||||
Verde Realty PIPE | 21,400 | 02/16/07 | 02/16/07 | $ | 706 | $ | 451 | 0.20 | % | ||||||
Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid to shareholders quarterly for the 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, Tax-Managed Managed Volatility, Real Estate and Enhanced Income Funds; are declared and paid annually for the Global Managed Volatility and Real Return Funds; and declared daily and paid monthly for the Core Fixed Income, U.S. Fixed Income and High Yield Bond Funds. 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.
Investments in REITs — With respect to the Real Estate Fund, dividend income is recorded based on the income included in distributions received from the REIT investments using published REIT reclassifications including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
3. CREDIT DERIVATIVES
A Fund enters into credit default swaps to simulate long and short bond positions that are either unavailable or considered to be less attractively priced in the bond market. A Fund uses these swaps to reduce risk where a Fund has exposure to the issuer, or to take an active long or short position with respect to the likelihood of an event of default. The reference obligation of the swap can be a single issuer, a “basket” of issuers, or an index. The underlying referenced assets are corporate debt, sovereign debt and asset backed securities.
The buyer of a credit default swap is generally obligated to pay the seller a periodic stream of payments over the term of the contract in return for a contingent payment upon the occurrence of a credit event with respect to an underlying reference obligation. Generally, a credit event for corporate or sovereign reference obligations means bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium
or restructuring. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down.
If a Fund is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index.
If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Certain Funds are party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”). These agreements are with select counterparties and they govern transactions, including certain over-the counter derivative and foreign exchange contracts, entered into by the Funds and the counterparty.
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 155 |
Table of Contents
Notes to Financial Statements (Continued)
September 30, 2009
As of September 30, 2009, the Core Fixed Income Fund is the buyer (“receiving protection”) on a total notional amount of $70.3 million, and is the seller (“providing protection”) on a total notional amount of $48.0 million,. The notional amounts of the swaps are not recorded in the financial statements. The notional amounts approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund were the seller of protection and a credit event was to occur. Those credit default swaps (“CDS”) for which the Fund is providing protection at the balance sheet date are summarized as follows:
| CORE FIXED INCOME FUND WRITTEN CREDIT DERIVATIVE CONTRACTS | SINGLE NAME CDS | CDS ON AN INDEX | ||||||||||||||||
| REFERENCE ASSET | CORP US$ | SOVEREIGN US$ | ABS US$ | CORP US$ | Total | |||||||||||||
Fair value of written credit derivatives | $ | 215,246 | — | $ | (29,463,848 | ) | $ | 390,151 | $ | (28,858,451 | ) | |||||||
Maximum potential amount of future payments | $ | (4,280,000 | ) | — | $ | (40,317,500 | ) | $ | (3,400,000 | ) | $ | (47,997,500 | ) | |||||
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)1 | — | — | — | — | — | |||||||||||||
Collateral held by the fund can obtain upon occurrence of triggering event | — | — | — | — | — | |||||||||||||
| 1 | Potential recoveries would include purchased credit derivatives to the extent they offset written credit derivatives which have an identical underlying, or a netting arrangement or credit support annex with the counterparty. There may be other potential recoveries from recourse provisions where agreements cover multiple derivative arrangements but those amounts have not been included. |
| MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM | ||||||||||||||||||
| CORE FIXED INCOME FUND | 0-6 MONTHS | 6-12 MONTHS | 1-5 YEARS | 5-10 YEARS | > 10 YEARS | Total | ||||||||||||
Current credit spread* on underlying (in basis points) | ||||||||||||||||||
0-250 | — | — | $ | (7,680,000 | ) | — | — | $ | (7,680,000 | ) | ||||||||
251-2,500 | — | — | — | — | — | — | ||||||||||||
2,501-4,500 | — | — | — | — | $ | (14,645,000 | ) | $ | (14,645,000 | ) | ||||||||
4,501-7,000 | — | — | — | — | $ | (15,650,000 | ) | $ | (15,650,000 | ) | ||||||||
> than 7,000 | — | — | — | — | $ | (10,022,500 | ) | $ | (10,022,500 | ) | ||||||||
Total | — | — | $ | (7,680,000 | ) | — | $ | (40,317,500 | ) | $ | (47,997,500 | ) | ||||||
| * | The credit spread on the underlying asset is generally indicative of the current status of the underlying risk of the Fund having to perform. The spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a contract. Higher credit spreads with a shorter contract term is indicative of a higher likelihood of performance by the Fund. |
The credit spread disclosed above for each reference obligation where the Fund is the seller of protection is a representation of the current payment/performance risk of the swap.
4. DERIVATIVE TRANSACTIONS
The fair value of derivative instruments as of September 30, 2009 was as follows:
| Asset Derivatives | Liability Derivatives | |||||||||||
| Year ended September 30, 2009 ($ Thousands) | Year ended September 30, 2009 ($ Thousands) | |||||||||||
| Statement of Assets and Liabilites Location | Fair Value | Statement of Assets and Liabilites Location | Fair Value | |||||||||
Derivatives not accounted for as hedging instruments: | ||||||||||||
| Global Managed Volatility Fund | ||||||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | $ | 169 | Unrealized loss on forward foreign currency contracts | $ | 1,032 | ||||||
Equity contracts | Net Assets — Unrealized appreciation on futures contracts | 99 | * | Net Assets — Unrealized depreciation on futures contracts | — | |||||||
Total Derivatives not accounted for as hedging instruments | $ | 268 | $ | 1,032 | ||||||||
| Core Fixed Income Fund | ||||||||||||
Interest rate contracts | Net Assets — Unrealized appreciation on futures contracts | $ | 2,904 | * | Net Assets — Unrealized depreciation on futures contracts | $ | 604 | * | ||||
Net Assets — Unrealized appreciation on swap contracts | — | Net Assets — Unrealized depreciation on swap contracts | 518 | † | ||||||||
Investments, at value | — | Options written, at value | 643 | |||||||||
Investments, at value | — | Swaptions written, at value | 2,359 | |||||||||
Foreign exchange contracts | Unrealized gain on forward foreign currency contracts | 1,086 | * | Unrealized gain on forward foreign currency contracts | 1,003 | * | ||||||
Credit contracts | Net Assets — Unrealized appreciation on swap contracts | 1,042 | † | Net Assets — Unrealized depreciation on swap contracts | 19,575 | † | ||||||
Total Derivatives not accounted for as hedging instruments | $ | 5,032 | $ | 24,702 | ||||||||
| 156 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets & Liabilities. |
| † | Includes cumulative appreciation/depreciation of swap contracts as reported in the Schedules of Investments. Market Value is reported within the Statements of Assets & Liabilities for swap contracts that have paid premiums. |
The effect of derivative instruments on the Statement of Operations for the year ended September 30, 2009.
Amount of realized Gain or (Loss) on Derivatives Recognized in Income ($ Thousands)
| Derivatives Not Accounted for as Hedging Instruments | Options | Swaptions | Futures | Forward Currency Contracts | Swaps | Total | ||||||||||||||||
| Large Cap Diversified Alpha Fund | ||||||||||||||||||||||
Interest Rate contracts | $ | — | $ | — | $ | (1,699 | ) | $ | — | $ | — | $ | (1,699 | ) | ||||||||
Equity contracts | — | — | (39,206 | ) | — | (7,151 | ) | (46,357 | ) | |||||||||||||
Credit contracts | — | — | — | — | (22,606 | ) | (22,606 | ) | ||||||||||||||
Total | $ | — | $ | — | $ | (40,905 | ) | $ | — | $ | (29,757 | ) | $ | (70,662 | ) | |||||||
| Small Cap Value Fund | ||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | (3,133 | ) | $ | — | $ | — | $ | (3,133 | ) | ||||||||
Foreign Exchange contracts | — | — | — | 55 | — | 55 | ||||||||||||||||
Total | $ | — | $ | — | $ | (3,133 | ) | $ | 55 | $ | — | $ | (3,078 | ) | ||||||||
| Small/Mid Cap Diversified Alpha Fund | ||||||||||||||||||||||
Interest Rate contracts | $ | — | $ | — | $ | (51 | ) | $ | — | $ | — | $ | (51 | ) | ||||||||
Equity contracts | — | — | (5,182 | ) | — | — | (5,182 | ) | ||||||||||||||
Credit contracts | — | — | — | — | (4,691 | ) | (4,691 | ) | ||||||||||||||
Total | $ | — | $ | — | $ | (5,233 | ) | $ | — | $ | (4,691 | ) | $ | (9,924 | ) | |||||||
| Global Managed Volatility Fund | ||||||||||||||||||||||
Equity contracts | $ | — | $ | — | $ | 569 | $ | — | $ | — | $ | 569 | ||||||||||
Foreign Exchange contracts | — | — | — | (10,451 | ) | — | (10,451 | ) | ||||||||||||||
Total | $ | — | $ | — | $ | 569 | $ | (10,451 | ) | $ | — | $ | (9,882 | ) | ||||||||
| Enhanced Income Fund | ||||||||||||||||||||||
Interest Rate contracts | $ | — | $ | — | $ | (3,469 | ) | $ | — | $ | — | $ | (3,469 | ) | ||||||||
Credit contracts | — | — | — | — | 147 | 147 | ||||||||||||||||
Foreign Exchange contracts | — | — | — | (2,239 | ) | — | (2,239 | ) | ||||||||||||||
Total | $ | — | $ | — | $ | (3,469 | ) | $ | (2,239 | ) | $ | 147 | $ | (5,561 | ) | |||||||
| Core Fixed Income Fund | ||||||||||||||||||||||
Interest Rate contracts | $ | 7,161 | $ | — | $ | 21,637 | $ | — | $ | 1,911 | $ | 30,709 | ||||||||||
Equity contracts | — | 801 | — | — | — | 801 | ||||||||||||||||
Credit contracts | — | — | — | — | (16,357 | ) | (16,357 | ) | ||||||||||||||
Foreign Exchange contracts | — | — | — | 9,099 | — | 9,099 | ||||||||||||||||
Total | $ | 7,161 | $ | 801 | $ | 21,637 | $ | 9,099 | $ | (14,446 | ) | $ | 24,252 | |||||||||
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income ($ Thousands):
| Derivatives Not Accounted for as Hedging Instruments: | Options | Futures | Forward Currency Contracts | Swaps | Total | ||||||||||||||
| Large Cap Diversified Alpha Fund | |||||||||||||||||||
Interest Rate contracts | $ | — | $ | (1,023 | ) | $ | — | $ | — | $ | (1,023 | ) | |||||||
Equity contracts | — | 16,091 | — | 1,628 | 17,719 | ||||||||||||||
Credit contracts | — | — | — | 1,873 | 1,873 | ||||||||||||||
Total | $ | — | $ | 15,068 | $ | — | $ | 3,501 | $ | 18,569 | |||||||||
| Small/Mid Cap Diversified Alpha Fund | |||||||||||||||||||
Interest Rate contracts | $ | — | $ | 80 | $ | — | $ | — | $ | 80 | |||||||||
Equity contracts | — | 1,205 | — | 1,071 | 2,276 | ||||||||||||||
Credit contracts | — | — | — | (190 | ) | (190 | ) | ||||||||||||
Total | $ | — | $ | 1,285 | $ | — | $ | 881 | $ | 2,166 | |||||||||
| Global Managed Volatility Fund | |||||||||||||||||||
Foreign exchange contracts | $ | — | $ | — | $ | (2,443 | ) | $ | — | $ | (2,443 | ) | |||||||
Equity contracts | — | 187 | — | — | 187 | ||||||||||||||
Total | $ | — | $ | 187 | $ | (2,443 | ) | $ | — | $ | (2,256 | ) | |||||||
| Enhanced Income Fund | |||||||||||||||||||
Interest rate contracts | $ | — | $ | (324 | ) | $ | — | $ | (110 | ) | $ | (434 | ) | ||||||
Foreign exchange contracts | — | — | 1,023 | — | 1,023 | ||||||||||||||
Total | $ | — | $ | (324 | ) | $ | 1,023 | $ | (110 | ) | $ | 589 | |||||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 157 |
Table of Contents
Notes to Financial Statements (Continued)
September 30, 2009
| Derivatives Not Accounted for as Hedging Instruments: | Options | Swaptions | Futures | Forward Currency Contracts | Swaps | Total | |||||||||||||||||
| Core Fixed Income Fund | |||||||||||||||||||||||
Interest rate contracts | $ | 1,072 | $ | (160 | ) | $ | (5,637 | ) | $ | — | $ | (1,032 | ) | $ | (5,757 | ) | |||||||
Credit contracts | — | — | — | — | (17,103 | ) | (17,103 | ) | |||||||||||||||
Equity contracts | — | — | — | — | 3,059 | 3,059 | |||||||||||||||||
Foreign Exchange contacts | — | — | — | (4,700 | ) | — | (4,700 | ) | |||||||||||||||
Total | $ | 1,072 | $ | (160 | ) | $ | (5,637 | ) | $ | (4,700 | ) | $ | (15,076 | ) | $ | (24,501 | ) | ||||||
The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral, and events of default or termination. The occurrence of a specified event of termination may give a counterparty the right to terminate all of its contracts and affect settlement of all outstanding transactions under the applicable ISDA Master Agreement.
Written options transactions entered into during the year ended September 30, 2009 are summarized as follows:
Core Fixed | |||||||
| Number of Contracts | Premium ($ Thousands) | ||||||
| Balance at the beginning of period | 3,071 | $ | 2,347 | ||||
| Written | 8,859 | 7,713 | |||||
| Expired | (8,080 | ) | (6,374 | ) | |||
| Closing buys | (3,377 | ) | (3,124 | ) | |||
| Balance at the end of period | 473 | $ | 562 | ||||
Written swaptions transactions entered into during the year ended September 30, 2009 are summarized as follows:
| Core Fixed Income Fund | |||||||
| Notional Amount (Thousands) | Premium ($ Thousands) | ||||||
| Balance at the beginning of period | 33,000 | $ | 719 | ||||
| Written | 64,020 | 2,471 | |||||
| Expired | — | — | |||||
| Closing buys | (33,000 | ) | (719 | ) | |||
| Balance at the end of period | 64,020 | $ | 2,471 | ||||
At September 30, 2009 the Funds had cash and/or securities at least equal to the value of written options.
5. 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 Funds for an annual fee of 0.35% of the average daily net assets of the Large Cap Value, Large Cap Growth, Tax-Managed Large Cap Class A, Large Cap Diversified Alpha, 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, High Yield Bond and Real Return Funds; 0.15% of the average daily net assets of the Tax-Managed Large Cap Class Y, 0.22% of the average daily net assets of the S&P 500 Index Fund; and 0.28% of the average daily net assets of the Core Fixed Income and U.S. Fixed Income Funds. The Administrator has agreed voluntarily to waive all or a portion of its fee in order to limit the operating expenses of a 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 each 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 each Fund. SIMC has voluntarily agreed to waive a portion of its fee so that the total annual expenses of each Fund, exclusive of short sale expenses and acquired fund fee 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 each Fund are as follows:
| Advisory Fees | Voluntary Expense Limitations | |||||
Large Cap Value Fund, Class A | 0.3500 | % | 0.8900 | % | ||
Large Cap Value Fund, Class I | 0.3500 | 1.1100 | ||||
Large Cap Growth Fund, Class A | 0.4000 | 0.8900 | ||||
Large Cap Growth Fund, Class I | 0.4000 | 1.1100 | ||||
Tax-Managed Large Cap Fund, Class A | 0.4000 | 0.8900 | ||||
Tax-Managed Large Cap Fund, Class Y | 0.4000 | 0.5600 | ||||
Large Cap Diversified Alpha Fund, Class A | 0.4000 | 0.9500 | ||||
Large Cap Diversified Alpha Fund, Class I | 0.4000 | 1.2000 | ||||
S&P 500 Index Fund, Class A | 0.0300 | 0.4300 | ||||
S&P 500 Index Fund, Class E | 0.0300 | 0.2500 | ||||
S&P 500 Index Fund, Class I | 0.0300 | 0.6500 | ||||
Small Cap Value Fund, Class A | 0.6500 | 1.1400 | ||||
Small Cap Value Fund, Class I | 0.6500 | 1.3600 | ||||
Small Cap Growth Fund, Class A | 0.6500 | 1.1100 | ||||
Small Cap Growth Fund, Class I | 0.6500 | 1.3600 | ||||
Tax-Managed Small Cap Fund, Class A | 0.6500 | 1.1100 | ||||
Small/Mid Cap Diversified Alpha Fund, Class A | 0.7500 | 1.2000 | ||||
Small/Mid Cap Diversified Alpha Fund, Class I | 0.7500 | 1.4500 | ||||
Mid-Cap Fund, Class A | 0.4000 | 1.0200 | ||||
Mid-Cap Fund, Class I | 0.4000 | 1.2600 | ||||
U.S. Managed Volatility Fund, Class A | 0.6500 | 1.0000 | ||||
U.S. Managed Volatility Fund, Class I | 0.6500 | 1.2500 |
| 158 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Advisory Fees | Voluntary Expense Limitations | |||||
Global Managed Volatility Fund, Class A | 0.6500 | % | 1.1100 | % | ||
Global Managed Volatility Fund, Class I | 0.6500 | 1.3600 | ||||
Tax-Managed Managed Volatility Fund, Class A | 0.6500 | 1.0000 | ||||
Real Estate Fund, Class A | 0.6500 | 1.1400 | ||||
Real Estate Fund, Class I | 0.6500 | 1.3600 | ||||
Enhanced Income Fund, Class A | 0.4000 | 0.6000 | ||||
Enhanced Income Fund, Class I | 0.4000 | 0.8500 | ||||
Core Fixed Income Fund, Class A | 0.2750 | 0.6700 | ||||
Core Fixed Income Fund, Class I | 0.2750 | 0.8900 | ||||
U.S. Fixed Income, Class A | 0.2750 | 0.6600 | ||||
High Yield Bond Fund, Class A | 0.4875 | 0.8900 | ||||
High Yield Bond Fund, Class I | 0.4875 | 1.1100 | ||||
Real Return, Class A | 0.2200 | 0.4500 |
As of September 30, 2009, SIMC has entered into investment sub-advisory agreements with the following parties:
| Investment Sub-Adviser |
Large Cap Value Fund |
Aronson + Johnson + Ortiz, LP |
INTECH Investment Management, LLC |
Legg Mason Capital Management Inc. |
LSV Asset Management |
Large Cap Growth Fund |
Delaware Management Company |
INTECH Investment Management, LLC |
Goldman Sachs Asset Management, L.P. |
Legg Mason Capital Management Inc. |
Neuberger Berman Management LLC |
Quantitative Management Associates LLC |
Tax-Managed Large Cap Fund |
Aronson + Johnson + Ortiz, LP |
Delaware Management Company |
Goldman Sachs Asset Management, L.P. |
Legg Mason Capital Management Inc. |
LSV Asset Management |
Neuberger Berman Management LLC |
Parametric Portfolio Associates |
Quantitative Management Associates LLC |
Large Cap Diversified Alpha Fund |
Analytic Investors, LLC |
Aronson + Johnson + Ortiz, LP |
Declaration Management and Research LLC |
Delaware Management Company |
INTECH Investment Management, LLC |
Legg Mason Capital Management Inc. |
Quantitative Management Associates LLC |
S&P 500 Index Fund |
SSgA Funds Management, Inc. |
Small Cap Value Fund |
Artisan Partners Limited Partnership |
Lee Munder Investments, Ltd. |
LSV Asset Management |
Martingale Asset Management, L.P. |
| Investment Sub-Adviser |
PanAgora Asset Management, Inc. |
Robeco Investment Management, INC. |
Wellington Management Company, LLP |
Small Cap Growth Fund |
AQR Capital Management, LLC |
Janus Capital Management, Inc. |
Lee Munder Investments, Ltd. |
Los Angeles Capital Management and Equity Research Inc. |
Oppenheimer Capital LLC |
Tax-Managed Small Cap Fund |
Lee Munder Investments, Ltd. |
Los Angeles Capital Management and Equity Research, Inc. |
LSV Asset Management |
Parametric Portfolio Associates |
Wellington Management Company, LLP |
Wells Capital Management, Inc. |
Small/Mid Cap Diversified Alpha Fund |
Declaration Management and Research LLC |
Integrity Asset Management LLC |
Los Angeles Capital Management and Equity Research, Inc. |
Martingale Asset Management, L.P. |
PanAgora Asset Management, Inc. |
Wellington Management Company, LLP |
Mid-Cap Fund |
Martingale Asset Management, L.P. |
Quantitative Management Associates LLC |
U.S. Managed Volatility Fund |
Analytic Investors, LLC |
Aronson + Johnson + Ortiz, LP |
Global Managed Volatility Fund |
Acadian Asset Management, LLC |
Analytic Investors, LLC |
Tax-Managed Managed Volatility Fund |
Analytic Investors, LLC |
Aronson + Johnson + Ortiz, LP |
Parametric Portfolio Associates |
Real Estate Fund |
Security Capital Research and Management, Inc. |
Wellington Management Company, LLP |
Enhanced Income Fund |
Ares Management LLC |
Declaration Management & Research LLC |
UBS Global Asset Management (Americas) Inc. |
Wellington Management Company, LLP |
Core Fixed Income Fund |
Metropolitan West Asset Management LLC |
Wells Capital Management, Inc. |
Western Asset Management Company |
Western Asset Management Company Limited |
U.S. Fixed Income Fund |
J.P. Morgan Investment Management, Inc. |
Metropolitan West Asset Management LLC |
Wells Capital Management, Inc. |
Western Asset Management Company* |
Western Asset Management Company Limited* |
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 159 |
Table of Contents
Notes to Financial Statements (Continued)
September 30, 2009
| Investment Sub-Adviser |
High Yield Bond Fund |
Ares Management LLC |
Brigade Capital Management, LLC* |
Delaware Management Company |
Guggenheim Partners, LLC* |
J.P. Morgan Investment Management, Inc. |
Real Return Fund |
Wellington Management Company, LLP |
| * | Not funded. As of September 30, 2009, this manager has not been allocated assets to manage. |
Under the investment sub-advisory agreements, each party receives an annual fee paid by SIMC.
Distribution Agreement — SEI Investments Distribution Co. (the “Distributor”), a wholly owned subsidiary of SEI Investments Company (“SEI”), serves as each Fund’s Distributor pursuant to a distribution agreement with the Trust. The Trust has adopted a shareholder servicing plan for Class A, Class I and Class Y 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, and a shareholder servicing fee of up to 0.15% of average daily net assets attributable to the Class Y 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, 2009 were as follows ($ Thousands):
| Large Cap Value Fund | $ | 235 | |
| Large Cap Growth Fund | 379 | ||
| Tax-Managed Large Cap Fund | 302 | ||
| Large Cap Diversified Alpha Fund | 168 | ||
| Small Cap Value Fund | 188 | ||
| Small Cap Growth Fund | 402 | ||
| Tax-Managed Small Cap Fund | 243 | ||
| Small/Mid Cap Diversified Alpha Fund | 24 | ||
| Real Estate Fund | 5 | ||
| $ | 1,946 | ||
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, 2009, 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 Distributor. 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 Administrator or Distributor.
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 annually by the Board.
LSV Asset Management (a partially owned subsidiary of SIMC) serves as the sub-adviser to the Large Cap Value, Tax-Managed Large Cap, Small Cap Value and Tax-Managed Small Cap Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the year ended September 30, 2009 were as follows ($ Thousands):
| Large Cap Value Fund | $ | 625 | |
| Tax-Managed Large Cap Fund | 260 | ||
| Small Cap Value Fund | 390 | ||
| Tax-Managed Small Cap Fund | 132 | ||
| $ | 1,407 | ||
Fees Paid Indirectly — The Funds 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, 2009, can be found on the Statement of Operations and Financial Highlights, respectively.
Investment in Affiliated Security — The Funds may invest the cash collateral from the securities lending program in the SEI Liquidity Fund, L.P.
| 160 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
6. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (000):
| Large Cap Value Fund | Large Cap Growth Fund | Tax-Managed Large Cap Fund | Large Cap Diversified Alpha Fund | S&P 500 Index Fund | ||||||||||||||||||||||||||
| 2009 | 2008 | 2009 | 2008 | 2009 | 2008 | 2009 | 2008 | 2009 | 2008 | |||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||
Shares Issued | 53,643 | 31,408 | 45,603 | 26,830 | 110,266 | 39,724 | 115,689 | 51,288 | 17,291 | 9,729 | ||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 3,739 | 17,150 | 865 | 491 | 2,568 | 2,117 | 2,064 | 7,606 | 486 | 984 | ||||||||||||||||||||
Shares Redeemed | (74,868 | ) | (48,667 | ) | (65,464 | ) | (45,519 | ) | (150,117 | ) | (44,699 | ) | (116,320 | ) | (47,337 | ) | (16,504 | ) | (10,992 | ) | ||||||||||
Total Class A Transactions | (17,486 | ) | (109 | ) | (18,996 | ) | (18,198 | ) | (37,283 | ) | (2,858 | ) | 1,433 | 11,557 | 1,273 | (279 | ) | |||||||||||||
Class E: | ||||||||||||||||||||||||||||||
Shares Issued | — | — | — | — | — | — | — | — | 11,627 | 3,760 | ||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | — | — | — | — | — | — | 865 | 1,550 | ||||||||||||||||||||
Shares Redeemed | — | — | — | — | — | — | — | — | (7,857 | ) | (4,458 | ) | ||||||||||||||||||
Total Class I Transactions | — | — | — | — | — | — | — | — | 4,635 | 852 | ||||||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||
Shares Issued | 534 | 258 | 389 | 254 | — | — | 26 | 6 | 732 | 75 | ||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 18 | 116 | 2 | 1 | — | — | 1 | 2 | 11 | 18 | ||||||||||||||||||||
Shares Redeemed | (413 | ) | (900 | ) | (289 | ) | (905 | ) | — | — | (2 | ) | (3 | ) | (617 | ) | (220 | ) | ||||||||||||
Total Class I Transactions | 139 | (526 | ) | 102 | (650 | ) | — | — | 25 | 5 | 126 | (127 | ) | |||||||||||||||||
Class Y: | ||||||||||||||||||||||||||||||
Shares Issued | — | — | — | — | 44 | 14 | — | — | — | — | ||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | — | — | 6 | 3 | — | — | — | — | ||||||||||||||||||||
Shares Redeemed | — | — | — | — | (37 | ) | (48 | ) | — | — | — | — | ||||||||||||||||||
Total Class Y Transactions | — | — | — | — | 13 | (31 | ) | — | — | — | — | |||||||||||||||||||
Increase (Decrease) in Share Transactions | (17,347 | ) | (635 | ) | (18,894 | ) | (18,848 | ) | (37,270 | ) | (2,889 | ) | 1,458 | 11,562 | 6,034 | 446 | ||||||||||||||
| Small Cap Value Fund | Small Cap Growth Fund | Tax-Managed Small Cap Fund | Small/Mid Cap Diversified Alpha Fund | Mid-Cap Fund | ||||||||||||||||||||||||||
| 2009 | 2008 | 2009 | 2008 | 2009 | 2008 | 2009 | 2008 | 2009 | 2008 | |||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||
Shares Issued | 25,312 | 15,531 | 20,496 | 10,427 | 25,443 | 9,660 | 17,798 | 6,741 | 6,949 | 4,773 | ||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 1,004 | 7,807 | 10 | 4,398 | 182 | 1,848 | 105 | 155 | 81 | 851 | ||||||||||||||||||||
Shares Redeemed | (34,603 | ) | (21,084 | ) | (29,258 | ) | (21,820 | ) | (29,105 | ) | (9,652 | ) | (17,812 | ) | (5,169 | ) | (6,927 | ) | (5,364 | ) | ||||||||||
Total Class A Transactions | (8,287 | ) | 2,254 | (8,752 | ) | (6,995 | ) | (3,480 | ) | 1,856 | 91 | 1,727 | 103 | 260 | ||||||||||||||||
Class I: | ||||||||||||||||||||||||||||||
Shares Issued | 303 | 327 | 236 | 108 | — | — | 16 | 3 | 33 | 10 | ||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 11 | 97 | — | 31 | — | — | — | — | — | 1 | ||||||||||||||||||||
Shares Redeemed | (318 | ) | (541 | ) | (169 | ) | (325 | ) | — | — | (13 | ) | (1 | ) | (16 | ) | (8 | ) | ||||||||||||
Total Class I Transactions | (4 | ) | (117 | ) | 67 | (186 | ) | — | — | 3 | 2 | 17 | 3 | |||||||||||||||||
Increase (Decrease) in Share Transactions | (8,291 | ) | 2,137 | (8,685 | ) | (7,181 | ) | (3,480 | ) | 1,856 | 94 | 1,729 | 120 | 263 | ||||||||||||||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 161 |
Table of Contents
Notes to Financial Statements (Continued)
September 30, 2009
| U.S. Managed Volatility Fund | Global Managed Volatility Fund | Tax-Managed Managed Volatility Fund(2) | Real Estate Fund | Enhanced Income Fund | ||||||||||||||||||||||||||
| 2009 | 2008 | 2009 | 2008 | 2009 | 2008 | 2009 | 2008 | 2009 | 2008 | |||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||
Shares Issued | 42,006 | 18,890 | 32,422 | 11,668 | 26,871 | 12,750 | 36,459 | 13,153 | 25,463 | 22,832 | ||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | 604 | 2,023 | — | 736 | 241 | 36 | 809 | 1,356 | 950 | 2,805 | ||||||||||||||||||||
Shares Redeemed | (43,906 | ) | (23,693 | ) | (27,602 | ) | (14,456 | ) | (16,652 | ) | (2,080 | ) | (32,102 | ) | (9,661 | ) | (32,330 | ) | (49,890 | ) | ||||||||||
Total Class A Transactions | (1,296 | ) | (2,780 | ) | 4,820 | (2,052 | ) | 10,460 | 10,706 | 5,166 | 4,848 | (5,917 | ) | (24,253 | ) | |||||||||||||||
Class I: | ||||||||||||||||||||||||||||||
Shares Issued | 2 | 1 | 3 | 2 | — | — | 13 | 2 | 4 | 1 | ||||||||||||||||||||
Shares Issued in Lieu of Cash Distributions | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||
Shares Redeemed | — | — | (2 | ) | (1 | ) | — | — | (1 | ) | — | — | — | |||||||||||||||||
Total Class I Transactions | 2 | 1 | 1 | 1 | — | — | 12 | 2 | 4 | 1 | ||||||||||||||||||||
Increase (Decrease) in Share Transactions | (1,294 | ) | (2,779 | ) | 4,821 | (2,051 | ) | 10,460 | 10,706 | 5,178 | 4,850 | (5,913 | ) | (24,252 | ) | |||||||||||||||
| Core Fixed Income Fund | U.S. Fixed Income Fund(1) | High Yield Bond Fund | Real Return Fund(1) | |||||||||||||||
| 2009 | 2008 | 2009 | 2009 | 2008 | 2009 | |||||||||||||
Class A: | ||||||||||||||||||
Shares Issued | 140,720 | 96,550 | 70,927 | 186,696 | 72,483 | 13,379 | ||||||||||||
Shares Issued in Lieu of Cash Distributions | 15,730 | 20,633 | 424 | 18,815 | 15,447 | — | ||||||||||||
Shares Redeemed | (304,425 | ) | (174,884 | ) | (5,410 | ) | (171,534 | ) | (75,185 | ) | (5,179 | ) | ||||||
Total Class A Transactions | (147,975 | ) | (57,701 | ) | 65,941 | 33,977 | 12,745 | 8,200 | ||||||||||
Class I: | ||||||||||||||||||
Shares Issued | 968 | 662 | — | 28 | 10 | — | ||||||||||||
Shares Issued in Lieu of Cash Distributions | 45 | 42 | — | 2 | — | — | ||||||||||||
Shares Redeemed | (508 | ) | (1,105 | ) | — | (6 | ) | (3 | ) | — | ||||||||
Total Class I Transactions | 505 | (401 | ) | — | 24 | 7 | — | |||||||||||
Increase (Decrease) in Share Transactions | (147,470 | ) | (58,102 | ) | 65,941 | 34,001 | 12,752 | 8,200 | ||||||||||
| (1) | Commenced operations on July 2, 2009. |
| (2) | Commenced operations on December 20, 2007. |
| Amounts designated as “—” are $0 or have been rounded to $0. |
7. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities, other than temporary cash investments and futures, during the year or period ended September 30, 2009, were as follows:
| U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | |||||||
Large Cap Value Fund | |||||||||
Purchases | $ | — | $ | 1,152,591 | $ | 1,152,591 | |||
Sales | — | 1,384,359 | 1,384,359 | ||||||
Large Cap Growth Fund | |||||||||
Purchases | — | 1,719,364 | 1,719,364 | ||||||
Sales | — | 2,029,089 | 2,029,089 | ||||||
Tax-Managed Large Cap Fund | |||||||||
Purchases | — | 934,103 | 934,103 | ||||||
Sales | — | 1,225,851 | 1,225,851 | ||||||
Large Cap Diversified Alpha Fund | |||||||||
Purchases | 446,087 | 1,179,790 | 1,625,877 | ||||||
Sales | 571,164 | 1,422,618 | 1,993,782 | ||||||
S&P 500 Index Fund | |||||||||
Purchases | — | 435,644 | 435,644 | ||||||
Sales | — | 306,699 | 306,699 | ||||||
Small Cap Value Fund | |||||||||
Purchases | — | 603,250 | 603,250 | ||||||
Sales | — | 732,452 | 732,452 | ||||||
Small Cap Growth Fund | |||||||||
Purchases | — | 681,125 | 681,125 | ||||||
Sales | — | 781,468 | 781,468 | ||||||
Tax-Managed Small Cap Fund | |||||||||
Purchases | — | 291,033 | 291,033 | ||||||
Sales | — | 317,882 | 317,882 | ||||||
| U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | |||||||
Small/Mid Cap Diversified Alpha Fund | |||||||||
Purchases | $ | 27,897 | $ | 133,840 | $ | 161,737 | |||
Sales | 44,915 | 146,978 | 191,893 | ||||||
Mid-Cap Fund | |||||||||
Purchases | — | 139,977 | 139,977 | ||||||
Sales | — | 139,317 | 139,317 | ||||||
U.S. Managed Volatility Fund | |||||||||
Purchases | — | 436,945 | 436,945 | ||||||
Sales | — | 464,503 | 464,503 | ||||||
Global Managed Volatility Fund | |||||||||
Purchases | — | 310,777 | 310,777 | ||||||
Sales | — | 278,367 | 278,367 | ||||||
Tax-Managed Managed Volatility Fund | |||||||||
Purchases | — | 192,631 | 192,631 | ||||||
Sales | — | 120,175 | 120,175 | ||||||
Real Estate Fund | |||||||||
Purchases | — | 193,829 | 193,829 | ||||||
Sales | — | 158,687 | 158,687 | ||||||
Enhanced Income Fund | |||||||||
Purchases | 111,382 | 14,351 | 125,733 | ||||||
Sales | 106,411 | 22,754 | 129,165 | ||||||
Core Fixed Income Fund | |||||||||
Purchases | 8,656,480 | 743,638 | 9,400,118 | ||||||
Sales | 9,828,767 | 1,354,073 | 11,182,840 | ||||||
U.S. Fixed Income Fund(1) | |||||||||
Purchases | 594,355 | 259,247 | 853,602 | ||||||
Sales | 228,095 | 34,742 | 262,837 | ||||||
| 162 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| U.S. Gov’t ($ Thousands) | Other ($ Thousands) | Total ($ Thousands) | |||||||
High Yield Bond Fund | |||||||||
Purchases | $ | 514 | $ | 936,776 | $ | 937,290 | |||
Sales | — | 772,989 | 772,989 | ||||||
Real Return Fund(1) | |||||||||
Purchases | 88,571 | — | 88,571 | ||||||
Sales | 16,071 | — | 16,071 | ||||||
| (1) | For the period July 2, 2009 through September 30, 2009. |
8. 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 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 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, investments in swaps, master limited partnerships, municipal bonds, collateralized debt obligations, distribution reclassification, REIT income reclassification, foreign currency transactions, accretion and amortization on defaulted bonds reclassification and net operating losses have been reclassified to/from the following accounts as of September 30, 2009:
| Paid-in- Capital ($ Thousands) | Undistributed Net Investment Income/(Loss) ($ Thousands) | Accumulated Realized Gain/(Loss) ($ Thousands) | ||||||||||
Large Cap Value Fund | $ | — | $ | 439 | $ | (439 | ) | |||||
Large Cap Growth Fund | — | 117 | (117 | ) | ||||||||
Tax-Managed Large Cap Fund | — | 237 | (237 | ) | ||||||||
Large Cap Diversified Alpha Fund | (2,123 | ) | (1,401 | ) | 3,524 | |||||||
S&P 500 Index Fund | — | 175 | (175 | ) | ||||||||
Small Cap Value Fund | — | 971 | (971 | ) | ||||||||
Small Cap Growth Fund | (102 | ) | 342 | (240 | ) | |||||||
Tax-Managed Small Cap Fund | (3 | ) | 122 | (119 | ) | |||||||
Small/Mid Cap Diversified Alpha Fund | — | 106 | (106 | ) | ||||||||
Mid-Cap Fund | — | 73 | (73 | ) | ||||||||
U.S. Managed Volatility | — | 34 | (34 | ) | ||||||||
Global Managed Volatility Fund | 66 | (11,877 | ) | 11,811 | ||||||||
Tax-Managed Managed Volatility Fund | — | 15 | (15 | ) | ||||||||
Real Estate Fund | (37 | ) | 1,998 | (1,961 | ) | |||||||
Enhanced Income Fund | — | (2,162 | ) | 2,162 | ||||||||
Core Fixed Income Fund | 43 | 9,116 | (9,159 | ) | ||||||||
U.S. Fixed Income Fund | — | (68 | ) | 68 | ||||||||
High Yield Bond Fund | — | 10,611 | (10,611 | ) | ||||||||
Real Return Fund | — | 1 | (1 | ) | ||||||||
The tax character of dividends and distributions paid during the years or periods ended September 30, 2009 and September 30, 2008 (unless otherwise indicated) was as follows:
| Ordinary Income ($ Thousands) | Long-Term Capital Gain ($ Thousands) | Return of Capital ($ Thousands) | Total ($ Thousands) | |||||||||||
Large Cap Value Fund | 2009 | $ | 47,585 | $ | — | $ | — | $ | 47,585 | |||||
| 2008 | 93,371 | 282,073 | — | 375,444 | ||||||||||
Large Cap Growth Fund | 2009 | 13,318 | — | — | 13,318 | |||||||||
| 2008 | 11,663 | — | — | 11,663 | ||||||||||
Tax-Managed Large Cap Fund | 2009 | 24,031 | — | — | 24,031 | |||||||||
| 2008 | 30,277 | — | — | 30,277 | ||||||||||
Large Cap Diversified Alpha Fund | 2009 | 10,564 | — | 2,123 | 12,687 | |||||||||
| 2008 | 51,516 | 30,983 | — | 82,499 | ||||||||||
S&P 500 Index Fund | 2009 | 25,778 | 10,295 | — | 36,073 | |||||||||
| 2008 | 30,514 | 81,651 | — | 112,165 | ||||||||||
Small Cap Value Fund | 2009 | 7,732 | 3,167 | — | 10,899 | |||||||||
| 2008 | 35,546 | 106,276 | — | 141,822 | ||||||||||
Small Cap Growth Fund | 2009 | 98 | — | — | 98 | |||||||||
| 2008 | 728 | 86,250 | — | 86,978 | ||||||||||
Tax-Managed Small Cap Fund | 2009 | 1,496 | — | — | 1,496 | |||||||||
| 2008 | 4,502 | 20,515 | — | 25,017 | ||||||||||
Small/Mid Cap Diversified Alpha Fund | 2009 | 477 | — | — | 477 | |||||||||
| 2008 | 110 | — | 1,245 | 1,355 | ||||||||||
Mid-Cap Fund | 2009 | 1,064 | — | — | 1,064 | |||||||||
| 2008 | 7,244 | 10,547 | — | 17,791 | ||||||||||
U.S. Managed Volatility Fund | 2009 | 5,650 | — | — | 5,650 | |||||||||
| 2008 | 15,544 | 11,019 | — | 26,563 | ||||||||||
Global Managed Volatility Fund | 2009 | — | — | — | — | |||||||||
| 2008 | 7,306 | 774 | — | 8,080 | ||||||||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 163 |
Table of Contents
Notes to Financial Statements (Continued)
September 30, 2009
| Ordinary Income ($ Thousands) | Long-Term Capital Gain ($ Thousands) | Return of Capital ($ Thousands) | Total ($ Thousands) | |||||||||||
Tax-Managed Managed Volatility Fund | 2009 | $ | 2,063 | $ | — | $ | — | $ | 2,063 | |||||
| 2008 | 375 | — | — | 375 | ||||||||||
Real Estate Fund | 2009 | 6,053 | — | 37 | 6,090 | |||||||||
| 2008 | 8,331 | 11,379 | 1,951 | 21,661 | ||||||||||
Enhanced Income Fund | 2009 | 7,069 | — | — | 7,069 | |||||||||
| 2008 | 27,075 | — | — | 27,075 | ||||||||||
Core Fixed Income Fund | 2009 | 153,774 | — | — | 153,774 | |||||||||
| 2008 | 217,874 | — | — | 217,874 | ||||||||||
U.S. Fixed Income Fund | 2009 | 4,508 | — | — | 4,508 | |||||||||
High Yield Bond Fund | 2009 | 111,099 | — | — | 111,099 | |||||||||
| 2008 | 123,943 | — | — | 123,943 | ||||||||||
Real Return Fund | 2009 | — | — | — | — | |||||||||
As of September 30, 2009, the components of Distributable Earnings/(Accumulated Losses) were as follows:
| Undistributed Ordinary Income ($ Thousands) | Undistributed Long-Term Capital Gain ($ Thousands) | Capital Loss Carryforwards ($ Thousands) | Post October Losses ($ Thousands) | Post October Currency Losses ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | Other Temporary Differences ($ Thousands) | Total Distributable Earnings (Accumulated Losses) ($ Thousands) | |||||||||||||||||||||||
Large Cap Value Fund | $ | 7,581 | $ | — | $ | (61,698 | ) | $ | (509,105 | ) | $ | — | $ | 17,774 | $ | — | $ | (545,448 | ) | |||||||||||
Large Cap Growth Fund | 2,313 | — | (1,089,193 | ) | (394,221 | ) | — | 189,585 | — | (1,291,516 | ) | |||||||||||||||||||
Tax-Managed Large Cap Fund | 4,009 | — | (324,438 | ) | (323,617 | ) | — | 104,875 | — | (539,171 | ) | |||||||||||||||||||
Large Cap Diversified Alpha Fund | — | — | (211,802 | ) | (305,934 | ) | — | 13,015 | — | (504,721 | ) | |||||||||||||||||||
S&P 500 Index Fund | 5,815 | — | (5,841 | ) | (37,225 | ) | — | 460,292 | — | 423,041 | ||||||||||||||||||||
Small Cap Value Fund | 1,782 | — | (59,890 | ) | (141,408 | ) | — | 8,099 | 11 | (191,406 | ) | |||||||||||||||||||
Small Cap Growth Fund | — | — | (119,606 | ) | (222,945 | ) | — | 45,864 | (130 | ) | (296,817 | ) | ||||||||||||||||||
Tax-Managed Small Cap Fund | 101 | — | (24,197 | ) | (70,772 | ) | — | 25,591 | 11 | (69,266 | ) | |||||||||||||||||||
Small/Mid Cap Diversified Alpha Fund | 272 | — | (29,584 | ) | (27,094 | ) | — | 2,530 | (62 | ) | (53,938 | ) | ||||||||||||||||||
Mid-Cap Fund | 174 | — | (21,942 | ) | (38,236 | ) | — | 13,501 | — | (46,503 | ) | |||||||||||||||||||
U.S. Managed Volatility Fund | 1,155 | — | (20,519 | ) | (98,669 | ) | — | 29,908 | — | (88,125 | ) | |||||||||||||||||||
Global Managed Volatility Fund | 793 | — | (27,992 | ) | (36,082 | ) | (14,568 | ) | 15,739 | 863 | (61,247 | ) | ||||||||||||||||||
Tax-Managed Managed Volatility Fund | 591 | — | (5,025 | ) | (16,629 | ) | — | 15,834 | — | (5,229 | ) | |||||||||||||||||||
Real Estate Fund | 2,685 | — | (93,497 | ) | (8,772 | ) | — | 7,929 | 630 | (91,025 | ) | |||||||||||||||||||
Enhanced Income Fund | 2,320 | — | (35,788 | ) | (61,350 | ) | — | (40,097 | ) | — | (134,915 | ) | ||||||||||||||||||
Core Fixed Income Fund | 6,610 | — | (52,922 | ) | (68,559 | ) | — | (180,436 | ) | (9,227 | ) | (304,534 | ) | |||||||||||||||||
U.S. Fixed Income Fund | 4,071 | — | — | — | — | 14,577 | (1,843 | ) | 16,805 | |||||||||||||||||||||
High Yield Bond Fund | 14,230 | — | (222,302 | ) | (137,848 | ) | — | (73,146 | ) | (11,772 | ) | (430,838 | ) | |||||||||||||||||
Real Return Fund | 740 | — | — | — | — | 712 | (7 | ) | 1,445 | |||||||||||||||||||||
Post October losses represent losses realized on investment transactions from November 1, 2008 through September 30, 2009 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 2017 ($ Thousands) | Expires 2016 ($ Thousands) | Expires 2015 ($ Thousands) | Expires 2014 ($ Thousands) | Expires 2013 ($ Thousands) | Expires 2012 ($ Thousands) | Expires 2011 ($ Thousands) | Expires 2010 ($ Thousands) | Total Carryforwards ($ Thousands) | |||||||||||||||||||
Large Cap Value Fund | $ | 61,698 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 61,698 | |||||||||
Large Cap Growth Fund | 64,163 | — | — | — | — | 7,113 | 625,971 | 391,946 | 1,089,193 | ||||||||||||||||||
Tax-Managed Large Cap Fund | 52,635 | — | — | — | — | 16,066 | 203,461 | 52,276 | 324,438 | ||||||||||||||||||
Large Cap Diversified Alpha Fund | 208,313 | 3,489 | — | — | — | — | — | — | 211,802 | ||||||||||||||||||
S&P 500 Index Fund | 5,841 | — | — | — | — | — | — | — | 5,841 | ||||||||||||||||||
Small Cap Value Fund | 59,890 | — | — | — | — | — | — | — | 59,890 | ||||||||||||||||||
Small Cap Growth Fund | 119,606 | — | — | — | — | — | — | — | 119,606 | ||||||||||||||||||
Tax-Managed Small Cap Fund | 24,197 | — | — | — | — | — | — | — | 24,197 | ||||||||||||||||||
Small/Mid Cap Diversified Alpha Fund | 28,007 | 1,577 | — | — | — | — | — | — | 29,584 | ||||||||||||||||||
Mid-Cap Fund | 21,639 | 303 | — | — | — | — | — | — | 21,942 | ||||||||||||||||||
U.S. Managed Volatility | 20,519 | — | — | — | — | — | — | — | 20,519 | ||||||||||||||||||
| 164 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Expires 2017 ($ Thousands) | Expires 2016 ($ Thousands) | Expires 2015 ($ Thousands) | Expires 2014 ($ Thousands) | Expires 2013 ($ Thousands) | Expires 2012 ($ Thousands) | Expires 2011 ($ Thousands) | Expires 2010 ($ Thousands) | Total Carryforwards ($ Thousands) | |||||||||||||||||||
Global Managed Volatility Fund | $ | 27,992 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 27,992 | |||||||||
Tax-Managed Managed Volatility Fund | 5,025 | — | — | — | — | — | — | — | 5,025 | ||||||||||||||||||
Real Estate Fund | — | 93,497 | — | — | — | — | — | — | 93,497 | ||||||||||||||||||
Enhanced Income Fund | 31,835 | 3,427 | 526 | — | — | — | — | — | 35,788 | ||||||||||||||||||
Core Fixed Income Fund | 2,581 | — | 40,684 | 9,657 | — | — | — | — | 52,922 | ||||||||||||||||||
High Yield Bond Fund | 63,877 | 3,037 | 21,474 | 8,149 | — | — | 57,113 | 68,652 | 222,302 | ||||||||||||||||||
During the year ended September 30, 2009, none of the Funds utilized capital loss carryforward to offset capital gains.
For Federal income tax purposes, the cost of securities owned at September 30, 2009, 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, 2009, were as follows:
| Federal Tax Cost ($ Thousands) | Appreciated Securities ($ Thousands) | Depreciated Securities ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||
Large Cap Value Fund | $ | 2,134,227 | $ | 320,288 | $ | (302,514 | ) | $ | 17,774 | |||||
Large Cap Growth Fund | 2,077,544 | 339,748 | (150,163 | ) | 189,585 | |||||||||
Tax-Managed Large Cap Fund | 1,693,441 | 327,808 | (222,933 | ) | 104,875 | |||||||||
Large Cap Diversified Alpha Fund | 1,089,112 | 117,889 | (104,874 | ) | 13,015 | |||||||||
S&P 500 Index Fund | 1,044,496 | 554,155 | (93,863 | ) | 460,292 | |||||||||
Small Cap Value Fund | 733,456 | 99,587 | (91,488 | ) | 8,099 | |||||||||
Small Cap Growth Fund | 487,567 | 89,537 | (43,673 | ) | 45,864 | |||||||||
Tax-Managed Small Cap Fund | 239,145 | 51,426 | (25,835 | ) | 25,591 | |||||||||
Small/Mid Cap Diversified Alpha Fund | 88,335 | 8,260 | (5,649 | ) | 2,611 | |||||||||
Mid-Cap Fund | 123,839 | 22,486 | (8,985 | ) | 13,501 | |||||||||
U.S. Managed Volatility Fund | 348,950 | 45,236 | (15,328 | ) | 29,908 | |||||||||
Global Managed Volatility Fund | 195,406 | 256,286 | (239,742 | ) | 16,544 | |||||||||
Tax-Managed Managed Volatility Fund | 154,335 | 20,882 | (5,048 | ) | 15,834 | |||||||||
Real Estate Fund | 280,389 | 73,099 | (65,170 | ) | 7,929 | |||||||||
Enhanced Income Fund | 283,857 | 3,604 | (43,701 | ) | (40,097 | ) | ||||||||
Core Fixed Income Fund | 2,938,485 | 136,145 | (297,970 | ) | (161,825 | ) | ||||||||
U.S. Fixed Income Fund | 762,208 | 15,837 | (961 | ) | 14,876 | |||||||||
High Yield Bond Fund | 1,347,178 | 110,909 | (184,055 | ) | (73,146 | ) | ||||||||
Real Return Fund | 82,032 | 763 | (51 | ) | 712 | |||||||||
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, 2009, 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.
9. SECURITIES LENDING
Each 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, 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., and the Fund bears all of the gains and losses on such investment. There is no guarantee that these investments will not lose value.
10. CONCENTRATIONS/RISKS
In the normal course of business, the Trust enters into contracts that provide general indemnifications by the Trust to the counterparty to the contract. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Trust’s and, therefore, cannot be estimated; however, Management believes that, based on experience, the risk of loss from such claims is considered remote.
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 165 |
Table of Contents
Notes to Financial Statements (Concluded)
September 30, 2009
The market values of the Core Fixed Income U.S. Fixed Income and High Yield Bond Funds’ investments will change in response to interest rate changes and other factors. During periods of falling interest rates, the values of fixed income securities generally rise. Conversely, during periods of rising interest rates, the values of such securities generally decline. Changes by recognized rating agencies in the ratings of any fixed income security and in the ability of an issuer to make payments of interest and principal may also affect the value of these investments.
11. SUBSEQUENT EVENTS
Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events through November 30, 2009, the date the financial statements were issued. Based on this evaluation, no adjustments were required to the Financial Statements as of September 30, 2009. However, the following are details relating to a subsequent event that has occurred since September 30, 2009 through November 30, 2009. At a meeting of the Board of Trustees held on August 31, 2009, the Board of Trustees approved the closing and liquidation of the Large Cap Diversified Alpha and Small/Mid Cap Diversified Alpha Funds (the “Funds”) pursuant to a plan of liquidation (the “Plan”) — approved by the Board. The Funds were liquidated in accordance with the Plan on October 5, 2009.
Accounting rules require that financial statements for entities in liquidation, or for which liquidation appears imminent, be prepared on a liquidation basis of accounting. Liquidation basis of accounting requires the Funds to record assets and liabilities at values expected to be achieved in liquidation. A change to the liquidation basis of accounting would not have a material effect on the Funds carrying value of assets and liabilities nor its operations. There were no adjustments necessary to the financial statements, which are prepared on a going-concern basis, to conform to a liquidation basis of accounting.
Based on Managements evaluation, no other adjustments were required to the Financial Statements and no other subsequent events required recognition or disclosure in the Financial Statements as of September 30, 2009 through November 30, 2009.
12. OTHER MATTERS (Unaudited)
Due to volatility in the fixed income and equity markets, the market value of a Fund’s holdings may currently be lower than shown in the Summary Schedules of Investments (“SOI”). The values shown in the SOI’s were the market values as of September 30, 2009 and do not reflect any market events after September 30, 2009.
| 166 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
SEI Institutional Managed Trust:
We have audited the accompanying statements of assets and liabilities of the SEI Institutional Managed Trust, comprising the Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, Large Cap Diversified Alpha Fund, S&P 500 Index Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small Cap Fund, Small/Mid Cap Diversified Alpha Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, Tax-Managed Managed Volatility Fund, Real Estate Fund, Enhanced Income Fund, Core Fixed Income Fund, U.S. Fixed Income Fund, High Yield Bond Fund and Real Return Fund (nineteen of the funds constituting the SEI Institutional Managed Trust, collectively, the “Funds”) as of September 30, 2009, including the schedules of investments or summary schedules of investments, as applicable, and the related statements of operations for the year or period then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the four-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights of the Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Real Estate Fund, Core Fixed Income Fund and High Yield Bond Fund for the year or period presented through September 30, 2005, were audited by other auditors, whose report dated November 28, 2005 expressed an unqualified opinion thereon. The financial highlights of the S&P 500 Index Fund for the year ended March 31, 2005 were audited by other auditors whose report dated May 31, 2005 expressed an unqualified opinion thereon.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2009, by correspondence with the custodian and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds comprising SEI Institutional Managed Trust as of September 30, 2009, the results of their operations for the year or period then ended, the changes in their net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the four-year period then ended, in conformity with U.S. generally accepted accounting principles.
As further explained in Note 11, the Large Cap Diversified Alpha Fund and the Small/Mid Cap Diversified Alpha Fund were liquidated subsequent to year end.
Philadelphia, Pennsylvania
November 30, 2009
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 167 |
Table of Contents
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)
The following chart lists Trustees and Officers as of November 21, 2009.
Set forth below are the names, addresses, ages, position with the Trust, Term of Office and Length of Time Served, the principal occupations for the last five years, number of portfolios in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5734.
| Name Address, and Age | Position(s) Held with Trusts | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee2 | Other Directorships Held by Trustee | |||||
| INTERESTED TRUSTEES | ||||||||||
Robert A. Nesher One Freedom Valley Drive, Oaks, PA 19456 63 yrs. old | Chairman of the Board of Trustees* | since 1982 | Currently performs various services on behalf of SEI Investments for which Mr. Nesher is compensated. | 80 | Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, Director of SEI Global Master Fund, plc, SEI Global Assets Fund, plc, SEI Global Investments Fund, plc, SEI Investments Global, Limited, SEI Investments — Global Fund Services, Limited, SEI Investments (Europe), Limited, SEI Investments — Unit Trust Management (UK), Limited, SEI Global Nominee Ltd., SEI Structured Credit Fund, L.P., and SEI Multi-Strategy Funds plc. | |||||
William M. Doran 1701 Market Street Philadelphia, PA 19103 69 yrs. old | Trustee* | since 1982 | Self-employed consultant since 2003. Partner, Morgan, Lewis & Bockius LLP (law firm) from 1976 to 2003, counsel to the Trust, SEI, SIMC, the Administrator and the Distributor. Secretary of SEI since 1978. | 80 | Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, Director of SEI since 1974. Director of the Distributor since 2003. Director of SEI Investments — Global Fund Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia), Limited and SEI Asset Korea Co., Ltd. | |||||
| TRUSTEES | ||||||||||
James M. Storey One Freedom Valley Drive, Oaks, PA 19456 78 yrs. old | Trustee | since 1995 | Attorney, sole practitioner since 1994. Partner, Dechert Price & Rhoads, September 1987-December 1993. | 80 | Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, and U.S. Charitable Gift Trust. | |||||
| * | Messrs. Nesher and Doran are Trustees who may be deemed as “interested” persons of the Trust as that term is defined in the 1940 Act by virtue of their affiliation with SIMC and the Trust’s Distributor. |
| 1 | Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust. |
| 2 | The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust and SEI Alpha Strategy Portfolios, L.P. |
| 168 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
| Name Address, and Age | Position(s) Held with Trusts | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee2 | Other Directorships Held by Trustee | |||||
| TRUSTEES (continued) | ||||||||||
George J. Sullivan, Jr. One Freedom Valley Drive Oaks, PA 19456 66 yrs. old | Trustee | since 1996 | Self-Employed Consultant, Newfound Consultants Inc. since April 1997. | 80 | Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, State Street Navigator Securities Lending Trust, and SEI Structured Credit Fund, L.P. Member of the independent review committee for SEI’s Canadian — registered mutual funds. | |||||
Rosemarie B. Greco One Freedom Valley Drive Oaks, PA 19456 63 yrs. old | Trustee | since 1999 | Director, Governor’s Office of Health Care Reform, Commonwealth of Pennsylvania since 2003. Founder and Principal, Grecoventures Ltd. from 1999 to 2002. | 80 | Director, Sonoco, Inc.; Director, Exelon Corporation; Trustee, Pennsylvania Real Estate Investment Trust. | |||||
Nina Lesavoy One Freedom Valley Drive, Oaks, PA 19456 52 yrs. old | Trustee | since 2003 | Founder and Managing Director, Avec Capital since 2008. Managing Director, Cue Capital from March 2002-March 2008. | 80 | Director of SEI Structured Credit Fund, L.P. | |||||
James M. Williams One Freedom Valley Drive, Oaks, PA 19456 62 yrs. old | Trustee | since 2004 | Vice President and Chief Investment Officer, J. Paul Getty Trust, Non-Profit Foundation for Visual Arts, since December 2002. President, Harbor Capital Advisors and Harbor Mutual Funds, 2000-2002. | 80 | Trustee/Director of Ariel Mutual Funds, and SEI Structured Credit Fund, L.P. | |||||
Mitchell A. Johnson One Freedom Valley Drive, Oaks, PA 19456 67 yrs. old | Trustee | since 2007 | Private Investor since 1994. | 80 | Trustee of the Advisors’ Inner Circle Fund, The Advisor’s Inner Circle Fund II, and Bishop Street Funds. | |||||
Hubert L. Harris, Jr. One Freedom Valley Drive, Oaks, PA 19456 66 yrs. old | Trustee | since 2008 | Retired since December 2005. Chief Executive Officer and Chair of the Board of Directors, AMVESCAP Retirement, Inc., 1997-December 2005. Chief Executive Officer, INVESCO North America, September 2003-December 2005. | 80 | Director of Colonial BancGroup, Inc. and Chair of the Board of Trustees, Georgia Tech Foundation, Inc. (nonprofit corporation). | |||||
| OFFICERS | ||||||||||
Robert A. Nesher One Freedom Valley Drive, Oaks, PA 19456 63 yrs. old | President & CEO | since 2005 | Currently performs various services on behalf of SEI for which Mr. Nesher is compensated. | N/A | N/A | |||||
Stephen F. Panner One Freedom Valley Drive, Oaks, PA 19456 39 yrs. old | Controller and Chief Financial Officer | since 2005 | Fund Accounting Director of the Administrator since 2005. Fund Administration Manager, Old Mutual Fund Services, 2000-2005. Chief Financial Officer, Controller and Treasurer, PBHG Funds and PBHG Insurance Series Fund, 2004-2005. Assistant Treasurer, PBHG Funds and PBHG Insurance Series Fund, 2000-2004. Assistant Treasurer, Old Mutual Advisors Fund, 2004-2005. | N/A | N/A | |||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 169 |
Table of Contents
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)
| Name Address, and Age | Position(s) Held with Trusts | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past Five Years | Number of Portfolios in Fund Complex Overseen by Trustee2 | Other Directorships Held by Trustee | |||||
| OFFICERS (continued) | ||||||||||
| Russell Emery One Freedom Valley Drive Oaks, PA 19456 46 yrs. old | Chief Compliance Officer | since 2006 | Chief Compliance Officer of SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional International Trust, SEI Liquid Asset Trust, SEI Daily Income Trust, SEI Tax Exempt Trust, SEI Institutional Investments Trust, The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, and Bishop Street Funds, since March 2006. Chief Compliance Officer of SEI Structured Credit Fund, LP and SEI Alpha Strategy Portfolio, LP since June 2007. Director of Investment Product Management and Development of SIMC, February 2003-March 2006. | N/A | N/A | |||||
Timothy D. Barto Oaks, PA 19456 | Vice President and Secretary | since 2002 | General Counsel, Vice President and Secretary of SIMC and the Administrator since 2004. Vice President and Assistant Secretary of SEI since 2001. Vice President of SIMC and the Administrator since 1999. Assistant Secretary of SIMC, the Administrator and the Distributor and Vice President of the Distributor, 1999-2003. | N/A | N/A | |||||
| James Ndiaye One Freedom Valley Drive Oaks, PA 19456 41 yrs. old | Vice President and Assistant Secretary | since 2005 | Vice President and Assistant Secretary of SIMC since 2005. Vice President, Deutsche Asset Management (2003-2004). Associate, Morgan, Lewis & Bockius LLP (2000-2003). | N/A | N/A | |||||
| Michael T. Pang One Freedom Valley Drive Oaks, PA 19456 37 yrs. old | Vice President and Assistant Secretary | since 2005 | Vice President and Assistant Secretary of SIMC since 2005. Counsel, Caledonian Bank & Trust’s Mutual Funds Group (2004). Counsel, Permal Asset Management (2001-2004). | N/A | N/A | |||||
| Aaron Buser One Freedom Valley Drive Oaks, PA 19456 38 yrs. old | Vice President and Assistant Secretary | since 2008 | Vice President and Assistant Secretary of SIMC since 2007. Associate at Stark & Stark (2004-2007). Associate at Flaster/Greenberg, P.C. (2000-2004). | N/A | N/A | |||||
| David F. McCann One Freedom Valley Drive Oaks, PA 19456 33 yrs. old | Vice President and Assistant Secretary | since 2009 | Vice President and Assistant Secretary of SIMC since 2008. Attorney Drinker Biddle & Reath, LLP (law firm) May 2005-October 2008. Attorney, Pepper Hamilton, LLP (law firm), September 2001-May 2005. | N/A | N/A | |||||
| John J. McCue One Freedom Valley Drive Oaks, PA 19456 46 yrs. old | Vice President | since 2004 | Director of Portfolio Implementations for SIMC since 1995. Managing Director of Money Market Investments for SIMC since 2003. | N/A | N/A | |||||
| Andrew S. Decker One Freedom Valley Drive Oaks, PA 19456 45 yrs. old | Anti-Money Laundering Compliance Officer | since 2008 | Compliance Officer and Product Manager, SEI 2005-2008. Vice President, Old Mutual Capital, 2000-2005. | N/A | N/A | |||||
| 1 | Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust. |
| 2 | The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust and SEI Alpha Strategy Portfolios, L.P. |
| 170 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
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 Account Value 4/1/09 | Ending Account Value 9/30/09 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||
Large Cap Value Fund | ||||||||||||
Actual Fund Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,352.30 | 0.89 | % | $ | 5.25 | ||||
Class I Shares | 1,000.00 | 1,351.40 | 1.11 | 6.54 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.61 | 0.89 | % | $ | 4.51 | ||||
Class I Shares | 1,000.00 | 1,019.50 | 1.11 | 5.62 | ||||||||
Large Cap Growth Fund | ||||||||||||
Actual Fund Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,317.30 | 0.89 | % | $ | 5.17 | ||||
Class I Shares | 1,000.00 | 1,315.80 | 1.11 | 6.44 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.61 | 0.89 | % | $ | 4.51 | ||||
Class I Shares | 1,000.00 | 1,019.50 | 1.11 | 5.62 | ||||||||
Tax-Managed Large Cap Fund | ||||||||||||
Actual Fund Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,354.10 | 0.89 | % | $ | 5.25 | ||||
Class Y Shares | 1,000.00 | 1,356.50 | 0.56 | 3.31 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.61 | 0.89 | % | $ | 4.51 | ||||
Class Y Shares | 1,000.00 | 1,022.26 | 0.56 | 2.84 | ||||||||
| Beginning Account Value 4/1/09 | Ending Account Value 9/30/09 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||
Large Cap Diversifeid Alpha Fund | ||||||||||||
Actual Fund Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,346.80 | 0.95 | % | $ | 5.59 | ||||
Class I Shares | 1,000.00 | 1,344.00 | 1.20 | 7.05 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.31 | 0.95 | % | $ | 4.81 | ||||
Class I Shares | 1,000.00 | 1,019.05 | 1.20 | 6.07 | ||||||||
S&P 500 Index Fund | ||||||||||||
Actual Fund Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,340.00 | 0.43 | % | $ | 2.52 | ||||
Class E Shares | 1,000.00 | 1,341.30 | 0.25 | 1.47 | ||||||||
Class I Shares | 1,000.00 | 1,338.20 | 0.65 | 3.81 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.91 | 0.43 | % | $ | 2.18 | ||||
Class E Shares | 1,000.00 | 1,023.82 | 0.25 | 1.27 | ||||||||
Class I Shares | 1,000.00 | 1,021.81 | 0.65 | 3.29 | ||||||||
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 171 |
Table of Contents
Disclosure of Fund Expenses (Unaudited) (Concluded)
| Beginning Account Value 4/1/09 | Ending Account Value 9/30/09 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||
Small Cap Value Fund | ||||||||||||
Actual Fund Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,492.00 | 1.14 | % | $ | 7.12 | ||||
Class I Shares | 1,000.00 | 1,490.10 | 1.36 | 8.49 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.35 | 1.14 | % | $ | 5.77 | ||||
Class I Shares | 1,000.00 | 1,018.25 | 1.36 | 6.88 | ||||||||
Small Cap Growth Fund | ||||||||||||
Actual Fund Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,443.20 | 1.11 | % | $ | 6.80 | ||||
Class I Shares | 1,000.00 | 1,440.90 | 1.36 | 8.32 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.50 | 1.11 | % | $ | 5.62 | ||||
Class I Shares | 1,000.00 | 1,018.25 | 1.36 | 6.88 | ||||||||
Tax-Managed Small Cap Fund | ||||||||||||
Actual Fund Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,425.10 | 1.11 | % | $ | 6.75 | ||||
Hypothetical 5% Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.50 | 1.11 | % | $ | 5.62 | ||||
Small/Mid Cap Diversified Alpha Fund | ||||||||||||
Actual Fund Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,450.80 | 1.20 | % | $ | 7.37 | ||||
Class I Shares | 1,000.00 | 1,448.60 | 1.45 | 8.90 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.05 | 1.20 | % | $ | 6.07 | ||||
Class I Shares | 1,000.00 | 1,017.80 | 1.45 | 7.33 | ||||||||
Mid-Cap Fund | ||||||||||||
Actual Fund Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,420.90 | 1.02 | % | $ | 6.19 | ||||
Class I Shares | 1,000.00 | 1,419.00 | 1.26 | 7.64 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.95 | 1.02 | % | $ | 5.16 | ||||
Class I Shares | 1,000.00 | 1,018.75 | 1.26 | 6.38 | ||||||||
U.S. Managed Volatility Fund | ||||||||||||
Actual Fund Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,231.60 | 1.00 | % | $ | 5.59 | ||||
Class I Shares | 1,000.00 | 1,228.20 | 1.25 | 6.98 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.05 | 1.00 | % | $ | 5.06 | ||||
Class I Shares | 1,000.00 | 1,018.80 | 1.25 | 6.33 | ||||||||
Global Managed Volatility Fund | ||||||||||||
Actual Fund Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,148.30 | 1.11 | % | $ | 5.98 | ||||
Class I Shares | 1,000.00 | 1,146.20 | 1.36 | 7.32 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.50 | 1.11 | % | $ | 5.62 | ||||
Class I Shares | 1,000.00 | 1,018.25 | 1.36 | 6.88 | ||||||||
Tax-Managed Managed Volatility Fund | ||||||||||||
Actual Fund Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,231.50 | 1.00 | % | $ | 5.59 | ||||
Hypothetical 5% Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.05 | 1.00 | $ | 5.06 | |||||
Real Estate Fund | ||||||||||||
Actual Fund Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,757.50 | 1.14 | % | $ | 7.88 | ||||
Class I Shares | 1,000.00 | 1,755.60 | 1.36 | 9.39 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.35 | 1.14 | % | $ | 5.77 | ||||
Class I Shares | 1,000.00 | 1,018.25 | 1.36 | 6.88 | ||||||||
| Beginning Account Value 4/1/09 | Ending Account Value 9/30/09 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||
Enhanced Income Fund | ||||||||||||
Actual Fund Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,138.50 | 0.60 | % | $ | 3.22 | ||||
Class I Shares | 1,000.00 | 1,136.40 | 0.85 | 4.55 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,022.06 | 0.60 | % | $ | 3.04 | ||||
Class I Shares | 1,000.00 | 1,020.81 | 0.85 | 4.31 | ||||||||
Core Fixed Income Fund | ||||||||||||
Actual Fund Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,146.70 | 0.67 | % | $ | 3.61 | ||||
Class I Shares | 1,000.00 | 1,144.30 | 0.89 | 4.78 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,021.71 | 0.67 | % | $ | 3.40 | ||||
Class I Shares | 1,000.00 | 1,020.61 | 0.89 | 4.51 | ||||||||
High Yield Bond Fund | ||||||||||||
Actual Fund Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,414.60 | 0.89 | % | $ | 5.39 | ||||
Class I Shares | 1,000.00 | 1,412.30 | 1.11 | 6.71 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,020.61 | 0.89 | % | $ | 4.51 | ||||
Class I Shares | 1,000.00 | 1,019.50 | 1.11 | 5.62 | ||||||||
| * | 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 one-half year period shown). |
| Beginning Account Value 7/2/2009(1) | Ending Account Value 9/30/09 | Annualized Expense Ratios | Expense Paid During Period | ||||||||||
U.S. Fixed Income Fund | |||||||||||||
Actual Fund Return | |||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,035.30 | 0.66 | % | $ | 1.66 | * | ||||
Hypothetical 5% Return | |||||||||||||
Class A Shares | 1,000.00 | 1,021.76 | 0.66 | 3.35 | ** | ||||||||
Real Return Fund | |||||||||||||
Actual Fund Return | |||||||||||||
Class A Shares | $ | 1,000.00 | $ | 1,019.00 | 0.45 | % | $ | 1.12 | * | ||||
Hypothetical 5% Return | |||||||||||||
Class A Shares | 1,000.00 | 1,022.81 | 0.45 | 2.28 | ** | ||||||||
| (1) | Commenced operation. |
| * | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 90/365 (to reflect the period shown). |
| ** | 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 one-half year period shown). |
| 172 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited)
SEI Institutional Managed Trust (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to the series of the Trust (the “Funds”) and may manage the cash portion of the Funds’ assets. Pursuant to separate sub-advisory agreements (the “Sub-Advisory Agreements” and, together with the Advisory Agreement, the “Investment Advisory Agreements”) with SIMC, and under the supervision of SIMC and the Trust’s Board of Trustees (the “Board”), the Sub-Advisers are responsible for the day-to-day investment management of all or a discrete portion of the assets of the Funds. The Sub-Advisers also are responsible for managing their employees who provide services to these Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Advisers’ skills and investment results in managing assets for specific asset classes, investment styles and strategies.
The Investment Company Act of 1940, as amended (the “1940 Act”) requires that the initial approval of, as well as the continuation of, the Funds’ Investment Advisory Agreements must be specifically approved: (i) by the vote of the Board of Trustees or by a vote of the shareholders of the Funds; and (ii) by the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or “interested persons” of any party (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of such approvals, the Funds’ Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission (“SEC”) takes the position that, as part of their fiduciary duties with respect to a mutual fund’s fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an Investment Advisory Agreement.
Consistent with these responsibilities, the Trust’s Board of Trustees calls and holds meetings each year that are dedicated to considering whether to renew the Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC’s and the Sub-Advisers’ affiliates, personnel and operations. The Board also receives extensive data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from Fund counsel and independent counsel to the Independent Trustees regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust’s Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers.
Specifically, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (a) the quality of SIMC’s and the Sub-Advisers’ investment management and other services; (b) SIMC’s and the Sub-Advisers’ investment management personnel; (c) SIMC’s and the Sub-Advisers’ operations and financial condition; (d) SIMC’s and the Sub-Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the advisory fees that SIMC and the Sub-Advisers charge the Funds compared with the fees each charge to comparable mutual funds; (f) the Funds’ overall fees and operating expenses compared with similar mutual funds; (g) the level of SIMC’s and the Sub-Advisers’ profitability from their Fund-related operations; (h) SIMC’s and the Sub-Advisers’ compliance systems; (i) SIMC’s and the Sub-Advisers’ policies on and compliance procedures for personal securities transactions; (j) SIMC’s and the Sub-Advisers’ reputation, expertise and resources in domestic and/or international financial markets; and (k) the Funds’ performance compared with similar mutual funds.
At the May 19, 2009, June 24-25, 2009 and September 17-18, 2009 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the selection of SIMC and the Sub-Advisers to act in their respective capacities for the Funds. The Board’s approval was based on its consideration and evaluation of a variety of specific factors discussed at the meetings and at prior meetings, including:
| • | the nature, extent and quality of the services provided to the Funds under the Investment Advisory Agreements, including the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds; |
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 173 |
Table of Contents
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Continued)
| • | the Funds’ investment performance and how it compared to that of other comparable mutual funds; |
| • | the Funds’ expenses under each Investment Advisory Agreement and how those expenses compared to those of other comparable mutual funds; |
| • | the profitability of SIMC and the Sub-Advisers and their affiliates with respect to the Funds, including both direct and indirect benefits accruing to SIMC and the Sub-Advisers and their affiliates; and |
| • | the extent to which economies of scale would be realized as the Funds grow and whether fee levels in the Investment Advisory Agreements reflect those economies of scale for the benefit of Fund investors. |
Nature, Extent and Quality of Services. The Board of Trustees considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC’s and the Sub-Advisers’ personnel, experience, track record and compliance program. The Trustees found the level of SIMC’s professional staff and culture of compliance satisfactory. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Investment Advisory Agreements.
Fund Performance. The Board of Trustees considered Fund performance in determining whether to renew the Investment Advisory Agreements. Specifically, the Trustees considered the Funds’ performance relative to their peer groups and appropriate indices/benchmarks, in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for the Funds. The Trustees found Fund performance satisfactory, and where performance was below the benchmark, the Trustees were satisfied that appropriate steps were being taken. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds supported renewal of the Investment Advisory Agreements.
Fund Expenses. With respect to the Funds’ expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds’ net operating expense ratio in comparison to those of other comparable mutual funds. The Trustees also considered information about average expense ratios of comparable mutual funds in the Funds’ respective peer groups. The Trustees further considered the fact that the comparative fee analysis either showed that the various fees were below average or that there was a reasonable basis for the fee level. Finally, the Trustees considered the effects of SIMC’s voluntary waiver of management and other fees and the Sub-Advisers’ fees to prevent total Fund expenses from exceeding a specified cap and that SIMC and the Sub-Advisers, through waivers, have maintained the Funds’ net operating expenses at competitive levels for their respective distribution channels. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements.
Profitability. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Adviser and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. The Trustees found that profitability was reasonable and that the margin was not increasing despite growth in assets. When considering the profitability of the Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC, and not by the Funds directly, and such compensation with respect to any Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of SIMC and the Sub-Advisers are reasonable and supported renewal of the Investment Advisory Agreements.
| 174 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Economies of Scale. The Trustees considered the existence of any economies of scale and whether those were passed along to the Funds’ shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale.
Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of their deliberations, the Trustees did not identify any particular information that was all-important or controlling.
| SEI Institutional Managed Trust / Annual Report / September 30, 2009 | 175 |
Table of Contents
Notice to Shareholders (Unaudited)
For shareholders who do not have a September 30, 2009, taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 2009, taxable year end, please consult your tax adviser as to the pertinence of this notice.
For the fiscal year ended September 30, 2009, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:
| Fund | (A) Long-Term Capital Gain Distribution | (B) Ordinary | Return of Capital | Total Distributions (Tax Basis) | (C) Dividends Qualifying for Corporate Dividends Rec. Deduction (1) | ||||||||||
| Large Cap Value Fund | 0 | % | 100 | % | 0 | % | 100 | % | 100 | % | |||||
| Large Cap Growth Fund | 0 | % | 100 | % | 0 | % | 100 | % | 100 | % | |||||
| Tax-Managed Large Cap Fund | 0 | % | 100 | % | 0 | % | 100 | % | 100 | % | |||||
| Large Cap Diversified Alpha Fund | 0 | % | 83 | % | 17 | % | 100 | % | 100 | % | |||||
| S&P 500 Index Fund | 29 | % | 71 | % | 0 | % | 100 | % | 90 | % | |||||
| Small Cap Value Fund | 29 | % | 71 | % | 0 | % | 100 | % | 79 | % | |||||
| Small Cap Growth Fund | 0 | % | 100 | % | 0 | % | 100 | % | 100 | % | |||||
| Tax-Managed Small Cap Fund | 0 | % | 100 | % | 0 | % | 100 | % | 100 | % | |||||
| Small/Mid Cap Diversified Alpha Fund | 0 | % | 100 | % | 0 | % | 100 | % | 100 | % | |||||
| Mid-Cap Fund | 0 | % | 100 | % | 0 | % | 100 | % | 100 | % | |||||
| U.S. Managed Volatility Fund | 0 | % | 100 | % | 0 | % | 100 | % | 100 | % | |||||
| Global Managed Volatility Fund(7) | 0 | % | 100 | % | 0 | % | 100 | % | 0 | % | |||||
| Tax-Managed Managed Volatility | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | |||||
| Real Estate Fund(6) | 0 | % | 99 | % | 1 | % | 100 | % | 0 | % | |||||
| Enhanced Income Fund | 0 | % | 100 | % | 0 | % | 100 | % | 0 | % | |||||
| Core Fixed Income Fund | 0 | % | 100 | % | 0 | % | 100 | % | 0 | % | |||||
| U.S. Fixed Income Fund | 0 | % | 100 | % | 0 | % | 100 | % | 0 | % | |||||
| High Yield Bond Fund | 0 | % | 100 | % | 0 | % | 100 | % | 0 | % | |||||
| Real Return Fund | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % |
| Fund | (D) Qualifying Dividend Income (15% Tax Rate for QDI) (2) | (E) U.S. Government Interest (3) | Interest Related Dividends (4) | Short-Term Capital Gain Dividends (5) | ||||||||
| Large Cap Value Fund | 100 | % | 1 | % | 1 | % | 0 | % | ||||
| Large Cap Growth Fund | 100 | % | 1 | % | 1 | % | 0 | % | ||||
| Tax-Managed Large Cap Fund | 100 | % | 1 | % | 1 | % | 0 | % | ||||
| Large Cap Diversified Alpha Fund | 98 | % | 1 | % | 15 | % | 0 | % | ||||
| S&P 500 Index Fund | 88 | % | 1 | % | 1 | % | 0 | % | ||||
| Small Cap Value Fund | 76 | % | 1 | % | 1 | % | 100 | % | ||||
| Small Cap Growth Fund | 100 | % | 0 | % | 1 | % | 0 | % | ||||
| Tax-Managed Small Cap Fund | 100 | % | 0 | % | 1 | % | 0 | % | ||||
| Small/Mid Cap Diversified Alpha Fund | 100 | % | 1 | % | 14 | % | 0 | % | ||||
| Mid-Cap Fund | 100 | % | 1 | % | 1 | % | 0 | % | ||||
| U.S. Managed Volatility Fund | 100 | % | 1 | % | 1 | % | 0 | % | ||||
| Global Managed Volatility Fund(7) | 0 | % | 1 | % | 0 | % | 0 | % | ||||
| Tax-Managed Managed Volatility | 0 | % | 0 | % | 0 | % | 0 | % | ||||
| Real Estate Fund(6) | 0 | % | 0 | % | 0 | % | 0 | % | ||||
| Enhanced Income Fund | 0 | % | 1 | % | 99 | % | 0 | % | ||||
| Core Fixed Income Fund | 0 | % | 1 | % | 88 | % | 0 | % | ||||
| U.S. Fixed Income Fund | 0 | % | 10 | % | 70 | % | 0 | % | ||||
| High Yield Bond Fund | 0 | % | 0 | % | 93 | % | 0 | % | ||||
| Real Return Fund | 0 | % | 90 | % | 0 | % | 0 | % |
| (1) | Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary income distributions (the total of short term capital gain and net investment income distributions). |
| (2) | The percentage in this column represents the amount of “Qualifying Dividend Income” and is reflected as a percentage of ordinary income distributions (the total of short term capital gain and net investment income distributions). |
| (3) | “U.S. Government Interest” represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income. |
| (4) | The percentage in this column represents the amount of “Interest Related Dividends” and is reflected as a percentage of net investment income distributions that is exempt from U.S. withholding tax when paid to foreign investors. This provision of the IRC will be expiring for years beginning after January 1, 2010. |
| (5) | The percentage in this column represents the amount of “Short-Term Capital Gain Dividends” and is reflected as a percentage of short-term capital gain distributions that is exempt from U.S. withholding tax when paid to foreign investors. This provision of the IRC will be expiring for years beginning after January 1, 2010. |
| (6) | Information reflects Fund activity based on Fund’s December 31, 2008 tax reporting year. |
| (7) | The Fund intends pass through a foreign tax credit to shareholders. For fiscal year ended 2009, the total amount of foreign source income is $2,048,558. The total amount of foreign tax paid is $358,948. Your allocable share of the foreign tax credit will be reported on Form 1099 DIV. |
Items (A) and (B) are based on the percentages of each Fund’s total distribution.
Items (C) and (D) are based on the percentage of ordinary income distributions of each Fund.
Item (E) is based on the percentage of gross income of each Fund.
Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records.
| 176 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
SEI INSTITUTIONAL MANAGED TRUST ANNUAL REPORT SEPTEMBER 30, 2009
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
David F. McCann
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)
Table of Contents
SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-087 (9/09)
Table of Contents
| Item 2. | Code of Ethics. |
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, comptroller or principal accounting officer.
| Item 3. | Audit Committee Financial Expert. |
(a) (1) The Registrant’s board of trustees has determined that the Registrant has one audit committee financial expert serving on the audit committee.
(a) (2) The audit committee financial experts are George J. Sullivan, Jr. and Hubert L. Harris, Jr. Mrrs. Sullivan and Harris are independent trustees as defined in Form N-CSR Item 3 (a) (2)
| Item 4. | Principal Accountant Fees and Services. |
Fees billed by KPMG LLP (KPMG) related to the Registrant.
KPMG billed the Registrant aggregate fees for services rendered to the Registrant for fiscal year 2009 and for fiscal year 2008 as follows:
| Fiscal Year 2009 | Fiscal Year 2008 | |||||||||||||||||
| All fees and services to the Registrant that were pre- approved | All fees and services to service affiliates that were pre- approved | All other fees and services to service affiliates that did not require pre-approval | All fees and services to the Registrant that were pre- approved | All fees and services to service affiliates that were pre- approved | All other fees and services to service affiliates that did not require pre-approval | |||||||||||||
(a) | Audit Fees (1) | $ | 486,000 | $ | 0 | N/A | $ | 483,000 | $ | 0 | N/A | |||||||
(b) | Audit-Related Fees | $ | 0 | $ | 0 | N/A | $ | 0 | $ | 0 | N/A | |||||||
(c) | Tax Fees (2) | $ | 89,100 | $ | 0 | N/A | $ | 83,000 | $ | 0 | N/A | |||||||
(d) | All Other Fees (3) | $ | 244,500 | $ | 0 | N/A | $ | 248,500 | $ | 0 | N/A | |||||||
Notes:
| (1) | Audit fees include amounts related to the audit of the Registrant’s annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. |
| (2) | Review of Federal income tax returns of the Registrant. |
| (3) | See section (g)(1) |
Table of Contents
| (e)(1) | All requests or applications for services to be provided by the independent auditor shall be submitted to the Chief Financial Officer (“CFO”) of the Registrant and must include a detailed description of the services proposed to be rendered. The Registrant ‘s CFO will determine whether such services (1) require specific pre-approval, (2) are included within the list of services that have received the general pre-approval of the audit committee or (3) have been previously pre-approved in connection with the independent auditor’s annual engagement letter for the applicable year or otherwise. |
Requests or applications to provide services that require specific pre-approval by the audit committee will be submitted to the audit committee by the CFO. The audit committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor. The audit committee has delegated specific pre-approval authority to either the audit committee chair or financial experts, provided that the estimated fee for any such proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the audit committee at its next regularly scheduled meeting.
All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees to be paid to the independent auditor for those services.
In addition, the audit committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the independent auditor and to assure the auditor’s independence from the Registrant, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant, and discussing with the independent auditor its methods and procedures for ensuring independence.
| (e)(2) | Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows: |
| FYE 2009 | FYE 2008 | |||||
Audit-Related Fees | 0 | % | 0 | % | ||
Tax Fees | 0 | % | 0 | % | ||
All Other Fees | 0 | % | 0 | % | ||
| (f) | Not Applicable. |
| (g)(1) | The aggregate non-audit fees and services billed by KPMG for the fiscal year 2009 and fiscal year 2008 were $244,500 and $248,500, respectively. Non-audit fees consist of SAS No. 70 review of fund accounting and administration operations, attestation report in accordance with Rule 17 Ad-13, agreed upon procedures report over certain internal controls related to compliance with federal securities laws and regulations and tax consulting services for various service affiliates of the registrant. |
| (h) | During the past fiscal year, Registrant’s principal accountant provided certain non-audit services to Registrant’s investment adviser or to entities controlling, controlled by, or under common control with Registrant’s investment adviser that provide ongoing services to Registrant that were not subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The audit committee of Registrant’s board of trustees reviewed and considered these non-audit services provided by Registrant’s principal accountant to Registrant’s affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant’s independence. |
Table of Contents
| Items 5. | Audit Committee of Listed Registrants. |
Not applicable.
| Item 6. | Schedule of Investments |
The Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, Large Cap Diversified Alpha Fund, S&P 500 Index Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small Cap Fund, Small/Mid Cap Diversified Alpha Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund and Tax-Managed Managed Volatility Fund are listed below. The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Real Estate Fund, Enhanced Income Fund, Core Fixed Income Fund, U.S. Fixed Income Fund, High Yield Bond Fund and Real Return Fund is included as part of the report to shareholders filed under Item 1 of this form.
Schedule of Investments
Large Cap Value Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
COMMON STOCK — 95.4% | |||||
Consumer Discretionary — 8.7% | |||||
Abercrombie & Fitch, Cl A (A) | 16,200 | $ | 533 | ||
Aeropostale * (A) | 55,800 | 2,426 | |||
Autoliv (A) | 108,900 | 3,659 | |||
Autonation * (A) | 12,800 | 231 | |||
Barnes & Noble (A) | 61,600 | 1,369 | |||
BorgWarner (A) | 10,000 | 303 | |||
Brinker International | 83,800 | 1,318 | |||
Cablevision Systems, Cl A | 53,500 | 1,271 | |||
Carmax * (A) | 45,500 | 951 | |||
Carnival | 19,200 | 639 | |||
CBS, Cl B | 36,800 | 443 | |||
Coach (A) | 87,400 | 2,877 | |||
Comcast, Cl A | 1,342,900 | 22,682 | |||
DIRECTV Group * (A) | 81,000 | 2,234 | |||
Discovery Communications, Cl C * | 5,700 | 148 | |||
DISH Network, Cl A * | 31,300 | 603 | |||
DR Horton (A) | 39,200 | 447 | |||
Expedia * (A) | 19,000 | 455 | |||
Foot Locker (A) | 142,000 | 1,697 | |||
Ford Motor * (A) | 182,400 | 1,315 | |||
Gannett (A) | 151,600 | 1,897 | |||
Gap (A) | 308,900 | 6,610 | |||
Garmin (A) | 52,400 | 1,978 | |||
Genuine Parts | 14,200 | 540 | |||
Harley-Davidson (A) | 66,600 | 1,532 | |||
Harman International Industries (A) | 12,300 | 417 | |||
Hasbro | 65,000 | 1,804 | |||
Home Depot (A) | 470,600 | 12,537 | |||
International Game Technology | 36,900 | 793 | |||
J.C. Penney (A) | 58,500 | 1,974 | |||
Jarden | 89,600 | 2,515 | |||
Johnson Controls | 4,600 | 118 | |||
KB Home (A) | 59,800 | 993 | |||
Kohl’s * (A) | 18,700 | 1,067 | |||
Lamar Advertising, Cl A * (A) | 4,500 | 123 | |||
Las Vegas Sands * (A) | 28,300 | 477 | |||
Leggett & Platt | 22,700 | 440 | |||
Lennar, Cl A (A) | 105,000 | 1,496 | |||
Liberty Global, Cl A * (A) | 32,100 | 725 | |||
Liberty Media - Capital, Ser A * | 33,100 | 692 | |||
Liberty Media - Entertainment, Cl A * | 50,500 | 1,571 | |||
Liberty Media - Interactive, Cl A * (A) | 39,200 | 430 | |||
Limited Brands (A) | 33,100 | 562 | |||
Description | Shares | Market Value ($ Thousands) | |||
Lowe’s | 147,600 | $ | 3,091 | ||
Macy’s | 138,600 | 2,535 | |||
Magna International, Cl A | 51,800 | 2,202 | |||
Marriott International, Cl A (A) | 56,501 | 1,559 | |||
McGraw-Hill | 117,800 | 2,961 | |||
MDC Holdings | 14,900 | 518 | |||
MGM Mirage * (A) | 66,900 | 805 | |||
Newell Rubbermaid | 19,500 | 306 | |||
News, Cl A (A) | 280,500 | 3,363 | |||
NVR * | 400 | 255 | |||
Office Depot * | 154,200 | 1,021 | |||
Penn National Gaming * (A) | 33,200 | 918 | |||
PetSmart (A) | 116,100 | 2,525 | |||
Pulte Homes (A) | 78,945 | 868 | |||
RadioShack (A) | 133,000 | 2,204 | |||
Regal Entertainment Group, Cl A | 21,600 | 266 | |||
Royal Caribbean Cruises (A) | 37,100 | 893 | |||
Sears Holdings * (A) | 23,800 | 1,555 | |||
Sherwin-Williams | 40,100 | 2,412 | |||
Signet Jewelers * | 7,600 | 200 | |||
Snap-On | 2,100 | 73 | |||
Stanley Works (A) | 7,900 | 337 | |||
Starwood Hotels & Resorts Worldwide (A) | 25,100 | 829 | |||
Time Warner | 367,533 | 10,578 | |||
Time Warner Cable, Cl A (A) | 170,937 | 7,366 | |||
TJX | 86,700 | 3,221 | |||
Toll Brothers * (A) | 27,200 | 532 | |||
VF (A) | 9,200 | 666 | |||
Viacom, Cl B * (A) | 69,500 | 1,949 | |||
Virgin Media (A) | 79,900 | 1,112 | |||
Walt Disney (A) | 335,000 | 9,199 | |||
Wendy’s, Cl A | 142,800 | 675 | |||
Whirlpool (A) | 45,400 | 3,176 | |||
Williams-Sonoma (A) | 44,400 | 898 | |||
Wyndham Worldwide | 150,800 | 2,461 | |||
Wynn Resorts * (A) | 9,600 | 681 | |||
| 161,102 | |||||
Consumer Staples — 5.8% | |||||
Archer-Daniels-Midland | 160,500 | 4,690 | |||
BJ’s Wholesale Club * (A) | 64,200 | 2,325 | |||
Bunge | 12,300 | 770 | |||
Campbell Soup (A) | 138,400 | 4,515 | |||
Central European Distribution * | 10,000 | 328 | |||
Clorox (A) | 9,700 | 571 | |||
Coca-Cola | 73,800 | 3,963 | |||
Coca-Cola Enterprises | 133,900 | 2,867 | |||
ConAgra Foods (A) | 382,400 | 8,290 | |||
Constellation Brands, Cl A * | 9,400 | 142 | |||
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Large Cap Value Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Corn Products International | 57,900 | $ | 1,651 | ||
CVS Caremark | 135,600 | 4,846 | |||
Del Monte Foods | 245,300 | 2,840 | |||
Energizer Holdings * | 2,400 | 159 | |||
General Mills | 34,200 | 2,202 | |||
Herbalife | 132,600 | 4,341 | |||
Hershey (A) | 46,500 | 1,807 | |||
HJ Heinz | 29,400 | 1,169 | |||
Hormel Foods | 17,700 | 629 | |||
JM Smucker | 29,100 | 1,542 | |||
Kimberly-Clark | 34,900 | 2,058 | |||
Kraft Foods, Cl A (A) | 287,259 | 7,546 | |||
Kroger | 260,200 | 5,371 | |||
Lorillard | 1,700 | 126 | |||
NBTY * | 3,400 | 135 | |||
Pepsi Bottling Group | 64,100 | 2,336 | |||
PepsiAmericas | 10,600 | 303 | |||
Procter & Gamble | 364,200 | 21,095 | |||
Ralcorp Holdings * (A) | 3,500 | 205 | |||
Reynolds American (A) | 49,000 | 2,182 | |||
Safeway | 279,700 | 5,516 | |||
Sara Lee | 338,600 | 3,772 | |||
Smithfield Foods * (A) | 53,900 | 744 | |||
SUPERVALU (A) | 220,337 | 3,318 | |||
SYSCO | 117,800 | 2,927 | |||
Tyson Foods, Cl A | 69,600 | 879 | |||
Whole Foods Market * | 5,900 | 180 | |||
| 108,340 | |||||
Energy — 17.1% | |||||
Anadarko Petroleum | 75,100 | 4,711 | |||
Apache | 69,400 | 6,373 | |||
Arch Coal | 23,400 | 518 | |||
Atwood Oceanics * | 4,000 | 141 | |||
Baker Hughes (A) | 87,800 | 3,745 | |||
BJ Services (A) | 291,500 | 5,664 | |||
Cabot Oil & Gas | 45,300 | 1,619 | |||
Chesapeake Energy | 47,300 | 1,343 | |||
Chevron | 788,600 | 55,541 | |||
Cimarex Energy (A) | 49,700 | 2,153 | |||
Comstock Resources * | 5,500 | 220 | |||
Concho Resources * | 17,900 | 650 | |||
ConocoPhillips | 687,086 | 31,029 | |||
Denbury Resources * | 56,700 | 858 | |||
Devon Energy | 18,200 | 1,225 | |||
Diamond Offshore Drilling (A) | 25,400 | 2,426 | |||
El Paso | 292,700 | 3,021 | |||
Encore Acquisition * (A) | 31,100 | 1,163 | |||
EOG Resources | 10,400 | 869 | |||
EXCO Resources | 9,500 | 178 | |||
Exxon Mobil | 1,516,700 | 104,061 | |||
Forest Oil * (A) | 32,400 | 634 | |||
Frontier Oil | 19,100 | 266 | |||
Description | Shares | Market Value ($ Thousands) | |||
Halliburton | 49,800 | $ | 1,351 | ||
Helix Energy Solutions Group * | 179,300 | 2,686 | |||
Hess | 34,600 | 1,850 | |||
Marathon Oil | 446,200 | 14,234 | |||
Mariner Energy * | 9,300 | 132 | |||
Massey Energy | 11,700 | 326 | |||
Murphy Oil | 113,600 | 6,540 | |||
Nabors Industries * (A) | 19,500 | 407 | |||
National Oilwell Varco * | 100,500 | 4,335 | |||
Newfield Exploration * | 117,400 | 4,997 | |||
Noble Energy | 22,600 | 1,491 | |||
Occidental Petroleum | 192,400 | 15,084 | |||
Patterson-UTI Energy (A) | 144,400 | 2,180 | |||
Pioneer Natural Resources (A) | 16,400 | 595 | |||
Plains Exploration & Production * (A) | 26,700 | 739 | |||
Pride International * (A) | 10,000 | 304 | |||
Range Resources (A) | 27,800 | 1,372 | |||
Rowan (A) | 78,700 | 1,816 | |||
SandRidge Energy * (A) | 46,700 | 605 | |||
Schlumberger | 106,000 | 6,318 | |||
SEACOR Holdings * (A) | 32,900 | 2,686 | |||
Seahawk Drilling * (A) | 1,033 | 32 | |||
Spectra Energy | 14,900 | 282 | |||
St. Mary Land & Exploration (A) | 17,100 | 555 | |||
Sunoco | 120,500 | 3,428 | |||
Superior Energy Services * | 2,400 | 54 | |||
Tesoro (A) | 116,500 | 1,745 | |||
Tidewater | 47,600 | 2,241 | |||
Valero Energy | 157,100 | 3,046 | |||
Whiting Petroleum * | 6,500 | 374 | |||
Williams | 220,200 | 3,935 | |||
XTO Energy | 95,900 | 3,963 | |||
| 318,111 | |||||
Financials — 23.1% | |||||
Aflac | 68,900 | 2,945 | |||
Alleghany * | 500 | 130 | |||
Allied World Assurance Holdings | 34,600 | 1,658 | |||
Allstate | 355,700 | 10,892 | |||
AMB Property † (A) | 26,900 | 617 | |||
American Express | 39,100 | 1,326 | |||
American Financial Group | 139,800 | 3,565 | |||
American International Group * | 17,400 | 767 | |||
AmeriCredit * (A) | 64,200 | 1,014 | |||
Ameriprise Financial | 287,700 | 10,452 | |||
Annaly Capital Management † | 225,200 | 4,085 | |||
Arch Capital Group * | 4,300 | 290 | |||
Aspen Insurance Holdings | 47,700 | 1,263 | |||
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Large Cap Value Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Associated Banc- Corp (A) | 123,300 | $ | 1,408 | ||
Assurant | 57,700 | 1,850 | |||
AvalonBay Communities † (A) | 2,788 | 203 | |||
Axis Capital Holdings | 84,800 | 2,559 | |||
Bancorpsouth (A) | 50,900 | 1,242 | |||
Bank of America | 2,353,469 | 39,821 | |||
Bank of Hawaii (A) | 13,000 | 540 | |||
Bank of New York Mellon | 311,522 | 9,031 | |||
BB&T (A) | 284,000 | 7,736 | |||
BlackRock | 2,100 | 455 | |||
Boston Properties † (A) | 4,100 | 269 | |||
BRE Properties, Cl A † (A) | 8,300 | 260 | |||
Brookfield Asset Management, Cl A | 197,700 | 4,490 | |||
Brown & Brown (A) | 28,800 | 552 | |||
Camden Property Trust † | 10,200 | 411 | |||
Capital One Financial | 45,100 | 1,611 | |||
CapitalSource | 93,300 | 405 | |||
CB Richard Ellis Group, Cl A * (A) | 171,300 | 2,011 | |||
Chimera Investment † | 33,300 | 127 | |||
Chubb | 230,900 | 11,640 | |||
Cincinnati Financial | 103,000 | 2,677 | |||
Citigroup | 1,289,700 | 6,242 | |||
City National (A) | 26,000 | 1,012 | |||
CME Group | 5,300 | 1,633 | |||
Comerica | 162,600 | 4,824 | |||
Commerce Bancshares | 32,350 | 1,205 | |||
Corporate Office Properties Trust † (A) | 3,000 | 111 | |||
Credicorp | 48,500 | 3,771 | |||
Cullen/Frost Bankers | 25,800 | 1,332 | |||
Discover Financial Services | 109,000 | 1,769 | |||
Duke Realty † (A) | 53,200 | 639 | |||
Endurance Specialty Holdings (A) | 187,200 | 6,827 | |||
Equity Residential † | 1,000 | 31 | |||
Erie Indemnity, Cl A | 3,700 | 139 | |||
Essex Property Trust † (A) | 600 | 48 | |||
Everest Re Group | 44,100 | 3,868 | |||
Federal Realty Investment Trust † (A) | 5,800 | 356 | |||
Federated Investors, Cl B (A) | 83,200 | 2,194 | |||
Fidelity National Financial, Cl A | 4,700 | 71 | |||
Fifth Third Bancorp | 112,400 | 1,139 | |||
First American (A) | 13,100 | 424 | |||
First Horizon National * (A) | 46,149 | 611 | |||
Franklin Resources | 56,000 | 5,634 | |||
Genworth Financial, Cl A | 64,100 | 766 | |||
Description | Shares | Market Value ($ Thousands) | |||
Goldman Sachs Group | 140,600 | $ | 25,920 | ||
Hanover Insurance Group | 29,200 | 1,207 | |||
Hartford Financial Services Group | 122,700 | 3,252 | |||
HCC Insurance Holdings (A) | 87,900 | 2,404 | |||
HCP † | 24,300 | 698 | |||
Health Care † (A) | 1,900 | 79 | |||
Hospitality Properties Trust † (A) | 143,900 | 2,931 | |||
Host Hotels & Resorts † | 83,200 | 979 | |||
HRPT Properties Trust † | 109,800 | 826 | |||
Hudson City Bancorp | 317,800 | 4,179 | |||
Huntington Bancshares (A) | 558,600 | 2,631 | |||
Invesco | 48,900 | 1,113 | |||
Jefferies Group (A) | 20,800 | 566 | |||
Jones Lang LaSalle (A) | 15,800 | 748 | |||
JPMorgan Chase | 1,087,400 | 47,650 | |||
Keycorp (A) | 381,000 | 2,477 | |||
Legg Mason (A) | 24,600 | 763 | |||
Leucadia National (A) | 3,100 | 77 | |||
Liberty Property Trust † | 38,700 | 1,259 | |||
Lincoln National | 222,967 | 5,777 | |||
Loews | 100,900 | 3,456 | |||
M&T Bank (A) | 22,400 | 1,396 | |||
Macerich † (A) | 5,774 | 175 | |||
Markel * | 700 | 231 | |||
Marsh & McLennan | 11,300 | 279 | |||
Marshall & Ilsley | 209,200 | 1,688 | |||
MetLife | 61,700 | 2,349 | |||
Moody’s (A) | 80,800 | 1,653 | |||
Morgan Stanley | 346,500 | 10,700 | |||
NASDAQ OMX Group * | 58,300 | 1,227 | |||
Nationwide Health Properties † | 9,500 | 294 | |||
NYSE Euronext (A) | 225,600 | 6,518 | |||
Old Republic International | 59,900 | 730 | |||
PartnerRe (A) | 26,400 | 2,031 | |||
People’s United Financial (A) | 96,500 | 1,501 | |||
Platinum Underwriters Holdings | 88,100 | 3,157 | |||
PNC Financial Services Group | 137,255 | 6,669 | |||
Principal Financial Group | 75,900 | 2,079 | |||
Progressive (A) | 256,100 | 4,246 | |||
Protective Life | 67,100 | 1,437 | |||
Prudential Financial | 179,500 | 8,959 | |||
Raymond James Financial (A) | 54,500 | 1,269 | |||
Realty Income † (A) | 11,700 | 300 | |||
Regency Centers † | 8,300 | 307 | |||
Regions Financial (A) | 321,084 | 1,994 | |||
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Large Cap Value Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
RenaissanceRe Holdings | 8,700 | $ | 476 | ||
Senior Housing Properties Trust † | 129,700 | 2,479 | |||
Simon Property Group † (A) | 14,523 | 1,008 | |||
SL Green Realty † (A) | 20,300 | 890 | |||
SLM * (A) | 57,800 | 504 | |||
StanCorp Financial Group | 6,500 | 262 | |||
State Street (A) | 52,500 | 2,761 | |||
Sunstone Hotel Investors † (A) | 104,912 | 745 | |||
SunTrust Banks | 36,400 | 821 | |||
T. Rowe Price Group (A) | 80,000 | 3,656 | |||
Taubman Centers † (A) | 124,900 | 4,506 | |||
TCF Financial (A) | 107,100 | 1,397 | |||
TFS Financial | 16,100 | 192 | |||
Torchmark | 9,500 | 413 | |||
Transatlantic Holdings | 2,600 | 130 | |||
Travelers | 336,500 | 16,566 | |||
UDR † (A) | 13,379 | 211 | |||
Unum Group | 221,100 | 4,740 | |||
US Bancorp (A) | 363,500 | 7,946 | |||
Validus Holdings | 5,100 | 132 | |||
Valley National Bancorp (A) | 47,882 | 589 | |||
Ventas † | 3,400 | 131 | |||
Vornado Realty Trust † (A) | 4,374 | 282 | |||
Weingarten Realty Investors † (A) | 9,800 | 195 | |||
Wells Fargo (A) | 1,023,895 | 28,853 | |||
WR Berkley (A) | 67,500 | 1,706 | |||
XL Capital, Cl A (A) | 74,800 | 1,306 | |||
Zions Bancorporation (A) | 99,700 | 1,792 | |||
| 427,818 | |||||
Health Care — 10.0% | |||||
Abbott Laboratories | 63,000 | 3,117 | |||
Aetna | 168,600 | 4,692 | |||
AmerisourceBergen | 231,700 | 5,186 | |||
Amgen * | 83,300 | 5,017 | |||
Boston Scientific * | 26,400 | 279 | |||
Bristol-Myers Squibb | 250,500 | 5,641 | |||
Cigna (A) | 96,200 | 2,702 | |||
Community Health Systems * | 5,300 | 169 | |||
Coventry Health Care * | 116,300 | 2,321 | |||
Eli Lilly (A) | 282,300 | 9,324 | |||
Endo Pharmaceuticals Holdings * (A) | 82,500 | 1,867 | |||
Forest Laboratories * | 197,200 | 5,806 | |||
Health Net * | 48,800 | 752 | |||
Hologic * | 36,100 | 590 | |||
Humana * (A) | 88,500 | 3,301 | |||
Description | Shares | Market Value ($ Thousands) | |||
IMS Health | 41,300 | $ | 634 | ||
Inverness Medical Innovations * (A) | 6,800 | 263 | |||
Johnson & Johnson (A) | 348,500 | 21,220 | |||
Kinetic Concepts * (A) | 63,000 | 2,330 | |||
King Pharmaceuticals * | 252,900 | 2,724 | |||
LifePoint Hospitals * (A) | 5,200 | 141 | |||
McKesson | 51,200 | 3,049 | |||
Medtronic | 50,400 | 1,855 | |||
Merck (A) | 527,700 | 16,691 | |||
Mylan Laboratories * (A) | 54,100 | 866 | |||
Omnicare | 30,300 | 682 | |||
Pfizer (A) | 2,497,800 | 41,339 | |||
Schering-Plough | 46,300 | 1,308 | |||
UnitedHealth Group | 373,400 | 9,350 | |||
Universal Health Services, Cl B | 800 | 50 | |||
Watson Pharmaceuticals * (A) | 10,000 | 366 | |||
WellPoint * | 233,000 | 11,035 | |||
Wyeth | 368,000 | 17,877 | |||
Zimmer Holdings * | 51,600 | 2,758 | |||
| 185,302 | |||||
Industrials — 9.0% | |||||
AGCO * | 10,000 | 276 | |||
BE Aerospace * | 29,300 | 590 | |||
Boeing (A) | 230,900 | 12,503 | |||
Bucyrus International, Cl A | 7,600 | 271 | |||
Burlington Northern Santa Fe | 77,400 | 6,179 | |||
Carlisle | 5,600 | 190 | |||
Cintas | 22,100 | 670 | |||
Cooper Industries, Cl A | 63,500 | 2,386 | |||
Crane | 6,300 | 163 | |||
CSX | 1,700 | 71 | |||
Cummins | 41,900 | 1,878 | |||
Deere | 50,800 | 2,180 | |||
Dover | 59,800 | 2,318 | |||
Eaton | 3,300 | 187 | |||
EMCOR Group * | 66,900 | 1,694 | |||
Equifax | 4,500 | 131 | |||
FedEx | 44,600 | 3,355 | |||
Gardner Denver * | 55,100 | 1,922 | |||
General Cable * | 25,600 | 1,002 | |||
General Dynamics | 129,900 | 8,392 | |||
General Electric (A) | 3,148,200 | 51,694 | |||
Harsco | 61,000 | 2,160 | |||
Hertz Global Holdings * (A) | 88,600 | 959 | |||
Honeywell International | 66,800 | 2,482 | |||
Illinois Tool Works (A) | 26,900 | 1,149 | |||
Ingersoll-Rand | 77,700 | 2,383 | |||
ITT | 4,100 | 214 | |||
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Large Cap Value Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Joy Global | 9,800 | $ | 480 | ||
KBR | 172,100 | 4,008 | |||
Kennametal | 2,500 | 61 | |||
Kirby * | 14,300 | 527 | |||
L-3 Communications Holdings | 44,300 | 3,558 | |||
Lockheed Martin | 20,100 | 1,570 | |||
Manitowoc | 15,800 | 150 | |||
Manpower | 17,200 | 975 | |||
Masco (A) | 23,700 | 306 | |||
Monster Worldwide * (A) | 35,700 | 624 | |||
Norfolk Southern | 103,300 | 4,453 | |||
Northrop Grumman (A) | 179,300 | 9,279 | |||
Oshkosh Truck | 16,500 | 510 | |||
Owens Corning * (A) | 1,700 | 38 | |||
PACCAR | 3,400 | 128 | |||
Parker Hannifin (A) | 37,100 | 1,923 | |||
Pentair | 6,600 | 195 | |||
Pitney Bowes | 2,300 | 57 | |||
Quanta Services * | 7,400 | 164 | |||
Raytheon (A) | 112,200 | 5,382 | |||
Rockwell Automation | 31,200 | 1,329 | |||
RR Donnelley & Sons (A) | 358,100 | 7,613 | |||
Shaw Group * | 9,600 | 308 | |||
Southwest Airlines | 2,000 | 19 | |||
Spirit Aerosystems Holdings, Cl A * | 15,900 | 287 | |||
SPX | 400 | 24 | |||
Teleflex | 5,100 | 246 | |||
Terex * (A) | 46,800 | 970 | |||
Textron (A) | 23,500 | 446 | |||
Thomas & Betts * (A) | 20,600 | 620 | |||
Tyco International | 132,600 | 4,572 | |||
Union Pacific | 40,200 | 2,346 | |||
United Technologies | 47,700 | 2,906 | |||
URS * (A) | 30,000 | 1,309 | |||
Waste Management (A) | 41,000 | 1,223 | |||
WESCO International * | 5,200 | 150 | |||
| 166,155 | |||||
Information Technology — 5.0% | |||||
Advanced Micro Devices * (A) | 72,600 | 411 | |||
Affiliated Computer Services, Cl A * | 18,300 | 991 | |||
Amdocs * | 75,700 | 2,035 | |||
Applied Materials | 142,300 | 1,907 | |||
Arrow Electronics * | 7,500 | 211 | |||
Autodesk * | 4,000 | 95 | |||
Avnet * | 25,400 | 660 | |||
Broadridge Financial Solutions | 32,400 | 651 | |||
CA | 14,900 | 328 | |||
Ciena * | 12,400 | 202 | |||
CommScope * | 10,000 | 299 | |||
Computer Sciences * | 87,000 | 4,586 | |||
Description | Shares | Market Value ($ Thousands) | |||
Compuware * (A) | 104,900 | $ | 769 | ||
Convergys * | 13,300 | 132 | |||
Corning | 92,400 | 1,415 | |||
Cypress Semiconductor * | 11,700 | 121 | |||
Dell * (A) | 190,200 | 2,902 | |||
eBay * | 98,300 | 2,321 | |||
EMC * | 34,600 | 590 | |||
Fidelity National Information Services (A) | 16,400 | 419 | |||
Harris | 66,000 | 2,482 | |||
Hewlett-Packard | 252,900 | 11,939 | |||
IAC * (A) | 50,800 | 1,026 | |||
Ingram Micro, Cl A * | 264,600 | 4,458 | |||
Intel | 440,600 | 8,622 | |||
International Business Machines | 10,000 | 1,196 | |||
International Rectifier * | 8,700 | 170 | |||
Intersil, Cl A | 8,400 | 129 | |||
Jabil Circuit | 25,200 | 338 | |||
JDS Uniphase * | 82,300 | 585 | |||
Kla-Tencor (A) | 19,400 | 696 | |||
Lexmark International, Cl A * (A) | 153,300 | 3,302 | |||
Marvell Technology Group * | 18,300 | 296 | |||
Micron Technology * (A) | 93,600 | 767 | |||
Microsoft | 84,800 | 2,195 | |||
Molex (A) | 22,600 | 472 | |||
Motorola (A) | 88,000 | 756 | |||
NCR * | 119,700 | 1,654 | |||
NeuStar, Cl A * | 80,500 | 1,819 | |||
Novellus Systems * (A) | 22,000 | 462 | |||
Nuance Communications * | 8,500 | 127 | |||
Rovi * | 4,800 | 161 | |||
SAIC * | 23,500 | 412 | |||
SanDisk * | 16,000 | 347 | |||
Seagate Technology (A) | 439,500 | 6,685 | |||
Sun Microsystems * (A) | 51,000 | 464 | |||
Symantec * | 296,900 | 4,890 | |||
Synopsys * (A) | 34,600 | 776 | |||
Tech Data * (A) | 59,100 | 2,459 | |||
Tellabs * | 51,900 | 359 | |||
Teradata * | 5,400 | 149 | |||
Texas Instruments | 106,600 | 2,525 | |||
Total System Services | 24,000 | 387 | |||
Vishay Intertechnology * (A) | 295,100 | 2,331 | |||
Western Digital * | 76,900 | 2,809 | |||
Xerox (A) | 391,200 | 3,028 | |||
Yahoo! * | 36,500 | 650 | |||
| 92,968 | |||||
Materials — 3.3% | |||||
Air Products & Chemicals | 17,500 | 1,358 | |||
AK Steel Holding | 19,300 | 381 | |||
Albemarle | 30,500 | 1,055 | |||
Alcoa (A) | 178,000 | 2,335 | |||
Allegheny Technologies (A) | 97,800 | 3,422 | |||
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Large Cap Value Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Aptargroup | 4,500 | $ | 168 | ||
Ashland | 4,200 | 181 | |||
Ball | 74,200 | 3,651 | |||
Bemis | 76,200 | 1,974 | |||
Cliffs Natural Resources (A) | 15,200 | 492 | |||
Commercial Metals (A) | 44,000 | 788 | |||
E.I. Du Pont de Nemours | 135,100 | 4,342 | |||
Eastman Chemical | 109,200 | 5,847 | |||
Freeport-McMoRan Copper & Gold, Cl B | 16,355 | 1,122 | |||
Greif, Cl A | 12,900 | 710 | |||
Huntsman | 58,300 | 531 | |||
International Paper | 118,500 | 2,634 | |||
Lubrizol | 89,300 | 6,381 | |||
Nucor | 83,300 | 3,916 | |||
Owens-Illinois * | 64,400 | 2,376 | |||
Packaging Corp of America | 10,200 | 208 | |||
Pactiv * | 3,600 | 94 | |||
PPG Industries | 37,000 | 2,154 | |||
Reliance Steel & Aluminum | 6,700 | 285 | |||
Rock-Tenn, Cl A (A) | 46,750 | 2,203 | |||
Schnitzer Steel Industries, Cl A | 5,800 | 309 | |||
Sealed Air | 23,900 | 469 | |||
Sonoco Products | 172,900 | 4,762 | |||
Southern Copper (A) | 132,600 | 4,069 | |||
Steel Dynamics (A) | 45,700 | 701 | |||
Temple-Inland (A) | 45,600 | 749 | |||
United States Steel (A) | 3,700 | 164 | |||
Valspar (A) | 37,500 | 1,032 | |||
Vulcan Materials | 10,500 | 568 | |||
Weyerhaeuser (A) | 14,700 | 539 | |||
| 61,970 | |||||
Telecommunication Services — 6.2% | |||||
AT&T | 2,443,895 | 66,009 | |||
CenturyTel | 159,787 | 5,369 | |||
Crown Castle International * | 15,200 | 477 | |||
Frontier Communications | 93,900 | 708 | |||
Leap Wireless International * (A) | 16,200 | 317 | |||
NII Holdings * | 2,300 | 69 | |||
Qwest Communications International (A) | 195,200 | 744 | |||
Sprint Nextel * | 687,000 | 2,713 | |||
Telephone & Data Systems | 108,900 | 3,377 | |||
Verizon Communications (A) | 1,135,700 | 34,378 | |||
Windstream (A) | 10,426 | 105 | |||
| 114,266 | |||||
Utilities — 7.2% | |||||
AES * | 53,900 | 799 | |||
AGL Resources | 106,700 | 3,763 | |||
Description | Shares | Market Value ($ Thousands) | |||
Allegheny Energy | 7,500 | $ | 199 | ||
Alliant Energy | 174,900 | 4,871 | |||
Ameren | 89,800 | 2,270 | |||
American Electric Power | 185,300 | 5,742 | |||
Aqua America (A) | 23,700 | 418 | |||
Atmos Energy | 43,900 | 1,237 | |||
Calpine * | 55,800 | 643 | |||
Centerpoint Energy | 26,600 | 331 | |||
CMS Energy (A) | 321,800 | 4,312 | |||
Consolidated Edison (A) | 66,600 | 2,727 | |||
Constellation Energy Group | 13,900 | 450 | |||
Dominion Resources | 74,000 | 2,553 | |||
DPL (A) | 54,300 | 1,417 | |||
DTE Energy | 235,000 | 8,258 | |||
Duke Energy | 43,448 | 684 | |||
Edison International (A) | 170,900 | 5,739 | |||
Energen | 110,400 | 4,758 | |||
Exelon (A) | 137,100 | 6,803 | |||
FirstEnergy (A) | 77,500 | 3,543 | |||
FPL Group | 105,300 | 5,816 | |||
Hawaiian Electric Industries (A) | 21,300 | 386 | |||
Integrys Energy Group | 5,200 | 187 | |||
MDU Resources Group | 35,100 | 732 | |||
Mirant * | 228,600 | 3,756 | |||
National Fuel Gas | 4,000 | 183 | |||
NiSource (A) | 16,000 | 222 | |||
Northeast Utilities | 62,700 | 1,488 | |||
NRG Energy * | 5,400 | 152 | |||
NSTAR | 85,400 | 2,717 | |||
NV Energy | 319,900 | 3,708 | |||
OGE Energy | 27,400 | 906 | |||
Oneok | 39,700 | 1,454 | |||
Pepco Holdings | 153,200 | 2,280 | |||
PG&E (A) | 186,400 | 7,547 | |||
Pinnacle West Capital | 171,100 | 5,615 | |||
Progress Energy | 31,500 | 1,230 | |||
Public Service Enterprise Group | 186,800 | 5,873 | |||
Questar | 24,600 | 924 | |||
SCANA | 30,700 | 1,071 | |||
Sempra Energy | 233,200 | 11,616 | |||
Southern | 43,000 | 1,362 | |||
Southern Union | 293,100 | 6,094 | |||
TECO Energy (A) | 18,800 | 265 | |||
UGI | 37,000 | 927 | |||
Vectren | 8,800 | 203 | |||
Westar Energy | 67,800 | 1,323 | |||
Wisconsin Energy | 26,500 | 1,197 | |||
Xcel Energy | 100,000 | 1,923 | |||
| 132,674 | |||||
Total Common Stock | 1,768,706 | ||||
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Large Cap Value Fund
September 30, 2009
Description | Shares/Face Amount ($Thousands) | Market Value ($ Thousands) | ||||
AFFILIATED PARTNERSHIP — 18.0% | ||||||
SEI Liquidity Fund, L.P., 0.400% (B) ** †† | 340,459,225 | $ | 334,196 | |||
Total Affiliated Partnership | 334,196 | |||||
CASH EQUIVALENT — 2.2% | ||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110% ** †† | 40,883,579 | 40,884 | ||||
Total Cash Equivalent | 40,884 | |||||
U.S. TREASURY OBLIGATIONS — 0.4% | ||||||
U.S. Treasury Bills | ||||||
0.075%, 01/07/10 (C) (D) | $ | 2,600 | 2,599 | |||
0.121%, 12/03/09 (C) (D) | 5,615 | 5,616 | ||||
Total U.S. Treasury Obligations | 8,215 | |||||
Total Investments — 116.0% | $ | 2,152,001 | ||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | ||||
S&P Composite Index | 327 | Dec-2009 | $ | 256 | |||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $1,854,963 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Real Estate Investment Trust. |
| †† | Investment in Affiliated Security. |
| (A) | This security or a partial position of this security is on loan at September 30, 2009. The total market value of securities on loan at September 30, 2009 was $329,529 ($ Thousands). |
| (B) | This security was purchased with cash collateral received from securities on loan. The total market value of such securities as of September 30, 2009 was $334,196 ($ Thousands). |
| (C) | The rate reported is the effective yield at the time of purchase. |
| (D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
Ser — Series
7 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Large Cap Growth Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
COMMON STOCK — 95.1%‡ | |||||
Consumer Discretionary — 10.9% | |||||
Advance Auto Parts (A) | 34,800 | $ | 1,367 | ||
Aeropostale * | 9,300 | 404 | |||
Amazon.com * (A) | 177,465 | 16,568 | |||
American Eagle Outfitters | 48,100 | 811 | |||
Apollo Group, Cl A * | 45,400 | 3,345 | |||
Autozone * (A) | 20,069 | 2,934 | |||
Bed Bath & Beyond * | 26,000 | 976 | |||
Best Buy (A) | 155,405 | 5,831 | |||
BJ’s Restaurants * (A) | 10,000 | 150 | |||
BorgWarner | 8,300 | 251 | |||
Brinker International | 37,500 | 590 | |||
Brink’s Home Security Holdings * | 10,200 | 314 | |||
Career Education * | 21,800 | 531 | |||
Carmax * | 38,200 | 798 | |||
Chico’s FAS * (A) | 230,200 | 2,993 | |||
Chipotle Mexican Grill, Cl A * | 12,200 | 1,184 | |||
Coach (A) | 211,193 | 6,952 | |||
Comcast, Cl A | 297,190 | 5,020 | |||
Core-Mark Holding * | 6,100 | 175 | |||
Darden Restaurants | 32,200 | 1,099 | |||
Dick’s Sporting Goods * | 32,000 | 717 | |||
DIRECTV Group * (A) | 316,435 | 8,727 | |||
Discovery Communications, Cl C * | 41,500 | 1,080 | |||
Dollar Tree * | 18,100 | 881 | |||
Expedia * | 36,000 | 862 | |||
Family Dollar Stores | 38,700 | 1,022 | |||
Gap | 83,000 | 1,776 | |||
Garmin | 1,200 | 45 | |||
Gentex | 21,600 | 306 | |||
Goodyear Tire & Rubber * | 42,500 | 724 | |||
Grand Canyon Education * | 10,300 | 184 | |||
H&R Block | 16,500 | 303 | |||
Hanesbrands * | 94,400 | 2,020 | |||
Home Depot | 32,900 | 876 | |||
International Game Technology | 61,200 | 1,315 | |||
ITT Educational Services * | 7,000 | 773 | |||
J.C. Penney | 162,670 | 5,490 | |||
John Wiley & Sons, Cl A | 2,600 | 90 | |||
Johnson Controls | 209,720 | 5,360 | |||
JOS A Bank Clothiers * | 8,500 | 381 | |||
Kohl’s * | 27,600 | 1,574 | |||
Las Vegas Sands * | 7,200 | 121 | |||
Leggett & Platt | 65,900 | 1,279 | |||
LKQ * | 12,900 | 239 | |||
Lowe’s | 654,476 | 13,705 | |||
Maidenform Brands * | 7,200 | 116 | |||
Marriott International, Cl A (A) | 135,730 | 3,745 | |||
Description | Shares | Market Value ($ Thousands) | |||
Marvel Entertainment * | 600 | $ | 30 | ||
Mattel | 13,000 | 240 | |||
McDonald’s | 273,780 | 15,625 | |||
McGraw-Hill | 46,300 | 1,164 | |||
MDC Holdings | 2,800 | 97 | |||
MGM Mirage * | 2,700 | 32 | |||
NetFlix * | 3,900 | 180 | |||
Nike, Cl B (A) | 223,800 | 14,480 | |||
Nordstrom | 3,700 | 113 | |||
Office Depot * | 17,300 | 115 | |||
Omnicom Group | 1,300 | 48 | |||
O’Reilly Automotive * | 73,900 | 2,671 | |||
Overstock.com * (A) | 6,500 | 96 | |||
Panera Bread, Cl A * | 7,300 | 401 | |||
PetMed Express (A) | 20,600 | 388 | |||
PetSmart | 32,300 | 702 | |||
priceline.com * | 30,200 | 5,008 | |||
Pulte Homes | 6,300 | 69 | |||
Regal Entertainment Group, Cl A | 15,000 | 185 | |||
Ross Stores (A) | 86,700 | 4,142 | |||
Sally Beauty Holdings * (A) | 28,700 | 204 | |||
Sherwin-Williams | 13,200 | 794 | |||
Smith & Wesson Holding * | 103,800 | 543 | |||
Staples (A) | 817,895 | 18,991 | |||
Starbucks * | 53,300 | 1,101 | |||
Starwood Hotels & Resorts Worldwide (A) | 101,690 | 3,359 | |||
Strayer Education (A) | 9,500 | 2,068 | |||
Target | 322,024 | 15,032 | |||
Tempur-Pedic International (A) | 28,600 | 542 | |||
Texas Roadhouse, Cl A * (A) | 58,900 | 625 | |||
Thor Industries (A) | 10,600 | 328 | |||
Time Warner | 183,245 | 5,274 | |||
TJX | 89,500 | 3,325 | |||
Tractor Supply * (A) | 4,500 | 218 | |||
TRW Automotive Holdings * | 28,300 | 474 | |||
Viacom, Cl B * | 104,823 | 2,939 | |||
Weight Watchers International (A) | 152,400 | 4,182 | |||
Wendy’s, Cl A | 89,200 | 422 | |||
Williams-Sonoma (A) | 22,200 | 449 | |||
WMS Industries * | 16,300 | 726 | |||
Wyndham Worldwide | 3,200 | 52 | |||
Wynn Resorts * | 57,100 | 4,048 | |||
Yum! Brands (A) | 178,900 | 6,040 | |||
| 223,526 | |||||
Consumer Staples — 11.5% | |||||
Alberto-Culver | 3,700 | 102 | |||
Altria Group | 301,140 | 5,363 | |||
Archer-Daniels-Midland | 59,800 | 1,747 | |||
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Large Cap Growth Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Avon Products | 154,432 | $ | 5,245 | ||
Brown-Forman, Cl B | 6,950 | 335 | |||
Campbell Soup (A) | 20,000 | 652 | |||
Church & Dwight | 2,000 | 114 | |||
Clorox (A) | 40,800 | 2,400 | |||
Coca-Cola (A) | 363,976 | 19,545 | |||
Coca-Cola Enterprises (A) | 208,900 | 4,473 | |||
Colgate-Palmolive | 66,048 | 5,038 | |||
Costco Wholesale | 188,710 | 10,655 | |||
CVS Caremark | 369,426 | 13,203 | |||
Dean Foods * | 61,300 | 1,091 | |||
Energizer Holdings * | 2,400 | 159 | |||
General Mills | 18,500 | 1,191 | |||
Green Mountain Coffee Roasters * | 17,700 | 1,307 | |||
Hansen Natural * | 13,700 | 503 | |||
Hershey | 42,500 | 1,652 | |||
HJ Heinz | 9,500 | 378 | |||
Hormel Foods | 2,600 | 92 | |||
Kellogg | 51,300 | 2,525 | |||
Kimberly-Clark | 78,802 | 4,648 | |||
Kraft Foods, Cl A | 109,580 | 2,879 | |||
Kroger | 146,800 | 3,030 | |||
Lorillard | 18,500 | 1,375 | |||
Mead Johnson Nutrition, Cl A (A) | 5,100 | 230 | |||
NBTY * | 5,800 | 230 | |||
Pepsi Bottling Group | 30,800 | 1,122 | |||
PepsiCo (A) | 634,224 | 37,204 | |||
Philip Morris International | 382,750 | 18,655 | |||
Procter & Gamble | 758,795 | 43,949 | |||
Reynolds American (A) | 15,800 | 703 | |||
SYSCO | 26,200 | 651 | |||
Walgreen (A) | 480,325 | 17,998 | |||
Wal-Mart Stores | 455,946 | 22,382 | |||
Weis Markets | 3,900 | 125 | |||
Whole Foods Market * | 38,500 | 1,174 | |||
| 234,125 | |||||
Energy — 5.7% | |||||
Cameron International * | 552 | 21 | |||
Canadian Natural Resources | 111,900 | 7,518 | |||
Consol Energy | 4,500 | 203 | |||
Delek US Holdings | 9,700 | 83 | |||
Diamond Offshore Drilling | 600 | 57 | |||
Dresser-Rand Group * | 66,000 | 2,051 | |||
EOG Resources (A) | 137,560 | 11,488 | |||
EXCO Resources | 2,200 | 41 | |||
Exxon Mobil | 185,600 | 12,734 | |||
FMC Technologies * (A) | 23,800 | 1,243 | |||
Frontier Oil | 45,900 | 639 | |||
Halliburton (A) | 435,660 | 11,815 | |||
Helix Energy Solutions Group * | 51,300 | 769 | |||
Massey Energy | 2,100 | 59 | |||
Description | Shares | Market Value ($ Thousands) | |||
National Oilwell Varco * | 175,315 | $ | 7,561 | ||
Occidental Petroleum | 119,640 | 9,380 | |||
Oceaneering International * | 8,600 | 488 | |||
Peabody Energy | 2,900 | 108 | |||
PetroHawk Energy * | 30,300 | 733 | |||
Petroleo Brasileiro ADR | 93,225 | 4,279 | |||
Range Resources (A) | 83,440 | 4,119 | |||
Schlumberger | 265,136 | 15,802 | |||
SEACOR Holdings * (A) | 6,900 | 563 | |||
Southwestern Energy * | 34,500 | 1,472 | |||
Suncor Energy (A) | 123,898 | 4,282 | |||
Tesoro | 26,100 | 391 | |||
Transocean * | 136,565 | 11,681 | |||
Williams | 29,000 | 518 | |||
XTO Energy | 134,000 | 5,537 | |||
| 115,635 | |||||
Financials — 5.9% | |||||
Affiliated Managers Group * | 3,800 | 247 | |||
Aflac | 184,734 | 7,896 | |||
American Express | 455,951 | 15,457 | |||
AmeriCredit * | 15,400 | 243 | |||
Ameriprise Financial | 23,500 | 854 | |||
Axis Capital Holdings | 4,600 | 139 | |||
Bank of New York Mellon | 317,401 | 9,202 | |||
BlackRock | 8,000 | 1,735 | |||
Brown & Brown | 22,300 | 427 | |||
Capital One Financial | 44,900 | 1,604 | |||
CB Richard Ellis Group, Cl A * | 21,500 | 253 | |||
Charles Schwab (A) | 328,295 | 6,287 | |||
CME Group | 55,375 | 17,066 | |||
Commerce Bancshares | 3,900 | 145 | |||
Digital Realty Trust † | 900 | 41 | |||
Eaton Vance | 6,800 | 190 | |||
Endurance Specialty Holdings (A) | 39,600 | 1,444 | |||
Erie Indemnity, Cl A | 6,800 | 255 | |||
Federal Realty Investment Trust † | 200 | 12 | |||
Federated Investors, Cl B | 23,900 | 630 | |||
Fidelity National Financial, Cl A | 6,700 | 101 | |||
Forest City Enterprises, Cl A | 12,800 | 171 | |||
Genworth Financial, Cl A | 18,900 | 226 | |||
GFI Group | 19,000 | 137 | |||
Goldman Sachs Group | 49,951 | 9,209 | |||
Greenhill | 7,400 | 663 | |||
HCP † | 1,900 | 55 | |||
Hudson City Bancorp | 500 | 6 | |||
IntercontinentalExchange * (A) | 99,300 | 9,651 | |||
Invesco | 14,600 | 332 | |||
Janus Capital Group | 39,500 | 560 | |||
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Large Cap Growth Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Jefferies Group | 17,200 | $ | 468 | ||
JPMorgan Chase | 164,560 | 7,211 | |||
Lazard, Cl A | 4,100 | 169 | |||
Lincoln National | 8,400 | 218 | |||
Moody’s (A) | 25,600 | 524 | |||
Morgan Stanley | 179,950 | 5,557 | |||
MSCI, Cl A * | 27,300 | 808 | |||
NASDAQ OMX Group * | 13,000 | 274 | |||
Nelnet, Cl A * | 11,400 | 142 | |||
Northern Trust | 37,188 | 2,163 | |||
NYSE Euronext | 37,600 | 1,086 | |||
optionsXpress Holdings | 27,100 | 468 | |||
People’s United Financial (A) | 216,370 | 3,367 | |||
Principal Financial Group | 4,900 | 134 | |||
Progressive | 1,600 | 26 | |||
Prudential Financial | 16,600 | 828 | |||
Public Storage † | 5,600 | 421 | |||
Simon Property Group † | 515 | 36 | |||
SLM * | 37,500 | 327 | |||
State Street | 16,600 | 873 | |||
T. Rowe Price Group (A) | 40,300 | 1,842 | |||
TD Ameritrade Holding * | 1,800 | 35 | |||
Waddell & Reed Financial, Cl A | 40,700 | 1,158 | |||
Wells Fargo | 242,200 | 6,825 | |||
World Acceptance * (A) | 6,100 | 154 | |||
WP Carey | 5,000 | 142 | |||
WR Berkley | 16,400 | 415 | |||
| 120,909 | |||||
Health Care — 14.7% | |||||
Abbott Laboratories | 373,516 | 18,478 | |||
Aetna (A) | 187,600 | 5,221 | |||
Allergan | 406,400 | 23,067 | |||
Allscripts Healthcare Solutions | 16,200 | 328 | |||
American Medical Systems Holdings * | 78,500 | 1,328 | |||
AmerisourceBergen | 38,300 | 857 | |||
Amgen * | 242,875 | 14,628 | |||
Amylin Pharmaceuticals * | 6,400 | 88 | |||
Baxter International | 323,751 | 18,457 | |||
Becton Dickinson | 59,705 | 4,165 | |||
Biogen Idec * | 133,070 | 6,723 | |||
Bio-Reference Labs * | 2,400 | 82 | |||
Boston Scientific * | 44,700 | 473 | |||
Bristol-Myers Squibb | 410,500 | 9,244 | |||
Bruker BioSciences * | 23,500 | 251 | |||
C.R. Bard | 54,410 | 4,277 | |||
Cantel Medical * | 5,200 | 78 | |||
CareFusion * | 10,000 | 218 | |||
Celgene * | 12,260 | 685 | |||
Cephalon * | 5,300 | 309 | |||
Cerner * | 12,400 | 928 | |||
Description | Shares | Market Value ($ Thousands) | |||
Cigna | 2,700 | $ | 76 | ||
Community Health Systems * | 5,200 | 166 | |||
Coventry Health Care * | 300 | 6 | |||
DaVita * | 7,700 | 436 | |||
Dendreon * | 40,100 | 1,122 | |||
Dentsply International | 700 | 24 | |||
Edwards Lifesciences * | 27,000 | 1,888 | |||
Eli Lilly (A) | 87,058 | 2,875 | |||
Enzon Pharmaceuticals * (A) | 31,500 | 260 | |||
Express Scripts * | 111,380 | 8,641 | |||
Gen-Probe * | 300 | 13 | |||
Genzyme * | 6,000 | 340 | |||
Gilead Sciences * | 561,980 | 26,177 | |||
Health Management Associates, Cl A * | 32,800 | 246 | |||
HLTH * | 15,800 | 231 | |||
Hologic * | 7,400 | 121 | |||
Hospira * | 36,100 | 1,610 | |||
Humana * | 13,000 | 485 | |||
ICU Medical * | 9,300 | 343 | |||
Illumina * | 4,600 | 196 | |||
Immunomedics * (A) | 33,800 | 187 | |||
Intuitive Surgical * (A) | 10,800 | 2,832 | |||
Invacare | 15,500 | 345 | |||
Inverness Medical Innovations * | 23,700 | 918 | |||
Isis Pharmaceuticals * (A) | 32,900 | 479 | |||
Johnson & Johnson (A) | 560,711 | 34,142 | |||
Kinetic Concepts * | 2,600 | 96 | |||
Laboratory Corp of America Holdings * | 11,100 | 729 | |||
Life Technologies * | 4,300 | 200 | |||
Lincare Holdings * (A) | 72,700 | 2,272 | |||
McKesson | 312 | 19 | |||
Medco Health Solutions * | 288,082 | 15,934 | |||
Medtronic | 229,800 | 8,457 | |||
Merck (A) | 214,327 | 6,779 | |||
Meridian Bioscience (A) | 13,300 | 333 | |||
Mettler Toledo International * | 25,400 | 2,301 | |||
Millipore * | 11,000 | 774 | |||
Mylan Laboratories * | 93,200 | 1,492 | |||
Myriad Genetics * | 5,000 | 137 | |||
Novo Nordisk ADR (A) | 129,000 | 8,121 | |||
Orthofix International * | 2,000 | 59 | |||
Par Pharmaceutical * | 3,000 | 65 | |||
Perrigo (A) | 15,500 | 527 | |||
Psychiatric Solutions * | 3,400 | 91 | |||
Quest Diagnostics | 96,500 | 5,036 | |||
Quidel * | 9,500 | 154 | |||
ResMed * | 23,900 | 1,080 | |||
Schering-Plough | 198,800 | 5,616 | |||
Sciclone Pharmaceuticals * | 15,000 | 64 | |||
Sepracor * | 22,700 | 520 | |||
St. Jude Medical * | 300,727 | 11,731 | |||
Stryker | 109,100 | 4,956 | |||
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Large Cap Growth Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Symmetry Medical * | 9,300 | $ | 97 | ||
Teva Pharmaceutical Industries ADR (A) | 155,684 | 7,871 | |||
Thermo Fisher Scientific * | 112,419 | 4,909 | |||
UnitedHealth Group | 239,800 | 6,005 | |||
Universal Health Services, Cl B | 1,100 | 68 | |||
Valeant Pharmaceuticals International * (A) | 63,100 | 1,771 | |||
VCA Antech * | 2,500 | 67 | |||
Vertex Pharmaceuticals * | 10,400 | 394 | |||
Waters * | 12,500 | 698 | |||
WellPoint * | 33,600 | 1,591 | |||
Wyeth | 78,100 | 3,794 | |||
Zimmer Holdings * (A) | 40,697 | 2,175 | |||
| 301,027 | |||||
Industrials — 8.0% | |||||
3M | 82,726 | 6,105 | |||
ABB ADR | 73,760 | 1,478 | |||
Aecom Technology * | 42,300 | 1,148 | |||
Alliant Techsystems * | 26,000 | 2,024 | |||
AMR * | 1,600 | 13 | |||
Avery Dennison | 2,900 | 104 | |||
BE Aerospace * | 6,200 | 125 | |||
Boeing | 24,519 | 1,328 | |||
Brink’s | 5,900 | 159 | |||
Burlington Northern Santa Fe | 32,352 | 2,583 | |||
C.H. Robinson Worldwide (A) | 55,966 | 3,232 | |||
Carlisle | 4,800 | 163 | |||
Caterpillar (A) | 97,705 | 5,015 | |||
Cintas | 5,300 | 161 | |||
Continental Airlines, Cl B * | 4,600 | 76 | |||
Con-way | 10,000 | 383 | |||
Copa Holdings, Cl A | 8,500 | 378 | |||
Crane | 3,200 | 83 | |||
Cummins | 116,960 | 5,241 | |||
Danaher | 109,225 | 7,353 | |||
Deere | 21,000 | 901 | |||
Delta Air Lines * | 50,500 | 452 | |||
Dover | 14,900 | 577 | |||
Dun & Bradstreet | 11,700 | 881 | |||
DynCorp International, Cl A * | 7,900 | 142 | |||
Emerson Electric | 126,853 | 5,084 | |||
Equifax | 16,200 | 472 | |||
Expeditors International of Washington (A) | 360,900 | 12,686 | |||
Fastenal | 700 | 27 | |||
First Solar * | 4,300 | 657 | |||
Flowserve | 700 | 69 | |||
Fluor (A) | 58,300 | 2,965 | |||
General Dynamics | 36,800 | 2,377 | |||
Description | Shares | Market Value ($ Thousands) | |||
Goodrich | 120,200 | $ | 6,532 | ||
Harsco | 600 | 21 | |||
Hawaiian Holdings * | 9,200 | 76 | |||
Honeywell International | 134,470 | 4,996 | |||
Hubbell, Cl B | 3,100 | 130 | |||
IHS, Cl A * | 2,700 | 138 | |||
ITT | 14,000 | 730 | |||
Jacobs Engineering Group * | 6,900 | 317 | |||
JB Hunt Transport Services | 1,600 | 51 | |||
Joy Global (A) | 89,355 | 4,373 | |||
L-3 Communications Holdings | 26,000 | 2,088 | |||
Landstar System | 1,200 | 46 | |||
Lennox International | 12,300 | 444 | |||
Lockheed Martin | 59,715 | 4,662 | |||
McDermott International * | 79,500 | 2,009 | |||
Monster Worldwide * | 1,400 | 25 | |||
Navistar International * | 2,500 | 94 | |||
Northrop Grumman | 35,548 | 1,840 | |||
PACCAR | 12,750 | 481 | |||
Parker Hannifin | 76,410 | 3,961 | |||
Precision Castparts | 5,921 | 603 | |||
Quanta Services * | 214,900 | 4,756 | |||
Raytheon | 74,400 | 3,569 | |||
Robert Half International | 6,200 | 155 | |||
Rockwell Automation | 2,700 | 115 | |||
Rockwell Collins | 16,900 | 858 | |||
Roper Industries | 5,700 | 291 | |||
Shaw Group * | 15,500 | 497 | |||
Spirit Aerosystems Holdings, Cl A * | 6,500 | 117 | |||
Stericycle * | 17,690 | 857 | |||
SunPower, Cl A * | 1,500 | 45 | |||
Toro (A) | 23,800 | 947 | |||
TransDigm Group * | 18,100 | 902 | |||
Union Pacific | 121,380 | 7,083 | |||
United Parcel Service, Cl B | 324,870 | 18,345 | |||
United Technologies | 354,815 | 21,619 | |||
URS * | 6,100 | 266 | |||
Waste Management | 51,400 | 1,533 | |||
WW Grainger | 42,100 | 3,762 | |||
| 163,776 | |||||
Information Technology — 32.5% | |||||
Accenture, Cl A | 116,565 | 4,344 | |||
Acme Packet * | 11,100 | 111 | |||
Adobe Systems * (A) | 545,395 | 18,020 | |||
Advanced Micro Devices * | 44,800 | 253 | |||
Affiliated Computer Services, Cl A * | 1,100 | 60 | |||
Akamai Technologies * | 30,600 | 602 | |||
Altera (A) | 36,100 | 740 | |||
Analog Devices | 147,980 | 4,081 | |||
Apple * | 390,757 | 72,435 | |||
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Large Cap Growth Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Applied Micro Circuits * | 35,000 | $ | 350 | ||
Arris Group * | 24,500 | 319 | |||
ASML Holding, Cl G (A) | 156,205 | 4,619 | |||
Autodesk * | 198,600 | 4,727 | |||
Automatic Data Processing | 73,500 | 2,889 | |||
Avnet * | 8,200 | 213 | |||
BMC Software * | 96,000 | 3,603 | |||
Broadcom, Cl A * (A) | 483,730 | 14,846 | |||
Broadridge Financial Solutions | 48,100 | 967 | |||
CA | 14,600 | 321 | |||
Cadence Design Systems * | 45,400 | 333 | |||
Ciena * | 1,200 | 19 | |||
Cirrus Logic * | 27,100 | 151 | |||
Cisco Systems * | 2,146,681 | 50,533 | |||
Citrix Systems * | 22,800 | 894 | |||
Cognizant Technology Solutions, Cl A * | 31,200 | 1,206 | |||
Corning (A) | 208,900 | 3,198 | |||
Cree * (A) | 75,100 | 2,760 | |||
Cypress Semiconductor * | 75,700 | 782 | |||
DealerTrack Holdings * | 14,600 | 276 | |||
Dell * (A) | 118,946 | 1,815 | |||
Dolby Laboratories, Cl A * (A) | 64,000 | 2,444 | |||
DST Systems * (A) | 9,100 | 408 | |||
DTS * | 2,200 | 60 | |||
eBay * | 4,900 | 116 | |||
EchoStar, Cl A * | 5,600 | 103 | |||
Electronic Arts * (A) | 212,224 | 4,043 | |||
EMC * (A) | 1,242,150 | 21,166 | |||
Equinix * | 4,100 | 377 | |||
F5 Networks * | 45,900 | 1,819 | |||
Factset Research Systems | 6,000 | 397 | |||
Fidelity National Information Services (A) | 32,500 | 829 | |||
Fiserv * | 48,400 | 2,333 | |||
Google, Cl A * (A) | 101,083 | 50,122 | |||
Hewitt Associates, Cl A * | 28,300 | 1,031 | |||
Hewlett-Packard | 480,490 | 22,684 | |||
i2 Technologies * (A) | 10,600 | 170 | |||
IAC * | 29,300 | 592 | |||
Intel | 1,097,462 | 21,477 | |||
International Business Machines | 342,464 | 40,962 | |||
International Rectifier * | 6,100 | 119 | |||
Intuit * | 396,900 | 11,312 | |||
Iron Mountain * | 54,900 | 1,464 | |||
j2 Global Communications * | 2,200 | 51 | |||
JDS Uniphase * | 25,000 | 178 | |||
Juniper Networks * | 63,800 | 1,724 | |||
Description | Shares | Market Value ($ Thousands) | |||
Lam Research * | 5,200 | $ | 178 | ||
Lender Processing Services | 3,000 | 114 | |||
Linear Technology | 36,000 | 995 | |||
Marvell Technology Group * | 80,400 | 1,302 | |||
Mastercard, Cl A (A) | 74,380 | 15,036 | |||
Maxim Integrated Products | 3,300 | 60 | |||
McAfee * | 45,600 | 1,997 | |||
MEMC Electronic Materials * | 7,400 | 123 | |||
Mentor Graphics * | 15,200 | 141 | |||
Metavante Technologies * | 37,100 | 1,279 | |||
Micron Technology * | 54,800 | 449 | |||
Micros Systems * | 19,000 | 574 | |||
Microsoft | 2,722,714 | 70,491 | |||
Motorola | 14,900 | 128 | |||
NetApp * | 23,700 | 632 | |||
NeuStar, Cl A * | 18,200 | 411 | |||
Nokia ADR (A) | 418,200 | 6,114 | |||
Novatel Wireless * (A) | 44,700 | 508 | |||
Novellus Systems * | 19,500 | 409 | |||
Nuance Communications * | 16,700 | 250 | |||
NVE * | 3,000 | 159 | |||
Nvidia * | 95,400 | 1,434 | |||
ON Semiconductor * | 12,200 | 101 | |||
Oracle | 1,175,490 | 24,497 | |||
Paychex (A) | 187,800 | 5,456 | |||
Pegasystems | 15,000 | 518 | |||
Qualcomm | 1,009,688 | 45,416 | |||
Rackspace Hosting * (A) | 284,800 | 4,859 | |||
Rambus * | 8,400 | 146 | |||
Red Hat * (A) | 80,700 | 2,230 | |||
RightNow Technologies * | 9,100 | 131 | |||
Rovi * | 32,100 | 1,079 | |||
SAIC * | 53,700 | 942 | |||
Salesforce.com * | 1,700 | 97 | |||
SanDisk * | 21,100 | 458 | |||
Seagate Technology | 178,800 | 2,720 | |||
Silicon Laboratories * (A) | 30,100 | 1,395 | |||
Sohu.com * | 800 | 55 | |||
Sybase * | 24,300 | 945 | |||
Symantec * | 474,200 | 7,810 | |||
Synopsys * | 45,300 | 1,016 | |||
Tech Data * | 28,600 | 1,190 | |||
Teradata * | 312,700 | 8,605 | |||
Teradyne * | 16,500 | 153 | |||
Texas Instruments | 190,115 | 4,504 | |||
THQ * | 16,400 | 112 | |||
Total System Services | 43,200 | 696 | |||
Varian Semiconductor Equipment Associates * | 1,700 | 56 | |||
VeriSign * (A) | 369,200 | 8,746 | |||
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Large Cap Growth Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Visa, Cl A (A) | 360,506 | $ | 24,915 | ||
VMware, Cl A * | 7,900 | 317 | |||
Volterra Semiconductor * | 11,300 | 207 | |||
Western Digital * | 83,700 | 3,058 | |||
Western Union | 515,930 | 9,761 | |||
Xerox | 7,700 | 60 | |||
Xilinx | 30,800 | 721 | |||
Yahoo! * (A) | 940,105 | 16,743 | |||
Zoran * | 9,600 | 111 | |||
| 664,058 | |||||
Materials — 3.9% | |||||
Air Products & Chemicals | 6,100 | 473 | |||
Albemarle | 4,000 | 138 | |||
Alpha Natural Resources * | 8,661 | 304 | |||
Ball | 24,700 | 1,215 | |||
BHP Billiton ADR (A) | 65,775 | 4,342 | |||
Celanese, Ser A | 22,100 | 553 | |||
Cliffs Natural Resources | 300 | 10 | |||
Compass Minerals International | 1,800 | 111 | |||
Crown Holdings * | 50,700 | 1,379 | |||
Eagle Materials | 26,500 | 757 | |||
Ecolab | 50,100 | 2,316 | |||
FMC | 3,900 | 219 | |||
Freeport-McMoRan Copper & Gold, Cl B | 140,410 | 9,634 | |||
International Flavors & Fragrances | 4,100 | 156 | |||
Intrepid Potash * | 18,100 | 427 | |||
Lubrizol | 3,800 | 272 | |||
Martin Marietta Materials | 800 | 74 | |||
Monsanto | 193,909 | 15,009 | |||
Mosaic | 2,800 | 135 | |||
Nalco Holding | 300 | 6 | |||
NewMarket | 6,800 | 633 | |||
Newmont Mining | 48,600 | 2,139 | |||
Owens-Illinois * | 6,900 | 255 | |||
Pactiv * | 87,500 | 2,279 | |||
Potash Corp of Saskatchewan | 52,300 | 4,725 | |||
Praxair | 251,416 | 20,538 | |||
| Shares/Face Amount ($ Thousands) | |||||
Royal Gold | 4,500 | 205 | |||
Schnitzer Steel Industries, Cl A | 9,100 | 485 | |||
Scotts Miracle-Gro, Cl A | 29,900 | 1,284 | |||
Sigma-Aldrich | 1,500 | 81 | |||
Southern Copper (A) | 107,900 | 3,311 | |||
Syngenta ADR | 130,800 | 6,010 | |||
Terra Industries | 5,000 | 173 | |||
Walter Energy | 18,100 | 1,087 | |||
| 80,735 | |||||
Telecommunication Services — 1.3% | |||||
American Tower, Cl A * (A) | 227,670 | 8,287 | |||
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Crown Castle International * | 535,497 | $ | 16,793 | |||
iPCS * | 3,200 | 56 | ||||
Leap Wireless International * | 3,900 | 76 | ||||
MetroPCS Communications * | 2,200 | 21 | ||||
NTELOS Holdings | 12,800 | 226 | ||||
SBA Communications, Cl A * | 9,200 | 249 | ||||
tw telecom , Cl A * | 26,900 | 362 | ||||
USA Mobility | 5,700 | 73 | ||||
| 26,143 | ||||||
Utilities — 0.7% | ||||||
AES * | 6,800 | 101 | ||||
Calpine * | 103,800 | 1,196 | ||||
Constellation Energy Group | 88,400 | 2,861 | ||||
DPL | 7,900 | 206 | ||||
Equities | 31,400 | 1,338 | ||||
Exelon | 9,200 | 456 | ||||
FPL Group | 37,000 | 2,044 | ||||
ITC Holdings | 13,700 | 623 | ||||
Mirant * | 77,500 | 1,273 | ||||
NV Energy | 67,100 | 778 | ||||
PPL | 80,900 | 2,454 | ||||
| 13,330 | ||||||
Total Common Stock | 1,943,264 | |||||
AFFILIATED PARTNERSHIP — 12.9% | ||||||
SEI Liquidity Fund, L.P., 0.400% (B) ** †† | 268,615,224 | 264,144 | ||||
Total Affiliated Partnership | 264,144 | |||||
CASH EQUIVALENT — 2.4% | ||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110% ** †† | 49,323,234 | 49,323 | ||||
Total Cash Equivalent | 49,323 | |||||
U.S. TREASURY OBLIGATIONS — 0.5% | ||||||
U.S. Treasury Bills | ||||||
0.225%, 01/07/10 (C) (D) | $ | 5,000 | 4,999 | |||
U.S. Treasury Bills | ||||||
0.196%, 12/03/09 (C) (D) | 5,400 | 5,399 | ||||
Total U.S. Treasury Obligations | 10,398 | |||||
Total Investments — 110.9% | $ | 2,267,129 | ||||
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Large Cap Growth Fund
September 30, 2009
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | ||||
S&P | |||||||
Composite | |||||||
Index | 226 | Dec-2009 | $ | 293 | |||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $2,043,249 ($Thousands)
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Real Estate Investment Trust. |
| †† | Investment in Affiliated Security. |
| ‡ | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
| (A) | This security or a partial position of this security is on loan at September 30, 2009. The total market value of securities on loan at September 30, 2009 was $263,484 ($ Thousands). |
| (B) | This security was purchased with cash collateral received from securities on loan. The total market value of such securities as of September 30, 2009 was $264,144 ($ Thousands). |
| (C) | The rate reported is the effective yield at the time of purchase. |
| (D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
Ser — Series
7 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
COMMON STOCK — 97.8% | |||||
Consumer Discretionary — 10.5% | |||||
Abercrombie & Fitch, Cl A | 1,426 | $ | 47 | ||
Advance Auto Parts (A) | 3,400 | 134 | |||
Aeropostale * | 31,000 | 1,348 | |||
Amazon.com * (A) | 90,135 | 8,415 | |||
American Eagle Outfitters | 3,150 | 53 | |||
American Greetings, Cl A | 16,700 | 372 | |||
Apollo Group, Cl A * | 29,925 | 2,205 | |||
Ascent Media, Cl A * | 234 | 6 | |||
Autoliv (A) | 22,650 | 761 | |||
Autonation * (A) | 4,100 | 74 | |||
Autozone * | 2,119 | 310 | |||
Barnes & Noble (A) | 21,250 | 472 | |||
Bed Bath & Beyond * (A) | 4,400 | 165 | |||
Best Buy (A) | 42,225 | 1,584 | |||
Big Lots * | 1,557 | 39 | |||
Black & Decker (A) | 2,000 | 93 | |||
Blyth | 8,500 | 329 | |||
BorgWarner (A) | 2,300 | 70 | |||
Brinker International | 3,400 | 53 | |||
Brink’s Home Security Holdings * | 650 | 20 | |||
Cablevision Systems, Cl A | 6,700 | 159 | |||
Career Education * | 23,500 | 573 | |||
Carmax * (A) | 6,383 | 133 | |||
Carnival | 9,000 | 300 | |||
Carter’s * | 6,000 | 160 | |||
Cavco Industries * | 130 | 5 | |||
Chico’s FAS * (A) | 74,000 | 962 | |||
Chipotle Mexican Grill, Cl A * | 800 | 78 | |||
Coach (A) | 160,800 | 5,294 | |||
Comcast, Cl A | 615,240 | 10,391 | |||
Core-Mark Holding * | 5,000 | 143 | |||
Darden Restaurants | 3,127 | 107 | |||
DeVry | 1,021 | 57 | |||
Dick’s Sporting Goods * | 3,700 | 83 | |||
DIRECTV Group * (A) | 144,740 | 3,992 | |||
Discovery Communications, Cl C * (A) | 5,040 | 131 | |||
DISH Network, Cl A * | 18,049 | 348 | |||
Dollar Tree * | 829 | 40 | |||
DR Horton | 6,500 | 74 | |||
Eastman Kodak (A) | 503,000 | 2,404 | |||
Family Dollar Stores | 1,500 | 40 | |||
Foot Locker | 55,600 | 665 | |||
Ford Motor * (A) | 38,500 | 277 | |||
GameStop, Cl A * (A) | 3,622 | 96 | |||
Gannett (A) | 34,600 | 433 | |||
Gap | 199,500 | 4,269 | |||
Description | Shares | Market Value ($ Thousands) | |||
Garmin (A) | 39,200 | $ | 1,479 | ||
Gentex (A) | 5,500 | 78 | |||
Genuine Parts | 850 | 33 | |||
Goodyear Tire & Rubber * | 6,550 | 111 | |||
Grand Canyon Education * | 9,100 | 162 | |||
H&R Block | 5,900 | 108 | |||
Hanesbrands * | 48,000 | 1,027 | |||
Harley-Davidson (A) | 25,600 | 589 | |||
Harman International Industries (A) | 4,200 | 142 | |||
Hasbro | 73,995 | 2,053 | |||
Hillenbrand | 6,100 | 124 | |||
Home Depot (A) | 146,700 | 3,908 | |||
International Game Technology | 2,853 | 61 | |||
Interpublic Group * | 13,000 | 98 | |||
ITT Educational Services * | 2,600 | 287 | |||
J.C. Penney (A) | 158,330 | 5,344 | |||
Jarden | 37,800 | 1,061 | |||
Johnson Controls | 102,604 | 2,622 | |||
JOS A Bank Clothiers * | 800 | 36 | |||
KB Home (A) | 4,700 | 78 | |||
Kenneth Cole Productions, Cl A | 2,300 | 23 | |||
Kohl’s * | 4,900 | 279 | |||
Lamar Advertising, Cl A * (A) | 7,300 | 200 | |||
La-Z-Boy, Cl Z (A) | 6,100 | 53 | |||
Leggett & Platt | 39,000 | 757 | |||
Lennar, Cl A | 5,100 | 73 | |||
Liberty Global, Cl A * | 14,200 | 320 | |||
Liberty Media—Capital, Ser A * | 10,500 | 220 | |||
Liberty Media—Entertainment, Cl A * | 9,060 | 282 | |||
Liberty Media—Interactive, Cl A * (A) | 6,450 | 71 | |||
LKQ * | 3,200 | 59 | |||
Lowe’s | 358,245 | 7,502 | |||
Macy’s | 77,900 | 1,425 | |||
Marriott International, Cl A (A) | 73,815 | 2,037 | |||
Mattel | 2,300 | 43 | |||
McDonald’s | 91,986 | 5,250 | |||
McGraw-Hill | 16,800 | 422 | |||
Mohawk Industries * (A) | 2,829 | 135 | |||
New York Times, Cl A (A) | 10,200 | 83 | |||
News, Cl A (A) | 173,400 | 2,079 | |||
Nike, Cl B (A) | 117,600 | 7,609 | |||
Nordstrom (A) | 4,900 | 150 | |||
NVR * | 100 | 64 | |||
Omnicom Group (A) | 6,000 | 222 | |||
O’Reilly Automotive * (A) | 1,800 | 65 | |||
Penn National Gaming * | 2,300 | 64 | |||
PetMed Express (A) | 14,100 | 266 | |||
PetSmart | 49,508 | 1,077 | |||
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Polo Ralph Lauren (A) | 900 | $ | 69 | ||
priceline.com * | 16,400 | 2,719 | |||
Pulte Homes | 3,600 | 40 | |||
RadioShack (A) | 45,100 | 747 | |||
Regal Entertainment Group, Cl A | 2,700 | 33 | |||
Ross Stores | 30,800 | 1,471 | |||
Sally Beauty Holdings * (A) | 26,000 | 185 | |||
Scholastic | 1,700 | 41 | |||
Scientific Games, Cl A * | 3,600 | 57 | |||
Sears Holdings * (A) | 69,500 | 4,539 | |||
Shaw Communications, Cl B | 39,400 | 710 | |||
Sherwin-Williams | 1,700 | 102 | |||
Smith & Wesson Holding * (A) | 58,400 | 306 | |||
Snap-On | 778 | 27 | |||
Sonic Automotive, Cl A (A) | 20,600 | 216 | |||
Stanley Works (A) | 29,900 | 1,276 | |||
Staples (A) | 447,717 | 10,396 | |||
Starbucks * (A) | 10,038 | 207 | |||
Starwood Hotels & Resorts Worldwide (A) | 55,290 | 1,826 | |||
Strayer Education (A) | 3,300 | 718 | |||
Target | 158,254 | 7,387 | |||
Tempur-Pedic International | 6,400 | 121 | |||
Texas Roadhouse, Cl A * (A) | 19,700 | 209 | |||
Tiffany | 1,800 | 69 | |||
Tim Hortons | 1,500 | 42 | |||
Time Warner | 369,522 | 10,635 | |||
Time Warner Cable, Cl A (A) | 109,163 | 4,704 | |||
TJX | 88,000 | 3,269 | |||
Toll Brothers * | 2,200 | 43 | |||
Urban Outfitters * | 2,500 | 76 | |||
VF (A) | 1,400 | 101 | |||
Viacom, Cl B * | 112,492 | 3,154 | |||
Virgin Media (A) | 12,500 | 174 | |||
Walt Disney (A) | 167,257 | 4,593 | |||
Washington Post, Cl B | 100 | 47 | |||
Weight Watchers International | 125,400 | 3,433 | |||
Whirlpool (A) | 17,900 | 1,252 | |||
Wyndham Worldwide | 58,300 | 951 | |||
Wynn Resorts * | 19,100 | 1,354 | |||
Yum! Brands (A) | 60,600 | 2,046 | |||
| 167,340 | |||||
Consumer Staples — 8.1% | |||||
Alberto-Culver | 1,700 | 47 | |||
Altria Group | 94,110 | 1,676 | |||
American Italian | |||||
Pasta, Cl A * | 8,700 | 237 | |||
Archer-Daniels-Midland | 104,757 | 3,061 | |||
Description | Shares | Market Value ($ Thousands) | |||
Avon Products | 128,146 | $ | 4,352 | ||
BJ’s Wholesale Club * (A) | 31,357 | 1,136 | |||
Brown-Forman, Cl B | 1,500 | 72 | |||
Bunge (A) | 2,500 | 157 | |||
Campbell Soup (A) | 77,800 | 2,538 | |||
Chiquita Brands International * (A) | 46,000 | 743 | |||
Church & Dwight | 800 | 45 | |||
Clorox (A) | 9,969 | 586 | |||
Coca-Cola (A) | 123,839 | 6,650 | |||
Coca-Cola Enterprises (A) | 106,400 | 2,278 | |||
Colgate-Palmolive | 18,320 | 1,398 | |||
ConAgra Foods | 173,450 | 3,760 | |||
Constellation Brands, Cl A * | 3,000 | 46 | |||
Corn Products International | 16,400 | 468 | |||
Costco Wholesale | 95,960 | 5,418 | |||
CVS Caremark | 189,205 | 6,762 | |||
Dean Foods * | 15,800 | 281 | |||
Del Monte Foods | 147,100 | 1,703 | |||
Dr Pepper Snapple Group * | 25,800 | 742 | |||
Energizer Holdings * | 1,628 | 108 | |||
Estee Lauder, Cl A (A) | 3,500 | 130 | |||
General Mills | 20,184 | 1,300 | |||
Herbalife | 52,200 | 1,709 | |||
Hershey | 1,900 | 74 | |||
HJ Heinz | 3,797 | 151 | |||
Hormel Foods | 2,000 | 71 | |||
Kellogg | 16,258 | 800 | |||
Kimberly-Clark | 48,217 | 2,844 | |||
Kraft Foods, Cl A (A) | 197,284 | 5,183 | |||
Kroger | 70,952 | 1,464 | |||
Lorillard | 6,250 | 464 | |||
McCormick | 2,100 | 71 | |||
Molson Coors Brewing, Cl B | 5,300 | 258 | |||
Pepsi Bottling Group | 66,500 | 2,423 | |||
PepsiCo | 238,605 | 13,997 | |||
Philip Morris International | 99,499 | 4,850 | |||
Prestige Brands Holdings * | 18,600 | 131 | |||
Procter & Gamble | 418,388 | 24,233 | |||
Reynolds American (A) | 55,400 | 2,466 | |||
Safeway | 116,917 | 2,305 | |||
Sanderson Farms | 6,300 | 237 | |||
Sara Lee | 160,900 | 1,792 | |||
SUPERVALU | 90,298 | 1,360 | |||
SYSCO (A) | 52,750 | 1,311 | |||
Tyson Foods, Cl A | 49,800 | 629 | |||
Walgreen (A) | 247,210 | 9,263 | |||
Wal-Mart Stores | 119,233 | 5,853 | |||
Whole Foods Market * (A) | 3,700 | 113 | |||
| 129,746 | |||||
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Energy — 10.5% | |||||
Anadarko Petroleum | 49,700 | $ | 3,118 | ||
Apache | 32,435 | 2,979 | |||
Arch Coal | 2,400 | 53 | |||
Baker Hughes (A) | 27,941 | 1,192 | |||
BJ Services | 76,900 | 1,494 | |||
Cabot Oil & Gas | 1,500 | 54 | |||
Cal Dive International * | 8,400 | 83 | |||
Cameron International * | 3,800 | 144 | |||
Canadian Natural Resources | 37,460 | 2,517 | |||
Chesapeake Energy | 38,200 | 1,085 | |||
Chevron | 333,209 | 23,468 | |||
Cimarex Energy (A) | 15,843 | 686 | |||
ConocoPhillips | 302,107 | 13,643 | |||
Consol Energy | 2,800 | 126 | |||
Denbury Resources * | 4,000 | 61 | |||
Devon Energy | 22,690 | 1,528 | |||
Diamond Offshore Drilling (A) | 13,800 | 1,318 | |||
Dresser-Rand Group * | 22,200 | 690 | |||
El Paso | 130,356 | 1,345 | |||
ENSCO International | 6,000 | 255 | |||
EOG Resources (A) | 89,500 | 7,474 | |||
Exterran Holdings * | 2,700 | 64 | |||
Exxon Mobil | 565,276 | 38,784 | |||
FMC Technologies * (A) | 8,500 | 444 | |||
Frontline (A) | 2,300 | 54 | |||
Halliburton (A) | 200,285 | 5,432 | |||
Harvest Natural Resources * | 8,800 | 45 | |||
Helix Energy Solutions Group * | 104,700 | 1,568 | |||
Helmerich & Payne (A) | 3,395 | 134 | |||
Hess | 1,750 | 94 | |||
Holly | 30,600 | 784 | |||
Marathon Oil | 197,800 | 6,310 | |||
Mariner Energy * | 931 | 13 | |||
Murphy Oil | 59,916 | 3,449 | |||
Nabors Industries * | 71,000 | 1,484 | |||
National Oilwell Varco * | 86,101 | 3,714 | |||
Newfield Exploration * | 39,400 | 1,677 | |||
Noble | 3,800 | 144 | |||
Noble Energy | 2,600 | 171 | |||
Occidental Petroleum | 115,850 | 9,083 | |||
Oceaneering International * | 1,200 | 68 | |||
Overseas Shipholding Group (A) | 15,900 | 594 | |||
Patriot Coal * (A) | 880 | 10 | |||
Patterson-UTI Energy | 49,700 | 750 | |||
Peabody Energy | 8,100 | 301 | |||
PetroHawk Energy * (A) | 4,000 | 97 | |||
Petroleo Brasileiro ADR | 31,180 | 1,431 | |||
Description | Shares | Market Value ($ Thousands) | |||
Pioneer Natural Resources | 4,944 | $ | 179 | ||
Plains Exploration & Production * | 7,695 | 213 | |||
Pride International * | 2,700 | 82 | |||
Range Resources (A) | 27,195 | 1,342 | |||
Rowan | 2,522 | 58 | |||
SandRidge Energy * | 7,700 | 100 | |||
Schlumberger | 133,626 | 7,964 | |||
SEACOR Holdings * | 5,200 | 425 | |||
Seahawk Drilling * | 180 | 6 | |||
Smith International (A) | 5,428 | 156 | |||
Spectra Energy | 90,843 | 1,721 | |||
Stone Energy * | 44,600 | 727 | |||
Suncor Energy | 70,258 | 2,428 | |||
Sunoco | 36,400 | 1,036 | |||
Swift Energy * (A) | 10,100 | 239 | |||
Teekay Shipping | 3,100 | 68 | |||
Tidewater | 29,350 | 1,382 | |||
Transocean * | 47,325 | 4,048 | |||
Valero Energy | 63,294 | 1,227 | |||
Venoco * | 4,900 | 56 | |||
Weatherford International * | 6,600 | 137 | |||
Western Refining * (A) | 26,300 | 170 | |||
Williams | 66,800 | 1,194 | |||
XTO Energy | 69,928 | 2,889 | |||
| 167,859 | |||||
Financials — 15.9% | |||||
ACE | 27,600 | 1,476 | |||
Affiliated Managers Group * | 1,000 | 65 | |||
Aflac | 193,560 | 8,273 | |||
Alexandria Real Estate Equities † (A) | 1,000 | 54 | |||
Allied World Assurance Holdings | 16,700 | 800 | |||
Allstate | 189,950 | 5,816 | |||
American Equity Investment Life Holding | 27,300 | 192 | |||
American Express | 231,362 | 7,843 | |||
American Financial Group | 61,800 | 1,576 | |||
American International Group * | 2,900 | 128 | |||
AmeriCredit * (A) | 10,900 | 172 | |||
Ameriprise Financial | 116,090 | 4,218 | |||
Annaly Capital Management † | 146,713 | 2,661 | |||
AON | 5,050 | 206 | |||
Apartment Investment & Management, Cl A † | 8,115 | 120 | |||
Argo Group International Holdings * | 11,500 | 387 | |||
Arthur J. Gallagher | 2,600 | 63 | |||
Aspen Insurance Holdings | 4,400 | 116 | |||
Assurant | 18,800 | 603 | |||
Astoria Financial (A) | 48,500 | 535 | |||
AvalonBay Communities † (A) | 1,900 | 138 | |||
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Axis Capital Holdings | 46,700 | $ | 1,409 | ||
Bancorpsouth (A) | 2,100 | 51 | |||
Bank of America | 1,260,224 | 21,323 | |||
Bank of Hawaii | 50 | 2 | |||
Bank of New York Mellon | 300,404 | 8,709 | |||
BB&T | 111,600 | 3,040 | |||
BlackRock | 5,900 | 1,279 | |||
Boston Properties † (A) | 1,600 | 105 | |||
Brandywine Realty Trust † | 66,300 | 732 | |||
BRE Properties, Cl A † | 2,200 | 69 | |||
Brookfield Asset Management, Cl A | 55,100 | 1,252 | |||
Brown & Brown | 2,200 | 42 | |||
Camden Property Trust † | 2,200 | 89 | |||
Capital One Financial | 131,300 | 4,691 | |||
Charles Schwab (A) | 192,948 | 3,695 | |||
Chimera Investment † | 11,500 | 44 | |||
Chubb | 96,300 | 4,854 | |||
Cincinnati Financial | 44,100 | 1,146 | |||
Citigroup | 1,069,900 | 5,178 | |||
CME Group | 36,350 | 11,203 | |||
Comerica | 35,700 | 1,059 | |||
Commerce Bancshares | 2,700 | 101 | |||
Credicorp | 15,900 | 1,236 | |||
Cullen/Frost Bankers | 1,900 | 98 | |||
Digital Realty Trust † | 1,300 | 59 | |||
Dime Community Bancshares (A) | 6,600 | 75 | |||
Discover Financial Services | 4,800 | 78 | |||
Duke Realty † (A) | 47,900 | 575 | |||
Endurance Specialty Holdings (A) | 56,400 | 2,057 | |||
Equity Residential † | 4,687 | 144 | |||
Erie Indemnity, Cl A | 1,400 | 52 | |||
Everest Re Group | 16,200 | 1,421 | |||
Federal Realty Investment Trust † (A) | 800 | 49 | |||
Federated Investors, Cl B (A) | 42,800 | 1,129 | |||
Fidelity National Financial, Cl A | 5,399 | 81 | |||
Fifth Third Bancorp | 13,100 | 133 | |||
First American (A) | 2,100 | 68 | |||
First Citizens BancShares, Cl A | 600 | 95 | |||
First Community Bancshares (A) | 2,000 | 25 | |||
First Horizon National * | 14,787 | 196 | |||
Flagstone Reinsurance Holdings | 5,500 | 62 | |||
Forest City Enterprises, Cl A (A) | 62,400 | 834 | |||
Franklin Resources (A) | 24,550 | 2,470 | |||
GFI Group | 22,100 | 160 | |||
Goldman Sachs Group | 97,875 | 18,043 | |||
Greenlight Capital Re * | 6,300 | 118 | |||
Hanover Insurance Group | 4,297 | 178 | |||
Description | Shares | Market Value ($ Thousands) | |||
Hartford Financial Services Group | 36,700 | $ | 973 | ||
HCC Insurance Holdings | 1,500 | 41 | |||
Health Care † (A) | 1,371 | 57 | |||
Highwoods Properties † | 750 | 24 | |||
Hospitality Properties Trust † (A) | 66,300 | 1,351 | |||
Host Hotels & Resorts † | 5,200 | 61 | |||
HRPT Properties Trust † | 145,600 | 1,095 | |||
Hudson City Bancorp | 102,800 | 1,352 | |||
Huntington Bancshares (A) | 119,900 | 565 | |||
IntercontinentalExchange * (A) | 59,691 | 5,801 | |||
Invesco | 12,600 | 287 | |||
Investment Technology Group * | 2,400 | 67 | |||
Jefferies Group (A) | 7,900 | 215 | |||
JPMorgan Chase | 628,321 | 27,533 | |||
Keycorp | 55,800 | 363 | |||
Kimco Realty † | 3,600 | 47 | |||
Legg Mason | 2,100 | 65 | |||
Liberty Property Trust † | 1,900 | 62 | |||
Lincoln National | 90,800 | 2,353 | |||
Loews | 3,100 | 106 | |||
M&T Bank (A) | 2,500 | 156 | |||
Macerich † (A) | 5,753 | 175 | |||
Mack-Cali Realty † | 2,700 | 87 | |||
Maiden Holdings | 5,700 | 41 | |||
Manulife Financial (B) | 1,565 | 33 | |||
Marsh & McLennan | 5,906 | 146 | |||
Marshall & Ilsley | 11,700 | 94 | |||
MBIA * (A) | 7,600 | 59 | |||
Mercury General | 1,700 | 62 | |||
MetLife | 35,300 | 1,344 | |||
MF Global * | 9,400 | 68 | |||
MFA Financial † | 18,700 | 149 | |||
Montpelier Re Holdings (A) | 20,300 | 331 | |||
Moody’s (A) | 39,238 | 803 | |||
Morgan Stanley | 232,230 | 7,171 | |||
MSCI, Cl A * | 10,100 | 299 | |||
Nationwide Health Properties † | 1,500 | 46 | |||
Nelnet, Cl A * | 3,200 | 40 | |||
New York Community Bancorp (A) | 82,200 | 939 | |||
Northern Trust | 16,730 | 973 | |||
NYSE Euronext | 146,300 | 4,227 | |||
Old Republic International (A) | 8,600 | 105 | |||
OneBeacon Insurance Group, Cl A | 8,000 | 110 | |||
optionsXpress Holdings | 11,100 | 192 | |||
PartnerRe | 4,200 | 323 | |||
People’s United Financial | 129,815 | 2,020 | |||
PHH * | 34,100 | 676 | |||
Piper Jaffray * | 366 | 17 | |||
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Platinum Underwriters Holdings | 35,800 | $ | 1,283 | ||
Plum Creek Timber † (A) | 2,090 | 64 | |||
PNC Financial Services Group | 47,200 | 2,293 | |||
Principal Financial Group | 45,800 | 1,254 | |||
Progressive (A) | 75,782 | 1,256 | |||
Prologis † (A) | 11,200 | 134 | |||
Protective Life | 16,000 | 343 | |||
Prudential Financial | 113,300 | 5,655 | |||
Public Storage † | 2,050 | 154 | |||
Ramco-Gershenson Properties † | 16,500 | 147 | |||
Raymond James Financial (A) | 2,025 | 47 | |||
Regency Centers † | 850 | 32 | |||
Regions Financial | 85,400 | 530 | |||
Reinsurance Group of America, Cl A | 20,200 | 901 | |||
RenaissanceRe Holdings | 800 | 44 | |||
Simon Property Group † | 8,001 | 555 | |||
SLM * | 7,400 | 65 | |||
StanCorp Financial Group | 20,300 | 820 | |||
State Street (A) | 77,800 | 4,092 | |||
Student Loan | 1,300 | 60 | |||
Sunstone Hotel Investors † (A) | 42,300 | 300 | |||
SunTrust Banks (A) | 27,800 | 627 | |||
SVB Financial Group * (A) | 1,550 | 67 | |||
T. Rowe Price Group (A) | 45,900 | 2,098 | |||
Taubman Centers † (A) | 49,400 | 1,782 | |||
TD Ameritrade Holding * | 7,650 | 150 | |||
Transatlantic Holdings | 2,400 | 120 | |||
Travelers (A) | 124,365 | 6,123 | |||
Trustco Bank NY (A) | 18,700 | 117 | |||
Unitrin | 4,900 | 96 | |||
Unum Group | 90,550 | 1,941 | |||
US Bancorp (A) | 161,665 | 3,534 | |||
Validus Holdings | 22,761 | 587 | |||
Ventas † | 3,400 | 131 | |||
Vornado Realty Trust † | 1,539 | 99 | |||
Waddell & Reed Financial, Cl A | 2,800 | 80 | |||
Walter Investment Management † | 876 | 14 | |||
Washington Federal (A) | 3,900 | 66 | |||
Weingarten Realty Investors † (A) | 4,600 | 92 | |||
Wells Fargo (A) | 661,514 | 18,642 | |||
White Mountains Insurance Group | 300 | 92 | |||
World Acceptance * (A) | 5,300 | 134 | |||
XL Capital, Cl A (A) | 12,400 | 217 | |||
| 254,893 | |||||
Health Care — 13.1% | |||||
Abbott Laboratories | 113,978 | 5,638 | |||
Abraxis Bioscience * | 3,600 | 131 | |||
Description | Shares | Market Value ($ Thousands) | |||
Aetna | 290,200 | $ | 8,076 | ||
Allergan | 205,608 | 11,670 | |||
American Dental Partners * | 2,200 | 31 | |||
American Medical Systems Holdings * | 20,600 | 349 | |||
AmerisourceBergen | 132,276 | 2,960 | |||
Amgen * | 167,963 | 10,116 | |||
Amylin Pharmaceuticals * (A) | 3,700 | 51 | |||
Baxter International | 134,390 | 7,662 | |||
Beckman Coulter | 600 | 41 | |||
Becton Dickinson | 24,110 | 1,682 | |||
Biogen Idec * | 55,178 | 2,788 | |||
Bio-Reference Labs * | 1,400 | 48 | |||
Boston Scientific * | 63,317 | 670 | |||
Bristol-Myers Squibb | 139,045 | 3,131 | |||
C.R. Bard | 23,830 | 1,873 | |||
Cantel Medical * | 5,400 | 81 | |||
Cardinal Health | 22,100 | 592 | |||
Celgene * (A) | 9,100 | 509 | |||
Cerner * (A) | 1,100 | 82 | |||
Charles River Laboratories International * | 1,600 | 59 | |||
Cigna | 3,540 | 99 | |||
Cooper | 2,100 | 62 | |||
Covance * | 1,100 | 60 | |||
Coventry Health Care * | 48,100 | 960 | |||
Covidien | 3,750 | 162 | |||
DaVita * | 1,425 | 81 | |||
Dendreon * (A) | 1,600 | 45 | |||
Dentsply International | 2,300 | 79 | |||
Edwards Lifesciences * | 700 | 49 | |||
Eli Lilly | 139,047 | 4,593 | |||
Endo Pharmaceuticals Holdings * (A) | 72,200 | 1,634 | |||
Enzon Pharmaceuticals * (A) | 16,000 | 132 | |||
ev3 * | 8,800 | 108 | |||
Express Scripts * | 71,494 | 5,547 | |||
Forest Laboratories * | 123,900 | 3,648 | |||
Genzyme * | 7,550 | 428 | |||
Gilead Sciences * | 255,540 | 11,903 | |||
Health Management Associates, Cl A * (A) | 9,200 | 69 | |||
Health Net * | 9,000 | 139 | |||
Henry Schein * | 1,000 | 55 | |||
HLTH * (A) | 4,042 | 59 | |||
Hologic * | 7,600 | 124 | |||
Hospira * | 17,800 | 794 | |||
Humana * | 25,679 | 958 | |||
ICU Medical * | 6,900 | 254 | |||
Idexx Laboratories * (A) | 1,300 | 65 | |||
Illumina * | 2,800 | 119 | |||
IMS Health | 3,300 | 51 | |||
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Intuitive Surgical * (A) | 6,650 | $ | 1,744 | ||
Invacare (A) | 9,500 | 212 | |||
Inverness Medical Innovations * | 1,700 | 66 | |||
Johnson & Johnson (A) | 327,252 | 19,926 | |||
Kinetic Concepts * | 34,900 | 1,291 | |||
King Pharmaceuticals * (A) | 62,950 | 678 | |||
Laboratory Corp of America Holdings * | 3,850 | 253 | |||
Life Technologies * | 4,591 | 214 | |||
Lincare Holdings * (A) | 35,200 | 1,100 | |||
McKesson | 2,326 | 139 | |||
Medco Health Solutions * | 151,886 | 8,401 | |||
Mednax * | 1,500 | 82 | |||
Medtronic | 125,376 | 4,614 | |||
Merck (A) | 327,933 | 10,373 | |||
Meridian Bioscience (A) | 14,200 | 355 | |||
Mettler Toledo International * | 10,250 | 929 | |||
Millipore * | 3,800 | 267 | |||
Mylan Laboratories * (A) | 7,475 | 120 | |||
Novo Nordisk ADR (A) | 80,600 | 5,074 | |||
Orthofix International * | 5,500 | 162 | |||
OSI Pharmaceuticals * | 1,100 | 39 | |||
Patterson * | 2,100 | 57 | |||
PerkinElmer | 5,950 | 114 | |||
Perrigo (A) | 12,100 | 411 | |||
Pfizer (A) | 772,268 | 12,781 | |||
Pharmaceutical Product Development | 5,200 | 114 | |||
Psychiatric Solutions * | 2,100 | 56 | |||
Quest Diagnostics | 29,804 | 1,555 | |||
Quidel * | 8,900 | 144 | |||
ResMed * | 9,000 | 407 | |||
Schering-Plough | 46,331 | 1,309 | |||
Sepracor * | 5,100 | 117 | |||
St. Jude Medical * | 143,160 | 5,585 | |||
STERIS | 8,800 | 268 | |||
Stryker | 45,100 | 2,049 | |||
Symmetry Medical * | 7,200 | 75 | |||
Techne | 800 | 50 | |||
Teva Pharmaceutical Industries ADR (A) | 71,235 | 3,602 | |||
Thermo Fisher Scientific * | 80,896 | 3,533 | |||
UnitedHealth Group | 523,676 | 13,113 | |||
Valeant Pharmaceuticals International * (A) | 27,900 | 783 | |||
Varian Medical Systems * | 2,900 | 122 | |||
VCA Antech * | 2,200 | 59 | |||
Vertex Pharmaceuticals * (A) | 2,700 | 102 | |||
Waters * | 1,600 | 89 | |||
Watson Pharmaceuticals * (A) | 4,400 | 161 | |||
WellPoint * | 108,444 | 5,136 | |||
Wyeth | 175,100 | 8,506 | |||
Zimmer Holdings * | 48,156 | 2,574 | |||
| 209,428 | |||||
Description | Shares | Market Value ($ Thousands) | |||
Industrials — 8.4% | |||||
3M | 43,600 | $ | 3,217 | ||
ABB ADR (A) | 41,890 | 839 | |||
Aecom Technology * | 1,500 | 41 | |||
AGCO * | 400 | 11 | |||
Alliant Techsystems * | 14,500 | 1,129 | |||
AMR * | 7,100 | 56 | |||
AO Smith | 6,300 | 240 | |||
Boeing (A) | 89,981 | 4,873 | |||
Burlington Northern Santa Fe | 44,830 | 3,579 | |||
C.H. Robinson Worldwide (A) | 24,302 | 1,403 | |||
Caterpillar (A) | 43,565 | 2,236 | |||
Cintas | 1,700 | 52 | |||
Colfax * | 10,800 | 115 | |||
Continental Airlines, Cl B * (A) | 7,650 | 126 | |||
Con-way | 3,100 | 119 | |||
Cooper Industries, Cl A | 18,700 | 703 | |||
Copart * | 1,600 | 53 | |||
Crane | 850 | 22 | |||
CSX | 44,462 | 1,861 | |||
Cummins | 61,055 | 2,736 | |||
Danaher | 57,424 | 3,866 | |||
Deere | 27,300 | 1,172 | |||
Delta Air Lines * | 8,100 | 72 | |||
Donaldson | 1,900 | 66 | |||
Dover | 29,400 | 1,140 | |||
Dun & Bradstreet | 800 | 60 | |||
DynCorp International, Cl A * | 6,900 | 124 | |||
Eaton | 1,979 | 112 | |||
Emerson Electric | 57,899 | 2,321 | |||
Equifax | 13,301 | 388 | |||
Expeditors International of Washington | 183,300 | 6,443 | |||
Fastenal (A) | 2,800 | 108 | |||
Federal Signal | 4,600 | 33 | |||
FedEx | 17,933 | 1,349 | |||
First Solar * (A) | 557 | 85 | |||
Flowserve | 2,004 | 197 | |||
Fluor (A) | 29,200 | 1,485 | |||
Foster Wheeler * | 2,100 | 67 | |||
FTI Consulting * (A) | 900 | 38 | |||
Gardner Denver * | 28,300 | 987 | |||
GATX (A) | 1,600 | 45 | |||
General Cable * (A) | 3,000 | 117 | |||
General Dynamics | 77,706 | 5,020 | |||
General Electric | 1,345,798 | 22,098 | |||
Goodrich | 30,350 | 1,649 | |||
Harsco | 38,100 | 1,349 | |||
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Honeywell International | 75,563 | $ | 2,807 | ||
IHS, Cl A * | 900 | 46 | |||
Illinois Tool Works | 11,529 | 492 | |||
Ingersoll-Rand | 3,300 | 101 | |||
Iron Mountain * (A) | 3,625 | 97 | |||
ITT | 15,900 | 829 | |||
Jacobs Engineering Group * | 3,140 | 144 | |||
John Bean Technologies | 216 | 4 | |||
Joy Global | 30,800 | 1,507 | |||
KBR | 54,800 | 1,276 | |||
Kennametal | 3,000 | 74 | |||
L-3 Communications Holdings | 38,500 | 3,092 | |||
Lockheed Martin | 20,870 | 1,630 | |||
Manpower | 800 | 45 | |||
McDermott International * | 34,300 | 867 | |||
Monster Worldwide * | 3,200 | 56 | |||
MSC Industrial Direct, Cl A (A) | 2,000 | 87 | |||
Norfolk Southern | 49,990 | 2,155 | |||
Northrop Grumman | 87,834 | 4,545 | |||
Oshkosh Truck (A) | 7,000 | 216 | |||
PACCAR (A) | 6,134 | 231 | |||
Pall | 2,322 | 75 | |||
Parker Hannifin | 43,775 | 2,269 | |||
Pentair | 2,400 | 71 | |||
Precision Castparts | 1,500 | 153 | |||
Quanta Services * | 76,900 | 1,702 | |||
Raytheon | 98,300 | 4,716 | |||
Republic Services | 7,345 | 195 | |||
Robert Half International | 1,300 | 33 | |||
Rockwell Automation | 3,000 | 128 | |||
Rockwell Collins | 3,450 | 175 | |||
Roper Industries | 1,900 | 97 | |||
RR Donnelley & Sons | 126,500 | 2,690 | |||
Shaw Group * | 1,550 | 50 | |||
Skywest | 821 | 14 | |||
Southwest Airlines | 20,700 | 199 | |||
SPX | 749 | 46 | |||
Stericycle * | 5,700 | 276 | |||
Tennant (A) | 1,400 | 41 | |||
Thomas & Betts * | 1,900 | 57 | |||
Toro (A) | 5,700 | 227 | |||
Trinity Industries (A) | 5,700 | 98 | |||
Tyco International | 80,100 | 2,762 | |||
Union Pacific | 65,680 | 3,832 | |||
United Parcel Service, Cl B | 151,385 | 8,549 | |||
United Technologies | 167,361 | 10,197 | |||
URS * | 1,700 | 74 | |||
Waste Management (A) | 23,218 | 692 | |||
WESCO International * | 2,000 | 58 | |||
WW Grainger (A) | 5,709 | 510 | |||
| 134,089 | |||||
Description | Shares | Market Value ($ Thousands) | |||
Information Technology — 20.6% | |||||
Accenture, Cl A | 46,475 | $ | 1,732 | ||
Acme Packet * | 8,200 | 82 | |||
Activision Blizzard * | 11,700 | 145 | |||
Adobe Systems * (A) | 258,357 | 8,536 | |||
Advent Software * (A) | 1,378 | 55 | |||
Affiliated Computer Services, Cl A * | 1,100 | 60 | |||
Agilent Technologies * | 4,050 | 113 | |||
Akamai Technologies * | 3,000 | 59 | |||
Altera | 2,400 | 49 | |||
Amdocs * | 33,600 | 903 | |||
Amphenol, Cl A | 2,800 | 106 | |||
Analog Devices | 51,345 | 1,416 | |||
Apple * | 173,213 | 32,109 | |||
Applied Materials | 25,700 | 344 | |||
Applied Micro Circuits * | 12,800 | 128 | |||
Arris Group * | 10,800 | 141 | |||
Arrow Electronics * | 5,000 | 141 | |||
ASML Holding, Cl G (A) | 52,215 | 1,544 | |||
Autodesk * | 72,109 | 1,716 | |||
Automatic Data Processing | 5,418 | 213 | |||
Avnet * | 7,500 | 195 | |||
BMC Software * | 15,948 | 599 | |||
Broadcom, Cl A * (A) | 209,555 | 6,431 | |||
Broadridge Financial Solutions | 3,000 | 60 | |||
CA | 192,097 | 4,224 | |||
Cadence Design Systems * (A) | 11,100 | 81 | |||
Ciena * (A) | 6,400 | 104 | |||
Cirrus Logic * | 7,300 | 41 | |||
Cisco Systems * | 978,837 | 23,042 | |||
Citrix Systems * | 4,750 | 186 | |||
Cognizant Technology Solutions, Cl A * | 4,456 | 172 | |||
Computer Sciences * | 43,000 | 2,267 | |||
Compuware * (A) | 40,600 | 298 | |||
Convergys * | 31,100 | 309 | |||
Corning | 65,310 | 1,000 | |||
Cree * (A) | 13,600 | 500 | |||
Cypress Semiconductor * (A) | 6,250 | 65 | |||
DealerTrack Holdings * | 10,200 | 193 | |||
Dell * (A) | 142,500 | 2,175 | |||
Diebold | 1,700 | 56 | |||
Dolby Laboratories, Cl A * (A) | 5,835 | 223 | |||
DST Systems * (A) | 3,850 | 172 | |||
DTS * | 2,500 | 68 | |||
eBay * | 254,334 | 6,005 | |||
Electronic Arts * (A) | 207,732 | 3,957 | |||
EMC * | 560,931 | 9,558 | |||
Equinix * (A) | 800 | 73 | |||
F5 Networks * | 1,800 | 71 | |||
Factset Research Systems (A) | 900 | 60 | |||
7 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Fidelity National Information Services (A) | 3,264 | $ | 83 | ||
Fiserv * | 21,842 | 1,053 | |||
Global Payments | 2,000 | 93 | |||
Google, Cl A * | 45,999 | 22,809 | |||
Harris | 30,100 | 1,132 | |||
Harris Stratex Networks, Cl A * | 7,477 | 52 | |||
Hewitt Associates, Cl A * | 1,500 | 55 | |||
Hewlett-Packard | 313,418 | 14,796 | |||
IAC * (A) | 3,695 | 75 | |||
infoGROUP | 5,400 | 38 | |||
Ingram Micro, Cl A * | 104,800 | 1,766 | |||
Intel | 555,731 | 10,876 | |||
Interactive Intelligence * | 3,700 | 71 | |||
International Business Machines | 130,453 | 15,604 | |||
International Rectifier * | 3,500 | 68 | |||
Intersil, Cl A | 4,000 | 61 | |||
Intuit * (A) | 223,631 | 6,374 | |||
j2 Global Communications * | 8,600 | 198 | |||
Juniper Networks * (A) | 29,446 | 796 | |||
Lam Research * (A) | 1,300 | 44 | |||
Lender Processing Services | 1,632 | 62 | |||
Lexmark International, Cl A * | 27,400 | 590 | |||
LSI Logic * (A) | 12,300 | 67 | |||
Marvell Technology Group * | 27,900 | 452 | |||
Mastercard, Cl A (A) | 43,990 | 8,893 | |||
McAfee * | 11,000 | 482 | |||
MEMC Electronic Materials * | 5,800 | 96 | |||
Mentor Graphics * (A) | 16,400 | 153 | |||
Metavante Technologies * | 2,700 | 93 | |||
Microchip Technology (A) | 2,350 | 62 | |||
Micron Technology * (A) | 11,200 | 92 | |||
Microsoft | 987,800 | 25,574 | |||
Motorola (A) | 44,800 | 385 | |||
National Semiconductor | 9,100 | 130 | |||
NCR * | 81,700 | 1,129 | |||
NetApp * (A) | 7,296 | 195 | |||
NeuStar, Cl A * | 28,600 | 646 | |||
Nokia ADR (A) | 135,800 | 1,985 | |||
Novatel Wireless * | 7,500 | 85 | |||
Novell * | 13,200 | 60 | |||
Nvidia * | 12,250 | 184 | |||
Oracle | 452,737 | 9,435 | |||
Paychex (A) | 55,400 | 1,609 | |||
Pegasystems | 4,300 | 149 | |||
Polycom * | 1,164 | 31 | |||
QLogic * (A) | 59,700 | 1,027 | |||
Qualcomm | 475,949 | 21,408 | |||
Rackspace Hosting * (A) | 96,100 | 1,639 | |||
Rambus * (A) | 5,000 | 87 | |||
Red Hat * | 13,800 | 381 | |||
Description | Shares | Market Value ($ Thousands) | |||
RightNow Technologies * | 9,000 | $ | 130 | ||
Rovi * | 23 | 1 | |||
Salesforce.com * | 1,500 | 85 | |||
SanDisk * | 8,400 | 182 | |||
Seagate Technology (A) | 245,100 | 3,728 | |||
Silicon Laboratories * (A) | 14,100 | 654 | |||
Sohu.com * | 1,000 | 69 | |||
Sun Microsystems * (A) | 10,600 | 96 | |||
Symantec * (A) | 425,614 | 7,010 | |||
Tech Data * | 41,200 | 1,714 | |||
Tellabs * | 11,600 | 80 | |||
Teradata * | 197,900 | 5,446 | |||
Teradyne * (A) | 9,800 | 91 | |||
Texas Instruments | 280,400 | 6,643 | |||
TIBCO Software * | 13,400 | 127 | |||
Total System Services | 3,100 | 50 | |||
Trimble Navigation * | 2,600 | 62 | |||
Tyco Electronics | 12,900 | 287 | |||
Verigy * | 863 | 10 | |||
VeriSign * (A) | 236,754 | 5,609 | |||
Visa, Cl A (A) | 186,117 | 12,863 | |||
Vishay Intertechnology * (A) | 81,300 | 642 | |||
VMware, Cl A * | 2,000 | 80 | |||
Western Digital * | 78,950 | 2,884 | |||
Western Union | 294,952 | 5,581 | |||
Xerox | 178,400 | 1,381 | |||
Xilinx (A) | 4,600 | 108 | |||
Yahoo! * | 483,515 | 8,611 | |||
Zebra Technologies, Cl A * | 2,400 | 62 | |||
| 329,288 | |||||
Materials — 3.4% | |||||
Air Products & Chemicals | 5,550 | 430 | |||
AK Steel Holding | 6,500 | 128 | |||
Alcoa (A) | 48,500 | 636 | |||
Allegheny Technologies | 1,800 | 63 | |||
Alpha Natural Resources * (A) | 2,600 | 92 | |||
AM Castle | 2,700 | 27 | |||
Ashland | 26,300 | 1,137 | |||
Ball | 18,200 | 895 | |||
Bemis | 2,400 | 62 | |||
BHP Billiton ADR (A) | 21,970 | 1,450 | |||
Celanese, Ser A | 12,800 | 320 | |||
CF Industries Holdings | 900 | 77 | |||
Commercial Metals | 4,600 | 82 | |||
Crown Holdings * | 2,200 | 60 | |||
Dow Chemical | 9,975 | 260 | |||
E.I. Du Pont de Nemours | 64,406 | 2,070 | |||
Eagle Materials (A) | 753 | 21 | |||
Eastman Chemical | 52,400 | 2,805 | |||
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Ecolab | 19,000 | $ | 878 | ||
FMC | 900 | 51 | |||
Freeport-McMoRan Copper & Gold, Cl B | 53,665 | 3,682 | |||
Greif, Cl A | 1,500 | 83 | |||
Hawkins (A) | 1,400 | 33 | |||
International Flavors & Fragrances | 1,400 | 53 | |||
International Paper | 3,800 | 85 | |||
Kaiser Aluminum | 5,100 | 186 | |||
Koppers Holdings | 5,000 | 148 | |||
Lubrizol | 38,200 | 2,730 | |||
Martin Marietta Materials | 550 | 51 | |||
MeadWestvaco | 8,400 | 187 | |||
Monsanto | 77,630 | 6,008 | |||
Mosaic | 8,400 | 404 | |||
Nalco Holding | 25,900 | 531 | |||
NewMarket | 4,400 | 409 | |||
Newmont Mining | 12,900 | 568 | |||
Nucor (A) | 45,400 | 2,134 | |||
OM Group * | 2,300 | 70 | |||
Owens-Illinois * | 23,150 | 854 | |||
Pactiv * | 45,032 | 1,173 | |||
Potash Corp of Saskatchewan (A) | 17,490 | 1,580 | |||
PPG Industries | 3,000 | 175 | |||
Praxair (A) | 131,725 | 10,761 | |||
Reliance Steel & Aluminum | 24,000 | 1,022 | |||
Rock-Tenn, Cl A | 19,300 | 909 | |||
Royal Gold | 900 | 41 | |||
RPM International | 1,500 | 28 | |||
Scotts Miracle-Gro, Cl A | 11,800 | 507 | |||
Sealed Air | 6,700 | 132 | |||
Sigma-Aldrich (A) | 2,200 | 119 | |||
Sonoco Products | 70,400 | 1,939 | |||
Southern Copper (A) | 91,111 | 2,796 | |||
Steel Dynamics | 4,900 | 75 | |||
Stepan | 1,500 | 90 | |||
Syngenta ADR | 72,600 | 3,336 | |||
Terra Industries | 1,900 | 66 | |||
United States Steel (A) | 1,568 | 70 | |||
Walter Energy | 4,100 | 246 | |||
Weyerhaeuser | 2,300 | 84 | |||
| 54,909 | |||||
Telecommunication Services — 3.6% | |||||
American Tower, Cl A * (A) | 133,484 | 4,859 | |||
AT&T | 902,446 | 24,375 | |||
Atlantic Telegraph- Network | 4,300 | 230 | |||
CenturyTel | 51,817 | 1,741 | |||
Crown Castle International * (A) | 330,752 | 10,372 | |||
iPCS * | 3,200 | 56 | |||
Leap Wireless International * (A) | 1,800 | 35 | |||
NII Holdings * | 50,400 | 1,511 | |||
NTELOS Holdings | 3,500 | 62 | |||
Description | Shares | Market Value ($ Thousands) | |||
Qwest Communications International (A) | 19,518 | $ | 74 | ||
SBA Communications, Cl A * (A) | 2,100 | 57 | |||
Sprint Nextel * | 203,200 | 803 | |||
Telephone & Data Systems, Cl L | 1,300 | 38 | |||
Telephone & Data Systems | 1,900 | 59 | |||
US Cellular * | 1,976 | 77 | |||
Verizon Communications | 440,259 | 13,327 | |||
Windstream (A) | 8,323 | 84 | |||
| 57,760 | |||||
Utilities — 3.7% | |||||
AES * | 724,750 | 10,741 | |||
AGL Resources | 21,300 | 751 | |||
Allegheny Energy | 4,200 | 112 | |||
Alliant Energy | 68,000 | 1,894 | |||
Ameren | 77,700 | 1,964 | |||
American Electric Power | 127,800 | 3,961 | |||
American Water Works | 19,500 | 389 | |||
Aqua America (A) | 3,633 | 64 | |||
Atmos Energy | 4,300 | 121 | |||
Calpine * | 6,300 | 72 | |||
Centerpoint Energy | 9,600 | 119 | |||
CMS Energy (A) | 85,000 | 1,139 | |||
Consolidated Edison | 1,200 | 49 | |||
Constellation Energy Group | 51,210 | 1,658 | |||
Dominion Resources (A) | 53,283 | 1,838 | |||
DPL (A) | 2,000 | 52 | |||
DTE Energy | 69,800 | 2,453 | |||
Duke Energy | 25,144 | 396 | |||
Dynegy, Cl A * | 6,800 | 17 | |||
Edison International | 101,200 | 3,398 | |||
Energen | 36,500 | 1,573 | |||
Entergy | 3,348 | 267 | |||
Equities (A) | 2,100 | 90 | |||
Exelon (A) | 63,076 | 3,130 | |||
FirstEnergy (A) | 39,000 | 1,783 | |||
FPL Group | 9,638 | 532 | |||
Great Plains Energy | 3,500 | 63 | |||
Hawaiian Electric Industries (A) | 7,900 | 143 | |||
Mirant * | 142,300 | 2,338 | |||
National Fuel Gas | 1,300 | 60 | |||
NiSource (A) | 76,500 | 1,063 | |||
NRG Energy * (A) | 31,000 | 874 | |||
NV Energy | 36,000 | 417 | |||
OGE Energy | 1,074 | 35 | |||
Pepco Holdings | 55,000 | 819 | |||
PG&E (A) | 36,050 | 1,460 | |||
Pinnacle West Capital | 25,300 | 830 | |||
PPL | 23,900 | 725 | |||
9 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Large Cap Fund
September 30, 2009
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Progress Energy | 2,400 | 94 | ||||
Public Service Enterprise Group | 86,100 | 2,707 | ||||
Questar | 3,500 | 131 | ||||
Sempra Energy | 107,147 | 5,337 | ||||
Southern | 8,564 | 271 | ||||
Southern Union | 112,500 | 2,339 | ||||
UGI | 13,200 | 331 | ||||
Wisconsin Energy | 1,000 | 45 | ||||
Xcel Energy | 8,453 | 163 | ||||
| 58,808 | ||||||
Total Common Stock | 1,564,120 | |||||
AFFILIATED PARTNERSHIP — 12.2% | ||||||
SEI Liquidity Fund, L.P., 0.400% (C) ** †† | 199,190,995 | 194,572 | ||||
Total Affiliated Partnership | 194,572 | |||||
CASH EQUIVALENT — 2.2% | ||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.1% ** †† | 35,023,835 | 35,024 | ||||
Total Cash Equivalent | 35,024 | |||||
U.S. TREASURY OBLIGATIONS — 0.3% | ||||||
U.S. Treasury Bills | ||||||
0.000%, 12/17/09 (D) (E) | $ | 100 | 100 | |||
0.147%, 12/03/09 (D) (E) | 4,500 | 4,500 | ||||
Total U.S. Treasury Obligations | 4,600 | |||||
Total Investments — 112.5% | $ | 1,798,316 | ||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | ||||
S&P 500 Index E-MINI | 3 | Dec-2009 | $ | 7 | |||
S&P Composite Index | 86 | Dec-2009 | 536 | ||||
S&P Mid 400 Index E-MINI | 38 | Dec-2009 | 81 | ||||
| $ | 624 | ||||||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $1,599,114 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Real Estate Investment Trust. |
| †† | Investment in Affiliated Security. |
| (A) | This security or a partial position of this security is on loan at September 30, 2009. The total market value of securities on loan at September 30, 2009 was $194,483 ($ Thousands). |
| (B) | 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. |
| (C) | This security was purchased with cash collateral received from securities on loan. The total market value of such securities as of September 30, 2009 was $194,572 ($ Thousands). |
| (D) | The rate reported is the effective yield at the time of purchase. |
| (E) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
Ser — Series
10 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Large Cap Diversified Alpha Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
COMMON STOCK — 77.8% | |||||
Consumer Discretionary — 7.5% | |||||
Advance Auto Parts | 6,300 | $ | 247 | ||
Aeropostale * | 700 | 30 | |||
Amazon.com * | 58,200 | 5,434 | |||
American Eagle Outfitters | 5,600 | 94 | |||
American Greetings, Cl A | 3,700 | 83 | |||
Apollo Group, Cl A * | 10,100 | 744 | |||
Autoliv | 15,900 | 534 | |||
Autonation * | 2,700 | 49 | |||
Autozone * | 4,783 | 699 | |||
Bed Bath & Beyond * | 3,000 | 113 | |||
Best Buy | 46,900 | 1,760 | |||
Big Lots * | 19,300 | 483 | |||
BorgWarner | 2,200 | 67 | |||
Brinker International | 4,000 | 63 | |||
Brink’s Home Security Holdings * | 1,400 | 43 | |||
Cablevision Systems, Cl A | 7,210 | 171 | |||
California Pizza Kitchen * | 3,600 | 56 | |||
Career Education * | 5,600 | 137 | |||
Carmax * | 7,400 | 155 | |||
Carmike Cinemas * | 1,400 | 14 | |||
Carnival | 2,100 | 70 | |||
Carter’s * | 2,300 | 61 | |||
CBS, Cl B | 2,200 | 26 | |||
Chico’s FAS * | 47,100 | 612 | |||
Chipotle Mexican Grill, Cl A * | 6,000 | 582 | |||
Coach | 47,600 | 1,567 | |||
Comcast, Cl A | 486,448 | 8,216 | |||
Core-Mark Holding * | 900 | 26 | |||
Darden Restaurants | 18,000 | 614 | |||
Dick’s Sporting Goods * | 6,500 | 146 | |||
DIRECTV Group * | 121,120 | 3,340 | |||
Discovery Communications, Cl C * | 1,500 | 39 | |||
DISH Network, Cl A * | 33,199 | 639 | |||
Dollar Tree * | 900 | 44 | |||
DR Horton | 4,100 | 47 | |||
DreamWorks Animation SKG, Cl A * | 900 | 32 | |||
Eastman Kodak | 268,700 | 1,285 | |||
Expedia * | 6,800 | 163 | |||
Family Dollar Stores | 6,800 | 180 | |||
Ford Motor * | 230,781 | 1,664 | |||
GameStop, Cl A * | 800 | 21 | |||
Gannett | 41,500 | 519 | |||
Gap | 81,800 | 1,751 | |||
Garmin | 16,700 | 630 | |||
Genuine Parts | 4,763 | 181 | |||
Goodyear Tire & Rubber * | 10,000 | 170 | |||
Grand Canyon Education * | 6,000 | 107 | |||
H&R Block | 11,500 | 211 | |||
Description | Shares | Market Value ($ Thousands) | |||
Hanesbrands * | 27,100 | $ | 580 | ||
Harley-Davidson | 300 | 7 | |||
Harman International Industries | 1,100 | 37 | |||
Hasbro | 9,900 | 275 | |||
Home Depot | 46,000 | 1,225 | |||
International Game Technology | 12,700 | 273 | |||
ITT Educational Services * | 1,400 | 155 | |||
J.C. Penney | 111,700 | 3,770 | |||
Jarden | 2,100 | 59 | |||
John Wiley & Sons, Cl A | 800 | 28 | |||
Johnson Controls | 51,009 | 1,304 | |||
JOS A Bank Clothiers * | 500 | 22 | |||
KB Home | 3,400 | 56 | |||
Kenneth Cole Productions, Cl A | 1,900 | 19 | |||
Kohl’s * | 5,256 | 300 | |||
Las Vegas Sands * | 2,300 | 39 | |||
Leggett & Platt | 36,900 | 716 | |||
Lennar, Cl A | 8,100 | 115 | |||
Liberty Global, Cl A * | 18,800 | 424 | |||
Liberty Media - Capital, Ser A * | 3,600 | 75 | |||
Liberty Media - Entertainment, Cl A * | 6,900 | 215 | |||
Liberty Media - Interactive, Cl A * | 2,300 | 25 | |||
Limited Brands | 5,400 | 92 | |||
Lowe’s | 86,700 | 1,815 | |||
Macy’s | 70,500 | 1,289 | |||
Marriott International, Cl A | 3,506 | 97 | |||
Marvel Entertainment * | 9,400 | 466 | |||
McDonald’s | 28,442 | 1,623 | |||
McGraw-Hill | 9,800 | 246 | |||
MDC Holdings | 1,400 | 49 | |||
Meredith | 800 | 24 | |||
MGM Mirage * | 9,000 | 108 | |||
NetFlix * | 500 | 23 | |||
Newell Rubbermaid | 1,800 | 28 | |||
News, Cl A | 8,500 | 102 | |||
Nike, Cl B | 52,624 | 3,405 | |||
Nordstrom | 2,100 | 64 | |||
Office Depot * | 17,800 | 118 | |||
Omnicom Group | 12,200 | 451 | |||
O’Reilly Automotive * | 7,000 | 253 | |||
Panera Bread, Cl A * | 300 | 17 | |||
Penn National Gaming * | 5,600 | 155 | |||
PetSmart | 28,400 | 618 | |||
Polo Ralph Lauren | 9,000 | 690 | |||
priceline.com * | 5,000 | 829 | |||
Pulte Homes | 5,527 | 61 | |||
RadioShack | 33,600 | 557 | |||
Regal Entertainment Group, Cl A | 3,700 | 46 | |||
Rent-A-Center * | 1,100 | 21 | |||
Ross Stores | 16,200 | 774 | |||
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Large Cap Diversified Alpha Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Royal Caribbean Cruises | 3,000 | $ | 72 | ||
Sally Beauty Holdings * | 11,400 | 81 | |||
Scientific Games, Cl A * | 2,100 | 33 | |||
Scripps Networks Interactive, Cl A | 800 | 30 | |||
Sears Holdings * | 35,500 | 2,318 | |||
Shaw Communications, Cl B | 13,300 | 240 | |||
Sherwin-Williams | 2,480 | 149 | |||
Signet Jewelers * | 1,100 | 29 | |||
Smith & Wesson Holding * | 29,700 | 155 | |||
Sonic Automotive, Cl A | 13,700 | 144 | |||
Stanley Works | 1,200 | 51 | |||
Staples | 164,300 | 3,815 | |||
Starbucks * | 11,201 | 231 | |||
Starwood Hotels & Resorts Worldwide | 800 | 26 | |||
Steven Madden * | 1,700 | 63 | |||
Strayer Education | 1,800 | 392 | |||
Sturm Ruger | 2,500 | 32 | |||
Target | 40,845 | 1,907 | |||
Tempur-Pedic International | 2,200 | 42 | |||
Texas Roadhouse, Cl A * | 8,200 | 87 | |||
Tim Hortons | 10,400 | 294 | |||
Time Warner | 196,656 | 5,660 | |||
Time Warner Cable, Cl A | 46,615 | 2,009 | |||
TJX | 34,400 | 1,278 | |||
Toll Brothers * | 1,800 | 35 | |||
TravelCenters of America LLC * | 1 | — | |||
TRW Automotive Holdings * | 12,600 | 211 | |||
Universal Technical Institute * | 2,000 | 39 | |||
VF | 2,918 | 211 | |||
Viacom, Cl B * | 7,900 | 222 | |||
Virgin Media | 13,200 | 184 | |||
Walt Disney | 59,010 | 1,620 | |||
Weight Watchers International | 42,000 | 1,152 | |||
Wendy’s, Cl A | 9,200 | 44 | |||
Whirlpool | 7,400 | 518 | |||
Williams-Sonoma | 6,300 | 127 | |||
WMS Industries * | 2,400 | 107 | |||
Wyndham Worldwide | 26,700 | 436 | |||
Wynn Resorts * | 1,400 | 99 | |||
Yum! Brands | 24,600 | 831 | |||
| 82,633 | |||||
Consumer Staples — 6.8% | |||||
Altria Group | 42,952 | 765 | |||
American Italian Pasta, Cl A * | 5,900 | 160 | |||
Archer-Daniels-Midland | 28,500 | 833 | |||
Avon Products | 22,000 | 747 | |||
Brown-Forman, Cl B | 4,975 | 240 | |||
Description | Shares | Market Value ($ Thousands) | |||
Bunge | 15,200 | $ | 952 | ||
Campbell Soup | 13,800 | 450 | |||
Casey’s General Stores | 11,500 | 361 | |||
Central European Distribution * | 1,600 | 53 | |||
Chiquita Brands International * | 15,500 | 251 | |||
Church & Dwight | 300 | 17 | |||
Clorox | 11,000 | 647 | |||
Coca-Cola | 47,005 | 2,524 | |||
Coca-Cola Enterprises | 59,600 | 1,276 | |||
Colgate-Palmolive | 9,512 | 725 | |||
ConAgra Foods | 85,900 | 1,862 | |||
Constellation Brands, Cl A * | 1,600 | 24 | |||
Corn Products International | 600 | 17 | |||
Costco Wholesale | 65,917 | 3,722 | |||
CVS Caremark | 109,488 | 3,913 | |||
Dean Foods * | 3,900 | 69 | |||
Del Monte Foods | 48,900 | 566 | |||
Dr Pepper Snapple Group * | 500 | 14 | |||
Energizer Holdings * | 900 | 60 | |||
Estee Lauder, Cl A | 600 | 22 | |||
General Mills | 18,900 | 1,217 | |||
Green Mountain Coffee Roasters * | 400 | 30 | |||
Hansen Natural * | 1,200 | 44 | |||
Herbalife | 29,100 | 953 | |||
Hershey | 14,200 | 552 | |||
HJ Heinz | 9,674 | 385 | |||
Hormel Foods | 3,500 | 124 | |||
JM Smucker | 4,700 | 249 | |||
Kellogg | 15,775 | 777 | |||
Kimberly-Clark | 18,835 | 1,111 | |||
Kraft Foods, Cl A | 37,739 | 991 | |||
Kroger | 83,121 | 1,716 | |||
Lancaster Colony | 1,800 | 92 | |||
Lorillard | 2,150 | 160 | |||
McCormick | 953 | 32 | |||
NBTY * | 800 | 32 | |||
Pepsi Bottling Group | 4,806 | 175 | |||
PepsiAmericas | 1,800 | 52 | |||
PepsiCo | 108,847 | 6,385 | |||
Philip Morris International | 88,009 | 4,290 | |||
Prestige Brands Holdings * | 5,200 | 36 | |||
Procter & Gamble | 199,249 | 11,540 | |||
Ralcorp Holdings * | 600 | 35 | |||
Reynolds American | 29,166 | 1,298 | |||
Safeway | 38,100 | 751 | |||
Sanderson Farms | 7,100 | 267 | |||
Sara Lee | 226,442 | 2,523 | |||
Smithfield Foods * | 5,200 | 72 | |||
SUPERVALU | 28,500 | 429 | |||
SYSCO | 174,266 | 4,331 | |||
Tyson Foods, Cl A | 210,373 | 2,657 | |||
Walgreen | 188,964 | 7,080 | |||
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Large Cap Diversified Alpha Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Wal-Mart Stores | 81,950 | $ | 4,023 | ||
Weis Markets | 1,000 | 32 | |||
Whole Foods Market * | 4,400 | 134 | |||
| 74,845 | |||||
Energy — 8.6% | |||||
Anadarko Petroleum | 6,800 | 427 | |||
Apache | 16,400 | 1,506 | |||
Arch Coal | 2,600 | 58 | |||
Atwood Oceanics * | 900 | 32 | |||
Baker Hughes | 330 | 14 | |||
BJ Services | 5,326 | 104 | |||
Cabot Oil & Gas | 3,900 | 139 | |||
Cameron International * | 1,176 | 45 | |||
Canadian Natural Resources | 31,700 | 2,130 | |||
Chesapeake Energy | 19,400 | 551 | |||
Chevron | 233,021 | 16,412 | |||
Concho Resources * | 3,783 | 137 | |||
ConocoPhillips | 166,279 | 7,509 | |||
Consol Energy | 2,300 | 104 | |||
Denbury Resources * | 8,700 | 132 | |||
Devon Energy | 13,400 | 902 | |||
Diamond Offshore Drilling | 5,300 | 506 | |||
Dresser-Rand Group * | 17,800 | 553 | |||
El Paso | 58,200 | 601 | |||
Encore Acquisition * | 3,000 | 112 | |||
EOG Resources | 31,700 | 2,647 | |||
EXCO Resources | 1,700 | 32 | |||
Exterran Holdings * | 1,000 | 24 | |||
Exxon Mobil | 394,987 | 27,100 | |||
FMC Technologies * | 4,400 | 230 | |||
Forest Oil * | 1,500 | 29 | |||
Frontier Oil | 8,900 | 124 | |||
Frontline | 900 | 21 | |||
Halliburton | 48,400 | 1,313 | |||
Harvest Natural Resources * | 4,200 | 22 | |||
Helix Energy Solutions Group * | 47,000 | 704 | |||
Hess | 845 | 45 | |||
Marathon Oil | 97,710 | 3,117 | |||
Massey Energy | 3,600 | 100 | |||
Murphy Oil | 32,399 | 1,865 | |||
Nabors Industries * | 500 | 10 | |||
National Oilwell Varco * | 87,534 | 3,775 | |||
Newfield Exploration * | 2,500 | 106 | |||
Noble Energy | 2,200 | 145 | |||
Occidental Petroleum | 95,407 | 7,480 | |||
Oceaneering International * | 2,100 | 119 | |||
Oil States International * | 13,500 | 474 | |||
Patterson-UTI Energy | 52,000 | 785 | |||
Peabody Energy | 2,800 | 104 | |||
PetroHawk Energy * | 5,800 | 140 | |||
Petroleo Brasileiro ADR | 26,100 | 1,198 | |||
Description | Shares | Market Value ($ Thousands) | |||
Pioneer Natural Resources | 1,100 | $ | 40 | ||
Plains Exploration & Production * | 900 | 25 | |||
Pride International * | 1,000 | 30 | |||
Quicksilver Resources * | 7,300 | 104 | |||
Range Resources | 21,700 | 1,071 | |||
Rowan | 18,600 | 429 | |||
SandRidge Energy * | 7,400 | 96 | |||
Schlumberger | 33,600 | 2,003 | |||
SEACOR Holdings * | 9,400 | 767 | |||
Seahawk Drilling * | 193 | 6 | |||
Smith International | 1,300 | 37 | |||
Southwestern Energy * | 2,600 | 111 | |||
Spectra Energy | 23,700 | 449 | |||
St. Mary Land & Exploration | 1,200 | 39 | |||
Sunoco | 18,400 | 524 | |||
Superior Energy Services * | 200 | 5 | |||
Tesoro | 4,500 | 67 | |||
Tidewater | 3,500 | 165 | |||
Transocean * | 30,600 | 2,617 | |||
Valero Energy | 1,600 | 31 | |||
Venoco * | 2,900 | 33 | |||
Western Refining * | 8,400 | 54 | |||
Whiting Petroleum * | 1,300 | 75 | |||
Williams | 59,800 | 1,069 | |||
XTO Energy | 37,391 | 1,545 | |||
| 95,075 | |||||
Financials — 12.8% | |||||
Affiliated Managers Group * | 1,600 | 104 | |||
Aflac | 113,316 | 4,843 | |||
Allied World Assurance Holdings | 10,900 | 522 | |||
Allstate | 102,760 | 3,146 | |||
AMB Property † | 1,500 | 34 | |||
American Express | 134,823 | 4,571 | |||
American Financial Group | 26,600 | 678 | |||
American International Group * | 1,600 | 71 | |||
AmeriCredit * | 7,100 | 112 | |||
Ameriprise Financial | 37,800 | 1,373 | |||
Annaly Capital Management † | 81,100 | 1,471 | |||
Anworth Mortgage Asset † | 12,500 | 99 | |||
AON | 786 | 32 | |||
Arch Capital Group * | 1,100 | 74 | |||
Argo Group International Holdings * | 4,800 | 162 | |||
Aspen Insurance Holdings | 7,100 | 188 | |||
Associated Banc-Corp | 8,100 | 93 | |||
Assurant | 16,974 | 544 | |||
Astoria Financial | 11,400 | 126 | |||
AvalonBay Communities † | 215 | 16 | |||
Axis Capital Holdings | 31,400 | 948 | |||
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Large Cap Diversified Alpha Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Bancorpsouth | 7,000 | $ | 171 | ||
Bank of America | 694,778 | 11,756 | |||
Bank of Hawaii | 2,080 | 86 | |||
Bank of New York Mellon | 195,744 | 5,675 | |||
BB&T | 7,539 | 205 | |||
BlackRock | 2,300 | 499 | |||
Boston Properties † | 600 | 39 | |||
Brandywine Realty Trust † | 38,000 | 420 | |||
Brookfield Asset Management, Cl A | 25,100 | 570 | |||
Brown & Brown | 8,300 | 159 | |||
Camden Property Trust † | 500 | 20 | |||
Capital One Financial | 79,200 | 2,830 | |||
CapitalSource | 5,500 | 24 | |||
CB Richard Ellis Group, Cl A * | 8,100 | 95 | |||
Charles Schwab | 106,579 | 2,041 | |||
Chimera Investment † | 40,500 | 155 | |||
Chubb | 50,718 | 2,557 | |||
Cincinnati Financial | 9,300 | 242 | |||
Citigroup | 638,048 | 3,088 | |||
City National | 2,800 | 109 | |||
CME Group | 10,650 | 3,282 | |||
CNA Financial | 14,600 | 352 | |||
Colonial Properties Trust † | 7,700 | 75 | |||
Comerica | 20,700 | 614 | |||
Commerce Bancshares | 3,890 | 145 | |||
Compass Diversified Holdings | 1,800 | 19 | |||
Corporate Office Properties Trust † | 600 | 22 | |||
Credicorp | 9,300 | 723 | |||
Cullen/Frost Bankers | 3,700 | 191 | |||
Digital Realty Trust † | 500 | 23 | |||
Dime Community Bancshares | 4,600 | 53 | |||
Discover Financial Services | 96,545 | 1,567 | |||
Duke Realty † | 3,700 | 44 | |||
Eaton Vance | 3,800 | 106 | |||
Endurance Specialty Holdings | 38,800 | 1,415 | |||
Equity Residential † | 700 | 21 | |||
Erie Indemnity, Cl A | 1,500 | 56 | |||
Everest Re Group | 1,500 | 132 | |||
Fairfax Financial Holdings | 400 | 148 | |||
Federal Realty Investment Trust † | 400 | 25 | |||
Federated Investors, Cl B | 24,000 | 633 | |||
Fidelity National Financial, Cl A | 300 | 5 | |||
Fifth Third Bancorp | 82,300 | 834 | |||
First American | 800 | 26 | |||
First Cash Financial Services * | 1,300 | 22 | |||
First Community Bancshares | 1,700 | 21 | |||
Description | Shares | Market Value ($ Thousands) | |||
First Horizon National * | 5,717 | $ | 76 | ||
Flagstone Reinsurance Holdings | 4,100 | 46 | |||
Forest City Enterprises, Cl A | 69,400 | 928 | |||
Fpic Insurance Group * | 700 | 23 | |||
Franklin Resources | 10,781 | 1,085 | |||
Fulton Financial | 800 | 6 | |||
Genworth Financial, Cl A | 5,600 | 67 | |||
GFI Group | 6,000 | 43 | |||
Goldman Sachs Group | 56,349 | 10,388 | |||
Greenhill | 1,300 | 116 | |||
Greenlight Capital Re * | 1,100 | 21 | |||
Hartford Financial Services Group | 33,803 | 896 | |||
HCC Insurance Holdings | 9,600 | 263 | |||
HCP † | 4,100 | 118 | |||
Health Care † | 700 | 29 | |||
Hospitality Properties Trust † | 20,887 | 425 | |||
Host Hotels & Resorts † | 8,000 | 94 | |||
HRPT Properties Trust † | 16,500 | 124 | |||
Hudson City Bancorp | 140,368 | 1,846 | |||
Huntington Bancshares | 113,300 | 534 | |||
IntercontinentalExchange * | 27,500 | 2,673 | |||
Invesco | 9,400 | 214 | |||
Jefferies Group | 8,000 | 218 | |||
Jones Lang LaSalle | 2,100 | 99 | |||
JPMorgan Chase | 317,311 | 13,904 | |||
Keycorp | 13,600 | 88 | |||
Lazard, Cl A | 3,600 | 149 | |||
Legg Mason | 1,000 | 31 | |||
Leucadia National | 600 | 15 | |||
Liberty Property Trust † | 2,700 | 88 | |||
Lincoln National | 5,600 | 145 | |||
Loews | 11,957 | 410 | |||
M&T Bank | 1,700 | 106 | |||
Mack-Cali Realty † | 100 | 3 | |||
Marsh & McLennan | 3,197 | 79 | |||
Marshall & Ilsley | 13,200 | 107 | |||
MetLife | 22,742 | 866 | |||
MFA Financial † | 22,900 | 182 | |||
Montpelier Re Holdings | 12,300 | 201 | |||
Moody’s | 38,600 | 790 | |||
Morgan Stanley | 56,062 | 1,731 | |||
MSCI, Cl A * | 800 | 24 | |||
NASDAQ OMX Group * | 4,300 | 90 | |||
Northern Trust | 49,818 | 2,897 | |||
NYSE Euronext | 91,100 | 2,632 | |||
Old Republic International | 4,500 | 55 | |||
OneBeacon Insurance Group, Cl A | 4,100 | 56 | |||
optionsXpress Holdings | 14,000 | 242 | |||
PartnerRe | 5,900 | 454 | |||
People’s United Financial | 11,000 | 171 | |||
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Large Cap Diversified Alpha Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
PHH * | 7,900 | $ | 157 | ||
Platinum Underwriters Holdings | 20,200 | 724 | |||
PNC Financial Services Group | 19,146 | 930 | |||
Principal Financial Group | 4,300 | 118 | |||
Progressive | 9,800 | 162 | |||
Protective Life | 3,400 | 73 | |||
Prudential Financial | 41,800 | 2,086 | |||
Public Storage † | 2,600 | 196 | |||
Ramco-Gershenson Properties † | 4,400 | 39 | |||
Raymond James Financial | 5,400 | 126 | |||
Realty Income † | 1,200 | 31 | |||
Regions Financial | 13,584 | 84 | |||
Reinsurance Group of America, Cl A | 10,500 | 468 | |||
RenaissanceRe Holdings | 2,500 | 137 | |||
Senior Housing Properties Trust † | 25,100 | 480 | |||
Simon Property Group † | 259 | 18 | |||
SL Green Realty † | 1,200 | 53 | |||
SLM * | 7,900 | 69 | |||
StanCorp Financial Group | 2,000 | 81 | |||
State Street | 51,700 | 2,719 | |||
SunTrust Banks | 1,300 | 29 | |||
T. Rowe Price Group | 93,381 | 4,268 | |||
Taubman Centers † | 18,900 | 682 | |||
TCF Financial | 10,700 | 140 | |||
TD Ameritrade Holding * | 25,600 | 502 | |||
TFS Financial | 4,500 | 53 | |||
Torchmark | 12,971 | 563 | |||
Transatlantic Holdings | 500 | 25 | |||
Travelers | 67,152 | 3,306 | |||
Trustco Bank NY | 12,100 | 76 | |||
United America Indemnity, Cl A * | 4,400 | 32 | |||
Unum Group | 45,300 | 971 | |||
US Bancorp | 173,739 | 3,798 | |||
Valley National Bancorp | 4,647 | 57 | |||
Ventas † | 600 | 23 | |||
Vornado Realty Trust † | 532 | 34 | |||
Waddell & Reed Financial, Cl A | 7,700 | 219 | |||
Webster Financial | 7,500 | 94 | |||
Wells Fargo | 343,555 | 9,681 | |||
White Mountains Insurance Group | 100 | 31 | |||
World Acceptance * | 2,700 | 68 | |||
WR Berkley | 7,000 | 177 | |||
XL Capital, Cl A | 45,900 | 801 | |||
Zions Bancorporation | 6,400 | 115 | |||
| 140,846 | |||||
Health Care — 9.7% | |||||
Abbott Laboratories | 67,875 | 3,358 | |||
Aetna | 159,600 | 4,442 | |||
Alexion Pharmaceuticals * | 300 | 13 | |||
Description | Shares | Market Value ($ Thousands) | |||
Allergan | 80,300 | $ | 4,558 | ||
Allscripts Healthcare Solutions | 1,600 | 32 | |||
American Medical Systems Holdings * | 9,500 | 161 | |||
AmerisourceBergen | 202,422 | 4,530 | |||
Amgen * | 134,188 | 8,082 | |||
Amylin Pharmaceuticals * | 2,400 | 33 | |||
Baxter International | 36,989 | 2,109 | |||
Becton Dickinson | 14,286 | 997 | |||
Biogen Idec * | 40,203 | 2,031 | |||
Boston Scientific * | 8,900 | 94 | |||
Bristol-Myers Squibb | 150,167 | 3,382 | |||
C.R. Bard | 2,700 | 212 | |||
Cantel Medical * | 3,400 | 51 | |||
Cardinal Health | 17,500 | 469 | |||
CareFusion * | 19,600 | 427 | |||
Celgene * | 3,206 | 179 | |||
Cephalon * | 1,200 | 70 | |||
Cerner * | 1,200 | 90 | |||
Cigna | 2,891 | 81 | |||
Coventry Health Care * | 3,700 | 74 | |||
DaVita * | 2,300 | 130 | |||
Dendreon * | 4,500 | 126 | |||
Dentsply International | 1,200 | 41 | |||
Edwards Lifesciences * | 4,000 | 280 | |||
Eli Lilly | 77,389 | 2,556 | |||
Endo Pharmaceuticals Holdings * | 29,600 | 670 | |||
Enzon Pharmaceuticals * | 12,300 | 102 | |||
Express Scripts * | 1,100 | 85 | |||
Forest Laboratories * | 59,500 | 1,752 | |||
Gen-Probe * | 300 | 12 | |||
Genzyme * | 800 | 45 | |||
Gilead Sciences * | 111,100 | 5,175 | |||
Health Management Associates, Cl A * | 4,300 | 32 | |||
Health Net * | 31,800 | 490 | |||
HLTH * | 4,500 | 66 | |||
Hologic * | 4,500 | 74 | |||
Hospira * | 7,800 | 348 | |||
Humana * | 16,818 | 627 | |||
ICU Medical * | 2,500 | 92 | |||
Illumina * | 600 | 25 | |||
IMS Health | 5,600 | 86 | |||
Intuitive Surgical * | 1,600 | 420 | |||
Inverness Medical Innovations * | 1,700 | 66 | |||
Isis Pharmaceuticals * | 6,600 | 96 | |||
Johnson & Johnson | 175,343 | 10,677 | |||
King Pharmaceuticals * | 39,700 | 427 | |||
Laboratory Corp of America Holdings * | 3,945 | 259 | |||
LifePoint Hospitals * | 2,900 | 79 | |||
Lincare Holdings * | 30,000 | 938 | |||
McKesson | 41,517 | 2,472 | |||
Medco Health Solutions * | 68,328 | 3,779 | |||
Medtronic | 55,292 | 2,035 | |||
Merck | 66,336 | 2,098 | |||
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Large Cap Diversified Alpha Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Meridian Bioscience | 3,600 | $ | 90 | ||
Mettler Toledo International * | 4,700 | 426 | |||
Millipore * | 500 | 35 | |||
Mylan Laboratories * | 46,400 | 743 | |||
Myriad Genetics * | 100 | 3 | |||
Novo Nordisk ADR | 37,500 | 2,360 | |||
Omnicare | 2,300 | 52 | |||
Perrigo | 9,200 | 313 | |||
Pfizer | 588,646 | 9,742 | |||
Psychiatric Solutions * | 1,000 | 27 | |||
Quest Diagnostics | 19,200 | 1,002 | |||
Quidel * | 6,700 | 109 | |||
ResMed * | 1,400 | 63 | |||
Schering-Plough | 45,169 | 1,276 | |||
Sepracor * | 1,400 | 32 | |||
St. Jude Medical * | 38,300 | 1,494 | |||
Stryker | 28,596 | 1,299 | |||
Teva Pharmaceutical Industries ADR | 21,400 | 1,082 | |||
Thermo Fisher Scientific * | 7,112 | 311 | |||
United Therapeutics * | 200 | 10 | |||
UnitedHealth Group | 285,200 | 7,141 | |||
Valeant Pharmaceuticals International * | 13,400 | 376 | |||
Varian Medical Systems * | 900 | 38 | |||
VCA Antech * | 800 | 22 | |||
Vertex Pharmaceuticals * | 2,500 | 95 | |||
Watson Pharmaceuticals * | 2,300 | 84 | |||
WellPoint * | 50,700 | 2,401 | |||
Wyeth | 59,030 | 2,868 | |||
Zimmer Holdings * | 29,398 | 1,571 | |||
| 106,700 | |||||
Industrials — 7.5% | |||||
3M | 17,345 | 1,280 | |||
Aecom Technology * | 6,500 | 176 | |||
AGCO * | 74,128 | 2,048 | |||
Alliant Techsystems * | 5,300 | 413 | |||
Ampco-Pittsburgh | 1,000 | 27 | |||
AO Smith | 4,600 | 175 | |||
BE Aerospace * | 4,000 | 80 | |||
Boeing | 32,309 | 1,749 | |||
Bucyrus International, Cl A | 1,000 | 36 | |||
Burlington Northern Santa Fe | 14,200 | 1,134 | |||
C.H. Robinson Worldwide | 12,283 | 709 | |||
Carlisle | 3,500 | 119 | |||
Caterpillar | 29,100 | 1,494 | |||
Cintas | 4,100 | 124 | |||
Continental Airlines, Cl B * | 900 | �� | 15 | ||
Con-way | 2,300 | 88 | |||
Cooper Industries, Cl A | 10,900 | 409 | |||
Description | Shares | Market Value ($ Thousands) | |||
CSX | 23,442 | $ | 981 | ||
Cummins | 46,400 | 2,079 | |||
Danaher | 17,245 | 1,161 | |||
Deere | 11,900 | 511 | |||
Dover | 19,400 | 752 | |||
Dun & Bradstreet | 1,674 | 126 | |||
EMCOR Group * | 16,300 | 413 | |||
Emerson Electric | 33,700 | 1,351 | |||
Equifax | 18,100 | 527 | |||
Expeditors International of Washington | 82,200 | 2,889 | |||
Fastenal | 3,500 | 135 | |||
FedEx | 6,100 | 459 | |||
First Solar * | 700 | 107 | |||
Flowserve | 600 | 59 | |||
Fluor | 68,607 | 3,489 | |||
Foster Wheeler * | 14,200 | 453 | |||
Gardner Denver * | 21,300 | 743 | |||
General Cable * | 3,900 | 153 | |||
General Dynamics | 63,174 | 4,081 | |||
General Electric | 664,444 | 10,910 | |||
Goodrich | 19,800 | 1,076 | |||
Harsco | 12,162 | 431 | |||
Hertz Global Holdings * | 9,000 | 97 | |||
Honeywell International | 30,621 | 1,138 | |||
Hubbell, Cl B | 1,400 | 59 | |||
IDEX | 900 | 25 | |||
Illinois Tool Works | 17,365 | 742 | |||
ITT | 17,318 | 903 | |||
Jacobs Engineering Group * | 1,900 | 87 | |||
JB Hunt Transport Services | 700 | 23 | |||
Joy Global | 37,100 | 1,816 | |||
KBR | 91,593 | 2,133 | |||
Kennametal | 1,600 | 39 | |||
L-3 Communications Holdings | 17,900 | 1,438 | |||
Lennox International | 600 | 22 | |||
Lincoln Electric Holdings | 100 | 5 | |||
Lockheed Martin | 56,693 | 4,427 | |||
Manpower | 2,100 | 119 | |||
Masco | 1,600 | 20 | |||
McDermott International * | 20,100 | 508 | |||
Monster Worldwide * | 3,700 | 65 | |||
Multi-Color | 1,900 | 29 | |||
Navistar International * | 600 | 22 | |||
Norfolk Southern | 5,400 | 233 | |||
Northrop Grumman | 54,206 | 2,805 | |||
Oshkosh Truck | 2,200 | 68 | |||
Parker Hannifin | 21,900 | 1,135 | |||
Pentair | 2,100 | 62 | |||
Pitney Bowes | 2,000 | 50 | |||
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Large Cap Diversified Alpha Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Precision Castparts | 580 | $ | 59 | ||
Quanta Services * | 44,600 | 987 | |||
Raytheon | 41,900 | 2,010 | |||
Republic Services | 1,335 | 36 | |||
Robert Half International | 600 | 15 | |||
Rockwell Automation | 1,900 | 81 | |||
Rockwell Collins | 3,200 | 162 | |||
Roper Industries | 900 | 46 | |||
RR Donnelley & Sons | 47,000 | 999 | |||
Shaw Group * | 2,800 | 90 | |||
Southwest Airlines | 134,783 | 1,294 | |||
Spirit Aerosystems Holdings, Cl A * | 2,900 | 52 | |||
SPX | 7,500 | 459 | |||
Stericycle * | 2,470 | 120 | |||
SunPower, Cl A * | 500 | 15 | |||
Teleflex | 800 | 39 | |||
Tennant | 1,400 | 41 | |||
Terex * | 4,300 | 89 | |||
Textron | 2,300 | 44 | |||
Thomas & Betts * | 17,900 | 538 | |||
Toro | 7,200 | 286 | |||
TransDigm Group * | 1,900 | 95 | |||
Tyco International | 36,300 | 1,251 | |||
Union Pacific | 48,378 | 2,823 | |||
United Parcel Service, Cl B | 75,359 | 4,256 | |||
United Technologies | 67,604 | 4,119 | |||
URS * | 8,700 | 380 | |||
UTI Worldwide | 2,000 | 29 | |||
Waste Connections * | 800 | 23 | |||
Waste Management | 22,193 | 662 | |||
Waste Services * | 2,000 | 9 | |||
Watson Wyatt Worldwide, Cl A | 2,500 | 109 | |||
WW Grainger | 8,232 | 736 | |||
| 82,986 | |||||
Information Technology — 16.1% | |||||
Accenture, Cl A | 44,600 | 1,662 | |||
Acme Packet * | 7,300 | 73 | |||
Adobe Systems * | 142,600 | 4,712 | |||
Advanced Micro Devices * | 17,100 | 97 | |||
Affiliated Computer Services, Cl A * | 4,100 | 222 | |||
Akamai Technologies * | 7,600 | 150 | |||
Alliance Data Systems * | 3,000 | 183 | |||
Altera | 10,300 | 211 | |||
Amdocs * | 17,900 | 481 | |||
Analog Devices | 43,900 | 1,211 | |||
Apple * | 66,898 | 12,401 | |||
Applied Micro Circuits * | 7,900 | 79 | |||
Arris Group * | 3,900 | 51 | |||
ASML Holding, Cl G | 43,500 | 1,286 | |||
Autodesk * | 33,700 | 802 | |||
Automatic Data Processing | 12,701 | 499 | |||
Description | Shares | Market Value ($ Thousands) | |||
Avnet * | 19,100 | $ | 496 | ||
BMC Software * | 12,600 | 473 | |||
Brightpoint * | 5,400 | 47 | |||
Broadcom, Cl A * | 58,100 | 1,783 | |||
Broadridge Financial Solutions | 8,200 | 165 | |||
CA | 106,300 | 2,338 | |||
Cadence Design Systems * | 12,200 | 90 | |||
Ciena * | 2,100 | 34 | |||
Cirrus Logic * | 6,500 | 36 | |||
Cisco Systems * | 433,098 | 10,195 | |||
Citrix Systems * | 1,300 | 51 | |||
Cognizant Technology Solutions, Cl A * | 3,100 | 120 | |||
CommScope * | 1,100 | 33 | |||
Computer Sciences * | 47,879 | 2,524 | |||
Convergys * | 4,400 | 44 | |||
Corning | 215,391 | 3,298 | |||
Cree * | 8,100 | 298 | |||
CTS | 1,600 | 15 | |||
Cypress Semiconductor * | 12,100 | 125 | |||
DealerTrack Holdings * | 6,600 | 125 | |||
Dell * | 22,800 | 348 | |||
Diebold | 15,500 | 511 | |||
Dolby Laboratories, Cl A * | 5,600 | 214 | |||
Earthlink | 3,400 | 29 | |||
eBay * | 237,669 | 5,611 | |||
Electronic Arts * | 104,323 | 1,987 | |||
EMC * | 312,200 | 5,320 | |||
Equinix * | 800 | 74 | |||
F5 Networks * | 3,200 | 127 | |||
Factset Research Systems | 1,000 | 66 | |||
Fidelity National Information Services | 5,246 | 134 | |||
Fiserv * | 8,800 | 424 | |||
Flextronics International * | 94,200 | 703 | |||
Global Payments | 600 | 28 | |||
Google, Cl A * | 22,775 | 11,293 | |||
Harris | 12,300 | 463 | |||
Hewitt Associates, Cl A * | 16,800 | 612 | |||
Hewlett-Packard | 214,623 | 10,132 | |||
IAC * | 8,000 | 161 | |||
Ingram Micro, Cl A * | 109,258 | 1,841 | |||
Intel | 476,032 | 9,316 | |||
Interactive Intelligence * | 2,100 | 40 | |||
International Business Machines | 89,977 | 10,762 | |||
International Rectifier * | 1,400 | 27 | |||
Intuit * | 102,900 | 2,933 | |||
Iron Mountain * | 4,300 | 114 | |||
Itron * | 500 | 32 | |||
j2 Global Communications * | 1,700 | 39 | |||
Jabil Circuit | 4,100 | 55 | |||
JDS Uniphase * | 16,500 | 117 | |||
Juniper Networks * | 3,600 | 97 | |||
Kla-Tencor | 800 | 29 | |||
7 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Large Cap Diversified Alpha Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Lam Research * | 2,700 | $ | 92 | ||
Linear Technology | 8,000 | 221 | |||
Loral Space & Communications * | 500 | 14 | |||
Marvell Technology Group * | 12,500 | 202 | |||
Mastercard, Cl A | 14,700 | 2,971 | |||
Maxim Integrated Products | 2,200 | 40 | |||
McAfee * | 7,100 | 311 | |||
MEMC Electronic Materials * | 5,500 | 91 | |||
Metavante Technologies * | 5,100 | 176 | |||
Microchip Technology | 2,100 | 56 | |||
Micron Technology * | 11,200 | 92 | |||
Micros Systems * | 1,900 | 57 | |||
Microsoft | 514,026 | 13,308 | |||
Molex | 3,900 | 82 | |||
Motorola | 56,604 | 486 | |||
National Instruments | 1,100 | 30 | |||
National Semiconductor | 2,000 | 28 | |||
NetApp * | 4,100 | 109 | |||
NeuStar, Cl A * | 2,300 | 52 | |||
Nokia ADR | 73,000 | 1,067 | |||
Novatel Wireless * | 17,000 | 193 | |||
Novellus Systems * | 4,900 | 103 | |||
Nuance Communications * | 1,900 | 28 | |||
NVE * | 300 | 16 | |||
Nvidia * | 9,100 | 137 | |||
ON Semiconductor * | 4,600 | 38 | |||
Oplink Communications * | 900 | 13 | |||
Oracle | 163,208 | 3,401 | |||
Paychex | 32,900 | 956 | |||
Pegasystems | 1,300 | 45 | |||
Qualcomm | 167,100 | 7,516 | |||
Quest Software * | 1,500 | 25 | |||
Rackspace Hosting * | 49,700 | 848 | |||
Rambus * | 2,100 | 37 | |||
Red Hat * | 5,500 | 152 | |||
RightNow Technologies * | 7,600 | 110 | |||
Rovi * | 1,800 | 61 | |||
SAIC * | 32,800 | 575 | |||
Salesforce.com * | 500 | 28 | |||
SanDisk * | 3,600 | 78 | |||
Seagate Technology | 101,500 | 1,544 | |||
Semtech * | 900 | 15 | |||
Silicon Laboratories * | 3,200 | 148 | |||
Sohu.com * | 400 | 27 | |||
Sun Microsystems * | 23,507 | 214 | |||
Sybase * | 2,700 | 105 | |||
Symantec * | 173,756 | 2,862 | |||
Synopsys * | 22,300 | 500 | |||
Tech Data * | 43,836 | 1,824 | |||
Tellabs * | 10,100 | 70 | |||
Teradata * | 81,500 | 2,243 | |||
Teradyne * | 7,000 | 65 | |||
Texas Instruments | 240,077 | 5,687 | |||
THQ * | 3,600 | 25 | |||
Description | Shares | Market Value ($ Thousands) | |||
Total System Services | 6,900 | $ | 111 | ||
Trimble Navigation * | 2,300 | 55 | |||
Varian Semiconductor Equipment Associates * | 900 | 30 | |||
VeriSign * | 99,000 | 2,345 | |||
Visa, Cl A | 101,992 | 7,049 | |||
VMware, Cl A * | 2,100 | 84 | |||
Volterra Semiconductor * | 4,400 | 81 | |||
Western Digital * | 38,600 | 1,410 | |||
Western Union | 41,900 | 793 | |||
Xerox | 81,400 | 630 | |||
Xilinx | 8,000 | 187 | |||
Yahoo! * | 309,600 | 5,514 | |||
| 177,512 | |||||
Materials — 2.5% | |||||
Air Products & Chemicals | 600 | 46 | |||
Airgas | 200 | 10 | |||
AK Steel Holding | 600 | 12 | |||
Albemarle | 2,400 | 83 | |||
Allegheny Technologies | 4,600 | 161 | |||
Alpha Natural Resources * | 4,292 | 150 | |||
Ashland | 11,100 | 480 | |||
Ball | 12,500 | 615 | |||
Bemis | 56,492 | 1,464 | |||
BHP Billiton ADR | 17,300 | 1,142 | |||
Brush Engineered Materials * | 900 | 22 | |||
Cabot | 5,587 | 129 | |||
Celanese, Ser A | 5,300 | 132 | |||
CF Industries Holdings | 518 | 45 | |||
Cliffs Natural Resources | 1,701 | 55 | |||
Commercial Metals | 4,900 | 88 | |||
Crown Holdings * | 4,500 | 122 | |||
E.I. Du Pont de Nemours | 1,600 | 51 | |||
Eagle Materials | 1,900 | 54 | |||
Eastman Chemical | 13,500 | 723 | |||
Ecolab | 47,802 | 2,210 | |||
FMC | 1,000 | 56 | |||
Freeport-McMoRan Copper & Gold, Cl B | 36,100 | 2,477 | |||
Greif, Cl A | 500 | 28 | |||
Hawkins | 1,100 | 26 | |||
Huntsman | 3,400 | 31 | |||
International Flavors & Fragrances | 1,400 | 53 | |||
International Paper | 25,600 | 569 | |||
Intrepid Potash * | 3,000 | 71 | |||
Koppers Holdings | 900 | 27 | |||
Lubrizol | 17,700 | 1,265 | |||
Martin Marietta Materials | 300 | 28 | |||
Monsanto | 21,112 | 1,634 | |||
Mosaic | 800 | 38 | |||
NewMarket | 2,900 | 270 | |||
Newmont Mining | 4,600 | 202 | |||
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Large Cap Diversified Alpha Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Nucor | 29,500 | $ | 1,387 | ||
Owens-Illinois * | 1,400 | 52 | |||
Packaging Corp of America | 1,300 | 27 | |||
Pactiv * | 25,201 | 656 | |||
Potash Corp of Saskatchewan | 14,800 | 1,337 | |||
PPG Industries | 4,500 | 262 | |||
Praxair | 50,115 | 4,094 | |||
Reliance Steel & Aluminum | 500 | 21 | |||
Rock-Tenn, Cl A | 8,600 | 405 | |||
Schnitzer Steel Industries, Cl A | 1,400 | 75 | |||
Scotts Miracle-Gro, Cl A | 7,700 | 331 | |||
Sealed Air | 2,100 | 41 | |||
Sigma-Aldrich | 700 | 38 | |||
Sonoco Products | 35,766 | 985 | |||
Southern Copper | 45,700 | 1,402 | |||
Steel Dynamics | 2,100 | 32 | |||
Stepan | 600 | 36 | |||
Syngenta ADR | 36,800 | 1,691 | |||
Temple-Inland | 3,600 | 59 | |||
Terra Industries | 1,716 | 59 | |||
Valspar | 5,200 | 143 | |||
Vulcan Materials | 700 | 38 | |||
Walter Energy | 2,300 | 138 | |||
Weyerhaeuser | 700 | 26 | |||
| 27,904 | |||||
Telecommunication Services — 2.8% | |||||
American Tower, Cl A * | 43,500 | 1,583 | |||
AT&T | 574,037 | 15,505 | |||
Atlantic Telegraph-Network | 1,700 | 91 | |||
CenturyTel | 23,701 | 796 | |||
Crown Castle International * | 85,800 | 2,691 | |||
Frontier Communications | 11,411 | 86 | |||
iPCS * | 2,300 | 40 | |||
Leap Wireless International * | 3,400 | 66 | |||
MetroPCS Communications * | 8,900 | 83 | |||
NII Holdings * | 28,456 | 853 | |||
NTELOS Holdings | 7,600 | 134 | |||
Qwest Communications International | 32,800 | 125 | |||
SBA Communications, Cl A * | 2,500 | 68 | |||
Sprint Nextel * | 177,439 | 701 | |||
Telephone & Data Systems | 15,800 | 490 | |||
USA Mobility | 1,600 | 21 | |||
Verizon Communications | 247,745 | 7,499 | |||
Windstream | 3,052 | 31 | |||
| 30,863 | |||||
Utilities — 3.5% | |||||
AES * | 503,701 | 7,465 | |||
AGL Resources | 5,300 | 187 | |||
Alliant Energy | 13,400 | 373 | |||
Ameren | 2,600 | 66 | |||
American Electric Power | 16,400 | 508 | |||
Description | Shares | Market Value ($ Thousands) | |||
American Water Works | 10,700 | $ | 214 | ||
Aqua America | 4,700 | 83 | |||
Atmos Energy | 22,100 | 623 | |||
Calpine * | 12,300 | 142 | |||
CMS Energy | 14,000 | 188 | |||
Consolidated Edison | 13,400 | 548 | |||
Constellation Energy Group | 22,800 | 738 | |||
Dominion Resources | 44,694 | 1,542 | |||
DPL | 5,500 | 144 | |||
DTE Energy | 25,500 | 896 | |||
Duke Energy | 7,300 | 115 | |||
Edison International | 57,100 | 1,917 | |||
Energen | 18,700 | 806 | |||
Entergy | 600 | 48 | |||
Equities | 5,800 | 247 | |||
Exelon | 53,974 | 2,678 | |||
FirstEnergy | 22,065 | 1,009 | |||
FPL Group | 9,300 | 514 | |||
Hawaiian Electric Industries | 12,100 | 219 | |||
Integrys Energy Group | 500 | 18 | |||
ITC Holdings | 1,000 | 45 | |||
MDU Resources Group | 600 | 12 | |||
Mirant * | 63,400 | 1,041 | |||
NiSource | 35,400 | 492 | |||
Northeast Utilities | 8,200 | 195 | |||
NRG Energy * | 100,172 | 2,824 | |||
NSTAR | 9,800 | 312 | |||
NV Energy | 87,100 | 1,009 | |||
OGE Energy | 17,500 | 579 | |||
Oneok | 600 | 22 | |||
PG&E | 8,136 | 329 | |||
Pinnacle West Capital | 9,100 | 299 | |||
PPL | 101,577 | 3,082 | |||
Progress Energy | 6,500 | 254 | |||
Public Service Enterprise Group | 80,402 | 2,528 | |||
Questar | 1,400 | 53 | |||
SCANA | 5,900 | 206 | |||
Sempra Energy | 47,892 | 2,385 | |||
Southern | 9,727 | 308 | |||
Southern Union | 23,000 | 478 | |||
TECO Energy | 2,600 | 37 | |||
| Shares/Face Amount ($ Thousands) | |||||
UGI | 8,000 | $ | 200 | ||
Vectren | 600 | 14 | |||
Westar Energy | 6,100 | 119 | |||
Wisconsin Energy | 4,100 | 185 | |||
Xcel Energy | 17,971 | 347 | |||
| 38,643 | |||||
Total Common Stock | 858,007 | ||||
9 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Large Cap Diversified Alpha Fund
September 30, 2009
CASH EQUIVALENT — 20.3% | ||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110% ** †† | 223,317,662 | 223,318 | ||||
Total Cash Equivalent | 223,318 | |||||
U.S. TREASURY OBLIGATIONS — 1.9% | ||||||
U.S. Treasury Bills | ||||||
0.164%, 12/03/09 (A) (B) | $ | 6,307 | 6,306 | |||
0.055%, 01/07/10 (A) (B) | 14,500 | 14,496 | ||||
Total U.S. Treasury Obligations | 20,802 | |||||
Total Investments — 100.0% | $ | 1,102,127 | ||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration | Unrealized Appreciation ($ Thousands) | ||||
S&P Composite Index | 902 | Dec-2009 | $ | 1,359 | |||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $1,102,521 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Real Estate Investment Trust. |
| †† | Investment in Affiliated Security. |
| (A) | The rate reported is the effective yield at the time of purchase. |
| (B) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
LLC — Limited Liability Company
Ser — Series
Amounts designated as “—” are $0 or have been rounded to $0.
10 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
S&P 500 Index Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
COMMON STOCK — 97.9% | |||||
Consumer Discretionary — 9.0% | |||||
Abercrombie & Fitch, Cl A | 11,300 | $ | 372 | ||
Amazon.com * (A) | 45,500 | 4,248 | |||
Apollo Group, Cl A * | 15,903 | 1,171 | |||
Autonation * (A) | 13,326 | 241 | |||
Autozone * | 4,594 | 672 | |||
Bed Bath & Beyond * (A) | 35,533 | 1,334 | |||
Best Buy (A) | 47,441 | 1,780 | |||
Big Lots * | 12,913 | 323 | |||
Black & Decker (A) | 7,809 | 361 | |||
Carnival | 60,984 | 2,029 | |||
CBS, Cl B | 95,601 | 1,152 | |||
Coach | 43,910 | 1,446 | |||
Comcast, Cl A | 395,244 | 6,676 | |||
Darden Restaurants | 18,813 | 642 | |||
DeVry (A) | 8,200 | 454 | |||
DIRECTV Group * (A) | 63,300 | 1,746 | |||
DR Horton (A) | 38,649 | 441 | |||
Eastman Kodak (A) | 31,610 | 151 | |||
Expedia * (A) | 30,100 | 721 | |||
Family Dollar Stores (A) | 19,222 | 508 | |||
Ford Motor * (A) | 441,880 | 3,186 | |||
Fortune Brands | 20,819 | 895 | |||
GameStop, Cl A * (A) | 22,600 | 598 | |||
Gannett (A) | 28,647 | 358 | |||
Gap | 63,731 | 1,364 | |||
Genuine Parts (A) | 21,936 | 835 | |||
Goodyear Tire & Rubber * | 35,693 | 608 | |||
H&R Block | 46,404 | 853 | |||
Harley-Davidson (A) | 32,608 | 750 | |||
Harman International Industries (A) | 10,700 | 362 | |||
Hasbro | 18,891 | 524 | |||
Home Depot (A) | 234,764 | 6,254 | |||
International Game Technology | 40,856 | 878 | |||
Interpublic Group * | 63,501 | 478 | |||
J.C. Penney | 33,280 | 1,123 | |||
Johnson Controls | 81,157 | 2,074 | |||
KB Home (A) | 10,655 | 177 | |||
Kohl’s * (A) | 41,747 | 2,382 | |||
Leggett & Platt | 23,554 | 457 | |||
Lennar, Cl A | 23,407 | 334 | |||
Limited Brands (A) | 37,627 | 639 | |||
Lowe’s | 203,136 | 4,254 | |||
Macy’s | 59,164 | 1,082 | |||
Marriott International, Cl A (A) | 35,442 | 978 | |||
Mattel | 49,518 | 914 | |||
McDonald’s | 150,460 | 8,587 | |||
McGraw-Hill (A) | 42,421 | 1,066 | |||
Meredith (A) | 5,363 | 161 | |||
New York Times, Cl A (A) | 14,392 | 117 | |||
Description | Shares | Market Value ($ Thousands) | |||
Newell Rubbermaid (A) | 36,747 | $ | 577 | ||
News, Cl A (A) | 308,633 | 3,700 | |||
Nike, Cl B | 53,194 | 3,442 | |||
Nordstrom | 24,002 | 733 | |||
Office Depot * | 38,120 | 252 | |||
Omnicom Group | 43,004 | 1,589 | |||
O’Reilly Automotive * (A) | 18,600 | 672 | |||
Polo Ralph Lauren | 8,500 | 651 | |||
Pulte Homes (A) | 41,982 | 461 | |||
RadioShack | 19,225 | 319 | |||
Scripps Networks Interactive, Cl A (A) | 11,600 | 429 | |||
Sears Holdings * (A) | 7,065 | 461 | |||
Sherwin-Williams | 13,516 | 813 | |||
Snap-On | 8,853 | 308 | |||
Stanley Works | 11,779 | 503 | |||
Staples (A) | 101,314 | 2,352 | |||
Starbucks * | 102,758 | 2,122 | |||
Starwood Hotels & Resorts Worldwide (A) | 26,435 | 873 | |||
Target | 103,419 | 4,828 | |||
Tiffany (A) | 17,773 | 685 | |||
Time Warner | 163,004 | 4,691 | |||
Time Warner Cable, Cl A (A) | 49,083 | 2,115 | |||
TJX | 57,767 | 2,146 | |||
VF (A) | 12,114 | 877 | |||
Viacom, Cl B * | 83,001 | 2,327 | |||
Walt Disney | 256,027 | 7,030 | |||
Washington Post, Cl B | 755 | 353 | |||
Whirlpool (A) | 9,905 | 693 | |||
Wyndham Worldwide | 22,902 | 374 | |||
Wynn Resorts * (A) | 9,200 | 652 | |||
Yum! Brands (A) | 65,370 | 2,207 | |||
| 117,991 | |||||
Consumer Staples — 11.3% | |||||
Altria Group | 284,956 | 5,075 | |||
Archer-Daniels-Midland | 87,666 | 2,562 | |||
Avon Products | 58,151 | 1,975 | |||
Brown-Forman, Cl B | 13,595 | 656 | |||
Campbell Soup | 25,775 | 841 | |||
Clorox (A) | 18,842 | 1,108 | |||
Coca-Cola (A) | 319,896 | 17,178 | |||
Coca-Cola Enterprises (A) | 43,817 | 938 | |||
Colgate-Palmolive | 68,593 | 5,232 | |||
ConAgra Foods | 62,352 | 1,352 | |||
Constellation Brands, Cl A * | 30,100 | 456 | |||
Costco Wholesale | 59,718 | 3,372 | |||
CVS Caremark | 198,795 | 7,105 | |||
Dean Foods * | 24,800 | 441 | |||
Dr Pepper Snapple Group * | 35,600 | 1,023 | |||
Estee Lauder, Cl A (A) | 16,200 | 601 | |||
General Mills | 44,591 | 2,871 | |||
Hershey | 22,712 | 883 | |||
HJ Heinz | 43,749 | 1,739 | |||
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
S&P 500 Index Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Hormel Foods | 10,600 | $ | 376 | ||
JM Smucker | 16,548 | 877 | |||
Kellogg | 35,067 | 1,726 | |||
Kimberly-Clark | 56,899 | 3,356 | |||
Kraft Foods, Cl A (A) | 202,998 | 5,333 | |||
Kroger | 91,059 | 1,879 | |||
Lorillard | 22,476 | 1,670 | |||
McCormick (A) | 18,461 | 627 | |||
Molson Coors Brewing, Cl B (A) | 20,546 | 1,000 | |||
Pepsi Bottling Group | 19,036 | 694 | |||
PepsiCo | 214,967 | 12,610 | |||
Philip Morris International | 266,956 | 13,011 | |||
Procter & Gamble | 403,101 | 23,348 | |||
Reynolds American (A) | 23,040 | 1,026 | |||
Safeway | �� | 58,246 | 1,149 | ||
Sara Lee | 97,087 | 1,081 | |||
SUPERVALU | 30,497 | 459 | |||
SYSCO | 80,520 | 2,001 | |||
Tyson Foods, Cl A | 41,990 | 530 | |||
Walgreen (A) | 136,444 | 5,113 | |||
Wal-Mart Stores | 298,111 | 14,634 | |||
Whole Foods Market * (A) | 20,300 | 619 | |||
| 148,527 | |||||
Energy — 11.4% | |||||
Anadarko Petroleum | 67,380 | 4,227 | |||
Apache | 46,100 | 4,233 | |||
Baker Hughes (A) | 42,934 | 1,831 | |||
BJ Services | 41,256 | 801 | |||
Cabot Oil & Gas | 13,600 | 486 | |||
Cameron International * (A) | 29,800 | 1,127 | |||
Chesapeake Energy | 87,600 | 2,488 | |||
Chevron | 276,897 | 19,502 | |||
ConocoPhillips | 204,425 | 9,232 | |||
Consol Energy (A) | 25,500 | 1,150 | |||
Denbury Resources * | 33,100 | 501 | |||
Devon Energy | 61,013 | 4,108 | |||
Diamond Offshore Drilling (A) | 9,600 | 917 | |||
El Paso | 95,794 | 989 | |||
ENSCO International (A) | 19,600 | 834 | |||
EOG Resources (A) | 35,244 | 2,943 | |||
Exxon Mobil (A) | 662,536 | 45,457 | |||
FMC Technologies * (A) | 16,800 | 878 | |||
Halliburton (A) | 123,479 | 3,349 | |||
Hess | 40,275 | 2,153 | |||
Marathon Oil | 97,056 | 3,096 | |||
Massey Energy (A) | 12,900 | 360 | |||
Murphy Oil | 26,463 | 1,524 | |||
Nabors Industries * | 37,978 | 794 | |||
National Oilwell Varco * | 57,168 | 2,466 | |||
Noble Energy | 24,000 | 1,583 | |||
Occidental Petroleum (A) | 111,804 | 8,765 | |||
Peabody Energy | 37,800 | 1,407 | |||
Description | Shares | Market Value ($ Thousands) | |||
Pioneer Natural Resources (A) | 16,800 | $ | 610 | ||
Range Resources (A) | 21,200 | 1,046 | |||
Rowan | 17,397 | 401 | |||
Schlumberger | 165,162 | 9,844 | |||
Smith International (A) | 30,100 | 864 | |||
Southwestern Energy * (A) | 47,700 | 2,036 | |||
Spectra Energy (A) | 89,661 | 1,698 | |||
Sunoco | 16,457 | 468 | |||
Tesoro (A) | 21,300 | 319 | |||
Valero Energy | 77,008 | 1,493 | |||
Williams | 80,265 | 1,434 | |||
XTO Energy | 79,618 | 3,290 | |||
| 150,704 | |||||
Financials — 14.9% | |||||
Aflac | 63,908 | 2,731 | |||
Allstate | 73,259 | 2,243 | |||
American Express | 163,715 | 5,550 | |||
American International Group * | 18,008 | 794 | |||
Ameriprise Financial | 35,584 | 1,293 | |||
AON | 38,429 | 1,564 | |||
Apartment Investment & Management, Cl A † (A) | 15,239 | 225 | |||
Assurant | 17,500 | 561 | |||
AvalonBay Communities † (A) | 11,108 | 808 | |||
Bank of America | 1,194,648 | 20,213 | |||
Bank of New York Mellon | 165,386 | 4,795 | |||
BB&T (A) | 93,297 | 2,541 | |||
Boston Properties † (A) | 19,300 | 1,265 | |||
Capital One Financial | 62,062 | 2,217 | |||
CB Richard Ellis Group, Cl A * (A) | 34,600 | 406 | |||
Charles Schwab (A) | 133,027 | 2,548 | |||
Chubb | 47,856 | 2,412 | |||
Cincinnati Financial | 22,579 | 587 | |||
Citigroup | 1,797,446 | 8,700 | |||
CME Group | 9,107 | 2,807 | |||
Comerica | 19,983 | 593 | |||
Discover Financial Services | 75,530 | 1,226 | |||
E*Trade Financial * (A) | 113,639 | 199 | |||
Equity Residential † | 37,540 | 1,153 | |||
Federated Investors, Cl B | 13,145 | 347 | |||
Fifth Third Bancorp | 109,611 | 1,110 | |||
First Horizon National * | 31,631 | 419 | |||
Franklin Resources | 20,415 | 2,054 | |||
Genworth Financial, Cl A | 65,900 | 787 | |||
Goldman Sachs Group | 70,556 | 13,007 | |||
Hartford Financial Services Group | 52,186 | 1,383 | |||
HCP † | 40,200 | 1,155 | |||
Health Care † (A) | 17,400 | 724 | |||
Host Hotels & Resorts † | 81,500 | 959 | |||
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
S&P 500 Index Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Hudson City Bancorp | 66,500 | $ | 874 | ||
Huntington Bancshares (A) | 79,175 | 373 | |||
IntercontinentalExchange * | 10,000 | 972 | |||
Invesco | 57,300 | 1,304 | |||
Janus Capital Group | 27,677 | 392 | |||
JPMorgan Chase | 543,108 | 23,799 | |||
Keycorp | 117,383 | 763 | |||
Kimco Realty † | 44,300 | 578 | |||
Legg Mason (A) | 23,700 | 735 | |||
Leucadia National | 27,100 | 670 | |||
Lincoln National | 41,598 | 1,078 | |||
Loews | 50,249 | 1,721 | |||
M&T Bank (A) | 11,961 | 745 | |||
Marsh & McLennan | 72,250 | 1,787 | |||
Marshall & Ilsley | 52,470 | 423 | |||
MBIA * (A) | 24,727 | 192 | |||
MetLife | 112,526 | 4,284 | |||
Moody’s (A) | 26,808 | 549 | |||
Morgan Stanley | 187,061 | 5,776 | |||
NASDAQ OMX Group * | 21,000 | 442 | |||
Northern Trust | 32,905 | 1,914 | |||
NYSE Euronext | 35,700 | 1,031 | |||
People’s United Financial | 47,600 | 741 | |||
Plum Creek Timber † (A) | 22,535 | 690 | |||
PNC Financial Services Group | 63,175 | 3,070 | |||
Principal Financial Group | 44,848 | 1,228 | |||
Progressive (A) | 94,568 | 1,568 | |||
Prologis † (A) | 58,960 | 703 | |||
Prudential Financial | 63,466 | 3,168 | |||
Public Storage † (A) | 18,428 | 1,387 | |||
Regions Financial (A) | 160,263 | 995 | |||
Simon Property Group † (A) | 38,707 | 2,687 | |||
SLM * (A) | 65,843 | 574 | |||
State Street (A) | 67,891 | 3,571 | |||
SunTrust Banks (A) | 69,296 | 1,563 | |||
T. Rowe Price Group (A) | 35,408 | 1,618 | |||
Torchmark | 12,305 | 534 | |||
Travelers | 77,932 | 3,837 | |||
Unum Group | 45,852 | 983 | |||
US Bancorp (A) | 263,206 | 5,754 | |||
Ventas † | 21,800 | 839 | |||
Vornado Realty Trust † (A) | 21,174 | 1,364 | |||
Wells Fargo (A) | 644,997 | 18,176 | |||
XL Capital, Cl A (A) | 47,805 | 835 | |||
Zions Bancorporation (A) | 19,060 | 343 | |||
| 196,006 | |||||
Health Care — 12.9% | |||||
Abbott Laboratories | 213,168 | 10,546 | |||
Aetna | 59,502 | 1,656 | |||
Allergan | 42,066 | 2,388 | |||
AmerisourceBergen | 41,892 | 938 | |||
Amgen * | 139,993 | 8,432 | |||
Description | Shares | Market Value ($ Thousands) | |||
Baxter International | 82,838 | $ | 4,723 | ||
Becton Dickinson | 33,462 | 2,334 | |||
Biogen Idec * | 40,300 | 2,036 | |||
Boston Scientific * | 206,012 | 2,182 | |||
Bristol-Myers Squibb | 272,701 | 6,141 | |||
C.R. Bard (A) | 13,788 | 1,084 | |||
Cardinal Health (A) | 50,755 | 1,360 | |||
CareFusion * | 26,277 | 573 | |||
Celgene * | 62,900 | 3,516 | |||
Cephalon * (A) | 11,000 | 640 | |||
Cigna (A) | 38,071 | 1,069 | |||
Coventry Health Care * | 22,113 | 441 | |||
DaVita * | 14,300 | 810 | |||
Dentsply International (A) | 20,600 | 712 | |||
Eli Lilly | 139,030 | 4,592 | |||
Express Scripts * | 37,552 | 2,913 | |||
Forest Laboratories * | 40,863 | 1,203 | |||
Genzyme * | 37,632 | 2,135 | |||
Gilead Sciences * (A) | 124,476 | 5,798 | |||
Hospira * (A) | 22,404 | 999 | |||
Humana * | 23,297 | 869 | |||
IMS Health | 26,495 | 407 | |||
Intuitive Surgical * (A) | 5,320 | 1,395 | |||
Johnson & Johnson | 380,656 | 23,178 | |||
King Pharmaceuticals * | 38,286 | 412 | |||
Laboratory Corp of America Holdings * | 14,763 | 970 | |||
Life Technologies * | 23,843 | 1,110 | |||
McKesson | 36,269 | 2,160 | |||
Medco Health Solutions * | 65,016 | 3,596 | |||
Medtronic | 152,317 | 5,605 | |||
Merck (A) | 290,717 | 9,195 | |||
Millipore * | 7,893 | 555 | |||
Mylan Laboratories * (A) | 42,111 | 674 | |||
Patterson * (A) | 14,200 | 387 | |||
PerkinElmer | 17,940 | 345 | |||
Pfizer | 931,604 | 15,418 | |||
Quest Diagnostics | 22,024 | 1,150 | |||
Schering-Plough | 224,972 | 6,356 | |||
St. Jude Medical * | 48,194 | 1,880 | |||
Stryker | 39,742 | 1,805 | |||
Tenet Healthcare * | 63,576 | 374 | |||
Thermo Fisher Scientific * | 55,743 | 2,434 | |||
UnitedHealth Group | 159,747 | 4,000 | |||
Varian Medical Systems * (A) | 17,200 | 725 | |||
Waters * | 13,497 | 754 | |||
Watson Pharmaceuticals * (A) | 14,971 | 549 | |||
WellPoint * | 65,161 | 3,086 | |||
Wyeth | 184,066 | 8,942 | |||
Zimmer Holdings * | 29,755 | 1,590 | |||
| 169,142 | |||||
Industrials — 9.9% | |||||
3M | 96,182 | 7,098 | |||
Avery Dennison | 15,715 | 566 | |||
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
S&P 500 Index Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Boeing (A) | 99,932 | $ | 5,411 | ||
Burlington Northern Santa Fe | 35,924 | 2,868 | |||
C.H. Robinson Worldwide (A) | 23,500 | 1,357 | |||
Caterpillar (A) | 84,897 | 4,358 | |||
Cintas | 18,307 | 555 | |||
CSX | 53,650 | 2,246 | |||
Cummins | 27,240 | 1,221 | |||
Danaher | 36,148 | 2,433 | |||
Deere | 57,702 | 2,477 | |||
Dover | 25,537 | 990 | |||
Dun & Bradstreet | 7,400 | 557 | |||
Eaton | 23,369 | 1,322 | |||
Emerson Electric | 103,306 | 4,140 | |||
Equifax | 17,825 | 519 | |||
Expeditors International of Washington | 29,000 | 1,019 | |||
Fastenal (A) | 17,800 | 689 | |||
FedEx (A) | 42,705 | 3,212 | |||
Flowserve | 7,900 | 778 | |||
Fluor (A) | 25,344 | 1,289 | |||
General Dynamics | 52,826 | 3,413 | |||
General Electric | 1,467,807 | 24,102 | |||
Goodrich | 17,020 | 925 | |||
Honeywell International | 104,855 | 3,895 | |||
Illinois Tool Works | 52,524 | 2,243 | |||
ITT | 25,200 | 1,314 | |||
Jacobs Engineering Group * | 16,900 | 776 | |||
L-3 Communications Holdings | 16,123 | 1,295 | |||
Lockheed Martin | 44,294 | 3,459 | |||
Masco (A) | 47,668 | 616 | |||
Monster Worldwide * (A) | 19,434 | 340 | |||
Norfolk Southern | 50,226 | 2,165 | |||
Northrop Grumman | 43,519 | 2,252 | |||
PACCAR (A) | 50,691 | 1,912 | |||
Pall | 15,495 | 500 | |||
Parker Hannifin (A) | 21,971 | 1,139 | |||
Pitney Bowes | 28,375 | 705 | |||
Precision Castparts | 19,500 | 1,986 | |||
Quanta Services * | 28,600 | 633 | |||
Raytheon | 53,268 | 2,555 | |||
Republic Services | 43,583 | 1,158 | |||
Robert Half International (A) | 21,727 | 544 | |||
Rockwell Automation | 19,826 | 845 | |||
Rockwell Collins | 21,678 | 1,101 | |||
RR Donnelley & Sons | 27,111 | 576 | |||
Ryder System | 7,254 | 284 | |||
Southwest Airlines | 102,149 | 981 | |||
Stericycle * | 11,800 | 572 | |||
Textron (A) | 38,898 | 738 | |||
Union Pacific | 69,294 | 4,043 | |||
United Parcel Service, Cl B | 137,090 | 7,742 | |||
United Technologies | 129,683 | 7,902 | |||
Description | Shares | Market Value ($ Thousands) | |||
Waste Management (A) | 68,728 | $ | 2,050 | ||
WW Grainger (A) | 8,765 | 783 | |||
| 130,649 | |||||
Information Technology — 18.3% | |||||
Adobe Systems * | 71,836 | 2,373 | |||
Advanced Micro Devices * (A) | 79,463 | 450 | |||
Affiliated Computer Services, Cl A * | 13,449 | 728 | |||
Agilent Technologies * | 47,406 | 1,319 | |||
Akamai Technologies * | 24,700 | 486 | |||
Altera (A) | 41,351 | 848 | |||
Amphenol, Cl A | 23,500 | 885 | |||
Analog Devices | 39,899 | 1,100 | |||
Apple * | 123,692 | 22,929 | |||
Applied Materials | 182,050 | 2,439 | |||
Autodesk * (A) | 32,217 | 767 | |||
Automatic Data Processing | 68,650 | 2,698 | |||
BMC Software * | 25,249 | 948 | |||
Broadcom, Cl A * | 59,436 | 1,824 | |||
CA | 53,827 | 1,184 | |||
Ciena * (A) | 11,842 | 193 | |||
Cisco Systems * | 796,363 | 18,746 | |||
Citrix Systems * | 25,042 | 982 | |||
Cognizant Technology Solutions, Cl A * | 40,400 | 1,562 | |||
Computer Sciences * | 20,733 | 1,093 | |||
Compuware * | 30,175 | 221 | |||
Convergys * | 13,676 | 136 | |||
Corning | 213,178 | 3,264 | |||
Dell * (A) | 236,274 | 3,606 | |||
eBay * | 152,332 | 3,597 | |||
Electronic Arts * (A) | 43,978 | 838 | |||
EMC * (A) | 278,040 | 4,738 | |||
Fidelity National Information Services (A) | 27,165 | 693 | |||
Fiserv * | 21,680 | 1,045 | |||
Flir Systems * | 22,400 | 627 | |||
Google, Cl A * | 33,216 | 16,470 | |||
Harris | 18,500 | 696 | |||
Hewlett-Packard | 327,252 | 15,450 | |||
Intel | 772,694 | 15,122 | |||
International Business Machines | 180,990 | 21,648 | |||
Intuit * | 43,786 | 1,248 | |||
Iron Mountain * (A) | 24,800 | 661 | |||
Jabil Circuit | 25,979 | 348 | |||
JDS Uniphase * (A) | 29,456 | 209 | |||
Juniper Networks * (A) | 72,700 | 1,964 | |||
Kla-Tencor (A) | 23,771 | 852 | |||
Lexmark International, Cl A * | 10,239 | 221 | |||
Linear Technology (A) | 30,494 | 843 | |||
LSI Logic * (A) | 91,546 | 503 | |||
Mastercard, Cl A (A) | 13,100 | 2,648 | |||
McAfee * (A) | 21,200 | 928 | |||
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
S&P 500 Index Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
MEMC Electronic Materials * | 29,300 | $ | 487 | ||
Microchip Technology (A) | 25,900 | 686 | |||
Micron Technology * (A) | 119,469 | 980 | |||
Microsoft | 1,070,862 | 27,725 | |||
Molex (A) | 17,460 | 365 | |||
Motorola (A) | 314,306 | 2,700 | |||
National Semiconductor | 29,337 | 419 | |||
NetApp * (A) | 45,476 | 1,213 | |||
Novell * | 54,889 | 247 | |||
Novellus Systems * (A) | 15,327 | 322 | |||
Nvidia * (A) | 74,048 | 1,113 | |||
Oracle | 538,756 | 11,228 | |||
Paychex (A) | 44,356 | 1,289 | |||
QLogic * (A) | 18,548 | 319 | |||
Qualcomm | 229,232 | 10,311 | |||
Red Hat * | 25,400 | 702 | |||
Salesforce.com * | 15,000 | 854 | |||
SanDisk * | 30,200 | 655 | |||
Sun Microsystems * (A) | 102,002 | 927 | |||
Symantec * | 113,647 | 1,872 | |||
Tellabs * | 50,899 | 352 | |||
Teradata * | 22,868 | 629 | |||
Teradyne * (A) | 27,907 | 258 | |||
Texas Instruments | 173,334 | 4,106 | |||
Total System Services | 28,580 | 460 | |||
VeriSign * (A) | 26,800 | 635 | |||
Western Digital * | 30,400 | 1,110 | |||
Western Union | 97,612 | 1,847 | |||
Xerox | 120,336 | 931 | |||
Xilinx | 37,609 | 881 | |||
Yahoo! * | 163,438 | 2,911 | |||
| 240,664 | |||||
Materials — 3.4% | |||||
Air Products & Chemicals | 28,726 | 2,229 | |||
Airgas | 11,500 | 556 | |||
AK Steel Holding | 14,800 | 292 | |||
Alcoa (A) | 135,935 | 1,783 | |||
Allegheny Technologies (A) | 13,659 | 478 | |||
Ball | 13,291 | 654 | |||
Bemis | 14,490 | 375 | |||
CF Industries Holdings | 6,690 | 577 | |||
Dow Chemical (A) | 157,175 | 4,097 | |||
E.I. Du Pont de Nemours | 124,135 | 3,990 | |||
Eastman Chemical | 9,608 | 514 | |||
Ecolab | 33,330 | 1,541 | |||
FMC (A) | 10,200 | 574 | |||
Freeport-McMoRan Copper & Gold, Cl B | 56,568 | 3,881 | |||
International Flavors & Fragrances | 11,994 | 455 | |||
International Paper (A) | 59,870 | 1,331 | |||
MeadWestvaco | 24,615 | 549 | |||
Description | Shares | Market Value ($ Thousands) | |||
Monsanto | 75,148 | $ | 5,816 | ||
Newmont Mining | 67,108 | 2,954 | |||
Nucor (A) | 42,882 | 2,016 | |||
Owens-Illinois * | 22,600 | 834 | |||
Pactiv * | 18,487 | 482 | |||
PPG Industries | 23,245 | 1,353 | |||
Praxair (A) | 42,099 | 3,439 | |||
Sealed Air | 23,928 | 470 | |||
Sigma-Aldrich (A) | 16,836 | 909 | |||
Titanium Metals (A) | 12,100 | 116 | |||
United States Steel (A) | 19,426 | 862 | |||
Vulcan Materials (A) | 17,149 | 927 | |||
Weyerhaeuser (A) | 28,888 | 1,059 | |||
| 45,113 | |||||
Telecommunication Services — 3.1% | |||||
American Tower, Cl A * | 55,300 | 2,013 | |||
AT&T | 814,858 | 22,009 | |||
CenturyTel | 40,292 | 1,354 | |||
Frontier Communications | 38,531 | 291 | |||
MetroPCS Communications * (A) | 33,700 | 315 | |||
Qwest Communications International (A) | 201,626 | 768 | |||
Sprint Nextel * | 405,622 | 1,602 | |||
Verizon Communications (A) | 391,922 | 11,864 | |||
Windstream (A) | 61,246 | 620 | |||
| 40,836 | |||||
Utilities — 3.7% | |||||
AES * | 92,290 | 1,368 | |||
Allegheny Energy | 23,968 | 636 | |||
Ameren | 33,844 | 856 | |||
American Electric Power | 64,915 | 2,012 | |||
Centerpoint Energy | 54,368 | 676 | |||
CMS Energy (A) | 32,692 | 438 | |||
Consolidated Edison (A) | 38,033 | 1,557 | |||
Constellation Energy Group | 27,999 | 906 | |||
Dominion Resources (A) | 83,040 | 2,865 | |||
DTE Energy | 23,045 | 810 | |||
Duke Energy | 181,122 | 2,851 | |||
Dynegy, Cl A * (A) | 56,489 | 144 | |||
Edison International | 45,153 | 1,516 | |||
Entergy | 26,764 | 2,137 | |||
Equities (A) | 18,100 | 771 | |||
Exelon (A) | 90,654 | 4,498 | |||
FirstEnergy (A) | 42,487 | 1,942 | |||
FPL Group | 56,420 | 3,116 | |||
Integrys Energy Group | 11,134 | 400 | |||
Nicor | 7,125 | 261 | |||
NiSource (A) | 38,979 | 541 | |||
Northeast Utilities | 24,800 | 589 | |||
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
S&P 500 Index Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | ||||
Pepco Holdings | 31,600 | $ | 470 | |||
PG&E (A) | 50,529 | 2,046 | ||||
Pinnacle West Capital | 14,349 | 471 | ||||
PPL | 52,171 | 1,583 | ||||
Progress Energy | 38,683 | 1,511 | ||||
Public Service Enterprise Group | 69,130 | 2,173 | ||||
Questar | 23,800 | 894 | ||||
SCANA | 14,500 | 506 | ||||
Sempra Energy | 33,965 | 1,692 | ||||
Southern | 110,335 | 3,494 | ||||
TECO Energy (A) | 30,812 | 434 | ||||
Wisconsin Energy | 16,100 | 727 | ||||
Xcel Energy | 64,319 | 1,236 | ||||
| 48,127 | ||||||
Total Common Stock | 1,287,759 | |||||
AFFILIATED PARTNERSHIP — 15.6% | ||||||
SEI Liquidity Fund, L.P., 0.400% (B) ** †† | 208,324,305 | 204,881 | ||||
Total Affiliated Partnership | 204,881 | |||||
| Shares/Face Amount ($ Thousands) | ||||||
CASH EQUIVALENT — 0.7% | ||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110% ** †† | 9,802,445 | 9,803 | ||||
Total Cash Equivalent | 9,803 | |||||
U.S. TREASURY OBLIGATION — 0.2% | ||||||
U.S. Treasury Bill 0.125%, 12/10/09 (C) (D) | $ | 2,345 | 2,345 | |||
Total U.S. Treasury Obligation | 2,345 | |||||
Total Investments — 114.4% | $ | 1,504,788 | ||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | ||||
S&P 500 Index E-MINI | 607 | Dec-2009 | $ | 300 | |||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $1,315,511 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Real Estate Investment Trust. |
| †† | Investment in Affiliated Security. |
| (A) | This security or a partial position of this security is on loan at September 30, 2009. The total market value of securities on loan at September 30, 2009 was $202,412 ($ Thousands). |
| (B) | This security was purchased with cash collateral received from securities on loan. The total market value of such securities as of September 30, 2009 was $204,881 ($ Thousands). |
| (C) | The rate reported is the effective yield at the time of purchase. |
| (D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
COMMON STOCK — 91.2%‡ | |||||
Consumer Discretionary — 9.2% | |||||
Abercrombie & Fitch, Cl A (A) | 27,107 | $ | 891 | ||
Accor | 5,592 | 311 | |||
AFC Enterprises * | 16,800 | 141 | |||
American Greetings, Cl A (A) | 44,900 | 1,001 | |||
America’s Car-Mart * | 15,200 | 364 | |||
Ameristar Casinos | 8,700 | 137 | |||
Arctic Cat | 43,600 | 308 | |||
Asbury Automotive Group | 46,600 | 591 | |||
ATC Technology * | 62,059 | 1,226 | |||
Beazer Homes USA * | 25,500 | 143 | |||
Bebe Stores (A) | 60,527 | 445 | |||
Belo, Cl A | 201,945 | 1,093 | |||
Big Lots * | 24,200 | 605 | |||
Blyth | 6,475 | 251 | |||
Bob Evans Farms (A) | 24,000 | 697 | |||
Books-A-Million, Cl A | 9,400 | 113 | |||
Brown Shoe | 60,000 | 481 | |||
Cabela’s * (A) | 61,700 | 823 | |||
Callaway Golf | 159,930 | 1,217 | |||
Carmike Cinemas * | 7,900 | 80 | |||
Carter’s * | 5,500 | 147 | |||
Casual Male Retail Group * | 219,224 | 754 | |||
Cato, Cl A | 35,000 | 710 | |||
CEC Entertainment * | 16,700 | 432 | |||
Cinemark Holdings | 35,300 | 366 | |||
Columbia Sportswear (A) | 10,600 | 436 | |||
Cooper Tire & Rubber | 92,029 | 1,618 | |||
Core-Mark Holding * | 16,000 | 458 | |||
Cracker Barrel Old Country Store (A) | 29,700 | 1,022 | |||
CSS Industries | 38,400 | 759 | |||
Dillard’s, Cl A (A) | 58,700 | 828 | |||
DSW, Cl A * (A) | 76,559 | 1,223 | |||
Einstein Noah Restaurant Group * | 4,700 | 57 | |||
Entercom Communications | 22,900 | 117 | |||
Ethan Allen Interiors (A) | 75,222 | 1,241 | |||
Finish Line, Cl A | 41,400 | 421 | |||
Foot Locker | 48,000 | 574 | |||
Genesco * | 6,800 | 164 | |||
Global Sources * | 16,000 | 110 | |||
Group 1 Automotive | 16,300 | 438 | |||
Harman International Industries | 13,700 | 464 | |||
Harte-Hanks (A) | 43,000 | 595 | |||
Hillenbrand | 18,600 | 379 | |||
Insight Enterprises * (A) | 91,300 | 1,115 | |||
International Speedway, Cl A (A) | 48,400 | 1,334 | |||
Interval Leisure Group * | 6,800 | 85 | |||
Description | Shares | Market Value ($ Thousands) | |||
Isle of Capri Casinos * | 13,700 | $ | 161 | ||
Jack in the Box * (A) | 65,300 | 1,338 | |||
Jakks Pacific * (A) | 39,700 | 568 | |||
Jarden (A) | 22,186 | 623 | |||
Jo-Ann Stores * | 17,900 | 480 | |||
Jones Apparel Group | 21,000 | 376 | |||
Journal Communications, Cl A | 107,100 | 394 | |||
Lakeland Industries * | 98,100 | 810 | |||
Landry’s Restaurants * (A) | 39,400 | 414 | |||
Lifetime Brands | 62,500 | 358 | |||
Lions Gate Entertainment * | 119,800 | 738 | |||
M/I Homes * | 10,400 | 141 | |||
Marvel Entertainment * | 21,000 | 1,042 | |||
Matthews International, Cl A | 14,500 | 513 | |||
MDC Partners, Cl A * | 413,600 | 3,077 | |||
Media General, Cl A | 9,300 | 79 | |||
Mediacom Communications, Cl A * | 48,800 | 281 | |||
Men’s Wearhouse | 21,601 | 534 | |||
Meredith (A) | 47,100 | 1,410 | |||
New Frontier Media * | 214,100 | 460 | |||
O’Charleys | 50,700 | 475 | |||
Oxford Industries | 2,100 | 41 | |||
PC Mall * | 8,200 | 56 | |||
Perry Ellis International * | 33,700 | 541 | |||
PetSmart (A) | 77,439 | 1,684 | |||
Phillips-Van Heusen | 8,100 | 347 | |||
Polaris Industries (A) | 21,800 | 889 | |||
Princeton Review * | 378,305 | 1,589 | |||
RadioShack (A) | 33,500 | 555 | |||
RC2 * | 14,500 | 207 | |||
Red Robin Gourmet Burgers * (A) | 36,600 | 747 | |||
Regis (A) | 153,848 | 2,384 | |||
Rent-A-Center * | 113,000 | 2,133 | |||
Ruby Tuesday * (A) | 52,100 | 439 | |||
Ryland Group | 12,300 | 259 | |||
Sauer-Danfoss | 16,800 | 129 | |||
Scholastic (A) | 20,100 | 489 | |||
Scientific Games, Cl A * (A) | 47,610 | 754 | |||
Sinclair Broadcast Group, Cl A | 68,900 | 247 | |||
Sonic Automotive, Cl A | 33,900 | 356 | |||
Spartan Motors | 43,300 | 223 | |||
Stage Stores | 113,100 | 1,466 | |||
Standard Motor Products | 22,700 | 345 | |||
Standard-Pacific * | 27,200 | 101 | |||
Sturm Ruger (A) | 15,500 | 201 | |||
Tempur-Pedic International (A) | 46,163 | 874 | |||
Tenneco * | 29,900 | 390 | |||
Thomas Cook Group | 46,196 | 172 | |||
Unifirst | 3,300 | 147 | |||
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
World Wrestling Entertainment, Cl A | 30,500 | $ | 427 | ||
| 59,229 | |||||
Consumer Staples — 4.3% | |||||
Alliance One International * | 286,800 | 1,285 | |||
American Italian Pasta, Cl A * | 5,600 | 152 | |||
American Oriental Bioengineering * (A) | 104,000 | 505 | |||
Andersons (A) | 24,200 | 852 | |||
Boston Beer, Cl A * | 16,998 | 630 | |||
Cal-Maine Foods (A) | 19,000 | 509 | |||
Casey’s General Stores | 42,698 | 1,340 | |||
Central Garden and Pet * (A) | 74,918 | 880 | |||
Central Garden and Pet, Cl A * | 67,199 | 735 | |||
Chiquita Brands International * | 111,200 | 1,797 | |||
Corn Products International | 58,167 | 1,659 | |||
Dean Foods * | 101,505 | 1,806 | |||
Del Monte Foods | 95,700 | 1,108 | |||
Fresh Del Monte Produce * | 85,700 | 1,938 | |||
Herbalife | 12,700 | 416 | |||
Ingles Markets, Cl A | 31,975 | 506 | |||
Lance | 8,300 | 214 | |||
Nash Finch (A) | 10,700 | 292 | |||
Nu Skin Enterprises, Cl A | 31,200 | 578 | |||
Pantry * | 154,523 | 2,423 | |||
Prestige Brands Holdings * | 73,300 | 516 | |||
Revlon, Cl A * (A) | 18,100 | 88 | |||
Ruddick | 55,000 | 1,464 | |||
Sanderson Farms (A) | 56,041 | 2,109 | |||
Susser Holdings * | 1,100 | 14 | |||
TreeHouse Foods * | 18,200 | 649 | |||
Universal | 81,600 | 3,413 | |||
| 27,878 | |||||
Energy — 4.9% | |||||
Allis-Chalmers Energy * (A) | 24,300 | 106 | |||
Alon USA Energy (A) | 22,900 | 227 | |||
Approach Resources * | 103,600 | 941 | |||
Berry Petroleum, Cl A (A) | 108,632 | 2,909 | |||
Cal Dive International * | 194,987 | 1,928 | |||
Carrizo Oil & Gas * | 9,300 | 228 | |||
Comstock Resources * | 3,900 | 156 | |||
CVR Energy * | 52,600 | 654 | |||
Dawson Geophysical * | 5,400 | 148 | |||
Encore Acquisition * | 5,900 | 221 | |||
Forest Oil * (A) | 70,000 | 1,370 | |||
GeoMet * | 278,724 | 471 | |||
Goodrich Petroleum * (A) | 50,401 | 1,301 | |||
Description | Shares | Market Value ($ Thousands) | |||
Helix Energy Solutions Group * | 15,100 | $ | 226 | ||
Holly | 101,700 | 2,606 | |||
Hornbeck Offshore Services * | 26,100 | 719 | |||
InterOil * | 5,600 | 220 | |||
Key Energy Services * (A) | 177,604 | 1,545 | |||
Matrix Service * | 23,700 | 258 | |||
Oil States International * | 10,100 | 355 | |||
Overseas Shipholding Group (A) | 24,500 | 916 | |||
Parker Drilling * (A) | 163,400 | 892 | |||
Patterson-UTI Energy (A) | 78,600 | 1,187 | |||
RPC (A) | 90,800 | 952 | |||
SEACOR Holdings * (A) | 13,100 | 1,069 | |||
Seahawk Drilling * (A) | 19,800 | 616 | |||
St. Mary Land & Exploration (A) | 11,000 | 357 | |||
StealthGas | 127,200 | 799 | |||
Stone Energy * | 55,800 | 910 | |||
Superior Energy Services * | 60,300 | 1,358 | |||
Swift Energy * (A) | 92,798 | 2,197 | |||
T-3 Energy Services, Cl 3 * | 12,900 | 254 | |||
Tesoro (A) | 37,300 | 559 | |||
Tetra Technologies * | 11,800 | 114 | |||
USEC * (A) | 168,500 | 790 | |||
Venoco * | 40,400 | 465 | |||
Western Refining * | 46,700 | 301 | |||
Whiting Petroleum * | 4,100 | 236 | |||
Willbros Group * | 12,300 | 187 | |||
World Fuel Services (A) | 20,800 | 1,000 | |||
| 31,748 | |||||
Financials — 30.5% | |||||
1st Source | 2,500 | 41 | |||
Abington Bancorp | 14,800 | 115 | |||
Advance America Cash Advance Centers | 128,600 | 720 | |||
Agree Realty † | 16,600 | 381 | |||
Alliance Financial | 6,600 | 179 | |||
Allied Capital (A) | 24,600 | 76 | |||
Allied World Assurance Holdings | 44,000 | 2,109 | |||
AMB Property † (A) | 140,000 | 3,213 | |||
AMBAC Financial Group | 11,700 | 20 | |||
American Campus Communities † | 27,930 | 750 | |||
American Equity Investment Life Holding (A) | 180,986 | 1,271 | |||
American Physicians Capital | 15,600 | 449 | |||
American Safety Insurance Holdings * | 10,500 | 166 | |||
Ameris Bancorp | 3,829 | 27 | |||
Ames National | 2,800 | 68 | |||
Amtrust Financial Services | 15,200 | 173 | |||
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Annaly Capital Management † | 91,700 | $ | 1,663 | ||
Anthracite Capital † (A) | 63,800 | 67 | |||
Anworth Mortgage Asset † | 185,500 | 1,462 | |||
Ares Capital | 89,400 | 985 | |||
Argo Group International Holdings * | 18,600 | 626 | |||
Arrow Financial | 3,090 | 84 | |||
Aspen Insurance Holdings | 61,200 | 1,620 | |||
Associated Estates Realty † | 12,600 | 121 | |||
Assured Guaranty (A) | 64,700 | 1,256 | |||
Astoria Financial (A) | 133,000 | 1,468 | |||
AvalonBay Communities † (A) | 23,300 | 1,695 | |||
Bancfirst | 1,300 | 48 | |||
Banco Latinoamericano de Exportaciones, Cl E | 59,800 | 850 | |||
Bancorp * | 8,800 | 50 | |||
Bancorp Rhode Island | 13,400 | 335 | |||
Bancorpsouth (A) | 47,364 | 1,156 | |||
Bank Mutual | 15,300 | 135 | |||
Bank of Marin Bancorp | 5,300 | 166 | |||
Bank of the Ozarks (A) | 32,206 | 854 | |||
BankFinancial | 8,700 | 83 | |||
Bar Harbor Bankshares | 500 | 17 | |||
Beneficial Mutual Bancorp * | 14,000 | 128 | |||
Berkshire Hills Bancorp | 36,600 | 803 | |||
BGC Partners, Cl A | 106,000 | 454 | |||
BioMed Realty Trust † | 57,200 | 789 | |||
BlackRock Kelso Capital | 19,800 | 147 | |||
Boston Private Financial Holdings (A) | 65,491 | 426 | |||
Boston Properties † (A) | 16,300 | 1,068 | |||
Brandywine Realty Trust † | 41,100 | 454 | |||
Bridge Bancorp | 800 | 19 | |||
Brookfield Asset Management, Cl A | 52,900 | 1,201 | |||
Brookline Bancorp | 64,400 | 626 | |||
Bryn Mawr Bank | 1,900 | 33 | |||
Calamos Asset Management, Cl A | 35,600 | 465 | |||
Camden National | 7,800 | 258 | |||
Camden Property Trust † (A) | 33,671 | 1,357 | |||
Capital City Bank Group | 4,600 | 65 | |||
Capstead Mortgage † | 38,400 | 534 | |||
Cardinal Financial | 132,123 | 1,087 | |||
Care Investment Trust † | 11,600 | 89 | |||
Cash America International | 5,500 | 166 | |||
Cathay General Bancorp (A) | 13,800 | 112 | |||
CBL & Associates Properties † (A) | 114,039 | 1,106 | |||
Cedar Shopping Centers † (A) | 103,400 | 667 | |||
Centerstate Banks | 37,300 | 294 | |||
Central Pacific Financial (A) | 30,300 | 76 | |||
Description | Shares | Market Value ($ Thousands) | |||
Century Bancorp, Cl A | 800 | $ | 17 | ||
Chemical Financial | 7,100 | 155 | |||
Chimera Investment † | 223,600 | 854 | |||
Citizens & Northern | 1,500 | 22 | |||
Citizens Republic Bancorp * (A) | 61,236 | 47 | |||
City Holding | 11,700 | 349 | |||
CNA Surety * | 53,800 | 872 | |||
CNB Financial | 3,500 | 60 | |||
CoBiz Financial | 10,400 | 52 | |||
Cogdell Spencer † | 37,300 | 179 | |||
Colonial Properties Trust † (A) | 64,500 | 628 | |||
Columbia Banking System | 30,600 | 506 | |||
Community Bank System (A) | 55,100 | 1,007 | |||
Community Trust Bancorp | 11,600 | 304 | |||
Conseco * (A) | 66,600 | 350 | |||
Cousins Properties † | 54,797 | 454 | |||
CreXus Investment * † | 13,700 | 196 | |||
CVB Financial | 54,800 | 416 | |||
Danvers Bancorp | 9,400 | 128 | |||
Delphi Financial Group, Cl A | 68,000 | 1,539 | |||
Developers Diversified Realty † | 14,000 | 129 | |||
DiamondRock Hospitality † | 52,800 | 428 | |||
Dime Community Bancshares | 71,000 | 811 | |||
Doral Financial * | 27,500 | 102 | |||
Douglas Emmett † (A) | 126,300 | 1,551 | |||
DuPont Fabros Technology † | 47,000 | 627 | |||
Eagle Bancorp * | 2,700 | 26 | |||
East West Bancorp | 32,200 | 267 | |||
Education Realty Trust † | 221,498 | 1,313 | |||
Employers Holdings (A) | 156,679 | 2,425 | |||
Encore Bancshares * | 63,300 | 569 | |||
Encore Capital Group * | 59,900 | 806 | |||
Endurance Specialty Holdings (A) | 55,351 | 2,019 | |||
Entertainment Properties Trust † (A) | 9,900 | 338 | |||
Equity One † (A) | 82,049 | 1,286 | |||
Equity Residential † | 68,100 | 2,091 | |||
ESSA Bancorp | 36,400 | 481 | |||
Essex Property Trust † | 12,400 | 987 | |||
Farmers Capital Bank | 1,800 | 32 | |||
FBL Financial Group, Cl A (A) | 65,800 | 1,279 | |||
FBR Capital Markets * | 188,650 | 1,119 | |||
Federated Investors, Cl B (A) | 36,649 | 966 | |||
Financial Federal | 22,900 | 565 | |||
Financial Institutions | 2,900 | 29 | |||
First Bancorp | 88,500 | 618 | |||
First Busey | 2,400 | 11 | |||
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
First Commonwealth Financial | 18,500 | $ | 105 | ||
First Community Bancshares | 21,700 | 274 | |||
First Defiance Financial | 4,800 | 72 | |||
First Financial | 2,700 | 83 | |||
First Financial Bancorp | 244,886 | 2,951 | |||
First Financial Bankshares | 1,300 | 64 | |||
First Financial Holdings | 23,956 | 383 | |||
First Financial Northwest | 3,700 | 21 | |||
First Horizon National * (A) | 115,647 | 1,530 | |||
First Industrial Realty Trust † | 87,300 | 458 | |||
First Merchants | 25,400 | 177 | |||
First Mercury Financial | 14,400 | 192 | |||
First Midwest Bancorp | 87,800 | 990 | |||
First of Long Island | 4,900 | 130 | |||
First Potomac Realty Trust † | 48,000 | 555 | |||
FirstMerit (A) | 111,844 | 2,128 | |||
Flagstar Bancorp * (A) | 52,400 | 54 | |||
Flagstone Reinsurance Holdings | 22,100 | 249 | |||
Flushing Financial | 104,200 | 1,188 | |||
FNB (Pennsylvania) (A) | 105,000 | 747 | |||
Forest City Enterprises, Cl A | 133,179 | 1,781 | |||
Fpic Insurance Group * (A) | 22,700 | 762 | |||
Fulton Financial | 15,000 | 110 | |||
German American Bancorp | 2,100 | 33 | |||
Getty Realty † | 24,500 | 601 | |||
GFI Group | 113,200 | 818 | |||
Glacier Bancorp | 13,000 | 194 | |||
Gladstone Capital | 31,300 | 280 | |||
Gladstone Commercial † | 4,200 | 57 | |||
Great American Group * | 207,000 | 900 | |||
Great Southern Bancorp (A) | 17,800 | 422 | |||
Green Bankshares | 7,012 | 35 | |||
Greenlight Capital Re * | 10,700 | 201 | |||
Hallmark Financial Services * | 7,100 | 57 | |||
Hancock Holding (A) | 38,845 | 1,459 | |||
Hanover Insurance Group | 9,700 | 401 | |||
Harleysville National | 2,200 | 12 | |||
Hatteras Financial † (A) | 27,200 | 815 | |||
Health Care † | 6,700 | 279 | |||
Heartland Financial USA | 6,800 | 100 | |||
Hercules Technology Growth Capital | 103,206 | 1,013 | |||
Hersha Hospitality Trust † | 78,000 | 242 | |||
Highwoods Properties † | 26,600 | 837 | |||
Home Bancshares | 35,000 | 767 | |||
Description | Shares | Market Value ($ Thousands) | |||
Home Federal Bancorp | 34,200 | $ | 391 | ||
Horace Mann Educators (A) | 89,897 | 1,256 | |||
Hospitality Properties Trust † | 26,000 | 530 | |||
Host Hotels & Resorts † (A) | 227,055 | 2,672 | |||
HRPT Properties Trust † | 213,700 | 1,607 | |||
IBERIABANK (A) | 20,280 | 924 | |||
Independent Bank | 8,700 | 193 | |||
Infinity Property & Casualty (A) | 49,259 | 2,093 | |||
Inland Real Estate † | 21,500 | 188 | |||
International Bancshares (A) | 57,000 | 930 | |||
Investment Technology Group * | 9,900 | 276 | |||
Investors Bancorp * | 15,900 | 169 | |||
KBW * | 18,450 | 594 | |||
Kearny Financial | 6,800 | 71 | |||
Kimco Realty † | 147,200 | 1,920 | |||
Knight Capital Group, Cl A * | 16,400 | 357 | |||
Lakeland Bancorp | 8,800 | 66 | |||
Lakeland Financial | 4,600 | 95 | |||
Liberty Property Trust † | 28,900 | 940 | |||
LTC Properties † | 5,800 | 139 | |||
MainSource Financial Group | 56,400 | 384 | |||
Max Capital Group (A) | 77,000 | 1,646 | |||
MB Financial | 81,060 | 1,700 | |||
Meadowbrook Insurance Group | 289,600 | 2,143 | |||
Medical Properties Trust † (A) | 90,200 | 704 | |||
MFA Financial † | 239,912 | 1,910 | |||
MGIC Investment | 65,700 | 487 | |||
Mid-America Apartment Communities † (A) | 23,194 | 1,047 | |||
Montpelier Re Holdings (A) | 85,000 | 1,387 | |||
Nara Bancorp | 20,100 | 140 | |||
NASB Financial | 1,100 | 29 | |||
National Bankshares | 2,400 | 61 | |||
National Financial Partners | 73,200 | 638 | |||
National Interstate | 4,300 | 75 | |||
National Penn Bancshares | 163,881 | 1,001 | |||
National Retail Properties † | 11,900 | 256 | |||
Navigators Group * | 3,800 | 209 | |||
NBT Bancorp | 14,100 | 318 | |||
Nelnet, Cl A * | 133,900 | 1,666 | |||
NewAlliance Bancshares (A) | 101,849 | 1,090 | |||
NGP Capital Resources | 20,500 | 149 | |||
Northfield Bancorp | 2,500 | 32 | |||
Northrim BanCorp | 2,200 | 34 | |||
Northwest Bancorp | 11,100 | 253 | |||
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Norwood Financial | 400 | $ | 12 | ||
NYMAGIC | 6,200 | 107 | |||
OceanFirst Financial | 40,250 | 467 | |||
Ocwen Financial * | 39,700 | 449 | |||
Odyssey Re Holdings | 10,400 | 674 | |||
Old National Bancorp | 30,400 | 340 | |||
Old Second Bancorp | 9,700 | 56 | |||
Oppenheimer Holdings, Cl A | 19,200 | 468 | |||
Oriental Financial Group | 113,100 | 1,436 | |||
Pacific Capital Bancorp (A) | 48,900 | 70 | |||
Pacific Continental | 3,000 | 32 | |||
PacWest Bancorp (A) | 106,227 | 2,024 | |||
Park National (A) | 20,849 | 1,216 | |||
Parkway Properties † | 9,900 | 195 | |||
Peapack Gladstone Financial | 1,415 | 23 | |||
Pennsylvania Real Estate Investment Trust † (A) | 48,700 | 371 | |||
Penson Worldwide * | 22,000 | 214 | |||
Peoples Bancorp | 10,000 | 130 | |||
PHH * | 22,100 | 438 | |||
Pico Holdings * | 37,800 | 1,261 | |||
Pinnacle Financial Partners * | 400 | 5 | |||
Piper Jaffray * | 13,000 | 620 | |||
Platinum Underwriters Holdings | 96,879 | 3,472 | |||
Presidential Life | 31,600 | 327 | |||
PrivateBancorp | 5,700 | 139 | |||
ProAssurance * (A) | 33,510 | 1,749 | |||
Prosperity Bancshares | 47,400 | 1,649 | |||
Provident Financial Services | 36,900 | 380 | |||
Provident New York Bancorp | 20,800 | 199 | |||
Public Storage † | 22,000 | 1,655 | |||
Radian Group | 38,800 | 410 | |||
RAIT Financial Trust † (A) | 29,400 | 86 | |||
Ramco-Gershenson Properties † | 32,200 | 287 | |||
Raymond James Financial (A) | 30,200 | 703 | |||
Realty Income † | 13,100 | 336 | |||
Redwood Trust † | 52,700 | 817 | |||
Regency Centers † (A) | 79,000 | 2,927 | |||
Reinsurance Group of America, Cl A (A) | 45,186 | 2,015 | |||
Renasant | 51,400 | 763 | |||
Republic Bancorp, Cl A | 28,200 | 563 | |||
RLI | 4,500 | 238 | |||
S&T Bancorp (A) | 22,900 | 297 | |||
Safeguard Scientifics * | 19,300 | 212 | |||
Safety Insurance Group | 18,200 | 599 | |||
Sanders Morris Harris Group | 14,800 | 87 | |||
Sandy Spring Bancorp (A) | 12,550 | 204 | |||
Santander BanCorp * | 30,800 | 300 | |||
Description | Shares | Market Value ($ Thousands) | |||
Saul Centers † | 19,200 | $ | 616 | ||
SCBT Financial | 27,540 | 774 | |||
SeaBright Insurance Holdings * | 50,100 | 572 | |||
Seacoast Banking Corp of Florida | 53,500 | 135 | |||
Selective Insurance Group | 47,400 | 746 | |||
Senior Housing Properties Trust † | 9,600 | 183 | |||
Shore Bancshares | 2,200 | 37 | |||
Sierra Bancorp (A) | 17,400 | 209 | |||
Signature Bank NY * (A) | 67,669 | 1,962 | |||
Simmons First National, Cl A | 5,800 | 167 | |||
Simon Property Group † | 42,137 | 2,926 | |||
Smithtown Bancorp | 7,000 | 81 | |||
South Financial Group | 76,300 | 112 | |||
Southside Bancshares | 21,603 | 486 | |||
Southwest Bancorp | 21,700 | 305 | |||
Sovran Self Storage † | 1,200 | 37 | |||
StanCorp Financial Group | 15,000 | 606 | |||
Starwood Property Trust † | 44,500 | 901 | |||
State Bancorp | 6,900 | 58 | |||
StellarOne | 9,100 | 134 | |||
Sterling Bancorp, Cl N | 7,600 | 55 | |||
Sterling Bancshares | 79,700 | 583 | |||
Sterling Financial | 26,500 | 53 | |||
Stewart Information Services | 69,600 | 861 | |||
Student Loan | 17,500 | 812 | |||
Suffolk Bancorp | 4,100 | 121 | |||
Sun Bancorp * | 6,825 | 36 | |||
Sun Communities † | 32,500 | 699 | |||
Sunstone Hotel Investors † (A) | 89,994 | 639 | |||
Susquehanna Bancshares | 39,800 | 234 | |||
SVB Financial Group * | 14,700 | 636 | |||
SY Bancorp | 4,400 | 102 | |||
Synovus Financial | 316,968 | 1,189 | |||
TCF Financial (A) | 47,558 | 620 | |||
Texas Capital Bancshares * | 47,980 | 808 | |||
TICC Capital | 15,000 | 76 | |||
Tompkins Financial, Cl US | 12,300 | 538 | |||
Tower Bancorp | 500 | 13 | |||
TowneBank | 1,600 | 20 | |||
Tree.com * | 2,900 | 22 | |||
Trico Bancshares | 12,000 | 197 | |||
Trustco Bank NY | 130,900 | 818 | |||
Trustmark (A) | 43,600 | 831 | |||
UCBH Holdings (A) | 122,400 | 98 | |||
UDR † (A) | 87,100 | 1,371 | |||
UMB Financial | 8,700 | 352 | |||
Umpqua Holdings | 34,400 | 365 | |||
Unibail (France) † | 5,398 | 1,120 | |||
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Union Bankshares | 26,300 | $ | 327 | ||
United Bankshares (A) | 39,600 | 776 | |||
United Community Banks * | 28,498 | 142 | |||
United Financial Bancorp | 60,600 | 702 | |||
United Security Bancshares | 700 | 16 | |||
Univest Corp of Pennsylvania | 4,400 | 95 | |||
U-Store-It Trust † | 34,100 | 213 | |||
Validus Holdings | 70,790 | 1,826 | |||
Ventas † | 24,000 | 924 | |||
Verde Realty PIPE * (E) (F) | 21,100 | 445 | |||
ViewPoint Financial Group | 34,030 | 478 | |||
Vornado Realty Trust † (A) | 47,130 | 3,036 | |||
Washington Federal | 15,900 | 268 | |||
Washington Real Estate Investment Trust † | 23,300 | 671 | |||
Washington Trust Bancorp | 5,000 | 88 | |||
Webster Financial (A) | 30,100 | 375 | |||
WesBanco | 33,500 | 518 | |||
Westamerica Bancorporation | 9,500 | 494 | |||
Western Alliance Bancorp * (A) | 131,970 | 833 | |||
White Mountains Insurance Group | 3,200 | 982 | |||
Whitney Holding (A) | 38,000 | 363 | |||
Willis Group Holdings | 21,351 | 603 | |||
Wilshire Bancorp | 26,200 | 192 | |||
Wintrust Financial | 6,800 | 190 | |||
World Acceptance * (A) | 26,700 | 673 | |||
WSFS Financial | 28,800 | 767 | |||
Zenith National Insurance | 57,600 | 1,780 | |||
Zions Bancorporation (A) | 46,904 | 843 | |||
| 197,188 | |||||
Health Care — 4.7% | |||||
Affymetrix * | 9,700 | 85 | |||
Albany Molecular Research * | 11,400 | 99 | |||
American Dental Partners * | 4,500 | 63 | |||
AMERIGROUP * | 3,800 | 84 | |||
AMN Healthcare Services * (A) | 181,400 | 1,725 | |||
Amsurg * (A) | 60,150 | 1,277 | |||
Cantel Medical * | 19,100 | 288 | |||
Centene * | 6,900 | 131 | |||
Conmed * | 97,235 | 1,864 | |||
Cooper (A) | 43,813 | 1,302 | |||
Cross Country Healthcare * (A) | 122,100 | 1,137 | |||
Exactech * | 40,760 | 641 | |||
Healthspring * | 75,100 | 920 | |||
HealthTronics * | 215,410 | 530 | |||
Healthways * | 43,400 | 665 | |||
Description | Shares | Market Value ($ Thousands) | |||
Hill-Rom Holdings | 31,800 | $ | 693 | ||
ICU Medical * | 10,000 | 369 | |||
Invacare | 25,600 | 570 | |||
inVentiv Health * | 33,000 | 552 | |||
Inverness Medical Innovations * | 7,700 | 298 | |||
Kensey Nash * | 25,527 | 739 | |||
Kindred Healthcare * | 55,800 | 906 | |||
Kinetic Concepts * (A) | 32,400 | 1,198 | |||
King Pharmaceuticals * | 20,400 | 220 | |||
Life Sciences Research * | 60,200 | 479 | |||
LifePoint Hospitals * | 11,400 | 308 | |||
Lincare Holdings * (A) | 21,200 | 662 | |||
Magellan Health Services * | 21,300 | 662 | |||
Martek Biosciences * | 4,300 | 97 | |||
Medical Action Industries * | 11,100 | 134 | |||
Medical Staffing Network Holdings * | 110,800 | 61 | |||
Molina Healthcare * (A) | 27,300 | 565 | |||
National Dentex * | 16,100 | 137 | |||
Nighthawk Radiology Holdings * | 59,258 | 428 | |||
NovaMed * | 71,900 | 326 | |||
Orthofix International * | 3,700 | 109 | |||
Par Pharmaceutical * | 78,200 | 1,682 | |||
Patterson * (A) | 32,702 | 891 | |||
PDL BioPharma | 64,700 | 510 | |||
RehabCare Group * | 6,200 | 134 | |||
Res-Care * | 36,195 | 514 | |||
Sepracor * | 15,200 | 348 | |||
STERIS | 28,600 | 871 | |||
Sun Healthcare Group * | 27,400 | 237 | |||
Symmetry Medical * | 29,300 | 304 | |||
Triple-S Management, Cl B * | 4,300 | 72 | |||
Universal American Financial * | 64,530 | 608 | |||
Universal Health Services, Cl B | 30,612 | 1,896 | |||
US Physical Therapy * | 2,900 | 44 | |||
Valeant Pharmaceuticals International * | 1,300 | 36 | |||
Varian * (A) | 34,900 | 1,782 | |||
Young Innovations | 2,500 | 66 | |||
| 30,319 | |||||
Industrials — 14.3% | |||||
AAR * (A) | 27,900 | 612 | |||
ACCO Brands * | 54,700 | 395 | |||
Actuant, Cl A | 14,200 | 228 | |||
Acuity Brands (A) | 49,500 | 1,595 | |||
Aegean Marine Petroleum Network | 24,500 | 551 | |||
Aircastle | 67,300 | 651 | |||
Airtran Holdings * | 51,200 | 320 | |||
Alamo Group | 5,800 | 92 | |||
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Alaska Air Group * | 13,900 | $ | 373 | ||
Ampco-Pittsburgh | 37,300 | 992 | |||
AO Smith (A) | 20,700 | 789 | |||
Apogee Enterprises | 75,200 | 1,129 | |||
Applied Industrial Technologies | 18,425 | 390 | |||
Arkansas Best (A) | 48,700 | 1,458 | |||
Astec Industries * (A) | 37,000 | 942 | |||
Baldor Electric | 8,200 | 224 | |||
BE Aerospace * | 129,196 | 2,602 | |||
Beacon Roofing Supply * | 29,700 | 475 | |||
Belden (A) | 69,676 | 1,610 | |||
Brady, Cl A | 37,923 | 1,089 | |||
CAI International * | 52,700 | 389 | |||
Celadon Group * | 54,620 | 618 | |||
Chart Industries * | 24,700 | 533 | |||
Columbus McKinnon * | 28,100 | 426 | |||
Comfort Systems USA (A) | 122,500 | 1,420 | |||
Consolidated Graphics * | 19,200 | 479 | |||
Continental Airlines, Cl B * | 16,200 | 266 | |||
Cornell * | 31,130 | 699 | |||
Corrections Corp of America * | 19,200 | 435 | |||
Courier | 32,250 | 489 | |||
Crane | 37,200 | 960 | |||
Cubic | 5,200 | 205 | |||
Deluxe | 67,100 | 1,147 | |||
Diamond Management & Technology Consultants | 90,400 | 619 | |||
Ducommun | 5,400 | 102 | |||
Dycom Industries * | 142,600 | 1,754 | |||
DynCorp International, Cl A * | 31,000 | 558 | |||
EMCOR Group * | 123,700 | 3,132 | |||
EnergySolutions | 30,900 | 285 | |||
EnerSys * | 30,300 | 670 | |||
EnPro Industries * (A) | 27,900 | 638 | |||
Esterline Technologies * | 24,938 | 978 | |||
Federal Signal | 44,900 | 323 | |||
Force Protection * | 90,500 | 494 | |||
FreightCar America | 9,200 | 224 | |||
G&K Services | 40,240 | 892 | |||
Gardner Denver * | 39,362 | 1,373 | |||
GATX (A) | 21,600 | 604 | |||
Genco Shipping & Trading (A) | 44,800 | 931 | |||
Genesee & Wyoming, Cl A * | 7,600 | 230 | |||
Geo Group * | 36,900 | 744 | |||
GP Strategies * | 10,400 | 78 | |||
Granite Construction (A) | 31,400 | 972 | |||
Great Lakes Dredge & Dock | 28,800 | 201 | |||
GT Solar International * (A) | 57,700 | 335 | |||
Harsco | 7,100 | 251 | |||
Healthcare Services Group | 9,800 | 180 | |||
Description | Shares | Market Value ($ Thousands) | |||
Hexcel * | 61,700 | $ | 706 | ||
Hudson Highland Group * | 117,400 | 357 | |||
ICF International * | 11,000 | 333 | |||
IDEX | 77,409 | 2,164 | |||
Integrated Electrical Services * | 2,500 | 20 | |||
Interface, Cl A | 89,637 | 744 | |||
International Shipholding | 2,600 | 80 | |||
Kadant * | 44,817 | 544 | |||
Kansas City Southern * | 35,051 | 929 | |||
Kaydon (A) | 49,302 | 1,598 | |||
Kelly Services, Cl A (A) | 19,700 | 242 | |||
Kforce * | 97,000 | 1,166 | |||
Kirby * (A) | 25,900 | 953 | |||
Knight Transportation | 13,300 | 223 | |||
Knoll | 48,200 | 503 | |||
Korn/Ferry International * (A) | 62,000 | 905 | |||
LaBarge * | 2,600 | 29 | |||
LECG * | 109,400 | 384 | |||
M&F Worldwide * | 20,800 | 421 | |||
Manitowoc | 23,100 | 219 | |||
McDermott International * | 24,200 | 612 | |||
Mcgrath Rentcorp | 43,100 | 917 | |||
Monster Worldwide * (A) | 88,500 | 1,547 | |||
MPS Group * | 136,100 | 1,432 | |||
Mueller Industries | 56,000 | 1,337 | |||
Mueller Water Products, Cl A | 65,600 | 359 | |||
NACCO Industries, Cl A | 7,400 | 444 | |||
Old Dominion Freight Line * | 5,600 | 170 | |||
Pacer International (A) | 42,000 | 162 | |||
Powell Industries * | 2,400 | 92 | |||
Quanex Building Products | 112,675 | 1,618 | |||
Rand Logistics * | 33,778 | 108 | |||
Regal-Beloit | 20,200 | 923 | |||
Republic Airways Holdings * (A) | 27,800 | 259 | |||
Robbins & Myers | 7,800 | 183 | |||
Ryder System | 48,900 | 1,910 | |||
School Specialty * (A) | 92,307 | 2,190 | |||
Skywest | 79,900 | 1,325 | |||
Spherion * | 99,700 | 619 | |||
Spirit Aerosystems Holdings, Cl A * | 70,800 | 1,279 | |||
Standex International | 28,100 | 557 | |||
Steelcase, Cl A (A) | 62,200 | 386 | |||
SYKES Enterprises * | 24,900 | 518 | |||
Teledyne Technologies * | 62,430 | 2,247 | |||
Teleflex | 35,417 | 1,711 | |||
Terex * | 77,118 | 1,599 | |||
Textainer Group Holdings | 25,200 | 403 | |||
Thomas & Betts * (A) | 35,300 | 1,062 | |||
Tredegar | 9,200 | 133 | |||
7 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Triumph Group | 31,922 | $ | 1,532 | ||
TrueBlue * | 77,900 | 1,096 | |||
Ultrapetrol Bahamas * | 33,900 | 167 | |||
United Stationers * (A) | 12,400 | 590 | |||
VSE | 7,300 | 285 | |||
Waste Services * | 24,900 | 115 | |||
Watson Wyatt Worldwide, Cl A (A) | 80,359 | 3,500 | |||
Watts Water Technologies, Cl A (A) | 32,897 | 995 | |||
Werner Enterprises | 54,900 | 1,023 | |||
WESCO International * | 63,235 | 1,821 | |||
Woodward Governor (A) | 64,400 | 1,562 | |||
YRC Worldwide * (A) | 24,900 | 111 | |||
| 92,570 | |||||
Information Technology — 13.1% | |||||
3Com * | 119,500 | 625 | |||
Actel * | 72,900 | 887 | |||
Actuate * | 46,100 | 266 | |||
Acxiom | 88,400 | 836 | |||
ADC Telecommunications * | 102,500 | 855 | |||
Advanced Energy Industries * | 23,800 | 339 | |||
Agilysys | 13,000 | 86 | |||
Anixter International * (A) | 13,700 | 549 | |||
Arris Group * | 118,100 | 1,537 | |||
Arrow Electronics * | 59,800 | 1,683 | |||
Atmel * | 33,000 | 138 | |||
ATMI * | 33,100 | 601 | |||
Avocent * (A) | 70,092 | 1,421 | |||
Benchmark Electronics * (A) | 180,800 | 3,254 | |||
Black Box | 52,653 | 1,321 | |||
CACI International, Cl A * | 50,526 | 2,388 | |||
CDC Software ADR * | 152,600 | 1,412 | |||
Checkpoint Systems * | 32,600 | 536 | |||
Ciber * | 288,000 | 1,152 | |||
Ciena * | 18,200 | 296 | |||
Coherent * | 86,047 | 2,007 | |||
CommScope * | 7,100 | 213 | |||
Comtech Telecommunications * | 5,200 | 173 | |||
CPI International * | 19,000 | 213 | |||
CSG Systems International * | 77,000 | 1,233 | |||
CTS | 54,900 | 511 | |||
Diebold | 45,984 | 1,514 | |||
Digi International * | 80,800 | 688 | |||
Diodes * | 17,900 | 324 | |||
Double-Take Software * | 13,790 | 141 | |||
DSP Group * | 18,300 | 149 | |||
Earthlink (A) | 255,600 | 2,149 | |||
Emulex * | 86,176 | 887 | |||
Entegris * | 58,600 | 290 | |||
Epicor Software * | 60,300 | 384 | |||
Fair Isaac (A) | 63,000 | 1,354 | |||
Fairchild Semiconductor International * | 57,800 | 591 | |||
Description | Shares | Market Value ($ Thousands) | |||
Harris Stratex Networks, Cl A * | 18,900 | $ | 132 | ||
i2 Technologies * | 36,900 | 592 | |||
Imation | 87,100 | 807 | |||
Integrated Device Technology * | 45,600 | 308 | |||
Intermec * | 47,500 | 670 | |||
Jabil Circuit | 29,500 | 396 | |||
Jack Henry & Associates | 37,600 | 883 | |||
JDA Software Group * | 44,500 | 976 | |||
Lawson Software * (A) | 461,668 | 2,881 | |||
LeCroy * (A) | 38,900 | 158 | |||
Lexmark International, Cl A * | 58,300 | 1,256 | |||
Lionbridge Technologies * | 73,530 | 191 | |||
Littelfuse * | 62,796 | 1,648 | |||
LTX-Credence * (A) | 230,300 | 380 | |||
Manhattan Associates * | 84,600 | 1,709 | |||
Mantech International, Cl A * | 10,800 | 509 | |||
MAXIMUS | 31,200 | 1,454 | |||
Mentor Graphics * | 35,200 | 328 | |||
Methode Electronics | 88,700 | 769 | |||
MicroStrategy, Cl A * | 27,900 | 1,996 | |||
MKS Instruments * | 14,100 | 272 | |||
Multi-Fineline Electronix * | 55,900 | 1,605 | |||
NCR * | 56,300 | 778 | |||
Ness Technologies * | 48,500 | 383 | |||
Omnivision Technologies * | 30,100 | 490 | |||
Orbotech * | 126,400 | 1,195 | |||
OSI Systems * | 22,100 | 404 | |||
Parametric Technology * | 137,709 | 1,903 | |||
Perot Systems, Cl A * | 42,797 | 1,271 | |||
Photronics * | 72,700 | 345 | |||
Plantronics | 9,900 | 265 | |||
PLATO Learning * | 51,300 | 222 | |||
Plexus * | 10,800 | 284 | |||
Progress Software * | 48,400 | 1,096 | |||
QLogic * | 15,900 | 273 | |||
Quantum * | 343,200 | 432 | |||
Radisys * (A) | 71,300 | 620 | |||
RADWARE * | 35,900 | 403 | |||
RF Micro Devices * | 61,900 | 336 | |||
Richardson Electronics | 54,504 | 278 | |||
Rudolph Technologies * | 110,300 | 816 | |||
Sapient * | 18,500 | 149 | |||
Scansource * | 14,300 | 405 | |||
Sigma Designs * (A) | 12,200 | 177 | |||
Silicon Graphics International * | 62,400 | 419 | |||
Skyworks Solutions * | 2,200 | 29 | |||
SPSS * | 19,900 | 994 | |||
SRA International, Cl A * (A) | 70,600 | 1,524 | |||
Standard Microsystems * | 23,900 | 555 | |||
Sybase * (A) | 41,524 | 1,615 | |||
SYNNEX * (A) | 42,600 | 1,298 | |||
Synopsys * (A) | 32,705 | 733 | |||
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Technitrol | 128,500 | $ | 1,183 | ||
Techwell * | 41,800 | 459 | |||
Tellabs * | 30,700 | 212 | |||
TIBCO Software * | 147,400 | 1,399 | |||
Tyler Technologies * (A) | 21,600 | 369 | |||
Ultra Clean Holdings * | 83,000 | 428 | |||
Ultratech * | 80,400 | 1,064 | |||
United Online | 151,200 | 1,216 | |||
Varian Semiconductor Equipment Associates * | 32,900 | 1,081 | |||
Veeco Instruments * | 18,500 | 431 | |||
Web.com Group * | 98,400 | 698 | |||
Wright Express * | 15,500 | 458 | |||
Xyratex * | 127,926 | 1,217 | |||
Zebra Technologies, Cl A * | 58,030 | 1,505 | |||
Zoran * | 29,200 | 336 | |||
| 84,671 | |||||
Materials — 4.7% | |||||
AEP Industries * | 9,400 | 375 | |||
AK Steel Holding | 9,100 | 179 | |||
Albemarle | 8,800 | 305 | |||
Allied Nevada Gold * | 20,000 | 196 | |||
Aptargroup | 31,796 | 1,188 | |||
Buckeye Technologies * | 82,900 | 889 | |||
Bway Holding * | 28,500 | 527 | |||
Cabot | 42,534 | 983 | |||
Carpenter Technology | 26,900 | 629 | |||
Clearwater Paper * | 19,300 | 798 | |||
Commercial Metals | 9,700 | 174 | |||
Cytec Industries | 31,814 | 1,033 | |||
Eagle Materials (A) | 17,400 | 497 | |||
Ferro (A) | 35,100 | 312 | |||
H.B. Fuller | 70,800 | 1,480 | |||
Innophos Holdings | 15,700 | 290 | |||
International Flavors & Fragrances | 32,670 | 1,239 | |||
Intrepid Potash * | 11,700 | 276 | |||
Kaiser Aluminum | 11,000 | 400 | |||
LSB Industries * | 8,800 | 137 | |||
Mercer International * (A) | 64,200 | 218 | |||
Myers Industries | 23,100 | 249 | |||
Neenah Paper | 60,400 | 711 | |||
NewMarket | 10,000 | 930 | |||
Olin (A) | 119,362 | 2,082 | |||
OM Group * (A) | 77,504 | 2,355 | |||
Omnova Solutions * | 31,900 | 207 | |||
PolyOne * | 208,200 | 1,389 | |||
Quaker Chemical | 54,800 | 1,202 | |||
Rock-Tenn, Cl A | 17,700 | 834 | |||
Rockwood Holdings * | 17,900 | 368 | |||
RTI International Metals * | 44,984 | 1,121 | |||
Schnitzer Steel Industries, Cl A | 3,200 | 170 | |||
Schulman A | 20,500 | 409 | |||
Schweitzer-Mauduit International | 16,400 | 891 | |||
Description | Shares | Market Value ($ Thousands) | |||
Sensient Technologies | 45,300 | $ | 1,258 | ||
Silgan Holdings | 34,949 | 1,843 | |||
Solutia * | 90,800 | 1,051 | |||
Spartech | 23,200 | 250 | |||
Stepan | 8,700 | 523 | |||
Wausau Paper | 18,800 | 188 | |||
| 30,156 | |||||
Telecommunication Services — 0.5% | |||||
Atlantic Telegraph-Network | 1,900 | 101 | |||
Cincinnati Bell * | 297,300 | 1,041 | |||
Global Crossing * | 25,200 | 360 | |||
iPCS * | 18,200 | 317 | |||
Premiere Global Services * | 26,200 | 218 | |||
Syniverse Holdings * | 22,400 | 392 | |||
USA Mobility | 73,300 | 945 | |||
| 3,374 | |||||
Utilities — 5.0% | |||||
AGL Resources | 50,717 | 1,789 | |||
Allete (A) | 24,600 | 826 | |||
Avista (A) | 16,100 | 326 | |||
Black Hills | 10,400 | 262 | |||
Central Vermont Public Service | 16,500 | 318 | |||
CH Energy Group | 3,800 | 168 | |||
Chesapeake Utilities | 8,700 | 270 | |||
Cleco | 75,200 | 1,886 | |||
El Paso Electric * | 134,700 | 2,380 | |||
Empire District Electric (A) | 34,100 | 617 | |||
Great Plains Energy (A) | 198,798 | 3,568 | |||
Idacorp | 68,065 | 1,960 | |||
New Jersey Resources | 26,900 | 977 | |||
Northwest Natural Gas (A) | 16,400 | 683 | |||
NorthWestern | 99,600 | 2,433 | |||
NV Energy | 59,600 | 691 | |||
PNM Resources | 21,600 | 252 | |||
Portland General Electric | 272,387 | 5,371 | |||
South Jersey Industries | 5,062 | 179 | |||
Southwest Gas | 49,000 | 1,253 | |||
UGI | 23,400 | 586 | |||
UIL Holdings | 40,800 | 1,077 | |||
Unisource Energy | 17,400 | 535 | |||
Vectren | 95,400 | 2,198 | |||
Westar Energy | 58,106 | 1,134 | |||
WGL Holdings | 13,000 | 430 | |||
| 32,169 | |||||
Total Common Stock | 589,302 | ||||
9 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small Cap Value Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | ||||
EXCHANGE TRADED FUND — 0.1% | ||||||
iShares Russell 2000 Index Fund (A) | 7,209 | 434 | ||||
Total Exchange Traded Fund | 434 | |||||
| Number of Warrants | ||||||
WARRANTS — 0.0% | ||||||
Washington Mutual Expires 2050 (G) * | 30,242 | 1 | ||||
Total Warrants | 1 | |||||
CONVERTIBLE BOND — 0.1% | ||||||
Financials — 0.1% | ||||||
Forest City Enterprises CV to 15.0631 | ||||||
3.625%, 10/15/11 | 649 | 589 | ||||
Total Convertible Bond | 589 | |||||
AFFILIATED PARTNERSHIP — 17.5% | ||||||
SEI Liquidity Fund, L.P., 0.400% (B) ** †† | 116,863,538 | 112,791 | ||||
Total Affiliated Partnership | 112,791 | |||||
| Shares/Face Amount ($ Thousands) | ||||||
CASH EQUIVALENT — 5.4% | ||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110% ** †† | 35,083,722 | 35,084 | ||||
Total Cash Equivalent | 35,084 | |||||
U.S. TREASURY OBLIGATIONS — 0.5% | ||||||
U.S. Treasury Bills | ||||||
0.075%, 01/07/10 (C) (D) | $ | 1,600 | $ | 1,599 | ||
0.123%, 12/03/09 (C) (D) | 1,755 | 1,755 | ||||
Total U.S. Treasury Obligations | 3,354 | |||||
Total Investments — 114.8% | $ | 741,555 | ||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Depreciation ($ Thousands) | |||||
Russell 2000 Index E-MINI | 714 | Dec-2009 | $ | (149 | ) | |||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $645,730 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Real Estate Investment Trust. |
| †† | Investment in Affiliated Security. |
| ‡ | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
| (A) | This security or a partial position of this security is on loan at September 30, 2009. The total market value of securities on loan at September 30, 2009 was $112,352 ($ Thousands). |
| (B) | This security was purchased with cash collateral received from securities on loan. The total market value of such securities as of September 30, 2009 was $112,791 ($ Thousands). |
| (C) | The rate reported is the effective yield at the time of purchase. |
| (D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
| (E) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2009 was $445 ($ Thousands) and represented 0.07% of Net Assets. |
| (F) | Security considered illiquid and restricted. The total market value of such securities as of September 30, 2009 was $445 ($ Thousands) and represented 0.07% of Net Assets. |
| (G) | This warrant represents a potential distribution settlement in a legal claim and does not have a strike price or expiration date. |
ADR — American Depositary Receipt
Cl — Class
CV — Convertible Security
L.P. — Limited Partnership
PIPE — Private Investment in Public Entity
10 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small Cap Growth Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
COMMON STOCK — 93.9%‡ | |||||
Consumer Discretionary — 16.9% | |||||
99 Cents Only Stores * (A) | 32,700 | $ | 440 | ||
Aaron Rents | 15,919 | 420 | |||
Aeropostale * | 4,860 | 211 | |||
American Axle & Manufacturing Holdings | 10,600 | 75 | |||
American Eagle Outfitters | 43,950 | 741 | |||
American Greetings, Cl A | 12,149 | 271 | |||
American Public Education * | 59,833 | 2,079 | |||
Amerigon * (A) | 76,849 | 565 | |||
Ameristar Casinos (A) | 12,018 | 190 | |||
ArvinMeritor (A) | 6,600 | 52 | |||
ATC Technology * | 15,500 | 306 | |||
Bally Technologies * | 24,060 | 923 | |||
Bebe Stores | 85,609 | 630 | |||
Belo, Cl A | 25,862 | 140 | |||
Big 5 Sporting Goods | 21,000 | 317 | |||
BJ’s Restaurants * (A) | 59,405 | 890 | |||
Blue Nile * | 3,854 | 240 | |||
Brinker International | 11,100 | 175 | |||
Brink’s Home Security Holdings * | 22,845 | 703 | |||
Buckle | 10,138 | 346 | |||
Buffalo Wild Wings * | 22,611 | 941 | |||
Build-A-Bear Workshop * | 18,098 | 88 | |||
California Pizza Kitchen * | 66,325 | 1,036 | |||
Capella Education * (A) | 9,913 | 667 | |||
Career Education * (A) | 28,085 | 685 | |||
Carter’s * | 64,700 | 1,728 | |||
Cato, Cl A | 46,782 | 949 | |||
Century Casinos * | 126,418 | 367 | |||
Charlotte Russe Holding * | 32,900 | 576 | |||
Cheesecake Factory * (A) | 58,662 | 1,086 | |||
Chico’s FAS * (A) | 33,000 | 429 | |||
Childrens Place Retail Stores * | 3,100 | 93 | |||
Christopher & Banks | 31,150 | 211 | |||
Citi Trends * (A) | 25,700 | 732 | |||
CKE Restaurants | 9,600 | 101 | |||
CKX * | 14,000 | 94 | |||
Coldwater Creek * | 24,131 | 198 | |||
Collective Brands * | 8,546 | 148 | |||
Cooper Tire & Rubber | 31,860 | 560 | |||
Core-Mark Holding * | 4,600 | 132 | |||
Corinthian Colleges * | 55,690 | 1,034 | |||
Cracker Barrel Old Country Store | 20,109 | 692 | |||
Dana Holding * | 19,690 | 134 | |||
Deckers Outdoor * | 6,992 | 593 | |||
Denny’s * | 57,781 | 154 | |||
Dick’s Sporting Goods * (A) | 52,360 | 1,173 | |||
Description | Shares | Market Value ($ Thousands) | |||
DineEquity | 24,633 | $ | 610 | ||
Domino’s Pizza * | 23,749 | 210 | |||
Dress Barn * (A) | 44,800 | 803 | |||
Federal Mogul, Cl A * | 60,122 | 726 | |||
Finish Line, Cl A | 135,221 | 1,374 | |||
Foot Locker | 21,030 | 251 | |||
Fossil * | 12,903 | 367 | |||
Fred’s, Cl A | 37,300 | 475 | |||
Fuel Systems Solutions * (A) | 12,736 | 458 | |||
Gannett | 25,806 | 323 | |||
Grand Canyon Education * | 42,113 | 751 | |||
Gymboree * | 12,546 | 607 | |||
Hibbett Sports * (A) | 49,880 | 909 | |||
HOT Topic * | 100,600 | 753 | |||
HSN * | 53,500 | 871 | |||
Iconix Brand Group * | 72,703 | 907 | |||
Insight Enterprises * | 42,276 | 516 | |||
Interactive Data | 30,361 | 796 | |||
Isle of Capri Casinos * | 43,500 | 513 | |||
J Crew Group * | 64,130 | 2,297 | |||
Jack in the Box * | 23,800 | 488 | |||
Jarden | 66,660 | 1,871 | |||
Jo-Ann Stores * (A) | 12,223 | 328 | |||
Jones Apparel Group | 93,180 | 1,671 | |||
JOS A Bank Clothiers * (A) | 23,700 | 1,061 | |||
K12 * (A) | 37,689 | 621 | |||
Kirkland’s * | 107,500 | 1,532 | |||
Knology * | 18,100 | 176 | |||
Life Time Fitness * (A) | 115,060 | 3,227 | |||
Live Nation * | 24,801 | 203 | |||
Liz Claiborne | 31,671 | 156 | |||
Lululemon Athletica * (A) | 64,251 | 1,462 | |||
Lumber Liquidators * | 5,100 | 111 | |||
Maidenform Brands * | 20,612 | 331 | |||
Marcus | 14,500 | 185 | |||
Marvel Entertainment * | 3,563 | 177 | |||
Matthews International, Cl A | 6,619 | 234 | |||
Mediacom Communications, Cl A * | 28,732 | 165 | |||
Morningstar * (A) | 23,777 | 1,155 | |||
National CineMedia | 47,645 | 809 | |||
Nordstrom | 26,525 | 810 | |||
Nutri/System (A) | 42,227 | 644 | |||
NVR * | 1,445 | 921 | |||
Office Depot * | 19,271 | 128 | |||
OfficeMax | 15,419 | 194 | |||
Orient-Express Hotels, Cl A | 126,599 | 1,457 | |||
Overstock.com * | 8,462 | 124 | |||
Oxford Industries | 27,500 | 542 | |||
Peet’s Coffee & Tea * (A) | 21,242 | 600 | |||
Penske Auto Group | 7,289 | 140 | |||
PetMed Express | 7,266 | 137 | |||
PetSmart | 31,415 | 683 | |||
PF Chang’s China Bistro * (A) | 27,440 | 932 | |||
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small Cap Growth Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Pinnacle Entertainment * | 153,236 | $ | 1,561 | ||
Pre-Paid Legal Services * | 6,800 | 345 | |||
RadioShack | 11,403 | 189 | |||
Red Robin Gourmet Burgers * | 25,100 | 513 | |||
Saks * | 105,270 | 718 | |||
Sally Beauty Holdings * | 7,000 | 50 | |||
Signet Jewelers * | 9,887 | 261 | |||
Sinclair Broadcast Group, Cl A | 91,637 | 328 | |||
Smith & Wesson Holding * | 32,090 | 168 | |||
Sonic Automotive, Cl A | 14,244 | 150 | |||
Sotheby’s | 31,085 | 536 | |||
Spartan Motors | 21,617 | 111 | |||
Stamps.com * | 15,919 | 147 | |||
Standard-Pacific * | 58,399 | 216 | |||
Steiner Leisure * | 13,700 | 490 | |||
Steven Madden * | 900 | 33 | |||
Sturm Ruger (A) | 69,060 | 893 | |||
Tempur-Pedic International (A) | 132,106 | 2,502 | |||
Tenneco * | 28,400 | 370 | |||
Texas Roadhouse, Cl A * | 52,268 | 555 | |||
Ticketmaster * | 24,082 | 282 | |||
Titan International | 78,593 | 700 | |||
Tractor Supply * (A) | 36,196 | 1,753 | |||
True Religion Apparel * (A) | 13,400 | 347 | |||
TRW Automotive Holdings * | 7,206 | 121 | |||
Tupperware Brands | 17,971 | 717 | |||
Ulta Salon Cosmetics & Fragrance * | 47,058 | 777 | |||
Under Armour, Cl A * | 25,735 | 716 | |||
Universal Electronics * | 4,441 | 91 | |||
Universal Technical Institute * | 23,873 | 470 | |||
Urban Outfitters * | 25,305 | 763 | |||
Valassis Communications * | 20,360 | 364 | |||
Volcom * | 6,452 | 106 | |||
Warnaco Group * | 14,998 | 658 | |||
Wendy’s, Cl A | 40,050 | 189 | |||
Wet Seal, Cl A * | 36,800 | 139 | |||
Williams-Sonoma | 6,954 | 141 | |||
WMS Industries * | 12,014 | 535 | |||
Wolverine World Wide | 4,357 | 108 | |||
Wonder Auto Technology * | 11,479 | 138 | |||
| 81,358 | |||||
Consumer Staples — 2.2% | |||||
Alliance One International * | 45,999 | 206 | |||
American Italian Pasta, Cl A * | 27,200 | 739 | |||
American Oriental Bioengineering * | 34,604 | 168 | |||
Cal-Maine Foods | 9,058 | 243 | |||
Casey’s General Stores | 17,428 | 547 | |||
Chiquita Brands International * | 19,941 | 322 | |||
Description | Shares | Market Value ($ Thousands) | |||
Darling International * | 121,409 | $ | 892 | ||
Diamond Foods | 11,730 | 372 | |||
Flowers Foods | 13,992 | 368 | |||
Fresh Del Monte Produce * | 7,206 | 163 | |||
Herbalife | 4,815 | 158 | |||
J&J Snack Foods | 13,700 | 592 | |||
Lancaster Colony (A) | 23,900 | 1,225 | |||
Nash Finch | 10,388 | 284 | |||
Nu Skin Enterprises, Cl A | 38,500 | 713 | |||
Pantry * | 17,432 | 273 | |||
Rite Aid * | 24,500 | 40 | |||
Sanderson Farms | 11,898 | 448 | |||
Smart Balance * | 260,416 | 1,599 | |||
Spartan Stores | 11,646 | 164 | |||
Star Scientific * | 92,919 | 86 | |||
United Natural Foods * | 13,155 | 315 | |||
USANA Health Sciences * | 7,635 | 261 | |||
Whole Foods Market * | 3,351 | 102 | |||
Winn-Dixie Stores * | 9,116 | 120 | |||
| 10,400 | |||||
Energy — 5.0% | |||||
Arena Resources * (A) | 41,930 | 1,488 | |||
Atlas Energy | 5,530 | 150 | |||
BPZ Energy PIPE * | 12,500 | 94 | |||
BPZ Resources * | 62,793 | 472 | |||
CARBO Ceramics (A) | 14,100 | 727 | |||
Carrizo Oil & Gas * | 40,144 | 983 | |||
CNX Gas * | 2,597 | 80 | |||
Comstock Resources * | 37,134 | 1,488 | |||
Contango Oil & Gas * | 11,400 | 582 | |||
CVR Energy * | 8,898 | 111 | |||
Delek US Holdings | 8,965 | 77 | |||
Denbury Resources * | 11,730 | 177 | |||
Dresser-Rand Group * | 43,505 | 1,352 | |||
Dril-Quip * | 500 | 25 | |||
EXCO Resources | 9,000 | 168 | |||
Frontier Oil | 22,100 | 308 | |||
General Maritime (A) | 29,300 | 227 | |||
Global Industries * (A) | 69,800 | 663 | |||
Goodrich Petroleum * (A) | 27,007 | 697 | |||
Gulf Island Fabrication | 9,217 | 173 | |||
Infinity Bio-Energy * | 741,494 | 30 | |||
Kinder Morgan Management * | 22,406 | 1,061 | |||
Lufkin Industries | 2,282 | 121 | |||
Matrix Service * | 10,306 | 112 | |||
McMoRan Exploration * (A) | 16,246 | 123 | |||
NATCO Group, Cl A * | 500 | 22 | |||
Nordic American Tanker Shipping, Cl US | 4,524 | 134 | |||
PetroHawk Energy * | 98,258 | 2,379 | |||
Petroquest Energy * | 176,765 | 1,147 | |||
Quicksilver Resources * | 173,499 | 2,462 | |||
SandRidge Energy * | 15,606 | 202 | |||
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small Cap Growth Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Stone Energy * | 11,874 | $ | 194 | ||
Superior Energy Services * | 20,393 | 459 | |||
Vaalco Energy | 126,600 | 582 | |||
Willbros Group * (A) | 128,108 | 1,951 | |||
World Fuel Services (A) | 67,611 | 3,250 | |||
| 24,271 | |||||
Financials — 4.5% | |||||
Affiliated Managers Group * (A) | 24,973 | 1,624 | |||
Alexander’s † | 100 | 29 | |||
Amtrust Financial Services | 12,100 | 138 | |||
Bank of the Ozarks (A) | 23,700 | 629 | |||
Calamos Asset Management, Cl A | 5,000 | 65 | |||
CapitalSource | 132,595 | 575 | |||
Cardtronics * | 136,614 | 1,068 | |||
Cohen & Steers | 12,819 | 308 | |||
DuPont Fabros Technology † (A) | 9,600 | 128 | |||
EastGroup Properties † | 1,300 | 50 | |||
eHealth * | 18,851 | 274 | |||
Equity Lifestyle Properties † | 1,800 | 77 | |||
Equity One † | 13,657 | 214 | |||
First Cash Financial Services * | 7,600 | 130 | |||
First Financial Bankshares (A) | 1,800 | 89 | |||
Getty Realty † | 19,998 | 491 | |||
GFI Group | 70,000 | 506 | |||
GLG Partners | 174,254 | 702 | |||
Greenhill | 10,916 | 978 | |||
Hercules Technology Growth Capital | 11,289 | 111 | |||
Janus Capital Group | 34,695 | 492 | |||
Jones Lang LaSalle | 19,390 | 918 | |||
Knight Capital Group, Cl A * | 28,417 | 618 | |||
Life Partners Holdings (A) | 22,000 | 394 | |||
LTC Properties † | 17,255 | 415 | |||
MarketAxess Holdings * | 133,553 | 1,609 | |||
MGIC Investment | 192,200 | 1,424 | |||
Mid-America Apartment Communities † | 1,500 | 68 | |||
MSCI, Cl A * | 38,757 | 1,148 | |||
Nelnet, Cl A * | 40,100 | 499 | |||
NewAlliance Bancshares (A) | 26,300 | 281 | |||
Omega Healthcare Investors † | 2,800 | 45 | |||
optionsXpress Holdings | 28,667 | 495 | |||
Penson Worldwide * (A) | 14,700 | 143 | |||
Potlatch † | 2,200 | 62 | |||
PS Business Parks † | 500 | 26 | |||
Redwood Trust † | 35,487 | 550 | |||
Riskmetrics Group * (A) | 61,400 | 898 | |||
Signature Bank NY * | 1,200 | 35 | |||
Description | Shares | Market Value ($ Thousands) | |||
Stifel Financial * | 3,933 | $ | 216 | ||
SVB Financial Group * | 19,400 | 839 | |||
SWS Group | 6,557 | 94 | |||
Tanger Factory Outlet Centers † | 5,700 | 213 | |||
Texas Capital Bancshares * | 12,700 | 214 | |||
Titanium Asset Management * (E) (F) | 140,900 | 559 | |||
Tower Group | 12,552 | 306 | |||
TradeStation Group * | 45,100 | 368 | |||
Trustco Bank NY | 51,277 | 321 | |||
Universal Health Realty Income Trust † | 4,300 | 140 | |||
Value Creation * (E) (F) | 145,600 | 12 | |||
| 21,588 | |||||
Health Care — 19.1% | |||||
Abaxis * | 20,727 | 554 | |||
Achillion Pharmaceuticals * | 105,336 | 171 | |||
Acorda Therapeutics * | 65,597 | 1,527 | |||
Affymetrix * (A) | 63,400 | 557 | |||
Air Methods * | 17,900 | 583 | |||
Albany Molecular Research * | 18,915 | 164 | |||
Alexion Pharmaceuticals * | 31,302 | 1,394 | |||
Align Technology * (A) | 77,018 | 1,095 | |||
Alkermes * (A) | 78,918 | 725 | |||
Allos Therapeutics * | 53,339 | 387 | |||
Alnylam Pharmaceuticals * (A) | 28,300 | 642 | |||
AMAG Pharmaceuticals * | 64,725 | 2,827 | |||
Amedisys * | 30,842 | 1,346 | |||
American Medical Systems Holdings * | 44,400 | 751 | |||
AMERIGROUP * | 66,631 | 1,477 | |||
AMN Healthcare Services * | 37,200 | 354 | |||
Analogic | 2,256 | 84 | |||
Angiodynamics * | 6,452 | 89 | |||
Arena Pharmaceuticals * (A) | 102,900 | 460 | |||
Array Biopharma * | 61,465 | 146 | |||
Athenhealth * | 42,419 | 1,628 | |||
Auxilium Pharmaceuticals * (A) | 12,214 | 418 | |||
BioMarin Pharmaceuticals * | 125,008 | 2,260 | |||
Bio-Reference Labs * | 3,000 | 103 | |||
BioScrip * | 24,717 | 167 | |||
Bruker BioSciences * | 27,647 | 295 | |||
Cantel Medical * | 41,200 | 621 | |||
Cardiome Pharma * | 250,511 | 1,085 | |||
Catalyst Health Solutions * | 42,905 | 1,251 | |||
Cell Therapeutics * | 69,878 | 86 | |||
Centene * | 12,484 | 236 | |||
Cepheid * (A) | 34,581 | 457 | |||
Chemed (A) | 35,741 | 1,569 | |||
Chindex International * | 16,629 | 209 | |||
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small Cap Growth Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Computer Programs & Systems | 16,054 | $ | 665 | ||
Conceptus * (A) | 26,342 | 488 | |||
Conmed * | 38,975 | 747 | |||
Corvel * | 4,273 | 121 | |||
Covance * | 3,184 | 172 | |||
CryoLife * | 20,276 | 162 | |||
Cubist Pharmaceuticals * | 38,710 | 782 | |||
Cyberonics * | 23,271 | 371 | |||
Cypress Bioscience * (A) | 90,510 | 739 | |||
Dendreon * | 3,603 | 101 | |||
Dionex * | 2,514 | 163 | |||
Durect * | 319,617 | 853 | |||
Electro-Optical Sciences * (A) | 10,900 | 104 | |||
Emergency Medical Services, Cl A * | 20,100 | 935 | |||
Emergent Biosolutions * | 26,700 | 472 | |||
Enzo Biochem * | 22,908 | 162 | |||
Enzon Pharmaceuticals * (A) | 1,700 | 14 | |||
eResearchTechnology * | 54,146 | 379 | |||
Exelixis * (A) | 115,177 | 735 | |||
Genoptix * | 29,012 | 1,009 | |||
Gen-Probe * | 13,103 | 543 | |||
Gentiva Health Services * | 5,300 | 133 | |||
Haemonetics * | 12,100 | 679 | |||
Halozyme Therapeutics * | 76,267 | 542 | |||
Healthsouth * (A) | 22,700 | 355 | |||
Healthspring * | 21,408 | 262 | |||
Healthways * | 7,620 | 117 | |||
HMS Holdings * (A) | 12,538 | 479 | |||
Human Genome Sciences * | 19,355 | 364 | |||
ICU Medical * | 11,200 | 413 | |||
Idexx Laboratories * | 10,307 | 515 | |||
I-Flow * | 82,063 | 935 | |||
Immucor * | 36,866 | 653 | |||
Immunogen * | 50,200 | 407 | |||
Insmed * | 82,614 | 68 | |||
Integra LifeSciences Holdings * (A) | 9,695 | 331 | |||
InterMune * (A) | 29,436 | 469 | |||
IPC The Hospitalist * | 29,914 | 941 | |||
Isis Pharmaceuticals * (A) | 121,171 | 1,765 | |||
Kendle International * | 15,227 | 255 | |||
Kensey Nash * | 15,100 | 437 | |||
Kindred Healthcare * | 900 | 15 | |||
Landauer | 7,373 | 405 | |||
LCA-Vision * | 28,600 | 201 | |||
LHC Group * (A) | 79,422 | 2,377 | |||
Ligand Pharmaceuticals, Cl B * | 19,187 | 44 | |||
Luminex * (A) | 19,888 | 338 | |||
Magellan Health Services * | 2,262 | 70 | |||
Mahalo Energy * | 257,800 | 1 | |||
Description | Shares | Market Value ($ Thousands) | |||
Martek Biosciences * (A) | 52,920 | $ | 1,196 | ||
Masimo * | 51,372 | 1,346 | |||
MedAssets * | 30,000 | 677 | |||
Medicines * | 7,065 | 78 | |||
Medicis Pharmaceutical, Cl A | 37,620 | 803 | |||
Medidata Solutions * | 37,090 | 562 | |||
Medivation * (A) | 33,222 | 902 | |||
Mednax * | 16,734 | 919 | |||
Meridian Bioscience | 41,701 | 1,043 | |||
Merit Medical Systems * | 25,220 | 437 | |||
Molina Healthcare * | 7,122 | 147 | |||
Momenta Pharmaceuticals * | 15,900 | 169 | |||
MWI Veterinary Supply * | 27,377 | 1,094 | |||
Myriad Genetics * | 46,623 | 1,278 | |||
National Healthcare | 4,106 | 153 | |||
Natus Medical * | 17,930 | 277 | |||
Nektar Therapeutics * | 35,800 | 349 | |||
Neogen * (A) | 17,292 | 558 | |||
NPS Pharmaceuticals * | 55,800 | 224 | |||
NuVasive * (A) | 47,007 | 1,963 | |||
Obagi Medical Products * | 12,233 | 142 | |||
Omnicell * (A) | 80,405 | 896 | |||
OncoGenex Pharmaceutical * (A) | 1,900 | 68 | |||
Onyx Pharmaceuticals * (A) | 33,085 | 992 | |||
Optimer Pharmaceuticals * (A) | 25,100 | 340 | |||
Orthofix International * | 10,700 | 314 | |||
OSI Pharmaceuticals * | 10,725 | 379 | |||
Owens & Minor | 18,014 | 815 | |||
Pain Therapeutics * | 24,801 | 125 | |||
Par Pharmaceutical * | 4,524 | 97 | |||
Parexel International * | 35,944 | 488 | |||
Parkvision * | 2,325 | 10 | |||
PDL BioPharma (A) | 153,224 | 1,207 | |||
PerkinElmer | 20,600 | 396 | |||
Perrigo | 5,111 | 174 | |||
Pharmaceutical Product Development | 3,687 | 81 | |||
Pharmasset * | 5,500 | 116 | |||
Phase Forward * | 143,626 | 2,016 | |||
Pozen * | 135,694 | 999 | |||
Providence Service * | 18,768 | 219 | |||
PSS World Medical * (A) | 48,852 | 1,066 | |||
Psychiatric Solutions * (A) | 26,865 | 719 | |||
Questcor Pharmaceuticals * | 192,778 | 1,064 | |||
Quidel * (A) | 38,840 | 630 | |||
Regeneron Pharmaceuticals * | 61,247 | 1,182 | |||
RehabCare Group * | 19,000 | 412 | |||
Sangamo Biosciences * | 15,333 | 126 | |||
Savient Pharmaceuticals * (A) | 34,917 | 531 | |||
Seattle Genetics * (A) | 45,649 | 640 | |||
SIGA Technologies * (A) | 50,300 | 397 | |||
Sirona Dental Systems * | 24,084 | 717 | |||
Somanetics * | 10,095 | 163 | |||
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small Cap Growth Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
SonoSite * (A) | 16,100 | $ | 426 | ||
Spectrum Pharmaceuticals * (A) | 54,300 | 365 | |||
StemCells * (A) | 163,400 | 266 | |||
STERIS | 66,568 | 2,027 | |||
Sun Healthcare Group * | 7,100 | 61 | |||
Talecris Biotherapeutics Holdings * | 25,035 | 476 | |||
Techne | 17,772 | 1,112 | |||
Theravance * (A) | 49,531 | 725 | |||
Thoratec * | 28,289 | 856 | |||
Triple-S Management, Cl B * | 2,900 | 49 | |||
United Therapeutics * | 30,584 | 1,498 | |||
Valeant Pharmaceuticals International * (A) | 49,243 | 1,382 | |||
Varian * | 2,400 | 123 | |||
Viropharma * | 49,711 | 478 | |||
Vivus * (A) | 14,900 | 156 | |||
Volcano * | 21,114 | 355 | |||
Waters * | 3,854 | 215 | |||
Wright Medical Group * | 18,440 | 329 | |||
XenoPort * | 900 | 19 | |||
Zoll Medical * | 23,695 | 510 | |||
| 92,130 | |||||
Industrials — 15.6% | |||||
ACCO Brands * | 17,176 | 124 | |||
Actuant, Cl A | 8,853 | 142 | |||
Acuity Brands | 12,317 | 397 | |||
Administaff | 46,487 | 1,221 | |||
Advanced Battery Technologies * | 40,637 | 176 | |||
Advisory Board * (A) | 31,929 | 803 | |||
Aegean Marine Petroleum Network | 133,715 | 3,008 | |||
AerCap Holdings * | 180,571 | 1,638 | |||
Aerovironment * | 26,669 | 749 | |||
Air Transport Services Group * | 15,100 | 52 | |||
Airtran Holdings * (A) | 229,552 | 1,435 | |||
Alaska Air Group * | 2,833 | 76 | |||
Alliant Techsystems * | 9,210 | 717 | |||
American Ecology | 5,400 | 101 | |||
American Science & Engineering | 6,700 | 456 | |||
American Superconductor * | 5,781 | 194 | |||
AO Smith | 3,016 | 115 | |||
APAC Customer Services * | 149,800 | 885 | |||
Apogee Enterprises | 44,400 | 667 | |||
Arkansas Best | 7,373 | 221 | |||
Armstrong World Industries * (A) | 10,100 | 348 | |||
Atlas Air Worldwide Holdings * | 26,689 | 853 | |||
Avis Budget Group * (A) | 176,453 | 2,358 | |||
AZZ * | 2,681 | 108 | |||
Badger Meter (A) | 6,935 | 268 | |||
Description | Shares | Market Value ($ Thousands) | |||
Barnes Group | 82,054 | $ | 1,402 | ||
Brady, Cl A | 4,524 | 130 | |||
Briggs & Stratton | 10,976 | 213 | |||
Brink’s | 9,800 | 264 | |||
Celadon Group * | 67,456 | 763 | |||
Cenveo * | 27,650 | 191 | |||
Chart Industries * | 52,700 | 1,138 | |||
Chicago Bridge & Iron | 32,735 | 612 | |||
Clean Harbors * | 10,854 | 611 | |||
Comfort Systems USA | 35,668 | 413 | |||
Continental Airlines, Cl B * | 34,100 | 561 | |||
Con-way | 9,997 | 383 | |||
Copa Holdings, Cl A | 15,958 | 710 | |||
Copart * | 26,821 | 891 | |||
CoStar Group * (A) | 68,271 | 2,814 | |||
CRA International * | 9,100 | 248 | |||
Crane | 30,320 | 783 | |||
Cubic | 23,643 | 933 | |||
Curtiss-Wright | 2,095 | 72 | |||
Deluxe | 9,133 | 156 | |||
Dycom Industries * | 11,898 | 146 | |||
Dynamic Materials | 2,900 | 58 | |||
DynCorp International, Cl A * | 11,700 | 211 | |||
EMCOR Group * | 38,700 | 980 | |||
EnerNOC * | 18,970 | 629 | |||
EnerSys * | 47,300 | 1,046 | |||
Forward Air | 34,538 | 800 | |||
FreightCar America | 22,918 | 557 | |||
FTI Consulting * | 41,363 | 1,762 | |||
FuelCell Energy * (A) | 55,800 | 238 | |||
General Cable * | 15,378 | 602 | |||
Genesee & Wyoming, Cl A * | 18,903 | 573 | |||
Geo Group * | 67,969 | 1,371 | |||
GeoEye * (A) | 26,871 | 720 | |||
GrafTech International * | 1,800 | 27 | |||
Graham | 41,426 | 644 | |||
GT Solar International * (A) | 17,600 | 102 | |||
Hawaiian Holdings * | 79,471 | 656 | |||
Healthcare Services Group | 50,962 | 936 | |||
Heico, Cl A | 11,176 | 379 | |||
HEICO | 300 | 13 | |||
Horizon Lines, Cl A | 126,031 | 800 | |||
ICF International * | 45,468 | 1,379 | |||
ICT Group * | 1,300 | 14 | |||
IHS, Cl A * | 20,805 | 1,064 | |||
II-VI * | 16,514 | 420 | |||
Innerworkings * (A) | 213,477 | 1,055 | |||
Kaman | 18,098 | 398 | |||
Kaydon (A) | 29,253 | 948 | |||
Kelly Services, Cl A | 15,000 | 184 | |||
Knight Transportation (A) | 48,717 | 818 | |||
Landstar System | 32,100 | 1,222 | |||
LB Foster, Cl A * | 10,168 | 311 | |||
Lennox International | 21,700 | 784 | |||
Lydall * | 14,746 | 78 | |||
Manpower | 14,565 | 826 | |||
Marten Transport * | 29,152 | 497 | |||
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small Cap Growth Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Michael Baker * | 9,800 | $ | 356 | ||
Middleby * | 3,519 | 194 | |||
Mine Safety Appliances | 12,400 | 341 | |||
Monster Worldwide * | 38,729 | 677 | |||
MYR Group * (A) | 36,355 | 767 | |||
Navigant Consulting * | 6,600 | 89 | |||
NCI Building Systems * | 27,733 | 89 | |||
Nordson | 5,410 | 304 | |||
Old Dominion Freight Line * | 40,630 | 1,236 | |||
Orbital Sciences * | 5,600 | 84 | |||
Oshkosh Truck | 1,500 | 46 | |||
Pacer International | 57,059 | 220 | |||
Powell Industries * | 10,100 | 388 | |||
Quanta Services * | 19,910 | 441 | |||
Raven Industries | 13,000 | 348 | |||
Resources Connection * | 59,824 | 1,021 | |||
Ritchie Bros. Auctioneers | 28,515 | 700 | |||
Rollins | 42,228 | 796 | |||
Rush Enterprises, Cl A * | 51,324 | 663 | |||
Standard Parking * | 45,600 | 798 | |||
Standard Register | 21,282 | 125 | |||
Stanley * | 21,455 | 552 | |||
Sun Hydraulics | 3,151 | 66 | |||
SYKES Enterprises * (A) | 14,700 | 306 | |||
Taser International * (A) | 64,296 | 303 | |||
Teledyne Technologies * | 6,929 | 249 | |||
Tennant (A) | 12,400 | 360 | |||
Terex * | 45,487 | 943 | |||
Tetra Tech * | 44,835 | 1,189 | |||
Titan Machinery * (A) | 66,686 | 835 | |||
TransDigm Group * | 38,034 | 1,894 | |||
Tredegar | 11,479 | 166 | |||
Trex * | 2,200 | 40 | |||
TrueBlue * | 30,900 | 435 | |||
Tutor Perini * | 5,614 | 119 | |||
UAL * | 49,183 | 453 | |||
United Rentals * | 23,963 | 247 | |||
US Airways Group * | 39,212 | 184 | |||
Vitran * | 51,238 | 462 | |||
Wabtec | 27,350 | 1,026 | |||
Watsco | 2,200 | 118 | |||
Werner Enterprises | 3,938 | 73 | |||
WESCO International * | 67,155 | 1,934 | |||
Woodward Governor | 8,295 | 201 | |||
| 75,486 | |||||
Information Technology — 25.7% | |||||
3Com * | 531,583 | 2,780 | |||
ACI Worldwide * | 13,155 | 199 | |||
Acme Packet * | 11,646 | 117 | |||
Actuate * | 36,196 | 209 | |||
Adtran | 13,741 | 337 | |||
Advanced Analogic Technologies * | 13,909 | 55 | |||
Advanced Energy Industries * | 97,151 | 1,383 | |||
Description | Shares | Market Value ($ Thousands) | |||
Advent Software * (A) | 16,610 | $ | 669 | ||
Amkor Technology * (A) | 55,656 | 383 | |||
Ansys * | 12,987 | 487 | |||
Applied Micro Circuits * | 93,700 | 936 | |||
Ariba * | 96,334 | 1,118 | |||
Arris Group * (A) | 180,419 | 2,347 | |||
Art Technology Group * | 597,461 | 2,306 | |||
AsiaInfo Holdings * | 60,825 | 1,215 | |||
Atheros Communications * | 35,534 | 943 | |||
Atmel * | 272,430 | 1,142 | |||
ATMI * | 44,533 | 808 | |||
Benchmark Electronics * | 49,000 | 882 | |||
Blue Coat Systems * | 25,220 | 570 | |||
BluePhoenix Solutions * | 101,377 | 384 | |||
Brightpoint * | 105,041 | 919 | |||
Brocade Communications Systems * | 10,200 | 80 | |||
Cabot Microelectronics * | 5,949 | 207 | |||
CACI International, Cl A * | 3,770 | 178 | |||
Checkpoint Systems * | 27,116 | 446 | |||
Cirrus Logic * | 72,212 | 402 | |||
Cogent * (A) | 53,434 | 540 | |||
Cognex | 17,009 | 279 | |||
CommScope * | 39,480 | 1,182 | |||
CommVault Systems * | 22,200 | 461 | |||
comScore * | 22,036 | 397 | |||
Comtech Telecommunications * | 20,033 | 666 | |||
Concur Technologies * (A) | 31,242 | 1,242 | |||
Constant Contact * (A) | 16,282 | 313 | |||
CTS | 25,604 | 238 | |||
Daktronics | 17,930 | 154 | |||
DealerTrack Holdings * (A) | 104,037 | 1,967 | |||
DemandTec * | 5,530 | 49 | |||
Digi International * | 19,189 | 163 | |||
Digital River * (A) | 29,682 | 1,197 | |||
Diodes * | 9,887 | 179 | |||
Dolby Laboratories, Cl A * | 5,027 | 192 | |||
Double-Take Software * | 6,368 | 65 | |||
DTS * | 99,487 | 2,724 | |||
Earthlink | 13,071 | 110 | |||
Emulex * | 39,922 | 411 | |||
EPIQ Systems * (A) | 45,606 | 661 | |||
Equinix * | 17,675 | 1,626 | |||
Euronet Worldwide * | 63,627 | 1,529 | |||
FEI * | 2,200 | 54 | |||
Flir Systems * | 22,455 | 628 | |||
Formfactor * | 54,537 | 1,305 | |||
Forrester Research * (A) | 6,200 | 165 | |||
Gartner * | 9,700 | 177 | |||
GSI Commerce * (A) | 103,374 | 1,996 | |||
Hackett Group * | 15,333 | 44 | |||
Harmonic * | 13,657 | 91 | |||
Harris Stratex Networks, Cl A * | 47,800 | 335 | |||
Heartland Payment Systems | 59,908 | 869 | |||
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small Cap Growth Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Hittite Microwave * | 24,416 | $ | 898 | ||
Hutchinson Technology * | 34,204 | 243 | |||
Hypercom * | 49,120 | 152 | |||
i2 Technologies * (A) | 44,700 | 717 | |||
Imation | 24,031 | 223 | |||
Infinera * | 10,390 | 83 | |||
infoGROUP | 38,039 | 267 | |||
Informatica * | 19,900 | 449 | |||
Integral Systems * | 21,826 | 151 | |||
Intellon * | 3,400 | 24 | |||
InterDigital * | 23,517 | 545 | |||
Intermec * | 70,396 | 993 | |||
IXYS | 27,566 | 235 | |||
j2 Global Communications * | 48,325 | 1,112 | |||
Jack Henry & Associates | 12,900 | 303 | |||
JDA Software Group * | 1,500 | 33 | |||
Kenexa * | 37,189 | 501 | |||
Knot * | 9,691 | 106 | |||
Kopin * | 14,328 | 69 | |||
L-1 Identity Solutions, Cl 1 * | 22,896 | 160 | |||
Lawson Software * | 14,200 | 89 | |||
Loral Space & Communications * | 7,100 | 195 | |||
Manhattan Associates * | 22,900 | 463 | |||
MAXIMUS | 20,381 | 950 | |||
MercadoLibre * | 8,635 | 332 | |||
Methode Electronics | 88,474 | 767 | |||
Micrel | 32,974 | 269 | |||
Micros Systems * | 5,614 | 169 | |||
Microsemi * (A) | 80,260 | 1,267 | |||
MicroStrategy, Cl A * | 9,187 | 657 | |||
MIPS Technologies * | 60,329 | 227 | |||
MKS Instruments * | 37,187 | 717 | |||
ModusLink Global Solutions * | 18,960 | 153 | |||
MoneyGram International * | 80,180 | 252 | |||
Monolithic Power Systems * (A) | 9,200 | 216 | |||
Monotype Imaging Holdings * | 112,418 | 945 | |||
Move * | 46,004 | 124 | |||
Multi-Fineline Electronix * | 11,355 | 326 | |||
Net 1 UEPS Technologies * | 87,569 | 1,835 | |||
Netezza * (A) | 39,400 | 443 | |||
Netgear * | 21,700 | 398 | |||
Netlogic Microsystems * (A) | 57,639 | 2,594 | |||
Netscout Systems * | 8,546 | 115 | |||
NetSuite * | 36,898 | 565 | |||
Novatel Wireless * | 23,111 | 262 | |||
Novell * | 27,692 | 125 | |||
Nuance Communications * (A) | 39,598 | 592 | |||
Omniture * | 27,638 | 593 | |||
ON Semiconductor * | 23,125 | 191 | |||
OpenTV, Cl A * | 80,100 | 111 | |||
Openwave Systems * | 37,620 | 98 | |||
Description | Shares | Market Value ($ Thousands) | |||
Palm * (A) | 58,063 | $ | 1,012 | ||
Parametric Technology * | 38,300 | 529 | |||
Park Electrochemical | 12,500 | 308 | |||
Parkervision * | 32,575 | 133 | |||
Perficient * | 11,060 | 91 | |||
Pericom Semiconductor * | 14,495 | 142 | |||
Phoenix Technologies * | 29,309 | 107 | |||
Plantronics | 6,284 | 168 | |||
Plexus * | 10,725 | 282 | |||
Power Integrations (A) | 29,376 | 979 | |||
Powerwave Technologies * | 49,937 | 80 | |||
Quality Systems (A) | 43,307 | 2,666 | |||
Quest Software * | 56,300 | 949 | |||
Rackspace Hosting * | 7,625 | 130 | |||
Radiant Systems * | 6,787 | 73 | |||
Radisys * | 10,401 | 90 | |||
RealNetworks * | 35,500 | 132 | |||
RF Micro Devices * (A) | 245,641 | 1,334 | |||
RightNow Technologies * | 32,384 | 468 | |||
Riverbed Technology * | 43,789 | 962 | |||
Rofin-Sinar Technologies * | 6,164 | 142 | |||
Rogers * | 3,854 | 116 | |||
Rosetta Stone * | 50,561 | 1,161 | |||
Rubicon Technology * (A) | 26,233 | 389 | |||
Sapient * | 205,846 | 1,655 | |||
SAVVIS * | 49,334 | 780 | |||
Scansource * | 25,290 | 716 | |||
Semtech * (A) | 79,800 | 1,357 | |||
Sigma Designs * (A) | 16,300 | 237 | |||
Skyworks Solutions * (A) | 71,779 | 950 | |||
Smith Micro Software * | 49,021 | 606 | |||
Solera Holdings | 38,975 | 1,213 | |||
SPSS * | 14,127 | 706 | |||
SRA International, Cl A * | 8,211 | 177 | |||
Standard Microsystems * | 10,306 | 239 | |||
Starent Networks * (A) | 55,503 | 1,411 | |||
STEC * (A) | 35,100 | 1,032 | |||
Stratasys * (A) | 29,023 | 498 | |||
Switch & Data Facilities * | 50,665 | 690 | |||
Sybase * | 21,785 | 847 | |||
Synaptics * (A) | 27,954 | 704 | |||
Synchronoss Technologies * | 69,374 | 865 | |||
Syntel | 11,479 | 548 | |||
Take-Two Interactive Software * | 20,612 | 231 | |||
Taleo, Cl A * | 41,932 | 949 | |||
Tekelec * | 6,030 | 99 | |||
TeleCommunication Systems, Cl A * | 12,736 | 106 | |||
TeleTech Holdings * | 25,800 | 440 | |||
Teradyne * | 239,143 | 2,212 | |||
Tessera Technologies * (A) | 89,071 | 2,484 | |||
THQ * | 24,972 | 171 | |||
TIBCO Software * | 171,300 | 1,626 | |||
Tivo * | 31,400 | 325 | |||
Trimble Navigation * | 33,300 | 796 | |||
TriQuint Semiconductor * | 15,749 | 122 | |||
7 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small Cap Growth Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
TTM Technologies * | 12,568 | $ | 144 | ||
Tyler Technologies * | 37,631 | 643 | |||
Ultimate Software Group * | 25,147 | 722 | |||
Ultratech * | 32,614 | 432 | |||
Unisys * (A) | 250,799 | 670 | |||
United Online | 22,958 | 185 | |||
Valueclick * | 112,271 | 1,481 | |||
Vasco Data Security International * | 29,952 | 222 | |||
Veeco Instruments * (A) | 65,856 | 1,536 | |||
VeriFone Holdings * | 25,136 | 399 | |||
Verigy * | 86,569 | 1,006 | |||
VistaPrint * | 88,126 | 4,472 | |||
Vocus * | 87,130 | 1,820 | |||
Volterra Semiconductor * | 86,961 | 1,597 | |||
Websense * | 94,209 | 1,583 | |||
Wright Express * | 61,975 | 1,829 | |||
Zoran * | 102,768 | 1,184 | |||
| 123,975 | |||||
Materials — 2.3% | |||||
AM Castle | 8,211 | 82 | |||
Carpenter Technology | 14,100 | 330 | |||
China Precision Steel * | 35,757 | 97 | |||
Commercial Metals | 5,279 | 94 | |||
Crown Holdings * | 33,585 | 913 | |||
General Steel Holdings * | 28,320 | 110 | |||
H.B. Fuller | 10,557 | 221 | |||
Innophos Holdings | 9,887 | 183 | |||
Innospec | 12,736 | 188 | |||
Koppers Holdings | 22,798 | 676 | |||
LSB Industries * | 20,700 | 322 | |||
Myers Industries | 9,124 | 98 | |||
Nalco Holding | 50,286 | 1,030 | |||
Neenah Paper | 8,127 | 96 | |||
NewMarket | 18,700 | 1,740 | |||
Olympic Steel | 3,268 | 94 | |||
Omnova Solutions * | 37,118 | 240 | |||
PolyOne * | 90,045 | 601 | |||
Reliance Steel & Aluminum | 2,673 | 114 | |||
Rock-Tenn, Cl A | 3,938 | 186 | |||
Schulman A | 9,803 | 195 | |||
Silvercorp Metals * | 34,900 | 166 | |||
Silvercorp Metals Pipe * | 34,000 | 161 | |||
Spartech | 14,914 | 161 | |||
Stepan | 1,100 | 66 | |||
Stillwater Mining * | 13,657 | 92 | |||
Texas Industries | 1,843 | 77 | |||
Walter Energy | 12,336 | 741 | |||
Wausau Paper | 44,901 | 449 | |||
Worthington Industries (A) | 54,070 | 751 | |||
WR Grace * | 28,459 | 619 | |||
Zep | 11,200 | 182 | |||
| 11,075 | |||||
Telecommunication Services — 2.0% | |||||
Atlantic Telegraph- Network | 15,417 | 824 | |||
Cbeyond * (A) | 32,598 | 526 | |||
Centennial Communications * | 25,500 | 203 | |||
Cincinnati Bell * | 24,000 | 84 | |||
Cogent Communications Group * (A) | 61,200 | 692 | |||
Global Crossing * | 43,285 | 619 | |||
Description | Shares | Market Value ($ Thousands) | |||
Iowa Telecommunications Services | 11,981 | $ | 151 | ||
Neutral Tandem * | 69,181 | 1,574 | |||
NTELOS Holdings | 11,803 | 208 | |||
PAETEC Holding * | 84,254 | 326 | |||
SBA Communications, Cl A * (A) | 79,165 | 2,140 | |||
Shenandoah Telecommunications | 7,000 | 126 | |||
Syniverse Holdings * (A) | 35,400 | 620 | |||
tw telecom, Cl A * | 83,422 | 1,122 | |||
USA Mobility | 22,500 | 290 | |||
Virgin Mobile USA, Cl A * | 31,061 | 155 | |||
| 9,660 | |||||
Utilities — 0.6% | |||||
California Water Service Group (A) | 16,300 | 635 | |||
Hawaiian Electric Industries | 20,276 | 368 | |||
ITC Holdings | 12,989 | 590 | |||
| Shares/Face Amount ($ Thousands) | |||||
Laclede Group | 1,500 | 48 | |||
MGE Energy | 7,600 | 277 | |||
New Jersey Resources | 2,400 | 87 | |||
NorthWestern | 37,120 | 907 | |||
UIL Holdings | 5,300 | 140 | |||
| 3,052 | |||||
Total Common Stock | 452,995 | ||||
| Number of Warrants | |||||
WARRANTS — 0.0% | |||||
Rentech Expires 04/25/12 * (E) (F) | 19,400 | 8 | |||
Titanium Asset Management Expires 06/21/11 * (E) | 147,800 | — | |||
Total Warrants | 8 | ||||
AFFILIATED PARTNERSHIP — 9.6% | |||||
SEI Liquidity Fund, L.P., 0.400% (B) ** †† | 48,929,353 | 46,020 | |||
Total Affiliated Partnership | 46,020 | ||||
CASH EQUIVALENT — 6.6% | |||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110% ** †† | 31,908,692 | 31,909 | |||
Total Cash Equivalent | 31,909 | ||||
U.S. TREASURY OBLIGATIONS — 0.5% | |||||
U.S. Treasury Bills | |||||
0.170%, 12/03/09 (C) (D) | 1,000 | 1,000 | |||
0.070%, 01/07/10 (C) (D) | 1,500 | 1,499 | |||
Total U.S. Treasury Obligations | 2,499 | ||||
Total Investments — 110.6% | $ | 533,431 | |||
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small Cap Growth Fund
September 30, 2009
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | ||||
Russell 2000 Index E-MINI | 510 | Dec-2009 | $ | 114 | |||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $482,380 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Real Estate Investment Trust. |
| †† | Investment in Affiliated Security. |
| ‡ | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
| (A) | This security or a partial position of this security is on loan at September 30, 2009. The total market value of securities on loan at September 30, 2009 was $47,231 ($ Thousands). |
| (B) | This security was purchased with cash collateral received from securities on loan. The total market value of such securities as of September 30, 2009 was $46,020 ($ Thousands). |
| (C) | The rate reported is the effective yield at the time of purchase. |
| (D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
| (E) | Securities considered illiquid and restricted. The total market value of such securities as of September 30, 2009 was $579 ($ Thousands) and represented 0.12% of Net Assets |
| (F) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2009 was $ 579 ($ Thousands) and represented 0.12% of Net Assets. |
Cl — Class
L.P. — Limited Partnership
PIPE — Private Investment in Public Entity
9 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
COMMON STOCK — 96.1% | |||||
Consumer Discretionary — 17.2% | |||||
Aaron Rents | 9,618 | $ | 254 | ||
Abercrombie & Fitch, Cl A | 6,468 | 213 | |||
Advance Auto Parts | 17,320 | 680 | |||
Aeropostale * | 11,950 | 519 | |||
American Eagle Outfitters | 58,416 | 985 | |||
American Greetings, Cl A | 20,300 | 453 | |||
Amerigon * | 3,300 | 24 | |||
Ameristar Casinos | 1,300 | 21 | |||
AnnTaylor Stores * | 15,800 | 251 | |||
Apollo Group, Cl A * | 9,200 | 678 | |||
Arbitron | 800 | 17 | |||
ArvinMeritor | 6,700 | 52 | |||
ATC Technology * | 9,278 | 183 | |||
Autoliv | 14,200 | 477 | |||
Autonation * | 1,400 | 25 | |||
Bally Technologies * | 16,640 | 638 | |||
Barnes & Noble | 6,200 | 138 | |||
Bebe Stores | 11,900 | 88 | |||
Bed Bath & Beyond * | 9,500 | 357 | |||
Belo, Cl A | 46,500 | 252 | |||
Big Lots * | 31,200 | 781 | |||
BJ’s Restaurants * | 1,000 | 15 | |||
Black & Decker | 8,000 | 370 | |||
Blyth | 500 | 19 | |||
BorgWarner | 14,423 | 436 | |||
Brinker International | 1,700 | 27 | |||
Brink’s Home Security Holdings * | 22,000 | 677 | |||
Brown Shoe | 2,700 | 22 | |||
Brunswick | 15,100 | 181 | |||
Buckle (A) | 2,200 | 75 | |||
Buffalo Wild Wings * | 9,100 | 379 | |||
Build-A-Bear Workshop * | 2,700 | 13 | |||
Cabela’s * (A) | 17,200 | 229 | |||
Callaway Golf | 49,621 | 378 | |||
Capella Education * | 700 | 47 | |||
Career Education * | 5,700 | 139 | |||
Carmax * | 3,100 | 65 | |||
Carter’s * | 21,840 | 583 | |||
Cato, Cl A | 25,935 | 526 | |||
Central European Media Enterprises, Cl A * | 700 | 24 | |||
Charlotte Russe Holding * | 9,400 | 164 | |||
Cheesecake Factory * | 19,100 | 354 | |||
Chico’s FAS * | 1,900 | 25 | |||
Childrens Place Retail Stores * | 7,000 | 210 | |||
Chipotle Mexican Grill, Cl A * | 1,100 | 107 | |||
Christopher & Banks | 16,769 | 113 | |||
Cinemark Holdings | 5,436 | 56 | |||
Citi Trends * | 7,000 | 199 | |||
CKE Restaurants | 1,400 | 15 | |||
CKX * | 2,600 | 17 | |||
Description | Shares | Market Value ($ Thousands) | |||
Coinstar * | 12,800 | $ | 422 | ||
Columbia Sportswear | 500 | 21 | |||
Cooper Tire & Rubber | 27,407 | 482 | |||
Corinthian Colleges * | 37,785 | 701 | |||
Cracker Barrel Old Country Store | 19,158 | 659 | |||
Dana Holding * | 7,201 | 49 | |||
Darden Restaurants | 7,514 | 256 | |||
Deckers Outdoor * | 200 | 17 | |||
Dick’s Sporting Goods * | 28,100 | 629 | |||
Dillard’s, Cl A | 7,800 | 110 | |||
DineEquity | 12,153 | 301 | |||
Dollar Tree * | 3,100 | 151 | |||
Domino’s Pizza * | 9,625 | 85 | |||
DR Horton | 9,500 | 108 | |||
DreamWorks Animation SKG, Cl A * | 21,790 | 775 | |||
DSW, Cl A * | 14,407 | 230 | |||
Eastman Kodak | 28,893 | 138 | |||
Ethan Allen Interiors | 9,359 | 154 | |||
Family Dollar Stores | 1,399 | 37 | |||
FGX International Holdings * | 13,100 | 183 | |||
Foot Locker | 26,400 | 315 | |||
Fossil * | 3,800 | 108 | |||
GameStop, Cl A * | 28,662 | 759 | |||
Gannett | 48,064 | 601 | |||
Genesco * | 8,000 | 193 | |||
Gentex | 2,600 | 37 | |||
Goodyear Tire & Rubber * | 8,400 | 143 | |||
Group 1 Automotive | 1,200 | 32 | |||
Guess? | 800 | 30 | |||
Gymboree * | 5,580 | 270 | |||
H&R Block | 21,748 | 400 | |||
Hanesbrands * | 58,500 | 1,252 | |||
Harley-Davidson | 12,546 | 288 | |||
Harte-Hanks | 1,800 | 25 | |||
Hasbro | 11,800 | 328 | |||
Helen of Troy * | 1,000 | 19 | |||
Hillenbrand | 4,800 | 98 | |||
Hooker Furniture | 7,900 | 107 | |||
HOT Topic * | 6,900 | 52 | |||
Iconix Brand Group * | 7,000 | 87 | |||
Insight Enterprises * | 23,400 | 286 | |||
Interactive Data | 900 | 24 | |||
International Speedway, Cl A | 900 | 25 | |||
Interpublic Group * | 68,410 | 514 | |||
Isle of Capri Casinos * | 3,300 | 39 | |||
ITT Educational Services * | 700 | 77 | |||
J Crew Group * | 3,900 | 140 | |||
Jackson Hewitt Tax Service | 4,800 | 25 | |||
Jakks Pacific * | 12,500 | 179 | |||
Jarden | 8,600 | 241 | |||
Jo-Ann Stores * | 4,970 | 133 | |||
Jones Apparel Group | 21,722 | 389 | |||
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Journal Communications, Cl A | 39,400 | $ | 145 | ||
K12 * | 15,200 | 251 | |||
KB Home | 2,500 | 42 | |||
Kenneth Cole Productions, Cl A | 1,600 | 16 | |||
Lamar Advertising, Cl A * | 1,300 | 36 | |||
Landry’s Restaurants * | 7,300 | 77 | |||
Las Vegas Sands * | 11,000 | 185 | |||
Leggett & Platt | 2,000 | 39 | |||
Lennar, Cl A | 2,600 | 37 | |||
Liberty Media - Capital, Ser A * | 2,300 | 48 | |||
Liberty Media - Interactive, Cl A * | 15,942 | 175 | |||
Life Time Fitness * | 23,780 | 667 | |||
Live Nation * | 92,349 | 756 | |||
Liz Claiborne | 2,300 | 11 | |||
LKQ * | 18,000 | 334 | |||
Lumber Liquidators * | 11,600 | 252 | |||
Mattel | 18,915 | 349 | |||
MDC Holdings | 400 | 14 | |||
Men’s Wearhouse | 4,900 | 121 | |||
Meredith | 1,900 | 57 | |||
Meritage Homes * | 900 | 18 | |||
Morningstar * | 300 | 15 | |||
National CineMedia | 45,968 | 780 | |||
NetFlix * (A) | 1,500 | 69 | |||
New York * | 2,000 | 10 | |||
New York Times, Cl A | 4,800 | 39 | |||
Newell Rubbermaid | 27,500 | 432 | |||
Nordstrom | 11,010 | 336 | |||
Nutri/System | 3,500 | 53 | |||
NVR * | 100 | 64 | |||
OfficeMax | 7,500 | 94 | |||
O’Reilly Automotive * | 1,000 | 36 | |||
Orient-Express Hotels, Cl A | 6,700 | 77 | |||
Panera Bread, Cl A * | 700 | 38 | |||
Penn National Gaming * | 8,700 | 241 | |||
Penske Auto Group | 8,800 | 169 | |||
PEP Boys-Manny Moe & Jack | 3,200 | 31 | |||
PetSmart | 42,846 | 932 | |||
PF Chang’s China Bistro * | 6,200 | 211 | |||
Phillips-Van Heusen | 9,880 | 423 | |||
Pinnacle Entertainment * | 4,900 | 50 | |||
Polaris Industries | 20,035 | 817 | |||
Polo Ralph Lauren | 900 | 69 | |||
Pre-Paid Legal Services * | 7,000 | 356 | |||
priceline.com * | 2,900 | 481 | |||
Pulte Homes | 50,997 | 560 | |||
RadioShack | 32,100 | 532 | |||
RC2 * | 32,380 | 461 | |||
RCN * | 3,100 | 29 | |||
Red Robin Gourmet Burgers * | 15,100 | 308 | |||
Description | Shares | Market Value ($ Thousands) | |||
Regal Entertainment Group, Cl A | 20,800 | $ | 256 | ||
Regis | 11,898 | 184 | |||
Rent-A-Center * | 3,686 | 70 | |||
Ross Stores | 1,400 | 67 | |||
Rossi Residencial | 50,500 | 404 | |||
Ruby Tuesday * | 37,800 | 318 | |||
Ryland Group | 2,100 | 44 | |||
Saks * | 2,600 | 18 | |||
Sauer-Danfoss | 1,700 | 13 | |||
Scholastic | 1,000 | 24 | |||
Scientific Games, Cl A * | 44,179 | 699 | |||
Scripps Networks Interactive, Cl A | 8,257 | 305 | |||
Sealy * | 5,500 | 18 | |||
Service International | 6,700 | 47 | |||
Shutterfly * | 14,500 | 241 | |||
Signet Jewelers * | 4,800 | 126 | |||
Skechers U.S.A., Cl A * | 6,112 | 105 | |||
Sonic * | 1,800 | 20 | |||
Sonic Automotive, Cl A | 9,375 | 98 | |||
Sotheby’s | 1,400 | 24 | |||
Spartan Motors | 15,496 | 80 | |||
Speedway Motorsports | 800 | 11 | |||
Stage Stores | 28,771 | 373 | |||
Stamps.com * | 1,579 | 15 | |||
Standard-Pacific * | 27,000 | 100 | |||
Stanley Works | 500 | 21 | |||
Starwood Hotels & Resorts Worldwide | 8,900 | 294 | |||
Steak N Shake * | 1,800 | 21 | |||
Stewart Enterprises, Cl A | 2,900 | 15 | |||
Strayer Education | 1,700 | 370 | |||
Systemax * | 2,642 | 32 | |||
Tempur-Pedic International | 16,335 | 309 | |||
Tenneco * | 12,800 | 167 | |||
Texas Roadhouse, Cl A * | 3,400 | 36 | |||
Thor Industries | 900 | 28 | |||
Timberland, Cl A * | 900 | 12 | |||
Titan International | 3,900 | 35 | |||
Town Sports International Holdings * | 4,600 | 12 | |||
TRW Automotive Holdings * | 4,300 | 72 | |||
Ulta Salon Cosmetics & Fragrance * | 1,800 | 30 | |||
Universal Electronics * | 1,300 | 27 | |||
Valassis Communications * | 2,492 | 45 | |||
Vitacost.com * | 13,100 | 143 | |||
WABCO Holdings | 1,500 | 32 | |||
Warnaco Group * | 19,150 | 840 | |||
Weight Watchers International | 15,500 | 425 | |||
Whirlpool | 7,300 | 511 | |||
Williams-Sonoma | 7,700 | 156 | |||
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
WMS Industries * | 22,406 | $ | 998 | ||
Wolverine World Wide | 600 | 15 | |||
World Wrestling Entertainment, Cl A | 900 | 13 | |||
Wyndham Worldwide | 4,700 | 77 | |||
| 45,014 | |||||
Consumer Staples — 4.1% | |||||
Alliance One International * | 17,900 | 80 | |||
American Italian Pasta, Cl A * | 1,500 | 41 | |||
Avon Products | 6,952 | 236 | |||
Bare Escentuals * | 2,300 | 27 | |||
BJ’s Wholesale Club * | 1,400 | 51 | |||
Boston Beer, Cl A * | 4,041 | 150 | |||
Brown-Forman, Cl B | 7,225 | 348 | |||
Cal-Maine Foods | 8,700 | 233 | |||
Casey’s General Stores | 13,040 | 409 | |||
Central European Distribution * | 10,890 | 357 | |||
Central Garden and Pet, Cl A * | 19,700 | 215 | |||
Central Garden and Pet * | 13,800 | 162 | |||
Chattem * | 700 | 47 | |||
Chiquita Brands International * | 20,714 | 335 | |||
Church & Dwight | 1,600 | 91 | |||
Corn Products International | 11,092 | 316 | |||
Dean Foods * | 42,777 | 761 | |||
Del Monte Foods | 1,600 | 19 | |||
Diamond Foods | 1,500 | 48 | |||
Energizer Holdings * | 300 | 20 | |||
Flowers Foods | 4,750 | 125 | |||
Green Mountain Coffee Roasters * | 6,610 | 488 | |||
Hansen Natural * | 2,925 | 107 | |||
Herbalife | 31,900 | 1,044 | |||
J&J Snack Foods | 1,300 | 56 | |||
JM Smucker | 5,814 | 308 | |||
Kroger | 12,908 | 266 | |||
Lancaster Colony | 1,000 | 51 | |||
Lance | 1,400 | 36 | |||
McCormick | 10,428 | 354 | |||
Medifast * | 8,000 | 174 | |||
Molson Coors Brewing, Cl B | 7,227 | 352 | |||
Nash Finch | 2,960 | 81 | |||
Nu Skin Enterprises, Cl A | 900 | 17 | |||
Pantry * | 21,428 | 336 | |||
Pepsi Bottling Group | 9,600 | 350 | |||
PepsiAmericas | 7,900 | 226 | |||
Ralcorp Holdings * | 1,000 | 58 | |||
Reddy Ice Holdings * | 5,700 | 31 | |||
Rite Aid * | 62,500 | 102 | |||
Sanderson Farms | 11,550 | 435 | |||
Sara Lee | 51,500 | 574 | |||
Schiff Nutrition International | 2,200 | 11 | |||
Smithfield Foods * (A) | 5,500 | 76 | |||
SUPERVALU | 18,000 | 271 | |||
Description | Shares | Market Value ($ Thousands) | |||
Tootsie Roll Industries | 1,030 | $ | 24 | ||
TreeHouse Foods * | 1,800 | 64 | |||
Tyson Foods, Cl A | 23,491 | 297 | |||
Universal | 5,700 | 238 | |||
USANA Health Sciences * | 400 | 14 | |||
Village Super Market, Cl A | 800 | 24 | |||
WD-40 | 900 | 26 | |||
Whole Foods Market * | 2,000 | 61 | |||
| 10,623 | |||||
Energy — 4.9% | |||||
Atlas Energy | 1,000 | 27 | |||
Atwood Oceanics * | 1,200 | 42 | |||
Berry Petroleum, Cl A | 16,080 | 431 | |||
Bill Barrett * | 600 | 20 | |||
Cabot Oil & Gas | 1,000 | 36 | |||
Cameron International * | 3,550 | 134 | |||
Carrizo Oil & Gas * | 1,100 | 27 | |||
Complete Production Services * | 30,380 | 343 | |||
Concho Resources * | 14,200 | 516 | |||
Continental Resources * | 13,300 | 521 | |||
Delta Petroleum * | 5,500 | 10 | |||
Denbury Resources * | 8,900 | 135 | |||
Dresser-Rand Group * | 5,840 | 181 | |||
Dril-Quip * | 1,200 | 59 | |||
Encore Acquisition * | 1,400 | 52 | |||
EXCO Resources | 1,800 | 34 | |||
Exterran Holdings * | 8,100 | 192 | |||
FMC Technologies * | 1,800 | 94 | |||
General Maritime | 6,500 | 50 | |||
Global Industries * | 2,300 | 22 | |||
Goodrich Petroleum * (A) | 22,612 | 584 | |||
Helix Energy Solutions Group * | 1,800 | 27 | |||
Helmerich & Payne | 1,300 | 51 | |||
Hercules Offshore * | 17,200 | 84 | |||
Hess | 1,100 | 59 | |||
International Coal Group * | 3,900 | 16 | |||
Karoon Gas Australia * | 21,943 | 151 | |||
Key Energy Services * | 32,049 | 279 | |||
Knightsbridge Tankers | 1,900 | 25 | |||
Mariner Energy * | 1,200 | 17 | |||
Massey Energy | 8,010 | 223 | |||
Matrix Service * | 4,500 | 49 | |||
McMoRan Exploration * | 5,900 | 44 | |||
Mitcham Industries * | 3,000 | 19 | |||
Murphy Oil | 10,252 | 590 | |||
Nabors Industries * | 19,324 | 404 | |||
National Oilwell Varco * | 1,800 | 78 | |||
Newfield Exploration * | 8,711 | 371 | |||
Noble | 7,900 | 300 | |||
Nordic American Tanker Shipping, Cl US (A) | 1,100 | 32 | |||
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Oceaneering International * | 3,750 | $ | 213 | ||
Oil States International * | 700 | 25 | |||
Overseas Shipholding Group | 14,480 | 541 | |||
Patriot Coal * | 1,980 | 23 | |||
Patterson-UTI Energy | 1,500 | 23 | |||
Peabody Energy | 1,500 | 56 | |||
PetroHawk Energy * | 22,900 | 554 | |||
Pioneer Drilling * | 20,200 | 148 | |||
Pioneer Natural Resources | 11,219 | 407 | |||
Quicksilver Resources * | 1,500 | 21 | |||
Range Resources | 7,194 | 355 | |||
Rowan | 10,300 | 238 | |||
SEACOR Holdings * | 4,800 | 392 | |||
Smith International | 1,079 | 31 | |||
Southwestern Energy * | 1,000 | 43 | |||
Spectra Energy | 18,900 | 358 | |||
St. Mary Land & Exploration | 11,700 | 380 | |||
Stone Energy * | 8,400 | 137 | |||
Sunoco | 6,400 | 182 | |||
Superior Energy Services * | 700 | 16 | |||
Swift Energy * | 17,697 | 419 | |||
Tesoro | 18,100 | 271 | |||
Tidewater | 7,420 | 349 | |||
Ultra Petroleum * | 900 | 44 | |||
USEC * | 51,000 | 239 | |||
Western Refining * | 16,400 | 106 | |||
Whiting Petroleum * | 10,300 | 593 | |||
Willbros Group * | 1,500 | 23 | |||
Williams | 3,785 | 68 | |||
World Fuel Services | 6,600 | 317 | |||
| 12,901 | |||||
Financials — 15.0% | |||||
1st Source | 1,000 | 16 | |||
Acadia Realty Trust † | 900 | 14 | |||
Advance America Cash Advance Centers | 39,200 | 219 | |||
Affiliated Managers Group * | 500 | 32 | |||
Alexander’s † | 100 | 30 | |||
Alexandria Real Estate Equities † | 300 | 16 | |||
Allied Capital | 36,400 | 112 | |||
Allied World Assurance Holdings | 18,900 | 906 | |||
Altisource Portfolio Solutions * | 1,400 | 20 | |||
AMB Property † | 2,100 | 48 | |||
American Campus Communities † | 600 | 16 | |||
American Capital | 1,100 | 4 | |||
American Capital Agency † | 3,317 | 94 | |||
American Equity Investment Life Holding | 11,300 | 79 | |||
American Financial Group | 19,300 | 492 | |||
American National Insurance | 700 | 60 | |||
Description | Shares | Market Value ($ Thousands) | |||
AmeriCredit * | 2,000 | $ | 32 | ||
Ameriprise Financial | 18,476 | 671 | |||
Amerisafe * | 5,300 | 91 | |||
Anworth Mortgage Asset † | 48,200 | 380 | |||
Apartment Investment & Management, Cl A † | 1,800 | 27 | |||
Arch Capital Group * | 300 | 20 | |||
Ares Capital | 2,000 | 22 | |||
Argo Group International Holdings * | 900 | 30 | |||
Arthur J. Gallagher | 900 | 22 | |||
Aspen Insurance Holdings | 15,300 | 405 | |||
Assured Guaranty | 19,340 | 376 | |||
Axis Capital Holdings | 1,000 | 30 | |||
Banco Latinoamericano de Exportaciones, Cl E | 21,300 | 303 | |||
Bancorpsouth | 11,900 | 290 | |||
Bank Mutual | 6,700 | 59 | |||
Bank of Hawaii | 400 | 17 | |||
Bank of the Ozarks | 8,500 | 226 | |||
BGC Partners, Cl A | 40,700 | 174 | |||
BioMed Realty Trust † | 17,200 | 237 | |||
BlackRock | 356 | 77 | |||
BlackRock Kelso Capital | 2,400 | 18 | |||
Boston Private Financial Holdings | 6,000 | 39 | |||
Boston Properties † | 6,118 | 401 | |||
BRE Properties, Cl A † | 1,000 | 31 | |||
Brown & Brown | 600 | 12 | |||
Calamos Asset Management, Cl A | 1,800 | 23 | |||
Camden Property Trust † | 600 | 24 | |||
Capstead Mortgage † | 6,200 | 86 | |||
Cardinal Financial | 20,072 | 165 | |||
CB Richard Ellis Group, Cl A * | 28,800 | 338 | |||
CBL & Associates Properties † | 19,223 | 186 | |||
Central Pacific Financial (A) | 49,933 | 126 | |||
Century Bancorp, Cl A | 2,700 | 59 | |||
Chemical Financial | 3,800 | 83 | |||
Chimera Investment † | 14,300 | 55 | |||
Cincinnati Financial | 14,300 | 372 | |||
Clifton Savings Bancorp | 4,200 | 41 | |||
CNA Surety * | 6,600 | 107 | |||
CoBiz Financial | 2,300 | 11 | |||
Colonial Properties Trust † | 4,500 | 44 | |||
Comerica | 27,779 | 824 | |||
Commerce Bancshares | 1,386 | 52 | |||
Cousins Properties † | 7,191 | 60 | |||
Credit Acceptance * | 1,400 | 44 | |||
Cullen/Frost Bankers | 300 | 15 | |||
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
CVB Financial | 9,600 | $ | 73 | ||
DCT Industrial Trust † | 3,100 | 16 | |||
Delphi Financial Group, Cl A | 3,900 | 88 | |||
Developers Diversified Realty † | 2,300 | 21 | |||
DiamondRock Hospitality † | 31,740 | 257 | |||
Digital Realty Trust † | 300 | 14 | |||
Dime Community Bancshares | 1,700 | 19 | |||
Dollar Financial * | 1,600 | 26 | |||
Doral Financial * (A) | 23,400 | 87 | |||
Douglas Emmett † | 1,400 | 17 | |||
Duke Realty † | 1,700 | 20 | |||
EastGroup Properties † | 400 | 15 | |||
Eaton Vance | 7,579 | 212 | |||
Education Realty Trust † | 28,058 | 166 | |||
eHealth * | 4,700 | 68 | |||
EMC Insurance Group | 2,920 | 62 | |||
Employers Holdings | 33,721 | 522 | |||
Encore Bancshares * | 1,200 | 11 | |||
Encore Capital Group * | 23,500 | 316 | |||
Endurance Specialty Holdings | 20,746 | 757 | |||
Enstar Group * | 300 | 19 | |||
Entertainment Properties Trust † | 1,000 | 34 | |||
Equity One † | 21,647 | 339 | |||
Erie Indemnity, Cl A | 1,000 | 37 | |||
Essex Property Trust † | 300 | 24 | |||
Everest Re Group | 4,400 | 386 | |||
FBL Financial Group, Cl A | 2,500 | 49 | |||
FCStone Group * | 7,173 | 35 | |||
Federal Agricultural Mortgage, Cl C (A) | 16,100 | 121 | |||
Federal Realty Investment Trust † | 500 | 31 | |||
Federated Investors, Cl B | 6,200 | 163 | |||
FelCor Lodging Trust † | 6,100 | 28 | |||
Fifth Street Finance | 1,600 | 18 | |||
Fifth Third Bancorp | 34,321 | 348 | |||
Financial Federal | 14,500 | 358 | |||
Financial Institutions | 1,100 | 11 | |||
First American | 3,700 | 120 | |||
First Bancorp | 40,300 | 123 | |||
First Busey | 400 | 2 | |||
First Commonwealth Financial | 7,400 | 42 | |||
First Financial Bancorp | 30,099 | 363 | |||
First Financial Holdings | 1,000 | 16 | |||
First Horizon National * | 49,956 | 661 | |||
First Midwest Bancorp | 11,200 | 126 | |||
First Niagara Financial Group | 4,300 | 53 | |||
Description | Shares | Market Value ($ Thousands) | |||
FirstMerit | 8,762 | $ | 167 | ||
Flagstone Reinsurance Holdings | 6,300 | 71 | |||
Flushing Financial | 3,400 | 39 | |||
FNB (Pennsylvania) | 4,100 | 29 | |||
Franklin Street Properties † | 5,800 | 76 | |||
Fulton Financial | 4,400 | 32 | |||
GAMCO Investors, Cl A | 400 | 18 | |||
Getty Realty † | 3,100 | 76 | |||
GFI Group | 76,100 | 550 | |||
Glacier Bancorp | 800 | 12 | |||
Greenhill | 500 | 45 | |||
Greenlight Capital Re * | 1,400 | 26 | |||
Hancock Holding | 9,919 | 373 | |||
Hanover Insurance Group | 11,300 | 467 | |||
Harleysville Group | 1,200 | 38 | |||
Hatteras Financial † | 2,500 | 75 | |||
HCC Insurance Holdings | 1,000 | 27 | |||
Health Care † | 3,000 | 125 | |||
Healthcare Realty Trust † | 700 | 15 | |||
Hercules Technology Growth Capital | 21,503 | 211 | |||
Hersha Hospitality Trust † | 43,200 | 134 | |||
Highwoods Properties † | 500 | 16 | |||
Hilltop Holdings * | 5,000 | 61 | |||
Home Properties † | 400 | 17 | |||
Horace Mann Educators | 18,700 | 261 | |||
Hospitality Properties Trust † | 13,800 | 281 | |||
HRPT Properties Trust † | 110,400 | 830 | |||
Hudson City Bancorp | 2,400 | 32 | |||
Huntington Bancshares | 55,900 | 263 | |||
IBERIABANK | 2,686 | 122 | |||
Independence Holding | 2,800 | 16 | |||
Independent Bank | 800 | 18 | |||
Infinity Property & Casualty | 10,061 | 427 | |||
Inland Real Estate † | 9,400 | 82 | |||
Interactive Brokers Group, Cl A * | 800 | 16 | |||
Investment Technology Group * | 900 | 25 | |||
Investors Real Estate Trust † | 3,100 | 28 | |||
Janus Capital Group | 1,900 | 27 | |||
Jones Lang LaSalle | 400 | 19 | |||
KBW * | 700 | 23 | |||
Keycorp | 1,600 | 10 | |||
Kilroy Realty † | 3,175 | 88 | |||
Kite Realty Group Trust † | 3,700 | 15 | |||
Knight Capital Group, Cl A * | 2,300 | 50 | |||
Lancashire Holdings | 43,639 | 357 | |||
LaSalle Hotel Properties † | 1,400 | 27 | |||
Lazard, Cl A | 7,700 | 318 | |||
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Lexington Realty Trust † | 16,836 | $ | 86 | ||
Liberty Property Trust † | 13,236 | 431 | |||
LTC Properties † | 4,600 | 111 | |||
M&T Bank (A) | 3,569 | 222 | |||
Macerich † | 2,037 | 62 | |||
MarketAxess Holdings * | 1,200 | 15 | |||
MBIA * | 5,600 | 43 | |||
Meadowbrook Insurance Group | 46,200 | 342 | |||
Medical Properties Trust † | 41,100 | 321 | |||
Mercury General | 300 | 11 | |||
MF Global * | 5,200 | 38 | |||
MFA Financial † | 85,990 | 684 | |||
MGIC Investment | 4,000 | 30 | |||
Mid-America Apartment Communities † | 4,800 | 217 | |||
Montpelier Re Holdings | 15,200 | 248 | |||
MSCI, Cl A * | 3,500 | 104 | |||
National Health Investors † | 1,300 | 41 | |||
National Penn Bancshares | 17,672 | 108 | |||
National Retail Properties † | 1,200 | 26 | |||
National Western Life Insurance, Cl A | 400 | 70 | |||
Nationwide Health Properties † | 12,400 | 384 | |||
Navigators Group * | 200 | 11 | |||
NBT Bancorp | 1,200 | 27 | |||
NewAlliance Bancshares | 25,700 | 275 | |||
Northfield Bancorp | 800 | 10 | |||
NorthStar Realty Finance † | 14,709 | 52 | |||
NYSE Euronext | 1,675 | 48 | |||
Ocwen Financial * | 4,200 | 47 | |||
Old National Bancorp | 3,800 | 43 | |||
Omega Healthcare Investors † | 5,100 | 82 | |||
One Liberty Properties † | 136 | 1 | |||
OneBeacon Insurance Group, Cl A | 2,700 | 37 | |||
optionsXpress Holdings | 1,400 | 24 | |||
Oriental Financial Group | 13,000 | 165 | |||
PacWest Bancorp | 16,900 | 322 | |||
Park National | 5,100 | 298 | |||
Parkway Properties † | 4,000 | 79 | |||
PartnerRe | 8,561 | 659 | |||
Patriot Capital Funding | 4,600 | 19 | |||
People's United Financial | 22,873 | 356 | |||
PHH * | 12,764 | 253 | |||
Pinnacle Financial Partners * | 1,500 | 19 | |||
Piper Jaffray * | 300 | 14 | |||
Platinum Underwriters Holdings | 19,816 | 710 | |||
Plum Creek Timber † | 1,400 | 43 | |||
Popular | 28,900 | 82 | |||
Description | Shares | Market Value ($ Thousands) | |||
Portfolio Recovery Associates * | 400 | $ | 18 | ||
Post Properties † | 800 | 14 | |||
Premierwest Bancorp | 3,465 | 9 | |||
Presidential Life | 1,400 | 15 | |||
Primus Guaranty * | 5,700 | 24 | |||
PrivateBancorp | 900 | 22 | |||
ProAssurance * | 8,193 | 428 | |||
Prospect Capital | 1,000 | 11 | |||
Protective Life | 9,256 | 198 | |||
Provident Financial Services | 1,100 | 11 | |||
Provident New York Bancorp | 1,200 | 11 | |||
Pzena Investment Management, Cl A | 5,400 | 44 | |||
RAIT Financial Trust † | 42,000 | 123 | |||
Ramco-Gershenson Properties † | 2,300 | 20 | |||
Raymond James Financial | 13,200 | 307 | |||
Rayonier † | 850 | 35 | |||
Redwood Trust † | 11,068 | 172 | |||
Regency Centers † | 500 | 18 | |||
Regions Financial | 51,600 | 320 | |||
Reinsurance Group of America, Cl A | 17,034 | 760 | |||
RenaissanceRe Holdings | 800 | 44 | |||
Resource Capital † | 2,600 | 14 | |||
RLI | 1,600 | 84 | |||
Roma Financial | 900 | 11 | |||
S&T Bancorp | 9,200 | 119 | |||
Sandy Spring Bancorp | 1,000 | 16 | |||
SeaBright Insurance Holdings * | 900 | 10 | |||
Selective Insurance Group | 7,400 | 116 | |||
Senior Housing Properties Trust † | 1,000 | 19 | |||
Sierra Bancorp | 800 | 10 | |||
Signature Bank NY * | 34,925 | 1,013 | |||
SL Green Realty † | 2,800 | 123 | |||
Sovran Self Storage † | 3,900 | 119 | |||
St. Joe * | 3,751 | 109 | |||
StanCorp Financial Group | 11,800 | 476 | |||
Sterling Bancshares | 8,000 | 58 | |||
Stewart Information Services | 700 | 9 | |||
Stifel Financial * | 4,875 | 268 | |||
Strategic Hotels & Resorts † | 34,971 | 91 | |||
Stratus Properties * | 1,900 | 16 | |||
Sun Communities † | 1,400 | 30 | |||
Sunstone Hotel Investors † | 28,254 | 201 | |||
SVB Financial Group * | 600 | 26 | |||
SWS Group | 7,400 | 107 | |||
Synovus Financial | 122,375 | 459 | |||
Tanger Factory Outlet Centers † | 800 | 30 | |||
Taubman Centers † | 1,400 | 50 | |||
TCF Financial | 7,836 | 102 | |||
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
TD Ameritrade Holding * | 10,346 | $ | 203 | ||
Tejon Ranch * | 400 | 10 | |||
Tower Group | 6,832 | 167 | |||
TradeStation Group * | 1,800 | 15 | |||
Transatlantic Holdings | 600 | 30 | |||
Trustco Bank NY | 25,300 | 158 | |||
Trustmark | 1,100 | 21 | |||
UDR † | 1,400 | 22 | |||
Umpqua Holdings | 5,000 | 53 | |||
United America Indemnity, Cl A * | 1,081 | 8 | |||
United Bankshares | 600 | 12 | |||
United Community Banks * | 9,318 | 47 | |||
United Fire & Casualty | 2,600 | 47 | |||
Unitrin | 17,200 | 335 | |||
Universal Health Realty Income Trust † | 300 | 10 | |||
Unum Group | 38,246 | 820 | |||
U-Store-It Trust † | 39,300 | 246 | |||
Validus Holdings | 11,575 | 299 | |||
Valley National Bancorp | 2,100 | 26 | |||
W Holding | 900 | 12 | |||
Waddell & Reed Financial, Cl A | 700 | 20 | |||
Walter Investment Management † | 657 | 11 | |||
Washington Federal | 10,600 | 179 | |||
Washington Real Estate Investment Trust † | 500 | 14 | |||
Washington Trust Bancorp | 600 | 11 | |||
Waterstone Financial * | 4,500 | 23 | |||
Webster Financial | 7,700 | 96 | |||
Weingarten Realty Investors † | 1,600 | 32 | |||
Westamerica Bancorporation | 1,500 | 78 | |||
Western Alliance Bancorp * | 14,600 | 92 | |||
Westfield Financial | 2,625 | 22 | |||
White Mountains Insurance Group | 900 | 276 | |||
Whitney Holding | 12,499 | 119 | |||
Willis Group Holdings | 13,539 | 382 | |||
Wilmington Trust | 4,100 | 58 | |||
Wintrust Financial | 600 | 17 | |||
World Acceptance * | 1,300 | 33 | |||
WR Berkley | 5,400 | 137 | |||
WSFS Financial | 400 | 11 | |||
Zions Bancorporation | 30,232 | 543 | |||
| 39,427 | |||||
Health Care — 12.0% | |||||
Abaxis * | 2,200 | 59 | |||
Accuray * | 1,900 | 12 | |||
Adolor * | 6,200 | 10 | |||
Affymetrix * | 3,600 | 32 | |||
Air Methods * | 600 | 20 | |||
Description | Shares | Market Value ($ Thousands) | |||
Albany Molecular Research * | 7,800 | $ | 68 | ||
Alexion Pharmaceuticals * | 2,000 | 89 | |||
Align Technology * | 4,700 | 67 | |||
Alkermes * | 30,200 | 277 | |||
Allscripts Healthcare Solutions | 28,900 | 586 | |||
Almost Family * | 9,700 | 289 | |||
AMAG Pharmaceuticals * | 300 | 13 | |||
Amedisys * | 1,900 | 83 | |||
AMERIGROUP * | 12,220 | 271 | |||
AmerisourceBergen | 14,498 | 324 | |||
AMN Healthcare Services * | 18,700 | 178 | |||
Amsurg * | 12,137 | 258 | |||
Amylin Pharmaceuticals * | 21,600 | 296 | |||
Analogic | 1,274 | 47 | |||
Angiodynamics * | 3,200 | 44 | |||
Auxilium Pharmaceuticals * | 13,200 | 452 | |||
Beckman Coulter | 3,612 | 249 | |||
Biogen Idec * | 3,400 | 172 | |||
Bio-Rad Laboratories, Cl A * | 600 | 55 | |||
Bio-Reference Labs * | 500 | 17 | |||
Boston Scientific * | 43,500 | 461 | |||
Brookdale Senior Living | 1,700 | 31 | |||
Bruker BioSciences * | 7,800 | 83 | |||
Capital Senior Living * | 3,600 | 22 | |||
Catalyst Health Solutions * | 600 | 17 | |||
Celgene * | 622 | 35 | |||
Cephalon * | 2,321 | 135 | |||
Cerner * | 700 | 52 | |||
Charles River Laboratories International * | 5,150 | 190 | |||
Chemed | 4,664 | 205 | |||
Conmed * | 7,800 | 150 | |||
Cooper | 19,457 | 578 | |||
Corvel * | 893 | 25 | |||
Covance * | 6,175 | 334 | |||
Coventry Health Care * | 18,200 | 363 | |||
Cubist Pharmaceuticals * | 17,000 | 343 | |||
Dendreon * | 13,400 | 375 | |||
Dentsply International | 10,500 | 363 | |||
Dionex * | 500 | 33 | |||
Eclipsys * | 1,200 | 23 | |||
Edwards Lifesciences * | 1,200 | 84 | |||
Emeritus * | 1,400 | 31 | |||
Endo Pharmaceuticals Holdings * | 16,000 | 362 | |||
Enzo Biochem * | 6,249 | 44 | |||
Enzon Pharmaceuticals * | 2,600 | 21 | |||
eResearchTechnology * | 11,948 | 84 | |||
ev3 * | 50,300 | 619 | |||
Exelixis * | 2,200 | 14 | |||
Express Scripts * | 700 | 54 | |||
Forest Laboratories * | 29,675 | 874 | |||
Gen-Probe * | 3,400 | 141 | |||
7 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Gentiva Health Services * | 700 | $ | 17 | ||
Genzyme * | 1,702 | 97 | |||
Geron * | 8,900 | 58 | |||
Greatbatch * | 24,938 | 560 | |||
Haemonetics * | 700 | 39 | |||
Health Management Associates, Cl A * | 15,400 | 115 | |||
Health Net * | 43,375 | 668 | |||
Healthsouth * | 29,400 | 460 | |||
Healthspring * | 1,200 | 15 | |||
Healthways * | 800 | 12 | |||
Henry Schein * | 5,002 | 275 | |||
Hill-Rom Holdings | 24,300 | 529 | |||
HLTH * | 5,900 | 86 | |||
Hologic * | 10,684 | 175 | |||
Humana * | 8,300 | 310 | |||
ICON ADR * | 29,500 | 722 | |||
Idexx Laboratories * | 5,600 | 280 | |||
Illumina * | 3,300 | 140 | |||
Immucor * | 1,950 | 34 | |||
InterMune * | 2,500 | 40 | |||
Intuitive Surgical * | 650 | 170 | |||
Inverness Medical Innovations * | 22,684 | 879 | |||
Isis Pharmaceuticals * | 3,900 | 57 | |||
Kendle International * | 2,700 | 45 | |||
Kensey Nash * | 4,900 | 142 | |||
Kinetic Concepts * | 14,800 | 547 | |||
King Pharmaceuticals * | 20,000 | 215 | |||
KV Pharmaceutical, Cl A * | 5,600 | 17 | |||
Laboratory Corp of America Holdings * | 3,900 | 256 | |||
Landauer | 600 | 33 | |||
LHC Group * | 1,244 | 37 | |||
Life Technologies * | 2,637 | 123 | |||
LifePoint Hospitals * | 19,200 | 520 | |||
Ligand Pharmaceuticals, Cl B * | 39,700 | 92 | |||
Lincare Holdings * | 1,200 | 37 | |||
Magellan Health Services * | 1,400 | 43 | |||
Martek Biosciences * | 6,400 | 145 | |||
Maxygen * | 2,122 | 14 | |||
Medicines * | 21,100 | 232 | |||
Mednax * | 3,243 | 178 | |||
Meridian Bioscience | 6,400 | 160 | |||
Merit Medical Systems * | 4,300 | 74 | |||
Mettler Toledo International * | 400 | 36 | |||
Millipore * | 600 | 42 | |||
Molina Healthcare * | 500 | 10 | |||
Mylan Laboratories * | 46,635 | 747 | |||
Myriad Genetics * | 3,900 | 107 | |||
Myriad Pharmaceuticals * | 550 | 3 | |||
Nektar Therapeutics * | 9,000 | 88 | |||
Neogen * | 400 | 13 | |||
Nighthawk Radiology Holdings * | 4,700 | 34 | |||
Description | Shares | Market Value ($ Thousands) | |||
NuVasive * | 12,900 | $ | 539 | ||
Obagi Medical Products * | 1,600 | 19 | |||
Odyssey HealthCare * | 1,000 | 12 | |||
Omnicell * | 1,300 | 14 | |||
Onyx Pharmaceuticals * | 23,000 | 689 | |||
Orthofix International * | 600 | 18 | |||
OSI Pharmaceuticals * | 24,918 | 880 | |||
Owens & Minor | 13,825 | 626 | |||
Palomar Medical Technologies * | 1,261 | 20 | |||
Par Pharmaceutical * | 2,270 | 49 | |||
Parexel International * | 40,000 | 544 | |||
Patterson * | 18,500 | 504 | |||
PDL BioPharma | 63,300 | 499 | |||
PerkinElmer | 17,800 | 343 | |||
Perrigo | 10,800 | 367 | |||
Pharmaceutical Product Development | 6,300 | 138 | |||
PharMerica * | 500 | 9 | |||
Providence Service * | 2,800 | 33 | |||
PSS World Medical * | 1,400 | 31 | |||
Psychiatric Solutions * | 14,610 | 391 | |||
Regeneron Pharmaceuticals * | 18,400 | 355 | |||
RehabCare Group * | 700 | 15 | |||
Res-Care * | 8,000 | 114 | |||
ResMed * | 4,181 | 189 | |||
Rigel Pharmaceuticals * | 1,300 | 11 | |||
Seattle Genetics * | 26,970 | 378 | |||
Sepracor * | 17,300 | 396 | |||
Sirona Dental Systems * | 12,119 | 361 | |||
Somanetics * | 3,017 | 49 | |||
STERIS | 10,830 | 330 | |||
SXC Health Solutions * | 9,500 | 445 | |||
Symmetry Medical * | 1,500 | 16 | |||
Techne | 4,100 | 256 | |||
Tenet Healthcare * | 14,100 | 83 | |||
Theravance * | 2,300 | 34 | |||
Thermo Fisher Scientific * | 1,600 | 70 | |||
Thoratec * | 1,500 | 45 | |||
TomoTherapy * | 20,700 | 90 | |||
United Therapeutics * | 8,000 | 392 | |||
Universal Health Services, Cl B | 5,917 | 366 | |||
US Physical Therapy * | 900 | 14 | |||
Valeant Pharmaceuticals International * | 4,500 | 126 | |||
VCA Antech * | 1,400 | 38 | |||
Vertex Pharmaceuticals * | 8,800 | 333 | |||
Viropharma * | 12,700 | 122 | |||
Volcano * | 6,900 | 116 | |||
Waters * | 1,425 | 80 | |||
Watson Pharmaceuticals * | 9,800 | 359 | |||
WellCare Health Plans * | 800 | 20 | |||
Zimmer Holdings * | 4,677 | 250 | |||
Zoll Medical * | 19,400 | 417 | |||
| 31,437 | |||||
8 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Industrials — 14.3% | |||||
AAON | 1,500 | $ | 30 | ||
Actuant, Cl A | 5,663 | 91 | |||
Acuity Brands | 9,034 | 291 | |||
Aecom Technology * | 900 | 24 | |||
AGCO * | 1,700 | 47 | |||
Aircastle | 10,200 | 99 | |||
Airtran Holdings * | 2,900 | 18 | |||
Alaska Air Group * | 7,098 | 190 | |||
Albany International, Cl A | 1,900 | 37 | |||
Alexander & Baldwin | 2,539 | 81 | |||
Alliant Techsystems * | 788 | 61 | |||
American Commercial Lines * | 725 | 21 | |||
American Reprographics * | 18,000 | 171 | |||
American Superconductor * | 2,200 | 74 | |||
Ametek | 750 | 26 | |||
Ampco-Pittsburgh | 8,000 | 213 | |||
AMR * | 4,000 | 32 | |||
AO Smith | 8,100 | 309 | |||
Apogee Enterprises | 16,300 | 245 | |||
Arkansas Best | 7,000 | 210 | |||
Atlas Air Worldwide Holdings * | 800 | 25 | |||
Avery Dennison | 11,655 | 420 | |||
Avis Budget Group * | 11,900 | 159 | |||
Baldor Electric | 900 | 25 | |||
Barnes Group | 1,100 | 19 | |||
BE Aerospace * | 54,236 | 1,092 | |||
Beacon Roofing Supply * | 3,300 | 53 | |||
Belden | 14,282 | 330 | |||
Bowne | 7,393 | 57 | |||
Brady, Cl A | 7,300 | 210 | |||
Briggs & Stratton | 22,520 | 437 | |||
Brink’s | 3,100 | 83 | |||
Bucyrus International, Cl A | 9,600 | 342 | |||
C.H. Robinson Worldwide | 1,344 | 78 | |||
Carlisle | 600 | 20 | |||
Chart Industries * | 10,700 | 231 | |||
Cintas | 10,000 | 303 | |||
Clarcor | 100 | 3 | |||
CNH Global | 3,060 | 52 | |||
Colfax * | 7,500 | 80 | |||
Columbus McKinnon * | 3,949 | 60 | |||
Continental Airlines, Cl B * | 16,500 | 271 | |||
Con-way | 12,420 | 476 | |||
Copa Holdings, Cl A | 7,580 | 337 | |||
Copart * | 600 | 20 | |||
Corporate Executive Board | 700 | 17 | |||
Corrections Corp of America * | 39,630 | 898 | |||
Courier | 6,200 | 94 | |||
Crane | 9,800 | 253 | |||
Cummins | 2,200 | 99 | |||
Curtiss-Wright | 900 | 31 | |||
Delta Air Lines * | 18,725 | 168 | |||
Deluxe | 18,000 | 308 | |||
Description | Shares | Market Value ($ Thousands) | |||
Dollar Thrifty Automotive Group * | 6,300 | $ | 155 | ||
Donaldson | 600 | 21 | |||
Dover | 9,234 | 358 | |||
Dun & Bradstreet | 500 | 38 | |||
Dycom Industries * | 5,200 | 64 | |||
Eagle Bulk Shipping (A) | 11,800 | 61 | |||
EMCOR Group * | 20,814 | 527 | |||
EnergySolutions | 4,400 | 41 | |||
EnerNOC * | 1,300 | 43 | |||
Ennis | 3,200 | 52 | |||
EnPro Industries * | 11,900 | 272 | |||
Equifax | 9,098 | 265 | |||
ESCO Technologies * | 1,300 | 51 | |||
Esterline Technologies * | 12,700 | 498 | |||
Fastenal | 5,748 | 222 | |||
Flowserve | 1,100 | 108 | |||
Force Protection * | 900 | 5 | |||
Forward Air | 600 | 14 | |||
Foster Wheeler * | 7,300 | 233 | |||
FTI Consulting * | 17,500 | 746 | |||
Fushi Copperweld * | 6,400 | 54 | |||
G&K Services | 8,200 | 182 | |||
Gardner Denver * | 23,705 | 827 | |||
GATX | 4,700 | 131 | |||
GenCorp * | 9,825 | 53 | |||
General Cable * | 700 | 27 | |||
Geo Group * | 5,088 | 103 | |||
GeoEye * | 500 | 13 | |||
Goodrich | 9,400 | 511 | |||
Gorman-Rupp | 1,250 | 31 | |||
Graco | 600 | 17 | |||
GrafTech International * | 4,600 | 68 | |||
H&E Equipment Services * | 3,675 | 42 | |||
Harsco | 3,200 | 113 | |||
Heartland Express | 600 | 9 | |||
Heidrick & Struggles International | 700 | 16 | |||
Herman Miller | 1,500 | 25 | |||
Hertz Global Holdings * | 4,900 | 53 | |||
Hexcel * | 1,400 | 16 | |||
HNI | 1,400 | 33 | |||
Hubbell, Cl B | 10,700 | 449 | |||
Huron Consulting Group * | 400 | 10 | |||
ICT Group * | 2,100 | 22 | |||
IDEX | 7,366 | 206 | |||
IHS, Cl A * | 13,500 | 690 | |||
Interface, Cl A | 16,797 | 139 | |||
Interline Brands * | 1,300 | 22 | |||
International Shipholding | 5,600 | 173 | |||
ITT | 11,400 | 594 | |||
Jacobs Engineering Group * | 4,149 | 191 | |||
JB Hunt Transport Services | 16,600 | 533 | |||
John Bean Technologies | 777 | 14 | |||
9 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Joy Global | 1,800 | $ | 88 | ||
Kadant * | 9,026 | 109 | |||
Kaman | 3,107 | 68 | |||
Kansas City Southern * | 10,000 | 265 | |||
Kaydon | 9,400 | 305 | |||
KBR | 2,100 | 49 | |||
Kelly Services, Cl A | 14,000 | 172 | |||
Kennametal | 500 | 12 | |||
Kirby * | 6,504 | 239 | |||
Knoll | 18,800 | 196 | |||
Landstar System | 600 | 23 | |||
Layne Christensen * | 700 | 22 | |||
Lennox International | 14,800 | 535 | |||
Lincoln Electric Holdings | 2,905 | 138 | |||
Lindsay | 2,000 | 79 | |||
Localiza Rent A Car | 40,080 | 399 | |||
Lydall * | 4,300 | 23 | |||
MasTec * | 100 | 1 | |||
Middleby * | 400 | 22 | |||
Mine Safety Appliances | 5,500 | 151 | |||
Monster Worldwide * | 1,600 | 28 | |||
Moog, Cl A * | 2,300 | 68 | |||
MPS Group * | 1,600 | 17 | |||
MSC Industrial Direct, Cl A | 100 | 4 | |||
Mueller Industries | 11,400 | 272 | |||
Mueller Water Products, Cl A | 35,500 | 194 | |||
NACCO Industries, Cl A | 400 | 24 | |||
Navigant Consulting * | 16,923 | 229 | |||
NCI Building Systems * (A) | 32,500 | 104 | |||
Nordson | 300 | 17 | |||
Old Dominion Freight Line * | 1,350 | 41 | |||
Orbital Sciences * | 4,400 | 66 | |||
Oshkosh Truck | 1,200 | 37 | |||
Owens Corning * | 2,000 | 45 | |||
PACCAR | 9,596 | 362 | |||
Pacer International | 12,405 | 48 | |||
Pall | 18,460 | 596 | |||
Parker Hannifin | 5,900 | 306 | |||
Park-Ohio Holdings * | 2,900 | 25 | |||
Pentair | 15,830 | 467 | |||
Pitney Bowes | 16,356 | 406 | |||
Quanex Building Products | 1,200 | 17 | |||
Quanta Services * | 3,656 | 81 | |||
Regal-Beloit | 17,200 | 786 | |||
Resources Connection * | 37,865 | 646 | |||
Robert Half International | 1,400 | 35 | |||
Rockwell Collins | 6,383 | 324 | |||
Rollins | 1,100 | 21 | |||
Roper Industries | 400 | 20 | |||
RR Donnelley & Sons | 17,159 | 365 | |||
RSC Holdings * | 1,700 | 12 | |||
Rush Enterprises, Cl A * | 14,580 | 188 | |||
Ryder System | 12,600 | 492 | |||
School Specialty * | 9,300 | 221 | |||
Description | Shares | Market Value ($ Thousands) | |||
Seaboard | 89 | $ | 116 | ||
Shaw Group * | 1,100 | 35 | |||
Skywest | 11,800 | 196 | |||
SMA Solar Technology | 4,251 | 435 | |||
Spirit Aerosystems Holdings, Cl A * | 21,881 | 395 | |||
SPX | 700 | 43 | |||
Standard Register | 5,164 | 30 | |||
Steelcase, Cl A | 4,600 | 29 | |||
Stericycle * | 1,000 | 48 | |||
Sunpower, Cl B * | 15,200 | 384 | |||
SYKES Enterprises * | 73,545 | 1,531 | |||
Tam ADR * | 22,860 | 295 | |||
Taser International * | 2,400 | 11 | |||
Teledyne Technologies * | 24,084 | 867 | |||
Teleflex | 8,561 | 414 | |||
Terex * | 14,700 | 305 | |||
Tetra Tech * | 1,300 | 35 | |||
Thomas & Betts * | 12,100 | 364 | |||
Timken | 1,200 | 28 | |||
Titan Machinery * | 3,200 | 40 | |||
Trex * | 16,111 | 293 | |||
Triumph Group | 12,587 | 604 | |||
Tutor Perini * | 3,100 | 66 | |||
UAL * | 57,700 | 532 | |||
Ultralife * | 2,500 | 15 | |||
United Stationers * | 8,821 | 420 | |||
Universal Forest Products | 2,200 | 87 | |||
URS * | 8,300 | 362 | |||
US Airways Group * | 58,463 | 275 | |||
USG * | 1,100 | 19 | |||
UTI Worldwide | 15,900 | 230 | |||
Valmont Industries | 200 | 17 | |||
Vicor | 2,300 | 18 | |||
Wabtec | 1,800 | 68 | |||
Waste Connections * | 1,579 | 46 | |||
Watsco | 1,300 | 70 | |||
Watson Wyatt Worldwide, Cl A | 9,663 | 421 | |||
Watts Water Technologies, Cl A | 6,193 | 187 | |||
WESCO International * | 9,087 | 262 | |||
| 37,515 | |||||
Information Technology — 17.2% | |||||
3Com * | 40,300 | 211 | |||
Activision Blizzard * | 1,500 | 19 | |||
Advanced Analogic Technologies * | 14,575 | 58 | |||
Advanced Energy Industries * | 1,400 | 20 | |||
Advanced Micro Devices * | 19,300 | 109 | |||
Advent Software * | 500 | 20 | |||
Agilysys | 2,800 | 18 | |||
Akamai Technologies * | 2,300 | 45 | |||
Alliance Data Systems * (A) | 13,200 | 806 | |||
10 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Amkor Technology * | 8,400 | $ | 58 | ||
Analog Devices | 12,875 | 355 | |||
Anixter International * | 500 | 20 | |||
Ansys * | 9,900 | 371 | |||
Applied Micro Circuits * | 3,400 | 34 | |||
ArcSight * | 10,900 | 262 | |||
Ariba * | 2,700 | 31 | |||
Arris Group * | 7,200 | 94 | |||
Arrow Electronics * | 1,900 | 54 | |||
AsiaInfo Holdings * | 8,000 | 160 | |||
Atheros Communications * | 13,920 | 369 | |||
Atmel * | 7,400 | 31 | |||
ATMI * | 800 | 14 | |||
Autodesk * | 1,000 | 24 | |||
Avnet * | 10,000 | 260 | |||
Avocent * | 13,369 | 271 | |||
Benchmark Electronics * | 19,000 | 342 | |||
Black Box | 13,669 | 343 | |||
Blackbaud | 1,000 | 23 | |||
Blackboard * | 1,400 | 53 | |||
Blue Coat Systems * | 1,100 | 25 | |||
BMC Software * | 1,700 | 64 | |||
Brightpoint * | 27,183 | 238 | |||
Broadridge Financial Solutions | 1,700 | 34 | |||
Brocade Communications Systems * | 4,100 | 32 | |||
CACI International, Cl A * | 5,039 | 238 | |||
Cadence Design Systems * | 5,600 | 41 | |||
Cavium Networks * | 8,280 | 178 | |||
Checkpoint Systems * | 6,577 | 108 | |||
Ciber * | 13,963 | 56 | |||
Ciena * | 1,200 | 20 | |||
Cirrus Logic * | 9,529 | 53 | |||
Citrix Systems * | 900 | 35 | |||
Cognex | 4,700 | 77 | |||
Cognizant Technology Solutions, Cl A * | 1,800 | 70 | |||
Cogo Group * | 7,800 | 48 | |||
Coherent * | 12,047 | 281 | |||
CommScope * | 900 | 27 | |||
Computer Sciences * | 9,800 | 517 | |||
Compuware * | 1,600 | 12 | |||
Comverge * | 2,600 | 32 | |||
Constant Contact * | 27,200 | 524 | |||
Convergys * | 27,500 | 273 | |||
Cree * | 3,349 | 123 | |||
CSG Systems International * | 18,734 | 300 | |||
CTS | 32,188 | 299 | |||
Cybersource * | 1,100 | 18 | |||
Cymer * | 1,901 | 74 | |||
Cypress Semiconductor * | 10,200 | 105 | |||
Daktronics | 4,000 | 34 | |||
DealerTrack Holdings * | 1,000 | 19 | |||
Deltek * | 4,647 | 36 | |||
Description | Shares | Market Value ($ Thousands) | |||
DG FastChannel * | 800 | $ | 17 | ||
Diebold | 21,924 | 722 | |||
Digital River * | 500 | 20 | |||
Diodes * | 1,800 | 32 | |||
Dolby Laboratories, Cl A * | 12,300 | 470 | |||
DST Systems * | 3,200 | 143 | |||
Echelon * | 900 | 12 | |||
EchoStar, Cl A * | 2,900 | 54 | |||
Electronics for Imaging * | 6,290 | 71 | |||
Emulex * | 18,333 | 189 | |||
Equinix * | 14,300 | 1,316 | |||
Euronet Worldwide * | 1,400 | 34 | |||
F5 Networks * | 2,000 | 79 | |||
Factset Research Systems | 300 | 20 | |||
Fair Isaac | 700 | 15 | |||
Fairchild Semiconductor International * | 11,988 | 123 | |||
Fidelity National Information Services | 400 | 10 | |||
Flir Systems * | 9,160 | 256 | |||
Formfactor * | 800 | 19 | |||
Forrester Research * | 900 | 24 | |||
Gartner * | 47,044 | 860 | |||
Genpact * | 1,200 | 15 | |||
Global Payments | 800 | 37 | |||
GSI Commerce * | 76,924 | 1,485 | |||
Harmonic * | 2,000 | 13 | |||
Harris Stratex Networks, Cl A * | 198 | 1 | |||
Heartland Payment Systems | 21,160 | 307 | |||
Hewitt Associates, Cl A * | 3,334 | 121 | |||
Hughes Communications * | 1,200 | 36 | |||
IAC * | 6,750 | 136 | |||
Informatica * | 2,900 | 65 | |||
Ingram Micro, Cl A * | 6,642 | 112 | |||
Integral Systems * | 6,172 | 43 | |||
InterDigital * | 1,300 | 30 | |||
Intermec * | 3,801 | 53 | |||
International Rectifier * | 1,600 | 31 | |||
Iron Mountain * | 2,500 | 67 | |||
Itron * | 600 | 38 | |||
Jabil Circuit | 87,067 | 1,168 | |||
Jack Henry & Associates | 2,200 | 52 | |||
JDA Software Group * | 13,700 | 301 | |||
JDS Uniphase * | 2,700 | 19 | |||
Kenexa * | 7,400 | 100 | |||
Lam Research * | 7,250 | 248 | |||
Lawson Software * | 127,610 | 796 | |||
Lender Processing Services | 150 | 6 | |||
Lexmark International, Cl A * | 19,900 | 429 | |||
Limelight Networks * | 3,000 | 12 | |||
Linear Technology | 5,600 | 155 | |||
Littelfuse * | 11,975 | 314 | |||
LoopNet * | 1,700 | 15 | |||
11 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Loral Space & Communications * | 800 | $ | 22 | ||
LSI Logic * | 20,725 | 114 | |||
Mantech International, Cl A * | 900 | 42 | |||
MAXIMUS | 1,400 | 65 | |||
McAfee * | 400 | 17 | |||
Measurement Specialties * | 2,900 | 30 | |||
MEMC Electronic Materials * | 600 | 10 | |||
Mentor Graphics * | 2,400 | 22 | |||
Metavante Technologies * | 800 | 28 | |||
Methode Electronics | 46,156 | 400 | |||
Micrel | 10,900 | 89 | |||
Micros Systems * | 800 | 24 | |||
Microsemi * | 49,272 | 778 | |||
MicroStrategy, Cl A * | 200 | 14 | |||
Microtune * | 7,735 | 14 | |||
Molex | 17,869 | 373 | |||
Monolithic Power Systems * | 4,628 | 108 | |||
Move * | 44,345 | 120 | |||
MSC.Software * | 2,000 | 17 | |||
MTS Systems | 1,819 | 53 | |||
National Semiconductor | 2,800 | 40 | |||
NCR * | 3,525 | 49 | |||
Netgear * | 2,100 | 39 | |||
NetSuite * | 1,400 | 21 | |||
NeuStar, Cl A * | 30,660 | 693 | |||
NIC | 3,700 | 33 | |||
Novatel Wireless * | 12,100 | 137 | |||
Novell * | 16,400 | 74 | |||
Novellus Systems * | 1,600 | 33 | |||
Nuance Communications * | 1,500 | 22 | |||
Omniture * | 10,401 | 223 | |||
Omnivision Technologies * | 1,400 | 23 | |||
ON Semiconductor * | 83,220 | 686 | |||
Palm * | 1,700 | 30 | |||
Parametric Technology * | 22,500 | 311 | |||
Perot Systems, Cl A * | 8,163 | 242 | |||
Plantronics | 1,100 | 29 | |||
Plexus * | 21,640 | 570 | |||
PMC – Sierra * | 87,000 | 832 | |||
Polycom * | 30,790 | 824 | |||
Power Integrations | 500 | 17 | |||
QLogic * | 1,200 | 21 | |||
Quest Software * | 1,400 | 24 | |||
Rackspace Hosting * | 24,100 | 411 | |||
Radisys * | 4,300 | 37 | |||
Rambus * | 1,900 | 33 | |||
RealNetworks * | 11,200 | 42 | |||
Red Hat * | 29,700 | 821 | |||
RF Micro Devices * | 117,930 | 640 | |||
Richardson Electronics | 11,300 | 58 | |||
Riverbed Technology * | 24,990 | 549 | |||
Rofin-Sinar Technologies * | 700 | 16 | |||
Rovi * | 524 | 18 | |||
S1 * | 3,900 | 24 | |||
Description | Shares | Market Value ($ Thousands) | |||
SAIC * | 400 | $ | 7 | ||
Salesforce.com * | 800 | 46 | |||
Sapient * | 75,047 | 603 | |||
SAVVIS * | 1,900 | 30 | |||
Scansource * | 3,200 | 91 | |||
Seagate Technology | 74,100 | 1,127 | |||
Semtech * | 3,100 | 53 | |||
Sigma Designs * | 900 | 13 | |||
Silicon Graphics International * | 2,400 | 16 | |||
Silicon Laboratories * | 3,550 | 165 | |||
SkillSoft ADR * | 131,096 | 1,259 | |||
Skyworks Solutions * | 43,720 | 579 | |||
Sohu.com * | 200 | 14 | |||
Solera Holdings | 22,567 | 702 | |||
SonicWALL * | 2,600 | 22 | |||
Standard Microsystems * | 1,200 | 28 | |||
Starent Networks * | 20,200 | 513 | |||
Sun Microsystems * | 15,100 | 137 | |||
Supertex * | 900 | 27 | |||
Sybase * | 20,286 | 789 | |||
Symyx Technologies * | 7,803 | 52 | |||
Synaptics * (A) | 4,450 | 112 | |||
SYNNEX * | 1,918 | 58 | |||
Synopsys * | 26,853 | 602 | |||
Syntel | 1,400 | 67 | |||
Take-Two Interactive Software * | 41,100 | 461 | |||
Taleo, Cl A * | 3,892 | 88 | |||
Tech Data * | 12,800 | 533 | |||
Technitrol | 19,700 | 181 | |||
Tekelec * | 3,400 | 56 | |||
TeleTech Holdings * | 15,247 | 260 | |||
Tellabs * | 7,100 | 49 | |||
Teradata * | 4,200 | 115 | |||
Tessera Technologies * | 900 | 25 | |||
TIBCO Software * | 10,000 | 95 | |||
TiVo * | 83,200 | 862 | |||
Total System Services | 33,800 | 545 | |||
Trimble Navigation * | 5,500 | 132 | |||
TriQuint Semiconductor * | 84,300 | 651 | |||
Ultimate Software Group * | 600 | 17 | |||
Unisys * | 58,675 | 157 | |||
United Online | 31,100 | 250 | |||
Utstarcom * | 6,700 | 14 | |||
Valueclick * | 15,100 | 199 | |||
Varian Semiconductor Equipment Associates * | 6,475 | 213 | |||
Veeco Instruments * | 5,571 | 130 | |||
VeriFone Holdings * | 10,500 | 167 | |||
Viasat * | 900 | 24 | |||
Virtusa * | 1,600 | 15 | |||
Vishay Intertechnology * | 59,400 | 469 | |||
VistaPrint * | 25,679 | 1,303 | |||
Vocus * | 22,900 | 478 | |||
Western Digital * | 16,300 | 595 | |||
12 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Wright Express * | 13,195 | $ | 389 | ||
Xyratex * | 25,200 | 240 | |||
Zebra Technologies, Cl A * | 12,066 | 313 | |||
| 45,257 | |||||
Materials — 5.9% | |||||
Airgas | 6,700 | 324 | |||
AK Steel Holding | 11,300 | 223 | |||
Albemarle | 4,800 | 166 | |||
Allegheny Technologies | 18,742 | 656 | |||
Alpha Natural Resources * | 3,020 | 106 | |||
AM Castle | 8,068 | 80 | |||
Aptargroup | 15,359 | 574 | |||
Ashland | 2,600 | 112 | |||
Ball | 6,600 | 325 | |||
Cabot | 13,280 | 307 | |||
Celanese, Ser A | 11,200 | 280 | |||
Century Aluminum * | 22,200 | 208 | |||
China Green Agriculture * (A) | 7,900 | 93 | |||
Cliffs Natural Resources | 8,874 | 287 | |||
Commercial Metals | 10,369 | 186 | |||
Compass Minerals International | 1,100 | 68 | |||
Crown Holdings * | 4,800 | 131 | |||
Cytec Industries | 24,041 | 781 | |||
Domtar * | 12,294 | 433 | |||
Eagle Materials | 9,070 | 259 | |||
Eastman Chemical | 11,200 | 600 | |||
Ecolab | 6,500 | 300 | |||
FMC | 5,382 | 303 | |||
General Steel Holdings * (A) | 16,428 | 64 | |||
Greif, Cl A | 900 | 49 | |||
H.B. Fuller | 10,600 | 222 | |||
Headwaters * | 30,223 | 117 | |||
Huntsman | 10,000 | 91 | |||
Innophos Holdings | 2,400 | 44 | |||
Innospec | 3,100 | 46 | |||
International Flavors & Fragrances | 15,278 | 579 | |||
Kaiser Aluminum | 3,000 | 109 | |||
Koppers Holdings | 3,819 | 113 | |||
Lubrizol | 12,000 | 858 | |||
Martin Marietta Materials | 100 | 9 | |||
Mosaic | 500 | 24 | |||
Nalco Holding | 13,500 | 277 | |||
Neenah Paper | 18,566 | 218 | |||
NewMarket | 992 | 92 | |||
Olin | 7,700 | 134 | |||
OM Group * | 5,836 | 177 | |||
Owens-Illinois * | 20,609 | 760 | |||
Packaging Corp of America | 19,400 | 396 | |||
PolyOne * | 59,235 | 395 | |||
Reliance Steel & Aluminum | 7,200 | 306 | |||
Rock-Tenn, Cl A | 1,700 | 80 | |||
Rockwood Holdings * | 13,100 | 269 | |||
Royal Gold | 900 | 41 | |||
RPM International | 1,600 | 30 | |||
RTI International Metals * | 5,164 | 129 | |||
Description | Shares | Market Value ($ Thousands) | |||
Schnitzer Steel Industries, Cl A | 2,800 | $ | 149 | ||
Schulman A | 7,422 | 148 | |||
Schweitzer-Mauduit International | 1,500 | 82 | |||
Scotts Miracle-Gro, Cl A | 18,000 | 773 | |||
Sealed Air | 700 | 14 | |||
Sensient Technologies | 6,800 | 189 | |||
Sigma-Aldrich | 500 | 27 | |||
Silgan Holdings | 9,565 | 504 | |||
Sims Metal Management ADR | 1,435 | 29 | |||
Solutia * | 11,500 | 133 | |||
Spartech | 8,227 | 89 | |||
Stillwater Mining * | 9,300 | 62 | |||
Temple-Inland | 2,300 | 38 | |||
Terra Industries | 9,000 | 312 | |||
Texas Industries | 500 | 21 | |||
Titanium Metals | 6,000 | 57 | |||
United States Steel | 1,400 | 62 | |||
Walter Energy | 1,800 | 108 | |||
Westlake Chemical | 2,015 | 52 | |||
Worthington Industries | 8,000 | 111 | |||
WR Grace * | 4,500 | 98 | |||
| 15,489 | |||||
Telecommunication Services — 1.4% | |||||
Alaska Communications Systems Group | 18,870 | 175 | |||
American Tower, Cl A * | 1,015 | 37 | |||
CenturyTel | 21,929 | 737 | |||
Cincinnati Bell * | 38,367 | 134 | |||
Consolidated Communications Holdings | 1,000 | 16 | |||
General Communication, Cl A * | 5,600 | 38 | |||
Global Crossing * | 1,400 | 20 | |||
Iowa Telecommunications Services | 8,015 | 101 | |||
MetroPCS Communications * | 14,725 | 138 | |||
Neutral Tandem * | 2,763 | 63 | |||
NII Holdings * | 27,400 | 821 | |||
PAETEC Holding * | 6,400 | 25 | |||
Price Communication * | 3,800 | — | |||
SBA Communications, Cl A * | 28,300 | 765 | |||
Telephone & Data Systems | 5,900 | 183 | |||
tw telecom, Cl A * | 13,390 | 180 | |||
USA Mobility | 16,700 | 215 | |||
| 3,648 | |||||
Utilities — 4.1% | |||||
AGL Resources | 24,204 | 854 | |||
Alliant Energy | 13,200 | 368 | |||
American Water Works | 7,900 | 157 | |||
Avista | 16,100 | 325 | |||
Black Hills | 3,085 | 78 | |||
California Water Service Group | 900 | 35 | |||
Centerpoint Energy | 800 | 10 | |||
CH Energy Group | 1,800 | 80 | |||
Chesapeake Utilities | 400 | 12 | |||
13 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Cleco | 1,200 | $ | 30 | ||
CMS Energy | 47,700 | 639 | |||
Connecticut Water Service | 500 | 11 | |||
Consolidated Edison | 6,438 | 264 | |||
Consolidated Water | 1,200 | 20 | |||
Edison International | 7,984 | 268 | |||
El Paso Electric * | 4,700 | 83 | |||
Empire District Electric | 8,731 | 158 | |||
Energen | 2,800 | 121 | |||
Equities | 2,654 | 113 | |||
Great Plains Energy | 59,636 | 1,071 | |||
Hawaiian Electric Industries | 17,500 | 317 | |||
Idacorp | 3,400 | 98 | |||
ITC Holdings | 1,000 | 45 | |||
Laclede Group | 2,575 | 83 | |||
MDU Resources Group | 5,300 | 110 | |||
MGE Energy | 700 | 26 | |||
Mirant * | 19,400 | 319 | |||
National Fuel Gas | 2,400 | 110 | |||
New Jersey Resources | 750 | 27 | |||
NiSource | 30,600 | 425 | |||
Northeast Utilities | 4,000 | 95 | |||
Northwest Natural Gas | 400 | 17 | |||
NorthWestern | 32,525 | 795 | |||
NSTAR | 300 | 9 | |||
NV Energy | 2,100 | 24 | |||
Oneok | 600 | 22 | |||
Ormat Technologies | 300 | 12 | |||
Pepco Holdings | 12,500 | 186 | |||
Piedmont Natural Gas | 4,300 | 103 | |||
Pinnacle West Capital | 18,372 | 603 | |||
PNM Resources | 1,700 | 20 | |||
Portland General Electric | 47,982 | 946 | |||
PPL | 1,900 | 58 | |||
RRI Energy * | 48,513 | 347 | |||
SCANA | 10,500 | 366 | |||
Sempra Energy | 1,600 | 80 | |||
South Jersey Industries | 965 | 34 | |||
Southern Union | 600 | 12 | |||
Southwest Water | 2,600 | 13 | |||
TECO Energy | 1,800 | 25 | |||
UGI | 8,400 | 210 | |||
UIL Holdings | 700 | 19 | |||
Westar Energy | 5,800 | 113 | |||
WGL Holdings | 600 | 20 | |||
Wisconsin Energy | 1,900 | 86 | |||
Xcel Energy | 18,194 | 349 | |||
| 10,821 | |||||
Total Common Stock | 252,132 | ||||
Description | Shares | Market Value ($ Thousands) | ||||
EXCHANGE-TRADED FUND — 0.0% | ||||||
iShares Russell 2000 Index Fund | 1,300 | $ | 78 | |||
Total Exchange Traded Fund | 78 | |||||
| Shares/Face Amount ($ Thousands) | ||||||
CLOSED-END FUND — 0.0% | ||||||
Kayne Anderson Energy Development | 800 | $ | 11 | |||
Total Closed-End Fund | 11 | |||||
CASH EQUIVALENT — 3.5% | ||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110% ** †† | 9,285,269 | 9,285 | ||||
Total Cash Equivalent | 9,285 | |||||
AFFILIATED PARTNERSHIP — 0.9% | ||||||
SEI Liquidity Fund, L.P., 0.400% (B) ** †† | 2,498,946 | 2,320 | ||||
Total Affiliated Partnership | 2,320 | |||||
U.S. TREASURY OBLIGATION — 0.4% | ||||||
U.S. Treasury Bills | ||||||
0.211%, 12/03/09 (C) (D) | $ | 910 | 910 | |||
Total U.S. Treasury Obligation | 910 | |||||
Total Investments — 100.9% | $ | 264,736 | ||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | ||||
Russell 2000 Index E-MINI | 68 | Dec-2009 | $ | 101 | |||
S&P Mid 400 Index E-MINI | 51 | Dec-2009 | 94 | ||||
| $ | 195 | ||||||
14 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Small Cap Fund
September 30, 2009
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $262,464 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Real Estate Investment Trust. |
| †† | Investment in Affiliated Security. |
| (A) | This security or a partial position of this security is on loan at September 30, 2009. The total market value of securities on loan at September 30, 2009 was $2,423 ($ Thousands). |
| (B) | This security was purchased with cash collateral received from securities on loan. The total market value of such securities as of September 30, 2009 was $2,320 ($ Thousands). |
| (C) | The rate reported is the effective yield at the time of purchase. |
| (D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
Cl — Class
L.P. — Limited Partnership
Ser — Series
15 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small/Mid Cap Diversified Alpha Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
COMMON STOCK — 82.9% | |||||
Consumer Discretionary — 12.5% | |||||
Aaron Rents | 5,700 | $ | 150 | ||
American Eagle Outfitters | 17,400 | 293 | |||
American Greetings, Cl A | 8,000 | 178 | |||
Ameristar Casinos | 8,700 | 137 | |||
AnnTaylor Stores * | 11,400 | 181 | |||
ArvinMeritor | 7,900 | 62 | |||
ATC Technology * | 2,800 | 55 | |||
Barnes & Noble | 25,900 | 576 | |||
Beazer Homes USA * | 16,100 | 90 | |||
Big Lots * | 2,000 | 50 | |||
Bluegreen * | 4,100 | 13 | |||
Blyth | 800 | 31 | |||
Brown Shoe | 4,500 | 36 | |||
Buckle | 2,500 | 85 | |||
Career Education * | 2,400 | 59 | |||
Cato, Cl A | 25,300 | 513 | |||
Christopher & Banks | 18,200 | 123 | |||
Cooper Tire & Rubber | 14,300 | 251 | |||
Corinthian Colleges * | 16,400 | 304 | |||
Cracker Barrel Old Country Store | 2,500 | 86 | |||
Dana Holding * | 7,100 | 48 | |||
Dillard’s, Cl A | 4,600 | 65 | |||
DineEquity | 15,800 | 391 | |||
Domino’s Pizza * | 9,100 | 80 | |||
Dress Barn * | 3,300 | 59 | |||
DSW, Cl A * | 24,200 | 386 | |||
Foot Locker | 19,900 | 238 | |||
Fuqi International * | 3,000 | 88 | |||
Furniture Brands International | 12,100 | 67 | |||
Gannett | 26,100 | 327 | |||
Gildan Activewear * | 12,500 | 247 | |||
Hillenbrand | 3,200 | 65 | |||
Iconix Brand Group * | 21,800 | 272 | |||
Insight Enterprises * | 10,300 | 126 | |||
J Crew Group * | 7,500 | 269 | |||
Jackson Hewitt Tax Service | 9,600 | 49 | |||
Jakks Pacific * | 3,000 | 43 | |||
Jo-Ann Stores * | 6,700 | 180 | |||
Jones Apparel Group | 5,000 | 90 | |||
Live Nation * | 17,900 | 147 | |||
Lodgenet Entertainment * | 18,800 | 142 | |||
Matthews International, Cl A | 4,500 | 159 | |||
Men’s Wearhouse | 3,000 | 74 | |||
Morningstar * | 1,700 | 83 | |||
Nutri/System | 5,600 | 85 | |||
Office Depot * | 21,700 | 144 | |||
OfficeMax | 27,900 | 351 | |||
Oxford Industries | 5,200 | 102 | |||
Penske Auto Group | 5,900 | 113 | |||
Pinnacle Entertainment * | 15,000 | 153 | |||
Pulte Homes | 37,500 | 412 | |||
RadioShack | 3,600 | 60 | |||
Description | Shares | Market Value ($ Thousands) | |||
Regis | 20,800 | $ | 322 | ||
Retail Ventures * | 59,400 | 313 | |||
Sealy * | 25,100 | 80 | |||
Shutterfly * | 15,900 | 264 | |||
Signet Jewelers * | 4,500 | 119 | |||
Smith & Wesson Holding * | 11,100 | 58 | |||
Sonic Automotive, Cl A | 13,600 | 143 | |||
Sotheby’s | 9,700 | 167 | |||
Spartan Motors | 14,500 | 75 | |||
Stage Stores | 8,500 | 110 | |||
Stamps.com * | 6,400 | 59 | |||
Standard-Pacific * | 41,300 | 152 | |||
Stewart Enterprises, Cl A | 21,500 | 112 | |||
Stoneridge * | 6,900 | 49 | |||
Systemax * | 4,000 | 49 | |||
Tenneco * | 6,300 | 82 | |||
Texas Roadhouse, Cl A * | 6,200 | 66 | |||
Thunderbird Resorts PIPE * (D) (E) | 64,000 | 81 | |||
Thunderbird Resorts PIPE * (D) (E) | 1,700 | 2 | |||
Tupperware Brands | 2,100 | 84 | |||
Universal Electronics * | 4,300 | 88 | |||
Valassis Communications * | 10,900 | 195 | |||
Volcom * | 3,900 | 64 | |||
Williams-Sonoma | 6,600 | 134 | |||
| 11,256 | |||||
Consumer Staples — 3.6% | |||||
Andersons | 4,300 | 151 | |||
Cal-Maine Foods | 6,600 | 177 | |||
Casey’s General Stores | 8,400 | 264 | |||
Chiquita Brands International * | 17,900 | 289 | |||
Flowers Foods | 18,800 | 494 | |||
Herbalife | 16,700 | 547 | |||
Lance | 13,800 | 356 | |||
NBTY * | 8,400 | 333 | |||
Pantry * | 12,700 | 199 | |||
Pricesmart | 2,200 | 41 | |||
United Natural Foods * | 2,000 | 48 | |||
USANA Health Sciences * | 1,700 | 58 | |||
Vector Group | 157 | 2 | |||
Viterra * | 28,700 | 307 | |||
| 3,266 | |||||
Energy — 4.0% | |||||
Allis-Chalmers Energy * | 21,400 | 93 | |||
Atlas Energy | 5,500 | 149 | |||
Basic Energy Services * | 6,900 | 59 | |||
BPZ Energy PIPE * | 4,100 | 31 | |||
BPZ Resources * | 34,300 | 258 | |||
Bristow Group * | 2,300 | 68 | |||
Cal Dive International * | 30,000 | 297 | |||
CARBO Ceramics | 2,300 | 119 | |||
Cimarex Energy | 4,600 | 199 | |||
Delek US Holdings | 5,200 | 45 | |||
Denbury Resources * | 4,800 | 73 | |||
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small/Mid Cap Diversified Alpha Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Exterran Holdings * | 7,100 | $ | 168 | ||
Gulfport Energy * | 11,000 | 96 | |||
Infinity Bio-Energy * | 75,407 | 1 | |||
McMoRan Exploration * | 8,200 | 62 | |||
Oilsands Quest * | 260,100 | 294 | |||
Oilsands Quest PIPE * | 3,500 | 4 | |||
Rentech * | 95,100 | 154 | |||
Rosetta Resources * | 23,900 | 351 | |||
Swift Energy * | 12,700 | 301 | |||
Uranium Participation (Canada) * | 6,100 | 37 | |||
W&T Offshore | 32,900 | 385 | |||
World Fuel Services | 8,000 | 384 | |||
| 3,628 | |||||
Financials — 12.3% | |||||
Advance America Cash Advance Centers | 9,700 | 54 | |||
Amerisafe * | 5,500 | 95 | |||
Anworth Mortgage Asset † | 84,700 | 667 | |||
Calamos Asset Management, Cl A | 8,200 | 107 | |||
Capstead Mortgage † | 24,900 | 346 | |||
Cedar Shopping Centers † | 3,700 | 24 | |||
Central Pacific Financial | 55,900 | 141 | |||
Chemical Financial | 5,000 | 109 | |||
Cogdell Spencer † | 69,900 | 336 | |||
Cohen & Steers | 4,900 | 118 | |||
Columbia Banking System | 1,000 | 17 | |||
Community Bank System | 10,400 | 190 | |||
Crawford, Cl B * | 5,300 | 23 | |||
Delphi Financial Group, Cl A | 2,600 | 59 | |||
Dollar Financial * | 12,700 | 203 | |||
Duff & Phelps | 13,600 | 261 | |||
eHealth * | 7,400 | 107 | |||
EMC Insurance Group | 1,200 | 25 | |||
Equity One † | 10,900 | 171 | |||
Evercore Partners, Cl A | 2,500 | 73 | |||
FCStone Group * | 15,900 | 77 | |||
Financial Federal | 4,900 | 121 | |||
First Bancorp | 30,700 | 94 | |||
First Commonwealth Financial | 11,300 | 64 | |||
First Financial Bancorp | 12,700 | 153 | |||
First Horizon National * | 220 | 3 | |||
Flushing Financial | 27,100 | 309 | |||
FNB (Pennsylvania) | 13,500 | 96 | |||
Gladstone Capital | 5,600 | 50 | |||
Gluskin Sheff + Associates (Canada) | 4,700 | 88 | |||
Gluskin Sheff + Associates | 6,900 | 129 | |||
Hancock Holding | 6,100 | 229 | |||
Harleysville Group | 2,200 | 70 | |||
Description | Shares | Market Value ($ Thousands) | |||
Hatteras Financial † | 11,200 | $ | 336 | ||
Hercules Technology Growth Capital | 10,800 | 106 | |||
Infinity Property & Casualty | 3,000 | 127 | |||
Inland Real Estate † | 15,800 | 138 | |||
Investors Real Estate Trust † | 26,300 | 238 | |||
LaSalle Hotel Properties † | 4,300 | 85 | |||
LTC Properties † | 16,200 | 389 | |||
MB Financial | 8,500 | 178 | |||
Meadowbrook Insurance Group | 9,500 | 70 | |||
Medical Properties Trust † | 9,300 | 73 | |||
MFA Financial † | 71,900 | 572 | |||
Nationwide Health Properties † | 2,300 | 71 | |||
Nelnet, Cl A * | 9,000 | 112 | |||
NYSE Euronext | 2,000 | 58 | |||
Old National Bancorp | 5,000 | 56 | |||
Pennsylvania Real Estate Investment Trust † | 9,200 | 70 | |||
Penson Worldwide * | 5,300 | 52 | |||
PHH * | 12,700 | 252 | |||
Phoenix | 21,300 | 69 | |||
Platinum Underwriters Holdings | 10,400 | 373 | |||
PMA Capital, Cl A * | 10,800 | 61 | |||
Portfolio Recovery Associates * | 600 | 27 | |||
Prospect Capital | 32,900 | 352 | |||
Prosperity Bancshares | 4,400 | 153 | |||
RAIT Financial Trust † | 27,800 | 82 | |||
S&T Bancorp | 5,100 | 66 | |||
Safety Insurance Group | 4,300 | 142 | |||
Selective Insurance Group | 5,300 | 83 | |||
Signature Bank NY * | 1,900 | 55 | |||
Sovran Self Storage † | 4,300 | 131 | |||
Stewart Information Services | 7,000 | 87 | |||
SWS Group | 12,900 | 186 | |||
TD Ameritrade Holding * | 7,500 | 147 | |||
Titanium Asset Management * (D) (E) | 15,400 | 61 | |||
Tower Group | 2,000 | 49 | |||
Trustco Bank NY | 46,700 | 292 | |||
United Community Banks * | 16,220 | 81 | |||
Uranium Participation * | 60,000 | 382 | |||
Validus Holdings | 2,300 | 59 | |||
Value Creation * (D) (E) | 9,600 | 1 | |||
Westamerica Bancorporation | 4,300 | 224 | |||
Wilshire Bancorp | 6,000 | 44 | |||
World Acceptance * | 9,600 | 242 | |||
| 11,041 | |||||
Health Care — 11.3% | |||||
Abaxis * | 5,600 | 150 | |||
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small/Mid Cap Diversified Alpha Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Albany Molecular Research * | 5,200 | $ | 45 | ||
Alexion Pharmaceuticals * | 3,100 | 138 | |||
Allscripts Healthcare Solutions | 3,800 | 77 | |||
Amedisys * | 3,700 | 161 | |||
AMERIGROUP * | 7,400 | 164 | |||
Amsurg * | 27,600 | 586 | |||
Analogic | 2,100 | 78 | |||
Angiodynamics * | 6,100 | 84 | |||
Biogen Idec * | 3,000 | 152 | |||
Centene * | 18,500 | 350 | |||
Cephalon * | 1,000 | 58 | |||
Chemed | 5,900 | 259 | |||
Conmed * | 3,700 | 71 | |||
Covance * | 3,300 | 179 | |||
Cyberonics * | 6,800 | 108 | |||
Enzo Biochem * | 9,600 | 68 | |||
eResearchTechnology * | 8,100 | 57 | |||
Genoptix * | 2,400 | 83 | |||
Gen-Probe * | 3,100 | 128 | |||
Haemonetics * | 1,300 | 73 | |||
HMS Holdings * | 2,600 | 99 | |||
Idexx Laboratories * | 3,600 | 180 | |||
Immucor * | 8,100 | 143 | |||
Incyte * | 37,700 | 254 | |||
Inspire Pharmaceuticals * | 44,800 | 234 | |||
Kendle International * | 6,300 | 105 | |||
Kindred Healthcare * | 7,700 | 125 | |||
King Pharmaceuticals * | 32,500 | 350 | |||
LHC Group * | 17,400 | 521 | |||
Martek Biosciences * | 13,400 | 303 | |||
Maxygen * | 11,600 | 78 | |||
Medicines * | 35,900 | 395 | |||
Medicis Pharmaceutical, Cl A | 18,900 | 404 | |||
Mednax * | 7,300 | 401 | |||
Meridian Bioscience | 11,200 | 280 | |||
Merit Medical Systems * | 10,000 | 173 | |||
Nighthawk Radiology Holdings * | 16,500 | 119 | |||
Odyssey HealthCare * | 24,900 | 311 | |||
Omnicell * | 5,500 | 61 | |||
Onyx Pharmaceuticals * | 2,500 | 75 | |||
OSI Pharmaceuticals * | 6,400 | 226 | |||
Par Pharmaceutical * | 10,100 | 217 | |||
Parexel International * | 9,900 | 135 | |||
PDL BioPharma | 7,200 | 57 | |||
Providence Service * | 5,900 | 69 | |||
Quidel * | 29,400 | 477 | |||
Regeneron Pharmaceuticals * | 6,400 | 124 | |||
RehabCare Group * | 2,400 | 52 | |||
Res-Care * | 25,000 | 355 | |||
Rigel Pharmaceuticals * | 55,100 | 452 | |||
Somanetics * | 4,700 | 76 | |||
Techne | 2,200 | 138 | |||
Zoll Medical * | 3,700 | 80 | |||
| 10,138 | |||||
Description | Shares | Market Value ($ Thousands) | |||
Industrials — 11.2% | |||||
ACCO Brands * | 11,100 | $ | 80 | ||
Actuant, Cl A | 4,300 | 69 | |||
Alaska Air Group * | 6,800 | 182 | |||
Allen-Vanguard * | 190,000 | 18 | |||
American Ecology | 2,700 | 51 | |||
Ameron International | 4,400 | 308 | |||
AO Smith | 4,400 | 168 | |||
Apogee Enterprises | 5,000 | 75 | |||
Applied Industrial Technologies | 17,000 | 360 | |||
Arkansas Best | 4,400 | 132 | |||
Avis Budget Group * | 19,100 | 255 | |||
AZZ * | 1,700 | 68 | |||
Briggs & Stratton | 17,600 | 342 | |||
Carlisle | 8,400 | 285 | |||
Cenveo * | 14,300 | 99 | |||
CIRCOR International | 7,600 | 215 | |||
Columbus McKinnon * | 7,900 | 120 | |||
Comfort Systems USA | 5,700 | 66 | |||
CRA International * | 15,100 | 412 | |||
Crane | 9,400 | 243 | |||
Cubic | 8,000 | 316 | |||
Dycom Industries * | 15,100 | 186 | |||
EMCOR Group * | 20,200 | 511 | |||
Ennis | 7,700 | 124 | |||
Fastenal | 4,300 | 166 | |||
Force Protection * | 71,400 | 390 | |||
GenCorp * | 8,700 | 47 | |||
GeoEye * | 11,100 | 297 | |||
Gibraltar Industries | 10,500 | 139 | |||
Great Lakes Dredge & Dock | 52,000 | 363 | |||
H&E Equipment Services * | 26,200 | 297 | |||
Horizon Lines, Cl A | 7,400 | 47 | |||
ICT Group * | 1,600 | 17 | |||
Kaman | 4,000 | 88 | |||
Kirby * | 8,200 | 302 | |||
Lindsay | 1,000 | 39 | |||
Lydall * | 7,800 | 41 | |||
Mcgrath Rentcorp | 2,700 | 57 | |||
Mine Safety Appliances | 5,700 | 157 | |||
NCI Building Systems * | 64,500 | 206 | |||
Pacer International | 32,500 | 125 | |||
RSC Holdings * | 39,500 | 287 | |||
Skywest | 4,400 | 73 | |||
Standard Register | 9,000 | 53 | |||
TAL International Group | 24,600 | 350 | |||
Terex * | 18,200 | 377 | |||
Textainer Group Holdings | 19,500 | 312 | |||
Titan Machinery * | 7,000 | 88 | |||
Tredegar | 3,600 | 52 | |||
Tutor Perini * | 3,300 | 70 | |||
UAL * | 59,500 | 549 | |||
US Airways Group * | 95,300 | 448 | |||
| 10,122 | |||||
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small/Mid Cap Diversified Alpha Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Information Technology — 17.7% | |||||
Actel * | 3,800 | $ | 46 | ||
Adaptec * | 19,200 | 64 | |||
Akamai Technologies * | 16,400 | 323 | |||
Amkor Technology * | 23,900 | 164 | |||
Anixter International * | 1,200 | 48 | |||
Ansys * | 4,700 | 176 | |||
Ariba * | 24,200 | 281 | |||
Arris Group * | 19,000 | 247 | |||
Art Technology Group * | 18,100 | 70 | |||
AsiaInfo Holdings * | 9,300 | 186 | |||
Avocent * | 4,700 | 95 | |||
Benchmark Electronics * | 5,700 | 103 | |||
Blue Coat Systems * | 2,900 | 66 | |||
Brightpoint * | 27,500 | 241 | |||
Brocade Communications Systems * | 29,000 | 228 | |||
Checkpoint Systems * | 4,900 | 81 | |||
Ciber * | 28,400 | 114 | |||
Cirrus Logic * | 19,800 | 110 | |||
Cognex | 11,400 | 187 | |||
Cogo Group * | 13,600 | 83 | |||
comScore * | 2,500 | 45 | |||
Comverse Technology * | 26,900 | 235 | |||
CSG Systems International * | 14,100 | 226 | |||
CTS | 16,000 | 149 | |||
Cypress Semiconductor * | 6,000 | 62 | |||
Daktronics | 7,100 | 61 | |||
Digital River * | 1,300 | 52 | |||
Dolby Laboratories, Cl A * | 4,000 | 153 | |||
DSP Group * | 32,000 | 260 | |||
EFJ * | 21,100 | 28 | |||
Electro Rent | 3,500 | 40 | |||
Electronic Arts * | 5,500 | 105 | |||
Electronics for Imaging * | 6,800 | 77 | |||
Emulex * | 39,600 | 408 | |||
Flir Systems * | 10,600 | 296 | |||
Heartland Payment Systems | 45,800 | 665 | |||
Hittite Microwave * | 3,400 | 125 | |||
Hutchinson Technology * | 7,500 | 53 | |||
IAC * | 3,600 | 73 | |||
Imation | 64,000 | 593 | |||
Integral Systems * | 40,100 | 277 | |||
Intermec * | 5,400 | 76 | |||
IXYS | 6,400 | 54 | |||
Jabil Circuit | 9,900 | 133 | |||
JDA Software Group * | 15,300 | 336 | |||
Knot * | 35,100 | 383 | |||
Kopin * | 4,800 | 23 | |||
Lam Research * | 8,300 | 284 | |||
Lexmark International, Cl A * | 4,000 | 86 | |||
Linear Technology | 6,800 | 188 | |||
LivePerson * | 5,400 | 27 | |||
Mantech International, Cl A * | 12,400 | 585 | |||
Description | Shares | Market Value ($ Thousands) | |||
Marvell Technology Group * | 8,800 | $ | 142 | ||
MAXIMUS | 5,500 | 256 | |||
Methode Electronics | 17,500 | 152 | |||
Micrel | 9,300 | 76 | |||
Microsemi * | 4,200 | 66 | |||
ModusLink Global Solutions * | 6,200 | 50 | |||
Move * | 42,300 | 114 | |||
MTS Systems | 5,100 | 149 | |||
NCR * | 3,800 | 53 | |||
Netgear * | 23,300 | 428 | |||
Novatel Wireless * | 27,700 | 315 | |||
Novell * | 95,300 | 430 | |||
Omnivision Technologies * | 8,200 | 134 | |||
Openwave Systems * | 28,000 | 73 | |||
OSI Systems * | 17,300 | 316 | |||
Park Electrochemical | 11,300 | 279 | |||
Parkervision * | 40,700 | 166 | |||
Quantum * | 73,000 | 92 | |||
Quest Software * | 8,500 | 143 | |||
RightNow Technologies * | 6,100 | 88 | |||
Rogers * | 3,200 | 96 | |||
Scansource * | 4,000 | 113 | |||
Seachange International * | 37,700 | 283 | |||
SPSS * | 2,200 | 110 | |||
SRA International, Cl A * | 19,500 | 421 | |||
Standard Microsystems * | 7,300 | 169 | |||
Sybase * | 3,600 | 140 | |||
Synaptics * | 3,300 | 83 | |||
Synchronoss Technologies * | 2,900 | 36 | |||
SYNNEX * | 2,500 | 76 | |||
Take-Two Interactive Software * | 8,900 | 100 | |||
Tech Data * | 2,200 | 92 | |||
Tekelec * | 8,000 | 131 | |||
THQ * | 13,500 | 92 | |||
Trimble Navigation * | 11,800 | 282 | |||
TriQuint Semiconductor * | 11,700 | 90 | |||
TTM Technologies * | 21,100 | 242 | |||
Unisys * | 45,600 | 122 | |||
United Online | 11,000 | 88 | |||
Veeco Instruments * | 7,300 | 170 | |||
VistaPrint * | 2,100 | 107 | |||
Zebra Technologies, Cl A * | 9,300 | 241 | |||
Zoran * | 5,300 | 61 | |||
| 15,938 | |||||
Materials — 6.1% | |||||
AK Steel Holding | 10,200 | 201 | |||
Allied Nevada Gold * | 29,500 | 289 | |||
AM Castle | 9,000 | 89 | |||
AMCOL International | 8,600 | 197 | |||
Aptargroup | 7,800 | 291 | |||
Arch Chemicals | 2,200 | 66 | |||
Carpenter Technology | 12,700 | 297 | |||
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small/Mid Cap Diversified Alpha Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Commercial Metals | 16,000 | $ | 286 | ||
Domtar * | 2,700 | 95 | |||
Ferro | 6,200 | 55 | |||
General Steel Holdings * | 22,000 | 86 | |||
H.B. Fuller | 10,300 | 215 | |||
Headwaters * | 26,600 | 103 | |||
Jaguar Mining * | 28,800 | 257 | |||
Koppers Holdings | 11,800 | 350 | |||
Myers Industries | 11,900 | 128 | |||
New Gold * | 96,400 | 365 | |||
NewMarket | 3,700 | 344 | |||
PolyOne * | 30,300 | 202 | |||
Rockwood Holdings * | 4,500 | 93 | |||
Royal Gold | 1,400 | 64 | |||
RTI International Metals * | 3,300 | 82 | |||
Schulman A | 6,600 | 132 | |||
Sensient Technologies | 4,700 | 131 | |||
ShengdaTech * | 3,900 | 25 | |||
Silvercorp Metals | 32,100 | 154 | |||
Spartech | 10,900 | 117 | |||
Universal Stainless & Alloy * | 17,900 | 327 | |||
Worthington Industries | 6,400 | 89 | |||
WR Grace * | 15,600 | 339 | |||
| 5,469 | |||||
Telecommunication Services — 1.6% | |||||
Alaska Communications Systems Group | 13,600 | 126 | |||
Centennial Communications * | 6,100 | 49 | |||
Cincinnati Bell * | 16,600 | 58 | |||
Consolidated Communications Holdings | 6,800 | 109 | |||
Global Crossing * | 2,700 | 38 | |||
Iowa Telecommunications Services | 10,400 | 131 | |||
Leap Wireless International * | 18,400 | 360 | |||
Neutral Tandem * | 15,200 | 346 | |||
tw telecom, Cl A * | 10,700 | 144 | |||
Virgin Mobile USA, Cl A * | 17,700 | 88 | |||
| 1,449 | |||||
Utilities — 2.6% | |||||
Allete | 6,700 | 225 | |||
Empire District Electric | 13,500 | 244 | |||
Hawaiian Electric Industries | 6,300 | 114 | |||
NorthWestern | 18,100 | 442 | |||
Portland General Electric | 18,700 | 369 | |||
Unisource Energy | 20,800 | 640 | |||
Westar Energy | 18,000 | 352 | |||
| 2,386 | |||||
Total Common Stock | 74,693 | ||||
PREFERRED STOCK — 0.2% | |||||
Description | Shares | Market Value ($ Thousands) | ||||
Consumer Discretionary — 0.2% | ||||||
Callaway Golf (A) | 1,500 | 188 | ||||
Total Preferred Stock | 188 | |||||
| Number of Warrants | ||||||
WARRANTS — 0.0% | ||||||
Oilsands Quest Expires 05/12/11 * | 3,450 | 1 | ||||
Rentech Expires 04/25/12 * (D) (E) | 1,000 | — | ||||
| Shares/Face Amount ($ Thousands) | ||||||
| Number of Warrants | ||||||
Titanium Asset Management Expires 06/21/11 * (E) | 8,400 | $ | — | |||
Total Warrants | 1 | |||||
CONVERTIBLE BONDS — 0.5% | ||||||
Rentech CV to 249.2522 | ||||||
4.000%, 04/15/13 | $ | 204 | 159 | |||
Dollar Financial CV to 25.7759 | ||||||
2.875%, 06/30/27 | 145 | 118 | ||||
World Acceptance CV to 16.0229 | ||||||
3.000%, 10/01/11 | 115 | 100 | ||||
Incyte CV to 89.1385 | ||||||
3.500%, 02/15/11 | 78 | 78 | ||||
Total Convertible Bonds | 455 | |||||
CORPORATE OBLIGATION — 0.0% | ||||||
Financials — 0.0% | ||||||
Scorpio Mining PIPE (D) (E) | ||||||
7.000%, 05/05/11 | 52 | 44 | ||||
Total Corporate Obligation | 44 | |||||
CASH EQUIVALENT — 15.9% | ||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110% ** †† | 14,324,653 | 14,325 | ||||
Total Cash Equivalent | 14,325 | |||||
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Small/Mid Cap Diversified Alpha Fund
September 30, 2009
U.S. TREASURY OBLIGATIONS — 1.4% | |||||
U.S. Treasury Bills | |||||
0.143%, 12/03/09 (B) (C) | 390 | 390 | |||
0.064%, 01/07/10 (B) (C) | 850 | 850 | |||
Total U.S. Treasury Obligations | 1,240 | ||||
Total Investments — 100.9% | $ | 90,946 | |||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration | Unrealized Appreciation ($ Thousands) | ||||
Russell 2000 Index E-MINI | 132 | Dec-2009 | $ | 8 | |||
S&P 400 Index E-MINI | 98 | Dec-2009 | 81 | ||||
| $ | 89 | ||||||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $90,096 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Real Estate Investment Trust. |
| †† | Investment in Affiliated Security. |
| (A) | 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. |
| (B) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
| (C) | The rate reported is the effective yield at the time of purchase. |
| (D) | Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2009 was $189 ($ Thousands) and represented 0.21% of net Assets. |
| (E) | Securities considered illiquid and restricted. The total market value of such securities as of September 30, 2009 was $189 ($ Thousands) and represented 0.21% of Net Assets. |
Cl — Class
CV — Convertible Security
PIPE — Private Investment in Public Entity
Amounts designated as “—” are $0 or have been rounded to $0.
6 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Mid-Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
COMMON STOCK — 97.4% | |||||
Consumer Discretionary — 14.0% | |||||
Advance Auto Parts (A) | 19,900 | $ | 782 | ||
Apollo Group, Cl A * | 6,800 | 501 | |||
Autonation * (A) | 29,700 | 537 | |||
Autozone * | 2,100 | 307 | |||
BJ’s Restaurants * | 700 | 10 | |||
Brinker International | 28,300 | 445 | |||
Cablevision Systems, Cl A | 1,500 | 36 | |||
Career Education * | 7,300 | 178 | |||
CBS, Cl B | 7,700 | 93 | |||
Chico’s FAS * (A) | 24,200 | 314 | |||
Coach (A) | 16,300 | 537 | |||
Core-Mark Holding * | 1,800 | 51 | |||
CTC Media * | 24,200 | 380 | |||
Darden Restaurants | 4,800 | 164 | |||
Discovery Communications, Cl C * | 4,400 | 114 | |||
DISH Network, Cl A * | 7,000 | 135 | |||
Dollar Tree * | 7,700 | 375 | |||
Expedia * (A) | 23,400 | 561 | |||
Family Dollar Stores (A) | 20,800 | 549 | |||
Federal Mogul, Cl A * | 24,200 | 292 | |||
Foot Locker | 9,600 | 115 | |||
Gap | 2,000 | 43 | |||
Garmin | 2,900 | 109 | |||
Genuine Parts | 6,700 | 255 | |||
Guess? | 2,000 | 74 | |||
H&R Block | 34,700 | 638 | |||
Hanesbrands * | 41,100 | 879 | |||
Harley-Davidson (A) | 4,500 | 103 | |||
Hasbro | 12,000 | 333 | |||
International Speedway, Cl A | 1,800 | 50 | |||
ITT Educational Services * | 3,000 | 331 | |||
J.C. Penney | 6,000 | 202 | |||
Leggett & Platt | 17,300 | 336 | |||
Limited Brands (A) | 8,400 | 143 | |||
Macy’s | 20,000 | 366 | |||
Maidenform Brands * | 5,000 | 80 | |||
Mattel | 13,000 | 240 | |||
McGraw-Hill | 12,800 | 322 | |||
Mohawk Industries * | 1,800 | 86 | |||
Newell Rubbermaid (A) | 27,800 | 436 | |||
PetMed Express | 800 | 15 | |||
priceline.com * (A) | 1,200 | 199 | |||
Pulte Homes (A) | 12,200 | 134 | |||
Regal Entertainment Group, Cl A | 7,800 | 96 | |||
Ross Stores | 21,100 | 1,008 | |||
Sally Beauty Holdings * | 1,800 | 13 | |||
Sherwin-Williams | 300 | 18 | |||
Signet Jewelers * | 21,700 | 571 | |||
Smith & Wesson Holding * | 2,600 | 14 | |||
Standard Motor Products | 700 | 11 | |||
Stanley Works | 5,400 | 231 | |||
Description | Shares | Market Value ($ Thousands) | |||
Strayer Education (A) | 1,300 | $ | 283 | ||
Texas Roadhouse, Cl A * | 10,900 | 116 | |||
Thor Industries | 900 | 28 | |||
TJX | 41,000 | 1,523 | |||
TRW Automotive Holdings * | 6,200 | 104 | |||
Universal Technical Institute * | 2,000 | 39 | |||
VF (A) | 1,600 | 116 | |||
Weight Watchers International | 6,200 | 170 | |||
Wyndham Worldwide | 40,300 | 658 | |||
| 16,849 | |||||
Consumer Staples — 7.1% | |||||
Avon Products | 400 | 13 | |||
Bunge (A) | 6,700 | 419 | |||
Campbell Soup | 9,000 | 294 | |||
Chiquita Brands International * | 5,200 | 84 | |||
Church & Dwight | 3,400 | 193 | |||
Clorox (A) | 4,700 | 277 | |||
Coca-Cola Enterprises | 56,700 | 1,214 | |||
ConAgra Foods | 11,500 | 249 | |||
Constellation Brands, Cl A * | 44,800 | 679 | |||
Dean Foods * | 37,700 | 671 | |||
Del Monte Foods | 71,300 | 826 | |||
Dr Pepper Snapple Group * | 15,500 | 445 | |||
Energizer Holdings * | 500 | 33 | |||
Herbalife | 9,000 | 295 | |||
Hormel Foods | 4,300 | 153 | |||
Kroger | 2,100 | 43 | |||
Lorillard | 3,000 | 223 | |||
Mead Johnson Nutrition, Cl A (A) | 1,400 | 63 | |||
Molson Coors Brewing, Cl B | 7,500 | 365 | |||
Reynolds American (A) | 2,500 | 111 | |||
Safeway | 14,200 | 280 | |||
Sanderson Farms | 2,300 | 87 | |||
Sara Lee | 47,400 | 528 | |||
Smithfield Foods * (A) | 5,600 | 77 | |||
SUPERVALU | 26,400 | 398 | |||
Tyson Foods, Cl A | 25,200 | 318 | |||
Whole Foods Market * | 6,000 | 183 | |||
| 8,521 | |||||
Energy — 4.8% | |||||
Cal Dive International * | 8,600 | 85 | |||
Cimarex Energy | 1,800 | 78 | |||
Diamond Offshore Drilling (A) | 2,200 | 210 | |||
Dresser-Rand Group * | 24,400 | 758 | |||
El Paso | 106,700 | 1,101 | |||
ENSCO International (A) | 3,700 | 157 | |||
FMC Technologies * (A) | 7,400 | 387 | |||
Forest Oil * (A) | 9,300 | 182 | |||
Harvest Natural Resources * | 6,700 | 35 | |||
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Mid-Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Helix Energy Solutions Group * | 34,700 | $ | 520 | ||
Murphy Oil | 18,000 | 1,036 | |||
Newfield Exploration * | 3,100 | 132 | |||
Oceaneering International * | 1,500 | 85 | |||
Pioneer Natural Resources | 1,300 | 47 | |||
Plains Exploration & Production * | 2,100 | 58 | |||
Rowan | 700 | 16 | |||
SEACOR Holdings * (A) | 1,200 | 98 | |||
Spectra Energy | 22,300 | 423 | |||
Sunoco | 5,600 | 159 | |||
Tidewater | 3,400 | 160 | |||
Unit * | 2,000 | 83 | |||
| 5,810 | |||||
Financials — 16.4% | |||||
Affiliated Managers Group * (A) | 4,300 | 280 | |||
Allied World Assurance Holdings | 15,000 | 719 | |||
American Equity Investment Life Holding | 4,900 | 34 | |||
American Financial Group | 25,100 | 640 | |||
AmeriCredit * (A) | 26,800 | 423 | |||
Ameriprise Financial | 10,800 | 392 | |||
Annaly Capital Management † | 64,000 | 1,161 | |||
Anworth Mortgage Asset † | 3,700 | 29 | |||
AON | 1,600 | 65 | |||
Apartment Investment & Management, Cl A † (A) | 1,100 | 16 | |||
Arch Capital Group * | 8,700 | 588 | |||
Assurant | 6,500 | 208 | |||
Astoria Financial | 36,700 | 405 | |||
Axis Capital Holdings | 17,600 | 531 | |||
Bancorpsouth (A) | 8,100 | 198 | |||
Bank of Hawaii | 2,900 | 120 | |||
BlackRock | 300 | 65 | |||
Brandywine Realty Trust † | 35,300 | 390 | |||
Chimera Investment † | 66,500 | 254 | |||
Cincinnati Financial | 4,600 | 120 | |||
CNA Financial (A) | 2,900 | 70 | |||
Cogdell Spencer † | 1,500 | 7 | |||
Colonial Properties Trust † | 6,700 | 65 | |||
Comerica | 3,700 | 110 | |||
Developers Diversified Realty † (A) | 3,091 | 29 | |||
Dime Community Bancshares | 5,100 | 58 | |||
Discover Financial Services | 13,700 | 222 | |||
Douglas Emmett † | 2,200 | 27 | |||
Duke Realty † (A) | 17,600 | 211 | |||
Eaton Vance | 1,100 | 31 | |||
Description | Shares | Market Value ($ Thousands) | |||
Endurance Specialty Holdings (A) | 5,100 | $ | 186 | ||
Equity Residential † | 600 | 18 | |||
Everest Re Group | 1,400 | 123 | |||
Federated Investors, Cl B | 1,900 | 50 | |||
Fifth Third Bancorp | 16,100 | 163 | |||
First Defiance Financial | 700 | 11 | |||
First Horizon National * (A) | 45,930 | 608 | |||
Flagstone Reinsurance Holdings | 6,800 | 77 | |||
Forest City Enterprises, Cl A | 23,100 | 309 | |||
Greenlight Capital Re * | 1,600 | 30 | |||
Hallmark Financial Services * | 6,000 | 48 | |||
HCC Insurance Holdings | 5,800 | 159 | |||
Hospitality Properties Trust † | 20,100 | 409 | |||
Host Hotels & Resorts † | 14,000 | 165 | |||
HRPT Properties Trust † | 70,600 | 531 | |||
Hudson City Bancorp | 600 | 8 | |||
Interactive Brokers Group, Cl A * | 12,300 | 244 | |||
IntercontinentalExchange * | 800 | 78 | |||
Invesco | 9,900 | 225 | |||
Investment Technology Group * (A) | 21,100 | 589 | |||
Janus Capital Group | 14,100 | 200 | |||
Kimco Realty † | 5,000 | 65 | |||
Leucadia National | 6,500 | 161 | |||
Liberty Property Trust † | 15,200 | 495 | |||
Lincoln National | 3,200 | 83 | |||
Mack-Cali Realty † | 14,300 | 462 | |||
Marsh & McLennan | 600 | 15 | |||
Marshall & Ilsley | 8,400 | 68 | |||
MBIA * (A) | 4,400 | 34 | |||
MFA Financial † | 4,400 | 35 | |||
Montpelier Re Holdings (A) | 5,100 | 83 | |||
Moody’s | 12,500 | 256 | |||
MSCI, Cl A * | 5,800 | 172 | |||
New York Community Bancorp (A) | 18,400 | 210 | |||
NYSE Euronext | 21,300 | 615 | |||
OceanFirst Financial | 500 | 6 | |||
OneBeacon Insurance Group, Cl A | 6,000 | 82 | |||
optionsXpress Holdings | 5,300 | 92 | |||
Oriental Financial Group | 1,900 | 24 | |||
PartnerRe | 4,400 | 339 | |||
PHH * | 4,500 | 89 | |||
Principal Financial Group | 11,100 | 304 | |||
Progressive | 7,700 | 128 | |||
Prologis † | 13,000 | 155 | |||
Protective Life | 7,600 | 163 | |||
Public Storage † | 900 | 68 | |||
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Mid-Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Ramco-Gershenson Properties † | 3,000 | $ | 27 | ||
Regions Financial | 18,400 | 114 | |||
Reinsurance Group of America, Cl A | 1,100 | 49 | |||
SL Green Realty † (A) | 3,100 | 136 | |||
SLM * (A) | 21,400 | 187 | |||
Southside Bancshares | 1,300 | 29 | |||
StanCorp Financial Group | 1,700 | 69 | |||
Sunstone Hotel Investors † | 1,800 | 13 | |||
SunTrust Banks | 600 | 14 | |||
T. Rowe Price Group (A) | 6,200 | 283 | |||
TD Ameritrade Holding * | 36,500 | 716 | |||
TFS Financial | 14,600 | 174 | |||
Torchmark | 1,000 | 43 | |||
Transatlantic Holdings | 13,900 | 697 | |||
UDR † (A) | 6,400 | 101 | |||
Unum Group | 19,100 | 409 | |||
Vornado Realty Trust † | 1,929 | 124 | |||
Waddell & Reed Financial, Cl A | 600 | 17 | |||
Webster Financial (A) | 8,200 | 102 | |||
White Mountains Insurance Group | 700 | 215 | |||
Wilmington Trust (A) | 7,800 | 111 | |||
Wintrust Financial | 800 | 22 | |||
WR Berkley (A) | 1,200 | 30 | |||
XL Capital, Cl A | 2,800 | 49 | |||
| 19,634 | |||||
Health Care — 8.1% | |||||
Abraxis Bioscience * | 2,400 | 87 | |||
American Dental Partners * | 400 | 6 | |||
American Medical Systems Holdings * | 5,600 | 95 | |||
AmerisourceBergen | 7,400 | 166 | |||
Beckman Coulter | 1,400 | 97 | |||
Biogen Idec * | 1,600 | 81 | |||
C.R. Bard | 3,500 | 275 | |||
CareFusion * | 2,000 | 44 | |||
Cephalon * (A) | 3,700 | 215 | |||
Cigna | 11,400 | 320 | |||
Community Health Systems * | 20,700 | 661 | |||
Cooper | 4,800 | 143 | |||
Coventry Health Care * | 10,000 | 200 | |||
Edwards Lifesciences * | 200 | 14 | |||
Endo Pharmaceuticals Holdings * (A) | 27,400 | 620 | |||
Forest Laboratories * | 12,200 | 359 | |||
Healthsouth * | 3,300 | 52 | |||
Hologic * | 14,500 | 237 | |||
Hospira * (A) | 7,800 | 348 | |||
Humana * | 6,100 | 227 | |||
ICU Medical * | 800 | 29 | |||
IMS Health | 11,000 | 169 | |||
Description | Shares | Market Value ($ Thousands) | |||
Intuitive Surgical * | 1,100 | $ | 288 | ||
Invacare | 1,800 | 40 | |||
Kinetic Concepts * | 21,800 | 806 | |||
Laboratory Corp of America Holdings * | 3,900 | 256 | |||
Life Technologies * | 4,100 | 191 | |||
Lincare Holdings * (A) | 11,900 | 372 | |||
Meridian Bioscience | 2,300 | 58 | |||
Mettler Toledo International * | 3,800 | 344 | |||
Millipore * | 6,200 | 436 | |||
Mylan Laboratories * (A) | 17,600 | 282 | |||
Perrigo (A) | 3,500 | 119 | |||
Quest Diagnostics | 7,500 | 391 | |||
Quidel * | 3,200 | 52 | |||
ResMed * | 4,900 | 221 | |||
Techne | 2,300 | 144 | |||
Universal Health Services, Cl B | 2,900 | 179 | |||
Valeant Pharmaceuticals International * (A) | 8,600 | 241 | |||
Vertex Pharmaceuticals * | 7,300 | 277 | |||
Waters * | 5,300 | 296 | |||
Watson Pharmaceuticals * (A) | 9,000 | 330 | |||
| 9,768 | |||||
Industrials — 11.3% | |||||
Alliant Techsystems * | 4,900 | 381 | |||
Avery Dennison | 9,400 | 338 | |||
Brink’s | 15,700 | 422 | |||
C.H. Robinson Worldwide (A) | 7,400 | 428 | |||
Carlisle | 8,200 | 278 | |||
Con-way | 17,000 | 652 | |||
Delta Air Lines * | 16,100 | 144 | |||
Dover | 4,800 | 186 | |||
DynCorp International, Cl A * | 2,200 | 39 | |||
Equifax | 11,800 | 344 | |||
Federal Signal | 2,200 | 16 | |||
Flowserve | 6,500 | 641 | |||
Fluor (A) | 15,800 | 803 | |||
FreightCar America | 400 | 10 | |||
General Cable * | 12,400 | 485 | |||
Hertz Global Holdings * (A) | 35,200 | 381 | |||
Hubbell, Cl B | 300 | 13 | |||
ITT | 14,500 | 756 | |||
John Bean Technologies | 7,400 | 134 | |||
Joy Global | 3,400 | 166 | |||
KBR | 30,600 | 713 | |||
L-3 Communications Holdings | 12,800 | 1,028 | |||
Masco (A) | 22,000 | 284 | |||
McDermott International * | 18,300 | 462 | |||
Navistar International * | 3,600 | 135 | |||
Northrop Grumman | 4,400 | 228 | |||
Oshkosh Truck (A) | 29,600 | 916 | |||
Owens Corning * (A) | 1,100 | 25 | |||
Pall | 4,400 | 142 | |||
Raytheon | 4,600 | 221 | |||
RR Donnelley & Sons | 8,200 | 174 | |||
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Mid-Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Shaw Group * | 3,800 | $ | 122 | ||
Spherion * | 4,300 | 27 | |||
SPX | 9,800 | 600 | |||
Stericycle * | 6,100 | 296 | |||
Tennant (A) | 2,000 | 58 | |||
Thomas & Betts * | 500 | 15 | |||
Toro | 5,600 | 223 | |||
URS * | 13,900 | 607 | |||
UTI Worldwide | 9,200 | 133 | |||
WESCO International * | 5,300 | 153 | |||
WW Grainger | 4,400 | 393 | |||
| 13,572 | |||||
Information Technology — 17.9% | |||||
Acme Packet * | 4,100 | 41 | |||
Affiliated Computer Services, Cl A * | 9,100 | 493 | |||
Akamai Technologies * | 10,900 | 215 | |||
Altera (A) | 15,200 | 312 | |||
Amdocs * | 3,700 | 99 | |||
Analog Devices | 8,400 | 232 | |||
Applied Micro Circuits * | 4,800 | 48 | |||
Arrow Electronics * | 25,000 | 704 | |||
Autodesk * | 5,100 | 121 | |||
Avnet * | 31,800 | 826 | |||
BMC Software * | 7,600 | 285 | |||
Broadcom, Cl A * | 1,600 | 49 | |||
Broadridge Financial Solutions | 18,800 | 378 | |||
CA | 40,900 | 899 | |||
Cirrus Logic * | 2,200 | 12 | |||
CommScope * | 11,600 | 347 | |||
Computer Sciences * | 17,400 | 917 | |||
Convergys * | 28,800 | 286 | |||
Cree * (A) | 10,000 | 367 | |||
Cypress Semiconductor * (A) | 27,700 | 286 | |||
Dolby Laboratories, Cl A * (A) | 7,600 | 290 | |||
DST Systems * (A) | 12,100 | 542 | |||
DTS * | 800 | 22 | |||
EchoStar, Cl A * | 4,900 | 90 | |||
Equinix * (A) | 2,200 | 202 | |||
F5 Networks * | 3,400 | 135 | |||
Fidelity National Information Services (A) | 13,100 | 334 | |||
Fiserv * | 24,600 | 1,186 | |||
Harris | 20,000 | 752 | |||
Hewitt Associates, Cl A * | 9,500 | 346 | |||
i2 Technologies * | 2,300 | 37 | |||
IAC * | 5,400 | 109 | |||
infoGROUP | 2,800 | 20 | |||
Ingram Micro, Cl A * | 38,200 | 644 | |||
Integrated Device Technology * | 48,200 | 326 | |||
Interactive Intelligence * | 2,200 | 42 | |||
Intuit * | 15,800 | 450 | |||
Iron Mountain * (A) | 1,300 | 35 | |||
Description | Shares | Market Value ($ Thousands) | |||
j2 Global Communications * | 600 | $ | 14 | ||
Jabil Circuit | 44,300 | 594 | |||
Keynote Systems * | 900 | 8 | |||
Lender Processing Services | 15,600 | 595 | |||
Linear Technology (A) | 6,900 | 191 | |||
LSI Logic * | 24,900 | 137 | |||
Marvell Technology Group * | 47,900 | 775 | |||
McAfee * | 7,800 | 342 | |||
Metavante Technologies * | 9,200 | 317 | |||
Micros Systems * | 3,100 | 94 | |||
National Semiconductor (A) | 3,400 | 48 | |||
Novatel Wireless * | 6,900 | 78 | |||
Novell * | 34,900 | 157 | |||
Nvidia * | 7,400 | 111 | |||
ON Semiconductor * | 5,400 | 45 | |||
Pegasystems | 2,800 | 97 | |||
PMC - Sierra * | 13,900 | 133 | |||
Red Hat * | 15,400 | 426 | |||
Rovi * | 600 | 20 | |||
SAIC * | 7,700 | 135 | |||
Seagate Technology | 44,800 | 682 | |||
Silicon Laboratories * (A) | 14,500 | 672 | |||
Symantec * | 12,600 | 208 | |||
Synopsys * (A) | 23,700 | 531 | |||
Tech Data * | 8,600 | 358 | |||
TIBCO Software * | 6,900 | 66 | |||
Vishay Intertechnology * | 60,900 | 481 | |||
Western Digital * | 38,100 | 1,392 | |||
Western Union | 4,100 | 78 | |||
Xerox | 22,400 | 173 | |||
| 21,437 | |||||
Materials — 7.3% | |||||
Ashland | 15,900 | 687 | |||
Ball | 10,900 | 536 | |||
Celanese, Ser A | 32,400 | 810 | |||
CF Industries Holdings | 2,200 | 190 | |||
Crown Holdings * | 29,400 | 800 | |||
Eastman Chemical | 1,900 | 102 | |||
Ecolab | 4,700 | 217 | |||
Hawkins (A) | 1,200 | 28 | |||
International Paper | 22,900 | 509 | |||
Lubrizol | 11,200 | 800 | |||
MeadWestvaco | 3,200 | 72 | |||
Nalco Holding | 38,100 | 781 | |||
NewMarket | 1,000 | 93 | |||
Owens-Illinois * | 21,800 | 804 | |||
Pactiv * | 33,800 | 881 | |||
Scotts Miracle-Gro, Cl A | 2,600 | 112 | |||
Sealed Air | 1,700 | 33 | |||
Sonoco Products | 22,700 | 625 | |||
Steel Dynamics | 5,400 | 83 | |||
Terra Industries | 8,400 | 291 | |||
Walter Energy | 5,800 | 348 | |||
| 8,802 | |||||
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Mid-Cap Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Telecommunication Services — 2.1% | |||||
Atlantic Telegraph-Network | 1,200 | $ | 64 | ||
CenturyTel | 14,700 | 494 | |||
Frontier Communications | 19,200 | 145 | |||
NII Holdings * | 31,400 | 941 | |||
Qwest Communications International (A) | 21,700 | 83 | |||
Telephone & Data Systems | 2,100 | 65 | |||
US Cellular * | 9,800 | 383 | |||
Windstream (A) | 34,100 | 345 | |||
| 2,520 | |||||
Utilities — 8.4% | |||||
AES * | 66,100 | 980 | |||
Alliant Energy | 400 | 11 | |||
| Shares/Face Amount ($ Thousands) | |||||
Ameren | 5,000 | 127 | |||
American Water Works | 12,900 | 257 | |||
Atmos Energy | 7,400 | 208 | |||
Calpine * | 22,800 | 263 | |||
Centerpoint Energy | 7,600 | 95 | |||
CMS Energy (A) | 17,300 | 232 | |||
Consolidated Edison (A) | 3,600 | 147 | |||
Constellation Energy Group | 12,900 | 417 | |||
DTE Energy | 20,100 | 706 | |||
Edison International | 14,600 | 490 | |||
Energen | 12,200 | 526 | |||
Hawaiian Electric Industries (A) | 25,800 | 468 | |||
MDU Resources Group | 26,000 | 542 | |||
Mirant * | 46,200 | 759 | |||
NRG Energy * (A) | 18,800 | 530 | |||
NSTAR | 16,300 | 519 | |||
Oneok | 14,100 | 516 | |||
Pepco Holdings | 9,800 | 146 | |||
PPL | 10,000 | 303 | |||
RRI Energy * | 7,800 | 56 | |||
Sempra Energy | 8,800 | 438 | |||
Southern Union | 23,900 | 497 | |||
UGI | 34,500 | 865 | |||
| 10,098 | |||||
Total Common Stock | 117,011 | ||||
AFFILIATED PARTNERSHIP — 13.6% | |||||
SEI Liquidity Fund, L.P., 0.400% (B) ** †† | 16,737,610 | 16,372 | |||
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | |||
Total Affiliated Partnership | $ | 16,372 | |||
CASH EQUIVALENT — 2.9% | |||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110% ** †† | 3,526,668 | 3,527 | |||
Total Cash Equivalent | 3,527 | ||||
U.S. TREASURY OBLIGATION — 0.4% | |||||
U.S. Treasury Bills 0.255%, 12/03/09 (C) (D) | 430 | 430 | |||
Total U.S. Treasury Obligation | 430 | ||||
Total Investments — 114.3% | $ | 137,340 | |||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | ||||
S&P Mid 400 Index E-MINI | 52 | Dec-2009 | $ | 111 | |||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $120,146 ($ Thousands).
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| † | Real Estate Investment Trust. |
| †† | Investment in Affiliated Security. |
| (A) | This security or a partial position of this security is on loan at September 30, 2009. The total market value of securities on loan at September 30, 2009 was $16,303 ($ Thousands). |
| (B) | This security was purchased with cash collateral received from securities on loan. The total market value of such securities as of September 30, 2009 was $16,372 ($ Thousands). |
| (C) | The rate reported is the effective yield at the time of purchase. |
| (D) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
L.P. — Limited Partnership
Ser — Series
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
U.S. Managed Volatility Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
COMMON STOCK — 94.8% | |||||
Consumer Discretionary — 6.2% | |||||
Aaron Rents | 49,300 | $ | 1,301 | ||
Amazon.com * | 7,934 | 741 | |||
Autoliv | 21,300 | 716 | |||
Buckle | 27,000 | 922 | |||
Burger King Holdings | 85,200 | 1,499 | |||
Career Education * | 54,500 | 1,329 | |||
Carter’s * | 54,300 | 1,450 | |||
Choice Hotels International | 48,100 | 1,494 | |||
Corinthian Colleges * | 71,200 | 1,321 | |||
DIRECTV Group * | 51,900 | 1,432 | |||
DreamWorks Animation SKG, Cl A * | 43,500 | 1,547 | |||
GameStop, Cl A * | 21,400 | 566 | |||
Gildan Activewear * | 28,600 | 564 | |||
ITT Educational Services * | 13,800 | 1,524 | |||
Jarden | 31,000 | 870 | |||
John Wiley & Sons, Cl A | 33,300 | 1,158 | |||
Shaw Communications, Cl B | 96,300 | 1,734 | |||
Strayer Education | 9,478 | 2,063 | |||
Tractor Supply * | 30,600 | 1,482 | |||
| 23,713 | |||||
Consumer Staples — 14.4% | |||||
Alberto-Culver | 40,635 | 1,125 | |||
Altria Group | 240,091 | 4,276 | |||
Brown-Forman, Cl B | 66,913 | 3,226 | |||
Campbell Soup | 73,907 | 2,411 | |||
Church & Dwight | 27,100 | 1,538 | |||
Dean Foods * | 44,800 | 797 | |||
Flowers Foods | 40,400 | 1,062 | |||
General Mills | 27,400 | 1,764 | |||
Hansen Natural * | 19,400 | 713 | |||
Hershey | 40,100 | 1,558 | |||
Hormel Foods | 155,435 | 5,521 | |||
Kellogg | 22,600 | 1,113 | |||
Kimberly-Clark | 28,100 | 1,657 | |||
Kroger | 88,180 | 1,820 | |||
Lorillard | 60,492 | 4,495 | |||
McCormick | 39,375 | 1,336 | |||
Mead Johnson Nutrition, Cl A | 11,810 | 532 | |||
Molson Coors Brewing, Cl B | 13,085 | 637 | |||
Philip Morris International | 91,763 | 4,473 | |||
Reynolds American | 97,361 | 4,334 | |||
Ruddick | 45,000 | 1,198 | |||
Safeway | 8,383 | 165 | |||
Sara Lee | 69,713 | 777 | |||
SUPERVALU | 26,600 | 401 | |||
SYSCO | 172,817 | 4,295 | |||
Tyson Foods, Cl A | 255,150 | 3,222 | |||
Wal-Mart Stores | 7,953 | 390 | |||
| 54,836 | |||||
Energy — 4.5% | |||||
Chevron | 26,900 | 1,895 | |||
CNX Gas * | 46,500 | 1,428 | |||
Concho Resources * | 22,965 | 834 | |||
Dresser-Rand Group * | 45,300 | 1,407 | |||
Enbridge | 43,000 | 1,668 | |||
Encore Acquisition * | 15,800 | 591 | |||
Exxon Mobil | 32,925 | 2,259 | |||
FMC Technologies * | 16,400 | 857 | |||
Murphy Oil | 20,776 | 1,196 | |||
PetroHawk Energy * | 28,100 | 680 | |||
Range Resources | 33,600 | 1,659 | |||
Description | Shares | Market Value ($ Thousands) | |||
SEACOR Holdings * | 17,300 | $ | 1,412 | ||
TransCanada | 44,300 | 1,374 | |||
| 17,260 | |||||
Financials — 14.0% | |||||
Alexandria Real Estate Equities † | 30,900 | 1,679 | |||
Arthur J. Gallagher | 37,099 | 904 | |||
Associated Banc-Corp | 100,500 | 1,148 | |||
Bancorpsouth | 59,100 | 1,443 | |||
Bank of Hawaii | 86,546 | 3,595 | |||
BOK Financial | 31,166 | 1,443 | |||
Brown & Brown | 8,404 | 161 | |||
Capitol Federal Financial | 66,258 | 2,181 | |||
Commerce Bancshares | 137,160 | 5,108 | |||
Corporate Office Properties Trust † | 39,700 | 1,464 | |||
Cullen/Frost Bankers | 58,457 | 3,019 | |||
Endurance Specialty Holdings | 49,300 | 1,798 | |||
Erie Indemnity, Cl A | 42,500 | 1,592 | |||
Essex Property Trust † | 19,100 | 1,520 | |||
Federated Investors, Cl B | 58,600 | 1,545 | |||
First Citizens BancShares, Cl A | 2,420 | 385 | |||
First Niagara Financial Group | 53,466 | 659 | |||
Health Care † | 36,700 | 1,527 | |||
MFA Financial † | 113,400 | 903 | |||
National Retail Properties † | 46,100 | 990 | |||
Nationwide Health Properties † | 17,800 | 552 | |||
Northern Trust | 22,794 | 1,326 | |||
People’s United Financial | 252,536 | 3,930 | |||
ProAssurance * | 20,500 | 1,070 | |||
Prosperity Bancshares | 45,400 | 1,579 | |||
Realty Income † | 57,200 | 1,467 | |||
RenaissanceRe Holdings | 30,400 | 1,664 | |||
TFS Financial | 322,772 | 3,841 | |||
UDR † | 53,600 | 844 | |||
UMB Financial | 31,300 | 1,266 | |||
Valley National Bancorp | 84,800 | 1,042 | |||
Washington Real Estate Investment Trust † | 51,700 | 1,489 | |||
Wesco Financial | 630 | 205 | |||
| 53,339 | |||||
Health Care — 22.3% | |||||
Abbott Laboratories | 112,146 | 5,548 | |||
Allscripts Healthcare Solutions | 8,178 | 166 | |||
AmerisourceBergen | 284,696 | 6,371 | |||
Amgen * | 75,283 | 4,534 | |||
Baxter International | 55,195 | 3,147 | |||
Becton Dickinson | 57,460 | 4,008 | |||
Biogen Idec * | 87,289 | 4,410 | |||
Bristol-Myers Squibb | 23,913 | 538 | |||
C.R. Bard | 43,014 | 3,381 | |||
Cardinal Health | 72,332 | 1,938 | |||
CareFusion * | 36,166 | 788 | |||
Celgene * | 13,000 | 727 | |||
Edwards Lifesciences * | 36,766 | 2,570 | |||
Eli Lilly | 40,374 | 1,334 | |||
Endo Pharmaceuticals Holdings * | 73,210 | 1,657 | |||
Forest Laboratories * | 123,040 | 3,622 | |||
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
U.S. Managed Volatility Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Genzyme * | 95,329 | $ | 5,408 | ||
Gilead Sciences * | 94,370 | 4,396 | |||
Haemonetics * | 23,600 | 1,324 | |||
Henry Schein * | 23,226 | 1,275 | |||
Hill-Rom Holdings | 15,725 | 343 | |||
Johnson & Johnson | 69,099 | 4,207 | |||
Kinetic Concepts * | 42,900 | 1,587 | |||
LifePoint Hospitals * | 19,200 | 520 | |||
McKesson | 107,620 | 6,409 | |||
Millipore * | 3,269 | 230 | |||
Onyx Pharmaceuticals * | 20,300 | 608 | |||
Owens & Minor | 29,500 | 1,335 | |||
Patterson * | 57,200 | 1,559 | |||
Perrigo | 43,000 | 1,462 | |||
STERIS | 42,800 | 1,303 | |||
Techne | 73,109 | 4,573 | |||
United Therapeutics * | 30,200 | 1,480 | |||
Watson Pharmaceuticals * | 56,443 | 2,068 | |||
| 84,826 | |||||
Industrials — 4.0% | |||||
Alliant Techsystems * | 16,400 | 1,277 | |||
C.H. Robinson Worldwide | 35,193 | 2,032 | |||
Copa Holdings, Cl A | 26,830 | 1,194 | |||
FTI Consulting * | 16,100 | 686 | |||
Gardner Denver * | 45,500 | 1,587 | |||
KBR | 69,200 | 1,612 | |||
Landstar System | 37,900 | 1,442 | |||
Lennox International | 41,900 | 1,513 | |||
Nordson | 9,600 | 539 | |||
Rollins | 85,100 | 1,604 | |||
TransDigm Group * | 31,800 | 1,584 | |||
| 15,070 | |||||
Information Technology — 11.2% | |||||
Accenture, Cl A | 52,681 | 1,963 | |||
Adtran | 52,100 | 1,279 | |||
Affiliated Computer Services, Cl A * | 18,900 | 1,024 | |||
Analog Devices | 102,524 | 2,828 | |||
Atmel * | 102,357 | 429 | |||
AVX | 3,644 | 44 | |||
Broadcom, Cl A * | 32,076 | 984 | |||
Corning | 6,612 | 102 | |||
Cree * | 18,380 | 676 | |||
Diebold | 23,500 | 774 | |||
eBay * | 1,858 | 44 | |||
Flir Systems * | 31,300 | 875 | |||
Global Payments | 41,300 | 1,929 | |||
Harris | 33,700 | 1,267 | |||
Hewitt Associates, Cl A * | 41,900 | 1,526 | |||
Hewlett-Packard | 4,264 | 201 | |||
IAC * | 21,901 | 442 | |||
Ingram Micro, Cl A * | 94,404 | 1,591 | |||
Intel | 223,543 | 4,375 | |||
Mantech International, Cl A * | 26,200 | 1,235 | |||
NeuStar, Cl A * | 40,700 | 920 | |||
Perot Systems, Cl A * | 52,900 | 1,571 | |||
SAIC * | 2,550 | 45 | |||
Description | Shares | Market Value ($ Thousands) | |||
Silicon Laboratories * | 22,076 | $ | 1,023 | ||
Sybase * | 46,000 | 1,789 | |||
Synopsys * | 31,259 | 701 | |||
Tech Data * | 94,708 | 3,941 | |||
Texas Instruments | 177,216 | 4,198 | |||
Visa, Cl A | 44,823 | 3,098 | |||
WebMD Health, Cl A * | 5,974 | 198 | |||
Xilinx | 4,452 | 104 | |||
Zebra Technologies, Cl A * | 64,954 | 1,684 | |||
| 42,860 | |||||
Materials — 3.7% | |||||
Aptargroup | 47,400 | 1,771 | |||
Bemis | 18,500 | 479 | |||
Compass Minerals International | 24,400 | 1,503 | |||
Greif, Cl A | 22,600 | 1,244 | |||
Newmont Mining | 89,374 | 3,934 | |||
Reliance Steel & Aluminum | 15,500 | 660 | |||
Royal Gold | 34,268 | 1,563 | |||
Sensient Technologies | 53,000 | 1,472 | |||
Silgan Holdings | 26,300 | 1,387 | |||
| 14,013 | |||||
Telecommunication Services — 2.4% | |||||
AT&T | 79,900 | 2,158 | |||
CenturyTel | 37,900 | 1,274 | |||
MetroPCS Communications * | 167,800 | 1,571 | |||
Rogers Communications, Cl B | 59,300 | 1,672 | |||
SBA Communications, Cl A * | 21,400 | 578 | |||
Verizon Communications | 60,330 | 1,826 | |||
| 9,079 | |||||
Utilities — 12.1% | |||||
AGL Resources | 82,355 | 2,905 | |||
Alliant Energy | 75,713 | 2,109 | |||
American Water Works | 65,300 | 1,302 | |||
Aqua America | 67,920 | 1,198 | |||
Atmos Energy | 125,435 | 3,535 | |||
Consolidated Edison | 39,300 | 1,609 | |||
DTE Energy | 42,200 | 1,483 | |||
Edison International | 46,700 | 1,568 | |||
Energen | 35,900 | 1,547 | |||
Hawaiian Electric Industries | 29,031 | 526 | |||
Idacorp | 42,700 | 1,229 | |||
Nicor | 75,296 | 2,755 | |||
NSTAR | 89,964 | 2,863 | |||
OGE Energy | 60,203 | 1,991 | |||
Pepco Holdings | 60,200 | 896 | |||
PG&E | 15,500 | 628 | |||
Piedmont Natural Gas | 65,800 | 1,575 | |||
PPL | 49,011 | 1,487 | |||
SCANA | 22,191 | 774 | |||
Sempra Energy | 41,419 | 2,063 | |||
TECO Energy | 105,800 | 1,490 | |||
UGI | 86,870 | 2,177 | |||
Vectren | 105,405 | 2,428 | |||
WGL Holdings | 48,900 | 1,621 | |||
Wisconsin Energy | 94,324 | 4,261 | |||
Xcel Energy | 5,621 | 108 | |||
| 46,128 | |||||
Total Common Stock | 361,124 | ||||
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
U.S. Managed Volatility Fund
September 30, 2009
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
CASH EQUIVALENT — 4.4% | ||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110% ** †† | 16,834,444 | 16,834 | ||||
Total Cash Equivalent | 16,834 | |||||
U.S. TREASURY OBLIGATION — 0.2% | ||||||
U.S. Treasury Bills | ||||||
0.142%, 12/03/09 (A) (B) | $ | 900 | $ | 900 | ||
Total U.S. Treasury Obligation | 900 | |||||
Total Investments — 99.4% | $ | 378,858 | ||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | ||||
S&P 500 Index EMINI | 147 | Dec-2009 | $ | 181 | |||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $381,004 ($ Thousands)
| † | Real Estate Investment Trust. |
| †† | Investment in Affiliated Security. |
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009 |
| (A) | The rate reported is the effective yield at the time of purchase. |
| (B) | Security, or portion thereof, has been pledged on open futures contracts. |
Cl — Class
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Global Managed Volatility Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
COMMON STOCK — 96.0% | |||||
Australia — 5.7% | |||||
Amcor | 285,802 | $ | 1,382 | ||
Australian Worldwide Exploration | 72,167 | 173 | |||
Brambles | 58,613 | 418 | |||
Coal & Allied Industries | 776 | 55 | |||
Commonwealth Bank of Australia | 18,435 | 842 | |||
Foster’s Group | 184,522 | 904 | |||
GrainCorp | 3,220 | 26 | |||
Healthscope | 75,339 | 318 | |||
Iluka Resources | 539,788 | 1,896 | |||
Metcash | 220,170 | 875 | |||
Orica | 14,535 | 301 | |||
Origin Energy | 86,754 | 1,250 | |||
RHG * | 6,987 | 4 | |||
Tatts Group | 384,669 | 862 | |||
Telstra | 902,359 | 2,604 | |||
Wesfarmers | 15,072 | 353 | |||
| 12,263 | |||||
Belgium — 3.1% | |||||
Belgacom | 35,455 | 1,380 | |||
Cofinimmo † | 3,127 | 436 | |||
Colruyt | 9,836 | 2,309 | |||
Intervest Offices † | 1,579 | 52 | |||
Mobistar | 36,229 | 2,504 | |||
| 6,681 | |||||
Bermuda — 0.1% | |||||
Macquarie International Infrastructure Fund | 415,000 | 99 | |||
| 99 | |||||
Canada — 14.5% | |||||
Alimentation Couche Tard, Cl B | 156,800 | 2,739 | |||
Bank of Nova Scotia | 14,300 | 651 | |||
Barrick Gold | 12,100 | 457 | |||
BCE | 48,800 | 1,204 | |||
Canadian National Railway | 11,700 | 575 | |||
Canadian Utilities | 8,900 | 314 | |||
CGI Group, Cl A * | 101,500 | 1,186 | |||
Empire, Cl A | 33,000 | 1,344 | |||
Enbridge | 50,300 | 1,948 | |||
Fairfax Financial Holdings | 3,300 | 1,223 | |||
Fortis | 73,300 | 1,706 | |||
George Weston | 21,800 | 1,132 | |||
Gildan Activewear * | 10,000 | 197 | |||
Goldcorp | 22,600 | 905 | |||
Jean Coutu Group PJC, Cl A | 42,597 | 379 | |||
Laurentian Bank of Canada | 27,200 | 973 | |||
Loblaw | 35,400 | 1,042 | |||
Magna International, Cl A | 3,800 | 162 | |||
Manitoba Telecom Services | 20,400 | 634 | |||
Description | Shares | Market Value ($ Thousands) | |||
Metro, Cl A | 33,100 | $ | 1,079 | ||
National Bank of Canada | 4,900 | 272 | |||
North West Fund | 8,000 | 130 | |||
Open Text * | 23,800 | 889 | |||
Provident Energy Trust | 45,500 | 263 | |||
Ritchie Bros Auctioneers | 1,900 | 47 | |||
RONA * | 14,400 | 201 | |||
Royal Bank of Canada | 23,300 | 1,249 | |||
Saputo | 56,400 | 1,321 | |||
Shaw Communications, Cl B | 51,200 | 924 | |||
Shoppers Drug Mart | 25,200 | 1,032 | |||
TELUS, Cl A | 37,900 | 1,176 | |||
TELUS | 54,600 | 1,757 | |||
TMX Group | 17,500 | 585 | |||
Toronto-Dominion Bank | 19,900 | 1,284 | |||
| 30,980 | |||||
Cayman Islands — 0.1% | |||||
Hutchison Telecommunications International | 51,000 | 10 | |||
Seagate Technology | 9,900 | 151 | |||
| 161 | |||||
Denmark — 2.1% | |||||
Coloplast, Cl B | 13,815 | 1,154 | |||
Novo Nordisk, Cl B | 51,407 | 3,215 | |||
| 4,369 | |||||
Finland — 0.4% | |||||
Componenta | 2,696 | 18 | |||
Orion, Cl B | 46,180 | 851 | |||
Tietoenator | 3,475 | 69 | |||
| 938 | |||||
France — 1.7% | |||||
Boiron | 3,169 | 116 | |||
France Telecom | 63,582 | 1,692 | |||
PagesJaunes Groupe | 7,191 | 93 | |||
Sanofi-Aventis | 16,432 | 1,205 | |||
Societe BIC | 8,042 | 571 | |||
Vilmorin & Cie | 434 | 49 | |||
| 3,726 | |||||
Germany — 2.5% | |||||
Beiersdorf | 29,909 | 1,755 | |||
Deutsche Telekom | 85,763 | 1,170 | |||
Fresenius Medical Care | 24,188 | 1,203 | |||
Hannover Rueckversicherung | 8,785 | 402 | |||
Hornbach Holding | 313 | 28 | |||
Volkswagen | 4,975 | 817 | |||
| 5,375 | |||||
Greece — 0.1% | |||||
Public Power | 12,644 | 281 | |||
| 281 | |||||
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Global Managed Volatility Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Hong Kong — 2.4% | |||||
Cheung Kong Infrastructure Holdings | 71,000 | $ | 254 | ||
CLP Holdings | 402,000 | 2,728 | |||
HongKong Electric Holdings | 341,500 | 1,873 | |||
Jardine Matheson Holdings | 7,200 | 219 | |||
Link † | 7,000 | 15 | |||
NAM TAI Electronics | 21,300 | 115 | |||
| 5,204 | |||||
Ireland — 0.5% | |||||
Accenture, Cl A | 26,614 | 992 | |||
Kerry Group, Cl A | 2,259 | 64 | |||
| 1,056 | |||||
Italy — 0.0% | |||||
CSP International Fashion Group | 9,261 | 11 | |||
DiaSorin | 1,745 | 59 | |||
| 70 | |||||
Japan — 22.7% | |||||
ABC-Mart | 23,000 | 718 | |||
Able | 3,000 | 27 | |||
Acom | 18,100 | 279 | |||
Adores | 12,000 | 27 | |||
Ain Pharmaciez | 1,200 | 33 | |||
Ajis | 1,300 | 30 | |||
All Nippon Airways | 209,000 | 602 | |||
Asahi Breweries | 90,300 | 1,656 | |||
Astellas Pharma | 35,100 | 1,447 | |||
Benesse | 43,000 | 2,113 | |||
Canon Marketing Japan | 56,600 | 1,005 | |||
Central Japan Railway | 17 | 122 | |||
Chubu Electric Power | 88,100 | 2,145 | |||
Chugoku Electric Power | 43,700 | 964 | |||
Circle K Sunkus | 2,100 | 32 | |||
CMIC | 200 | 55 | |||
Combi | 9,500 | 77 | |||
Dainippon Sumitomo Pharma | 46,200 | 505 | |||
Daisan Bank | 10,000 | 24 | |||
Ehime Bank | 9,000 | 25 | |||
Ezaki Glico | 2,000 | 22 | |||
Faith | 242 | 35 | |||
FamilyMart | 41,300 | 1,333 | |||
Fast Retailing | 1,600 | 203 | |||
Fuji | 5,800 | 113 | |||
Fuji Oil | 20,000 | 283 | |||
FUJI SOFT | 8,400 | 142 | |||
Fukuyama Transporting | 51,000 | 273 | |||
Haruyama Trading | 2,000 | 9 | |||
Hazama | 14,000 | 15 | |||
Hibiya Engineering | 2,500 | 23 | |||
Hokkaido Electric Power | 14,300 | 298 | |||
Hokuriku Electric Power | 50,100 | 1,279 | |||
Ito En | 37,300 | 692 | |||
Iyo Bank | 49,000 | 443 | |||
Description | Shares | Market Value ($ Thousands) | |||
Japan Airlines * | 426,000 | $ | 628 | ||
Kagawa Bank | 10,000 | 40 | |||
Kamigumi | 105,000 | 860 | |||
Kansai Electric Power | 74,800 | 1,813 | |||
Keihin Electric Express Railway | 167,000 | 1,419 | |||
Kintetsu | 251,000 | 973 | |||
Kokuyo | 25,000 | 229 | |||
Komatsu Seiren | 5,000 | 21 | |||
Kyushu Electric Power | 64,200 | 1,459 | |||
Lawson | 34,300 | 1,597 | |||
Leopalace21 | 900 | 7 | |||
Lion | 181,000 | 942 | |||
Mabuchi Motor | 4,900 | 250 | |||
Marudai Food | 13,000 | 41 | |||
Maruzen Showa Unyu | 7,000 | 24 | |||
McDonald’s Holdings Japan | 14,900 | 299 | |||
Miraca Holdings | 4,900 | 160 | |||
Miyazaki Bank | 5,000 | 21 | |||
Morinaga Milk Industry | 20,025 | 100 | |||
NET One Systems | 368 | 555 | |||
Nichirei | 41,000 | 163 | |||
Nintendo | 4,000 | 1,028 | |||
Nippon Meat Packers | 12,000 | 155 | |||
Nippon Mining Holdings | 8,500 | 42 | |||
Nippon Oil | 14,000 | 79 | |||
Nippon Telegraph & Telephone | 24,900 | 1,157 | |||
Nitori | 15,550 | 1,329 | |||
Noevir | 4,800 | 51 | |||
NTT DoCoMo | 683 | 1,094 | |||
Odakyu Electric Railway | 19,000 | 172 | |||
Oita Bank | 69,082 | 271 | |||
Okumura | 72,000 | 272 | |||
Ono Pharmaceutical | 3,700 | 193 | |||
Oriental Yeast | 3,000 | 18 | |||
Pilot | 38 | 43 | |||
Prima Meat Packers | 145,000 | 175 | |||
QP | 7,200 | 82 | |||
Ryoshoku | 3,000 | 77 | |||
Sankyo | 13,200 | 828 | |||
Seven Bank | 46 | 114 | |||
Shikoku Electric Power | 32,000 | 979 | |||
Shimachu | 9,800 | 258 | |||
Shinkin Central Bank | 18 | 28 | |||
Shizuoka Gas | 23,000 | 178 | |||
Sogo Medical | 7,400 | 195 | |||
Sorun | 3,100 | 16 | |||
Studio Alice | 10,500 | 112 | |||
Takeda Pharmaceutical | 31,000 | 1,295 | |||
Tobu Railway | 241,000 | 1,475 | |||
Toho | 6,800 | 115 | |||
Toho Gas | 150,000 | 687 | |||
Tohoku Electric Power | 51,000 | 1,139 | |||
Tokyo Electric Power | 42,700 | 1,123 | |||
Tokyo Style | 12,000 | 104 | |||
TonenGeneral Sekiyu | 33,000 | 323 | |||
Toyo Suisan Kaisha | 10,000 | 271 | |||
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Global Managed Volatility Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
Trancom | 1,300 | $ | 25 | ||
TV Tokyo | 3,700 | 107 | |||
Unicharm | 11,500 | 1,094 | |||
Wacoal Holdings | 51,000 | 667 | |||
Yahoo! Japan | 2,159 | 736 | |||
Yakult Honsha | 14,500 | 388 | |||
Yamaguchi Financial Group | 3,000 | 31 | |||
Yamato Holdings | 44,000 | 725 | |||
Yamazaki Baking | 48,000 | 652 | |||
| 48,553 | |||||
Luxembourg — 0.2% | |||||
ArcelorMittal | 9,662 | 361 | |||
| 361 | |||||
Netherlands — 0.9% | |||||
Royal Dutch Shell, Cl A | 40,687 | 1,163 | |||
Royal KPN | 44,629 | 739 | |||
| 1,902 | |||||
New Zealand — 0.1% | |||||
Auckland International Airport | 26,847 | 36 | |||
Fisher & Paykel Healthcare | 49,462 | 118 | |||
| 154 | |||||
Spain — 0.6% | |||||
Almirall | 7,206 | 93 | |||
Telefonica | 43,681 | 1,204 | |||
| 1,297 | |||||
Sweden — 0.3% | |||||
Hennes & Mauritz, Cl B | 12,360 | 692 | |||
| 692 | |||||
Switzerland — 2.9% | |||||
Actelion * | 2,972 | 184 | |||
Bell Holding | 13 | 20 | |||
Berner Kantonalbank | 370 | 83 | |||
Charles Voegele Holding | 911 | 40 | |||
Emmi | 239 | 29 | |||
Luzerner Kantonalbank | 204 | 55 | |||
Nestle | 24,211 | 1,030 | |||
Novartis | 24,938 | 1,246 | |||
Swisscom | 2,974 | 1,063 | |||
Synthes | 16,615 | 2,000 | |||
Valiant Holding | 2,176 | 426 | |||
| 6,176 | |||||
United Kingdom — 6.6% | |||||
AMEC | 23,010 | 278 | |||
AstraZeneca | 24,188 | 1,085 | |||
BAE Systems | 313,302 | 1,750 | |||
Balfour Beatty | 22,839 | 118 | |||
De La Rue | 28,050 | 403 | |||
eaga | 18,677 | 43 | |||
Fiberweb | 4,598 | 5 | |||
GlaxoSmithKline | 56,597 | 1,113 | |||
Description | Shares | Market Value ($ Thousands) | |||
HMV Group | 89,391 | $ | 150 | ||
JD Sports Fashion | 2,922 | 27 | |||
Marks & Spencer Group | 45,672 | 264 | |||
National Grid | 113,561 | 1,097 | |||
Rank Group | 56,915 | 81 | |||
Reckitt Benckiser Group | 56,386 | 2,758 | |||
Reed Elsevier | 247,443 | 1,853 | |||
Robert Wiseman Dairies | 11,392 | 77 | |||
Severn Trent | 20,637 | 320 | |||
Smith & Nephew | 152,777 | 1,370 | |||
TUI Travel | 64,758 | 264 | |||
WM Morrison Supermarkets | 187,424 | 831 | |||
Xchanging | 62,690 | 221 | |||
| 14,108 | |||||
United States — 28.5% | |||||
Aaron Rents | 8,200 | 217 | |||
Abbott Laboratories | 46,900 | 2,320 | |||
Affiliated Computer Services, Cl A * | 24,500 | 1,327 | |||
Altria Group | 50,100 | 892 | |||
Amgen * | 14,300 | 861 | |||
Apollo Group, Cl A * | 32,200 | 2,372 | |||
Archer-Daniels-Midland | 38,100 | 1,113 | |||
Associated Banc-Corp | 35,400 | 404 | |||
AT&T | 21,000 | 567 | |||
Automatic Data Processing | 29,200 | 1,147 | |||
Baxter International | 16,900 | 963 | |||
BigBand Networks * | 8,900 | 36 | |||
Biogen Idec * | 4,500 | 228 | |||
BlackRock | 1,600 | 347 | |||
C.R. Bard | 42,800 | 3,365 | |||
Campbell Soup | 74,600 | 2,434 | |||
Cass Information Systems | 800 | 24 | |||
Chubb | 21,400 | 1,079 | |||
Church & Dwight | 4,600 | 261 | |||
Cirrus Logic * | 13,200 | 73 | |||
Clorox | 16,600 | 977 | |||
Compass Minerals International | 18,900 | 1,165 | |||
Dollar Tree * | 3,900 | 190 | |||
Dun & Bradstreet | 10,100 | 761 | |||
Dynamics Research * | 6,300 | 82 | |||
Exxon Mobil | 16,000 | 1,098 | |||
Family Dollar Stores | 73,100 | 1,930 | |||
Fidelity National Information Services | 38,500 | 982 | |||
Flowers Foods | 28,000 | 736 | |||
Forest Laboratories * | 35,300 | 1,039 | |||
General Mills | 43,600 | 2,807 | |||
Genzyme * | 5,800 | 329 | |||
Gilead Sciences * | 4,900 | 228 | |||
H&R Block | 33,100 | 608 | |||
Hawkins | 3,200 | 75 | |||
Hewitt Associates, Cl A * | 30,600 | 1,115 | |||
HOT Topic * | 66,400 | 497 | |||
Integral Systems * | 19,200 | 132 | |||
International Business Machines | 9,500 | 1,136 | |||
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Global Managed Volatility Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
International Shipholding | 21,500 | $ | 662 | ||
ITT Educational Services * | 1,300 | 144 | |||
Johnson & Johnson | 18,600 | 1,133 | |||
Kimberly-Clark | 5,500 | 324 | |||
Kinder Morgan Management * | 6,077 | 288 | |||
Knight Capital Group, Cl A * | 37,400 | 813 | |||
Kroger | 57,900 | 1,195 | |||
Laboratory Corp of America Holdings * | 3,100 | 204 | |||
LaBranche * | 81,500 | 277 | |||
Laclede Group | 5,595 | 180 | |||
Magellan Health Services * | 34,700 | 1,078 | |||
Mantech International, Cl A * | 21,500 | 1,014 | |||
Medco Health Solutions * | 20,000 | 1,106 | |||
NASDAQ OMX Group * | 15,800 | 333 | |||
NCI, Cl A * | 6,200 | 178 | |||
NuStar Energy | 5,900 | 306 | |||
People’s United Financial | 33,900 | 528 | |||
Pfizer | 24,800 | 410 | |||
PharMerica * | 4,100 | 76 | |||
Pitney Bowes | 20,000 | 497 | |||
Plains All American Pipeline | 500 | 23 | |||
Procter & Gamble | 12,100 | 701 | |||
Providence Service * | 2,000 | 23 | |||
Raytheon | 46,500 | 2,231 | |||
RehabCare Group * | 1,800 | 39 | |||
Republic Airways Holdings * | 98,595 | 920 | |||
SAIC * | 85,100 | 1,493 | |||
Seneca Foods, Cl A * | 13,800 | 378 | |||
Silgan Holdings | 19,500 | 1,028 | |||
Sunoco Logistics Partners | 2,400 | 142 | |||
SureWest Communications * | 7,002 | 87 | |||
Talbots | 10,300 | 95 | |||
TFS Financial | 71,800 | 854 | |||
TJX | 37,600 | 1,397 | |||
Trustco Bank NY | 13,300 | 83 | |||
Tyson Foods, Cl A | 44,700 | 565 | |||
Vaalco Energy | 26,600 | 122 | |||
Wal-Mart Stores | 67,100 | 3,294 | |||
Watson Wyatt Worldwide, Cl A | 15,600 | 679 | |||
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
West Marine * | 8,700 | $ | 68 | |||
| 60,885 | ||||||
Total Common Stock | 205,331 | |||||
CASH EQUIVALENT — 2.8% | ||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110% ** †† | 5,984,299 | 5,984 | ||||
Total Cash Equivalent | 5,984 | |||||
U.S. TREASURY OBLIGATION — 0.3% | ||||||
U.S. Treasury Bills | ||||||
0.087%, 12/03/09 (A) (B) | $ | 635 | 635 | |||
Total U.S. Treasury Obligation | 635 | |||||
Total Investments — 99.1% | $ | 211,950 | ||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | ||||
DJ Euro Stoxx 50 Index | 23 | Dec-2009 | $ | 13 | |||
FTSE 100 Index | 8 | Dec-2009 | 17 | ||||
Hang Seng Index | 1 | Oct-2009 | — | ||||
S&P 500 Composite Index | 10 | Dec-2009 | 62 | ||||
SPI 200 Index | 3 | Dec-2009 | 7 | ||||
| $ | 99 | ||||||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
4 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Global Managed Volatility Fund
September 30, 2009
A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2009, is as follows:
Maturity Date | Currency to Deliver (Thousands) | Currency to Receive (Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||
10/29/09 | AUD | 11,782 | USD | 10,175 | $ | (197 | ) | |||
10/29/09 | CAD | 37,831 | USD | 34,733 | (525 | ) | ||||
10/29/09 | EUR | 21,928 | USD | 32,213 | 165 | |||||
10/29/09 | GBP | 9,472 | USD | 15,098 | (46 | ) | ||||
10/29/09 | JPY | 4,834,034 | USD | 53,746 | (264 | ) | ||||
10/29/09 | USD | 177 | AUD | 201 | — | |||||
10/29/09 | USD | 680 | CAD | 730 | 1 | |||||
10/29/09 | USD | 310 | EUR | 212 | — | |||||
10/29/09 | USD | 88 | GBP | 55 | — | |||||
10/29/09 | USD | 1,716 | JPY | 153,829 | 3 | |||||
| $ | (863 | ) | ||||||||
Percentages are based on Net Assets of $213,790 ($Thousands)
| † | Real Estate Investment Trust. |
| †† | Investment in Affiliated Security. |
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009 |
| (A) | The rate reported is the effective yield at the time of purchase. |
| (B) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
AUD — Australian Dollar
CAD — Canadian Dollar
Cl — Class
EUR — Euro
GBP — British Pound Sterling
JPY — Japanese Yen
USD — United States Dollar
5 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Managed Volatility Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
COMMON STOCK — 94.2% | |||||
Consumer Discretionary — 6.0% | |||||
Aaron Rents | 17,300 | $ | 457 | ||
Autoliv | 13,400 | 450 | |||
Buckle | 8,800 | 300 | |||
Burger King Holdings | 33,100 | 582 | |||
Career Education * | 26,000 | 634 | |||
Carter’s * | 27,700 | 740 | |||
Choice Hotels International | 18,600 | 578 | |||
Corinthian Colleges * | 36,100 | 670 | |||
DIRECTV Group * | 17,800 | 491 | |||
DreamWorks Animation SKG, Cl A * | 18,400 | 654 | |||
Eastman Kodak | 38,800 | 185 | |||
GameStop, Cl A * | 10,600 | 281 | |||
Genuine Parts | 17,800 | 678 | |||
Gildan Activewear * | 17,100 | 337 | |||
Hillenbrand | 24,129 | 491 | |||
ITT Educational Services * | 6,700 | 740 | |||
Jarden | 10,900 | 306 | |||
John Wiley & Sons, Cl A | 12,900 | 449 | |||
Shaw Communications, Cl B | 23,700 | 427 | |||
Strayer Education | 1,600 | 348 | |||
Tractor Supply * | 12,700 | 615 | |||
| 10,413 | |||||
Consumer Staples — 21.9% | |||||
Altria Group | 113,009 | 2,013 | |||
Brown-Forman, Cl B | 25,558 | 1,232 | |||
Campbell Soup | 32,391 | 1,057 | |||
Church & Dwight | 42,119 | 2,390 | |||
Clorox | 15,349 | 903 | |||
Coca-Cola | 32,302 | 1,735 | |||
Colgate-Palmolive | 23,823 | 1,817 | |||
Dean Foods * | 20,900 | 372 | |||
Flowers Foods | 16,800 | 442 | |||
General Mills | 43,826 | 2,821 | |||
Hansen Natural * | 7,400 | 272 | |||
Hershey | 28,694 | 1,115 | |||
HJ Heinz | 25,538 | 1,015 | |||
Hormel Foods | 51,728 | 1,837 | |||
JM Smucker | 27,275 | 1,446 | |||
Kellogg | 45,912 | 2,260 | |||
Kimberly-Clark | 42,802 | 2,524 | |||
Kroger | 11,495 | 237 | |||
Lorillard | 31,111 | 2,312 | |||
McCormick | 36,417 | 1,236 | |||
PepsiCo | 17,439 | 1,023 | |||
Philip Morris International | 37,370 | 1,821 | |||
Procter & Gamble | 28,324 | 1,641 | |||
Reynolds American | 44,568 | 1,984 | |||
Ruddick | 21,900 | 583 | |||
Wal-Mart Stores | 33,220 | 1,631 | |||
| 37,719 | |||||
Description | Shares | Market Value ($ Thousands) | |||
Energy — 3.9% | |||||
Chevron | 12,400 | $ | 873 | ||
CNX Gas * | 20,000 | 614 | |||
Dresser-Rand Group * | 20,800 | 647 | |||
Enbridge | 18,300 | 710 | |||
Encore Acquisition * | 6,800 | 254 | |||
Exxon Mobil | 13,300 | 913 | |||
FMC Technologies * | 11,700 | 611 | |||
PetroHawk Energy * | 18,300 | 443 | |||
Range Resources | 13,200 | 652 | |||
SEACOR Holdings * | 8,700 | 710 | |||
TransCanada | 7,100 | 220 | |||
| 6,647 | |||||
Financials — 12.3% | |||||
Alexandria Real Estate Equities † | 12,800 | 696 | |||
Associated Banc-Corp | 36,800 | 420 | |||
Bancorpsouth | 27,200 | 664 | |||
Capitol Federal Financial | 68,861 | 2,267 | |||
Commerce Bancshares | 49,642 | 1,849 | |||
Corporate Office Properties Trust † | 18,000 | 664 | |||
Endurance Specialty Holdings | 21,000 | 766 | |||
Erie Indemnity, Cl A | 16,600 | 622 | |||
Essex Property Trust † | 9,500 | 756 | |||
Federated Investors, Cl B | 28,300 | 746 | |||
Health Care † | 19,100 | 795 | |||
MFA Financial † | 43,700 | 348 | |||
National Retail Properties † | 15,500 | 333 | |||
Nationwide Health Properties † | 8,000 | 248 | |||
PartnerRe | 4,000 | 308 | |||
People’s United Financial | 114,013 | 1,774 | |||
Platinum Underwriters Holdings | 7,100 | 254 | |||
ProAssurance * | 6,200 | 324 | |||
Prosperity Bancshares | 17,500 | 609 | |||
Realty Income † | 27,500 | 705 | |||
RenaissanceRe Holdings | 13,100 | 717 | |||
TFS Financial | 193,130 | 2,298 | |||
UDR † | 25,000 | 393 | |||
UMB Financial | 13,500 | 546 | |||
Valley National Bancorp | 23,600 | 290 | |||
Washington Real Estate Investment Trust † | 24,100 | 694 | |||
Wesco Financial | 3,524 | 1,147 | |||
| 21,233 | |||||
Health Care — 17.0% | |||||
Abbott Laboratories | 28,631 | 1,416 | |||
Allscripts Healthcare Solutions | 125,429 | 2,542 | |||
AmerisourceBergen | 92,948 | 2,080 | |||
Becton Dickinson | 10,075 | 703 | |||
1 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Managed Volatility Fund
September 30, 2009
Description | Shares | Market Value ($ Thousands) | |||
C.R. Bard | 8,466 | $ | 666 | ||
Celgene * | 2,800 | 156 | |||
Dentsply International | 44,942 | 1,552 | |||
Edwards Lifesciences * | 18,044 | 1,261 | |||
Eli Lilly | 23,462 | 775 | |||
Endo Pharmaceuticals Holdings * | 33,600 | 760 | |||
Genzyme * | 15,100 | 857 | |||
Haemonetics * | 11,100 | 623 | |||
Henry Schein * | 30,968 | 1,701 | |||
HLTH * | 21,819 | 319 | |||
Idexx Laboratories * | 33,956 | 1,698 | |||
Johnson & Johnson | 31,109 | 1,894 | |||
Kinetic Concepts * | 19,000 | 703 | |||
Laboratory Corp of America Holdings * | 11,085 | 728 | |||
LifePoint Hospitals * | 11,200 | 303 | |||
McKesson | 13,900 | 828 | |||
Onyx Pharmaceuticals * | 6,200 | 186 | |||
Owens & Minor | 12,000 | 543 | |||
Patterson * | 28,700 | 782 | |||
Perrigo | 16,000 | 544 | |||
Quest Diagnostics | 9,259 | 483 | |||
STERIS | 19,800 | 603 | |||
Techne | 30,980 | 1,938 | |||
United Therapeutics * | 13,600 | 666 | |||
Wyeth | 42,208 | 2,051 | |||
| 29,361 | |||||
Industrials — 5.1% | |||||
Alliant Techsystems * | 8,600 | 669 | |||
C.H. Robinson Worldwide | 13,100 | 756 | |||
Dun & Bradstreet | 12,276 | 925 | |||
FTI Consulting * | 6,400 | 273 | |||
Gardner Denver * | 19,400 | 677 | |||
KBR | 31,300 | 729 | |||
Landstar System | 16,500 | 628 | |||
Lennox International | 18,600 | 672 | |||
Nordson | 7,700 | 432 | |||
Rollins | 29,800 | 562 | |||
Stericycle * | 23,418 | 1,134 | |||
TransDigm Group * | 16,200 | 807 | |||
United Parcel Service, Cl B | 9,827 | 555 | |||
| 8,819 | |||||
Information Technology — 10.6% | |||||
Adtran | 24,500 | 602 | |||
Affiliated Computer Services, Cl A * | 5,100 | 276 | |||
Applied Materials | 35,958 | 482 | |||
Cree * | 20,029 | 736 | |||
Diebold | 31,849 | 1,049 | |||
Flir Systems * | 10,200 | 286 | |||
Global Payments | 16,900 | 789 | |||
Google, Cl A * | 4,572 | 2,267 | |||
Harris | 19,500 | 733 | |||
Hewitt Associates, Cl A * | 21,100 | 769 | |||
IAC * | 102,041 | 2,060 | |||
Ingram Micro, Cl A * | 41,500 | 699 | |||
Linear Technology | 12,871 | 356 | |||
Mantech International, Cl A * | 13,000 | 613 | |||
Description | Shares | Market Value ($ Thousands) | |||
Microchip Technology | 33,447 | $ | 886 | ||
National Instruments | 12,748 | 352 | |||
NeuStar, Cl A * | 23,600 | 534 | |||
Perot Systems, Cl A * | 23,700 | 704 | |||
Silicon Laboratories * | 5,900 | 273 | |||
Sybase * | 19,800 | 770 | |||
Tech Data * | 34,512 | 1,436 | |||
Xerox | 33,200 | 257 | |||
Zebra Technologies, Cl A * | 48,247 | 1,251 | |||
| 18,180 | |||||
Materials — 3.4% | |||||
Aptargroup | 15,400 | 575 | |||
Compass Minerals International | 9,800 | 604 | |||
Greif, Cl A | 12,700 | 699 | |||
Newmont Mining | 45,183 | 1,989 | |||
Reliance Steel & Aluminum | 6,000 | 255 | |||
Royal Gold | 16,142 | 736 | |||
Sensient Technologies | 19,100 | 531 | |||
Silgan Holdings | 9,100 | 480 | |||
| 5,869 | |||||
Telecommunication Services — 2.8% | |||||
AT&T | 30,400 | $ | 821 | ||
BCE | 10,900 | 269 | |||
CenturyTel | 28,803 | 968 | |||
MetroPCS Communications * | 76,700 | 718 | |||
Rogers Communications, Cl B | 25,200 | 710 | |||
SBA Communications, Cl A * | 9,700 | 262 | |||
Telephone & Data Systems | 4,700 | 146 | |||
Verizon Communications | 30,300 | 917 | |||
| 4,811 | |||||
Utilities — 11.2% | |||||
AGL Resources | 19,400 | 684 | |||
Alliant Energy | 23,300 | 649 | |||
American Water Works | 17,200 | 343 | |||
Atmos Energy | 21,600 | 609 | |||
Consolidated Edison | 24,656 | 1,009 | |||
DPL | 13,900 | 363 | |||
DTE Energy | 20,700 | 727 | |||
Edison International | 23,600 | 792 | |||
Hawaiian Electric Industries | 24,070 | 436 | |||
Idacorp | 21,600 | 622 | |||
New Jersey Resources | 8,700 | 316 | |||
Nicor | 8,600 | 315 | |||
NSTAR | 78,413 | 2,495 | |||
OGE Energy | 48,498 | 1,604 | |||
Pepco Holdings | 46,300 | 689 | |||
PG&E | 12,300 | 498 | |||
2 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Schedule of Investments
Tax-Managed Managed Volatility Fund
September 30, 2009
Description | Shares/Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||
Piedmont Natural Gas | 24,800 | 594 | ||||
SCANA | 29,444 | 1,028 | ||||
Sempra Energy | 12,900 | 643 | ||||
Southern | 26,142 | 828 | ||||
TECO Energy | 42,300 | 596 | ||||
Vectren | 60,645 | 1,397 | ||||
WGL Holdings | 15,500 | 513 | ||||
Wisconsin Energy | 32,605 | 1,472 | ||||
| 19,222 | ||||||
Total Common Stock | 162,274 | |||||
CASH EQUIVALENT — 4.3% | ||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.110% ** †† | 7,455,426 | 7,455 | ||||
Total Cash Equivalent | 7,455 | |||||
U.S. TREASURY OBLIGATION — 0.3% | ||||||
U.S. Treasury Bills | ||||||
0.183%, 12/03/09 (A) (B) | $ | 440 | 440 | |||
Total U.S. Treasury Obligation | 440 | |||||
Total Investments — 98.8% | $ | 170,169 | ||||
A summary of the open futures contracts held by the Fund at September 30, 2009, is as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | ||||
S&P 500 Index EMINI | 72 | Dec-2009 | $ | 61 | |||
For the year ended September 30, 2009, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.
Percentages are based on Net Assets of $172,265 ($ Thousands)
| † | Real Estate Investment Trust. |
| †† | Investment in Affiliated Security. |
| * | Non-income producing security. |
| ** | Rate shown is the 7-day effective yield as of September 30, 2009. |
| (A) | The rate reported is the effective yield at the time of purchase. |
| (B) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
Cl — Class
3 | SEI Institutional Managed Trust / Annual Report / September 30, 2009 |
Table of Contents
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders
SEI Institutional Managed Trust:
We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements of SEI Institutional Managed Trust, comprising the Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, Large Cap Diversified Alpha Fund, S&P 500 Index Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small Cap Fund, Small/Mid Cap Diversified Alpha Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, Tax-Managed Managed Volatility Fund, Real Estate Fund, Enhanced Income Fund, Core Fixed Income Fund, U.S. Fixed Income Fund, High Yield Bond Fund and Real Return Fund (collectively, the “Funds”) as of and for the year or period ended September 30, 2009, and have issued our report thereon dated November 30, 2009 (which report and financial statements are included in Item 1 of this Certified Shareholder Report on Form N-CSR). Our audits included an audit of the Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, Large Cap Diversified Alpha Fund, S&P 500 Index Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small Cap Fund, Small/Mid Cap Diversified Alpha Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, and Tax-Managed Managed Volatility Fund’s schedules of investments in securities (the “Schedules”) as of September 30, 2009 appearing in Item 6 of this Form N-CSR. These Schedules are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these Schedules based on our audits.
In our opinion, the Schedules referred to above, when read in conjunction with the financial statements of the Funds referred to above, present fairly, in all material respects, the information set forth therein.
Philadelphia, Pennsylvania
November 30, 2009
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
| Item 8. | Managers of Closed-End Management Investment Companies |
Not applicable.
| Item 9. | Purchasers 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 18, 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 registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing date of this report.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting.
| Items 12. | Exhibits. |
(a)(1) Code of Ethics attached hereto.
(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 1940 Act, 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.
Table of Contents
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 Institutional Managed Trust | |
| By (Signature and Title) | /S/ ROBERT A. NESHER | |
| Robert A. Nesher | ||
| President & CEO | ||
Date: November 30, 2009
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: November 30, 2009 | ||
| By (Signature and Title) | /S/ STEPHEN F. PANNER | |
| Stephen F. Panner | ||
| Controller & CFO | ||
| Date: November 30, 2009 | ||